Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
4,194 documents
This research overview explains how knowledge graphs represent entities and their relationships, then outlines a construction process: gather data, preprocess it, identify entities and links, reconcile information from different sources, form relationship…
This stock-selection approach combines technical signals with a profitability filter for Chinese A-shares. It looks for positive net profit growth of more than 20% and up to 100%, an RSI below 65, and a newly formed KDJ golden cross. The example SQL also…
This research note adapts the four phase investment clock to Chinese equities. It describes recovery, overheating, stagflation, and recession as distinct macroeconomic environments, and explains the traditional asset preferences associated with each. Because…
The document describes an integrated model for estimating how crowded equity factor strategies may be. It combines five standardized signals: valuation spreads between high and low factor-ranked stocks, short-interest spreads, within-group return…
This report summary describes a time-series style attribution study using fund net asset values to examine the sources of returns among Chinese quantitative funds in 2017. It compares active quantitative funds with index-oriented products, reviews changes in…
This study compares equity portfolios selected on profitability, growth, and cash flow, then tests combinations of these fundamentals. It reports quarterly rebalanced results against the CSI 300 from 2013 through June 2021. Each standalone top-50 factor…
This brief project note describes using small market capitalization as a factor and training a model to relate that factor to subsequent 10-day returns. It presents an initial quantitative research idea: use a size characteristic as an input and forward…
The report outlines a fundamental framework for selecting Chinese technology and innovation stocks. It first identifies candidate industries through subjective classification or quantitative screening based on lower sensitivity to macroeconomic fluctuations,…
This research tests whether lagged returns in economically related industries can help predict future industry returns, based on the idea that information and shocks may diffuse across sectors over time. To limit overfitting in a large predictor set, its…
The document outlines a Chinese equity screen combining a daily high–low price range of at least 1, five consecutive years of return on equity above 15%, and a volume ratio between 1.5 and 6. Its rationale is to find consistently profitable companies trading…
This Chinese-language research digest summarizes two topics. The first concerns systematic style investing in fixed income: it reports that value, momentum, carry, and defensive premia have shown notable results in both government and corporate bonds,…
The article describes selecting Chinese “monster stock” reversal candidates with a changing, multi-factor score. It examines recent profitable picks by industry and a normalized factor, then uses those observations to infer which sectors and factor ranges…
This research summary describes applying XGBoost, a gradient-boosted tree method, to Chinese stock selection and index enhancement. The model uses CART trees and classifies each stock into one of three groups formed by sorting market returns. This turns…
This research summary describes a method for extracting nonlinear relationships between equity style factors and returns. It keeps an interpretable linear factor model as a baseline, then trains machine learning models on the linear model’s residuals. The…
The article introduces K-nearest neighbors (KNN) classification using Euclidean distance: a sample is assigned the class most common among its nearest training examples. It then outlines a stock-selection application in which financial and technical factors…
The document describes a Chinese equity screen that combines a 14-period RSI below 65 with parent-company net profit growth above 20% and at or below 100%, plus a beverage and alcohol industry-related condition. It presents the approach as a blend of…
This stock screen selects companies with turnover between 3% and 12%, a rising DEA condition, market capitalization below 10 billion yuan, and positive past net profit. The accompanying examples express the filters in formula and Python-style screening…
This document summarizes two discussions of portfolio diversification. The first describes Bridgewater’s explanation of risk parity and its All Weather strategy, including a comparison with traditional portfolios and responses to common criticisms. The…
This Chinese-language research digest discusses a common source of backtest overfitting: researchers run many experiments, then report only the strategy or factor with the strongest historical result. Selecting a winner from repeated trials can make apparent…
This Chinese equity screen is evaluated after each trading day and requires a positive MACD reading, a positive price-to-earnings ratio, and a negative MACD reading two trading sessions earlier. The proposed logic uses the earlier negative reading to…
This Chinese equity screen selects stocks with a daily high-low range of at least one price unit, return on equity above 15% in each of the previous five years, and prior-day trading value above 60 million. The rationale is to combine price movement,…
This factor study examines stock selection in Hong Kong equities and contrasts the market with mainland China. It describes Hong Kong as having a more polarized company-size distribution and lower trading activity, then tests market-cap, momentum, growth,…
This 2020 weekly note reviews Chinese equity market behavior and considers which investment styles may be relevant during earnings-report season. It combines calendar patterns, market dispersion, fund flows, valuation levels, and macroeconomic events to…
This stock screen combines a metaverse classification with high prior-day turnover, Shenzhen main-board listing, valuation caps, and a return-on-equity threshold. The stated final criteria use turnover above 8%, price-to-earnings between zero and 29.01,…