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 BigQuant example builds a daily Chinese stock portfolio from basic eligibility filters and financial factors. It excludes suspended or specially treated stocks, then requires positive valuation measures, capped price-to-book, and year-over-year growth…
This post proposes screening equities using three conditions: a minimum price range, a signal described as main-force control on the previous day, and a revenue ratio comparing 2021 with 2018 that exceeds a stated threshold. The method is framed as a…
This screen combines RSI below 65 with a circulating market value between 5 billion and 10 billion yuan and a daily maximum decline between 4% and 5%. Its final stated selection logic also adds a price-to-earnings ratio no higher than 40. The included code…
This stock screen combines a 14-period RSI below 65 with year-over-year growth in net profit attributable to parent-company shareholders above 20% and no higher than 100%, plus prior-day turnover above 8%. The accompanying example also requires positive net…
The note summarizes a study asking whether long-lived mutual funds’ ability to outperform the market reflects manager skill or luck. The researchers compare performance across different market states and use bootstrap sampling to assess whether stronger…
The document records a learner’s attempt to express past systematic futures trading in quantitative terms. Their prior methods were modified versions of Turtle trading and Aberration. They propose exploring a stock strategy that combines low…
This note presents a Chinese equity screen combining trading activity, earnings growth, and price momentum. It selects stocks with turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no…
This research summary examines the volatility anomaly in Chinese equities and asks why high-volatility stocks often underperform in broad comparisons. It reports that the long-short effect is largely driven by the high-volatility short side; the…
This proposed screen selects main-board Chinese stocks with turnover between 3% and 12%, a circulating market value between 5 billion and 10 billion yuan, and a newer reported institutional ownership figure above an older one. The article treats that…
This research note examines whether trading behavior can act as a proxy for speculative intensity in China’s A-share market. It describes four signals: idiosyncratic volatility, idiosyncrasy, price delay in reflecting market information, and…
This Chinese equity research describes a monthly stock-selection factor built from minute-level returns and changes in trading volume. For each stock and day, the authors regress returns on contemporaneous and lagged volume changes. They interpret the volume…
The document summarizes a study that proposes a public-information reliance (RPI) measure as a way to assess active equity fund managers. It estimates how much changes in a fund’s stock holdings can be explained by changes in sell-side analyst…
This research note develops an A-share strategy around post-earnings-announcement drift. It groups surprise signals by whether they compare analyst forecasts, reported results, or revised company guidance, then studies events such as unanimous analyst…
This tutorial shows how to calculate and inspect one factor feature in BigQuant without running a full strategy workflow. Its example factor counts, over a rolling window, the days when a 10-day average-turnover measure exceeds a threshold. The steps are to…
This article argues that asset prices and expected returns can be understood by modeling who demands assets, rather than focusing only on how company characteristics predict returns. With supply often relatively stable, changes in investor demand can move…
This article argues that asset prices and expected returns can be understood by modeling who demands assets, rather than focusing only on how company characteristics predict returns. With supply often relatively stable, changes in investor demand can move…
The document outlines a stock screen that selects shares with daily high-low amplitude above one percent, excludes Beijing-listed A-shares, and requires return on equity above fifteen percent in each of the prior five years. It frames the screen as combining…
The article summarizes research on a mismatch between active equity funds’ management capacity and the assets they attract. It argues that investors often mistake returns associated with common factor exposures for evidence of manager skill. Funds with…
The document presents several model-generated views on investing, quantitative trading, and platforms such as BigQuant. Its investing discussion emphasizes asset value, the time value of money, risk and return, opportunity cost, diversification, and…
This note describes a Chinese equity screening rule that requires turnover between 3% and 12%, circulating market value between 5 billion and 10 billion, and total company value above 200 million. It includes a charting formula and a Python example, both of…
This post describes a low-volatility dividend strategy built around a static dividend-yield measure. The author says the strategy was developed after finding a problem in a rolling 12-month dividend-yield factor: when two distributions occurred less than a…
This document summarizes an analysis of China Europe Fund manager Zhou Yingbo and the fund China Europe Times Pioneer A. It reports the fund’s historical returns and drawdown in relation to its benchmark and peer group, and cites a Treynor-Mazuy model…
This Chinese-language post describes a stock selection rule combining price movement, trading activity, and a historical dividend condition. It selects shares with amplitude above 1, where yesterday’s turnover rate multiplied by today’s auction volume…
This brief introduces two research papers on asset allocation and mutual fund performance prediction. The first examines statistical problems in forecasting long-term returns, including estimation errors and misinterpretation of model parameters. It reports…