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.
5,922 documents
This brief BigQuant platform discussion asks how to implement complex methods for combining investment factors and whether suitable operators or code are available. The reply first asks what kind of combination the user has in mind, then says that modules…
This weekly research recap combines several China equity signals. A market-timing model evaluates broad indices through moving-average ordering and convergence, and describes the prevailing trend as weak with short-term signals leaning bearish. An industry…
This note compares DeepAlpha deep neural network and convolutional neural network stock selection experiments in a small-cap universe. The author describes a daily strategy that buys five stocks and sells them the next day, using 57 factors drawn from 19…
The document describes a Chinese equity screening idea that combines a minimum daily price range, exclusion of stocks that hit the upper price limit on the previous day, and a closing price between the Bollinger middle and upper bands. It presents Bollinger…
This account traces Bridgewater’s All Weather approach from Ray Dalio’s early effort to understand how markets respond to economic surprises. Its central framework separates asset returns into cash, broad market exposure (beta), and manager skill (alpha),…
This study constructs fixed-income fund-of-funds portfolios from products managed by one fund company, considering a setting where the available fund universe is limited. It separates funds into low-, medium-, and high-risk pools based on fund categories,…
This post introduces a proposed study of how the strength of capital flows may relate to returns across equity styles, focusing on the size factor and the contrast between small- and large-cap stocks. Its motivating hypothesis is that investors may retain…
The document introduces the Capital Asset Pricing Model as an equilibrium framework linking systematic risk to expected return. It explains the model’s roots in portfolio theory and outlines assumptions including competitive markets, a single investment…
This document introduces two ways to estimate the duration of public bond funds. The stated inputs are portfolio holdings disclosed in quarterly fund reports and the fund’s regularly published net asset value. The purpose is to give investors a way to assess…
This QuantConnect algorithm ranks six U.S. equity style ETFs covering small-, mid-, and large-cap value and growth. It measures each ETF’s momentum over roughly twelve months of daily data, then takes a long position in the strongest style and a short…
This configuration defines a Qlib workflow that trains a LightGBM model on Alpha158 features for the CSI 500 universe. It assigns data from 2008 through mid-2020 to training, validation, and test segments, with the fit period ending in 2014. The model uses…
The document discusses how industry-neutral portfolio constraints affect benchmark-enhancement strategies. Such constraints can reduce both annualized excess return and active risk, while the change in risk-adjusted performance depends on how much each…
This FMZ guide describes two ways to show or manage running strategies. Subaccounts can be created with access limited to selected live strategies. For authorized strategies, they can change parameters, stop a run, or restart it, but cannot change its…
This report compares two Chinese technology-focused equity indices: the STAR 50 and the ChiNext 50. It reviews their construction rules, sector and style exposures, constituent size, concentration, historical risk and return characteristics, valuation, and…
This July 2020 market note assesses Chinese equities after a sharp period of volatility. It combines a medium-term view based on expected returns and improving corporate earnings with a short-term signal from the decline in 50ETF options implied volatility.…
This Chinese Q&A collection covers practical topics in quantitative stock research and strategy deployment. It explains cross-sectional versus time-series ranking, preprocessing such as missing-value and outlier handling, neutralization and normalization,…
This article summarizes commentary on Chinese quantitative private funds following drawdowns that began in the fourth quarter of 2021. It compares index-enhancement, market-neutral, and hybrid quantitative approaches. Index-enhancement returns were described…
This rule-based, long-only system aims to participate in broad equity-market advances while moving out of stocks during major declines. Its described signal compares a shorter moving average with a 200-day simple moving average: buy when the shorter average…
This introduction explains correlation as a statistical measure of how variables move together, focusing on Pearson correlation for linear relationships. It describes the coefficient’s range from negative to positive one, with the sign indicating direction…
This overview explains how a multi-factor risk model represents an asset’s return through factor exposures, estimated factor returns, and asset-specific residual return. It describes the model’s use in portfolio risk calculation and its computational…
This post describes a simple single-factor approach for selecting Chinese equities. It first filters for companies whose latest year-over-year revenue growth is positive, then ranks eligible stocks by prior-year annual revenue divided by current market…
The document implements a monthly long-only stock-selection approach based on historical volatility. It describes ranking large-cap stocks by the volatility of weekly returns over roughly three years, then holding an equally weighted group from the…
The document explains a nine-cell framework for classifying bond funds along two dimensions: interest-rate sensitivity and credit quality. Duration determines whether a fund has limited, moderate, or extensive rate sensitivity, with thresholds varying by…
This report develops a fundamental stock-selection method for Chinese residential property companies. It argues that presold housing can make reported profits lag actual sales, reducing the usefulness of conventional income-statement measures. It therefore…