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 literature summary examines whether investor holding periods are related to three stock return anomalies: momentum, reversal, and net share issuance. It describes several proxies for short-term trading, including Stock Duration, the fraction of shares…
This Chinese equity screening recipe combines daily amplitude above 1%, market capitalization no greater than 10 billion yuan, positive earnings, and return on equity above 15% for five consecutive years. The article frames the screen as a way to find…
This QuantConnect example implements a monthly momentum strategy across eight currency futures. It measures each contract’s return over roughly twelve months, ranks the available contracts, then targets the three strongest positions long and the three…
This document proposes screening Chinese stocks for an amplitude threshold, current trading volume above a stated level, a higher opening, and a dividend payout ratio above a stated historical cutoff. It presents market activity and liquidity, a positive…
This proposed stock screen begins with price and size conditions: amplitude above one, at least one daily gain of 10% or more in the prior 25 trading days, and a circulating market value above 10 billion yuan. Its refined version adds positive operating cash…
This Chinese-language post proposes a stock screen combining price amplitude, a rounded price pattern, and sustained return on equity above a stated threshold. Its example formula adds further technical conditions: recent price position within a range, a…
The article describes a framework for identifying crowded sectors and estimating whether crowding may be building or unwinding. It measures asset clustering from principal components of sector return covariances, using the concentration of explained variance…
This research note examines how stock trading volume changes across the trading day and how the timing of that volume relates to subsequent returns. It describes a W-shaped intraday pattern in China, with activity rising around the morning and afternoon…
The proposed A-share screen selects stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and requires a dividend-related measure above 25% for 2019. Its rationale is to combine a liquidity range with a historical payout criterion, on the…
This research examines how crude oil returns relate to the Chinese equity market and industry returns, then applies estimated oil sensitivity to stock timing, industry rotation, and portfolio risk control. It describes a changing economic relationship:…
This study examines whether company news sentiment can help select Chinese stocks. It describes a news score where higher values generally indicate more positive coverage, then measures changes in the average score over a rolling lookback period. The…
This broad overview describes quantitative stock selection through fundamental and market behavior signals. It explains a multi-factor workflow: choose candidate factors, test them by sorting stocks into portfolios, remove redundant signals, combine…
This short forum post recommends adding the Amihud factor to a high-frequency factor table associated with a multi-factor alpha research series. The author says the factor was omitted from the table and characterizes it as a strong long-side factor. The…
The report proposes measuring a company’s short-term debt capacity by comparing cash and cash equivalents plus net operating cash flow with interest-bearing debt due within a year. It then builds a related stability factor and discusses two uses: ranking…
The document describes how to combine custom buy and sell conditions with a stock-ranking strategy. Its example selects stocks when the current open is above the prior close and the five-day closing-price average is above the ten-day average. It then ranks…
This study reproduces high-frequency stock-selection factors from brokerage research using one-minute OHLCVA data and a sample of roughly 350 constituents of the CSI 300 over a historical period ending in 2022. It focuses on five daily factors formed from…
The author investigates whether the highest-ranked stocks from a convolutional neural network strategy deliver the best results. The experiments apply a model trained on a small number of stocks to broader selections, then backtest separate groups of ranked…
This Chinese research note presents a June 2022 outlook for equity style factors and a framework for combining short-term signals with longer-term cycle analysis. It favors valuation, volatility, and turnover factors overall. Its internal indicators are…
This review surveys momentum investing across equities, funds, commodities, bonds, currencies, and cryptocurrencies. It explains cross-sectional momentum, which buys past winners and sells losers, and time-series momentum, which takes positions based on each…
The document describes a Chinese-market stock selection screen for mainboard shares. It first filters for a turnover rate between 3% and 12% and a circulating market value between 5 billion and 10 billion yuan, then ranks qualifying stocks by a heat or…
This post outlines an equity screen that combines a 14-period RSI below 65 with a daily gain above 1%, a main-board listing, and a 2021-to-2018 revenue ratio above 1.1. It presents the approach as a blend of recent price strength and a multi-year fundamental…
The document summarizes an analysis of the China Strategic Emerging Industries Index and its associated ETF. The index selects 100 listed companies from areas such as environmental technology, information technology, biotechnology, advanced manufacturing,…
This stock screen combines a daily price-range condition with a market-segment filter and annual earnings growth. It selects shares whose high-to-low range exceeds one percent of the prior close, whose codes begin with 60, and whose parent-company net profit…
This proposed equity screen looks for companies associated with the metaverse, return on equity above fifteen percent in each of the past five years, and a high-low range exceeding the article’s volatility condition. The article frames the filters as a blend…