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 report summary examines gold supply and demand, macroeconomic influences, and ways to combine fundamental signals with short-term trend trading. It argues that supply changes relatively little, while shifts in investment demand help explain price…
This screen combines a 14-period RSI below 65 with positive earnings filters for Chinese A-shares. It requires year-over-year growth in net profit attributable to parent-company shareholders to be at least 20% and no more than 100%, alongside positive 2021…
This algorithmic implementation describes an annual asset-growth factor strategy for U.S. equities. At the end of June, it calculates each eligible company’s change in total assets from the prior observation, sorts stocks into ten groups, buys the…
This summary of a brokerage research report discusses the research workflow for multi-factor equity selection. It highlights source-data issues such as delayed or unreliable financial disclosures, corporate restructurings that disrupt historical…
The document surveys ways to revise investment strategies, including changing asset allocations, rebalancing, diversifying across assets, adding quantitative signals, and strengthening risk controls. It mentions tools such as value-at-risk, risk budgeting,…
The document explains quantile regression as an alternative to ordinary least squares for modeling stock returns. Because it estimates relationships at different points in the return distribution, it can reveal effects that an average-based model may hide,…
This A-share screening idea combines a 14-period RSI below 65 with a buy-side to sell-side volume ratio above 1.3 and a profitability filter based on return on equity. The discussion frames RSI as a way to avoid the most overbought conditions, the volume…
The document describes a U.S. equity size-factor strategy that ranks stocks by market capitalization and takes opposite positions in the smallest and largest groups. Its stated research framing uses deciles, while the QuantConnect implementation limits the…
The document outlines an equity factor research workflow: define a hypothesis from investment or behavioral theory, gather and clean data, calculate factor values, evaluate each factor, combine factors, and backtest and refine the result. It highlights…
This study examines whether stock-selection factors earn premiums from choosing stocks within industries, allocating across industries, or both. It tests 21 definitions spanning value, quality, momentum, low volatility, and size, using global…
This research outline proposes constructing an A-share stock portfolio that seeks exposure to alpha while limiting unstable style exposures. Its motivation is concern that alpha-hedging returns may track market style rotations and that strategies experienced…
The document describes a Chinese equity screen combining membership in the metaverse concept with an upward-moving 30-day average and a circulating share-capital ceiling of 5.5 billion shares. It also presents optional filters for positive price-to-earnings…
This report summary describes a study of capital-structure and solvency factors. It says nine capital-structure measures were assessed using grouped portfolio returns, long-short rankings, information coefficients, and Fama–MacBeth analysis. Four ratios were…
This document introduces a study of stock-selection factors based on herding behavior among individual Chinese equities. Its brief abstract places the work in the context of widely used domestic multi-factor strategies and says that such strategies had…
This post describes an optimized version of a Chinese small-cap equity strategy with a two-day holding period. It says the update adds screens for recent share-reduction announcements, year-over-year net profit growth, negative news, upcoming share unlocks,…
The document proposes an equity screen requiring a daily price range above a threshold, a listing history of more than three years, and a main business associated with beverage or alcohol imports and exports. Its rationale is to combine price activity with…
The document describes an equity screen that combines a daily price range threshold, a recent reversal pattern, and a lower current low than the previous day. It then proposes adding a valuation filter: require the stock’s price-to-earnings ratio to be no…
This study examines how factor exposure limits affect optimized portfolios built around the CSI 300 and CSI 500 indices. It reports that raising the limits can increase excess returns, drawdowns, and tracking error, so the change in return relative to the…
This note describes two stock selection approaches, XGBoost and StockRank, using the same five inputs: ranked dividend yield, market capitalization, closing price, a 20-period price ratio, and average turnover. It also gives example hyperparameter…
This research summary studies mainland Chinese stocks held through the Hong Kong–mainland Connect programs. It compares the holdings’ industry and Barra-style factor exposures with the CSI 300 and CSI 500, then tests the proportion of a stock held by…
This document proposes screening Chinese metaverse-related stocks by limiting the circulating share count to no more than 5.5 billion shares and requiring return on equity above 15% for five consecutive years. The rationale is to focus on companies with…
This weekly review compares equity style factors across broad Chinese stock pools and major index constituents. It reports that size and beta performed relatively well during the week, while profitability and financial quality remained strong. Results for…
The document describes a Chinese equity screen that combines recent price behavior with company profitability. It selects stocks with an amplitude threshold, positive but capped 10-day returns, and return on equity above 15% for five consecutive years. The…
This report studies factor performance within the SSE 50 rather than across the full market, arguing that analysis by investment universe can reveal patterns hidden by broad aggregate tests and can inform index enhancement or Smart Beta portfolios. It tests…