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 overview explains how factor models can identify portfolio risk drivers and how factor strategies can target their associated return premia. It describes equity factors such as value, size, momentum, volatility, quality, yield, growth, and liquidity,…
The document explains how a trading portfolio values positions, converts PnL and exposure across currencies, calculates equity, and records account snapshots. It describes price and exchange-rate selection, including mark prices, side-specific quotes, last…
This short example explains how to reconstruct positions from a trading history on hedge accounts. Rather than treating each deal as an independent trade, it groups deals according to the position they opened, modified, or closed. The grouping uses a…
This long-only strategy uses a modified Sharpe index to select stocks, with a moving average as a price filter. It enters when the index is above a threshold and the closing price is above the 254-period simple moving average. The author suggests applying it…
This configuration specifies a Qlib workflow for predicting CSI 300 stock returns with a gated recurrent unit (GRU) neural network. It uses Alpha158 features, filters to a selected feature set, applies robust normalization and missing-value filling, and…
This article outlines ways to manage cryptocurrency holdings during falling markets. It discusses buying assets after declines for a longer-term recovery thesis, favoring established coins over highly volatile tokens, short selling, diversifying across…
The document explains Qlib’s meta-controller framework for learning patterns across forecasting tasks and using them to guide future tasks. A meta-task packages data for a meta-model, while a meta-dataset manages how task information is generated and…
A VeighNa community discussion considers how to adapt a daily-bar backtest so a multi-factor stock portfolio is held for a week and rebalanced less often. The practical suggestion is to inspect each bar’s date inside the strategy’s bar handler and permit…
A user asks whether vn.py's backtesting interface, which accepts a single instrument code, limits backtests to one stock or futures contract at a time. The reply points to the Jupyter portfolio backtesting example as the route for testing a portfolio of…
This beginner-oriented article presents five preparation steps for investing in cryptocurrency: learn how different assets work, establish an investment strategy, select useful tools, choose exchanges and wallets carefully, and plan for taxes. It emphasizes…
This report explains the risk-prediction component of a multi-factor investment framework. It describes estimating a structured risk matrix from factor covariance and specific-risk components, with adjustments intended to improve consistency and accuracy.…
This report introduces quantitative funds in China and distinguishes three operating models. Active quantitative funds use models to select stocks in search of returns above a benchmark. Index-enhanced funds combine index exposure with model-based stock…
This research summary describes a corporate-governance factor for Chinese equities, built from 58 measures across board structure, ownership and shareholders, financial governance, compensation and incentives, governance conduct, and external oversight. It…
This tutorial shows how to evaluate a stock factor with Alphalens and then examine a portfolio built from its strongest and weakest ranked groups with Pyfolio. Its example defines a mean-reversion signal from the negative five-day change in opening prices,…
This account develops an equity-selection process that compares equal-weighted factor rankings with weights that adapt to each factor’s recent Rank IC information ratio. It describes screening a large factor pool for missing data, outliers, redundancy,…
This example describes a bot that builds a portfolio from a House member’s disclosed stock and call option holdings and reported trades. A research agent reads annual and transaction filings, infers current holdings, and skips expired options and reports…
This research summary reviews the US retirement system through three pillars: federal retirement benefits, employer-sponsored pension plans, and individual retirement accounts. It compares their contribution or collection arrangements, asset management, and…
This reference explains how a futures trading platform derives performance measures for individual accounts, weighted account portfolios, individual strategies, and weighted strategy portfolios. It maps daily statements and transaction details to measures…
The report studies momentum-based rotation among 15 E Fund industry, theme, and selected broad-market ETFs. It compares 20-, 60-, and 120-day return momentum measures, using information coefficient and ranked portfolio tests over a historical Chinese market…
The article explains a four-part decomposition of market beta based on whether market and individual stock returns are positive or negative together. The components distinguish joint losses, joint gains, and the two mixed-sign cases. Using realized…
This summary of a 2018 brokerage study examines whether capital-flow measures can help anticipate shifts among equity investment styles. It argues that raw fund-flow observations may add little beyond price and volume because those variables move together,…
This essay argues that trading models inevitably weaken as market conditions and participant behavior change. It recommends grounding a model in a durable market premise rather than a temporary pattern: for example, a strategy designed for narrow-range…
This brief overview proposes a two-stage automated equity approach. Machine learning would rank or filter stocks for potential, while reinforcement learning would determine when to buy or sell the selected names. The intended result is a system that connects…
The post contains a proposed monthly China A-share industry-rotation backtest. It ranks second-level industries by where current price-to-earnings ratios sit within their own rolling 60-session ranges, then selects six industries with the lowest relative…