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 document is available here only as a Chinese-language title and outline, with the body represented by a link to a PDF. The outline describes a quantitative approach to asset allocation that separates strategic allocation from tactical allocation. It…
This document outlines an asset-allocation approach that separates asset selection from portfolio weighting and market timing. It explains a hidden Markov model as a way to infer unobserved market regimes from observable data, represent complex observations…
This article explains how to configure an older BigQuant workflow to analyze alpha expressions in a manner modeled on WorldQuant’s WebSim. Users specify a factor expression and set the stock universe, data delay, linear decay, market or industry…
This Qlib configuration defines a supervised stock-ranking experiment using the CSI 300 universe and the Sandwich neural model. Its data handler applies robust feature normalization with outlier clipping, fills missing feature values, drops missing labels,…
This research summary argues that standard single-factor information coefficient tests may not reflect index-enhancement practice. A factor’s performance in a broad shared universe may not transfer to a benchmark’s eligible stocks, and simple tests may omit…
This notebook builds a multi-year forecast of Malaysian crop production and prices. It uses a quadratic optimization problem to allocate production across crops, subject to a total land constraint and bounds linked to prior-year planted area and crop…
The article proposes building diversified digital asset portfolios with Bitcoin and Ethereum as core holdings and smaller satellite allocations to other crypto sectors. It groups potential investments into layer-one and layer-two networks, decentralized…
This report proposes treating effective factors and style factors differently when allocating across a multi-factor equity strategy. Effective factors rotate according to their relative strength, which the report seeks to explain using macroeconomic…
This China A-share strategy uses the stocks underlying all listed convertible bonds as its universe, on the premise that eligibility to issue a convertible bond helps screen for established companies. It ranks candidates equally on three cross-sectional…
The document explains Lumibot’s local memory system for AI trading agents. It uses SQLite to keep an append-only event history, searchable current views of memories and theses, and records of what the agent retrieved. Parquet exports support later review and…
The strategy describes a daily process for building an equity portfolio from publicly reported congressional transactions. A research agent reads House periodic transaction reports and includes only filings whose report date is on or before the trading…
This document describes a Generic Non-Parametric Representation distance for comparing two financial series. It combines a distribution-distance component with a dependence component, with a parameter controlling their relative contribution. The dependence…
This review examines target-risk funds, which aim to maintain a relatively stable portfolio risk level through fixed style categories such as aggressive, moderate, and conservative. It describes their role in US retirement accounts, their fund-of-funds fee…
The report introduces unsupervised learning, focusing on dimensionality reduction and clustering for financial analysis. It describes factor analysis and principal component analysis as ways to compress many stock or bond characteristics into a smaller set…
This report outlines a strategic and tactical framework for multi-asset allocation. Strategic allocation favors assets with relative strength over a medium-term horizon, while tactical timing adjusts asset weights according to changing conditions. The…
This document explains a stochastic-control approach to trading two cointegrated assets whose log-price spread is modeled as a stationary process. A mean-reverting spread represents relative mispricing, while a market index and a risk-free asset capture…
A short forum exchange addresses an error that occurs when a portfolio backtest combines instruments, even though testing each instrument individually works. The reply attributes the problem to a data update that lacks a bar for the JD9999 symbol and…
This overview explains how OctoBot’s tentacles package supplies concrete plugins for market evaluation, trade decisions, exchange connections, services, and automation. Evaluators turn technical, real-time, social, or combined inputs into normalized signals;…
This risk stage calculates portfolio risk for several position representations. It can pass optimized portfolio weights directly to the portfolio stage, or estimate risk from original positions after buffering and rounding. For the latter path, it gathers…
This article presents a framework for researching energy equities across oil and gas producers, integrated companies, pipelines, renewable developers, and utilities. It describes a selection approach based on exposure to core energy markets, positioning in…
This configuration sets up a Qlib experiment that uses a double-ensemble model built from gradient-boosted trees to rank CSI 300 stocks. The dataset uses Alpha158 features and divides the history into training, validation, and test segments. Model settings…
The guide explains how a report provider turns cached orders, fills, positions, snapshots, and account states into pandas tables for backtest review and live monitoring. It outlines reports for all orders, filled orders, individual fill events, positions,…
This document presents an annual U.S. equity strategy that ranks firms by research and development spending relative to market capitalization. At the end of April, it forms a long portfolio from the highest-ranked group and a short portfolio from the…
This summary of a Chinese securities research report examines how to time and select consumer-sector equities, focusing on home appliances and food and beverage. It argues that return on equity (ROE) relates to long-run returns and valuation levels, while…