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 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…
The document summarizes research on long-horizon rotation between large-cap, high-ROE sectors and smaller-cap sectors. It argues that their relative performance can shift over periods of years, and that size-based and ROE-based rotations may move together.…
This Q&A compilation collects practitioner questions about developing, combining, and deploying quantitative strategies. Topics include variation between XGBoost rolling-training backtests, selecting and evaluating factors and models, overlapping holdings…
This report surveys U.S.-listed growth-factor ETFs, describing their number, assets, growth over time, and return characteristics. It groups the funds by market-cap segment and notes that the strongest recent absolute performers were mostly large-cap…
This configuration defines a Qlib workflow that trains an LSTM on Alpha360 features to rank CSI 300 stocks. It normalizes feature data with robust z-scores, fills missing feature values, drops missing labels, and cross-sectionally ranks labels. The…
This Qlib configuration sets up a time-series forecasting and portfolio backtest workflow for the CSI 300 universe, using the Shanghai-Shenzhen 300 index as its benchmark. The dataset uses Alpha158 features, applies robust feature normalization and…
This tutorial outlines a workflow for analyzing daily cryptocurrency market data with Python and a notebook. It retrieves historical OHLCV data for selected USD pairs on Coinbase Pro, narrows the universe to liquid assets, checks and plots the data, and…
The article argues that capital management should take priority over choosing individual securities, because losses can require disproportionately large gains to recover. It presents position sizing as a way to preserve the ability to keep trading and says…
The article proposes evaluating a strategy with a second layer of rules that manages exposure, filters, equity curves, or risk. It argues that a trading signal can lose effectiveness as similar approaches become crowded, and that judging deterioration by…
This Qlib configuration defines a Chinese-equity ranking workflow using the Alpha158 feature handler and a ridge linear model. It assigns CSI 300 instruments and the related index benchmark, with historical data split into training, validation, and test…
This study treats a convertible bond as combining straight-bond value and embedded equity-option value, and examines how bond returns relate to the underlying stock. It reports positive return correlation across conversion-status groups, with average…
The document gives a brief overview of artificial intelligence, from the field’s origins to its wider adoption as data, computing hardware, and algorithms advanced. It describes AI as systems that model aspects of human reasoning and notes its use in…
The article outlines a workflow for reconstructing and simulating a Chinese public fund’s equity holdings. It scrapes disclosed stock codes and portfolio weights for a China Merchants CSI 300 enhanced index fund, then assumes quarterly rebalancing: the…
This report summary compares two ways to classify the investment style of equity funds for fund-of-funds research. Holdings-based analysis infers style from reported portfolio positions, while returns-based analysis infers it from portfolio performance.…
This empirical study adapts the Fama–French five-factor framework to China’s A-share equities. It constructs market, size, book-to-market, profitability, and investment factors from monthly stock data, then forms size-sorted portfolios crossed with…
This research summary adapts Joel Greenblatt’s value-and-quality stock-ranking idea to China’s A-share market. It uses EV/EBITDA as a valuation measure and ROIC as a business-quality measure in place of the original formula’s measures. The described screen…
This report summary describes three methods for rotating among equity industries using macroeconomic information. The first models industry excess returns from cyclical components of leading indicators spanning growth, inflation, trade, and liquidity. The…
This study examines holdings reported by institutions using the Stock Connect channels into mainland China, comparing static position and daily increase factors. It reports that Morgan Stanley Hong Kong Securities had stronger historical information…
The article outlines ways to adapt portfolio construction to crypto markets, whose skewed returns and extreme losses can make standard mean-variance assumptions unreliable. It recommends evaluating downside risk with measures such as Sortino, drawdown, VaR,…
This report summary examines how market and style conditions may affect equity market-neutral strategies. Such strategies select stocks using fundamental or price-and-volume signals, then hedge broad market exposure with index futures or short selling. Their…
This exchange explains how to handle a stock that remains in a backtest portfolio after it leaves the benchmark universe. The example concerns a strategy restricted to CSI 300 constituents: a stock bought while it belonged to the index may still be held…
This document describes an AI-assisted value strategy organized as three roles. A research agent reviews company reports and current prices to identify a small group of businesses with steady profits, durable competitive advantages, and prices judged…
The report proposes combining company-level stock selection with industry allocation for Chinese equities. Its coupling model uses each stock’s historical beta to its industry as a dynamic weight: more industry-sensitive stocks receive more influence from…
This release announcement describes OctoBot 1.0.9 features for automated crypto trading. Its Index Mode allocates funds across configured crypto pairs and allows users to set a rebalancing interval and threshold as basket values change. The announcement also…