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 whether active-buying measures derived from high-frequency trading data can help rank industries for rotation. It constructs buy-share, buy-intensity, net-buy-share, and net-buy-intensity factors using volume and turnover data from the…
This report excerpt discusses forecasting equity factor returns as commonly used stock-selection factors fluctuate. It proposes improving and simplifying an earlier conditional-expectation timing model by framing factor timing as a regression-based…
This research note argues that Indian equities may offer strategic allocation value because of the country’s growth prospects and relatively low correlation with other major markets. It attributes the long-term economic outlook to capital investment, labor…
The document explains how performance attribution can reveal the sources of a portfolio’s returns, even when portfolios have similar styles and overall results. It outlines three approaches: style analysis, which uses portfolio and benchmark returns to infer…
This pyfolio example explains how Bayesian analysis can express uncertainty around strategy performance estimates. Instead of treating Sharpe ratio, mean return, volatility, alpha, or beta as fixed values, it estimates posterior distributions with Markov…
This strategy ranks the mainland China A-share universe using company size and a price momentum measure. It removes suspended and specially treated shares, calculates a market-cap rank and the ratio of 20-day to 60-day average closing prices, and adds the…
The strategy ranks a multi asset universe using two momentum horizons and a valuation measure. It assigns equal portions of the combined score to 12 month and one month momentum, and a larger portion to value. Stock valuation is represented by earnings…
This README catalogs resources for researching and implementing systematic trading, including software libraries, strategies from published papers, books, videos, blogs, and courses. It groups tools by functions such as backtesting, live trading, analytics,…
This strategy ranks stocks in the MSCI World universe by the change in their ESG rating deciles over a roughly twelve-month interval. It goes long the strongest ESG improvers and short the weakest, rebalancing monthly. The implementation selects about 700…
This notebook outlines an end-to-end equity alpha research workflow for CSI 300 constituents. It loads daily constituent data, constructs an Alpha158 dataset, divides observations into training, validation, and test periods, applies missing-label removal and…
This release note describes OctoBot 1.0.9 features relevant to automated crypto trading. Its Index Trading Mode divides holdings in a reference market among selected trading pairs, with a configurable rebalance interval and threshold. The note also says…
This research note distinguishes continuous timing systems, which maintain a directional view, from event-driven signals that become meaningful only under specific conditions. Event signals are described as relatively infrequent but potentially more reliable…
The author reflects on choosing investment products and argues that a manager’s education or intelligence does not guarantee good performance. Investors should favor strategies they can understand, stay within their own knowledge limits, and value patience…
This strategy description proposes rebalancing on a weekly schedule, excluding suspended stocks, and investing equal amounts in selected shares. Its selection function queries stocks with market capitalization between 20 and 30 units in the platform’s…
This overview explains quantitative stock selection as a data-driven way to rank or choose equities using historical prices, trading volume, financial statements, macroeconomic measures, and sentiment data. It outlines a workflow: clean and standardize…
This study examines whether equity factor performance varies with institutional ownership in Chinese A-shares. It estimates each company’s institutional holdings as a share of tradable market value, combining reported fund and asset-management positions,…
This report overview describes Vanguard’s growth, product mix, and emphasis on keeping investment costs low. It presents historical figures for assets, product counts, investor reach, and average fees, and discusses the firm’s expansion into ETFs and…
This analysis estimates how difficult it is to earn excess returns by allocating among industries. It simulates quarterly selections of Chinese industry groups over 2005 Q1 through 2018 Q1. In the random-selection tests, portfolios choosing five industries…
This release note describes changes to Zipline that affect strategy research and backtesting. It adds a daily pre-market callback and more flexible scheduling, including calls tied to market time and early closes. History data can expand as requested, and…
This explanation describes a factor evaluation score derived from rolling Elastic Net regressions that include all submitted factors together. The model predicts each stock’s next-day return after cross-sectional standardization, fits on rolling windows, and…
This research note classifies Chinese listed companies according to whether institutional investors appear in periodic ownership disclosures, then compares portfolios formed from the two groups. It reports that portfolios without institutional holdings…
This article reviews an international study of whether mutual funds benefit when their investors are less exposed to the same market shocks as the stocks held by the fund. It describes two measures: whether sales and investment countries differ, and an…
This configuration specifies a Qlib workflow that trains a PyTorch deep neural network on Alpha158 features for the CSI 500 universe. The data spans 2008 through mid-2020, with training through 2014, validation during 2015–2016, and testing from 2017 onward.…
This overview introduces common stock-selection factors and gives formulas for valuation, momentum, quality, company size, and volatility. It describes price-to-earnings and price-to-book ratios, a twelve-month price comparison, return on equity, market…