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 proposed screen combines price movement, company size, profitability, exchange segment, valuation, and share price. It selects stocks with amplitude above 1, market capitalization below 10 billion yuan, positive net profit, and Shenzhen Main Board…
This algorithm implements a monthly cross-sectional momentum strategy in US equities. It ranks eligible stocks by their trailing 12-month return, with the most recent month skipped to reduce microstructure and liquidity biases. The highest-ranked group is…
This post outlines a Chinese equity screen that combines recent capital accumulation with company fundamentals. Its initial filters seek stocks with a market capitalization below the stated ceiling, no history of losses, and parent-company net profit growth…
This research summary reports tests of 23 alpha factors across seven categories in the Hang Seng Composite and Stock Connect universes. It says valuation, profitability, and growth factors were significant, with information coefficients around 3%. A…
This training overview outlines a proposed workflow for using multimodal large language models in quantitative investing. It combines time-series databases, knowledge graphs, and reinforcement learning in a pipeline that connects data, signals, and portfolio…
The report describes a framework that combines strategic asset allocation with tactical timing. Strategic weights favor assets that are relatively strong under different economic conditions, while tactical adjustments change overweights and underweights. Its…
This note describes a Chinese equity screen combining a minimum daily high–low range, consistently strong return on equity, and a ranking based on net large-order activity. The intended rationale is to find companies with a track record of profitability and…
This report analyzes the performance and portfolio of a Chinese mixed equity fund managed by Lin Yingrui. It describes the manager’s approach as selecting leading companies in sectors linked to China’s economic transition while adjusting broad asset…
This post describes a Chinese equity screening rule combining daily price range, a historical dividend measure, and a fixed share price. Its stated logic selects stocks whose high-to-low amplitude exceeds a threshold, whose 2019 dividend ratio is above a…
This stock screen combines a turnover range of 3% to 12%, a K value below 20, and year-over-year net profit growth above 20% and no more than 100%. The article frames the turnover condition as a liquidity filter, the K threshold as a technical selection…
This post describes a Chinese equity screening idea that combines three criteria: a dividend payout ratio above 25% in 2019, strong capital activity ranked from high to low, and evidence of major-investor control on the prior day. It suggests turnover and…
This Chinese equity screen combines three conditions: daily price amplitude above 1%, a stated 2019 dividend ratio above 25%, and circulating market capitalization above 10 billion yuan. The post explains amplitude as a measure of price fluctuation, dividend…
This literature review explains time-series and cross-sectional momentum strategies applied to equity anomaly factors. The time-series approach buys factors with positive trailing returns and shorts those with negative returns; the cross-sectional approach…
This literature review explains time-series and cross-sectional momentum strategies applied to equity anomaly factors. The time-series approach buys factors with positive trailing returns and shorts those with negative returns; the cross-sectional approach…
This study examines macro momentum across stock markets and its use for timing Chinese equities. It differs from price-based trend following by using macroeconomic indicators to generate signals. For a universe of 24 country equity indexes, it considers…
This overview introduces several approaches to quantitative equity selection: multi-factor scoring, style rotation, industry rotation, capital-flow screens, momentum reversal, analyst-consensus signals, and trend following. It outlines how each approach…
This proposed Chinese-stock screen combines a technical condition with historical corporate data: it selects shares with RSI at or below 65, a listing history longer than one year, and a 2019 dividend ratio above 25%. The post includes a sample indicator…
The proposed stock screen combines a technical condition with fundamental growth and company-size filters. It selects stocks with an RSI below 65, year-over-year net profit growth above 20% and at most 100%, and size of at least 200 million. The article…
This survey outlines a broad set of systematic approaches across equities, currencies, futures, options, and fixed income. It describes cross-sectional signals such as price and earnings momentum, book-to-price value, volatility, and combinations of factors;…
This Chinese-language research summary explains how short-lived signals derived from stock price and volume data can complement slower fundamental alpha in a monthly index-enhancement portfolio. It outlines a structured risk model based on Barra USE4, with…
This stock selection rule screens Chinese equities in the metaverse industry, limiting candidates to those with a circulating share count no greater than 5.5 billion and a high rank for large-order net flow. The accompanying Python example retrieves stock…
This stock screen looks for Shenzhen Main Board companies with annual return on equity above 15% in each of five years, a price-to-earnings ratio from zero to 29.01, and a price-to-book ratio from zero to 3.11. It also requires the daily high-low range to be…
This Chinese equity screen combines current turnover, year-over-year net profit growth attributable to parent-company shareholders, and the previous day’s turnover. It selects stocks with turnover from 3% through 12%, profit growth above 20% and no more than…
This stock screen selects companies with strong money-flow readings, share prices below 12 yuan, market capitalization under 10 billion yuan, and no reported losses. The proposed ranking orders candidates from strongest to weakest by money-flow intensity.…