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
The document describes a monthly allocation rule based on a yield gap: the difference between an earnings yield measure for the S&P 500 and the yield on a ten-year Treasury bond. It fits a linear regression using historical yield gaps and stock market…
The document summarizes a study of deep value episodes, defined as periods when the valuation gap between cheap and expensive securities is unusually wide relative to its history. The study examines individual stocks across global markets, equity index…
This article surveys three uses of unsupervised learning in investment research: manifold learning, clustering, and matrix factorization. For visualization, it applies t-SNE to fund returns, projecting high-dimensional observations into two dimensions so…
This research summary tests whether hedge funds can time sector-specific returns and whether that ability predicts subsequent performance, flows, and survival. The study first removes market exposure from industry returns, then estimates fund-level timing…
This notebook demonstrates an Alphalens workflow for evaluating a daily stock factor based on the gap between the prior close and current open. It defines an example universe of large-cap equities with sector labels, calculates the gap, and aligns the factor…
This Chinese equity screen selects stocks with turnover between three and twelve percent, at least one limit-up event in the preceding twenty-five days, and a 2019 dividend ratio above twenty-five percent. The article includes indicator logic and sample…
This article summarizes a study of machine-learning methods for fundamental equity valuation across 17 European countries. It estimates monthly fair values from 21 accounting variables, then defines a mispricing signal as the gap between model-implied value…
This research summary compares linear valuation models with machine-learning methods for estimating the monthly fundamental value of stocks in 17 European countries. It constructs a mispricing signal from the difference between estimated fair value and…
The document describes a Chinese equity screen combining daily price movement and trading activity with a profitability filter. It selects stocks with an amplitude above 1, current volume above 10,000 lots, a higher opening price, and return on equity above…
The document presents a Chinese equities screening idea that combines turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and up to 100%, and a price-range condition scaled by a large-order…
This research note explains how genetic programming can evolve mathematical formulas from market data to discover equity selection factors. Starting with randomly generated expressions, the algorithm evaluates their fitness against a target and applies…
This post proposes screening Shenzhen main-board stocks for daily price amplitude above one percent, a newly formed KDJ golden cross, and specified price-to-earnings and price-to-book ranges. It describes the crossover as a possible sign of improving…
This Chinese A-share screening proposal combines a technical condition with earnings growth and a concentration filter. It selects stocks with a 14-period RSI below 65, year-over-year net-profit growth above 20% and no more than 100%, and a stated…
This stock selection rule screens for companies with market value below 10 billion yuan, positive profit history, turnover between 3% and 12%, and a 14-period RSI below 65. It combines a size filter and profitability condition with activity and…
This Chinese-language post outlines an A-share stock screen combining daily price range, relative trading volume, and recent return. It selects stocks with a daily high–low range of at least one percent, volume between 1.5 and 6 times its five-day average,…
The document proposes screening Chinese stocks for amplitude above 1%, an aligned set of three moving averages, and a 2021-to-2018 revenue ratio above 1.1. It presents the moving-average condition as a technical signal and the revenue comparison as a basic…
The post describes a simple equity-universe filter: identify stocks associated with the metaverse theme, require a circulating market value above 10 billion yuan, and retain codes beginning with 60. It presents these conditions as a way to narrow the…
The post asks how to add an industry-strength ranking to a short-term stock momentum selection process. The proposed workflow first selects five stocks using a momentum strategy, then ranks them by the speed of gains in their primary or secondary industry,…
This Chinese-language research summary explains how to estimate consensus net profit from analyst forecasts and turn that estimate into equity-selection signals. It proposes weighting forecasts by report recency and by each analyst’s prior adjusted forecast…
This Chinese equity screen looks for companies with market capitalization below 10 billion yuan and nonnegative net profit attributable to parent-company shareholders for 2021. The article presents the size limit as a way to focus on smaller firms that may…
This literature digest summarizes two research topics. The first examines whether approval of new IPOs affects existing Chinese stocks. Treating the IPO approval system as a natural experiment, the summarized study reports negative price effects on existing…
This weekly research summary compares fundamental and price-related equity factors across Chinese index constituent universes. It reports that valuation, profitability, and financial-quality factors were relatively strong during the week, while growth was…
This stock-screening proposal selects equities whose 5-, 10-, 20-, 30-, and 60-day moving averages converge, with turnover above 2% and below 9%, and a dividend payout ratio above 25% for 2019. The author interprets clustered short- and medium-term averages…
This Chinese research summary examines whether intraday data can support sector rotation signals, focusing on realized skewness and the share of volatility attributable to downside moves. It describes constructing industry level factors inspired by high…