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 Chinese stock selection rule combining three filters: RSI below 65, positive large-order net inflow in the afternoon, and a dividend ratio above 25% for 2019. It also gives example indicator and Python logic for applying these…
This document describes a Chinese equity strategy research approach that uses supervised neural networks to generate many weak alpha factors from a set of input factors. It proposes transforming those outputs into low-correlation components, then weighting…
This research summary examines whether trading volume, represented by turnover, can distinguish stronger from weaker stock momentum signals. It separates intraday price changes from overnight returns and reports different price-volume patterns for each.…
This stock screen combines three conditions: membership in the metaverse theme, a positive institutional-flow measure, and exclusion from the STAR Market. The accompanying explanation presents the theme as a way to target a popular sector and the flow…
The response clarifies what a factor analysis does in the context of evaluating five candidate factors. It says the analysis is run on each factor individually, rather than testing whether a portfolio or combination of all five factors is effective. This is…
The post outlines a Chinese equity screening strategy that selects stocks with RSI below 65, circulating market capitalization between 5 billion and 10 billion yuan, a listing history longer than one year, and a price-to-earnings ratio no greater than 40.…
This forum post asks how a factor dashboard calculates win rates for low and high factor quantiles and for a long–short portfolio. It contrasts two possible interpretations: counting individual stocks with positive returns, or counting rebalancing periods in…
This screen selects equities using three conditions: daily price range above a stated threshold, a 2019 dividend ratio above 25%, and a nonempty name for an outstanding convertible bond. The article presents the combination as a way to consider price…
This article outlines a Chinese A-share screen that selects stocks associated with the metaverse concept, requires an upward-moving 30-day average, and excludes Beijing-listed shares. Its final suggested version also adds valuation filters: price-to-earnings…
This Python utility collection supports quantitative factor analysis. It assigns factor observations to quantile or value-based bins, with options to bucket within groups or separate positive and negative signals. It also infers a trading calendar from…
The article argues that a factor can be useful even when its strongest information lies in identifying poor-performing stocks. It describes ranking stocks into daily groups by factor value and interpreting unusually strong performance in the worst-ranked…
This study summary treats a company’s choice to capitalize or expense research and development costs as a signal about the expected future benefits of its projects. Because accounting criteria leave room for discretion, capitalization can also be used to…
This example outlines a China A-share stock selection and portfolio backtest workflow. It screens for eligible, non-suspended stocks, calculates 30-day and 90-day returns, and ranks those returns cross-sectionally. The illustrated filter favors stocks in the…
The study groups fifty Wind order-flow measures into eight categories, including inflows, outflows, net active buying, and large-order flows. It evaluates these signals as stock-selection factors using portfolio sorts, cross-sectional regressions, and…
This speech transcript outlines a research framework spanning short, intermediate, and long horizons. It associates short-term work with factor models and machine-learning stock selection, intermediate work with industry and style rotation, and long-horizon…
The document explains net income compound annual growth rate (CAGR) as an annualized measure of change between an initial and a later profit value. It distinguishes CAGR, which represents compounding across multiple periods, from a simple endpoint growth…
This stock screen combines a daily amplitude threshold, an opening price near the 10-day moving average, and revenue growth between 2018 and 2021. The post explains the intended rationale: look for volatile stocks that may be consolidating while showing…
This stock selection method combines a technical filter with an earnings growth screen. It selects main-board Chinese equities with a 14-period RSI below 65, a daily price rise above 1%, and year-over-year growth in net profit attributable to parent-company…
This installment of a quantitative investing research review introduces two overseas studies relevant to stock selection. The first examines how interest rates affect stock pricing and is described as offering a new analytical framework and empirical testing…
This Chinese-language post presents a screen for mainland Chinese equities in the metaverse sector. Its final selection rules combine a high prior-day turnover measure, a shareholder-concentration threshold, positive year-over-year net-profit growth above a…
This research note presents investor mood as a possible explanation for seasonal patterns in both market returns and the relative performance of stocks. It hypothesizes that assets that perform well in historically upbeat periods will tend to do so again in…
The document describes a China A-share index enhancement approach that adds industry rotation to a CSI 300 stock-selection portfolio. Its motivation is that the benchmark has uneven industry weights, making active industry exposure a meaningful part of…
This research summary extends a framework for selecting functional equity funds for fund-of-funds portfolios. It distinguishes sectors where active stock selection may add value from those better served by sector ETFs. For consumer and growth exposures, it…
This post presents a Chinese equity screen for main-board stocks. It selects shares with 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 daily price gain above 1%.…