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 document presents a Chinese equity screening rule that selects stocks with daily turnover between 3% and 12%, parent-company net profit growth between greater than 20% and up to 100%, and tradable shares capped at 5.5 billion. It describes the…
This stock-selection method filters for shares with turnover between 3% and 12%, a rising K value in the KDJ indicator, and a 2019 dividend measure above a stated threshold. The note presents the combination as a way to pair trading activity and improving…
This 2018 report revisits whether the investment clock can guide asset allocation amid trade tensions and political shocks. Its traditional mapping assigns equities to recovery, commodities to overheating, bonds to recession, and cash to stagflation. It…
This Chinese equity strategy selects stocks whose opening price is above the previous close and whose five-day closing-price average is above the ten-day average. It ranks qualifying stocks by price-to-earnings ratio in ascending order, selects up to ten,…
This Chinese stock-screening post proposes combining a relative strength index (RSI) threshold with company quality, profitability, and a market-cap limit. Its stated selection rules seek stocks with RSI below 65, positive earnings, and market capitalization…
This document describes a Chinese A-share stock screen based on turnover between 3% and 12%, at least one limit-up event in the prior 25 days, and excluding Beijing-listed shares. It frames these filters as a way to find active stocks that have recently…
The document proposes screening for stocks with daily amplitude above one percent, codes beginning with 60, and specified positive price-to-earnings and price-to-book ranges. It also describes a Shenzhen main-board filter and sorting candidates by…
This post outlines a Chinese equity screening approach that combines a daily price-change threshold, positive price-to-earnings ratio, and a positive MACD histogram. It presents these filters as ways to select stocks with recent price movement, reported…
This A-share screening proposal combines a 2019 dividend payout ratio above 25%, a daily gain above 1% for main-board stocks, and reported buying activity above 5%. The article interprets the dividend measure as a possible sign of business strength and the…
This A-share screening idea combines three signals: a reported increase in buying activity above 5%, year-over-year parent-company net profit growth above 20% and no more than 100%, and a positive 10-day return below 35%. The article then proposes adding…
This article explains how the Fama-French model extends CAPM first with size and value factors, then with profitability and investment factors. It describes double sorts by size and book-to-market, return on equity, or asset growth, and forms RMW from…
The document explains how combinatorially symmetric cross-validation (CSCV) can estimate the probability of backtest overfitting (PBO). It distinguishes training overfitting, where a model performs poorly on held-out data, from backtest overfitting, where a…
The article summarizes Burton Malkiel’s broad investing principles: use index funds, choose capable fund managers, or invest independently after analysis. For individual stock selection, it emphasizes sustained above-market earnings growth, avoiding prices…
The article explains how a long-only smart beta portfolio can combine equity factors to seek steadier returns than relying on one factor. It highlights value, low beta, profitability, investment, momentum, and size, arguing that their different return…
This report evaluates whether changes in listed companies’ employee compensation can help distinguish future stock returns. It compares growth in compensation payable, which represents amounts owed, with growth in compensation already paid, and also…
The document describes a stock screen for main-board companies with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a positive price-to-earnings ratio. It frames the turnover and size ranges as initial…
This Chinese equities screen combines three stated criteria: at least five moving averages converging, a rising 30-day average, and a circulating market capitalization above 10 billion yuan. The post interprets average convergence as possible alignment of…
This post describes a Chinese equity screen that selects stocks with turnover between 3% and 12%, stock codes beginning with 60, and a positive recent change in institutional ownership. Its stated rationale is that rising institutional holdings may indicate…
FactorVAE is described as a probabilistic dynamic factor model that applies a variational autoencoder to noisy market data to forecast cross-sectional stock returns. In training, an encoder-decoder uses future returns to identify posterior factors that…
FactorVAE is presented as a probabilistic dynamic factor model that uses a variational autoencoder to extract latent factors from noisy market observations and forecast cross-sectional stock returns. During training, an encoder and decoder use realized…
This proposed Chinese equity screen combines three filters: a five-period amplitude measure above one, a change greater than 0.05 in institutional participation between today and the prior day, and a floating market value of at least 10 billion yuan. It is…
This note describes a Chinese equity screen requiring turnover within a stated range, three consecutive declining sessions, and a 2019 dividend ratio above a specified threshold. It combines a trading-activity filter with a short-term price pattern and a…
The report develops stock selection factors from abnormal operating cash flow as proxies for real earnings management. Its premise is that firms can alter real business activity to make reported performance look stronger, potentially harming future…
This Chinese-language post proposes a stock screen combining at least five clustered moving averages, a close above the Bollinger middle band but below its upper band, and a dividend measure above a stated threshold for 2019. It describes the combination as…