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 post describes an equity screen combining a technical condition, a fundamental growth condition, and a market-activity condition. It selects stocks with RSI below 65, year-over-year growth in parent-company net profit above 20% and at most 100%, and a…
The report outlines portfolio attribution methods for stocks and bonds, using both holdings and return series. For equity holdings, it applies a multifactor framework to separate common-factor returns from idiosyncratic returns, then estimates portfolio…
This report reviews ESG investing through active stock selection, benchmark optimization, and factor portfolios. It summarizes research using company ESG scores and components for five MSCI equity regions over 2010–2017, with quarterly portfolio rebalancing.…
This note proposes screening stocks for daily amplitude above 1%, a 2021 date condition, and return on equity above 15% for five consecutive years. Its final version adds valuation limits of price-to-earnings below 30 and price-to-book below 5. The rationale…
This research summary compares two ETFs tracking distinct China A-share indices focused on the ChiNext market. One index selects for quality and lower volatility, seeking financially sound companies with steadier price behavior. The other emphasizes growth…
This Chinese equity research note argues that quarterly profit growth alone can misidentify growth stocks. Small comparison-period earnings, denominator effects, and nonrecurring gains can create misleading growth rates. It proposes using analyst research…
This A-share stock selection approach first screens for turnover between 3% and 12%, market capitalization below 10 billion yuan, and companies without losses. It then selects shares whose previous closing price is above the 250-day moving average. The…
This strategy selects U.S. equities by asset growth, then uses price momentum to choose long and short positions. It first screens for exchange-listed stocks, removes the smallest market capitalization names according to the source description, and ranks the…
The request specifies a stock factor backtest using a named factor table and factor. Factor values should be converted to ranks, with smaller values preferred. The intended universe is the CSI 1000, excluding Beijing Stock Exchange listings and ST-designated…
This article outlines a workflow for creating custom equity-selection rules from platform factors. It illustrates price-location features based on recent highs and lows, then combines return, volume, and market-relative conditions into a screening rule. The…
The article argues that robust quantitative trading depends less on choosing a factor or model in isolation than on a repeatable development process. It outlines a sequence: form a market-based hypothesis, analyze whether candidate factors distinguish…
This research summary studies Chinese home appliance industry conditions using revenue and net profit growth as proxies, arguing that calculations on comparable constituents reduce distortions caused by changes in the historical stock universe. It frames…
This weekly review tracks the returns and direction changes of 16 equity factors in the Chinese market during the 25th week of 2018. It reports that sales net margin had the strongest weekly performance, while valuation factors remained weak and the size…
The document outlines an A-share stock screen combining a 14-period RSI below 65, positive net profit growth between 20% and 100%, and a positive 10-day price change capped at 35%. Its SQL example adds further filters, including positive net profit, exchange…
This document is a brief summary of a research presentation on changes in quantitative investing. It outlines a model that combines a linear factor component with a nonlinear function of factor exposures, leaving a residual term. It says that residual…
This research summary introduces the “Huayin Linjian” factor as a way to identify A-shares that may be undervalued because their prices have not been strongly driven by information-related trading pressure. Its stated premise separates price movements into…
This post presents an equity screen that selects stocks with a daily high-low range above one unit and return on equity above 15% in each of the previous five years, then ranks candidates by the day’s auction amount and keeps the top five. Its proposed…
This tutorial demonstrates a workflow for evaluating WorldQuant Alpha#100 on Chinese equities. It builds the factor from price and volume signals, including the close’s position within the daily range, the relationship between closing price and ranked…
The document describes a Chinese equity screening rule that combines metaverse industry classification, a positive institutional-flow signal, and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no greater than…
This Chinese-language note proposes selecting stocks listed in the current year when turnover falls between 3% and 12% and the reported institutional-flow measure is positive. It frames turnover as a screen for trading activity and institutional movement as…
This screening method selects stocks with market capitalization below 10 billion yuan, positive earnings, and an RSI below 65, then orders candidates by money-flow strength. It describes the money-flow measure as Chaikin Money Flow and gives a 20-period…
The report compares machine learning approaches with traditional linear methods for predicting stock-level excess returns from alpha factors. Rather than predict excess return directly, it forecasts return dispersion with an AR(1) model and predicts…
This weekly note assesses the Chinese equity market using trend, liquidity, options sentiment, macroeconomic data, calendar patterns, and factor crowding. Its timing framework treats the market as bullish when the broad-market index is above its 20-day…
This stock-selection proposal combines a price-amplitude filter with a turnover and auction-volume condition, then requires return on equity (ROE) to exceed a stated threshold over five years. The central liquidity-style condition is yesterday's turnover…