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 summarizes a macro-factor framework for strategic asset allocation, illustrated with portfolios for endowments, life insurers, and public pension plans. It lays out four stages: derive macro factors from principal components of monthly returns…
This post describes a Chinese equity screen that combines prior-day price amplitude above 1%, a free float no larger than 5.5 billion shares, and evidence of beverage or alcohol imports or exports. It explains the intended rationale: seek stocks with notable…
This A-share screening example combines three conditions: a positive MACD reading, membership in the beverage and alcohol industry, and a dividend ratio above 25% for 2019. The note also shows a portfolio routine that selects from a large-cap index universe,…
This account describes an informal attempt to test long-only factors for China A-shares using a visual strategy tool. The author selected factors discussed in a paper on anomalies in the Chinese A-share market, then adjusted the learning and simulation…
This MSCI FactorLab overview describes sentiment signals that aim to capture views about companies. The measures include analyst earnings surprises and revisions, consumer confidence, news tone, and short-selling activity. Signals can come from market…
The note describes a stock-selection factor derived from buy-side order book data. It simulates executing a specified trade amount against displayed orders, adds interpolated virtual orders, and compares the resulting market value with the value implied by…
This article presents quantitative trading as a tool increasingly used by professional and institutional market participants. It argues that rule-based models can complement fundamental and technical analysis by screening many stocks against user-defined…
This document outlines an equity screen that selects stocks with RSI below 65 and circulating market capitalization between 5 billion and 10 billion yuan, then ranks qualifying names by a money-flow measure. The accompanying example also filters out certain…
This Chinese-language research summary describes constructing stock-selection factors from tick trade records. Rather than relying only on the buy-sell aggressor flag, it uses the associated buy-order and sell-order identifiers to reconstruct orders from…
This stock-selection screen ranks shares by a capital-strength measure, then filters for turnover between 2% and 9% and a 2019 dividend ratio above 25%. The stated rationale is to combine a measure of buying and selling activity with a liquidity range and a…
This Chinese equity screen combines daily price movement with dividend and institutional-holding filters. It seeks stocks with an intraday range above one percent of the opening price, a stated 2019 dividend measure above 25%, and a positive institutional…
This brief exchange explains how to interpret a feature-importance chart when one or more short-horizon factors receive a score of zero. The response says the chart ranks factors within the particular set used to train a particular model. A low-ranked factor…
The document describes a stock screen for companies whose codes begin with 60, with turnover between 3% and 12%, market capitalization below 10 billion yuan, and no losses in each of the prior three years. It frames these filters as a way to combine…
This post describes a Chinese equity screen using a capital-strength measure, moderate turnover, and historical revenue growth. Capital strength is illustrated as trading value divided by tradable market capitalization. The turnover range is above 2% and…
The report outlines a holdings-based framework for classifying actively managed Chinese equity funds by market capitalization, growth, and value characteristics. It uses semiannual or annual full-portfolio holdings, standardizes style measures, and combines…
This Chinese equity screen selects stocks with turnover between 3% and 12%, year-over-year growth in parent-company net profit above 20% and at or below 100%, and at least two limit-up days during the prior 500 days. It also excludes selected growth-market…
The document describes a Chinese A-share stock screen that excludes Beijing-listed shares and selects from the Shenzhen main board. It filters for turnover between 3% and 12%, price-to-earnings ratios from zero to 29.01, and price-to-book ratios from zero to…
This Chinese-language case study describes using an AI coding assistant to reproduce and modify a high-frequency volume factor for Chinese equities. The source factor uses intraday volume’s Fourier spectrum to measure energy in a short-period band, with…
DFQ-2020 is a risk model for mainland Chinese equities that combines style factors, industry factors, and a market factor. It retains 40 factors and revises the construction of the Trend, Growth, and state-owned-enterprise factors relative to its…
This research note outlines a cross-sectional regression framework for studying historical returns of technical, expectation, and financial factors. It uses sequential single-factor regressions: each stage models the preceding stage’s residual, so later…
This research digest covers two portfolio topics. The first examines how the timing of book-to-price data affects the Fama–French HML value factor. It says more timely book-to-price measures can improve the use of value and momentum in risk adjustment and…
The document describes a daily factor based on the linear-regression slope of a stock’s minute-bar volume during the first 30 minutes of trading. A positive slope represents volume increasing over that window; the suggested interpretation is that early…
The document is framed as a single-factor analysis of average trading value over the past 60 trading days. Its substantive material is a factor-analysis workflow configured for Chinese equities: it evaluates a supplied platform feature across the full stock…
This Chinese stock-selection strategy combines three filters: daily amplitude above 1, an opening price near the ten-day moving average, and parent-attributable net profit growth above 20% and no more than 100%. The note interprets the amplitude as a sign of…