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.
5,922 documents
This Chinese-language tutorial describes implementing a stock-ranking strategy in BigTrader by passing StockRanker predictions directly to the trading engine and coding the trade logic there. It allocates purchases among the top-ranked stocks using weights…
The document presents a literature-search workflow for financial machine learning and quantitative finance, where relevant work may be spread across econometrics, machine learning, and other fields. It describes using a paper-mapping service to find related…
This study mines short-horizon price and volume factors for Chinese equities, then examines how transaction costs and rebalance frequency affect portfolio results. It uses genetic programming to generate candidate daily factors from conventional price and…
This BigQuant note explains how to change a strategy template’s initialization settings from a declining weight schedule to equal weights. The existing example assigns larger allocations to earlier stocks using weights proportional to the inverse logarithm…
This article outlines a monthly A-share stock selection example built from gross margin, return on equity, and a cash-flow-per-share to earnings-per-share measure. It notes that financial statements update infrequently and that related accounting variables…
The article frames a quantitative model as a system that turns an investment idea into a testable and executable process. It divides that system into strategy, risk, transaction cost, portfolio construction, and execution models. Strategy research may be…
The document describes a daily macro trading process built around distinct research perspectives. Separate agents assess economic growth, inflation and interest rates, and debt, liquidity, currency, and central bank policy. A disagreement agent challenges…
The document introduces the manager-of-managers fund structure, in which a central manager allocates capital among independent subaccounts managed by different investment advisers. It distinguishes this approach from a fund of funds: MOM evaluates and…
This documentation page explains that a completed strategy execution can produce a report and gives the instruction used to generate it at the end of a run. A display option can open the report automatically in a browser. The page illustrates a report…
This research review examines whether actively managed U.S. equity funds favor firms focused on a single business and whether that preference reflects industry expertise. Its proposed mechanism is that a manager with an informational edge in one industry can…
This document describes a China A-share stock selection and portfolio strategy ranked primarily by dividend yield. It filters out suspended and risk-flagged stocks, applies market-cap, positive and relatively low price-to-earnings, and share-price…
The report outlines a fixed-income-plus approach that reserves some capital for options margin and option buying strategies, while investing most remaining funds in government bonds. It combines directional index exposure, short volatility, and event-driven…
This research explores how estimates of public mutual fund ownership, updated using high-frequency data between formal disclosures, can inform stock selection and sector rotation in Chinese equities. It describes two stock signals: the estimated current…
This strategy ranks stocks monthly by the share of their trading volume occurring in recent earnings-announcement months. It uses a 48-month history and focuses on the latest 16 announcement months, then divides stocks into quintiles by the resulting…
This example describes a daily AI-driven process for selecting sector ETFs. Five agents cover technology and communications, financials, healthcare, energy, and consumer sectors, each proposing an idea. A risk manager reviews the pitches for crowded…
The document explains historical volatility as the dispersion of asset returns and distinguishes it from implied volatility, which is inferred from option prices. It describes calculating the standard deviation of daily returns and annualizing it by…
Hedge ratios set the relative sizes of legs in a spread so that price differences do not leave the position unintentionally unbalanced in dollar terms. The document introduces a simple price-ratio method, then describes normalizing weights so the dependent…
This article explains cross-sectional momentum in commodity futures: periodically rank markets by recent performance, buy the strongest and sell the weakest. It distinguishes this relative ranking approach from time-series momentum, which evaluates each…
This research summary explains a method for separating a mutual fund’s alpha into stock-selection alpha and weighting alpha. It estimates selection skill by reweighting a fund’s holdings by market capitalization, then defines weighting alpha as the…
This research summary outlines a framework for evaluating and allocating active equity and bond funds. For equity funds, it describes classification and performance attribution using both holdings and returns, then discusses portfolios of active funds and…
This Chinese-language summary explains factor investing as constructing a basket of equities with chosen factor exposures. It outlines several implementation routes, including active exposure to rewarded styles, index-based exposure, alternative weighting…
The document describes an analyzer for assessing whether several trading systems diversify one another. It groups closed trades by magic number, aggregates profit and loss at a chosen daily, weekly, or monthly interval, and compares the sum of each system’s…
This directory surveys software used in quantitative research and algorithmic trading across languages including Python, R, Julia, Java, and Matlab. It groups tools by task, covering numerical computing and data analysis, technical indicators, pricing and…
This report examines institutional investors’ holdings and style preferences, focusing on Chinese equities and summarizing US institutional ownership for context. It outlines four possible data sources for monitoring institutions: macro indicators, trading…