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 note outlines a Chinese equity screen using turnover between 3% and 12%, a positive ten-day price gain below 35%, and a revenue-growth condition. The written selection rule compares 2021 revenue with 2018 revenue and requires the ratio to exceed 1.1.…
This Chinese stock selection note describes a screen combining RSI below 65, a circulating market capitalization between 5 billion and 10 billion yuan, and an “institutional bottom-fishing” condition. It presents the approach as a mix of technical,…
This Chinese-language post describes an equity screen that combines a positive MACD condition and rising DEA with a 2019 dividend ratio above 25%. It applies the rules to constituents of the CSI 300 and gives illustrative selection and portfolio-management…
This short commentary describes pressures facing quantitative investment firms: crowded strategy areas, convergence among approaches, thin profits, and greater barriers to entry for researchers. It argues that widespread use of machine learning can produce…
This article presents a four-stage account of quantitative trading. It describes early strategies built on financial theory, multi-factor stock selection, and linear regression; a later high-frequency phase centered on low-latency hardware and algorithms; an…
This Chinese equity screen looks for stocks classified under the metaverse theme and applies thresholds to free-float market capitalization and company scale. The article’s initial description specifies free-float capitalization above 10 billion yuan and…
This article proposes a stock screen combining a technical condition with valuation and size filters. It selects equities with an RSI below a stated threshold, positive trailing price-to-earnings ratio, and free-float market capitalization within a specified…
The document outlines four portfolio approaches: a calendar effect fund of funds (FOF), a performance enhancement FOF, a fund size undervaluation FOF, and a core-satellite ETF portfolio. The calendar strategy selects five active equity funds equally using…
This post proposes screening Chinese A-share stocks using a daily price-range threshold above one percent and a requirement related to outstanding convertible-bond names, then ranking candidates by average traded value. Its stated rationale combines trading…
This research reviews technology-focused equity indices in China, comparing their historical performance, construction rules, and constituent distributions. It then examines whether patent information can improve index selection. The proposed patent measures…
The article describes a screen for companies with market value below 10 billion yuan and assets above 200 million yuan, alongside a daily high-low range greater than 1%. Its expanded version also requires no losses over the previous five years, positive…
This report adapts hidden Markov models (HMMs), a technique associated with speech recognition, to rank stocks by the likelihood of an upward move. It assumes that rising and falling stocks follow distinct patterns and models those patterns separately. Six…
This report outlines a method for analyzing open-ended bond fund returns and deriving a residual alpha measure for fund screening. It groups risk exposures into eight factors spanning interest-rate curve movements, credit risk, equity markets, and money…
The discussion clarifies the meaning of a factor-crowding value shown in BigQuant’s factor analysis module. The reply says the value is the recent average turnover rate of stocks after they have been grouped by a factor. It is therefore a group-level average…
This research summary presents a framework for timing equity factors whose returns have become less reliable. It reviews indicators such as valuation spreads and pairwise correlations, and examines their relationship with future factor returns. A random…
This stock-selection idea screens for companies with market capitalization below a stated threshold, positive profit, and daily price amplitude above one percent, then ranks eligible names by a measure of stock attention. It presents the approach as a way to…
This document describes a Chinese equity screen combining daily turnover with growth in net profit attributable to the parent company. It selects stocks with turnover between 3% and 12%, profit growth above 20% and up to 100%, and an earnings forecast for…
This practitioner note compares very high-return, moderate-return, and lower-return backtests for short-horizon equity models, focusing on whether their apparent performance persists out of sample. The author reports that aggressive timing filters and models…
This research summary presents factor timing as a risk-control problem rather than solely as a forecast of factor returns. In a multi-factor portfolio, the approach adjusts upper and lower bounds on factor exposures. Those bounds are tied to factor risk,…
This note describes an A-share screening rule combining a daily high-low range threshold, return on equity above 15% in each of the prior five years, and a positive change from the previous close. It presents the criteria as a way to find consistently…
This Chinese stock-selection example combines a technical filter with a basic revenue-growth condition. It selects shares with RSI below 65, a latest high matching the highest level of the last two days, and 2021 revenue more than 1.1 times 2018 revenue. The…
This Chinese equity selection recipe combines three filters: return on equity above 6% in each of the prior two years, high dividend yield, and net inflows attributed to major market participants. It also excludes stocks that closed at the daily price limit…
This document proposes a Chinese equity screen combining amplitude above 1, rising lows, and return on equity above 15% for five consecutive years. The technical conditions aim to capture price movement and a strengthening price floor, while the ROE…
This Chinese equities screening rule selects stocks with turnover between 3% and 12% and year-over-year growth in net profit attributable to shareholders of the parent company above 20% and no more than 100%. It then ranks qualifying stocks by…