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 legacy charting indicator creates a synthetic time series from user-defined formulas applied to multiple selected instruments. It draws each instrument on bars from a chosen timeframe and synchronizes their observations in time, allowing a combined…
This report proposes classifying equity sectors by how their excess returns relate to economic conditions. It questions existing Chinese cyclical and noncyclical sector indexes, then measures lead-lag correlations between China Securities Index industry…
Pyfolio is presented as a Python library for analyzing the performance and risk of financial portfolios, with compatibility for the Zipline backtesting library. Its central reporting tool is a tear sheet: a collection of plots intended to give a broad view…
This article introduces discrete-time stochastic control as a method for dynamic asset allocation. Unlike a traditional mean-variance allocation made without an explicit sequence of future decisions, the approach models portfolio choices across multiple…
This research summary proposes rotating among Chinese equity sectors according to changing economic cash flows and market discount rates. It uses a two-beta decomposition of the dividend discount model to describe sector sensitivities: financials are…
The document compares two ways to build multifactor equity portfolios. Integration ranks securities using a combined score for all target factors and selects a subset. Mixing first builds separate single-factor portfolios, then allocates among them. The…
This overview presents a multi-factor model as a way to explain stock returns through shared risk exposures, factor returns, and stock-specific residual returns. It frames quantitative management as estimating factor behavior and managing portfolio…
This introductory explanation presents Bayesian statistics as a framework for revising probability beliefs when new observations arrive. It contrasts this view with frequentist statistics, which treats probability through long-run frequencies in repeated…
This strategy allocates a portfolio across leveraged funds tied to US stock indexes, Treasury bonds, gold, and oil and gas companies. It assigns each holding a target weight, checks the portfolio daily, and rebalances every four days by comparing each target…
The article reviews the 2021 revision of China's Shenwan industry classification and its possible uses in quantitative investing. The revision expanded coverage to A-shares, Stock Connect shares, and selected Chinese firms listed overseas, added three…
The document surveys the development of enhanced ETFs in China alongside the expansion of actively managed ETFs in the United States. It presents enhanced ETFs as an effort to seek returns above a benchmark while retaining ETF features such as intraday…
This report reviews the early development of actively managed and enhanced ETFs, focusing on China’s first enhanced ETF launches and the faster-growing US active ETF market. It describes enhanced ETFs as vehicles that seek benchmark outperformance while…
This 2020 China equity-sector note combines macroeconomic regime signals, earnings relative to valuation, trend signals, historical regime matching, and public-fund holdings to discuss sector allocation ahead of interim reports. It argues that weaker growth…
This market commentary considers whether foreign investor outflows and a rise in shares becoming tradable would materially affect Chinese equities. It distinguishes short-term trading flows from longer-term institutional allocations, including new mutual…
This review describes machine-learning approaches to predicting stock returns from accounting data and company characteristics. It compares linear methods, including ordinary least squares, LASSO, and ridge regression, with nonlinear models such as random…
The article reviews research on whether individual commitment within US equity mutual fund management teams affects performance. It classifies managers as committed when they work only for one fund, and noncommitted when they also manage other funds. The…
This abstract copula framework provides shared methods for bivariate copula implementations, with named families including Archimedean, Gaussian, and Student forms. It evaluates copula density and cumulative joint probability, and calculates a conditional…
This overview introduces artificial intelligence and machine learning as tools for analyzing financial data and supporting investment decisions or trading operations. It groups methods by task: supervised learning for prediction and classification,…
The document presents an on-chart dashboard concept for viewing currency exposure across open forex positions. It decomposes each currency pair into its base and quote currencies, then aggregates directional lot exposure by currency. Its example explains how…
This Chinese-language post outlines a stock selection screen that combines a positive MACD reading with company characteristics and the presence of an outstanding convertible bond. Its stated rationale is to focus on companies with convertible bonds while…
This article describes a modification to random forest models that lets an investor express factor preferences directly in the tree-building process. Selected factors are forced to drive splits near the top of each decision tree, increasing their influence.…
This essay explains black swan events as rare occurrences with unusually large consequences and focuses on the distinction between known risks and unknown unknowns. It uses historical market crashes, a casino liability, terrorism, an epidemic, and the…
This promotional fireside-chat recap describes OctoBot’s use of AI to turn natural-language requests into crypto trading setups. Examples include selecting a crypto basket, creating a dollar-cost averaging plan, configuring a grid strategy, and generating a…
This discussion explains why assets under management and quantitative strategy returns may be related without having a simple linear relationship. It argues that capacity depends on the strategy: too little capital may prevent a portfolio from meeting its…