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 raises a portfolio-construction question about using a stock-ranking model to select both ends of its predictions: stocks with the highest factor scores and stocks with the lowest scores. The proposed idea is to hold the two groups together as a…
This analysis compares analyst forecast data from two Chinese financial data providers, examining report coverage, forecast accuracy, and the usefulness of forecast-related factors in stock selection. One provider is described as covering more stocks, while…
The document outlines a factor attribution framework for evaluating active equity funds within a fund of funds (FOF). It separates returns into broad risk exposures, such as market, style, and industry effects; alpha-factor contributions from technical and…
This note describes a Chinese stock selection screen that combines a daily price-range condition, five consecutive years of return on equity above 15%, and a limit on tradable share count. It presents the range condition as a measure of volatility, the ROE…
This Chinese-language note estimates potential market upside across four equity groups: the CSI Bank sector, SSE 50, CSI 500, and ChiNext. Its framework considers fundamental trends, whether expected earnings growth supports current valuation, and the risk…
The document introduces a 2017 Guotai Junan research report that constructed 191 short-cycle alpha factors from price and volume characteristics and combined them in a stock-selection system. It notes that the factor expressions resemble those in…
This stock selection proposal combines a daily price-amplitude threshold, return on equity above 15% for five consecutive years, and a reversal or engulfing-style price factor. It presents the combination as a way to pair active price movement with a record…
This review summarizes research comparing highly rated ESG stocks with other stocks in US and developed international markets. It examines individual securities and randomly formed portfolios using MSCI ESG classifications and a Fama-French five-factor model…
This post describes a Chinese equity screen combining daily price movement, trading activity, and valuation. It selects stocks with amplitude above 1%, current volume above 10,000 lots, a higher open, and Shenzhen main-board listing, while requiring…
This post describes an A-share stock screen combining a daily price-amplitude threshold, a nonempty convertible-bond name field, and a company classification filter that can be configured for criteria such as industry or state ownership. It proposes ranking…
The research summary argues that conventional earnings multiples may be weak valuation tools for property developers because project-based results can be uneven and past earnings may not predict future performance well. It proposes using inventory as a…
This research summary examines China’s medical imaging equipment market and United Imaging’s position as a domestic supplier. It presents demand growth as supported by low equipment availability relative to developed markets and policy efforts to expand…
This guide explains a formula tool for rapidly calculating and checking trading ideas using expressions based on publicly available WorldQuant Alpha101 methods. It lists arithmetic and conditional syntax, cross-sectional ranking, lagging, moving averages,…
The post describes a multi-factor stock-selection strategy and compares its performance with and without a hedge during a period of severe market weakness. The author says the unhedged strategy still showed excess returns, while adding a hedge visibly…
The report proposes using Benford’s law, the uneven distribution of leading digits found in many datasets, to study stock minute-volume data. From those statistics, it constructs an “institutional footprint” measure: higher values are interpreted as stronger…
This stock-selection screen targets companies associated with China’s metaverse theme. It filters for prior-day actual turnover between 3% and 28%, market capitalization below 10 billion yuan, and positive earnings per share. The document explains these…
This Chinese A-share example builds a daily stock-ranking strategy using LightGBM regression. Its features combine market capitalization, recent price and turnover averages, dividend yield and price-to-earnings ranks, plus two custom factors. The target is a…
This Chinese equity screening idea combines an RSI threshold below 65 with a circulating market value between 5 billion and 10 billion yuan and more than two limit-up days in a 10-day window. The stated rationale is to find relatively strong short-term…
This research note describes two revisions to AlphaNet, a neural model that learns stock selection factors from raw price and volume data. Version two adds ratio features, replaces pooling and dense layers with an LSTM to capture temporal patterns, and gives…
This document presents a Chinese stock-selection screen using price amplitude, a concentration-related measure, and moving-average direction. Its initial description calls for amplitude above 1%, a concentration condition, and an upward 30-day average. A…
This article proposes a defensive equity strategy that seeks oversold rebounds or bounces after a pullback. It draws inspiration from research on money-flow factors, including inflow, outflow, net institutional flow, and opening net flow, and proposes…
This research summary describes factors derived from operating financial statements and reports selected long-short results. It identifies changes in operating current liabilities as a notable factor, with a reported Sharpe ratio of 2.62 and annualized…
The post proposes a Chinese equity screen combining three conditions: today’s position-growth share above 5%, share price below 12, and a 2019 dividend ratio above 25%. It interprets rising position share as possible capital inflow, low nominal price as an…
The document presents a Chinese equity screening rule that selects stocks with RSI below 65, circulating market value between 5 billion and 10 billion yuan, and turnover between 3% and 12%. It frames RSI as a short-term overbought or oversold measure, market…