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 outlines a China equity industry-rotation strategy using the Shenwan Level 1 industry classification. It ranks industries with a composite momentum measure formed from recent 5-day, 20-day, and 60-day returns, weighted 0.4, 0.3, and 0.3. Each…
This report outlines a framework for researching quantitative commodity signals in iron ore. It groups inputs into fundamental factors covering supply, demand, and inventories, plus a separate sentiment category. Because fundamental data updates less…
This Chinese equity screen selects companies with a daily high-low range above 1%, market capitalization no greater than 10 billion, positive profits, and at least one daily gain of 10% or more during the previous 25 trading days. The note presents the…
This Chinese stock-screening note combines a daily price-range condition with persistent profitability and a pre-open auction return filter. Its initial criteria are a price range of at least one unit, ROE above 15% for five consecutive years, and an auction…
This research summary examines generalized linear models as ways to combine stock factor exposures into forecasts of future returns. Its workflow includes extracting features and labels, preprocessing features, forming training sets, and retraining on a…
This discussion explores representing Chinese stocks that hit the daily price limit as members of a shared hot theme, then counting limit-up names within each theme. The example is state-owned enterprise reform, where stocks from different industry sectors…
This summary of a 2018 A-share report reviews quantitative fund products, equity factor styles, and institutional responses to a difficult market structure. It says index-enhanced fund assets rose by 55.31 billion while hedged and actively managed…
This strategy ranks constituents of the CSI Dividend Index using a combined score based on dividend yield and return on equity (ROE). Dividend yield represents distributions relative to share price, while ROE is used as a measure of how effectively a company…
This note proposes screening stocks with turnover between 3% and 12%, a K value below 20, and 2021 revenue more than 10% above 2018 revenue. It combines a trading-activity range and a technical threshold with a multi-year revenue comparison, aiming to…
This stock-selection idea screens Chinese A-shares for turnover between 3% and 12%, market capitalization below 10 billion yuan, and no reported losses, then selects stocks whose opening price lies around the 10-day moving average. The article describes the…
The document describes a Chinese stock-selection example that represents daily buy signals as a factor value of one and sell signals as zero. It proposes processing those values and using them to filter and rank stocks. The stated data source is daily stock…
This assignment outlines a workflow for creating a visual machine learning stock strategy using BigQuant’s StockRanker course and strategy template. The participant is asked to modify the model’s input features by adding personal factors, then backtest the…
The post outlines a Chinese stock-selection screen combining high capital strength, market capitalization below 10 billion yuan, positive earnings, and a nonempty name for an outstanding convertible bond. It frames capital strength as a way to gauge money…
The document examines how benchmark choice affects mutual fund performance estimates. It contrasts return-based evaluation, which is sensitive to benchmark selection, with holdings-based evaluation, which can be more precise but depends on infrequently…
This stock screen combines three filters: turnover between 3% and 12%, a 2021 listing year, and a positive price-to-earnings ratio. The article presents the idea as a way to find recently listed companies with moderate trading activity and positive earnings…
This proposed stock screen orders candidates by a capital-strength measure, then filters for a daily decline between 4% and 5% and a 2019 dividend ratio above 25%. The rationale is to combine evidence of capital inflows with a recent price setback and a…
This report outlines the first step in a multi-factor model research process: selecting which factors to combine. It proposes using a hedging perspective and benchmark factor exposures as part of the screening criteria, with the stated aim of reducing the…
This article presents a China A-share stock screen that selects securities with turnover rates from 3% to 12%, excludes Beijing-listed shares, and omits the STAR Market. It frames the turnover band as a way to focus on stocks with moderate trading activity,…
This A-share selection method focuses on metaverse-related companies, ranks them by the day's opening auction amount, and chooses the top five, subject to a revenue-growth condition. The original description compares 2021 revenue with 2018 revenue and…
This A-share stock screen combines a technical filter with valuation and revenue growth criteria. It selects stocks with a 14-period RSI below 65, positive price-to-earnings ratio, and 2021 revenue more than 10% above 2018 revenue. The accompanying example…
This Chinese equity screen filters stocks by turnover, circulating share size, and a specified enterprise attribute. The stated criteria set turnover between 3% and 12% and circulating shares at no more than 5.5 billion. The article also gives an example of…
This Chinese equity screening idea combines a price-range condition, sustained profitability, and recent strong price action. It selects stocks with an intraday high-to-low range of at least one, return on equity above 15% for five consecutive years, and at…
The proposed stock screen combines a price-range condition with a profitability filter: it seeks shares whose high-low amplitude exceeds one and whose return on equity has remained above 15% for five consecutive years, while excluding Beijing-listed…
This research summary presents labor leverage as a company characteristic that may help explain differences in expected stock returns. It defines labor leverage through the relative size and rigidity of labor expenses, which shape how operating profits…