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 combining a ranking by capital strength with company characteristics and a year-specific filter. It describes capital strength as a measure related to trading volume and turnover value, and suggests taking the top…
The report asks whether exposure to macroeconomic policy uncertainty is priced in Chinese A-shares. It describes a news-based economic policy uncertainty index and estimates each stock’s EPU beta through time-series regression. Stocks are sorted into five…
This guide explains how to organize data for VeighNa’s AlphaLab research workflow. It describes the roles of its directories, daily and minute bar files, index constituent records, and contract settings, then shows how preparation notebooks supply data…
This troubleshooting note describes a SQL binder error that occurs when a normalization function is used in a query joining two stock-factor tables. Both tables contain a date column, so passing an unqualified date reference to the function leaves the…
This stock screen selects companies classified in the metaverse industry with no more than 5.5 billion circulating shares and a dividend payout ratio above 25% for 2019. The accompanying example describes retrieving financial and dividend data, filtering for…
This discussion examines why published quantitative findings and attractive backtests may fail to reproduce or translate into tradable returns. It explains how publication incentives, selective reporting, repeated testing, flexible data choices, and…
The document explains how to construct factors grouped by Chinese stock market concepts when a built-in grouping expression does not recognize the concept field. For standard industry groupings, it gives a group-mean example using a level-two industry…
This stock selection idea combines three filters: daily amplitude above 1%, a dividend yield above 25% associated with 2019, and a ranking intended to favor stronger capital flows. The explanation treats amplitude as a way to find more volatile shares, the…
This Chinese-language post proposes a stock screen combining a relative strength index below 65, seven consecutive sessions in which the close is no higher than the open, and valuation bounds. It targets Shenzhen main-board stocks with price-to-earnings…
This Chinese A-share stock screen ranks stocks by volume ratio and selects the top 100, then filters for a positive price-to-earnings ratio and an IPO year of 2021. The post interprets high volume ratio as possible inflow strength and positive P/E as a basic…
The report describes a multifactor stock-selection process that first evaluates and selects robust factors, then combines them into a composite score. It builds separate models for six stock universes and compares direct selection with portfolios that select…
The document explains how portfolio attribution compares a portfolio with its benchmark and decomposes excess return into drivers. It distinguishes return-based approaches, including Treynor-Mazuy, Henriksson-Merton, and related factor extensions, from…
This historical overview traces the independent development of the Capital Asset Pricing Model by Jack Treynor, William Sharpe, John Lintner, and Jan Mossin. It connects their different starting points to portfolio selection and corporate finance, and…
This document describes a Chinese equity screen combining daily price amplitude above 1, circulating market value above 10 billion yuan, and a 2019 dividend ratio above 25%. It presents amplitude as a rough sign of trading activity, market value as a size…
This brief strategy outline proposes a weekly rotation among three of the smallest stocks that meet fundamental quality and growth screens. The listed criteria include sustained net-profit growth over three consecutive years and gross margins above 20%; it…
This Chinese A-share screening idea starts with metaverse stocks and ranks candidates by popularity. Its initial filter selects stocks with prior-day turnover above 8%; the proposed refinement adds return on equity above 10% and a 20-day average turnover…
The document starts with a Chinese equity screen that excludes Beijing-listed shares, requires amplitude above 1%, and selects stocks whose weekly MACD is above zero. It then proposes a more restrictive variant: amplitude above 3%, a rising MACD below zero…
The article proposes a Chinese main board stock screen using three conditions: turnover rate between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a 2019 dividend-per-share measure divided by closing price that exceeds 25…
This research examines whether industry rotation can enhance a CSI 500 benchmark portfolio. It compares two allocation approaches based on industry views: a moderate deviation from benchmark industry weights, and a concentrated approach that removes bearish…
The document describes a Chinese stock screen that selects shares with turnover between 3% and 12% and a positive ten-day gain below 35%, then ranks qualifying names by circulating market capitalization divided by total market capitalization. It presents the…
This report evaluates a China ChiNext equity index that selects stocks using profitability, accounting strength, investment discipline, default risk, and low volatility. It argues that the index offers a more fundamental and lower-volatility alternative to…
This study compares two ways to build multifactor equity portfolios. Integration ranks securities by a combined score and selects those with strong exposure across the target factors. Mixing first builds separate single-factor portfolios, then allocates…
The document identifies the fitness-function setting used by a genetic programming module and lists its available objectives. These include information coefficient to information coefficient ratio, mutual information, long-only Sharpe, volatility and return…
This forum post asks how to understand two approaches to adapting factors to market style. For a W-style split, the author proposes dividing a factor using a reference variable such as trading amount and treating the difference between the resulting groups…