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 summary of a Goldman Sachs outlook presents a framework for assessing China’s 2022 equity market across macroeconomic growth, corporate earnings, market cycles, policy, politics, regulation, and valuation. The report expected slower growth amid…
This brief introduction contrasts linear regression on factor data with tree-based machine learning. It argues that factor returns may relate to outcomes in nonlinear ways, making a simple linear model potentially inadequate. Decision trees are presented as…
This Chinese equity screen combines a price-range condition, a profitability filter, and an exchange-board exclusion. It proposes selecting stocks with an intraday high-low range above 1, return on equity above 15% in each of the past five years, and…
This strategy ranks stocks by their return during the month one year earlier, then buys the strongest group and shorts the weakest. It forms portfolios monthly and rebalances at month end. The described source approach uses equal weighting and a large-cap…
The document outlines a portfolio-allocation framework built around five macro risk factors: economic growth, consumer inflation, producer inflation, interest rates, and exchange rates. It describes constructing tradable factor proxies, reducing overlap…
The document shows a SQL query that combines Chinese stock data with valuation, profitability, growth, liquidity, leverage, turnover, and price-volume measures. Examples include book-to-market, earnings-to-price, sales-to-price, cash-flow-to-price, EBITDA…
This brief note frames Chinese A-share price-volume factors as potential signals of local trading behavior. It argues that prices can deviate from underlying value when trading activity affects how individual stocks are priced. Price reversal measures…
This research summary tests stock-selection signals derived from candlestick upper and lower shadows, then compares them with shadow measures based on the Williams indicator. The reported results distinguish the two approaches: candlestick upper-shadow…
The document introduces the standard form of an equity multi-factor model: stock returns are represented as a linear combination of factor returns, plus a residual component that the factors do not explain. It also notes that a portfolio’s return can be…
This study examines equity factors built from changes in analyst forecasts and tests how forecast stability affects their relationship with next-month stock returns. It reports that revision factors are positively associated with subsequent returns, but…
The document proposes screening equities for turnover between 3% and 12%, membership in a robotics theme, circulating market capitalization below 10 billion, and a closing price of 18.5 yuan. It also describes sorting qualifying shares by popularity. The…
The document describes a daily screen for Shenzhen main-board stocks using amplitude above 1, the top five by auction amount, a price-to-earnings ratio from 0 to 29.01, and a price-to-book ratio from 0 to 3.11. It presents these filters as a way to find…
This post describes a Chinese equity screen combining daily price range, five consecutive years of return on equity above 15%, and a circulating market capitalization between 5 and 10 billion yuan. Its proposed refinement adds a price-to-book ceiling of 3.…
This post outlines a monthly small-cap stock strategy. On the first trading day of each month, it excludes ST-designated stocks and listings on the STAR Market and Beijing Stock Exchange, then invests equally in the 30 stocks with the smallest market…
This proposed Chinese equity screen combines three conditions: at least five moving averages converge, the stock was described as controlled by major investors on the previous day, and the company has a market value below 10 billion yuan with no losses. The…
This Chinese equity screen combines price amplitude above 1, company scale above 200 million yuan, and a dividend ratio above 25% for 2019. The article presents these conditions as a way to identify larger companies with substantial price movement and a high…
This Chinese equity screen seeks companies with market capitalization below 10 billion yuan, no reported past losses, and institutional net buying above a stated 5% threshold. The intended idea is to combine a small-company profile and a basic profitability…
This stock screen starts with Shanghai-listed shares and compares 2021 revenue with 2018 revenue, requiring growth above a stated threshold. Its final proposed criteria add a market-cap range, growth in net profit over the same period, a price-to-earnings…
This stock-selection method combines trading activity, price position, and earnings growth. It screens for shares with turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and year-over-year growth in net profit attributable…
This note describes a Chinese equity screen that combines a market-value ceiling of 10 billion yuan, a history without losses, company type, and a ranking by capital-flow intensity. It explains capital-flow strength as a measure of investor attention, while…
This proposed Chinese equity screen ranks stocks by a capital-strength measure, then considers prior-day actual turnover in the stated 3% to 28% range and a 2019 dividend ratio above 25%. The article describes capital strength as a measure of money flowing…
This proposed screen first limits its universe to Shenzhen main-board stocks, then applies price-to-earnings and price-to-book ranges, followed by a ten-day gain greater than zero and below 35%. The post also mentions ordering candidates by capital strength,…
This note proposes screening Chinese shares for price amplitude above 1%, ranking eligible stocks by market heat, and requiring 2021 revenue to exceed 2018 revenue by a factor greater than 1.1. It interprets the amplitude filter as a sign of trading activity…
This note outlines a Chinese equity selection screen based on turnover between 3% and 12%, circulating market capitalization no greater than 5.5 billion, and a minimum listing age. A Python example illustrates a five-year listing-age threshold, while the…