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 document describes a Chinese equity screen requiring RSI below 65, a rising MACD signal line (DEA), and a dividend ratio above 25% for 2019. It explains RSI as an overbought or oversold gauge, DEA as a trend signal, and the historical dividend ratio as…
The document surveys a quantitative research platform’s components and workflow. It describes tools for strategy development, financial data access, factor research, model training, backtesting, simulated trading, and live execution. Its examples span stock,…
This post outlines a Peter Lynch-style equity selection rule based on the price-to-earnings ratio divided by a growth rate. Stocks with PEG below 0.5 enter the candidate pool; when that does not fill the available slots, existing holdings below 1.0 can be…
This Chinese equities screen combines cross-sectional ranks for total market capitalization, free-float market capitalization, and closing price into a weighted score. It filters out special-treatment and suspended stocks, requires more than a year since…
This post outlines a Chinese equity screen for Shenzhen main-board stocks. It combines a positive but bounded ten-day price gain with an RSI ceiling, a positive price-to-earnings ratio below a stated threshold, and a bounded price-to-book ratio. The…
This Chinese equity screen first limits the universe to stocks whose codes begin with 60 and whose turnover rate is between 3% and 12%. Within that group, it selects companies with year-over-year growth in net profit attributable to parent-company…
This Chinese equity screen combines technical conditions with a historical revenue comparison. It selects stocks with RSI below 65, a shortening MACD histogram on a 15-minute chart, and revenue in 2021 more than 1.1 times revenue in 2018. The accompanying…
This research summary examines whether changes in analysts’ consensus earnings per share (EPS) forecasts and the gap between forecasts and reported earnings can help guide rotation among Chinese equity industries. It reports that consensus EPS growth is…
This A-share stock screen combines market activity, recent price direction, and company earnings growth. It selects stocks with turnover between 3% and 12%, three consecutive declining sessions, and year-over-year growth in net profit attributable to…
The document presents a cross-sectional stock factor built from daily Chinese stock data. It calculates a rolling correlation over 20 observations between the close-to-close price ratio and the logarithm of the volume ratio plus one, then reverses the…
The article reviews research comparing factor momentum with industry and stock momentum using historical U.S. equity data and a broad set of return factors. The central finding is that industry-neutral factor momentum contains the predictive information…
The document summarizes Barra CNE6 as a risk and factor model with an estimation universe filtered for size and liquidity. It describes three versions: two long-term variants using slower style factors and a trading version combining slower and faster…
This research summary examines stock-selection factors within China’s healthcare sector. It reports that size-related factors can deliver higher average returns but have been unstable, while several technical measures—including prior price change, turnover,…
This document describes a Chinese equity screen requiring daily turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and no greater than 100%, and a positive return from the day’s open. It…
This research summary outlines an enhanced portfolio for the ChiNext, or Growth Enterprise Market, index. The authors test single-factor enhanced portfolios, then select factors using information ratios, maximum drawdowns, and relationships among factors.…
The report summary introduces the ZCBI listed index, designed to track publicly traded companies associated with Beijing’s Zhongguancun Life Science Park and the broader bioeconomy. It describes a total-return index, free-float market-cap weighting, and…
This article describes a Chinese stock screen requiring daily price amplitude above 1%, a dividend yield above 25% for 2019, and more than five years since listing. It presents amplitude as a measure of trading activity, the dividend condition as an income…
The report outlines a framework for estimating forward dividend yield by combining expected payout behavior and expected net income with the stock’s current market value. It groups cash dividend policies into fixed-per-share payouts and payouts tied to…
The report summarizes research on whether the asymmetry of stock returns predicts expected returns, a relationship for which prior findings have conflicted. It presents two distribution-based measures beyond conventional skewness: the difference between the…
This 2018 analysis assesses a sharp decline in Chinese equities and treats the U.S. market as the main near-term risk trigger. It proposes two possible U.S. paths: continued weakness without a meaningful rebound, or stabilization followed by months of…
This review examines whether market, macroeconomic, sentiment, valuation-spread, and momentum signals can forecast equity factor returns. It explains why factor premia can vary as risk compensation, investor behavior, and market frictions change. The…
This stock-selection note proposes filtering for shares with amplitude above 1, an opening price near the ten-day moving average, and scale above a stated threshold of 200 million. It presents the screen as a way to find moderately sized stocks with some…
This report summary describes the risk-prediction component of a multi-factor investment framework. It outlines adjustments to factor covariance estimates, including Newey–West autocorrelation correction, eigenvalue adjustment, and volatility-bias…
The report presents DFQ-2018, a structured risk model for Chinese A-shares. It combines industry and style factors to identify exposures, estimate stock-return covariance, and support portfolio performance analysis. Among its design choices, it uses a…