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 report describes two steps for improving an equity alpha model: remove factors that duplicate information, then optimize the remaining signals while accounting for their correlations. It uses Fama–MacBeth regressions to screen factors and reports…
This stock-selection approach combines a 14-period RSI below 65 with year-over-year growth in net profit attributable to parent-company shareholders above 20% and no greater than 100%. It also limits free-float shares to 5.5 billion. The document presents…
The document describes a Chinese equity screen using a daily high–low range above 1%, a closing price specified as 18.5 yuan, and positive price-to-earnings ratio. It presents these conditions as a way to identify stocks with price movement and positive…
The proposed A-share screen combines a reported increase in position share above five percent, a daily maximum decline between four and five percent, and an upward 30-day moving average. The accompanying explanation interprets position growth as possible…
This document explains how to build an expected dividend yield factor for equity selection. Traditional measures use recent annual or trailing cash dividends, but they can jump when dividends leave the trailing window and may not reflect future payouts. The…
This report summary examines how to select timing variables and forecast equity factor returns within a multi-factor strategy. It proposes Lasso and Elastic Net regression for screening predictors and estimating factor returns. It also describes extensions…
This short strategy post describes a monthly small-capitalization stock-selection approach. On the first trading day of each month, it selects the 30 stocks with the lowest market values after excluding ST-designated stocks, ChiNext-board stocks, and Beijing…
This study evaluates analyst-consensus valuation and earnings factors for stock selection across the Chinese equity market and its industries. It compares factor information coverage and effectiveness, using information coefficients to assess the…
This stock screen selects Shenzhen Main Board companies classified in the metaverse industry, with price-to-earnings ratios from zero to 29.01 and price-to-book ratios from zero to 3.11. It adds a price condition: the opening price should be near the ten-day…
This document describes a daily pre-open screen for Chinese A-shares. It selects stocks whose MACD value is above zero and whose trailing P/E is positive, while excluding Beijing-listed shares. The stated rationale treats positive MACD as a sign of upward…
This report applies a parametric portfolio policy approach to equity factor timing, using external variables to adjust factor weights. It tests the approach on Chinese A-share data and compares two ways to use information: time-series models and…
This report describes a Chinese equity selection factor called CPV, built from the relationship between intraday prices and trading volume. It combines three characteristics of daily price-volume correlation: its average level, variability, and trend. The…
This code collection provides helper functions commonly used when building quantitative factors from time-series data. It wraps TA-Lib operations for rolling sums, standard deviations, minima, maxima, momentum differences, and weighted moving averages. It…
This document outlines a stock selection screen for companies listed on China’s Shenzhen Main Board. It filters for price-to-earnings ratios from 0 to 29.01, price-to-book ratios from 0 to 3.11, and a dividend payout ratio above 25% in 2019, then ranks…
This proposed Chinese stock screen combines daily price amplitude above 1, a listing history longer than three years, and revenue for 2021 exceeding 2018 revenue by a ratio greater than 1.1. The article presents the revenue comparison as a basic growth…
This stock screen combines daily price range, weekly MACD, market capitalization, and profitability. It selects Chinese companies with daily amplitude above 1%, weekly MACD above zero, market value below 10 billion yuan, and no losses according to positive…
This stock screen selects companies with a daily high-to-low range of at least one price unit, return on equity above 15% in each of five years, and a closing price below 12. The note presents the range threshold as a way to include more volatile shares, the…
This report develops Chinese equity money-flow signals using tick data to reconstruct order sizes. It argues that conventional fixed cutoffs miss meaningful institutional activity, tests 44 absolute amount thresholds, and finds that lower cutoffs can better…
This forum post raises a factor-research reproducibility problem: a user reports that returns from reproducing four factors differ substantially from the platform’s published results. The suggested comparison holds the factor and backtest period constant,…
This Chinese-language report summary examines intraday price, volume, and trading characteristics using minute data to build factors and compare their behavior in stocks and futures. The factor families include return-distribution statistics such as realized…
This research summary compares high-frequency factors built from minute data in stocks and futures. It groups signals into return-distribution measures, intraday volume patterns, price-volume relationships, order-flow measures, and trend strength. Reported…
This stock-selection approach filters for companies in the beverage and alcohol import-export industry, a 14-period RSI below 65, and return on equity above 15% for five consecutive years. It combines a price-based indicator with an industry classification…
This Chinese-equity screening rule selects companies with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, total market value below 10 billion yuan, and positive reported profits. Turnover is used as a…
This document outlines a Chinese stock screen combining price amplitude above 1, return on equity above 15% for five consecutive years, and a stock code beginning with 60. It frames amplitude as a volatility filter, persistent ROE as a profitability filter,…