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 Chinese-equity screening rule selects shares with turnover between 3% and 12%, an appearance on the previous day’s trading leaderboard, and return on equity above 15% for five consecutive years. It pairs a measure of sustained profitability with a…
This A-share stock screen combines a positive MACD reading with revenue in 2021 exceeding revenue in 2018 by a stated threshold, and a dividend payout ratio above a specified level in 2019. The accompanying example describes selecting from a large-cap index…
The report addresses a problem in Chinese equities: stock-level momentum at monthly frequency can weaken a conventional reversal factor, even where reversal appears more prevalent overall. Its proposed “team-coin” factor draws on an analogy between expecting…
This stock-selection rule combines a turnover band of 3% to 12%, seven consecutive daily declines, and return on equity above 15% for five consecutive years. The document frames the financial condition as a way to favor companies with a record of…
The report examines how factor evaluation can guide factor inclusion and, especially, factor weights in a multi-factor return model. It argues for evaluating single factors through optimized portfolios with controlled risk exposures, aiming to make measured…
This Chinese equity-screening note proposes selecting companies associated with the metaverse concept, with a rising 30-day moving average and a 2019 dividend payout ratio of at least 25%. It presents these as a combination of sector exposure, price trend,…
This Chinese-language report summary describes an A-share stock selection approach combining an earnings surprise proxy with the price gap after an earnings announcement. Instead of comparing reported profit directly with analyst expectations, it identifies…
This document describes a Chinese A-share screening strategy that combines trading activity, earnings growth, and institutional ownership. It selects stocks with turnover between 3% and 12% and year-over-year net profit growth attributable to parent-company…
This research note examines an active-trading factor, called ACT, that characterizes aggressive versus passive order flow in China’s A-share market. It reports that the standard ACT measure has limited stock-selection ability, then splits observations by…
This article examines how training-window length affects AI stock-selection models, comparing multi-year datasets with shorter windows and proposing rolling training and evaluation on a designated validation period. It reports that, in its experiments,…
The document summarizes a research approach that reframes asset allocation as factor allocation. It selects macroeconomic and style factors, estimates each asset class’s exposure, and builds a factor-mimicking portfolio for each factor. It then forecasts…
This research outline proposes using value at risk (VaR) and stock factors to estimate future downside risk. It examines factors across several dimensions, selects those judged effective, and combines them into a multifactor model intended to quantify…
This proposed equity screen combines a daily price-range condition, sustained return on equity, and a moving-average condition. It aims to find firms with consistently strong profitability alongside a technical price pattern. The article describes using a…
This note outlines a Chinese A-share stock screen combining turnover, company size, positive earnings, and a positive price-to-earnings ratio. It describes selecting stocks with turnover in a specified band, market capitalization below a stated ceiling, no…
This report summary studies whether mutual funds that performed relatively well continue to do so, and whether weak performers remain weak. It defines persistence through the serial relationship in a fund’s Sharpe ratios: each month, it calculates Sharpe…
This stock selection screen looks for companies in the metaverse theme whose previous closing price is above a 250 day moving average and whose return on equity exceeded 15% for each of the preceding five years. The document combines a long term price filter…
This note describes a Chinese equity screen for companies associated with the metaverse, with circulating market value above 10 billion yuan and return on equity above 15% in each of the past five years. It presents the criteria as a way to find businesses…
This stock selection rule combines a 14-period RSI threshold below 65 with an industry classification for beverage and alcohol import-export businesses, market capitalization below 10 billion yuan, and positive net profit. It is presented as a way to pair a…
The document gives a suggested sequence for preparing quantitative factors: remove extreme values, handle missing observations, standardize the data, and then neutralize it. It describes neutralization as removing exposures that can obscure a factor’s…
This brief troubleshooting exchange addresses an error encountered when industry features are passed to a shared data-cleaning module for industry neutralization. The reported failure says the industry field is not one-dimensional, but the exchange does not…
This study examines whether firms with predictable quarterly earnings patterns earn unusual stock returns when they announce earnings in their historically strong quarter. It measures seasonality mainly by ranking a firm’s earnings over five years and…
This stock screen combines a daily price-movement condition, afternoon large-order net inflow, and valuation filters for Shenzhen main-board shares. It selects stocks within stated price-to-earnings and price-to-book ranges, then proposes checking company…
This announcement outlines a VeighNa community event focused on applying large language models and machine learning to quantitative research. Its agenda covers a progression from conversational use of language models to prompt design and integration into…
This investment research summary argues that demand from downstream applications may offer more useful opportunities than broad electronics-sector classifications. It highlights automotive electronics, virtual and augmented reality, defense, industrial and…