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 research note explores whether stock selection models built within individual industries can add information to a broad market-wide fundamental alpha model. The authors argue that industry models make it easier to use sector-specific factors and…
This document describes a cross-sectional equity reversal factor that separates recent returns according to trading activity. For each stock, it looks back over 20 sessions, calculates average transaction value per trade each day, ranks the sessions by that…
The report examines Chinese analyst earnings forecasts, ratings, and target prices as inputs to equity selection. It compares six ways to combine analyst estimates and finds that weighting forecasts by analysts’ past accuracy performs better than several…
The document presents a Chinese equity screening rule that selects beverage and alcohol-related stocks with turnover between 3% and 12% and a positive price-to-earnings ratio. It gives a sector filter and sample implementations using screening expressions…
The article introduces XGBoost as a boosting ensemble and contrasts its sequential fitting of weak learners with the parallel training used in bagging. It explains residual-based improvement, complexity penalties, sample and feature subsampling, and…
This summary of a Changjiang Securities study examines whether the weak side of equity style factors can help improve an index-enhancement portfolio. It reports historical measurements from 2007 through 2019, identifying negative excess returns for…
This report summary outlines a method for inferring informed trading from minute-level data. It first applies a “smartness” measure to identify trades attributed to smart money, then aggregates their relative execution prices into sentiment factor Q. Higher…
The example constructs price-based stock factors from recent daily observations. For each half-month sampling date, it retrieves a recent window of daily high, open, low, close, and average price data for the stock universe. It calculates three mean…
This research note proposes that stock price changes reflect market forces, firm-specific short-term information, longer-term fundamentals, and noise. It uses daily minute data and cross-lag regressions of returns on changes in trading volume to estimate…
This brief report summary reviews changes in Chinese public mutual fund holdings during the fourth quarter of 2017. It says fund exposure rose in several sectors, led by food and beverage and home appliances, with increases also reported for electrical…
This Chinese-language post describes a stock screen for companies classified in the metaverse theme. It selects firms with circulating market capitalization above the stated threshold and a nonempty name for outstanding convertible bonds. The rule combines a…
The post describes an A-share stock screen focused on companies associated with the metaverse concept. It selects firms with total market capitalization below the stated ceiling, circulating market capitalization within a stated limit, and positive net…
This dated Chinese equity market report combines market activity, sentiment, sector flows, concentration measures, and style-factor performance. It describes subdued overall valuations, rising consumer-sector turnover, a recovery in TMT activity, and strong…
This Chinese stock-screening note combines three filters: price amplitude above 1, rising bottoms, and market capitalization below 10 billion yuan, while requiring positive net profit. It presents the screen as a way to combine a price-pattern condition with…
This review examines whether controlling for quality changes the apparent size premium in equity markets and whether small-cap exposure can strengthen other factors. It compares size-factor returns with quality and related factor exposures using time-series…
The article reviews empirical research comparing commodity futures momentum based on total returns with momentum based on residual, or idiosyncratic, returns after accounting for selected systematic factors. The study forms ranked portfolios across…
This brief assignment reflects on translating discretionary investment ideas into a quantitative process. The author cites assessing future demand for a company’s product, with examples involving a stablecoin business in the context of US Treasury pressures…
This note describes a Chinese equity screen for stocks classified in the metaverse theme, with circulating market capitalization above 10 billion yuan and more than three years since listing. It presents the listing-age threshold as a way to favor companies…
The document outlines an equity screen combining turnover, industry classification, and historical revenue growth. It selects beverage and alcohol import-export companies with turnover between 3% and 12% and 2021 revenue more than 1.1 times 2018 revenue. It…
This study mines short-horizon price and volume factors for Chinese equities, then examines how transaction costs and rebalance frequency affect portfolio results. It uses genetic programming to generate candidate daily factors from conventional price and…
This brief tutorial describes replacing the default stock-ranking model in a visual AI strategy template with gradient boosted decision tree training and prediction modules. It gives an example configuration: a regression loss, root mean squared error as the…
The post proposes a stock screen combining a daily high-low range threshold with return on equity above 15% for five consecutive years, alongside a 2021 performance condition. It frames the range as a way to select more volatile stocks and sustained ROE as a…
This Chinese A-share screening proposal combines a technical condition with revenue growth and a short-term trend filter. It selects stocks with RSI below 65, revenue in 2021 more than 1.1 times revenue in 2018, and a rising 30-day moving average. The…
This article outlines a monthly A-share stock selection example built from gross margin, return on equity, and a cash-flow-per-share to earnings-per-share measure. It notes that financial statements update infrequently and that related accounting variables…