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-language post proposes an A-share stock screen that combines a technical condition with earnings growth and dividends. It selects stocks with RSI below 65, year-over-year growth in net profit attributable to parent-company shareholders above 20%…
This research surveys how several forms of Chinese Level 2 market data can support equity signals: minute bars, order-book snapshots and queues, and transaction-level records. It describes factors based on intraday return shape, downside variation,…
This research describes a bond-fund selection method built around return attribution. It expands the Campisi framework—which separates income, government-rate, credit-spread, and security-selection effects—with convertible-bond and monetary-policy effects.…
This 2018 weekly report reviews a sharp post-holiday decline in Chinese equities, noting that large-cap leaders held up better than smaller companies. It interprets price structure, valuation, and long-term support as signs that the market was in a potential…
This A-share stock screen combines a 14-period RSI below 65 with parent-company net profit growth above 20% and no more than 100%, plus at least one limit-up event within the prior 25 days. The article explains the conditions as a blend of technical…
This stock-selection idea combines three short-term conditions: daily amplitude above a threshold, at least one limit-up event during the past month, and a positive ten-day return below an upper bound. The article’s proposed refinement adds a PEG ceiling,…
This guide outlines a workflow for preparing a factor research report for a quantitative trading competition. It recommends generating factor data, then using BigQuant’s FactorLens v4 to calculate single-factor results. The platform returns ranking metrics…
This short forum post asks whether a linear equity strategy can compare a stock’s ranking when purchased with its current ranking and sell after sufficient deterioration. The example uses a small-capitalization strategy holding ten stocks: a stock bought at…
This research summary argues that banks should be modeled separately in equity selection because their asset-heavy business structure and distinctive price behavior can make factors selected across the full market less effective within the sector. It…
This document presents an A-share stock screen using turnover between 3% and 12%, total market capitalization below 10 billion yuan, positive earnings, and tradable market capitalization between 5 billion and 10 billion yuan. The formula also orders…
This Chinese-language post outlines an equity screen that combines daily price range, five years of return on equity above 15%, and prior-day actual turnover between 3% and 28%. It presents the mix as a way to select shares with price movement, sustained…
This monthly review evaluates equity factors using information coefficient (IC) relationships with subsequent prices and market- and industry-neutral long-short returns. It reports that growth and turnover factors were relatively consistent over the latest…
The document presents volatility of volatility (VoV) as a proxy for uncertainty about an asset’s probability distribution, distinct from ordinary risk. It argues that investors tend to avoid stocks with greater ambiguity and may favor stocks whose prospects…
The document outlines a Chinese equity screen for stocks in the metaverse sector, using circulating market capitalization and historical returns as filters. Its initial description says to require market capitalization above a stated threshold and positive…
This stock-selection idea combines three filters: price amplitude greater than 1, the 9:25 price gain below 6%, and revenue in 2021 more than 1.1 times revenue in 2018. It frames the filters as a blend of volatility, a short-term price condition, and…
This stock-selection rule combines daily price amplitude above 1, RSI below 65, and revenue in 2021 more than 1.1 times revenue in 2018. The document describes the mix as a way to pair technical conditions with a measure of company growth. Its formula and…
This Chinese community post outlines an equity screen combining a price-range condition, five consecutive years of return on equity above 15%, membership in a robotics-related concept group, and circulating market value below 10 billion yuan. It presents the…
This Chinese A-share screening strategy combines a technical condition, a fundamental growth condition, and a market price filter. It selects stocks with RSI below 65, year-over-year growth in net profit attributable to parent-company shareholders above 20%…
This Chinese equity screen combines a positive MACD reading with positive price change and positive large-order net buying. It also limits candidates to companies with market capitalization at or below 10 billion yuan and positive profit. The article frames…
The document explains how multi-factor models describe asset returns through factor exposures, factor returns, and asset-specific residuals. It presents Barra as a framework for estimating portfolio risk by combining factor covariance with specific risk, and…
This research summary examines whether trading behavior can serve as a proxy for speculative intensity in Chinese A-shares. It studies four measures: idiosyncratic volatility, idiosyncrasy, price delay, and size-adjusted turnover. The proposed intuition is…
This research summary examines whether trading behavior can serve as a proxy for speculative intensity in Chinese A-shares. It studies four measures: idiosyncratic volatility, idiosyncrasy, price delay, and size-adjusted turnover. The proposed intuition is…
This forum post raises a factor-construction question about accessing older financial statement observations beyond a platform's precomputed factors. The example is operating revenue: the author understands the suffix-zero field to represent the latest…
This stock screen selects companies assigned to the metaverse industry using two size conditions: circulating shares at or below 5.5 billion and a stated size threshold of at least 200 million. The document presents the screen as a way to find larger…