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 proposed Chinese equity screen combines three types of filters: a metaverse industry classification, a rounded-bottom chart pattern, and valuation ranges for Shenzhen main-board stocks. It specifies price-to-earnings and price-to-book bounds, presenting…
This Chinese A-share screening idea combines moving-average structure with company size and profitability filters. It seeks stocks with at least five moving averages overlapping, today’s moving averages spreading upward, market capitalization below 10…
This weekly report compares three Huatai fundamental stock-selection portfolios during a market pullback: a high-dividend-yield model, a low price-to-sales model, and a relative price-to-earnings model. It reports absolute returns, benchmark-relative…
This note proposes screening equities for a daily price range greater than one, return on equity above 15% in each of the past five years, and a “control” reading above 21. It frames the range and control reading as technical or money-flow clues, while…
This report applies the Fama-French three-factor framework to China’s A-share market, examining monthly evidence from April 2010 through October 2022. It describes the market excess return factor, SMB for company size, and HML for book-to-market, with SMB…
This monthly allocation report describes a strategic portfolio framework that maps broad asset holdings to underlying macroeconomic risks. It uses principal component analysis to define five factors—economic growth, interest rates, credit, term spread, and…
This article turns James O’Shaughnessy’s value-investing principles into a monthly Chinese equity screen. It favors companies larger than the market median in market capitalization and share capital, then ranks stocks using cash-flow yield, sales yield, and…
This Chinese-language strategy note combines two China A-share stock-selection approaches: a small-cap, low-turnover portfolio and a dividend-focused portfolio that excludes the smallest stocks. The first ranks eligible stocks using market capitalization and…
This Chinese-language post outlines an equity screen that ranks stocks by capital activity, requires the 20-day moving average to exceed the 120-day average, and selects companies whose 2021 revenue is more than 1.1 times their 2018 revenue. The proposed…
The post proposes screening Chinese stocks for daily turnover between 3% and 12%, year-over-year growth in net profit attributable to parent-company shareholders above 20% and at most 100%, and floating market capitalization between 5 and 10 billion yuan. It…
This document reviews an empirical comparison of machine learning approaches for forecasting monthly returns in China’s A-share market. The described process trains models on prior data, uses a validation period for tuning, and tests predictions out of…
The document summarizes a study of machine learning models for predicting monthly Chinese A-share returns. It describes a rolling, annual retraining design that uses lagged stock and macroeconomic factors, with separate training, validation, and test…
This Chinese equity selection rule screens companies classified in the metaverse industry. It requires the previous day’s actual turnover rate to fall between 3% and 28%, and year-over-year growth in net profit attributable to parent-company shareholders to…
The document outlines a workflow for building equity strategies that adapt their stock-selection logic to market conditions. It proposes measuring market sentiment with signals such as the number of limit-up stocks and average returns, then adding industry…
This study examines how factor information decay can guide multi-factor stock selection. It defines a factor’s half-life from the time required for its information coefficient (IC), or IC information ratio (IC_IR), to fall to half its initial level. The…
The proposed Chinese equity screen combines an RSI reading below 65 with a qualitative filter for favorable company type and a dividend payout ratio above 25% for 2019. The article describes the payout ratio as a measure of company returns and quality, then…
This document describes a Chinese A-share screening idea that combines technical conditions with a historical dividend filter. It seeks stocks with RSI below 65, weekly MACD above its zero line, and a dividend ratio above 25% for 2019. The accompanying…
This research note describes an enhancement strategy for China’s CSI 1000 small-cap equity index. It combines factors representing valuation, growth, trading behavior, capital flows, and network relationships within index constituents. After neutralizing for…
The document proposes a stock screen that combines technical weakness with a fundamental growth condition. It selects stocks with RSI below 65, seven consecutive sessions in which the close is below the open, and year-over-year growth in net profit…
This Chinese equity screen focuses on metaverse-related stocks with prior-day actual turnover between 3% and 28% and return on equity above 15% for five consecutive years. The note interprets turnover as a measure of trading activity and persistent ROE as a…
The document presents a China A-share screening approach that begins with companies associated with the metaverse theme and high prior-day turnover. Its proposed expanded screen adds exclusions for flagged stocks, return on equity above 10%,…
This weekly review compares style-factor performance across Chinese equity universes and summarizes quantitative public-fund returns against broader stock and equity-oriented funds. It reports that price and trading activity related factors—including…
The article describes a method for estimating consensus net profit from analyst forecasts and using that estimate to build equity selection signals. It weights forecasts by report recency and by each analyst’s prior adjusted forecast error, giving greater…
This Chinese-language post proposes a simple A-share stock screen: select companies classified in the metaverse industry, with circulating shares no greater than 5.5 billion, and year-over-year growth in net profit attributable to the parent company above…