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 stock-screening proposal ranks shares by capital activity, looks for a newly formed KDJ golden cross, and requires 2021 revenue to exceed 2018 revenue by a stated ratio threshold. It presents turnover and trading volume as proxies for investor…
This brief overview introduces genetic programming as an evolutionary approach to generating quantitative investment factors. It describes starting with basic data inputs and mathematical operators, then iteratively evolving candidate expressions through…
The document presents a Chinese equities screening rule using turnover, circulating share count, circulating market value, and the early-session price move. Its stated final criteria require turnover no greater than 12%, circulating market value above 100…
The document describes using genetic programming to discover stock-selection factors from intraday price and volume data. Factor expressions are represented as trees; successive candidate populations are produced through selection, crossover, and mutation.…
This document catalogs built-in factor datasets for Chinese A-share equities. The listed fields span price history, returns, volume, trading value, turnover, active money flows, valuation ratios, financial statement measures, analyst forecasts, shareholder…
This research summary reviews several empirical findings drawn from macroeconomic and equity data. It reports that principal components built from 132 monthly macro series across 15 categories produce eight factors that explain a stated share of the next…
This report describes combining event-driven signals with a multi-factor stock selection model for Chinese equities. It first recommends estimating event-related abnormal returns with cross-sectional regressions that control for industry and market-cap…
This document describes a Chinese equity screening rule that combines a technical filter with a revenue-growth condition. It selects stocks with a 14-period RSI below 65, excludes a market segment identified in the source, and requires revenue growth over…
This report proposes analyzing stocks within distinct domains, such as broad-market groups, market segments, and industries, to capture differences in their investment drivers. It argues that fitting factors within these groups can address nonlinear market…
The document presents a stock screening approach that combines a momentum indicator, reported earnings growth, and a short-term MACD signal. Its revised version selects stocks with RSI below 65, parent-company net profit growth above 20% and no more than…
This Chinese stock-screening example combines three filters: daily price amplitude above 1, prior-day actual turnover between 3% and 28%, and 2021 revenue greater than 1.1 times 2018 revenue. The intended idea is to select stocks showing trading activity…
The document describes a rules-based screen for Chinese equities. It selects stocks with codes beginning with 60 that listed during 2021 and had average turnover rates between 3% and 12% over the specified year. The rationale offered is to focus on…
This stock-selection idea combines a capital-strength ranking with a concentration filter. The document describes capital strength as a stock’s share of overall market trading volume and concentration as the portion of market volume accounted for by the top…
This document outlines a value-oriented stock selection framework attributed to investor Robert Rick. It assesses companies across three broad dimensions: valuation, dividend policy, and financial condition. The framework is said to contain five largely…
The document describes a way to turn minute-level price and volume data into monthly stock selection factors. It recommends a two-stage process: first summarize each stock’s intraday trading behavior, then aggregate those daily characteristics over the…
The document outlines a Chinese stock screen that ranks candidates by capital-flow strength, requires positive institutional net inflow, and limits selection to companies below a stated market-cap threshold with no recent losses. It explains the signals as a…
This proposed A-share screen selects stocks with a price-range measure above 1, that did not close at the limit-up level the previous day, and that recorded return on equity above 15% in each of the past five years. The post frames the range condition as a…
The post describes a stock screen that selects shares with turnover between 3% and 12%, an IPO year of 2021, and a listing date later than a specified cutoff. Its accompanying Python example retrieves security data and filters by IPO year, listing date,…
This 2018 outlook reviews public and private fund performance through the first four months and discusses how market conditions might shape strategies in the second half of the year. It favors cautious equity exposure, quality growth, and absolute-return…
This project plan outlines VeighNa’s intended 4.0 development, including support for Python 3.13, framework refactoring, improved logging and API bindings, updated packaging and code-quality tools, and expanded trading gateways and applications. It describes…
This study examines whether investors can incorporate environmental, social, and governance information into value, growth, and momentum equity strategies without materially harming financial results. It builds multidimensional style scores, uses past…
The document introduces equity factor analysis through a 44-day price-based momentum measure and explains how to test it by sorting stocks into equal-sized groups. Comparing the groups’ future returns can reveal whether performance changes consistently with…
This report summarizes research on momentum spillovers: stocks may react slowly to news about related firms when investors and analysts have limited attention. It presents shared analyst coverage as a general way to define those links. The measure, called…
This Chinese-language post describes a stock screen for robot-related companies. It requires turnover between 3% and 12%, year-over-year net profit growth attributable to the parent company above 20% and at most 100%, and circulating market capitalization…