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 study summary describes a framework for assessing the business climate of China’s telecommunications sector by combining supply and demand conditions, listed-company fundamentals, and macroeconomic conditions. Supply and demand measures capture…
This Chinese stock-screening proposal combines price amplitude, a daily control-related measure, and afternoon large-order net inflows. Its revised version adds fundamental filters: price-to-book should fall in the market’s lowest quartile, while dividend…
This post outlines a Chinese equity screen based on capital strength and company scale. It proposes ranking stocks by a capital-flow measure and selecting firms above a stated size threshold, using 2021 data. The suggested measure relates net inflow to…
This weekly Chinese market report reviews rising equity indices, fund positioning, sector valuations, futures, and quantitative factor behavior. It assesses the alpha environment using cross-sectional volatility and time-series volatility in the CSI 300 and…
This report introduces environmental, social, and governance investing and outlines six approaches, including exclusions, positive screening, ESG integration, thematic investing, and shareholder engagement. It compares MSCI and Thomson Reuters rating methods…
This A-share stock screen combines a turnover range of 3% to 12%, market capitalization below 10 billion yuan, and positive profitability indicators with signs of institutional accumulation. The proposed selection logic also examines buying and selling…
This post outlines a Chinese equity selection idea that ranks stocks by capital strength and filters for a 2021 date reference and a 2019 dividend payout ratio above 25%. It interprets stronger capital inflows as a possible sign of market interest and a high…
This weekly report surveys Chinese equity-selection factors built from intraday trading behavior. Examples include return skewness, downside-volatility share, buying interest and large-order net buying after the open, late-session trading share, average…
This article explains how to simplify factor research by converting many distinct raw values into a smaller number of bins. Its example is a daily return factor across thousands of stocks, where nearby values may be treated as equivalent for exploratory…
This note presents a China A-share screen for companies associated with beverage and alcohol activity. It combines turnover between 3% and 12% with a positive institutional-holding or institutional-activity measure. Example formula and Python snippets show…
This Chinese-language post outlines an A-share screening idea that combines high capital flow strength, a stock average price above its five-day moving average, and a 2019 dividend payout ratio above 25%. It explains these filters as proxies for investor…
This introductory tutorial explains machine learning concepts before focusing on linear regression. It defines features and labels, distinguishes supervised from unsupervised learning, and outlines classification, regression, clustering, and parameterized…
This research summary examines whether analyst earnings forecast errors can help select stocks. It reports that realized forecast errors are strongly negatively associated with subsequent returns: stocks with smaller errors performed better in the described…
The document describes a Chinese stock selection screen combining turnover, parent-company net profit growth, market capitalization, and a non-loss condition. It selects stocks with turnover between 3% and 12%, year-over-year net profit growth above 20% and…
This weekly report presents diagnostics for the ten highest-ranked anonymous factors in a Chinese quantitative research competition. It describes average style exposures estimated with daily multivariate regressions and average industry-level Rank ICs, the…
This update log describes changes to a Chinese equity screening expression. The initial filters included a trailing price-to-earnings ceiling and a minimum listing age. The author then replaces a fixed floating-market-capitalization threshold with a…
The document presents a Chinese equity screen for robot-themed stocks with circulating market capitalization below 10 billion yuan, a daily high-to-low range above one percent, and codes beginning with 60. It then expands the proposed screen with valuation…
This literature digest covers two topics. The first evaluates asset-pricing factor models using the maximum squared Sharpe ratio. It describes comparisons among nested models, from CAPM through three-, five-, and six-factor specifications, and non-nested…
This analysis examines whether unusually strong net fund flows coincide with investors switching between small-cap and large-cap equity styles. It defines net inflow by subtracting active selling from active buying across large, medium, and extra-large…
This post outlines an equity screening rule using a daily high-low range threshold, sustained return on equity, and a bounded turnover ratio. Its rationale is to combine a minimum level of price movement with evidence of profitability and a middle range of…
This report summarizes tests of equity factors across industries, covering cash flow, valuation, company size, momentum, liquidity, volatility, beta, and alpha. It compares factor performance using portfolio net value and ranking differences, and discusses…
This review describes a model in which equity factors move through normal conditions, periods of value weakness, and subsequent reversals. The value drawdown may reflect a rally in growth stocks or a collapse in value stocks; reversals then differ according…
This Chinese equity screening idea ranks stocks by a capital-strength measure based on indicators such as turnover and trading value, then filters for at least two limit-up sessions in a 500-day window and a dividend payout ratio above 25% for 2019. The…
This research summary explains a model in which product-market competition and expected asset returns influence one another. Competition can reduce profit margins, increasing firms’ operating leverage and exposure to systematic shocks. Threats from new…