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.
5,922 documents
This note describes a Chinese equity screen combining three conditions: daily amplitude above 1, no limit-up close on the prior day, and an opening price near the 10-day moving average. It frames amplitude as a way to find more active stocks, excludes recent…
This report presents a three-layer fundamental quant framework: macro indicators and scenario analysis, sector-level earnings and valuation measures, and portfolio strategies. Its macro view combines growth, monetary and credit conditions, and inventory…
This report excerpt reviews several Chinese equity strategies for the week ending around July 19, 2020. It says valuation and quality factors performed relatively well while momentum weakened. The CSI 300 and CSI 500 enhanced portfolios both declined for the…
The document describes a framework for deciding whether a candidate multifactor strategy adds value alongside a portfolio of smart beta exposures. It models each advanced beta as a combination of exposures to a small set of investable “elementary” factors,…
This study builds a convertible-bond strategy that separates bonds into equity-like, balanced, and bond-like groups using parity premium relative to bond value. It models each bond as a floor component plus option time value, then examines where factor…
This research proposes treating convertible bonds differently according to whether they are bond-like, balanced, or equity-like, classified by the premium of parity value over bond value. It explains a valuation decomposition in which a bond floor or…
This configuration describes a Qlib workflow for training a KRNN model on China’s CSI 300 universe with Alpha360 features. It sets a historical data range, uses robust feature normalization and cross-sectional label ranking, and defines a two-day forward…
This training overview outlines a proposed workflow for using multimodal large language models in quantitative investing. It combines time-series databases, knowledge graphs, and reinforcement learning in a pipeline that connects data, signals, and portfolio…
The report describes a framework that combines strategic asset allocation with tactical timing. Strategic weights favor assets that are relatively strong under different economic conditions, while tactical adjustments change overweights and underweights. Its…
These release notes describe updates to Hummingbot, an open-source crypto trading platform. Trading-relevant changes include market-order support on selected exchange connectors, new exchange and blockchain integrations, and example scripts for equal-weight…
This report analyzes the performance and portfolio of a Chinese mixed equity fund managed by Lin Yingrui. It describes the manager’s approach as selecting leading companies in sectors linked to China’s economic transition while adjusting broad asset…
This excerpt argues that investors should study the long-term history of securities rather than overreact to short-term price or earnings changes. It notes that buying and holding diversified equities can deliver market-level results, while beating the…
The article introduces mutually exclusive events as outcomes that cannot happen at the same time, then applies the idea to investment choices constrained by a limited budget. It contrasts positions that cannot be held together under its example budget with…
This tutorial explains how to define a reusable universe of securities for historical data collection and strategy research. It starts by querying a securities master database into a table, where each instrument has a unique security identifier. If the…
This study examines macro momentum across stock markets and its use for timing Chinese equities. It differs from price-based trend following by using macroeconomic indicators to generate signals. For a universe of 24 country equity indexes, it considers…
This Chinese-language research summary explains how short-lived signals derived from stock price and volume data can complement slower fundamental alpha in a monthly index-enhancement portfolio. It outlines a structured risk model based on Barra USE4, with…
This document summarizes a research paper on factor timing, connecting it to market timing and factor investing. Its theoretical starting point is that an optimal portfolio corresponds to the stochastic discount factor (SDF). Under a conditional factor model…
The strategy compares two portfolios drawn from a basket of cryptocurrencies: one is rebalanced daily to equal weights, while the other starts equally weighted and is left to drift. It takes a long position in the rebalanced portfolio and a short position in…
The module implements the two-step Engle–Granger approach to constructing a portfolio intended to be mean reverting. It uses ordinary least squares to regress a chosen dependent asset’s price on the other price series, defaulting to the first input column as…
This guide explains how to run trading strategies against historical market data in OctoBot. The workflow is to select a profile, download data for the desired pairs and timeframes, run the backtest, and review the report. It describes how starting funds and…
The question asks how to limit the capital assigned to any one stock to 20% of the portfolio. The response refers to a calculated weight for a stock and places an order targeting a percentage of portfolio value. This points to a useful portfolio-construction…
This article offers a checklist for choosing strategies from a trading community. It first asks investors to set their capital, acceptable drawdown, and return expectations, then distinguishes conservative from aggressive choices. The conservative profile…
This document outlines a common set of measures for evaluating trading performance: cumulative and annualized returns, annualized volatility, the Sharpe ratio, and maximum drawdown. It gives mathematical definitions for the return, volatility, and Sharpe…
This weekly Chinese equity research note tracks index-enhancement portfolios benchmarked to the CSI 300, CSI 500, and CSI 1000, and monitors single-factor portfolios within those indices and a public-fund-heavy-stock universe. Its portfolio construction is…