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
The note turns a discretionary stock method into explicit rules: admit a stock to an initial universe when its daily low stays above 99% of the 34-day moving average for ten consecutive days, buy when its profitable-chip proportion exceeds 73%, and sell when…
The document outlines a Chinese A-share screening strategy that ranks stocks by capital strength, filters for a pre-open indicated gain below 6%, and selects companies whose 2019 dividend payout ratio exceeded 25%. It suggests taking the top 100 by capital…
This research note examines an equity-selection factor built from differences in stock price behavior across the trading day. It reports that the original APM factor performed well in its in-sample period, weakened out of sample, and suffered a sustained…
The document compares a traditional Chinese equity strategy that buys the smallest market-cap stocks with a StockRanker model that ranks stocks using market capitalization as its sole feature. Both are evaluated over 2015–2016, illustrating how a…
The article reviews the 2021 revision of China's Shenwan industry classification and its possible uses in quantitative investing. The revision expanded coverage to A-shares, Stock Connect shares, and selected Chinese firms listed overseas, added three…
This 2020 China equity-sector note combines macroeconomic regime signals, earnings relative to valuation, trend signals, historical regime matching, and public-fund holdings to discuss sector allocation ahead of interim reports. It argues that weaker growth…
This proposed Chinese equity screen combines three filters: turnover between 3% and 12%, year-over-year growth in net profit attributable to parent shareholders above 20% and up to 100%, and positive institutional activity. The article presents the…
This article outlines a monthly stock-selection study based on transaction-derived capital-flow measures. It proposes screening 17 individual indicators, assessing their predictive ability and stability, combining selected measures according to financial…
This meetup summary covers several practical quant trading questions. It suggests examining order book behavior with Level 2 data when developing capital-flow signals, and describes using a Plotly heatmap to inspect correlations among factors. It also points…
This review describes machine-learning approaches to predicting stock returns from accounting data and company characteristics. It compares linear methods, including ordinary least squares, LASSO, and ridge regression, with nonlinear models such as random…
This submission reflects on a quantitative strategy test whose results changed substantially when the author replaced its default factors or broadened the stock universe to include main-board and ChiNext shares. The observation highlights two practical…
The article reviews research on whether individual commitment within US equity mutual fund management teams affects performance. It classifies managers as committed when they work only for one fund, and noncommitted when they also manage other funds. The…
The report studies whether intraday return distributions contain stock selection information beyond conventional daily factors. Using one-minute stock prices, it constructs factors from intraday return variance, skewness, and kurtosis, then examines…
This China A-share screening idea combines three conditions: amplitude above 1, a dividend ratio above 25% in 2019, and at least one daily gain of 10% or more during the most recent 25 trading days. The article frames these filters as a mix of volatility,…
This note tests an A-share stock screen inspired by a “Beautiful 50” concept. It selects companies using three annual-report criteria: net profit growth above 15%, return on equity above 15% for three consecutive years, and a price-to-earnings ratio below…
This note addresses a mismatch in factor analysis: a prediction set has been restricted by strategy conditions, so only a small number of stocks receive scores, while the analysis module still expects broad market coverage. The suggested response is to skip…
This screening proposal focuses on stocks classified in the metaverse industry. It requires a newly formed bullish KDJ crossover and a ratio of 2021 revenue to 2018 revenue above 1.1, equivalent to revenue growth greater than 10% across those years. The…
This Chinese stock-selection screen combines turnover between 3% and 12%, displayed best-bid volume greater than best-ask volume, and year-over-year growth in net profit attributable to the parent company above 20% and at or below 100%. The article frames…
This research summary revisits the capital asset pricing model by splitting daily stock returns into open-to-close intraday returns and close-to-open overnight returns. It reports that, in the US sample, beta is negatively related to intraday returns but…
This article describes a modification to random forest models that lets an investor express factor preferences directly in the tree-building process. Selected factors are forced to drive splits near the top of each decision tree, increasing their influence.…
This research note proposes an equity factor based on how each stock’s intraday volume pattern differs from the market’s. It starts from the common U-shaped market volume profile and argues that a stock with unusually concentrated or uneven trading may have…
The post describes a Chinese stock screening idea that combines an RSI threshold below 65, membership in the metaverse theme, and a dividend ratio above 25% for 2019. It presents these as signals for market sentiment, sector interest, and company…
The proposed Chinese equity screen combines a positive MACD regime, ranking by capital-flow strength, and a high historical dividend measure. The article gives a screening description and sample code that also filters for positive earnings per share, market…
The document outlines a stock screen that combines a technical condition with company characteristics and revenue growth. Its stated selection rule looks for MACD above zero, excludes several enterprise types, and requires 2021 revenue to exceed 2018 revenue…