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 screen combines a buying-activity condition, year-over-year growth in net profit attributable to parent shareholders, and a revenue comparison across two reported years. The article initially specifies profit growth above 20% and up to 100%, with…
This strategy screens A-shares for turnover between 3% and 12%, market capitalization below the stated 10 billion yuan threshold, and no losses. It then applies an ownership-concentration rule involving a low combined stake for the five largest shareholders…
This research summary describes factors built from intraday snapshot data to measure the relationship between stock prices and trading volume. The reported premise is that price-volume divergence may precede higher returns whether prices are rising or…
This report describes a stock-selection approach that optimizes portfolio weights while constraining market-cap, industry, and style exposures. Its goal is to retain exposure to alpha factors while limiting unwanted variation from other risk factors. The…
This Chinese-language announcement outlines an advanced course on developing machine learning cross-sectional multi-factor strategies with VeighNa. Its subject matter includes factor data preparation, feature cleaning, target selection, model training and…
This note presents a stock screen for Shenzhen Main Board names. It combines amplitude above 1%, a rounded or arc-shaped price pattern, a trailing price-to-earnings ratio from zero to 29.01, and a price-to-book ratio no higher than 3.11. The article…
This note outlines two ways to include industry or sector membership in stock factor research. One approach treats each industry or sector as a grouping variable and compares the cumulative returns of its constituent stocks, effectively studying group…
This 2020 research summary analyzes the Silver Hua CSI Innovative Drug Industry ETF and its underlying index. The index selects up to 50 listed companies associated with innovative drug research, ranked by market capitalization. The report discusses the…
The document introduces the case for identifying actively managed industry theme funds in China’s A-share market. It describes pronounced differences in industry returns and rotation over the prior decade, with some sectors producing strong gains even when…
This article explains a holdings-based panel regression approach to evaluating mutual fund performance. With stock fixed effects, a conventional performance measure can be separated into time-series ability (TSA), reflecting whether changing portfolio…
This review examines whether published indicators of future mutual-fund performance retain their predictive power outside the periods in which they were studied. It compares high-minus-low portfolio alpha spreads and cross-sectional regression slopes across…
This article translates an investor’s concentrated value approach into a quantitative stock-selection framework. It seeks companies with reasonable valuations, durable operating performance, substantial insider ownership, and share prices below their recent…
This Chinese A-share screening proposal combines three filters: at least five moving averages are described as coinciding, market capitalization is capped at 10 billion yuan, and the company must have reported no loss and a 2019 dividend payout ratio above…
This screen combines three signals for Chinese equities: institutional net buying above a stated threshold, a measure of recent institutional accumulation above a threshold, and a high dividend payout ratio from 2019. It presents the buying measures as…
This research roundup summarizes two studies. The first compares the Fama–French five-factor model with a version that adds momentum, then considers replacing the standard value factor with a more immediate value measure. The summary says the six-factor…
The article explains how a multi-asset daily market-data panel can be turned into model-ready factor and label tables. It separates the workflow into defining train, validation, and test date ranges; adding feature expressions and a future-return label;…
This research summary argues that broker stocks deserve separate modeling within CSI 300 enhancement portfolios because the sector has a meaningful index weight and tends to move differently from other industries. It tests stock-selection factors within the…
This post proposes a daily stock screen run after the market opens, combining four filters: a five-period amplitude measure above one, a change in an institutional trading-flow proxy, a positive and rising robotics concept signal, and circulating market…
This Chinese-language competition update reports diagnostics for the ten highest-ranked anonymous factors and tracks a CSI 1000 index-enhancement portfolio. It describes average style exposures estimated through daily multivariate regressions and…
The document asks how to express a proposed factor in a platform's formula language. The factor is defined as the negative correlation, over a rolling interval, between a security's VWAP series and its volume series. In principle, this transforms the…
The post proposes a Chinese stock screen that ranks companies by a capital-flow strength measure, while also requiring a minimum scale and limiting market capitalization. It presents the flow measure as an indicator of relative inflows versus outflows, and…
This research summary compares monthly factors built from price and volume data with quarterly factors built from financial statements. It reports that market data factors were more often effective in long-short portfolios, and examines their relationship…
This broker research summary frames 2022 opportunities in China’s computer and software sector through policy support, downstream demand, and investment themes. It points to national digitalization plans, industrial software development, and broader…
The research note studies tail dependence between individual stocks and the broader market. Using copulas, it estimates upper-tail and lower-tail correlation, which describe whether assets tend to move together during extreme outcomes. The reported…