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 excerpt introduces the Fama–French three-factor model as an extension of the Capital Asset Pricing Model. It focuses on two return patterns associated with the model: smaller companies have historically earned more than CAPM would predict, and stocks…
The document discusses why high-frequency equity factors may appear strong in isolation but fail to improve stock-selection portfolios. Even after orthogonalization against common equity factors, a signal can have a high information coefficient and strong…
The document describes a problem in equity factor models: high-frequency factors can show strong overall information coefficients and long-short returns after being orthogonalized against common factors, yet fail to improve a portfolio when used for stock…
This post outlines an equity screening approach that combines turnover, circulating share count, market capitalization, relative strength, and return on equity. Its final stated criteria require turnover within a specified band, circulating market…
This Chinese-language post describes a stock-selection screen requiring price amplitude above one, a 2019 dividend yield above 25%, and a positive return. It presents the combination as a way to find shares with strong short-term performance and dividend…
This Chinese-language post proposes a stock screen for companies tagged with a robotics concept. It combines a minimum daily price amplitude, a circulating market capitalization ceiling, and a bounded turnover range. The post describes the filters as a way…
This document describes an equity screen that looks for stocks with return on equity above 15% for five consecutive years, turnover between 3% and 12%, and circulating market value between 5 billion and 10 billion yuan. It presents the ROE history as a way…
The document describes a Chinese equity strategy that screens for stocks trading below book value, excludes flagged or suspended shares and recent listings, then selects the smallest companies by market capitalization. It equally weights ten holdings and…
The strategy ranks currency futures using purchasing power parity data as a currency-value signal. Its description proposes a universe of roughly ten to twenty currencies, estimates fair values using OECD PPP figures adjusted with monthly CPI and…
The post proposes a Chinese equity screen combining daily price amplitude above 1, circulating market value above 10 billion yuan, and a positive institutional-flow measure. It interprets these filters as selecting active stocks with larger listed floats and…
This research note studies return skewness as a cross-sectional factor for commodity futures. It tests long-short and long-only portfolios across all contracts, agricultural contracts, and non-agricultural contracts, then explores lookback choices, ATR-based…
This proposed Chinese equity screen combines a turnover range of three to twelve percent with concept and valuation filters. It targets stocks associated with robotics and beverage or alcohol-related business, limits circulating market value to below one…
This proposed Chinese equity screen selects metaverse-related stocks with return on equity above 15% for five consecutive years and an opening price near the 10-day moving average. The article frames the ROE history as a way to identify sustained…
This document describes a Chinese equity screen for stocks classified in the metaverse sector. Its stated conditions are holder concentration below 20% and an opening price near the 10-day moving average. The rationale offered is to combine an industry…
This overview introduces VeighNa’s alpha research framework as a linked workflow for equity research: organize local market and constituent data, build factor and label datasets, train prediction models, generate scores, and test portfolio strategies. It…
This document describes a stock factor that combines the relative value of bid and ask liquidity across the first five order book levels with a short-term price trend. It sums price times volume on each side, converts the bid-to-ask value ratio into an…
This course-page description outlines a workflow for developing multi-factor investment models, moving from factor testing to evaluation and combination. It highlights checking whether factors are effective and stable, standardizing and neutralizing them,…
This post describes a Chinese equity screen requiring turnover between 3% and 12%, a ratio of external to internal trading volume above 1.3, and a 2019 dividend payout ratio above 25%. The author frames these conditions as a way to combine trading activity…
The document summarizes a study that derives a listed-company default probability factor, MPD, from the Black–Scholes–Merton option-pricing framework under stated assumptions. It evaluates MPD as a measure of corporate credit risk and examines how portfolios…
This study summary describes using recurrent neural networks, including long short-term memory cells, to forecast stock movements separately by industry. The rationale is that firms in one sector may share common influences, while industries can differ in…
This report summary describes using gene expression programming, a heuristic inspired by biological evolution, to discover price-volume factors from short-horizon data. Because many candidate factors had weakly monotonic group returns or no excess return in…
This stock-screening note proposes selecting Chinese equities using trading range, circulating market value, and positive trailing net profit. Its stated formula uses market-value bounds, positive net income over the trailing twelve months, and the prior…
This Chinese equity screen combines membership in the metaverse sector, an arc-shaped price pattern, and a circulating market value between 5 billion and 10 billion yuan. Its example implementation further filters for stocks with a negative daily change and…
This A-share selection rule combines a turnover ratio between 3% and 12%, a newly formed KDJ golden cross, and year-over-year growth in net profit attributable to parent-company shareholders above 20% and no more than 100%. The post frames these as measures…