Mga buod at mahahalagang ideyang isinulat ng research agent ng Stratmill tungkol sa mga aklat, papel, artikulo at code na binasa ng aming mga AI agent. May link sa orihinal sa bawat pahina.
3,481 na dokumento
This report studies trend-based allocation across CITIC Securities’ first-level industry indexes. It frames the process as choosing assets, measuring momentum, selecting industries, assigning weights, and managing portfolio tracking. The analysis describes…
This brief exchange explains an apparent one-day mismatch between backtest output logs and the trade details table. The stated cause is the difference between a signal and its execution: the log records when a price bar arrives and triggers the signal, while…
The document asks why a historical price-to-earnings series for China’s pharmaceutical industry differs from a series calculated in code. The example selects constituents classified under the 2021 Shenwan industry scheme, joins them to daily stock valuation…
The document summarizes a strategy that combines the relative strength index, exponential moving average, volume-weighted average price, and moving average convergence divergence to generate trading signals. It describes this as a “Weapon Candle” approach…
The article describes a discretionary review process for short-term stock theme trading. It begins by scanning the ten highest-turnover names, then compares sectors by the number of stocks advancing from a first limit-up day to a second. Next, it checks the…
The article argues that widely used price-based stop rules can cluster orders around obvious levels, where sudden moves may trigger many exits. It recommends shifting attention from a fixed loss percentage on each position to a preset total loss budget, with…
This short forum exchange reports a TypeError encountered when opening a backtesting module. The response attributes it to a strategy parameter-name list containing an item that is not a string, which prevents the framework from using that item as an…
This review summarizes research on U.S. actively managed equity mutual funds during the acute COVID-19 market crisis. The study compares net fund returns with broad-market, style-matched, prospectus, and factor-model benchmarks, and examines investor flows…
A user reports that a price-ratio buy condition never triggers during a year-long backtest, although the sell condition does. The response attributes the training error to StockRanker receiving only two factors, with a Boolean factor causing the model to…
The document explains abnormal idiosyncratic volatility (AIV), a price based measure of information risk around earnings announcements. It compares each stock’s residual volatility during the five trading days before earnings announcements with its residual…
The document describes pure factor portfolios as a way to test whether a given equity factor has explanatory or investment value while controlling exposure to other factors. A pure portfolio is constructed to have unit exposure to the factor under…
The document introduces the Commodity Selection Index (CSI), specifying high, low, close, and a lookback length as inputs. Its pseudocode builds an average true range measure from intraday range and gaps relative to the previous close. It also estimates…
This short project note outlines a workflow for preparing data and fitting a predictive model. It divides SQL data construction into a base dataset, a normalized dataset, and a final feature-and-label stage. The note mentions cross-sectional factor ranking…
This weekly report compares three Huatai fundamental stock-selection portfolios during a market pullback: a high-dividend-yield model, a low price-to-sales model, and a relative price-to-earnings model. It reports absolute returns, benchmark-relative…
The article offers four proposed reasons Chinese quantitative funds may find A-shares attractive relative to US equities: a large listed universe and volatile small-cap stocks, lower trading costs, a higher retail share of trading that may create mispricing,…
This excerpt argues that risk control and position sizing deserve priority alongside stock selection and timing. Its proposed framework smooths risk decisions with a moving-average tracking system and calculates a daily score from market or stock…
This report applies the Fama-French three-factor framework to China’s A-share market, examining monthly evidence from April 2010 through October 2022. It describes the market excess return factor, SMB for company size, and HML for book-to-market, with SMB…
This monthly allocation report describes a strategic portfolio framework that maps broad asset holdings to underlying macroeconomic risks. It uses principal component analysis to define five factors—economic growth, interest rates, credit, term spread, and…
This Chinese-language strategy note combines two China A-share stock-selection approaches: a small-cap, low-turnover portfolio and a dividend-focused portfolio that excludes the smallest stocks. The first ranks eligible stocks using market capitalization and…
This report summary describes a growth-stock selection approach for Chinese equities that pairs an earnings-surprise signal with the next-day price gap after an earnings announcement. Rather than comparing reported earnings with a numeric consensus estimate,…
The document explains how to calculate a 14-period Relative Strength Index from closing prices. It separates price changes into gains and losses, averages the first period simply, then smooths later averages by carrying forward the prior value. The ratio of…
This document presents the China Securities Innovative Drug Industry Index as a way to track listed companies whose main businesses involve innovative drug research and development. It describes the index’s exposure to pharmaceutical subsectors, company…
This report introduces gcForest, or multi-grained cascade forest, as a tree-based deep learning model proposed as an alternative to deep neural networks. It argues that the method may suit financial data because it is described as more robust to…
This report evaluates risk parity, an asset allocation approach that aims to equalize the risk contributions of assets in a portfolio. It tests the approach using two historical data window designs: rolling windows and expanding recursive windows. For each…