Stratmill tyrimų agento parengtos knygų, straipsnių, mokslinių darbų ir kodo, kuriuos skaito mūsų DI agentai, santraukos ir pagrindinės mintys. Kiekviename puslapyje pateikiama nuoroda į originalą.
3,481 dokumentų
This report summary describes ways to derive equity selection factors from the distribution and time patterns of individual trade amounts within each minute. Proposed statistics include quantiles, standard deviation, skewness, and kurtosis. It also discusses…
This forum question concerns two lines in a portfolio trading template that limit how much cash may be allocated to an instrument. The poster asks whether the instrument is a stock selected by a prediction step, whether the maximum cash parameter is the…
The document outlines a portfolio construction method for fund-of-funds portfolios targeting absolute returns. It combines Black-Litterman expected-return estimates, which blend market equilibrium returns with investors’ absolute or relative views according…
The speaker argues that quantitative investing should combine statistical description, machine learning prediction, and economic or financial theory. These serve different purposes: describing data, forecasting outcomes, and explaining underlying mechanisms.…
This Chinese equity screening proposal selects stocks with MACD above zero, applies filters based on company type, and excludes the technology innovation board. The post presents the approach as combining a technical signal with company classification. It…
This document examines Chinese A-share stocks that lose an ST designation after financial or other problems are resolved. It frames the removal as a potentially positive corporate event and discusses prediction based on periodic financial reports and…
This article describes a customizable stock-selection strategy built around five rules, mainly intended to identify oversold shares that may be stabilizing, with some rules aimed at potential upward moves. It contrasts platform-generated AI strategies, which…
The document explains the Sharpe ratio as portfolio excess return over a risk-free rate divided by portfolio return volatility. It identifies the portfolio return, risk-free rate, and standard deviation as the inputs, with short-term government debt offered…
This research summary compares 17 machine learning approaches with conventional linear methods for predicting stock excess returns from 51 alpha factors. It describes splitting the prediction into two parts: an AR(1) forecast for return dispersion and a…
The document describes a monthly equity strategy based on market capitalization. At each month end, it ranks eligible stocks from smallest to largest by market value and buys the ten smallest. The portfolio holds those selections for the following month,…
This research note describes an equity timing framework that combines more than thirty indicators across liquidity, economic conditions, valuation, capital flows, technical signals, and investor sentiment. It aggregates the indicators into a score ranging…
This review summarizes research applying machine learning to monthly and annual returns for Chinese A-shares. The study combines stock characteristics, macroeconomic variables, and industry indicators, then compares linear models, tree methods, and neural…
This polemical essay argues that quantitative funds have an unfair advantage over retail traders, focusing on differences in settlement and trading rules. It claims that institutional strategies can exit or reverse positions rapidly while individual…
This document is a brief synopsis of a research report on strategic asset allocation and fund-of-funds investing. It says the report covers the research context, an asset-allocation framework, calculation models, and empirical strategy analysis. The subject…
This practitioner report describes experiments using a deep neural network to select stocks for a rapid rotation strategy. The model labels stocks by their subsequent return over a short holding interval, divides outcomes into ranked classes, and uses a…
This assignment analyzes how a stock selection strategy’s exposure to market styles changes over time, then outlines a framework for rotating among factor strategies. The initial analysis uses a small-capitalization selection factor and compares strategy…
This note explains how to use TA-Lib functions in feature definitions. It distinguishes the function name from its inputs and clarifies that a feature label such as “ma” is only a name, while the expression supplies the price series and parameters. For…
The document summarizes research on shared movements across commodity markets. It reports that commodity return fluctuations often move together and that a common factor explains a substantial portion of their variation. The factor is closely associated with…
This research summary proposes an information-distribution uniformity factor, UID, based on the idea that uneven arrivals of information create changes in share-price volatility. It uses intraday stock data to calculate daily high-frequency volatility, then…
This forum exchange addresses how to skip a planned stock purchase when the stock opens more than 9% above its previous close. The suggested workflow is to add the opening price and prior close to the prediction dataset, merge those values with the…
DynamicRS is a price indicator built from comparisons among the current bar's high or low, the corresponding value on the previous bar, a value from a specified number of bars earlier, and the prior indicator reading. When the high-side conditions are met,…
The article reviews research on salience theory in equity pricing. Investors are proposed to overweight unusually prominent past returns relative to the market: strong standout gains can attract demand and raise prices, while conspicuous declines can depress…
A user asks whether a futures position should be counted at its full market value or at a value adjusted for margin when a strategy calculates returns by adding asset value and cash. The reply emphasizes that futures use margin and daily settlement, so their…
This research summary considers how the CSI 300 might change if Chinese companies listed overseas returned to mainland China. It notes that trade tensions and tighter US oversight were associated with weaker performance of US-listed Chinese stocks relative…