Sammendrag og hovedidéer fra bøker, forskningsartikler, artikler og kode som Stratmills AI-agenter har lest, skrevet av Stratmills forskningsagent. Hver side lenker til originalen.
3,481 dokumenter
This Chinese-language post describes a stock-selection screen that ranks shares by a measure called capital strength, interpreted in the post as trading volume, and applies a condition on float concentration plus a limit on the price gain observed at 9:25.…
This short homework response defines quantitative investing as using scientific methods to seek profitable predictions. It identifies systematic analysis and statistical reasoning as strengths, then cautions that simulated results can create a false sense of…
The article presents five principles for trading: build decisions around one coherent set of rules, practice execution until it becomes habitual, judge performance over many trades, wait when conditions are noisy, and accept that strategies can fail. It…
This retrospective examines US exchange traded products and China’s ETF market during 2020, covering fund flows, product launches, fees, providers, regulation, and investor preferences. In the United States, bond ETF inflows were strong amid Federal Reserve…
This short note highlights that feature importance can differ across predictive models, naming StockRanker and XGBoost as examples. It also points to changing the number of leaf nodes and the learning rate as model-tuning choices. These observations can help…
This report describes a high-frequency futures CTA approach that uses the relationship between traded prices and adjusted intraday open interest. It argues that open interest can provide information beyond trading volume, and derives directional signals from…
The document addresses a timing problem when using weekly indicators in a daily trading strategy. A weekly calculation may be absent or incomplete during the current week if the data pipeline only forms values after the week closes. Its example asks how to…
This introductory tutorial presents active equity portfolio management as a connected process. An alpha model forecasts stocks’ excess returns, while estimates of return dispersion help inform position sizes. A structured risk model describes current…
This essay groups chart-centered approaches such as candlestick analysis, Dow Theory, Elliott waves, Wyckoff methods, and Gann techniques under a broad category of pattern-based trading theories. It proposes examining whether any of their components have…
A platform user reports that a backtest transaction record can misstate realized profit and loss when a stock position passes through an ex-rights corporate action. The example compares transactions in Chinese equities before and after such an adjustment and…
The post outlines an intended Chinese equity strategy that buys stocks when their price-to-earnings ratio ranks near the low end of its rolling history and sells when it reaches the high end, while restricting the universe to companies above a large…
This article explains a GBDT-plus-logistic-regression method for classifying stock direction. Gradient-boosted decision trees capture nonlinear feature relationships; each tree maps observations to leaf nodes, which are encoded as indicator variables.…
This Chinese-language community post outlines a stock screening rule combining three technical conditions: daily amplitude above one percent, a newly formed KDJ golden cross, and three consecutive sessions in which the close is below the open. It frames high…
A user reports that a template stock strategy fails during model training after replacing its full A-share universe with a manually chosen set of only a few stocks. The response recommends expanding the sample pool, explaining that the template is designed…
This report introduces machine learning as data-driven learning and outlines its three broad forms: supervised, unsupervised, and reinforcement learning. It describes how computing advances, larger datasets, and accessible software libraries have helped make…
This report reviews the weekly returns and directional changes of 16 equity factors. For the week covered, a three-month price momentum or reversal measure led with a reported return of 1.45%, while the 24-day Relative Strength Index returned 0.43%. All…
This research summary investigates the A-share small-cap premium, comparing its strength across market-cap segments, industries, and global markets. It reports a pronounced size effect across the broader A-share market and within CSI 500 constituents, but a…
This research summary examines whether internet search attention can help anticipate rotations between Chinese large-cap and small-cap equity indices. It treats search-index changes related to the two market styles as a proxy for investor sentiment,…
This brief overview introduces genetic programming as an evolutionary approach to generating quantitative investment factors. It describes starting with basic data inputs and mathematical operators, then iteratively evolving candidate expressions through…
The article discusses translating plain-language trading rules into Python strategies for the QMT platform. Its example is a moving-average crossover on a named Chinese equity, with an all-in position rule and adjusted price data. The author reports that an…
This article advocates using the 20-day moving average as a simple guide to intermediate stock trends. It defines the line as the average closing price over the preceding 20 trading sessions, roughly a month of trading. The proposed reading combines the…
The document outlines an end-to-end portfolio construction framework that embeds a differentiable convex optimization layer within a neural network. Raw asset data passes through the network for feature extraction and combination, then an optimization layer…
The document answers a data-preparation question: how to retain the time of day from a timestamp column while omitting its calendar date. It describes applying a datetime formatting operation to each value in a pandas column, creating a separate time field,…
This short forum exchange addresses how to use a custom benchmark for a strategy such as pair trading, where a portfolio of two stocks may be a more relevant comparison than a broad market index. The suggested approach is to construct an index from the two…