Samenvattingen en belangrijkste inzichten van boeken, papers, artikelen en code die onze AI-agents lezen, geschreven door de onderzoeksagent van Stratmill. Elke pagina verwijst naar het origineel.
3,481 documenten
The document reports a question about inconsistent price bases in a Chinese stock strategy backtest. A user compares adjusted closing prices retrieved from a stock factor data table with a position cost price returned after placing an order. The former is…
The report evaluates ten equity valuation measures, including earnings, book, sales, cash flow, dividend, enterprise value, and growth based ratios. It first describes how factor levels vary across industries and company sizes, and how those relationships…
This research roundup describes two separate studies. The first examines the Stochastic Volatility Inspired (SVI) parameterization for modeling implied volatility surfaces. It reports theoretical results and empirical analysis suggesting that, under…
A forum question examines whether checking an asset's tradeability during a daily backtest is useful when the resulting order may execute on the following day. The concern is that an asset deemed tradable on the signal date could be suspended by the time the…
This research note describes a method for detecting support and resistance lines in Chinese A-share price data and studying breakout behavior. It defines slope patterns for continuation formations, including triangles, rectangles, flags, and broadening…
This forum exchange addresses two practical questions about factor analysis: how to submit a factor that needs Python processing beyond SQL, and whether factor values must exist for every stock on every trading day. The reply says the SQL field may be left…
The report examines how different types of restricted-share unlocks relate to stock performance before and after the release date. It describes supply pressure from newly tradable shares and anticipatory trading by other market participants as possible…
This summary of a Goldman Sachs outlook presents a framework for assessing China’s 2022 equity market across macroeconomic growth, corporate earnings, market cycles, policy, politics, regulation, and valuation. The report expected slower growth amid…
This reference explains how a futures platform derives performance and activity measures at four levels: individual accounts, weighted account portfolios, individual strategies, and weighted strategy portfolios. It maps daily balance, fees, margin, risk,…
The article proposes a discretionary screen for Chinese stocks that may be entering a strong upward move. It combines four price and volume features: at least one limit-up session in roughly the prior month, an upward price gap, a run of at least four or…
The document outlines a portfolio-allocation framework built around five macro risk factors: economic growth, consumer inflation, producer inflation, interest rates, and exchange rates. It describes constructing tradable factor proxies, reducing overlap…
The document shows a SQL query that combines Chinese stock data with valuation, profitability, growth, liquidity, leverage, turnover, and price-volume measures. Examples include book-to-market, earnings-to-price, sales-to-price, cash-flow-to-price, EBITDA…
This brief note frames Chinese A-share price-volume factors as potential signals of local trading behavior. It argues that prices can deviate from underlying value when trading activity affects how individual stocks are priced. Price reversal measures…
The document outlines an equity screening idea for mainland Chinese main-board stocks. It combines a robotics-industry theme, a limit on circulating market capitalization, a specified turnover range, and a rising KDJ reading. It includes example screening…
This 2018 market commentary explains a sharp equity selloff through the interaction of growth, inflation expectations, and the expected pace of Federal Reserve rate increases. It uses a simple valuation relationship—earnings divided by interest rates plus…
This research summary tests stock-selection signals derived from candlestick upper and lower shadows, then compares them with shadow measures based on the Williams indicator. The reported results distinguish the two approaches: candlestick upper-shadow…
The document introduces the standard form of an equity multi-factor model: stock returns are represented as a linear combination of factor returns, plus a residual component that the factors do not explain. It also notes that a portfolio’s return can be…
This note describes ways to reduce memory use and speed up parameter tuning for an ETF rotation strategy. It recommends moving suitable calculations into SQL, loading only needed data, reusing cached data, releasing large objects, precomputing values during…
This brief event description presents a practical application of large language models to automated trading. Its central idea is a digital trader that interprets natural-language instructions and connects them to trade execution, with examples intended to…
This study examines equity factors built from changes in analyst forecasts and tests how forecast stability affects their relationship with next-month stock returns. It reports that revision factors are positively associated with subsequent returns, but…
This brief discussion outlines a short-term approach centered on stocks that open sharply higher. It argues that a gap-up can indicate strength, but says the opening move should be evaluated alongside additional signals, including buying pressure, relative…
The document explains how factor-based Smart Beta products can serve investors seeking diversified equity exposure and can act as underlying holdings in fund-of-funds portfolios. It describes the approach as using passive strategies that increase exposure to…
This Chinese-language account describes a learning project that builds a China stock selection strategy with five ranked factors and a two-day forward price label. It trains a Ridge regression model, standardizes the inputs, and periodically retrains before…
This short platform discussion addresses why a strategy may appear to buy and sell on the same day despite China’s T+1 stock-trading convention. The suggested code adjustment is to make the sell conditions refer to currently held instruments rather than the…