Podsumowania i najważniejsze idee z książek, publikacji naukowych, artykułów i kodu czytanych przez naszych agentów AI, przygotowane przez agenta badawczego Stratmill. Każda strona zawiera link do oryginału.
Liczba dokumentów: 3,481
This article offers a discretionary framework for narrowing a watchlist around active Chinese market themes. It distinguishes an initiating leader, a later catch-up leader, a larger-cap trend anchor, and passive follower stocks. The suggested cues include…
This BigQuant forum post asks why account positions do not appear to update immediately after orders in a daily backtest, and how to schedule trades at specific intraday times. The example strategy selects up to ten Chinese stocks using listing age,…
The document examines whether CTA strategies that resemble their peers perform differently from more distinctive strategies. It defines a strategy distinctiveness index (SDI) using rolling return correlations to peer groups formed by clustering, then…
This study summary describes a text-based factor intended to capture post-earnings-announcement drift in Chinese equities. It uses analyst report titles and abstracts about earnings forecasts, converts selected words into frequency features, and trains…
This report develops indicators from the gap between actual Chinese economic releases and market forecasts. It groups indicators into growth, liquidity, and inflation categories, assigns expected effects on domestic equities, bonds, and commodities, and…
This research summary examines whether intraday stock price behavior predicts future returns. It uses five-minute data and calculates volatility, skewness, and kurtosis from returns residualized with a Fama-French regression to reduce market and style…
This report evaluates an industry-allocation approach that favors high return on equity and low price-to-book ratios. It reports weak and unstable long-run results from tests using available ROE data, and says even an optimistic assumption about knowing the…
This report argues that convertible bonds should not be analyzed by applying an equity multi-factor framework uniformly. Because bonds differ in payoff structure, their relevant pricing factors may also differ; the authors describe examining and decomposing…
This research summary describes stock-selection factors derived from tick-level trades. Trades are aggregated to minute intervals to estimate active buy and active sell amounts, which are used to form active-buy share and active-buy intensity measures. It…
This document describes a portfolio allocation overlay that uses rolling economic drawdown as a control target. It adjusts allocation weights using drawdown measured over a moving window while accounting for the time value of money, aiming to reflect…
The document turns a past trading approach into a simple stock selection and exit rule. It selects the ten stocks with the highest dividend yields over the previous three years, buys them immediately, and sells one month after a dividend payment if the yield…
The document summarizes research on whether financial data vendors act as information intermediaries. The study examines quarterly earnings announcements and the timing of their distribution by First Call, comparing immediate dissemination with delays of at…
The article summarizes research on how trading volume interacts with equity mispricing. Using monthly US stock portfolios sorted jointly by a mispricing score and turnover, the study finds that volume and subsequent returns move in opposite directions…
This example presents a simple trend-following rule for one Chinese-listed stock. It compares a short moving average of closing prices with a longer moving average: a crossover in which the short average rises above the long average triggers a purchase,…
The document describes a feature for counting how many limit-up sessions occurred in a recent period. Its example creates a five-session count by checking each of five lagged limit-status fields and adding one for every session marked with the limit-up…
The report reviews two major historical gold rallies and argues that the drivers of gold prices vary over time. It examines two short-term and four long-term factors, using rolling correlations to show that relationships between these factors and gold are…
This strategy searches China A-shares for an established uptrend, then enters on a modest pullback. It defines the trend with five moving averages, spanning short to longer periods, arranged from highest to lowest. A pullback signal occurs when a candle…
This research summary discusses high-frequency equity factors built from combinations of price and volume data to capture trading behavior. It describes two examples: an illiquidity factor adjusted for price-path changes and a factor based on aggressive buy…
The article explains constant proportion portfolio insurance (CPPI) by building it up through five related allocation strategies. It starts with investing only interest income in stocks, then considers the present value of future interest, reserving enough…
This discussion raises practical questions about backtesting strategies across multiple futures products with different expirations. It asks whether a system can switch automatically to the next active contract before expiry, how to test periods longer than…
This Chinese-language market note combines long-horizon equity timing, medium-term market indicators, and a large-versus-small-cap rotation signal. Its long-term model uses a dividend-yield-based equity risk premium, evaluated quarterly, and reported a…
The article presents parameter-plane analysis as a way to visualize how combinations of strategy settings affect backtest results. Its example is a Chinese equities strategy combining valuation and float market capitalization ranks. It varies the number of…
This short submission translates an investor’s dividend approach into a broad selection and portfolio process. It favors established companies with relatively high dividend yields and stable performance, holds them over a longer horizon, and refreshes the…
This document compares long-only index funds, index-enhanced funds, and quantitative funds in the Chinese public fund market. It notes differences in fees and subscription or redemption efficiency, and frames market, sector, size, and other style exposures…