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
The document describes a seasonal earnings anomaly: companies may have predictable high- and low-profit quarters, yet announcements of peak or trough earnings can still surprise investors and produce abnormal stock returns. It attributes the mispricing…
The article introduces the Fama-French five-factor model as an extension of the three-factor framework. It describes market, size, book-to-market, profitability, and investment factors, and explains that multiple regression estimates a stock’s exposure to…
These course notes discuss practical ways to follow a stock strategy built around pullbacks after strong stocks hit their price limits and later rebound with market sentiment. They caution that entering after a strategy has recently risen can mean buying…
This note presents a relative strength index calculation based on closing-price changes. It separates each change into its positive component and its absolute magnitude, then applies a smoothed moving average to each series. The ratio is transformed onto a…
The document reviews quality investing as a composite of company characteristics, including profitability, growth, stability, capital structure, accounting quality, and investment. It compares reported findings for U.S. equities with cross-sectional results…
The document describes a style allocation approach that uses an illiquidity measure, called ILLIQ, to represent how much information is associated with each unit of trading value. It divides the stock universe into safer and riskier groups, then infers…
The document surveys data used to build quantitative investment strategies and support trading and risk decisions. It groups inputs into market prices, volumes and trades; company financials and valuation; macroeconomic indicators and policy; technical…
This short forum exchange asks how to count trading days since a condition last became true. Its example starts counting on the session after the trigger: if the condition occurs on one date, the next trading day returns one and the following session returns…
The document summarizes research on whether informed investors use industry ETFs to hedge long positions in stocks with favorable company-specific information. It describes a paired measure combining hedge funds’ unusually large stock holdings with an…
This practice report compares a DeepAlpha deep neural network with LightGBM in a daily A-share stock-selection strategy. Both models use the same 32 short-term price and volume factors and five-year training sample. The portfolio buys the ten highest-ranked…
The document describes an intraday trend strategy for Chinese equity index futures, based on a reported persistent opening momentum effect. It defines a bullish sequence as rising opening, low, and closing prices across bars, and a bearish sequence as…
This article proposes changing position sizes and take-profit distances in a grid strategy to recover from underwater positions sooner. Instead of a fixed base position, it describes increasing additions in stages as price falls: one unit per grid initially,…
This research overview examines the development and current state of China’s pension arrangements, alongside the management of pension assets. It organizes retirement provision into three pillars: basic public pensions, occupational plans such as enterprise…
The discussion explains why a small-cap daily strategy may signal a full exit on one day and then recommend buying the same stocks in a new task the next day. The response attributes this to daily portfolio recalculation: if the selection changes from one…
This Chinese-language article describes a workflow for turning intraday trading data into daily stock-selection factors and using those factors in analysis and strategy development. Its example is a large-order-driven price-rise factor, alongside other…
This research summary argues that conventional momentum is a weak alpha signal in the Chinese stock market and proposes rebuilding it from intraday returns. The approach divides each trading day’s price change into five time segments, then recombines the…
This research summary outlines a monthly tactical framework for rotating among Chinese A-share industries. It combines two approaches: time-series timing based on industry classification, business-cycle indicators, fundamental forecasts, valuation…
This Chinese-language research note analyzes recent trading value as a liquidity factor for stock selection. It describes changing the evaluation horizon to five-day returns, excluding stocks at their daily upper price limit to reflect execution difficulty…
The Traders Dynamic Index combines a smoothed RSI line, a signal line, a market base line, and volatility bands. Its configurable settings include RSI and smoothing periods, applied price, band period, overbought and oversold thresholds, and display toggles.…
This discussion answers how to calculate indicators with chosen parameters in BigQuant. It points users to DAI SQL’s technical analysis operators, which use TA-Lib, and illustrates the approach with a moving average applied to an open-price series. A SQL…
This report introduction frames research into how factor and stock weights affect style exposure in multi-factor equity portfolios. It focuses on reducing unintended market-cap, industry, and other style biases, which the authors associate with past setbacks…
The document introduces the Williams Overbought/Oversold Index, commonly called Williams %R, as a technical indicator calculated from closing price and the recent high-low range. Its formula compares the close with the highest high over a lookback period,…
The document discusses the growth of electronic trading and presents algorithmic execution as a tool for handling large orders in volatile markets. Its core methods include splitting a parent order into smaller trades, aligning execution with market-volume…
This example describes a high-dividend stock selection model for the Chinese equity market. It first excludes special-treatment stocks, suspended stocks, and Beijing Stock Exchange listings. Within the remaining universe, it selects the 300 largest companies…