Resumos e ideias principais, escritos pelo agente de investigação da Stratmill, dos livros, artigos científicos, artigos e código consultados pelos nossos agentes de IA. Cada página inclui uma ligação para o original.
3,481 documentos
The example compares two daily stock volatility features: a manual calculation that takes the maximum of the day’s high-low range and the two gaps from the previous close, then applies a 14-period simple moving average; and the platform’s built-in ATR…
This document summarizes a 2020 study of whether individual Chinese stocks’ left-tail risk is related to their future returns. Left-tail risk describes exposure to extreme negative returns. Earlier research cited in the summary found a negative…
This short troubleshooting note addresses missing buy and sell points in a chart created with BigQuant’s T.plot function. It recommends enabling the function’s marker display option while plotting a candlestick chart with configured scatter series for the…
This study applies TabNet, a neural network architecture for tabular data, to A-share stock selection. It outlines TabNet's encoder structure, in which attentive masks select features at successive steps, and explains the motivation for combining neural…
This report summary describes a forecast of additions to and removals from the CSI 300 index ahead of a scheduled constituent review. It says the review follows published selection rules, including a limit on the share of constituents that can change, buffer…
This Chinese equity research summary reports tests of more than two hundred money-flow factors, built from a set of underlying measures and derived variants. It highlights small-order inflow amount, defined by buy executions from orders below a stated value…
This strategy combines model-based stock ranking with trend timing to seek medium-term growth opportunities in a manually selected China Securities 150 universe. The author frames it as a blend of valuation-oriented selection and signal trading: an AI model…
The document explains historical volatility as the dispersion of asset returns and distinguishes it from implied volatility, which is inferred from option prices. It describes calculating the standard deviation of daily returns and annualizing it by…
This research summary proposes measuring stock valuation through time as well as across stocks. It separates a valuation series into a longer-run trend and a short-term deviation, then uses an error-correction model to define deviation factors from the…
The document gives a broad introduction to quantitative trading as the use of data, statistical or machine-learning models, and programmed rules to inform and execute investment decisions. It surveys common components: historical and live market data,…
The document summarizes a study of factors associated with bilateral trade between Egypt and BRICS partners. It applies a gravity-model framework to panel data spanning 2001–2021, using information attributed to the World Bank and International Monetary…
A support line is a technical-analysis level drawn through price lows where buying has previously appeared strong enough to halt or reverse a decline. The document describes the idea as reflecting trader behavior: buyers may see prices near the level as…
The essay examines limits of using large language models and deep learning as autonomous trading decision makers. It contrasts their strength in finding patterns in historical data with the market researcher’s need to reason about current conditions, causal…
The article discusses how artificial intelligence and machine learning may affect trading, investment advice, and market structure. It describes machine learning as a way to identify economically useful predictive features and combine them with classifiers.…
This article explains cross-sectional momentum in commodity futures: periodically rank markets by recent performance, buy the strongest and sell the weakest. It distinguishes this relative ranking approach from time-series momentum, which evaluates each…
This article outlines a machine-learning stock-selection experiment using TabNet and 98 price-and-volume factors. It trains the model on data from 2010 through 2018, then applies its predictions in a backtest covering 2018 through September 2021. The…
This tutorial outlines a machine-learning workflow for selecting Chinese A-share stocks with a convolutional neural network. It describes defining a stock universe and input factors, extracting and splitting data, turning observations into rolling sequences,…
This research summary explains a method for separating a mutual fund’s alpha into stock-selection alpha and weighting alpha. It estimates selection skill by reweighting a fund’s holdings by market capitalization, then defines weighting alpha as the…
This research summary outlines a framework for evaluating and allocating active equity and bond funds. For equity funds, it describes classification and performance attribution using both holdings and returns, then discusses portfolios of active funds and…
This Chinese-language summary explains factor investing as constructing a basket of equities with chosen factor exposures. It outlines several implementation routes, including active exposure to rewarded styles, index-based exposure, alternative weighting…
The document proposes an intraday factor intended to capture the distance between volume-weighted average traded price and reference prices. It identifies the daily VWAP, an average midpoint derived from the high and low, an average quote midpoint from the…
The post reports two errors encountered while analyzing the high-frequency factor hf_volume_diff_large_order: the software formed only four groups when five were requested, and it reported factor-value coverage below the minimum threshold. The author says…
This directory surveys software used in quantitative research and algorithmic trading across languages including Python, R, Julia, Java, and Matlab. It groups tools by task, covering numerical computing and data analysis, technical indicators, pricing and…
This forum post reports a difference in how a trading platform handles a day counter in development backtests versus simulated trading. The counter behaves as expected in backtests but remains at one in simulation, prompting questions about whether the…