คลังความรู้

This review examines the low-risk effect: securities with lower measured risk have historically delivered stronger risk-adjusted returns than the standard CAPM relationship would predict. It explains betting against beta (BAB), which leverages a low-beta…

This research summary compares two ways to incorporate analyst expectations into equity selection. A parallel approach blends forecasts with other factors or uses them jointly to predict returns. The proposed serial approach first builds a conventional…

This brief BigQuant support exchange explains two ways to control which stocks enter a factor analysis. One approach is to select a predefined universe, such as the CSI 300 or CSI 500, which fixes the eligible stock set through an index-based pool. The other…

This report tracks equity factors using information coefficient (IC) summaries and the relative returns of factor-ranked long portfolios. It describes ranking stocks by factor values, selecting the top decile for each factor, and weighting holdings by the…

The document explains ways traders might use live stock index quotes: to gauge broad market direction, compare sector conditions, assess a portfolio against a benchmark, adjust asset allocation, and inform stop levels or futures hedges. These are general…

This discussion addresses whether a trader should use hyperparameter search to find an optimal combination of existing factors. The response says that “optimal” needs a clear definition: it could mean the best backtest result or the best factor-analysis…

This overview traces major developments in deep learning from the perceptron and backpropagation through convolutional and recurrent networks, generative models, residual networks, Transformers, and BERT. It describes the basic contribution associated with…

This Chinese A-share backtest example uses a five-day versus twenty-day moving-average crossover to generate buy and sell signals. Its trading handler divides available cash equally among the stocks signaled for purchase, so if only one stock qualifies on a…

This brief forum post asks how to translate a BigQuant expression into a newer SQL interface. The expression groups a daily count of securities whose limit-status condition is true, then divides that count by its 180-period mean. The post also suggests…

This research applies feature selection to multi-factor stock selection in the full Chinese A-share universe, with the CSI 300 and CSI 500 as benchmarks. It constructs industry- and market-cap-neutral strategies and tests feature ranking methods with…

The article argues that knowing market facts or technical concepts does not by itself produce successful trading. It recommends turning information into a complete trading framework that specifies entries, exits, position sizing, and risk controls. It also…

This brief BigQuant project note describes a stock strategy built from three factors that had undergone stability testing. It says the factor weights were selected through a grid search over three parameters, with a reported weighting of 1:8:1. The note also…

The document outlines a strategy that dynamically evaluates macroeconomic event factors and selects those more closely associated with asset movements. It considers more than thirty indicators spanning economic growth, inflation, monetary conditions, and…

This overview introduces ten machine learning methods and sketches how they work, with examples of possible financial uses. It covers linear and logistic regression, K-nearest neighbors, support vector machines, decision trees, random forests, neural…

The document discusses converting one-minute stock data into daily observations for high-frequency price and volume factors. The example query constructs features such as volume shares across intraday intervals, price and volume correlations, correlations…

This article proposes a qualitative framework for finding Chinese stocks with potential for medium- to long-term growth during annual and quarterly reporting periods. It combines three checks: whether recognized active investment firms appear among…

This platform discussion addresses how to understand a precomputed factor, using a MACD signal-line factor as its example. The response says that the platform does not provide the calculation process for such precomputed data. Users can inspect the factor's…

This research summary describes ranking international liquid stocks with a random forest trained on technical features. Rather than forecasting exact returns, the model estimates the likelihood that a stock will outperform an average-return threshold. The…

This quarterly review surveys crypto market developments in early 2024, including Bitcoin spot ETF flows, Ethereum’s EIP-4844 upgrade, memecoin activity, real-world asset tokens, and regulatory changes. It combines token performance and exchange volume…

This article presents a discretionary framework for evaluating Chinese stocks after a limit-up day. It advises watching names that recently hit the daily limit and waiting several sessions for price and volume behavior to confirm whether a pullback may be…

This overview proposes constructing fund of funds portfolios from four groups: broad-market index ETFs, sector ETFs, index-enhanced funds, and quantitative funds. It compares passive index funds, enhanced products, and quantitative funds by their typical fee…

This introductory tutorial presents active equity management as a connected process: forecast stock-level excess returns with an alpha model, estimate exposures with a risk model, combine expected returns and risk through portfolio optimization, execute…

This Chinese-language discussion describes problems encountered when reusing a saved XGBoost model in a separate strategy and moving a feature-based strategy from research into simulated trading. Keeping visible strategy settings unchanged did not reproduce…

This research summary examines four MSCI smart beta equity indexes—value weighted, equal weighted, momentum, and minimum volatility—against a capitalization-weighted benchmark. Using monthly observations from 1999 through 2014, it applies principal component…