Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
389 documents
The Simple Decycler adapts John Ehlers’s high-pass filtering method to identify broad price trends while reducing short-wavelength fluctuations. It calculates a high-pass filter from the price series and subtracts that output from price, leaving a smoothed…
This analysis classifies bars by whether their highs and lows rise or fall relative to prior bars, then splits each configuration by candle color. The resulting eight groups cover rising-range and falling-range patterns, wider-range engulfing bars, and…
This indicator combines a Laguerre-filtered RSI with a parameter that adapts to a fractal energy calculation. The energy measure adjusts the filter’s gamma sensitivity, while the resulting oscillator is displayed alongside it. The description identifies the…
The indicator applies linear regression to a price momentum series, then plots a lagged copy of the regression line as a signal line. The suggested entry cue is a crossover between these two lines. Its parameters control the momentum lookback, regression…
This indicator adapts the SuperTrend period using the coefficient of determination from a rolling linear fit of recent prices. It computes an R-squared value over the configured lookback and uses that value to adjust the period supplied to SuperTrend, aiming…
This indicator overlays two kinds of bands calculated from log-transformed closing prices. The statistical bands use a rolling average and standard deviation, similar in spirit to Bollinger Bands. The regression bands use a rolling ordinary least squares…
This indicator estimates how often price has crossed levels above the prior candle’s high or below its low, separated according to whether that prior candle was bullish or bearish. It displays the historical percentages at several successive levels on the…
This indicator plots historical average returns for each calendar month using monthly price data. After a user selects a start month and year, it groups each month’s open-to-close changes across the available history and averages them. It displays the twelve…
The Max Deviation indicator measures the range between the highest high and lowest low across a configurable lookback window. Subtracting the window’s lowest low from its highest high produces a simple measure of the instrument’s total price movement during…
This short indicator note presents a Relative Volatility Index (RVI) construction that adapts the RSI calculation to volatility. It weights standard deviation over ten closing-price days by whether the current close is above or below the previous close,…
This indicator converts RSI behavior into eight normalized features, including level, slope, acceleration, percentile, volatility, fast-versus-slow spread, and regime. It stores sampled feature vectors alongside forward price outcomes grouped into ATR-scaled…
This indicator identifies Bat, Gartley, Crab, Butterfly, AB=CD, and Three Drives formations by evaluating the last five confirmed ZigZag pivots as an XABCD sequence. It calculates retracement and extension ratios between the swings, then compares them with…
The document describes a dual version of the Average Directional Index (ADX). It computes directional movement and average true range, derives positive and negative directional indicators, then presents a smoothed ADX alongside a faster unsmoothed reading.…
Kaufman’s Adaptive Moving Average (KAMA) adjusts its smoothing in response to the market’s directional efficiency. The described calculation compares the absolute price change over a lookback interval with the sum of absolute one-step price changes over that…
The document presents a directional rule for identifying engulfing candlestick patterns using candle bodies rather than the full high-low ranges. A bullish signal requires the prior candle to close below its open, the current candle to close above its open,…
This indicator converts closing prices into rolling standardized deviations from their recent averages, then smooths the results across three lookback horizons. The supplied periods are 180, 60, and 20 observations. Each series subtracts its lookback average…
This indicator studies whether price tends to rise or fall on the bar after a run of consecutive candles with the same direction. It measures runs from one to twelve candles and simulates a long position entered at the close of the run and exited one candle…
This indicator estimates buying and selling pressure from candle bodies and wicks. It assigns values to bullish, bearish, and neutral candle configurations, then smooths the directional series with a Hull-style weighted average. The resulting upper and lower…
The document defines a volume weighted moving average (VWMA) as the sum of each period’s closing price multiplied by its volume, divided by total volume over the same lookback. It recommends comparing the VWMA with a simple moving average (SMA) calculated…
The Trading Activity Index gauges whether an instrument is unusually busy or quiet relative to its own recent history. It starts with price multiplied by volume, averages that dollar-volume measure over a short formation window, then applies a logarithm to…
The document describes a moving median indicator for price data and explains the underlying Torben search algorithm. For each window, the routine finds its minimum and maximum, tests a midpoint, and counts values below, above, or equal to that candidate. It…
This document describes a trend indicator that combines a Hull Moving Average (HMA), a modified HMA variant, and an optional Kalman-style filter. The filter updates a smoothed price estimate and velocity from the input series; the indicator then calculates…
This document describes an indicator that estimates skewness and excess kurtosis over a selected rolling period of closing prices. Skewness summarizes distributional asymmetry, while kurtosis describes tail weight relative to a normal distribution. The…
This document presents a price-smoothing indicator based on a Laguerre filter attributed to John Ehlers. It first averages the open, high, low, and close, then measures the absolute difference between that price and the prior filtered value. The difference…