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.
4 documents
The Range Action Verification Index (RAVI) is described as a trend-detection indicator based on the percentage difference between current and past prices. The document gives threshold-crossing rules attributed to its developer: an upward cross of a 3%…
This Python module provides utilities for evaluating systematic strategies and constructing several trend signals. It computes annual return and volatility, Sharpe and Sortino ratios, downside risk, maximum drawdown, Calmar ratio, positive-return frequency,…
The document contains reusable strategy calculations for price returns, volatility scaling, trend following, and MACD signals. Its intermediate trend strategy combines the signs of one-month and one-year returns, weighted by a parameter, and applies that…
This code manages backtest outputs for momentum experiments. It reads results from multiple train and test intervals, aggregates captured returns, and can rescale those returns to a target volatility. It calculates performance summaries that include return,…