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.
2,013 documents
The strategy allocates across five exchange-traded funds representing US equities, foreign equities, bonds, real estate, and commodities. At a monthly rebalance, it holds each asset class whose price is above its 10-month simple moving average and moves the…
This indicator maps price to a 0–100 scale within standard deviation bands built around simple moving averages. Zero corresponds to the lower band and 100 to the upper band. It can calculate separate bands for monthly, weekly, daily, hourly, and minute data,…
This document extends a cointegration-based spread strategy from pairs to three or more assets. It forms a weighted combination of log prices using a cointegration vector, then derives a spread return from the same weights. Under stated stationarity…
The document surveys a quantitative research platform’s components and workflow. It describes tools for strategy development, financial data access, factor research, model training, backtesting, simulated trading, and live execution. Its examples span stock,…
This indicator compares price changes across symbols listed in Market Watch between two dates marked by vertical lines on a chart. By displaying the changes over the same interval, it offers a way to scan which instruments moved and to assess market…
This indicator overlays Heikin Ashi candles calculated from a higher timeframe onto a lower-timeframe price chart. The user sets the higher timeframe in minutes. Each higher-timeframe candle appears as a shaded rectangle, with smaller bars inside showing how…
The document summarizes research on forecasting the correlation between stock and bond returns, a quantity used in portfolio construction, hedging, and risk assessment. It argues that simply extrapolating historical monthly correlations can be unreliable…
This indicator counts bullish and bearish candles between two chart bars. The starting bar is defined relative to the right edge of the chart, while the ending bar lies farther to the left. The example uses bars 0 and 5 to illustrate how the interval is set.…
This document describes a MetaTrader scanner that monitors multiple symbols for price interactions with pivot levels. It can alert when price crosses a level, approaches it within a chosen distance, or appears to bounce away. Supported pivot calculations…
The document explains how a multi-strategy backtest module combines strategies. It applies user-set weights to the return series from each strategy’s backtest and aggregates those weighted series into a single performance curve. The weight therefore applies…
This report studies whether gaps between consensus forecasts for macroeconomic indicators and their released values help explain subsequent returns across asset classes. It places the signal in an allocation framework that combines long-term strategic…
This learning exercise describes an investor's established approach of making long-term, recurring purchases of index ETFs, including funds tracking large-cap Chinese, Hong Kong technology, and US technology markets. The account does not specify purchase…
This guide surveys data services that researchers and developers might use for market quotes and historical bars. It discusses Google Finance, Finnhub, iTick, and Bloomberg, describing their stated coverage across assets such as stocks, currencies, indices,…
This translated summary of BlackRock’s 2022 outlook argues that markets were entering a regime distinct from the prior half century. It expected inflation to settle above its pre-pandemic trend, central banks to respond more slowly than in past cycles, and…
This document outlines a multi-currency expert advisor that opens a buy or sell position at a user-selected time. Traders can choose the currencies, set a time to close positions, and specify aggregate profit or loss thresholds that trigger closing all…
The document summarizes a research approach that reframes asset allocation as factor allocation. It selects macroeconomic and style factors, estimates each asset class’s exposure, and builds a factor-mimicking portfolio for each factor. It then forecasts…
This summary of a securities research report outlines China’s three-pillar pension system: public basic pensions, employer-sponsored plans, and individual or household savings. It distinguishes the public schemes for urban employees from the scheme covering…
This brief description introduces an XRSI DeMarker Histogram indicator whose timeframe can be selected through an input parameter. The example sets the indicator period to a higher timeframe, allowing it to be configured for a chart period different from the…
This analysis examines Bitcoin’s role in a diversified portfolio before and after the market’s financialization, using 2013–2017 and 2018–2023 as separate periods. It compares historical returns, volatility, drawdowns, and correlations, then applies…
This document is a categorized directory of software libraries and learning resources used in quantitative finance. Its sections span numerical computing and time-series data, financial instrument pricing, technical indicators, trading and backtesting,…
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…
XMACD_HTF is presented as a standard MACD indicator that can calculate on a timeframe different from the chart timeframe. It allows traders to choose separate smoothing algorithms for the histogram and signal line from ten variants, ranging from common…
This indicator description explains an Advances-Declines measure built from the instruments shown in a platform’s Market Watch. It counts instruments with bullish and bearish candlesticks, then forms a normalized advance-decline ratio by subtracting the…
This experiment runner configures repeated, rolling train-and-test evaluations for LSTM and Temporal Fusion Transformer models on a multi-asset Quandl dataset. It offers variants with different input sequence lengths and optional changepoint feature…