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.
21,023 documents
The indicator plots two Standard Deviation lines calculated with separate period and moving-average-method settings. It places a directional pointer when one line crosses the other: an upward cross by the first line produces a blue pointer, while a downward…
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…
This document describes an A-share screen for stocks with turnover between 3% and 12%, seven consecutive declining sessions, and a volume ratio between 1.5 and 6. The volume ratio is calculated against a five-session average. The article presents the pattern…
This document presents an A-share stock screen using turnover between 3% and 12%, total market capitalization below 10 billion yuan, positive earnings, and tradable market capitalization between 5 billion and 10 billion yuan. The formula also orders…
This monthly review evaluates equity factors using information coefficient (IC) relationships with subsequent prices and market- and industry-neutral long-short returns. It reports that growth and turnover factors were relatively consistent over the latest…
This short note describes a moving-average-style indicator built with a linear regression algorithm. It identifies the indicator as a typical MA variant and says it was first implemented in MQL4, with an earlier Code Base publication date. The document also…
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 document describes an indicator that uses principal component analysis to choose coefficients for instruments in a pseudo-stationary portfolio intended to return toward zero. It frames each instrument as a dimension in a multivariate dataset and uses PCA…
The discussion describes a rolling-window backtest in which parameters are optimized on a sequence of historical months and then applied to the next month. As the test advances, the training window shifts forward by one month, so each new period is evaluated…
The document describes a simple indicator intended to assess autocorrelation in a price series. Positive readings are presented as signs of more directional movement, which might accompany a developing trend or a possible reversal. Negative readings are…
The document explains how multi-factor models describe asset returns through factor exposures, factor returns, and asset-specific residuals. It presents Barra as a framework for estimating portfolio risk by combining factor covariance with specific risk, and…
This research summary examines whether trading behavior can serve as a proxy for speculative intensity in Chinese A-shares. It studies four measures: idiosyncratic volatility, idiosyncrasy, price delay, and size-adjusted turnover. The proposed intuition is…
This research summary examines whether trading behavior can serve as a proxy for speculative intensity in Chinese A-shares. It studies four measures: idiosyncratic volatility, idiosyncrasy, price delay, and size-adjusted turnover. The proposed intuition is…
This short description introduces the Fisher Transform, an indicator developed by John Ehlers. It says the indicator tracks current market movement and that its plotted levels may serve as potential turning points. The stated directional reading is simple: a…
This overview explains active learning as a way to reduce the cost of building supervised or semi-supervised models when expert labels are scarce. A model repeatedly identifies candidate examples for human review, incorporates the resulting labels through…
This forum post raises a factor-construction question about accessing older financial statement observations beyond a platform's precomputed factors. The example is operating revenue: the author understands the suffix-zero field to represent the latest…
This Chinese research note examines the common practice of relating price-to-earnings ratios to expected earnings growth, including the assumption that a PEG ratio of one indicates fair value. Its hypothetical comparison shows that companies with PE and…
This overview surveys empirical research on pricing stock-index options, focusing on how systematic stochastic volatility and jump risk affect option values and returns. It describes the evolution from Black–Scholes–Merton assumptions, in which the…
DMX is described as an oscillator derived from the positive and negative directional indicator lines used in ADX. It normalizes their difference by their sum, producing a bipolar value, and adds a signal line calculated as a moving average of DMX. The source…
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…
This Chinese equity screening example combines a metaverse industry classification with a volume-ratio band and a condition described as rising bottoms. It then adds a market-value ceiling to the proposed final screen. The article also sketches how to…
The document briefly describes a technical indicator that smooths a derivative series and presents the result as a color-coded histogram. Its main educational point is the transformation and visual presentation of the indicator: smoothing is applied to the…
The document presents a pairs-trading question about two stocks believed to have a long-run cointegrating relationship. It describes fitting a linear relationship between their prices, then standardizing a series associated with that relationship using a…
The document describes an RSI variant that uses an Adaptive Moving Average (AMA), attributed to Vitali Apirine. It gives two intended reasons for changing the calculation: filter out insignificant price moves and reduce the flattening of RSI values that can…