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.
5,922 documents
This discussion explains why daily delta rebalancing can leave substantial losses when an underlying makes a large discontinuous move. In a continuous price model, frequent rebalancing can offset local price exposure, but a jump creates a move that the hedge…
The document clarifies how to calculate portfolio turnover from monthly asset weights. It considers the absolute changes in each holding’s weight between consecutive months and explains why their sum should be divided by two for a one-way turnover measure.…
The document raises a conceptual question about utility-based portfolio optimization. The author is unsure how to choose among common utility functions, including exponential and isoelastic utility, and questions how an expression involving exponential…
The document asks how to adapt a quadratic formulation of the maximum-Sharpe tangency portfolio to a factor model. Its proposed approach is to first convert factor-level inputs into security-level inputs, then apply the existing portfolio optimization…
The document presents a decision rule for adding a prospective asset to an existing portfolio: compare the Sharpe ratio of the proposed combined portfolio with that of the current portfolio, and prefer the addition when the new ratio is at least as high. It…
The document shows how to extend an R optimization setup from one parameter to several parameters while continuing to use the optimx package and the L-BFGS-B method. The key change is to represent the starting values as a vector and write the objective…
The document reconciles two parameter conventions for lognormal returns and continuous-time price models. In one convention, the mean and variance parameters describe the normally distributed log return; the expected gross return is then the exponential of…
The document raises several ways to strengthen systematic strategies: estimate portfolio risk using correlations instead of relying only on equal weighting or inverse-volatility weighting, model transaction costs, and add constraints to mean-variance…
The document describes portfolio selection when an investor must choose exactly a limited number of assets from a much larger universe. It frames the objective as maximizing expected return with long or short weights, a gross-exposure constraint, and linear…
The post describes fitting several distributions to daily log returns of a minimum-variance portfolio containing four cryptocurrencies, then estimating value at risk and expected shortfall. A fitted Student’s t distribution has 1.73 degrees of freedom. The…
The document describes the challenge of calculating portfolio returns from transaction records such as buys, sells, shorts, and covers. Its example tracks purchases and a later sale, showing that holdings change over time and raising the question of how to…
The document asks why an active strategy’s portfolio value can appear to exceed a passive strategy’s while its calculated returns and cumulative returns look weaker. It provides monthly portfolio value series and shows discrete returns computed as the…
A portfolio sort groups assets by a characteristic, such as expected return, and compares the subsequent performance of the groups. Researchers commonly set periodic breakpoints from the cross-sectional distribution of the chosen variable, then form…
This indicator estimates a recommended stock-versus-cash allocation for an S&P 500 portfolio. It combines five weighted inputs: market regime, portfolio risk, valuation, sentiment, and macro conditions. The regime score uses moving-average trends,…
This document describes a short-term ETF strategy intended to seek buy-and-hold-like returns with less downside risk. It ranks opportunities using RSMK, a smoothed percentage change in the logarithm of an ETF’s price relative to a benchmark, and combines…
This script demonstrates a way to display a strategy’s weekly equity returns in a chart table. It tracks changes in strategy equity, compounds the bar-level returns within each week, and stores completed weekly values over a user-selected date range. The…
This strategy uses a rolling price channel to define potential breakout levels. It calculates the channel ceiling from the highest high and the floor from the lowest low over a configurable lookback, set to 21 bars by default. It then submits stop entries at…
This indicator displays paired columns of annual percentage changes for two selected symbols over a chosen year range. It obtains data on a yearly interval, calculates each year’s change from one close to the next, and aligns the two return series by year.…
This daily-chart indicator organizes dividend information for a configurable set of stocks. Users can select a currency and whether dates refer to ex-dividend or payment dates, choose a full calendar, monthly view, or summary, and optionally estimate future…
This indicator ranks a configurable group of assets using directional signals from RSI, CCI, SuperTrend, DMI, and Parabolic SAR. Each selected indicator contributes a binary bullish or non-bullish reading; a combined mode sums the readings and assigns a…
This indicator tracks a user-defined portfolio of up to fifteen stocks and compares its performance with a selected benchmark. Users choose which symbols to include, assign portfolio weights, set an initial capital amount and reporting dates, and optionally…
This indicator models a recurring fixed-amount investment plan over chart history. At each chart bar, it allocates the contribution at a selectable price reference, such as the open, close, or an average of prices. Users can choose fractional or whole-unit…
This daily-chart indicator combines several historical measures to estimate risk and suggest position sizes. Its inputs include capital, assumed win rate and profit ratio, a maximum acceptable drawdown, risk-scaling choice, benchmark, and a seasonal…
This indicator constructs a synthetic index from a user-selected basket of up to 34 symbols. It retrieves constituent prices and share counts, estimates each holding’s market capitalization, and derives weights from the holdings’ relative capitalization.…