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
This document describes an indicator that smooths the Money Flow Index (MFI) by filtering higher-order harmonics in its time series. It presents the method as applicable to other indicator values as well and claims that the smoothing has no delay. The text…
The document explains why computing variance from sums of squares can be numerically unstable, particularly with large values, and describes Welford’s method as a single-pass alternative. The method updates a running mean and an accumulated squared-deviation…
T3MA-ALARM is a moving-average indicator that applies a second smoothing step to a moving average. It marks points where the direction of the smoothed average changes with arrows, so its output is intended to make turning points visible. The configurable…
This report summary describes ways to derive equity selection factors from the distribution and time patterns of individual trade amounts within each minute. Proposed statistics include quantiles, standard deviation, skewness, and kurtosis. It also discusses…
The document describes a Jurik-style smoothed RSI oscillator paired with Discontinued Signal Lines (DSL) to create adaptive overbought and oversold thresholds. It uses separate exponentially updated levels for oscillator readings above and below the…
This utility explains how to inspect historical bar data for a selected market symbol across chart timeframes. It displays synchronization status, the number of bars available, and the date of the oldest bar, using the terminal’s series information…
The document outlines a portfolio construction method for fund-of-funds portfolios targeting absolute returns. It combines Black-Litterman expected-return estimates, which blend market equilibrium returns with investors’ absolute or relative views according…
The document presents a Yang–Zhang volatility estimator built from open, high, low, and close prices. It separates the overnight return from intraday price movement, combines the variance of overnight returns with close-to-open variance and the…
This document is a dated market data table spanning observations from 2013 through 2018, with a truncated section indicated by an ellipsis. Columns identify Western Canadian Select crude, gas, WTI, several currency series, Edmonton, gold, and the Canadian…
This post describes a Chinese equity screening rule that combines a turnover-rate range of 3% to 12%, beverage and alcohol industry classification, and a proxy for institutional buying. It provides example conditions in a screening formula and Python…
This historical account explains how Abraham de Moivre used probability, calculus, and the binomial structure later associated with Pascal’s triangle to study variation in repeated samples. Its example is sampling stones from a jar: repeated groups produce…
The speaker argues that quantitative investing should combine statistical description, machine learning prediction, and economic or financial theory. These serve different purposes: describing data, forecasting outcomes, and explaining underlying mechanisms.…
This research summary discusses post-earnings announcement drift (PEAD), the tendency for returns to continue reflecting earnings surprises after an announcement. It reports findings from a cited study that the drift is more pronounced for companies with…
The Jeffrey Kennedy Trend Analyzer applies short lookback Williams %R style calculations to three price-derived series: a fast line based on the difference between short and longer exponential averages, a base line based on a short exponential average, and a…
This ProRealTime indicator marks two candlestick shapes directly on a price chart. It labels an inverted hammer when a bullish candle opens at its low and has an upper shadow at least three times the candle body. It labels a hammer when a bullish candle…
The document explains the Sharpe ratio as portfolio excess return over a risk-free rate divided by portfolio return volatility. It identifies the portfolio return, risk-free rate, and standard deviation as the inputs, with short-term government debt offered…
This indicator plots a histogram of how long each custom chart bar took to form, measured in minutes. It is intended for price representations with variable-duration bars, including Renko, point-and-figure, and equivolume charts. The display can help traders…
This research summary compares 17 machine learning approaches with conventional linear methods for predicting stock excess returns from 51 alpha factors. It describes splitting the prediction into two parts: an AR(1) forecast for return dispersion and a…
The document briefly describes Reflex, an averaging indicator introduced by John Ehlers and intended to reduce the delay associated with conventional lagging calculations. It frames the indicator as momentum-like and suggests using its readings to generate…
This guide explains how to design, run, and profile Rust benchmarks for trading software. It distinguishes elapsed-time measurement with Criterion, instruction counts with iai, simulated CPU comparisons with CodSpeed, and sampled call-stack profiling with…
This research note describes an equity timing framework that combines more than thirty indicators across liquidity, economic conditions, valuation, capital flows, technical signals, and investor sentiment. It aggregates the indicators into a score ranging…
This brief description presents Ozymandias_StDev as a variation of the Ozymandias indicator that adds a trend-strength cue. It uses the standard deviation of the Ozymandias indicator and compares that value with a configurable threshold, named dK, whose…
This debugging example shows why three variables assigned from repeated calls to a function can display the same final dictionary contents. The function updates a global dictionary and returns that same mutable object each time. Each local variable therefore…
This Chinese-language article describes an A-share stock screen that selects companies classified in the metaverse sector, with circulating shares no greater than 5.5 billion and institutional flow above zero. It defines the flow measure as institutional net…