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 July 2018 research summary reviews U.S. equities, gold, and crude oil using earnings, interest rates, investor risk appetite, currency moves, supply conditions, and inventories. For U.S. stocks, it argues that earnings expectations remain supportive and…
This BigQuant forum post presents a SQL query intended to calculate sector-level and market-level returns, compound each series across a rolling window, and derive an information-ratio-like value. The author reports that the underlying daily inputs appear…
The document summarizes research on whether seasonal shifts in investor mood help explain recurring cross-sectional patterns in stock returns. It treats January, March, and Fridays as relatively optimistic periods, and September, October, and Mondays as…
This indicator adds a trend-strength cue to the X2MA moving average using standard deviation. When the indicator’s standard deviation exceeds a user-set threshold, it places a colored dot on the average; the dot color indicates the current trend direction.…
This small utility module provides basic operations for preparing timestamped market data. It estimates samples per day from the first observed interval, estimates elapsed days between the first and last timestamps, and partitions a dataframe into monthly,…
This brief indicator description defines average change as a moving average of successive price differences. For each observation, it subtracts the previous applied price from the current applied price to produce a change series, then smooths that series…
This reference surveys common technical indicators and explains several price, risk, valuation, and execution measures with formulas and numerical illustrations. Topics include simple and exponential moving averages, RSI, beta, Sharpe ratio, price momentum,…
The document describes a Fan CCI indicator displayed as an oscillator alongside a smoothed average line. It combines multiple Commodity Channel Index calculations into a fan, with the indicator normalized to oscillate around a range of plus or minus one. The…
The document introduces the Asymmetric Linear Weighted Moving Average (ALWMA), a moving-average indicator with a selectable calculation period, applied price, and weighting method. It describes four modes by where they assign the greatest weights within the…
The document introduces European call and put options, defining their right to buy or sell an underlying asset at a strike price on a fixed expiry date. It frames fair option valuation through a market containing a risk-free asset, the underlying stock, and…
PsyIndicator is a cloud-style trend indicator that measures price increases over a chosen lookback period. Its value ranges from zero to one hundred percent, representing the share of prior bars in which the asset price rose. For example, a reading of 100…
The screen targets main board equities with turnover between 3% and 12% and circulating market value between 5 billion and 10 billion yuan. It then compares the latest close with the previous session’s low. The article describes this as a simple short-term…
The document describes an A-share stock screen combining three conditions: membership in the metaverse industry, appearance on the previous day’s trading-activity ranking, and return on equity above 15% in each of the past five years. It presents the…
The described quote display reports the current bid, percentage change, high, low, and range for a selected bar or a chosen number of prior bars. The percentage change is measured against the open of the reference bar. For example, selecting the current…
The document describes an experimental oscillator built by summing prices in a particular way, with the aim of keeping the calculation simple while retaining practical use. It characterizes the result as a one-line indicator that can help display trends, but…
This indicator method creates a channel from the highest high and lowest low over a chosen lookback period. It calculates the midpoint of that range and plots several internal levels at Fibonacci-related proportions, including 23.6%, 38.2%, 50%, 61.8%, and…
This document explains a graphical workflow for researching CTA strategies with historical data. It covers downloading market data, configuring a backtest with instrument details and trading costs, and reviewing equity, drawdown, daily profit and loss, and…
ClusterBox_DayHistogramm displays tick volume by price cluster over a fixed 24 hour interval, allowing traders to inspect where activity concentrated during each day. It is presented as a daily variant of a histogram indicator that otherwise lets the user…
The Percentage Price Oscillator (PPO) is a momentum indicator that expresses the gap between a short and a long exponential moving average as a percentage of the long average. The document gives a common configuration using nine day and 26 day EMAs: subtract…
This research summary addresses how to combine highly correlated stock-selection factors when there are too many inputs to orthogonalize efficiently or when orthogonalization fails to retain their shared information. It describes reducing each factor group…
This article explains how nonlinear feature representations can make complex classification possible with a linear decision boundary. It uses support vector machines as an analogy: mapping inputs into a higher-dimensional feature space can make patterns that…
The report compares sparse covariance estimation, which sets selected off-diagonal elements to zero, with rotation-invariant methods that adjust sample covariance eigenvalues. The latter include simulation-based, linear, and random-matrix-based nonlinear…
This notebook explores how several market series relate to the Russian ruble exchange rate against the Australian dollar. It fits separate ordinary least squares regressions for each candidate regressor within each year, then repeats the analysis…
T3 Deviation is described as a deviation measure built from intermediate stages of the Tillson T3 calculation. The note credits Bob Fulks and Alex Matulich with improvements to the original T3 calculation. Rather than applying T3 smoothing to a conventional…