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 proposed stock screen combines an RSI reading below 65 with membership in the beverage and alcohol import-export industry and substantial large or extra-large buying during the opening auction. The article presents the filters as a way to find stocks…
These release notes describe changes to a quantitative trading and research platform. Pipeline additions include grouped ranking, filters that test conditions across lookback windows, and several technical factors such as Aroon, fast stochastic, Ichimoku,…
The article explains hidden Markov models as a way to infer unobserved market regimes from observable data. It illustrates the idea with Chinese equities, treating market conditions such as bull, bear, and sideways phases as hidden states and returns and…
This educational article introduces operations on matrices and vectors as groundwork for understanding deep learning. It defines elementwise matrix addition, adding a scalar to each matrix element, and broadcasting a vector across matrix rows. It then…
This research summary describes a quantitative factor intended to measure listed companies’ competitive advantages using financial statement data. It evaluates the factor across China’s A-share universe, compares its relationship with established quality and…
The document describes a Chinese stock-selection screen combining a robot-related company label, a 2021 listing year, a circulating market capitalization below 10 billion, and turnover between 3% and 12%. Its accompanying indicator example calculates average…
This indicator description explains a smoothed variant of Float Pivot Digit. It applies a configurable smoothing method to the input time series used in the indicator’s calculations. Users can choose the smoothing method and set its depth and phase or…
This article adapts a supervised stock-timing approach to Chinese equities. It describes using nine price- and volume-related features to train a binary classifier: the label is positive when the price 30 trading days later is at least the current price, and…
This account of a 2021 industry speech discusses how data, algorithms, and execution shape quantitative investing. It frames potential returns as depending on both market inefficiency and statistical methods that identify patterns robust enough to validate.…
The document introduces a variation of a digital filter that uses Hann windowing. A speed-up setting of zero preserves the original filter behavior, while positive settings make the output respond more quickly. The filter is presented as a general-purpose…
The post describes a Chinese equity screening rule that selects stocks with turnover between three and twelve percent, a prior-day appearance on the broker ranking list, and a limit-up event within the preceding twenty-five days. It includes example formula…
This Chinese market report reviews a week of performance across mainland equity indexes, sectors, bonds, convertible bonds, and public funds. Its central quantitative method estimates the trading impact of index constituent changes: for large broad-market…
The document explains how to migrate an existing Nautilus Parquet catalog into the current Arrow representation. The workflow first runs a dry run to inspect supported files, schemas, and layout issues, then converts into a separate new or empty destination.…
The document describes a ProBacktest indicator that tracks strategy profitability by calendar month and year. It initializes capital values, detects date changes, calculates each completed period’s profit from strategy profit and starting capital, and graphs…
The article explains risk-adjusted performance measurement through the Sharpe ratio and its benchmark-relative counterpart, the Information ratio. It describes the Information ratio as excess portfolio return over a benchmark divided by the variability of…
A short forum post raises a practical data choice for stock strategies: whether to use prices adjusted for corporate actions when calculating indicators and position profit and loss. The author suggests that adjusted series may be suitable for indicator…
Moving Slope Rate of Change (MSROC) replaces the simple price difference used by conventional Rate of Change with the slope of a least-squares regression line. The document presents this as a way to smooth the signal and reduce false signals relative to…
This report summary outlines an investigation of how high-frequency factors behave across different periods and domains, along with an analysis of what may influence their performance. The authors say earlier work built factors from trading logic using…
This Chinese-language tutorial outlines a data collection workflow for studying cryptocurrency prices and the relationship between mining hashrate changes and prices. It first retrieves a list of coins from F2Pool, then requests chart data for each coin and…
This document describes a script for analyzing the structure of a strategy’s drawdowns from daily profit-and-loss data. It rebuilds an equity curve from a starting capital value, derives an underwater curve, and separates that curve into individual drawdown…
Natural market slope is presented as an indicator that combines linear regression slopes calculated over multiple periods. The component slopes are weighted by coefficients and combined into one measure intended to summarize the market's directional…
This post presents a stock screen requiring turnover between 3% and 12%, an opening price within five percent of the 10-day simple moving average, and the previous close above the 250-day moving average. The short-term average condition is presented as a way…
This Chinese-language article describes an equity screening rule based on price range, large-order net volume, turnover, and auction activity. The stated rule looks for stocks with an amplitude above 1, positive large-order net volume for at least three…
The document introduces a percent-based volatility bands indicator, referring to a proposal by David Rooke. It first characterizes Bollinger Bands as a simple moving average surrounded by bands set at multiples of price standard deviation. It then highlights…