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.
29,558 documents
This A-share screen combines daily amplitude above 1%, a candlestick pattern described as a morning star, and return on equity above 15% for five consecutive years. It aims to pair a technical reversal-style signal with a sustained profitability filter. The…
This A-share screen combines RSI below 65, daily amplitude above 1%, and more than two limit-up days within ten days. The article frames the combination as a way to find stocks with strong recent price action. It describes RSI, amplitude, and limit-up…
This practitioner essay presents risk management as a process spanning strategy research, deployment, live operation, and review. It recommends examining a strategy’s behavior in severe historical drawdowns, including whether losses remain controlled,…
This A-share screen seeks companies with market capitalization below 10 billion yuan, positive P/E, no reported losses, and daily price amplitude above 1%. The article presents amplitude as a sign of trading activity, positive P/E and profitability as basic…
This A-share screening rule combines turnover between 3% and 12%, a newly formed KDJ golden cross, and a stated daily maximum decline between 4% and 5%. The article describes the turnover band as a liquidity filter, the cross as a directional signal, and the…
This Chinese allegory presents three approaches through hunters facing animals that move within ranges, trend in one direction, or wander unpredictably. The range trader waits near perceived boundaries and considers fading an extended move only after it has…
This MT5 tool helps traders review planned or open exposure across several instruments as a portfolio. Given comma-separated symbols and lot sizes, it calculates a Pearson correlation matrix from historical bar-to-bar returns over a configurable timeframe…
This document describes a class for applying an exponential Ornstein–Uhlenbeck model to mean-reverting portfolio prices. It inherits fitting and portfolio construction from an OU model, then works in log-price space to estimate optimal liquidation levels,…
The document describes a multicurrency expert advisor that automatically selects and trades currency pairs from a configurable currency list, with the advisor attached to a single chart. Users can reduce the selected currencies to limit the number of open…
The document describes a MetaTrader expert advisor that closes open positions for the current chart symbol once server time has passed a configured deadline. Its input settings include the closing time and a maximum permitted price deviation, expressed in…
This expert advisor opens trades when the DivergenceViewer indicator registers a configured class of divergence. It places the stop beyond the local price extremum reached during the divergence formation, with a configurable point offset. The take-profit…
The article argues that ETH options volatility may offer a long-volatility opportunity despite the historically positive variance risk premium often observed in crypto. It compares ETH and BTC implied and realized volatility, describing ETH’s relative…
The article compares retail algorithmic traders with institutional quantitative funds across trading capacity, market impact, strategy crowding, leverage, liquidity, information access, risk oversight, investor obligations, and technology. It argues that…
This Chinese stock screen selects main-board shares with daily amplitude above 1%, a closing price above the five day moving average, and a daily gain greater than 1%. The article describes amplitude as a way to find volatile candidates and the price and…
This document describes a stop-and-reverse method that sets a price stop using Wilder’s Average True Range multiplied by a coefficient. The included implementation uses a period of 7 and a coefficient of 3, initializes the stop after the early bars, and…
This overview describes how to read simulated strategy performance based on historical data. It defines several commonly reported measures: total return and annualized return for gains over time, maximum drawdown for peak-to-trough loss, Sharpe ratio for…
This guide explains common measures in quantitative strategy backtests: total and annualized return, maximum drawdown, Sharpe ratio, win rate, and the ratio of average winning to losing trades. It frames them as complementary views of performance, risk, and…
This broad educational overview introduces mathematical tools used in stock analysis and algorithmic trading. It covers descriptive statistics, including measures of central tendency and dispersion, and explains how visualizations can help reveal…
This proposed Chinese A-share screen combines a metaverse industry classification with appearance on the previous day’s trading leaderboard and a high concentration measure. The article frames concentration as a way to identify leading firms and treats…
This note proposes screening Chinese stocks for daily amplitude above 1%, circulating market value above 10 billion yuan, and a nonempty name for an outstanding convertible bond. It describes the combination as a way to consider price movement, company…
This document describes a local tool for reviewing trading records produced by the Wanhe file-order system. The user selects the system’s service log folder, runs an analysis, and views account trading logs, an account equity curve, trade history, and daily…
This Chinese equity screening example combines four conditions: daily price amplitude above 1%, membership in a robotics concept group, circulating market value below 10 billion, and a current high that exceeds the previous day's high and is at least as high…
The document builds a long-only stock strategy around Heikin-Ashi candles, which transform open, high, low, and close prices to smooth price movement. A long signal requires a bearish candle whose open equals its high, a larger body than the previous candle,…
This document proposes a Chinese stock screen requiring a reported position increase above 5%, a daily maximum decline between 4% and 5% in magnitude, and a 20-day moving average above the 120-day average. The intended combination looks for buying activity…