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 note presents a Chinese equity screen that selects stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and applies a price-to-earnings cutoff below 20. The accompanying Python example also filters out names marked as special…
This stock-selection idea combines a capital-strength ranking with a concentration filter. The document describes capital strength as a stock’s share of overall market trading volume and concentration as the portion of market volume accounted for by the top…
This MetaTrader indicator marks candles whose price changes exceed user-defined thresholds, displaying the change in points and percentage. It offers two calculation choices: compare a candle’s close with its open, or compare its close with the previous…
The document describes a ZigZag indicator that identifies candidate swing highs and lows from rolling price extremes, stores pivot prices, directions, and bar indices in arrays, and connects the pivots. It classifies highs and lows as higher or lower…
This document explains a pivot-channel indicator built around a seven-period exponential moving average of typical-price pivot points. It estimates channel width by averaging the gaps between first-level pivot highs and lows over the same seven periods; a…
This brief VeighNa community exchange requests support for downloading ratio-adjusted prices from Ricequant, in addition to price-difference adjustments. A reply points out that the existing rqdata data feed's dominant-price method passes a pre-close ratio…
This tutorial introduces binary classification using logistic regression, with stock direction as its example. It explains encoding outcomes as two labels, interpreting the model output as a probability, and applying a threshold to produce a class. Logistic…
This forum post records a failure during a BigQuant daily-bar backtest. The traceback reaches the slippage model while it calculates executable order volume from bar volume and a volume limit; converting the resulting NaN to an integer raises an error. The…
The document explains the Fractal Adaptive Moving Average (FRAMA) through an estimate of price-series fractal dimension. It divides a lookback into two equal intervals, measures each interval’s high-to-low range per bar, combines those measures with the…
This stock-selection idea combines three chart conditions: amplitude above a threshold, a rounded price shape defined through comparisons of recent high-low ranges, and a 20-day moving average above the 120-day moving average. The post presents the screen as…
The document describes an XCCX indicator variant that adds a visual indication of trend strength. It calculates the standard deviation of the XCCX indicator and compares that value with a configurable threshold. When the deviation exceeds the threshold, a…
The document proposes a custom moving average intended to move less quickly than the Hull moving average while lagging less than exponential or weighted averages. Its formula doubles the period weighted average of closing prices and subtracts the simple…
This indicator estimates historical directional frequencies for candle patterns. It groups prior bars by body color and by whether their highs or lows are above or below the preceding bar, including combinations of those features. For each matching pattern,…
The Market Meanness Index is described as an indicator for classifying the market state as trending or random, with “random” used to describe chaotic conditions. The document identifies three inputs: a calculation period, a boundary above which the market is…
The document introduces equity factor analysis through a 44-day price-based momentum measure and explains how to test it by sorting stocks into equal-sized groups. Comparing the groups’ future returns can reveal whether performance changes consistently with…
The post outlines a Chinese A-share stock screen combining a 14-period RSI below 65, an external-to-internal trading volume ratio above 1.3, and a further filter involving price movement, turnover, or large-order activity. It includes example indicator and…
This note summarizes research on high-frequency trading (HFT) competition and liquidity on Canada’s Alpha trading platform. Using millisecond order-book data for large stocks and comparing Alpha with the Toronto Stock Exchange, the study tracks liquidity as…
The Cauchy difference indicator compares an arithmetic moving average with a geometric moving average, both calculated from the average of each bar’s open, high, low, and close. Its two settings control the periods used for the arithmetic and geometric…
This brief listing identifies an educational quantitative trading strategy that uses linear regression to predict returns. It names the approach and its purpose, and indicates that an implementation is available in the associated platform environment. The…
This post raises a troubleshooting question about discrepancies between Bollinger Bands calculated with a platform’s TA.BOLL function and bands displayed on a chart. The example uses 20-period bands with a multiplier of two on one-minute data. Logged…
This report summarizes research on momentum spillovers: stocks may react slowly to news about related firms when investors and analysts have limited attention. It presents shared analyst coverage as a general way to define those links. The measure, called…
RVIDiff is an indicator that displays the smoothed difference between the main and signal lines of the Relative Vigor Index as a colored histogram. The description establishes what the plotted values represent, but does not specify the smoothing formula,…
This Chinese-language post describes a stock screen for robot-related companies. It requires turnover between 3% and 12%, year-over-year net profit growth attributable to the parent company above 20% and at most 100%, and circulating market capitalization…
This document describes a moving average indicator that combines a digital low-pass filter with conventional averaging. The digital filter coefficients are generated using a filter-design program, and the resulting values are further smoothed with an…