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.
16,761 documents
This collection of answers addresses common quantitative investing problems, including fixed-holding-period backtest sensitivity, judging factor data, evaluating strategies that fail live, factor development, market timing, and combining signals across…
This Freqtrade strategy looks for a long entry when price moves below the previous candle’s lower Bollinger Band. It calculates bands over a 40-period window with two standard deviations, then checks the band width, the size of the close-to-close move, the…
The post proposes a Chinese equity screen combining moving-average overlap, positive price-to-earnings ratios, and repeated daily limit-up moves over a recent window. It interprets several overlapping averages as evidence of price stability or trend,…
The report compares methods for estimating stock-return covariance matrices for Chinese equities. It explains that when there are many stocks but relatively few return observations, sample covariance estimates can be noisy and numerically unstable for…
The report classifies companies into startup, growth, mature, volatile, and declining stages using the signs of financing, operating, and investing cash flows. It describes differences among the groups: mature firms have the strongest profitability, while…
This brief OctoBot reference explains how to add custom data series to a strategy run report with the plotting function. The chart arguments are passed through as Plotly parameters, allowing a strategy author to label a series and provide values for its…
This note describes a Chinese equity screen combining daily price range, large-order net flow ranking, a market-cap ceiling, and positive earnings. Its stated aim is to identify smaller companies with market activity while retaining a basic profitability…
The post outlines a Chinese stock screening idea that combines metaverse industry classification, a curved price pattern, and appearance on the prior day’s market activity list. It proposes adding positive price change, above-average trading volume, and…
This walkthrough explains the structure and operation of MetaTrader 5’s sample Expert Advisor, which uses MACD and a moving average. It describes configurable trade size, profit target, trailing stop, MACD thresholds, and trend-period inputs, then outlines…
This stock-selection rule screens main-board shares for turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and a closing price above its five-day moving average. The document provides both a formula-style expression…
The document describes an automated strategy that uses the Vortex Indicator’s cloud color to determine position changes. It opens a trade when the cloud changes color at a bar close, then exits through a pending order or when the cloud turns opposite to the…
This post describes a stock-selection screen for Chinese equities combining daily amplitude above one percent, a 2021 date restriction, exclusion of ST-designated stocks, and a condition labeled as a five-part limit-up method. Its reference formulas and…
OctoBot is presented as an open-source cryptocurrency automation platform with a graphical interface. It supports configurable approaches such as grids, dollar-cost averaging, and crypto baskets, along with external signal connections, social indicators, and…
The document presents a stock screen requiring a 14-period RSI below 65, three consecutive sessions in which the close is below the open, and a ten-day return greater than zero but below 35%. This combines a recent sequence of weak daily candles with a…
The document describes a stock screen combining price amplitude above 1, rising bottoms, and a low-price condition expressed as a prior low below 20. It provides sample indicator logic and partial Python code, and suggests adding volume or moving-average…
The post describes a stock screen that combines a price-amplitude condition, simultaneous upward crosses among three moving averages, and a prior-day 9:15 matching-price limit-down condition. It presents the limit-down observation as a possible filter…
This post proposes screening mainland China main-board stocks for a daily trading range above one percent, weekly MACD above zero, and a positive daily move exceeding one percent. It frames the combination as a way to identify shares with short-term upward…
This Expert Advisor uses two configurable systems, one for long trades and one for short trades, based on Vortex Indicator signals. Its added money management changes the next trade's volume according to recent outcomes in the same direction. The example…
This stock selection example screens companies in the metaverse industry for a newly formed KDJ bullish crossover and an opening price close to the ten-day moving average. The illustrated band places the open within five percent above or below that average.…
This indicator uses confirmed Commodity Channel Index divergence as permission to search for a breakout setup. It pairs oscillator pivots with nearby price extremes, then looks for an unusually high-volume candle. The candle’s high or low becomes a level,…
This broad guide surveys algorithmic trading approaches, including momentum, statistical arbitrage and pairs trading, market making, machine learning, and options. It outlines how each approach seeks opportunities: following trends, trading relative-price…
This guide explains why futures contracts for the same underlying can have different prices at successive expiries. It defines contango and backwardation and links the price gap to carrying costs such as financing, dividends, or storage. Because a continuous…
The document reports a BigQuant backtest failure caused by passing a floating-point value where the history function requires an integer bar count. In the shown trailing-stop logic, the holding period is calculated as the number of elapsed days since the…
The HAN123 strategy builds a reference range from the high and low observed during the first half-hour of the Chinese equity futures session. After that window, it enters long above the range high or short below the range low, reversing an existing position…