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 article explains governance and day-to-day management practices for organizations handling crypto market, blockchain, liquidity, and customer data. It recommends assigning data stewards, setting access rules, defining quality standards, protecting data…
The document presents a Chinese equity screening rule that selects main-board stocks with MACD above zero, a daily gain greater than one percent, and a rising 30-day moving average. It frames the conditions as a momentum-oriented filter and includes…
The document compares two ways to estimate a bond fund’s duration. A holdings-based estimate builds a proxy portfolio from the largest positions disclosed in periodic reports and calculates its weighted duration. A NAV-based estimate regresses the fund’s net…
This Chinese A-share screening idea combines a turnover band of 3% to 12% with year-over-year growth in net profit attributable to the parent company above 20% and no more than 100%. It adds a “reversal” condition, described as stocks that have seen…
This document describes an indicator that plots possible stop-loss levels separately for long and short positions. Users set a calculation period and a coefficient that scales the distance between price and the stop level. The distance is based on a…
This proposed Chinese-equity screen looks for daily amplitude above 1, a positive weekly MACD histogram, and at least one limit-up event within roughly the past month. Its example implementation also adds a positive trailing-twelve-month return on equity…
The document summarizes a slack-based manager efficiency index (SMEI) for evaluating mutual fund managers as a whole rather than judging each fund in isolation. The data envelopment analysis framework treats risk, portfolio turnover, and a combined…
This meetup note surveys several topics in equity quant work. It outlines reversal-factor ideas based on recent returns, technical indicators such as RSI and Bollinger Bands, and fundamental changes such as valuation or a return to profitability. It suggests…
This document explains industry rotation as a strategy that shifts equity exposure toward sectors showing stronger performance and may reduce equity holdings when conditions look unfavorable. It discusses possible drivers, including economic cycles, policy,…
The document describes a color-coded momentum indicator for intraday charts. It calculates momentum on 15-minute, hourly, and four-hour timeframes, then displays colors according to whether the readings are positive or negative. Stronger green or red states…
This technical reference explains how simulation modules are configured and run within a backtesting exchange. It distinguishes declarative configuration, which accepts built-in modules and language bridges, from linked native configuration, which can hold…
The document describes an automated opening range breakout strategy for Apple stock CFDs on a five-minute timeframe. The system records the highs and lows during an early trading window, then checks volatility before acting on a breakout. Its exits use a…
This Freqtrade strategy uses a variable moving average and an OTT trailing-line calculation to generate directional entries on a one-hour chart. It enters long when the variable average crosses above OTT and short when it crosses below. The OTT function…
This forum post asks how to monitor whether exchange limit orders have filled in a JavaScript trading loop. The example repeatedly requests the open and closed order list, checks for closed orders, logs fill details, and also processes webhook commands and…
This article proposes four warning signs to watch for during an equity boom: historically extreme valuation multiples, a high ratio of total stock-market capitalization to GDP, broad insider selling, and speculative surges in weak or distressed stocks. It…
This report examines how portfolio optimization settings affect a multi-factor equity strategy. It considers the interaction of active-weight limits with the lambda coefficient, the share of non-index constituents, industry and size exposures, turnover…
This community post proposes screening A-shares by turnover, market capitalization, profitability, and whether a stock appeared on the previous day’s securities ranking list. The stated criteria are turnover between 3% and 12%, market capitalization below 10…
This class template describes a bivariate mixed copula as a weighted combination of component copulas. It calculates the mixture density, joint cumulative probability, and conditional probability by evaluating each component and summing according to its…
This article examines stop-loss decisions in frequently trading strategies, especially market making. It describes a method that adjusts order submission probabilities when market direction appears unfavorable, cancels resting orders, and tracks the…
This note describes a Chinese equity screen combining prior-day price amplitude, appearance on a market trading list, market capitalization below the stated ceiling, and positive recent profit and return on equity. Its rationale is to find active stocks with…
This intraday EUR/USD system uses five-minute bars during a stated daytime session. It enters long or short on RSI divergence signals near swing lows or highs, subject to a modified, delayed Donchian Channel filter intended to avoid entries against strong…
This post describes a Chinese equity screen combining a prior-session price-range condition, a cap on freely tradable shares, and a minimum previous-day trading value. The stated purpose is to find stocks with both some price movement and enough trading…
The system takes a long position in the DAX when Monday’s regular-session close is below its daily 34-period simple moving average. It enters at 17:45 on Monday and plans to exit at 09:00 on Wednesday. The code checks the weekday and time on an intraday…
This post describes a daily stock screen for main-board shares using three conditions: RSI below 65, a gain greater than 1% for the day, and daily MACD above zero. It frames the filters as a way to find stocks with positive recent movement while avoiding…