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
The indicator scans a user-defined range of simple moving average periods at each bar and looks for the period associated with the most recent upward or downward bounce. When it finds one, it marks that bar; when no candidate period meets its bounce…
This guide shows how to retrieve historical market data from Databento, save it locally in compressed DBN files, convert it into Nautilus data objects, and store those objects in a Parquet catalog. Its examples cover an E-mini S&P futures order book depth…
This MetaTrader 4 expert advisor trades signals generated by crosses between two moving averages. It includes a time filter so users can restrict when the system opens trades, with start and end hours and minutes set in its settings. A reverse-signal option…
This research summary explains a method for separating a mutual fund’s alpha into stock-selection alpha and weighting alpha. It estimates selection skill by reweighting a fund’s holdings by market capitalization, then defines weighting alpha as the…
This research summary outlines a framework for evaluating and allocating active equity and bond funds. For equity funds, it describes classification and performance attribution using both holdings and returns, then discusses portfolios of active funds and…
This Chinese-language summary explains factor investing as constructing a basket of equities with chosen factor exposures. It outlines several implementation routes, including active exposure to rewarded styles, index-based exposure, alternative weighting…
This document describes a composite trading indicator that combines Fibonacci analysis, pivot points, ZigZag, MACD, and a moving average. It presents directional arrows as buy or sell guidance. The notes focus on successive software revisions, including…
This Freqtrade strategy combines three Supertrend direction readings for each side of the market. It enters long when all three configured buy readings are up and volume is positive; it enters short when all three sell readings are down and volume is…
This directory surveys software used in quantitative research and algorithmic trading across languages including Python, R, Julia, Java, and Matlab. It groups tools by task, covering numerical computing and data analysis, technical indicators, pricing and…
This stock screen combines three technical conditions: a 14-period RSI below 65, three consecutive sessions in which the close is below the open, and an opening price within five percent of the 10-day moving average. The article presents the rules as a way…
This forum post reports a difference in how a trading platform handles a day counter in development backtests versus simulated trading. The counter behaves as expected in backtests but remains at one in simulation, prompting questions about whether the…
This example outlines a daily workflow that combines browser-based research, trade review, and optional publication of a trade receipt. A research agent visits a configured site, captures evidence and a screenshot, and returns claims, contradictions, and…
This research explores whether intraday price and volume relationships can improve stock selection. It builds three signals from price–volume correlation: its average level, its stability over time, and its trend. The average signal adjusts conventional…
This article turns a value investing approach associated with Charles Brandes into a rules-based stock selection strategy adapted for China. It screens for companies with moderate debt and valuation measures below specified market-relative limits, also…
This report summarizes a Binance BTC-USDT daily-candle backtest covering January 2019 through January 2021. The strategy recorded 155 closed trades and one open trade. The displayed metrics include an 89.77% net profit, 22.4% maximum drawdown, 37.64% annual…
This Chinese A-share screening idea combines three filters: a metaverse industry classification, positive institutional flow, and more than two limit-up days within a ten-day window. It aims to identify thematically focused stocks with positive institutional…
This stock screen selects Chinese A-share companies associated with the metaverse theme, limits candidates to those with circulating share capital at or below 5.5 billion shares, and requires a limit-up event during the preceding month. It combines a…
This oil example describes a trend-following setup that combines moving averages with hammer-shaped candles. It defines bullish and bearish regimes using the direction of several moving averages and the close relative to them. In a bullish regime, a bearish…
This report explains how to isolate a desired equity style factor while controlling exposure to other factors. It contrasts full replication, which reproduces modeled pure-factor returns but does not control ex ante risk, with constrained mean-variance…
This VeighNa guide compares database choices for storing trading data, including embedded SQLite, relational systems such as MySQL and PostgreSQL, and non-SQL options such as MongoDB, InfluxDB, DolphinDB, Arctic, and LevelDB. It describes their broad storage…
This research summary presents factor timing as a risk-control problem rather than solely as a return-forecasting problem. It proposes adjusting the upper and lower bounds on factor exposures in a portfolio, with those limits informed by factor risk,…
This note describes a long-and-short trend-following model inspired by Andreas Clenow’s book. It uses the 50-period and 100-period exponential moving averages to define trend direction, then enters on a breakout beyond a 50-period channel based on prior…
This Lumibot guide explains three futures asset choices: continuous contracts, specific-expiry contracts, and automatically selected expiries. It presents continuous futures as a convenient choice for multi-year backtests because they avoid manual expiration…
This proposed stock screen selects shares with a daily high-low range above a stated threshold, a closing price above the five-day moving average, and a specified industry exclusion. The post’s explanation treats larger price ranges as potential…