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 indicator note describes a configurable drawing mode demonstrated with the Commodity Channel Index, while stating that the same approach can be applied to other oscillators. Its histogram mode adds a parameter specifying a number of confirmation bars,…
This stock screen combines trading activity, company size and profitability, and price trend. It ranks stocks by trading volume, selecting the 100 with the highest volume over an unspecified period; restricts the universe to firms valued below 10 billion…
This short discussion explains how to compute a running total of traded amount separately for each stock in a multi-instrument dataset. A single cumulative sum across the full table combines all instruments, so the suggested approach groups rows by…
The document introduces factor research as a way to study characteristics that may help explain the returns and risks of financial assets. It names market capitalization, quality, momentum, low volatility, and yield as examples of factors that researchers…
This note proposes screening Chinese equities in the metaverse theme using yesterday's turnover increase, a market-cap ceiling of 10 billion, and profitability filters. Its final stated rules also require positive net income, positive return on equity, and…
This document describes methods for selecting long-short portfolios that aim to mean-revert while holding only a small subset of assets. Sparsity can reduce trading costs and make portfolio exposures easier to interpret than dense portfolios that include the…
The article describes an on-chain method for examining which other tokens are held by wallets that own ENA. It starts with a list of ENA holders, retrieves their other token balances, filters likely spam tokens, and transforms the data into a wallet-by-token…
This note explains a long-short pairs strategy that uses a copula to model the dependence between two stocks. After selecting a pair, for example with a cointegration test, the method fits the copula and each stock’s empirical distribution on a formation…
This research note outlines an extension to traditional risk parity. Standard risk parity assigns equal contributions to portfolio volatility, but this approach accounts for only variance and can leave exposure to skewness and kurtosis uneven. Those higher…
The document summarizes research on whether investors react differently to corporate announcements made before major holidays. The study examines US stock repurchases, equity issuance, mergers, and quarterly earnings announcements from 1984 to 2012,…
The document catalogs the 158 Alpha158 features used in quantitative equity research. It groups formulas into candlestick shape and normalized price features; trend measures such as returns, moving averages, regression slopes, fit, and residuals; and…
This post proposes screening Chinese stocks in the beverage and alcohol industry using a turnover range of 3% to 12% and a 2021 date filter. It explains turnover as a proxy for trading activity and the industry classification as a way to narrow the universe.…
This report describes a multi-factor event rotation approach for finding stock-related events that may be attracting market attention. It considers events involving shareholder behavior, dividend policies, earnings forecasts and growth reports, and private…
This essay argues that traders should pass on marginal setups and act only when a trade strongly meets their criteria. It frames selectivity as a way to reduce unnecessary decisions and make accepting losses more manageable. It also emphasizes studying wins…
The Speed Oscillator measures how quickly a moving average changes on the current bar relative to the mean speed over a chosen lookback period. It separates upward and downward movement, scaling each by the average positive or negative speed in the…
This research summary describes a method for forecasting year-over-year inventory growth across six products in China’s ferrous commodity chain. It treats inventory as an indicator of relative supply and demand, while noting that true inventory is difficult…
This brief indicator description presents an alternative display for price data: calculate RSI separately for open, high, low, and close, then show the transformed values as colored candles in a separate chart pane. Because RSI values occupy a bounded…
This guide describes an analysis tool for calculating and plotting expressions over market time series, with syntax influenced by the public Alpha101 formula collection. It lists arithmetic and conditional operators alongside functions for lagging…
This entry introduces the Butterworth filter, also known as a maximally flat filter, as a way to smooth a price series. Its stated aim is to reduce short-term noise while preserving a clearer indication of price direction. The included example initializes…
This note presents an adaptive exponential moving average whose calculation changes in response to the Relative Strength Index. It frames the RSI as a bounded momentum measure that can also serve as an input for adapting an indicator to changing market…
Pyfolio is presented as a Python library for analyzing the performance and risk of financial portfolios, with compatibility for the Zipline backtesting library. Its central reporting tool is a tear sheet: a collection of plots intended to give a broad view…
The article explains how limit order books work and why large visible orders can expose traders to front running and adverse selection. Iceberg orders reduce that exposure by displaying only part of a larger order, though hiding demand can also make…
The author introduces a custom Better Volume indicator intended to simplify other versions the author considers overly complicated. The description says it uses a few moving averages and a built-in range calculation to process volume-related information. The…
The document describes a liquidity premium factor built from buy-side limit order book data. For a chosen trade amount, the method simulates execution against displayed orders, adding interpolated virtual orders as needed, and compares the resulting market…