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
The Stiffness indicator estimates trend persistence by measuring how often closing prices remain beyond a moving average during a lookback window. It produces separate percentages for upward and downward conditions. A volatility buffer excludes small…
This indicator measures whether two instruments that usually move together are beginning to diverge. It calculates rolling Pearson correlation between their returns and a rolling z-score for the log-price spread. A signal appears only when correlation falls…
The document introduces Bayes’ theorem as a way to update the probability of an event after receiving new evidence. It defines the prior probability, likelihood, marginal probability, and posterior probability, and gives the formula relating them. It also…
This Chinese equities study proposes quantifying unusual intraday stock behavior by measuring how often a stock moves against a market index. It uses correlation as a screening tool to identify these divergence events, then treats them as event-driven…
This document outlines the risk-neutral argument behind the Black–Scholes partial differential equation for a European option. It starts with a stochastic model of a stock price and applies Itô’s lemma to describe how an option’s value changes with the…
This post describes two chart indicators for comparing typical price ranges across hours and months. Each groups observed high-minus-low ranges by hour or calendar month, computes an average for each group, and plots those averages as bars alongside an…
The Price Momentum Oscillator (PMO) is a momentum indicator built from the rate of change in closing prices. It first calculates the close-to-close percentage change, scales that value, then applies two successive smoothing stages. A third adjustable period…
The essay examines how randomness can make a trader’s successful record look like evidence of skill, using the analogy of a chance-generated literary achievement. It argues that market prices can fluctuate for reasons unrelated to near-term business value,…
This article introduces discrete-time stochastic control as a method for dynamic asset allocation. Unlike a traditional mean-variance allocation made without an explicit sequence of future decisions, the approach models portfolio choices across multiple…
The indicator divides recent price action into clusters using one-dimensional K-means on bar midpoint prices, with trade volume weighting the centroid updates. It then builds a separate volume profile for each cluster, using the actual high-low envelope of…
This brief support exchange explains why a MACD histogram value can shift substantially when the start date of a stock data list changes. The explanation points to the initialization of the exponential moving average: its first value is not fully smoothed,…
The indicator places a wide volatility envelope around a 55-period exponential moving average, using four times the 55-period average true range. It flags bullish or bearish traps when price moves beyond a band and returns inside, subject to a limit on time…
This report summary explores whether macroeconomic indicators can help select individual Chinese stocks, rather than serving only for asset allocation or industry rotation. It proposes estimating each stock’s sensitivity, or MacroBeta, to economic indicators…
The Mass Index is presented as an indicator for searching for trend reversals, using changes in the range between each period's high and low. Its underlying idea is that a widening trading range raises the indicator, while a narrowing range lowers it. The…
This overview presents a multi-factor model as a way to explain stock returns through shared risk exposures, factor returns, and stock-specific residual returns. It frames quantitative management as estimating factor behavior and managing portfolio…
This introductory explanation presents Bayesian statistics as a framework for revising probability beliefs when new observations arrive. It contrasts this view with frequentist statistics, which treats probability through long-run frequencies in repeated…
This stock-screening proposal selects shares whose daily high-low range exceeds one percent, whose high equals the highest high over the current and prior day, and whose stated share-concentration measure is below a threshold of 70 percent. The document…
This article describes modifying OpenFE’s automated feature engineering workflow for futures research. It adds rolling mean, standard deviation, and sum operators across instrument groups, with preset window lengths, and explains how these operators are…
This proposed stock screen combines three conditions: at least five moving averages converge, the share float is no greater than the stated threshold, and the stock’s gain at the 9:25 a.m. snapshot is below the stated cap. The article frames moving-average…
The document describes two indicators that display each bar’s traded volume according to whether the candle closes above or below its open. A positive candle assigns the full volume to buying pressure and displays it in green; a negative candle assigns the…
This personal account explains how an equity prediction model can appear strong in-sample yet fail when applied to unfamiliar stocks or later periods. The described experiment uses fundamental and technical features, including valuation, profitability,…
This report summary describes a method for refining traditional liquidity factors by incorporating intraday trading structure specific to China’s A-share market. The idea is to adapt a broad factor to market-specific trading patterns, with the report…
Fibonacci Gravity Clusters estimates where retracement levels from confirmed swings accumulate near one another. It maintains separate ZigZag swing histories across six pivot scales, filters small legs by their size relative to ATR, and projects selected…
This Chinese-language example sets up a test of whether stocks that have risen on each of the prior three days are more likely to rise the next day. It defines the condition as three consecutive daily price increases, each exceeding one percent, and labels…