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 document describes a modified Commodity Channel Index (CCI). In the conventional calculation, the reference price average is a simple moving average, and the deviation measure is calculated around that average. The proposed variant replaces both…
The article evaluates whether a stock’s overnight return, measured from the prior close to the next open, can proxy for firm-level investor sentiment. The rationale is that retail investors may place orders outside regular market hours, concentrating demand…
This reference describes several candidate fitness objectives for genetic programming that produces equity factors. It defines IC information ratio as the mean information coefficient divided by its standard deviation, with the information coefficient…
This document presents a price-smoothing indicator based on a Laguerre filter attributed to John Ehlers. It first averages the open, high, low, and close, then measures the absolute difference between that price and the prior filtered value. The difference…
This document describes a chart indicator that draws a channel using polynomial regression. It identifies four controls: the number of bars used, the polynomial power that adjusts sensitivity, the channel deviation that sets the distance from the center line…
Cronex Taichi is an indicator designed to make Ichimoku readings easier to interpret and to distinguish potential flat markets from trends. It defines Taichi as a weighted average of Tenkan, Kijun, and both Senkou spans. TaichiFor uses the two Senkou spans…
This research roundup summarizes three studies. The first examines whether unexpected US monetary policy announcements affected hedge fund alpha after the financial crisis, using event studies, structural-break tests, and Markov-switching models. It reports…
This report examines shortcomings in the Henriksson–Merton (HM) and Treynor–Mazuy (TM) models for assessing fund managers’ market and style timing. TM represents beta adjustment as a gradual quadratic pattern, while HM assumes a two-state exposure shift;…
This reference describes MQL5 preprocessor macros that make Expert Advisor code more concise. It maps indexed rate data to candle prices and times, exposes bid and ask values, and provides access to moving averages and ATR arrays. The author assumes…
The document outlines the five factors used to explain differences in stock returns: market excess return, company size, book-to-market value, profitability, and investment. It describes each as a comparison between groups of stocks, such as small versus…
Anchored Momentum is defined as the percentage difference between an exponential moving average of price and a simple moving average, normalized by the simple average. The indicator therefore compares a smoothed price series with a slower reference average…
This brief student response defines quantitative investing as using data, statistics, research, systematic data collection, backtesting, and programmed trading to make investment decisions. It highlights several perceived advantages: a repeatable process,…
This stock-selection note combines a reported increase in holdings above 5% with parent-company net profit growth greater than 20% and no more than 100%, using 2021 data. The stated rationale is to find companies with signs of buying interest and growing…
This research summary reviews trend-following indicators and how to build strategies for broad asset allocation and industry allocation. It groups 41 indicators by their input data, filtering, moving-average construction, and signal generation, arguing that…
This README introduces a planned quantitative research project connecting iron ore spot prices with the currencies of countries that export iron ore. It presents the project as an extension of an earlier commodity-focused trading strategy, with an intended…
The document describes a chart indicator that plots Fibonacci levels, presented as pivot points, on daily candlesticks. Its stated purpose is visual: it adds reference levels to a daily price chart. No calculation rules, trading entry or exit method, or…
The post asks whether an AI system can infer a profitable futures trader’s approach from minute-level transaction records and then automate similar decisions. The trader reportedly combines minute-bar patterns with discretionary market feel, making the…
This document describes an XXRSX indicator augmented with a trend-strength display. It calculates the standard deviation of the indicator and compares that value with a configurable threshold. When the deviation exceeds the threshold, the chart places a…
This Chinese equity screening concept combines positive reported returns, a market capitalization below 10 billion yuan, a history without losses, and capital strength ranked from high to low. The article interprets capital strength as a measure of net money…
The document describes a MetaTrader tool for checking whether stored market ticks are reliable inputs to real-tick backtests. It counts invalid or crossed quotes, timestamp anomalies, sharp one-tick reversals relative to median spread, gaps compared with…
This document describes a custom candle representation intended to smooth price fluctuations. It applies a four-stage recursive Laguerre-style filter separately to the open and a configurable custom close, then combines the stages with fixed weights to form…
This document explains an indicator that calculates a time-weighted average price from a selected cash-market open through the end of the broker's server day. Unlike tick-volume-weighted VWAP, each unit of session time receives equal weight. To handle…
The document describes a ZigZag indicator that draws rays to identify movements large enough to count as significant. It offers two ways to define that threshold. In point-based mode, a user-set point value determines significance. In range-based mode, the…
The document discusses replacing MQL4’s iBarShift function in MQL5. It says MQL5 provides lower-level functions for implementing the same operation and reviews four community versions written as alternatives. According to the author, those versions return…