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 tutorial outlines a mean-reversion approach to calendar spreads in ETC futures. It defines the spread as the weekly contract price minus the quarterly contract price, samples it on a five-minute cycle, and pairs the contracts in a one-to-one ratio. The…
This Chinese-language post outlines an equity screen for stocks with daily amplitude above a threshold, a rising-bottom pattern, and seven consecutive declining sessions. It frames the decline streak as a possible oversold condition that could precede a…
The document presents a price range detector that tests three nested lookback windows and selects the longest window satisfying a set of structural filters. These include volatility compression ranked against the instrument’s own history, repeated closes…
The document introduces decentralized finance as blockchain based software that can perform functions commonly handled by financial institutions. It describes smart contracts supporting lending, trading, liquidity pools, risk management, derivatives,…
The document describes a short-term A-share stock screen based on trading activity and recent price strength. Its stated conditions are intraday amplitude above a threshold, current volume above a threshold, an opening price above the prior close, and at…
This research summary explains how alpha factors can be represented by factor-mimicking portfolios (FMPs) under a stock covariance model, and how linear combinations of factors correspond to combinations of their mimicking portfolios. It frames factor…
This post describes a short-term Chinese equities screen combining three conditions: daily amplitude above 1, a daily controlling-shareholder measure with an absolute change above 21, and three consecutive daily declines in closing price. It frames the setup…
This description explains a limit-order market-making strategy based on the Avellaneda–Stoikov framework. It sets a reservation price and optimal bid-ask spread using estimated volatility, order-book liquidity, inventory relative to a target allocation, the…
This guide catalogs implementation mistakes that can distort trading decisions or break a Lumibot strategy. It explains why backtests should use simulated time and completed candles, why persistent assets belong in strategy variables, and how to handle…
This Chinese equity screening proposal uses reported daily accumulation above five percent and large-order net volume above 0.05 for at least three consecutive days. It then lists additional filters for the final selection: market capitalization above 10…
This Chinese stock-screening example combines three signals: daily price amplitude above one, positive institutional net flows summed over five days, and a rule-based arc-top or arc-bottom pattern. It describes the pattern checks using recent highs and lows…
This Chinese equity-screening proposal ranks companies by capital-flow strength and combines that ranking with a market-cap limit, a no-loss condition, and a dividend payout ratio above 25% for 2019. The discussion interprets stronger capital flow as…
This report outlines a short-term reversal strategy for China’s CSI 800 stocks. It combines a moving-average system intended to classify trend state through cycle analysis with multi-timeframe MACD divergence. A bullish divergence occurs when price makes a…
This Chinese equities strategy defines a technical screen for stocks that have consolidated after a 60-day low, risen no more than 15% from that low, and show stronger aggregate volume on bullish candles than bearish candles over the lookback. It also…
The document describes an Expert Advisor that mirrors trades from selected strategies or manual trades within the same hedging account. In its default inverse mode, it swaps buy and sell directions, reverses stop-loss and take-profit roles at the same price…
This research report studies portfolio construction around a weekly stock-selection model called AlphaNet, built from price and volume data. It examines several portfolio optimization approaches intended to accommodate different risk and return objectives.…
This Chinese stock-screening post proposes selecting shares whose price amplitude exceeds a threshold, that showed “main-force control” the prior day, and whose average price is above the five-day moving average. It presents these conditions as a way to…
This Chinese stock screen combines a turnover band, three consecutive declining sessions, and positive institutional or large-order net inflow. The stated rationale is that turnover indicates trading activity, while institutional flow may offer a clue about…
This Chinese A-share screening rule combines daily price movement, convertible-bond information, and trading activity. It looks for stocks with at least a 1% absolute daily price change, a nonempty outstanding convertible-bond name, and volume at or above…
The document outlines a framework for estimating implied volatility and theoretical option values for altcoins without actively traded options. An Altcoin SVI endpoint bootstraps volatility curves and recalibrates them every 24 hours for 7-day and 30-day…
The document describes a trend-following indicator built from a moving average of the prior day’s typical price. It plots five fixed-distance bands above and below that average; the user sets the period and band increment, with 20 periods and an increment of…
The document describes a stock screen that selects shares with a daily high-to-low range above 1%, dates in 2021, and positive large-order net inflows in the afternoon. It presents the range as a way to find more volatile stocks and treats afternoon inflows…
This indicator plots end-of-day pivot levels for cash-market indices using prior market data. Its central floor pivot is the average of the prior close, high, and low. It derives three support and three resistance levels around that pivot, and also plots the…
This essay describes quantitative trading as the automated execution of investment models designed and assessed by people, rather than as an independent mechanism for discovering profitable strategies. It emphasizes that rule-based systems can apply…