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 Simple Slope is a price-trend oscillator calculated from the difference between the current close and the close a chosen number of periods earlier, divided by that period count. Its single adjustable input is the calculation period. This expresses…
This indicator rebuilds a volume profile around a fitted linear or quadratic regression curve rather than fixed horizontal price levels. It assigns each bar's volume to a bin based on its distance from the curve, producing a profile of trading activity…
This analysis estimates the cost basis of holdings across 11 spot Bitcoin ETFs using daily flow records since January 2024 and a FIFO assumption for outflows. It uses the resulting aggregate and price-level distributions to describe how institutional…
The document introduces the DiNapoli Stochastic, a smoothed version of the traditional Lane stochastic oscillator available in MetaTrader 5. It attributes the indicator to a description in Joe DiNapoli’s book on trading with DiNapoli Levels. The stated…
This research note examines an equity-selection factor built from differences in stock price behavior across the trading day. It reports that the original APM factor performed well in its in-sample period, weakened out of sample, and suffered a sustained…
This document describes a chart indicator that identifies the candlesticks with the highest and lowest volume within a user-selected lookback period. Its sole input is the period used for the calculation, so the marked bars change as the window changes. The…
The article reviews the 2021 revision of China's Shenwan industry classification and its possible uses in quantitative investing. The revision expanded coverage to A-shares, Stock Connect shares, and selected Chinese firms listed overseas, added three…
The Trend Trigger Factor (TTF) is presented as an oscillator for identifying trends and possible reversals. The document attributes the method to M. H. Pee and a 2004 article in a technical analysis magazine. It identifies three configurable inputs: the…
This indicator adapts an average true range channel using Perry Kaufman's efficiency ratio rather than the standard deviation ratio described in an earlier adjustable-bands approach. Its ATR component is adaptive and smoothed to produce less jagged bands.…
The document explains volume-weighted average price as the average traded price weighted by volume over a chosen period. It describes VWAP as an execution benchmark for investors seeking to trade in line with market volume. The text distinguishes guaranteed…
The method selects hedge ratios for a basket spread by minimizing the absolute estimated half-life of mean reversion. It treats one price series as the target and the remaining series as explanatory assets, forming the spread as the target minus their…
This article outlines a monthly stock-selection study based on transaction-derived capital-flow measures. It proposes screening 17 individual indicators, assessing their predictive ability and stability, combining selected measures according to financial…
The document explains Kaufman’s adaptive moving average (AMA) as an adjustment to conventional moving averages, whose fixed speeds can lag sharp trends or turn repeatedly in noisy markets. It introduces an efficiency ratio that compares net price change with…
This meetup summary covers several practical quant trading questions. It suggests examining order book behavior with Level 2 data when developing capital-flow signals, and describes using a Plotly heatmap to inspect correlations among factors. It also points…
The article reviews research on whether individual commitment within US equity mutual fund management teams affects performance. It classifies managers as committed when they work only for one fund, and noncommitted when they also manage other funds. The…
The report studies whether intraday return distributions contain stock selection information beyond conventional daily factors. Using one-minute stock prices, it constructs factors from intraday return variance, skewness, and kurtosis, then examines…
This abstract copula framework provides shared methods for bivariate copula implementations, with named families including Archimedean, Gaussian, and Student forms. It evaluates copula density and cumulative joint probability, and calculates a conditional…
This indicator estimates directional price pressure from candlestick bodies and wicks. It separates bullish, bearish, and neutral candles, then aggregates their body and wick measurements over short and longer rolling windows. The resulting components are…
The article explains how FMZ’s built-in database interface, based on SQLite, can store structured strategy data when a simple persistence mechanism is insufficient. It introduces table creation and the basic operations for inserting, querying, updating, and…
The RedOrBlue indicator separates each bar’s open-to-close change into positive and negative components. It calculates rolling means and standard deviations for each component over a 14-period window, then standardizes the current values relative to those…
This overview introduces artificial intelligence and machine learning as tools for analyzing financial data and supporting investment decisions or trading operations. It groups methods by task: supervised learning for prediction and classification,…
This example configures a Backtrader strategy with simple moving average and MACD indicators, then runs an optimization over ranges of their periods. A CSV feed and date bounds define the input data, while command-line settings let the user adjust parameter…
This Chinese A-share screening idea combines daily price movement, recent limit-up behavior, and MACD direction. It selects stocks with intraday amplitude above 1%, at least one limit-up day in the preceding 25 days, and a DEA line that is rising. The author…
The document describes Wilder’s Smoothing Average, a recursive moving average controlled by a period and an applied price. Each new value adjusts the previous average by a fraction of the difference between the current applied price and that prior average.…