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 expert advisor places Buy Stop and Sell Stop orders at a user-set time of day and removes pending orders at another specified time. If either order triggers, it detects the trade event and cancels the opposite pending order, creating an OCO-style entry…
The document describes the growing role of cryptocurrency derivatives and the need to combine data from fragmented trading venues. It identifies trades, price aggregates, deep order books, open interest, funding rates, liquidations, and long/short ratios as…
Boxes Trail combines rolling price extremes with a modified Hull moving average to plot dynamic support and resistance levels and identify trend direction. Its entry logic uses crossings between trailing levels, with separate long and short signals. The…
This document explains why cash dividends matter when pricing Chinese equity index futures and estimating hedge costs. Because the contracts track price indices, expected constituent dividends affect fair value and the apparent futures basis. The proposed…
This document describes an Expert Advisor that combines a moving average (MA), the Commodity Channel Index (CCI), and stochastic oscillator readings to generate buy and sell signals. A buy is triggered when CCI and stochastic are below their respective…
Plan X opens a position when the close of bar 1 differs from the close of a reference bar by more than a configured channel height. A move above the reference close triggers a buy by default, while a move below it triggers a sell. An optional reverse setting…
This guide explains how FMZ evaluates trading strategies on historical market data. It contrasts simulated Tick backtests, which construct intrabar price events from candles, with live-data Tick backtests, which replay collected tick, depth, and trade…
This Chinese-language post describes an A-share stock screen focused on the metaverse industry. It selects stocks with a volume ratio between 1.5 and 6 and ranks candidates by capital-flow strength. The post explains volume ratio as a measure of trading…
This derivatives newsletter reviews a strong weekly rise in Bitcoin and other risk assets amid a US government shutdown and missing official employment data. It compares private employment estimates with market expectations, notes gains in gold, equities,…
This note describes a Chinese equity screen using three characteristics: turnover between 3% and 12%, an IPO year of 2021, and a specified daily maximum decline between 4% and 5%. It presents the rules as a way to identify stocks based on trading activity,…
This note proposes screening Chinese stocks for a recent positive but bounded price gain, alongside a narrow price band around 18.5 yuan. It also refers to a requirement that at least five moving averages converge, presenting that condition as a way to find…
This note describes a Chinese A-share stock screen that selects shares with turnover between 3% and 12%, excludes Beijing-listed stocks, and requires at least one limit-up event in the past month. The proposed rationale is that a recent limit-up may signal…
This post proposes selecting stocks with MACD above zero, upward-moving averages, and rising large-order net volume, then sorting candidates by that flow measure. It describes MACD as a trend filter, moving averages as a directional signal, and large-order…
This post describes a daily, after-close stock screen that requires MACD to be above zero and ranks eligible stocks by a popularity measure. Its final logic also calls for market capitalization above a stated threshold and excludes suspended stocks. The post…
The post proposes a Chinese equity screen that ranks stocks by market capital inflow, then selects companies below a stated market-cap ceiling that are not loss-making and have higher revenue in 2021 than in 2018. The written selection logic specifies…
This overview surveys private fund investment approaches, outlining how managers combine asset selection, portfolio construction, and risk management. It covers equity long-only, long-short, and market-neutral strategies; managed futures trend and arbitrage…
This post describes a Chinese equity screening rule that selects stocks in the metaverse sector when the prior day's price is above the 250-day moving average and daily MACD is positive. It frames sector membership as exposure to a popular theme and the…
This report summary introduces entropy pooling as a way to incorporate qualitative or quantitative views into a risk model by updating a probability distribution. It contrasts the approach with the Black–Litterman model, describing broader choices for risk…
The document explains Parkinson’s historical volatility measure, which uses each period’s high and low prices to estimate return variability under a random-walk assumption. It defines the high-low return as the natural logarithm of the high divided by the…
This note proposes screening Chinese A-shares for a turnover rate between 3% and 12%, excluding Beijing-listed shares, then selecting the five stocks with the largest amount traded in the day’s auction. Its rationale is that high auction activity may…
The note describes a Chinese A-share selection idea that combines price amplitude above one, three technical indicators crossing upward, and a connection to the metaverse. It presents the added metaverse condition as a way to target a popular emerging theme,…
This Chinese A-share screen targets stocks in the metaverse theme with circulating share capital at or below 5.5 billion shares and a price gain below six percent at 9:25. The article presents the criteria as a way to focus on companies with a moderate float…
This five-minute Freqtrade strategy combines moving averages, directional movement, ADX, and RSI to generate long entries and exits. It compares 120-period and 240-period simple moving averages to classify the broader trend, while exponential averages of…
The document proposes screening stocks using three conditions: daily amplitude above 1%, RSI below 65, and a 2019 dividend payout ratio above 25%. It combines a price-range measure and a momentum oscillator with a historical fundamental filter. The ratio is…