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
This document explains a trading-account metric for expressing the current profit or loss on selected open positions as a percentage of account balance. A helper function totals each eligible position’s current profit or loss, commission, and swap. It…
This Chinese-language article outlines an equity screening rule using daily amplitude above 1%, RSI below 65, and a prior-day volume ratio between 3% and 28%. It describes the screen as combining price movement, an RSI ceiling, and recent trading activity.…
This indicator estimates whether recent market regimes favor an uptrend or downtrend and tracks the calibration of its own probability forecasts. It classifies each bar using price change over a lookback window scaled by ATR. Changes beyond a positive or…
This research summary argues that a fund’s track record can mix the results of successive managers, obscuring changes in style and investment approach. It proposes constructing a separate index for each manager from funds solely attributed to that manager,…
This overview explains factor investing as building portfolios around characteristics associated with returns, such as company size, valuation, dividends, and momentum. It distinguishes single-factor approaches from multi-factor combinations, broader factor…
This document explains how to reproduce TradingView’s SuperTrend indicator in MQL5 and verify that the port matches bar by bar. It highlights three sources of divergence: using EMA smoothing instead of Wilder’s RMA for ATR, adopting a different true-range…
This report describes a Chinese equity risk model built on a standard multifactor framework and informed by the Barra approach. It estimates stock return covariance through factor return covariance and specific return variances. The model adjusts these…
The document outlines time utilities for handling weekly market schedules. It describes functions that identify Sunday and Friday boundary times, count Sundays or hourly candles between dates, and add a requested number of trading seconds to a timestamp. The…
The document describes a candlestick-style display built from Ang_Zad_C_Hist histogram values calculated using a price chart’s open, high, low, and close series. It uses color to distinguish whether a candle is rising or falling, then varies the shade…
This research summary compares ten equity valuation measures, including book-to-price, earnings-to-price, sales-to-price, dividend yield, growth-adjusted earnings multiples, cash-flow yields, and EBITDA relative to enterprise value. It describes what each…
This overview surveys several ways to rank or select equities using quantitative models. It groups approaches into factor and risk models, statistical methods, machine learning, macroeconomic inputs, and behavioral signals. Examples include combining value,…
The study examines whether WTI crude futures trading before weekly US Energy Information Administration inventory releases is consistent with informed trading. It compares announcement outcomes with analyst expectations and analyzes intraday prices and…
The article introduces random forests as an ensemble of decision trees and explains how bootstrap sampling and random feature selection create diversity among trees. It reviews classification and regression trees, impurity measures, pruning, regression…
The guide explains how to enable public trade downloads in Freqtrade and configure order flow processing. Settings control cached candles, trade history depth, footprint price-bin size, and the volume and ratio thresholds used to identify imbalances.…
This research review examines whether actively managed U.S. equity funds can generate CAPM alpha without weakening the coskewness of their returns with the market. It explains why investors who value positive skew may care about coskewness alongside…
This article explains factor investing as the practice of expressing a market hypothesis in a measurable rule, rather than focusing first on programming. It distinguishes factors used to select securities from those used to time trades. To illustrate the…
The article presents factors as the core logic of a quantitative strategy, with code serving as a way to implement that logic. It describes factors as explicit rules for selecting securities or timing trades, and argues that traders can translate subjective…
The note introduces quantitative investing as a standardized process that uses data, mathematical rules, and a model to make investment decisions. It contrasts this approach with discretionary stock selection based on personal feelings, describing how a…
This research note compares ways to estimate buyer- and seller-initiated trading. Tick-based classification uses trades relative to the prior best bid and ask, while a bar-based flow measure assigns volume according to the direction of the close-to-close…
This document explains how to estimate a broker's server time zone and daylight-saving status from historical quote data. The method examines the distribution of weekly market opening times, using recurring peaks in inferred offsets to distinguish standard…
This brief note describes an extended version of a deviation-scaled moving average. It says the earlier formulation uses a filter based on the difference between the current close and the close two bars earlier. The extension changes that filter so the…
This study examines how analyst coverage and earnings forecast revisions relate to the negative association between idiosyncratic volatility (IVOL) and future stock returns in Chinese A-shares. It measures IVOL from residual volatility in a Fama–French…
This Chinese equity screen combines daily amplitude above 1, positive institutional fund flow, market capitalization below 10 billion yuan, and positive profitability measures over three years. The note interprets amplitude as a volatility filter, positive…
This read-only tool estimates how far an averaging or grid position chain can move against an account before broker stop-out. It accounts for cumulative floating losses across the legs, margin locked by open trades, the broker’s stop-out threshold, and the…