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 research summary examines whether intraday data can improve sector-rotation signals, focusing on realized skewness and the share of volatility attributable to downside moves. It describes constructing these measures from high-frequency observations and…
The document reviews Chinese A-share stocks with very large gains from two perspectives. First, it surveys high-return stocks by year since 2009 and considers market conditions, company size, recent listings, and corporate restructuring as possible…
The document defines industry leader stocks as companies with strong analyst coverage and fundamentals that are closely related to those of other firms in their industry. It reports that analysts tend to cover more heavily companies whose fundamentals move…
The document introduces an indicator built from a deviation-scaled moving average, described as an extension of the exponential moving average. It adds self-adjusting levels that can either be recalculated or inherit previously computed values, creating…
This document explains how time-series momentum (TSMOM) and moving-average crossover (MACROSS) strategies can represent closely related ways to measure price trends. It describes expressing trend signals through past prices or returns, and using “signature”…
The research constructs a specific market-capitalization factor by modeling cross-sectional stock market value from company financial measures and market variables. The model’s residual—actual market capitalization relative to the value estimated from those…
This indicator description explains how a moving average can display trend direction and relative strength through colored dots. It calculates the standard deviation of the ColorXPWMA_Digit indicator and compares that value with two configurable thresholds.…
The screen selects stocks whose daily high-low range exceeds a threshold, whose current high matches the highest high across the current and prior session, and whose closing price is below a specified level. The document gives equivalent indicator conditions…
This overview introduces Python libraries used across quantitative trading workflows. It groups tools by task: NumPy for numerical operations, Pandas for structured and time-series data, TA-Lib for technical indicators, and Matplotlib or Plotly for…
A platform forum exchange addresses whether a daily backtest that predicts a five-day return using the current day’s closing price can access that day’s prediction before the close is available. The response explains that, in the described daily setup, the…
This guide presents local checks for two common failures in factor submissions: missing values near the evaluation window’s start and look-ahead bias. For time-series factors, it recommends querying enough earlier data to cover the longest lag or rolling…
The article summarizes research that uses active share, or portfolio deviation from a benchmark, as a proxy for a fund manager’s conviction. It reports that strong past performance is associated with subsequent increases in active share, particularly for…
Introsort is a comparison-based array sorting method designed to pair quicksort’s typical speed with a bound on worst-case runtime. It begins with quicksort and tracks recursion depth, switching to heapsort if that depth passes a limit based on the logarithm…
The expert advisor compares two ways to define overbought and oversold RSI readings. Its first trigger uses fixed RSI thresholds, typically 70 and 30. Its second trigger calculates an average RSI and standard deviation from past bars, then sets upper and…
The guide lays out different entry paths for using QlibRL, depending on whether the reader is new to reinforcement learning, researches RL algorithms, or already has quantitative finance experience. It recommends learning RL fundamentals, understanding…
This indicator compares the average price path after a chosen market condition with the average path after that condition is absent. The user selects a projection horizon and specifies a condition, such as a rising stochastic reading combined with price…
The Chande Momentum Oscillator (CMO) measures momentum by comparing the sum of recent gains with the sum of recent losses, then scaling the difference by total price movement over the period. The document identifies the indicator with Tushar Chande and his…
The document summarizes research on combining market anomalies and on refining multi-factor models. For anomaly strategies, it reports that returns to many well-known anomalies declined after academic publication, while diversified long-short portfolios…
This research summary examines why the Fama-French five-factor model may omit useful information. It argues that adding momentum produces a stronger explanatory and investment framework, then addresses why the traditional book-to-market value factor can…
This stock screen selects shares with turnover between 3% and 12%, a circulating market value between 5 billion and 10 billion yuan, and a reported increase in holdings above 5%. It presents the filters as a way to narrow the universe toward actively traded…
This document explains a generic MQL5 sorter that reorders an item array according to up to three corresponding key arrays. Each key can be sorted in ascending or descending order, allowing users to set a hierarchy such as symbol first, then position open…
The document defines a technical oscillator intended to display money-flow pressure. Its calculation compares the close at the selected lookback period with a recursively accumulated series. The recursive component adds the close-to-close price change only…
The document explains the triangular moving average as a smoothed average whose weights rise toward the center of the observation window and then fall symmetrically. It illustrates how the weight pattern expands with the period: odd periods have a single…
The post discusses a possible source of inaccurate results near the beginning of a backtest in VeighNa’s BacktestingEngine. It describes an initialization period in which historical bars are loaded for strategy setup, followed by the bars used for strategy…