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 document raises a label-design question for equity strategy development. It observes that labels based only on shifted closing and opening prices may not distinguish stocks that rise from those that fall, and asks whether adding highs, lows, and volume…
The document describes plotting utilities for evaluating quantitative factors through tear sheets. A summary report combines factor quantile statistics, return tables, quantile return plots, information coefficient analysis, and turnover measures. The…
The document defines a median moving average as an indicator calculated from the prices observed during a selected lookback period. Rather than averaging all values, it sorts the period’s prices and selects the middle value when the sample size is odd. For…
The document proposes a factor based on order-book imbalance and trading activity. It defines large orders using displayed volume across the first three bid and ask levels, identifies minute bars when buying volume exceeds selling volume, and weights returns…
This indicator calculates fractals using closing prices alone, in contrast with the standard fractal indicator shown for comparison. The accompanying visual convention distinguishes the two outputs with different icon colors: standard fractals appear gray,…
This Chinese-language report outlines a framework for evaluating single factors used in quantitative stock selection. It organizes the assessment around information coefficients (IC) and portfolio grouping tests. The IC section includes rank IC, the…
This document describes an adaptive envelope indicator built around a moving average. The central line is the selected moving average of closing prices; upper and lower bands sit symmetrically around it. Their width is scaled by a standard deviation measure…
The document examines how information coefficients (ICs) are used to assess stock-selection factors and assign weights in multifactor models. It distinguishes Pearson correlation from rank correlation and points out a gap in the usual inference: a larger IC…
This indicator modifies the Commodity Channel Index by replacing its usual simple moving average with a T3 average and its mean deviation with an exponential moving average based deviation. The stated aim is to smooth the calculation while retaining a…
The Integral Linear Regression Moving Average (ILRS MA) is presented as a moving-average indicator with two configurable inputs: the calculation period and the applied price. Its calculation uses a window of recent prices and weighted sums, alongside the…
This short indicator description defines Pearson correlation as covariance divided by the product of the variables’ standard deviations. It presents an indicator that can calculate correlation for a chart symbol against itself at a lag, or compare the chart…
This Chinese-language strategy post proposes screening stocks by ranking capital inflow strength, requiring company size above a stated threshold, and looking for a 15-minute MACD histogram whose negative bars are shortening. The flow measure may include…
This article proposes grouping a StockRanker model's scores instead of assuming that the highest-ranked stock is consistently the best choice. It notes that which rank performs well can vary from day to day, especially for models whose styles are unstable.…
This document presents a rule for flagging Chinese stocks that rise sharply during the session and then give back a substantial portion of that move. Using minute closing prices, it tracks the running high, finds the lowest close before that high, and…
The document presents a Chinese A-share screening idea that combines prior-day price amplitude, appearance on the previous day’s trading activity list, and a current-day price-rise condition. It frames amplitude as a measure of short-term movement and the…
The document explains performance attribution as a way to identify where a portfolio’s returns and risks come from, assess whether excess returns may persist, investigate large fluctuations, compare strategies, and monitor the investment process. It outlines…
This indicator records a breakout structure when price exceeds its running high after at least a chosen number of bars below that high. For each structure it tracks the prior high, the intervening pullback low, the reclaim bar, and the subsequent high. It…
The document introduces a Relative Strength Index variant that applies a super smoother to the RSI calculation. It first outlines the usual approach of comparing summed upward and downward price changes, then notes that Wilder’s exponential smoothing is one…
The document explains how to read the balance sheet, income statement, and cash flow statement as connected views of a company’s resources, operating results, and cash movements. It distinguishes operating assets from investment assets, and describes how…
This research summary presents a macro timing framework for Chinese equities and bonds built around monetary conditions and credit growth. It treats policy shifts as potentially informative because monetary policy is described as delayed and constrained by…
The Random Walk Index (RWI) is presented as a way to judge whether price movement reflects a statistically meaningful trend or may be consistent with random variation. It has separate high and low lines for upward and downward strength. Comparing the lines…
This document presents John Ehlers’s Directional Movement with Hann windowing indicator, a smoothed variant of directional movement. It compares the latest high and low changes, assigns the larger positive move to upward or downward directional movement, and…
This document describes a market direction indicator that combines six technical inputs: RSI, CCI, directional movement, Aroon, moving averages, and Supertrend. Each input is converted to a bullish or bearish state, then weighted and passed through a…
This report describes using Campisi and Brinson models to analyze the performance and investment styles of bond funds, with fund selection for fund-of-funds managers as the motivation. It notes that bond fund valuation and disclosure challenges make…