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 ZZ Color Retracement indicator extends a basic ZigZag approach by classifying detected price swings according to their length. It compares the latest ZigZag move with an average of prior moves: sufficiently longer swings are marked as impulses,…
This report outlines a weekly framework for tracking profitability and business momentum across China’s CITIC industry groups. It compares trailing-twelve-month return on equity (ROE) with its historical percentiles over one- and ten-year windows, then…
This document describes an RSI indicator that allows the user to choose among four types of smoothing averages for its calculation. It contrasts this flexibility with conventional RSI smoothing and notes that the indicator can use two additional moving…
This tutorial walks through a machine learning workflow for a virtual stock trend prediction competition using BigQuant. It covers importing competition data, converting CSV files to HDF, inspecting data, selecting input features, extracting derived…
The document introduces Stochastic Momentum as an indicator combining momentum and the stochastic concept. It distinguishes an unsmoothed Stochastic Momentum version from an Average Stochastic Momentum version, which applies smoothing. The description lists…
The Demand Index combines price and volume into an indicator intended to anticipate changes in price. Its calculation has one configurable input: the period. The document outlines six interpretive rules covering divergence, extreme readings, zero-line…
This module describes an interactive dashboard for examining two-asset pairs through cointegration tests and mean-reversion models. Its analytics include Engle–Granger and Johansen portfolio construction, augmented Dickey–Fuller results, cointegration…
This overview discusses how machine learning can address high-dimensional and nonlinear return-prediction problems that strain conventional econometric methods. It frames the challenge through empirical asset pricing, including factor models, a proliferation…
The indicator uses RSI to identify possible overbought or oversold conditions while accounting for the market’s adjustment to price changes. Its central idea is that fixed RSI thresholds may keep signaling extreme conditions even after the market has…
The document describes an indicator that reverses the RSI calculation to estimate an approximate closing price associated with a chosen RSI value. It presents the idea as a way to translate an oscillator threshold back into price terms, using RSI and a…
The forum exchange addresses whether the timestamp on a one-minute bar labels the minute that has just ended or the minute that follows. A participant asks which interval is represented by data stamped at 14:00. The reply says that conventions vary across…
This introductory guide describes quantitative trading as building rules from data and statistical analysis to generate systematic entry and exit signals. It explains positive expectancy as a favorable average outcome across repeated trades, while…
The article introduces time series concepts for financial analysis, including univariate and multivariate data, stationarity, autocorrelation, trend, seasonality, and decomposition. It describes using ACF and PACF to examine lag dependence, and outlines a…
This Chinese-language tutorial proposes testing an “upward continuation” candlestick pattern and using it to screen stocks. The method starts with a reference chart, searches historical price data for patterns with at least 0.8 similarity, then measures…
The Trade Volume Index (TVI) is presented as an oscillator for identifying whether a security is being accumulated or distributed. It uses a minimum tick value as its input threshold. A price difference above the positive threshold is classified as buying…
This brief Q&A considers why correlations between peer companies can look different when calculated from daily returns rather than price levels. The question arises in an effort to identify the closest competitors to a target company using stock data from…
The screen selects stocks using three filters: price amplitude above one, circulating market capitalization above 10 billion yuan, and prior-day turnover above 8%. The accompanying explanation frames these as filters for price movement, company size, and…
The document presents a way to assess trading-system drawdowns across three dimensions: depth, time spent below a prior equity peak, and frequency of episodes. It describes a report generated from closed trading history, including current underwater status…
The Efficiency Ratio, attributed here to Perry Kaufman, compares net price change over a period with the total absolute movement along the way. A larger ratio indicates that price traveled more directly and may be trending; a smaller ratio suggests a less…
This document outlines an A-share stock screen combining a price-range filter, the presence of an outstanding convertible bond name, and a minimum circulating market value. It then ranks qualifying stocks by average trading value. The accompanying examples…
This research summary compares ordinary cross-validation with time-series cross-validation for model tuning on sequential data. Randomly assigning observations to folds can train a model on future observations and validate it on the past, violating the…
The document explains the DeMark Range Expansion Index (TD REI), an arithmetic price oscillator intended for market timing. It compares the current high and low with those from two sessions earlier, then applies additional lookback conditions to decide…
This indicator studies monthly seasonality using separate in-sample and out-of-sample periods on monthly charts. For each calendar month, it calculates average open-to-close return and the share of observations that rose or fell. It then ranks average…
This document presents three moving averages that use only closing prices whose bar opening times fall within a configured daily time range. The simple version averages a specified number of qualifying observations. The exponential version applies the…