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.
16,761 documents
This support note explains an apparent mismatch between the number of shares bought and sold in a stock backtest. A user observed buying 300 shares of China Yangtze Power and later selling 310, and asked how to correct the discrepancy. The reply attributes…
This forum post investigates a simulated-trading run that fails while rendering performance charts with BigTrader v9. The author suspects that the newer module cannot draw results when the run covers only one day, unlike an earlier backtesting module.…
This introductory guide describes a supervised machine-learning workflow for quantitative equity strategies. It begins by defining the stock universe and target, such as a future return, volatility, or ranking, then splitting historical observations by time…
This Chinese A-share screen targets companies classified in the metaverse sector that appeared on the prior day’s exchange trading list and had a dividend payout ratio above 25% in 2019. The post frames the combination as a way to pair attention to a market…
This MetaTrader Expert Advisor uses changes in the Waddah Attar Trend indicator’s histogram color to generate signals. A signal is recognized when a bar closes with a different histogram color, making the method a bar-close trend indicator trigger. The…
This report describes three Chinese active-equity portfolios designed to outperform active stock funds. The fund-enhancement strategy selects funds by performance tiers, reconstructs their holdings, and optimizes a portfolio while limiting deviations in…
This report tracks three Chinese active-equity strategies against an active-fund benchmark and describes how each portfolio is constructed. The fund-enhancement approach selects funds using performance tiers, builds a holdings-based universe, then optimizes…
XprofuterDD is described as an indicator that attempts to anticipate price behavior several bars ahead. Its forward display distance is controlled by a shift input, while separate inputs set the signal period and moving-average period. The document supplies…
The document answers two platform questions about order sizing and simulated signal timing. It explains that default AI strategy backtests may calculate share quantities from a portfolio percentage, which can produce quantities that do not meet the live…
Renko 2.0 ATR is described as a non-trading MetaTrader 5 utility that generates custom symbol data on a one-minute chart. Its generated Renko bars can be configured using Average True Range, moving averages, and/or a percentage of ATR. The resulting custom…
This report explores whether stocks held together by investment funds form a useful relationship network. It offers two explanations: shared holdings may reflect common traits recognized by fund managers, and co-owned stocks may respond similarly because…
This short Chinese-language community thread asks how win rate is defined for a trading strategy. The replies suggest one possible interpretation: the number of days with profitable total holdings divided by the number of backtest days. The participants…
This utility module prepares trading results for performance analysis. It extracts returns, positions, and transactions from a backtest, normalizes dates, and converts positions into a format suitable for reporting. It also includes display helpers,…
This notebook walks through an Alphalens workflow for assessing alpha factors, which assign a value to each asset at each date and are judged by how those relative values relate to subsequent returns. It demonstrates loading daily stock prices, organizing…
This tutorial explains how to prepare data and use Alphalens to evaluate cross-sectional alpha factors. It distinguishes factor research, which tests whether relative signal values predict later returns, from trading strategy evaluation, which also needs to…
The document reviews feature selection as a preprocessing step for machine learning stock selection. It distinguishes filter, wrapper, and embedded approaches, and describes selection criteria such as variance, entropy, F statistics, mutual information,…
The document describes an Expert Advisor that opens trades when the HighsLowsSignal indicator displays a star with the corresponding color and direction. It identifies the indicator file needed for the EA and notes that a supporting library is used for…
This Chinese A-share screening example selects stocks associated with the metaverse concept, using an opening-session price condition and a minimum listing age. Its final rule requires the stock to have been listed for more than three years and applies a…
This tutorial describes using a recurrent LSTM network to forecast stock closing prices from recent price history. It forms rolling sequences from historical data, reshapes them into the three-dimensional input expected by the network, and separates each…
The author outlines a China A-share swing-trading strategy built around a manually selected pool of companies considered strong performers or quality blue chips. Relative performance against the broad market is used to identify stocks that remain resilient…
This report summary outlines a regime-based approach to multi-asset allocation. It uses historical averages or filtering methods to estimate whether macroeconomic indicators are rising or falling, then compares asset-class returns across those trend…
Renko 2.0 Offline is a non-trading MetaTrader utility that generates custom-symbol data from a one-minute chart. Users can configure the brick scale with tick size, pip size, points, or an R-based setting, and the tool supports asymmetric reversal rules. The…
The article uses simulations to argue that a strategy with a modest standalone Sharpe ratio may still add value when its returns have low correlation with an existing portfolio. It models twenty daily signals with an annualized Sharpe ratio of 0.6, varies…
This document describes an Expert Advisor that trades changes in the direction of a VWAP_Close moving-average indicator. A signal is evaluated when a bar closes, so the stated trigger is based on a completed bar rather than an intrabar move. The program…