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 research summary compares industry-level signals built from risk-adjusted returns and moving averages. It reports tests of Jensen’s alpha, Sharpe, Treynor, and Calmar measures across different lookback periods. The six-month Jensen measure behaved as a…
This document describes an Expert Advisor that opens and closes positions at configured clock times. At the opening time, it reads the Exp_QQECloud indicator color: red signals a short position and purple signals a long position. The closing time is set…
This Expert Advisor uses signals from the NRTR_ATR_STOP indicator. A signal is recognized when a large colored star appears at a bar close. The user can set start and end hours and minutes to define when the system may trade; its defaults cover the session…
This note describes several equity factors built from the distribution of individual trade values within minute bars. It uses distribution statistics such as quantiles, dispersion, skewness, and kurtosis, and examines correlations between trade value and…
This Expert Advisor checks for an entry once per day at a configured time. It finds the highest high and lowest low in a user-defined historical interval, with a shift that moves the interval back from the current bar. The relative positions of those…
This brief indicator description introduces Fractal Bollinger Bands, a modification of standard Bollinger Bands that widens their range. The stated aim is to reduce or limit false entry and exit signals by making the bands less likely to trigger on smaller…
This Chinese A-share screening proposal combines a daily range threshold, a reversal or engulfing-style candle condition, and a circulating market capitalization between 5 and 10 billion yuan. Its expanded version adds upward alignment of short moving…
This research summary describes stock-selection factors built from Chinese public mutual-fund holdings. Because quarterly reports disclose only the largest positions and holdings data arrive infrequently, the study fills out recent quarterly holdings using…
This document outlines an equity strategy in which a research agent calculates a point-in-time VWAP setup and assesses dip-and-reclaim evidence, while a separate trading and risk agent independently verifies the signal and handles orders. The design aims to…
The document explains FreqAI’s main software components and how they support model development. A persistent model object handles data collection, feature engineering, training, and inference; a per-asset data kitchen provides processing tools and metadata;…
The notebook describes an evaluation workflow for stock-return prediction models, including linear and neural models as well as a Transformer and an approach combining predictors with a learned router. It ranks predictions cross-sectionally each day,…
This report analyzes Chinese active equity funds using Fama-French and Treynor-Mazuy models to separate market timing, stock selection, and style allocation. It reports that positive stock-selection ability was more common than persistent market-timing…
The article examines a daily long and short trading setup in the CSI 300 index futures. Each side enters at the open, uses a 30-point stop, and closes any remaining position before the session ends. It reports that both standalone directions were profitable…
The document describes a simple timed long strategy for the FTSE MIB: enter at market at 17:30, near the close, and exit at market at 09:15 the following morning, shortly after the next session opens. The supplied rules use a single contract and trigger…
This Qlib example demonstrates an end-to-end simulation of rolling online model workflows. It initializes Chinese-market data and experiment settings, generates rolling tasks at a configurable step, and connects those tasks to an online manager and a…
This reference describes metrics for evaluating trading strategies from records of equity, fees, trades, trading volume and value, positions, prices, and timestamps. It covers cumulative and annualized returns, Sharpe and Sortino ratios, return relative to…
This stock screen combines a positive MACD reading, a share price below 12 yuan, and a positive MACD value on the daily interval. The article presents the conditions as a way to focus on lower-priced stocks with positive technical momentum, and supplies…
The screen selects stocks in a metaverse industry group whose previous close is above the 250-day moving average and whose current open is near the 10-day average. The stated opening-price band is within three percent above or below that average. The article…
This expert advisor generates a signal when a bar closes and the ColorZerolagX10MA indicator changes direction. It is a simple trend-direction rule: the moving average’s turn supplies the entry signal, while the document does not describe additional filters…
This strategy outline uses the DAX cash market on a three-minute chart. It records the day’s open at a specified time, then enters long when price moves a configurable number of points above that level or short when it moves the same distance below. Trade…
This strategy uses a fitted copula and marginal cumulative distribution functions to estimate conditional probabilities for two assets. During a formation period, the model is trained on historical prices. As new prices arrive, their marginal distributions…
The document presents a market-cycle indicator based on the Discrete Fourier Transform. Its stated motivation is that fixed lookback periods in common technical indicators may become poorly aligned when the market’s underlying cycle changes. The proposed…
The document describes an options workflow that separates research from trade execution. A non-trading researcher gathers market, account, option-chain, contract, Greeks, quote, and package-price information. A trading agent independently refreshes that…
This document summarizes a commodity futures strategy based on carry and the futures term structure. It describes a directional rule in which the nearby, or main, contract is bought when its price is below the next contract and sold when it is above it. The…