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.
2,013 documents
This research note outlines an extension to traditional risk parity. Standard risk parity assigns equal contributions to portfolio volatility, but this approach accounts for only variance and can leave exposure to skewness and kurtosis uneven. Those higher…
This Chinese-language forum exchange distinguishes between optimizing a strategy separately for each instrument and optimizing it as a combined portfolio. One reply suggests looping over instrument symbols, initializing the backtest within each iteration,…
This legacy charting indicator creates a synthetic time series from user-defined formulas applied to multiple selected instruments. It draws each instrument on bars from a chosen timeframe and synchronizes their observations in time, allowing a combined…
This article introduces discrete-time stochastic control as a method for dynamic asset allocation. Unlike a traditional mean-variance allocation made without an explicit sequence of future decisions, the approach models portfolio choices across multiple…
MultiXRSXSignal presents four XRSX indicator readings from different time frames as separate lines, allowing users to view several timeframe signals together. Each line changes color according to the indicator’s position relative to its signal line: blue…
This strategy allocates a portfolio across leveraged funds tied to US stock indexes, Treasury bonds, gold, and oil and gas companies. It assigns each holding a target weight, checks the portfolio daily, and rebalances every four days by comparing each target…
SSH is described as an indicator that plots two lines from moving averages of candle highs and lows. Their crossing is treated as a potential buy or sell signal. The multi-timeframe version displays the indicator calculated on a higher timeframe within a…
This note outlines a combined moving-average indicator whose settings vary by chart timeframe. It recommends a slower setting for higher timeframes and a faster setting for shorter ones, with arrows marking signals. The displayed calculation aggregates…
This research summary compares common ways to divide macroeconomic cycles: the growth-and-inflation framework often called the Merrill Lynch clock, monetary-credit cycles, and monetary-economic cycles. It argues that these approaches revolve around money,…
The document describes a visual aid that maps each hour of a 24-hour clock to a named trading session using a broker’s server time, while also showing the user’s local computer time. It highlights the currently active session or session overlap, helping…
The document describes a macro allocation framework built from six risk factors covering growth, inflation, rates, credit, foreign exchange, and term spreads. It combines momentum signals with cycle-phase estimates, maps the resulting states into…
The report outlines a multi-asset allocation framework that links macroeconomic risks to broad asset classes, styles, and industries. It identifies economic growth, interest rates, exchange rates, inflation, and credit as five central risk factors. A…
This research review applies conditional generative adversarial networks (cGANs) to multi-asset allocation. It conditions the model on recent asset-return sequences and random inputs to generate possible future paths, then estimates expected returns and…
The document outlines a strategy that dynamically evaluates macroeconomic event factors and selects those more closely associated with asset movements. It considers more than thirty indicators spanning economic growth, inflation, monetary conditions, and…
This overview proposes constructing fund of funds portfolios from four groups: broad-market index ETFs, sector ETFs, index-enhanced funds, and quantitative funds. It compares passive index funds, enhanced products, and quantitative funds by their typical fee…
This study describes active risk parity as a portfolio built around a risk-parity allocation, with controlled deviations based on investment views. In its two-asset example, Chinese equities and corporate bonds are rebalanced using rolling covariance…
The MultiCMxTrend_x10 indicator displays CMx oscillator conditions across ten separate timeframes. Each line represents one timeframe, letting a trader compare whether the oscillator is below its oversold threshold, above its overbought threshold, or between…
This research summary argues that a fund’s track record can mix the results of successive managers, obscuring changes in style and investment approach. It proposes constructing a separate index for each manager from funds solely attributed to that manager,…
The document presents an oscillator that combines Stochastic, RSI, and MACD conditions across three timeframes into one weighted score. Stochastic contributes points according to whether its K line is above or below its D line; RSI contributes according to…
This note reconstructs a Chinese ETF rotation strategy that selects a small pool of relatively uncorrelated assets, including equity index ETFs and gold. Every five trading days, it compares each fund’s 20-day return, holds the strongest when that return is…
This report summary presents findings from interviews with 100 senior professionals at asset managers, wealth managers, hedge funds, and digital asset firms. It describes institutional concerns about fragmented regulation, interoperability for tokenized…
This strategy ranks a chosen set of assets by their return over a configurable lookback period, then invests the portfolio in the strongest performer. The example universe contains a US equity ETF, an international equity ETF, and a bond ETF. It checks the…
The article presents regular investing in broad market index funds as a low-effort, long-term approach, arguing that it can reduce the need for stock picking and market timing. It attributes active managers’ difficulty beating indexes to fees, short-term…
This page summarizes several quantitative investing topics: timing equity factors with cross-sectional and time-series indicators; adjusting portfolios to target volatility; modeling changing stock-bond correlations; assessing tactical asset-allocation…