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 introduces the Phase Change Index (PCI) as a technical indicator intended to identify transitions among consolidation, rising-price, and falling-price phases. It first frames these states in terms of whether prices remain relatively stable, move…
The document summarizes a portfolio construction method that translates target macroeconomic factor exposures into asset weights. It considers six factors: equity, real interest rates, credit, inflation, emerging markets, and commodities. A standard linear…
This Chinese-language post outlines a stock screen for companies classified in the metaverse sector. Its stated final criteria require a volume ratio above 1.5 and below 6, the current day's low below the prior day's low, and market capitalization under 50…
This page reports live performance statistics for a trading robot labeled as a Polymarket signal source, operating on a five-minute chart interval. The displayed status and logs show directional UP or DOWN signals, a price-to-beat reference, and whether…
This Chinese-language post describes a mainland China stock screen combining turnover of 3%–12%, membership in a robotics concept group, circulating market value below 10 billion yuan, and exclusion of stocks that hit the upper price limit on the prior day.…
The post compares a hand-built 120-period Commodity Channel Index calculation with the platform’s built-in CCI function and asks why their results differ. It identifies the typical price as the average of the high, low, and close, then describes a formula…
The article explains return on invested capital (ROIC), return on equity (ROE), and weighted average cost of capital (WACC) as tools for judging whether a company’s growth creates value. ROIC relates after-tax operating profit to invested capital, while ROE…
This brief BigQuant community post reflects on the challenge of improving a strategy’s Sharpe ratio while also controlling drawdowns. The author’s remarks suggest that judging a strategy by Sharpe alone can overlook the difficulty of managing losses. They…
This Chinese research summary describes an equity index-enhancement approach using listed companies’ reported revenue by business line. It uses annual and interim report data, then applies Chinese-language keyword extraction and similarity analysis to…
Connors RSI is described as an oscillator formed by averaging three components: a conventional RSI on the chosen price, an RSI applied to the length of consecutive up or down closes, and a percentile-rank measure of recent changes. The streak component…
The article presents quantitative investing as a way to replace discretionary buy and sell decisions with signals from systematic models. It attributes common retail timing mistakes to fear, greed, and reactions to market sentiment, and says rules-based…
This research summary presents TS-Boost, an equity factor-selection framework designed for financial data with shifting cross-sectional patterns and low signal-to-noise ratios. Instead of pooling observations from different dates into one training set, it…
This strategy uses copulas to estimate conditional probabilities between two assets’ daily returns. It accumulates each probability’s deviation from 0.5 into a mispricing index flag, intended to translate return dependence into a measure of how prices have…
This short indicator description presents a Stochastic Oscillator derived from William Blau’s Stochastic Momentum concept, as discussed in his book on momentum, direction, and divergence. The implementation displays the oscillator as a color-coded histogram…
The document explains a ZigZag indicator that stores swing highs and lows in separate buffers. A candidate high or low is identified by comparing it with the corresponding values across a configurable number of earlier bars; the stated default lookback is…
This stock-screening idea selects shares with RSI below 65, free-float market value between 5 and 10 billion yuan, and daily price amplitude above 1%. The article explains the intended roles of the filters: RSI indicates short-term overbought or oversold…
This report describes a process for choosing equity factors and turning them into portfolios. It first narrows a larger set of candidate factors by weighing their correlations, volatility, cumulative returns, Sharpe ratios, and economic rationale. It then…
The document introduces PAIN, a price-action oscillator that displays an OHL3C candlestick price ratio over a chosen period. Its two controls are the calculation period and the moving-average method. The description identifies the moving average used in the…
This short platform discussion presents a manual construction of the KDJ oscillator alongside built-in KDJ functions. It first derives the raw stochastic value from the close’s position within the rolling ten-period high-low range. It then applies smoothing…
This tutorial presents pyfolio as a Python toolkit for evaluating trading strategies through return, position, transaction, stress-period, and Bayesian analyses. Its central output is a set of tear sheets combining tables and plots, with lower-level plotting…
This overview surveys practical considerations for AI and quantitative trading, from data quality and model choice to backtesting, risk controls, and portfolio allocation. It highlights that historical results can mislead when models are overfit or…
The Percent Difference Oscillator (PDO) expresses the gap between the current closing price and a moving average as a percentage of that average. Its calculation divides the close-minus-average difference by the average and multiplies by 100, so positive…
This A-share screening idea pairs an RSI below 65 with seven consecutive sessions in which the close is below the open, plus a revenue comparison requiring 2021 revenue to exceed 2018 revenue by more than 10%. The article frames RSI as a check against…
This documentation explains how Hummingbot’s history command summarizes trading activity, asset inventory, pair prices, fees, and performance. It defines average execution price as total quote volume divided by total base volume, then compares the current…