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
The post asks whether a factor-analysis module’s rebalance period measures returns before or after the factor observation. The author expected each factor-sorted group’s reported return to represent the return earned by holding its stocks for the stated…
The document introduces nine indicators that compare historical range, volume, and equity gains or losses across calendar periods. For each measure, the collection examines months, weeks, and days of the week to identify periods that have tended to be above…
This Chinese-language post describes a stock-selection screen using three conditions: amplitude above 1, a prior-day 9:15 auction matched price at the limit-down level, and prior-day auction turnover above 0.26. It interprets large amplitude as a source of…
This MetaTrader expert advisor trades signals from a candlestick indicator. It acts when a bar closes with a trend candle and the preceding candle was either not a trend candle or pointed in the opposite direction. The rule therefore focuses on the…
The document describes a script for testing indicators, expert advisors, and other scripts across historical bars. It uses global variables to pass a bar shift and calculation count to an indicator, and can step through data from a selected starting bar…
This configuration describes a Qlib data pipeline for five-minute CSI 300 constituent data over a specified two-year period. It defines training, validation, and test segments, with the training interval also used to fit feature processing. The feature…
The document describes a platform feature for running strategy research code as a live or simulated trading service. A strategy is supplied with its source, name, frequency, starting capital, and optional benchmark. Without a trading API it runs as a…
The document describes a hybrid trading system in which an ONNX model classifies market structure and conventional rules govern trade selection and management. Model inputs include ATR-scaled momentum, distances from recent swing extremes, relative tick…
The document proposes a Chinese equity screen combining amplitude above 1, a rounded price pattern, and a “today control” reading above 21. Its explanation associates higher amplitude with short-term trading potential, the rounded shape with relatively…
The document describes plotting utilities for evaluating quantitative factors through tear sheets. A summary report combines factor quantile statistics, return tables, quantile return plots, information coefficient analysis, and turnover measures. The…
The document describes a Chinese equity screen that combines membership in a metaverse-related stock category with a limited opening gap and a positive weekly indicator. The stated logic uses the 9:25 opening indication to exclude stocks whose gain versus…
This trading system uses the Zero Point Force indicator to generate a deal signal when its cloud changes color at a bar close. The document describes an Expert Advisor based on that rule and states that the reported tests used the advisor's default input…
Bleris is presented as a foreign-exchange strategy that opens hedges when the trend changes. Its author emphasizes keeping absolute drawdown below $3,000 as the system’s central constraint and recommends fixed lot sizes when optimizing. The description also…
This Chinese-language report outlines a framework for evaluating single factors used in quantitative stock selection. It organizes the assessment around information coefficients (IC) and portfolio grouping tests. The IC section includes rank IC, the…
The article explains two execution benchmarks for large crypto orders. VWAP weights transaction prices by traded volume, so high-volume trades influence it more. TWAP gives equal weight to prices across fixed time intervals, supporting a steadier execution…
The document describes a chart indicator that marks bullish and bearish ABCD price patterns. It tracks candidate swing points A through D, applies Fibonacci retracement levels to assess the C point, and uses extension levels to locate D. Adjustable settings…
The document reports a possible limitation in an A-share stock-screening field: setting the ST status value to zero did not keep a stock out of a copied strategy’s backtest after it moved from a special-treatment designation to a delisting-period name. The…
The document examines how information coefficients (ICs) are used to assess stock-selection factors and assign weights in multifactor models. It distinguishes Pearson correlation from rank correlation and points out a gap in the usual inference: a larger IC…
The guide defines cryptocurrency day trading as opening and closing positions within the same day, with traders seeking to benefit from short-term price movement. It emphasizes liquidity because a trader may be unable to exit near a target when a market or…
This research note examines why stocks with high correlation to their benchmark may perform better than low-correlation stocks in the China A-share market, despite findings cited for overseas markets. It explains benchmark correlation in terms of constituent…
This brief indicator note describes a MACD variant that accepts an averaged price series as its input instead of the raw price. The stated rationale is that averaging may filter some false signals. The indicator retains familiar MACD options and can change…
This overview compares ten cryptocurrency trading platforms by their automation styles, access models, and supporting tools. It describes grid trading within a defined price range, dollar-cost averaging, signal-driven systems, market making, and custom…
This article proposes grouping a StockRanker model's scores instead of assuming that the highest-ranked stock is consistently the best choice. It notes that which rank performs well can vary from day to day, especially for models whose styles are unstable.…
The Maximus expert advisor identifies past price consolidations, draws their boundaries, and opens trades when price moves beyond them by a configured distance. Its chart uses separate colored boundary pairs for buy and sell consolidations, with white lines…