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.
8,851 documents
The project builds a long-only daily strategy across nine SPDR sector ETFs using short- and long-term exponential moving average crossovers. It reallocates capital quarterly based on each ETF’s relative quarterly return, aiming to direct more capital toward…
The document introduces price action trading as analysis of raw price movements and chart patterns, with limited reliance on indicators. It surveys support and resistance, trend following, candlestick setups, breakouts, range trading, and analysis across…
This article introduces technical indicators as mathematical transformations of price, volume, or related market data, and distinguishes technical analysis from fundamental valuation. It groups indicators into trend, momentum, volume, and volatility…
A bear trap is a brief selloff that appears to signal a reversal but is followed by recovery and continuation of an existing uptrend. The article describes how bearish traders may mistake a pullback or liquidation-driven move for a lasting breakdown, then…
The document introduces swing trading as holding positions for days to weeks to capture price moves between local highs and lows. It contrasts this horizon with day trading, describes swings as occurring within broader price trends, and favors…
The document describes a simple trend-following system built with linear regression. It introduces ordinary least squares and explains rolling regression as fitting a model repeatedly using a recent window of candles. In the example, the model relates each…
The article presents a simplified Turtle-style strategy coded for equities. It enters long when the close exceeds a recent rolling high and short when it falls below a rolling low, then exits when price crosses a rolling mean. Signals are carried forward to…
This study compares two systematic futures trend approaches across indices, bonds, currencies, and commodities: a one-year time-series momentum rule and a continuous-forecast framework inspired by systematic trading methods. The first takes long or short…
This overview describes momentum trading as taking positions in assets whose prices have recently moved strongly in a direction, on the premise that trends may persist before reversing. It distinguishes time-series momentum, which assesses an asset against…
The Parabolic Stop and Reverse indicator places a trailing value above or below price to indicate a possible trend direction and reversal. The article gives its update formula, which moves the prior SAR toward the trend’s extreme price using an acceleration…
The article explains how the Average Directional Index (ADX) measures trend strength without indicating trend direction. Direction is assessed with the positive and negative directional indicators (+DI and -DI), while ADX is derived from the separation…
The document explains the Ichimoku Cloud as a charting system built from five lines calculated from price highs, lows and closes over different lookback periods. Two leading spans form the cloud, while the other lines provide conversion, base and lagging…
The article describes an experiment applying meta-labeling to S&P 500 E-mini futures data. It combines event-based sampling, the triple-barrier method, and meta-labeling with two example strategies: trend following and mean reversion using Bollinger Bands.…
This overview compares online portfolio momentum approaches across six equity and market-index datasets. Exponential Gradient updates portfolio weights using recent relative performance, with a learning rate and regularization intended to limit abrupt…
The article presents Model Fingerprints as a way to describe how machine learning features affect predictions. It estimates partial dependence by varying one feature while averaging predictions over other observations, then separates that dependence into…
This project update describes research notebooks for financial machine learning topics, including tick, volume, and dollar bars; CUSUM event filtering; vertical barriers; and triple-barrier labels. It outlines comparisons of bar sampling using weekly count…
The article presents a research workflow for turning a market hypothesis into a trading strategy. It uses block charts to examine whether price moves tend to continue rather than reverse, comparing observed movement distributions with a reference process…
The article derives price indicators from triangular and sawtooth window functions. It explains how combining moving-average coefficients produces a triangular weighting pattern, then extends the construction with multiple wave periods and separated…
The article distinguishes genuinely adaptive indicators from filters that only appear to adapt. Averaging recent forecast errors changes the effective linear weights, but the resulting indicator is still a fixed linear combination of past prices. Laplace…
This article describes an MQL5 system that uses confirmed fractal pivots as price-structure anchors. It defines Break of Structure (BOS) as a closed-bar break beyond a previous swing high or low, and Change of Character (ChoCH) as an earlier warning that the…
The article tests how often markets qualify as trending versus flat by comparing five classification methods: ADX above a threshold, a Bollinger based trend indicator, Percentage of Trend, an RSI filter, and a ZigZag trend detector. It describes an MQL5 tool…
The article explains how Renko charts represent price movement with fixed-size bricks while omitting regular time spacing. It outlines construction from a selected timeframe and box size, typically using closing prices: a new brick appears after price…
The article presents Owl, a multi-indicator approach centered on trading in the direction of a broader trend. It distinguishes global trends from shorter corrective moves by comparing their scale and duration, and describes using swing highs and lows to…
This article outlines a MetaTrader 5 indicator framework that converts price bars into a structured account of recent market behavior. It detects confirmed swing highs and lows, enriches them with labels such as higher high or lower low, and records move…