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.
29,558 documents
The article reviews how a crypto perpetual-futures funding strategy changed as more traders adopted it. It describes lower positive premiums, less extreme negative premiums during declines, faster-moving entry opportunities that increase slippage, and…
The document describes a one-minute EUR/USD strategy that combines SuperTrend, Parabolic SAR, MACD-derived momentum, and range-related filters. It enters after a sufficiently long Parabolic SAR run changes direction, with additional conditions intended to…
The post presents a technical stock screen requiring daily amplitude above 1%, at least two limit-up events within a 500-day window, and a current close above the previous day's low. It gives indicator-style expressions for those conditions and proposes…
The proposed equity screen combines daily amplitude above 1, a maximum daily decline between 4% and 5%, and a Morning Star reversal pattern. The explanation treats amplitude as a volatility measure, the decline as a possible reversal signal, and the…
This A-share screening proposal focuses on companies classified in the metaverse theme, with circulating share count no greater than 5.5 billion and at least two limit-up sessions during the prior 500 trading days. The article frames the recent limit-up…
This proposed stock screen combines a daily amplitude threshold above 1%, weekly MACD positioned above zero, and a condition described as institutional accumulation. The article presents these as a blend of volatility, trend, and ownership signals intended…
This Chinese equity selection rule looks for stocks with a stated price range greater than one, that did not close at the daily price limit on the previous day, and that show simultaneous bullish technical crossovers. The formula reference mentions a short…
This Chinese equity screen selects stocks whose MACD is above zero, whose best bid volume exceeds best ask volume, and whose return over the recent ten days is positive but below 35%. The article gives a basic implementation outline that scans listed shares,…
The document describes a chart indicator intended to help an intraday trader recognize when price action has moved against the original trade plan. It calculates a 10-day average true range on daily data. After an up day, the level is set by subtracting that…
This post proposes a Chinese equity screening rule combining three filters: daily price amplitude above one, a three-session limit-up streak as of the previous day, and circulating market value between 5 and 10 billion yuan. It characterizes the screen as…
This collection of answers addresses common quantitative investing problems, including fixed-holding-period backtest sensitivity, judging factor data, evaluating strategies that fail live, factor development, market timing, and combining signals across…
This Freqtrade strategy looks for a long entry when price moves below the previous candle’s lower Bollinger Band. It calculates bands over a 40-period window with two standard deviations, then checks the band width, the size of the close-to-close move, the…
The report compares methods for estimating stock-return covariance matrices for Chinese equities. It explains that when there are many stocks but relatively few return observations, sample covariance estimates can be noisy and numerically unstable for…
This report reviews the Shanghai Composite as a broad measure of companies listed in Shanghai and discusses changes to its index rules scheduled for July 2020. The changes add STAR Market listings, delay new stock inclusion, and remove specially risk-warned…
This long-only stock strategy selects strong performers using a six-month price-index comparison, with the code expressing entry as a gain above 44% over 130 bars. It exits when a profit target is reached, when a stop loss is triggered, or after 130 bars if…
This report summary examines how to turn a supplied composite stock factor into a long-only index-enhancement portfolio. It contrasts common linear optimization, which is simple to compute but ignores relationships among stocks and can produce concentrated…
This forum discussion explains why a futures position queried the next day may show a price different from its original entry. In markets that use daily mark-to-market settlement, the exchange settles the day’s profit or loss and the broker’s reported…
This Chinese equity selection method screens for stocks with a daily range above a threshold, afternoon large-order net inflows, and at least two limit-up events within a 500-day window. The article also discusses weekly volume and RSI as additional measures…
This community post describes an intraday forex system intended for one- or five-minute charts. It tracks an hourly reference, sets upper and lower price thresholds around the previous close, and enters long or short when price crosses a threshold in the…
This post proposes a stock screen using three conditions: a 14-period RSI below 65, the ratio of outside volume to inside volume at or above 1.3, and a nonempty field for an outstanding convertible bond. It presents the flow ratio as a sign of buying…
This Chinese stock-selection post describes a screen combining trading activity, price location, and market flow. Its stated rules select shares with turnover between 3% and 12%, an opening price within roughly 5% of the 10-day moving average, and a positive…
The document proposes a short-term screen for Chinese stocks using three signals: daily amplitude greater than 1, a prior-day “main-force control” measure, and more than two limit-up days within ten days. It frames amplitude and the control measure as…
The post describes a Chinese equity screening rule that combines three conditions: price amplitude above a threshold, appearance on the prior day's market activity ranking list, and a low stochastic-style K value calculated over a rolling lookback. It…
This proposed A-share screen looks for stocks with an amplitude above 1, current volume above 10,000 lots, an opening price above the prior close, and an RSI below 65. The explanation treats range and volume as signs of activity, the opening gap as a sign of…