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
This Chinese equity screening example selects stocks whose daily high-low range exceeds 1% of the previous close, requires at least two prior limit-up events over a 500-day lookback, and ranks qualifying names by the current day’s opening-auction amount,…
This Chinese stock-screening example ranks companies by capital-flow strength and combines that ranking with a historical dividend payout filter and revenue growth between 2018 and 2021. The initial criteria use a payout ratio above 25% and revenue in 2021…
This event outline describes a quantitative study of option spread strategies, with a focus on gold options. Topics include straddles and strangles, bull and bear spreads, butterfly spreads, and put-call parity. It proposes examining the structure of these…
This Chinese A-share screening idea combines a large daily trading range, at least one sharp daily gain within the recent 25-session window, a robotics-related classification, and a circulating market value below 10 billion yuan. The post presents these…
This documentation explains how an execution algorithm receives a primary order and can break it into spawned orders. Its built-in TWAP implementation divides an order across a configured time horizon and interval, submitting the first slice immediately and…
This long-only daily strategy seeks short-term rebounds in equity index CFDs while limiting entries to prices above a 200-period moving average. It sums RSI readings over the most recent two periods and enters when this cumulative measure falls below 35,…
This programming note explains how an object-oriented trading advisor can manage its configurable inputs as a structured set. It contrasts manually declaring fields and writing string conversion methods with a macro-based library that generates parameter…
This note explains how to handle low-frequency financial or analyst factors alongside daily price and volume factors when constructing nonlinear models. One approach is to merge monthly or quarterly fundamentals with daily market data and carry the latest…
This Chinese-language research summary discusses forecasting stock-selection factor returns after commonly used factors became more volatile. It focuses on screening timing variables with Lasso and Elastic Net regression, then extending factor timing with…
The post raises a backtesting concern: a user observes that a stock delisted on one date still appears sellable on a later scheduled rebalance date. A reply explains the platform behavior as a special backtest-engine rule: when a strategy does not handle a…
The document introduces a trading indicator built from crosses between two deviation-scaled moving averages (DSMAs). It attributes the underlying DSMA concept and the paired-cross idea to an article by John Ehlers published in TASC in July 2018. The…
This document explains the purpose and use of a repository of example strategies for Jesse, a trading research platform. The examples are intended to demonstrate different implementation approaches, indicators, and strategy functions. Users can copy a…
The post describes a Chinese equity screen requiring a turnover rate between 3% and 12%, a stock code beginning with 60, and a positive daily MACD reading. It frames positive MACD as a sign of an upward trend and moderate turnover as a selection constraint.…
This post proposes an A-share selection rule using three conditions: at least five moving averages are said to converge, a morning-star candlestick pattern appears, and the gain observed at 9:25 is below 6%. It frames the moving-average condition as a sign…
The author warns that rented strategies can display steadily rising live curves while concealing a risk of catastrophic loss. They describe systems resembling martingale or complex hedged, locked-position approaches, and recount a trader who ran several…
The article summarizes research using Forcerank, a platform where participants rank stocks by expected performance over roughly a week. Regressions of consensus ranks on past returns show that participants extrapolate recent performance, with more weight on…
This strategy combines volatility bands, a long moving average, a short-period RSI, and a trading-hours filter to take both breakout and reversal trades. It calculates bands from an exponentially weighted mean and variance of log prices. Signals use price…
This document describes a library for monitoring an Expert Advisor’s memory consumption during strategy tester optimization. Its purpose is to help identify parameter configurations that use unusually large amounts of memory and may cause optimization passes…
This article outlines an asset allocation method that combines risk parity with the Black-Litterman framework. Risk parity portfolio weights serve as prior weights, which are used to infer prior expected returns. Short-term momentum views are then…
This article explains how to model multi-stock trading as a Markov decision process and train a deep deterministic policy gradient (DDPG) agent with FinRL. The state includes prices, holdings, and cash; actions change holdings through buying, selling, or…
This guide explains the CTA strategy workflow in VeighNa Fusion, from connecting to the trading gateway and creating a strategy instance to configuring parameters, initializing, starting, and stopping it. Each instance has its own target contract, parameter…
MAMACD combines three moving averages with MACD as a directional filter. Two slower averages use low prices, with periods of 85 and 75, while a five-period average uses closing prices. A trade is opened when the fast average crosses both slower averages;…
This Expert Advisor design combines two smoothed rate-of-change indicators across different timeframes. A slower indicator sets the broader trend direction from the relationship between its main and signal lines; a faster indicator times entries when its…
This proposed daily stock strategy uses a three-line break reversal signal with a moving-average trend filter. It enters long after an upward reversal, when the moving average is rising or price is above it. The suggested stop is set using the prior…