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 A-share selection method combines an RSI below 65 with a circulating market capitalization between 5 billion and 10 billion yuan, a price-to-earnings ratio no greater than 40, and a ratio of prior turnover multiplied by current opening-auction volume…
This post describes a Chinese equity screen combining a turnover-rate band, beverage and alcohol industry classification, and a reversal or engulfing-style price condition. It also presents illustrative formula and Python references. The accompanying code…
This research note describes an earnings-expectations approach to positioning in Sanhuan Group, a Chinese electronics company. It constructs an “earnings overpricing” index within a fixed price-to-earnings valuation framework and uses the measure to allocate…
This research summary examines whether mutual fund managers’ tendency to follow prior institutional trading can reveal investment skill. It describes a fund-level dynamic herding measure, FH, and tests whether funds with stronger herding subsequently…
This indicator compares price with several moving averages to describe market phase. On a daily chart, the author associates the 1,400-day average with a 200-week measure and uses 50-, 100-, and 200-day averages as shorter-term references. The indicator…
This DAX strategy uses a smoothed price signal crossing prior daily, weekly, or monthly highs and lows to trigger long and short trades. It applies moving-average filters to selected crossings, restricts entries to a stated intraday window, and varies…
This report examines whether selecting stocks within industries can improve factor comparisons by reducing structural differences between sectors. It groups stocks using a detailed industry classification, removes recent listings and very small firms whose…
This Backtrader example demonstrates managing several data feeds independently within one strategy. It assigns entry and holding weekdays by data-feed index, tracks each feed’s position and outstanding orders, and sizes buys and sells differently through a…
This document describes an equity screening rule that combines price range, large-order net volume, and the opening price change. It selects stocks whose amplitude exceeds 1, whose large-order net volume measure stays above 0.05 for at least three…
The document explains how a backtest engine turns an investment strategy into simulated trades. It distinguishes strategy logic, such as selecting securities and generating signals, from trade logic, such as deciding position size, rebalance timing, order…
This document introduces the cyclically adjusted price-to-earnings ratio, or CAPE, as a way to compare equity prices with a decade of inflation-adjusted earnings. It summarizes historical analyses of the S&P 500 and Shanghai Composite, reporting that higher…
The document explains the cyclically adjusted price-to-earnings ratio (CAPE), calculated as an inflation-adjusted share price divided by the average inflation-adjusted earnings per share over the prior decade. It compares CAPE with future real returns for…
The strategy identifies a signal bar whose high-to-low range is smaller than that of each of the six preceding bars. It then places a buy limit at the lowest low and a short limit at the highest high across those prior bars, aiming to trade reversals within…
This brief article presents ten questions about common assumptions in quantitative research. They concern whether researchers must be highly skilled in statistics, whether borrowed methods can be adopted without adaptation, and whether more variables, more…
This forum exchange concerns changing a Turtle-style CTA strategy from a fixed number of contracts to dynamically calculated trade size based on risk. A user reports editing the strategy code through a backtest interface but seeing results continue to use…
This page organizes a beginner-oriented quantitative trading curriculum and links to lessons and example strategy projects. The listed foundations include Python, pandas analysis, historical and financial data access, visualization, and DataFrame plotting.…
This report examines whether commodity futures signals and trades should use the most liquid main contract or an actively traded near-month contract. It defines active near-month contracts using liquidity and price sensitivity, then compares contract choices…
This document outlines an automated forex system that enters a trade when the STLMCandle indicator changes color at a bar close. A transition between blue-green and orange triggers a deal in the corresponding direction. The post identifies the required…
This five-minute crypto strategy combines entry conditions drawn from two named Bollinger Band approaches. One setup looks for a sharp downward move below a 40-period lower band, with price change, candle tail, and closing-price conditions used to qualify…
This configuration defines a Qlib workflow for predicting short-horizon CSI 300 stock returns with a temporal convolutional network (TCN). It uses Alpha158 features, filters a specified set of feature columns, applies robust cross-sectional normalization,…
This document describes a forex Expert Advisor that combines MACD and Stochastic indicators. It limits entries to one position per bar and uses three configurable time windows to determine when entries may occur. Its settings include an option to disable…
This Python module provides utilities for evaluating systematic strategies and constructing several trend signals. It computes annual return and volatility, Sharpe and Sortino ratios, downside risk, maximum drawdown, Calmar ratio, positive-return frequency,…
This article proposes screening stocks with a daily range above a threshold, a close above a short moving average, and multiple moving-average crossover conditions. The intended logic combines volatility and an upward price signal with clustering among…
This automated trading system uses signals from the ColorStochNR oscillator and evaluates them when a bar closes. Its selectable signal modes respond to the oscillator crossing its midpoint, a change in the oscillator’s direction, a change in the signal…