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.
12,303 documents
This indicator estimates option values and sensitivities from spot, strike, time to expiry, an interest rate proxy, and volatility. It implements Black–Scholes call and put pricing for European vanilla options and offers additional calculations for binary…
The indicator combines three measures into a smoothed score intended to flag orderly versus irregular price behavior. Its sine-fit component compares deviations of price and a reference sine wave, while a two-lag linear prediction component measures forecast…
This strategy uses unusually wide bars to time long entries. It calculates each bar’s high-to-low range and ranks it against the preceding lookback window. When the range reaches the stated upper percentile threshold and the bar closes below its open, the…
This intraday strategy combines reversal and breakout setups around prior-day and premarket levels. For reversals, it looks for a candle with a long wick near a prior-day or premarket extreme, then checks that price has returned across the relevant level and…
This strategy combines an ATR trailing-stop trend signal with a historical pattern-matching filter. At a trend flip, it compares a recent window of normalized log returns with earlier windows, selects the closest match, and checks the subsequent returns of…
This strategy pairs a squeeze-momentum measure with a smoothed rate-of-change filter. It identifies volatility compression by comparing Bollinger Bands with a Keltner Channel, and computes a momentum value using a linear-regression calculation. Positive…
This strategy combines trend regime scoring, liquidity sweeps, Fibonacci retracement zones, and signal confluence to identify long and short setups. Its regime matrix uses fast, slow, and anchor moving averages, higher-timeframe alignment, slopes, ADX, and…
This strategy uses VIX conditions to stage entries into SPXL. It begins buying after VIX has recently reached a panic threshold and then fallen from its short-term peak. Further additions require another qualifying decline, with the third addition reserved…
The Probability of ATR Index estimates the chance that price will move a chosen distance, expressed in ATR units, within a chosen number of bars. It combines ATR with a measure of recent price dispersion calculated from highs and lows, then maps the scaled…
The indicator measures band width relative to average true range, using a selectable Bollinger Band, Keltner Channel, or Donchian Channel for the width calculation. It then applies Bollinger Bands to that relative-width series and compares the current…
This chart indicator combines several price action displays: internal and external market structure, breaks of structure and changes of character, swing order blocks, fair value gaps, and swing highs and lows. It also offers previous-day and rolling…
This indicator estimates continuous third- and fourth-month VIX futures series from VIX spot and the first two continuous VX futures. It is intended to fill a historical data gap for charting and backtesting maturities beyond the front two contracts. The…
This strategy combines standardized readings from volatility-related ratios with the underlying instrument's position within Bollinger Bands. It calculates rolling Z-scores for MOVE relative to inverse VIX, VIX relative to VVIX, and oil price relative to…
This indicator builds a bear market risk score from macroeconomic, technical, sentiment, and market breadth inputs. Macro measures include yield curve inversions, high yield credit spreads, dollar strength, and a gold to oil ratio. Technical signals track…
This indicator groups historical observations by a selected calendar period and displays the median volume or true range for each group. The available groupings are hours of day, days of week, days of month, and months. A dashboard uses color intensity to…
This indicator estimates a dominant market cycle by first applying a roofing filter to the selected price or input series. The filter combines a high-pass stage, available in first- or second-order form, with a SuperSmoother low-pass stage to limit unwanted…
This long-only gold strategy defines an opening range from 13:00 to 14:00 UTC on weekdays, then looks for a close above that range during a later entry window ending at 16:30 UTC. The breakout must occur on a bullish bar with volume above 1.5 times its…
This strategy combines a short-term direction check with a stochastic-style measure of price location inside an ATR-based Keltner Channel. It enters long when price is above its close from seven bars earlier and the channel position is below a threshold; it…
This long-only breakout strategy looks for price expansion after a volatility squeeze. It marks a squeeze when Bollinger Bands fit inside Keltner Channels, then allows a long entry when price crosses above the upper Bollinger Band within three bars of a…
This strategy uses a Variable Index Dynamic Average (VIDYA) as a responsive baseline and places upper and lower thresholds at a multiple of a long-period Average True Range. VIDYA’s smoothing adapts to the balance of positive and negative momentum, while the…
This indicator uses Zigzag pivots to scan the latest five confirmed swing points for harmonic patterns. When a pattern qualifies, it calculates bullish and bearish price ranges from the pattern using a selectable base: the full pattern range, a correction…
This document presents a reusable backtesting framework for comparing entry signals under consistent exit and sizing rules. It calculates average true range, places stop-loss and take-profit levels at configurable ATR multiples, and sizes positions so the…
This strategy enters long or short when a fast double-smoothed moving average crosses a slower one. Optional filters use ADX for trend strength, RSI for directional momentum, an ATR-to-average-ATR ratio for volatility, and price relative to a baseline…
Pumori applies two recursive EMA passes with a sub-unit length to a selected input: RSI, an RSI moving average, closing price, or a custom series. The author presents the unusually responsive transform as a carrier that makes short-term oscillation and…