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
The Ulcer Index is presented as a measure of downside volatility, originally devised by Peter Martin for evaluating stock market funds. The document explains its use as a trend confirmation tool: a falling index alongside rising prices suggests downside…
This derivatives newsletter argues that Bitcoin may remain in consolidation despite bullish headlines, while stronger equities and lower equity volatility point to a different near-term backdrop. Its macro discussion cites the upcoming Federal Reserve…
This brief indicator description presents a single-window display of three smoothed Average True Range series calculated across different time frames. ATR measures price movement range, so comparing the three series can offer a compact view of volatility at…
This proposed equity screen combines three conditions: intraday amplitude above one percent, a K-line value below 20, and a nonempty field for an outstanding convertible bond. The text interprets the range as evidence of volatility, the low K-line reading as…
StepMA 3D is described as a trend indicator that combines three moving averages with Average True Range calculations. The green line acts as a fast trend measure, while the red and blue lines represent the slower trend. The stated directional rule is…
The Braid Filter uses three moving averages to estimate market direction and whether a trend is strong enough to register. It measures the spread between the highest and lowest average, then compares that spread with a threshold set as a percentage of the…
This brief note describes a variation on the Keltner Channel. A conventional channel places bands at an average true range distance above and below a simple moving average. The proposed variant replaces that center average with a Non Lag moving average,…
This note describes a variation on the Commodity Channel Index. Instead of calculating the indicator from the moving average of typical price, the variant uses the median line of a Step Channel. The channel line is described as reflecting the balance between…
This installment of a quantitative investing research review introduces two overseas studies relevant to stock selection. The first examines how interest rates affect stock pricing and is described as offering a new analytical framework and empirical testing…
This note presents a Chinese equity screen requiring price amplitude above a stated threshold, a stock code beginning with 60, and an association with the metaverse concept. It explains the filters as a combination of higher price variability, a market…
This stock screen combines three filters: daily amplitude above 1%, a 10-day gain greater than zero but below 35%, and membership in the metaverse concept group. The article explains that the amplitude condition seeks active price movement, while the return…
This document describes an indicator that plots stop-loss levels based on Average True Range. It provides an adjustable multiplier and ATR period, and includes helper functions so the calculation can be called from other code. The author says it can be used…
This Chinese stock-screening post selects shares with daily amplitude above 1%, no limit-up close on the previous day, and at least one daily gain of 10% or more during the last 25 trading days. It frames amplitude as a way to find more volatile names and…
This indicator combines a configurable moving average with symmetric bands whose width is an ATR multiple. A persistent trend state turns bullish when price closes above the upper band and bearish when it closes below the lower band; it remains unchanged…
This Chinese-language post outlines a stock screen combining three conditions: daily amplitude above one percent, a trading date in 2021, and a Dragon-Tiger List appearance on the prior day. It explains amplitude as a signal of elevated price movement and…
This indicator colors candles according to the direction of a trend oscillator and a separate measure of movement strength. Users can choose MACD, Momentum, or the directional indicator from ADX for trend direction, and ATR or ADX for strength. When both…
This podcast recap follows quant Artur Sepp’s move from traditional finance into crypto derivatives. It describes his work on delta-neutral options strategies, volatility modeling, and market making in illiquid options, where one-sided order flow and…
The indicator combines weighted averages of highs and lows to form channel levels, a Hull moving average for trend display, and relative volume to qualify breakouts. A bullish or bearish breakout is identified when price crosses a stored channel boundary in…
The Waddah Attar Explosion indicator combines the change in MACD with Bollinger Band width to represent directional momentum and volatility expansion. The MACD change is multiplied by a sensitivity coefficient and split into positive and negative histograms.…
This note proposes a short-term stock screen based on daily amplitude above 1, a condition described as main-force control on the prior day, and a 9:25 a.m. gain below 6%. It interprets the range as a sign of active price movement, the control measure as an…
This indicator note explains a short-term trading idea based on alternating periods of small and large price ranges. Range is treated as the distance traveled over a chosen interval, and a narrow range is described as a possible warning that a wider move may…
This stock-selection recipe combines three conditions: amplitude above 1, a shortening negative MACD histogram on a 15-minute chart, and a prior-day 09:15 matching price described as limit-down. The author interprets high amplitude as a way to find volatile…
Adaptive Volatility Analysis (AVA) is an indicator intended to measure whether market volatility is increasing or easing. It compares a short-period exponential moving average of ATR with a longer-period exponential moving average, producing a relative…
This stock-selection idea looks for shares with an amplitude above 1 and more than two limit-up days in the prior ten days, while excluding shares that hit the limit yesterday. It uses recent limit-up frequency as a proxy for market attention and amplitude…