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
An interview with an experienced derivatives trader traces his move from equity derivatives into crypto and explains how exotic option books can behave under stress. Autocallables combine contingent coupons with short exotic downside exposure, while their…
The Market Cycle Projection Engine turns a Wyckoff-inspired cycle model into a five-state indicator: Accumulation, Markup, Distribution, Markdown, and Transition. It classifies bars using normalized linear-regression slope, the ratio of fast to slow ATR, and…
This market commentary examines crypto options and spot-market conditions during the November 2022 FTX collapse. It argues that contagion concerns, thin liquidity, and possible abrupt news-driven moves made short-volatility positions especially exposed, even…
This note describes a simple Chinese equity screen combining daily price range, a recent high, and share supply. It selects stocks whose high is the highest of the current and prior day, whose daily range exceeds 1%, and whose tradable share count is no more…
This stock screen combines three conditions: daily amplitude above a stated threshold, no limit-up close on the previous day, and at least one limit-up event during the past month. The article frames larger amplitude as a way to find more active stocks,…
This market commentary links changing US inflation, employment, and rate expectations to crypto risk sentiment, then reviews Bitcoin and Ethereum options positioning ahead of an FOMC decision. It describes bullish Bitcoin flows, including call buying and put…
This document describes two extended indicator functions intended to expand the calculation choices available to trading programs such as expert advisers. The Bollinger Bands extension accepts a fractional deviation value and supports moving-average types…
This short document describes a higher-timeframe variant of the Ozymandias standard deviation indicator. Its stated addition is a timeframe input, which lets the user select the chart period from which the indicator draws its data. The example setting shown…
The document explains the DeMarker oscillator as a way to compare recent price action with the preceding period to gauge demand. It describes the indicator as bounded from 0 to 1 and notes that, unlike many oscillators, it does not use smoothed data. Traders…
This research summary examines low-volatility investing in overseas markets and mainland Chinese equities. It presents the low-volatility anomaly as a source of long-run risk-adjusted performance, with a behavioral explanation: speculative demand and…
This weekly crypto market note reviews Bitcoin’s rally, liquidation-driven price swings, upcoming US macro events, and the implications for options volatility. It connects a sharp move through prior price levels with short liquidations, a subsequent rapid…
This indicator combines a moving average with Average True Range bands. It plots the moving average as a central reference, with upper and lower bands at 1.5 and 2 ATR distances. The proposed entry is a close across the moving average: a long signal follows…
This note proposes a Chinese equity watchlist screen requiring daily price amplitude above 1%, at least one limit-up event during the preceding 25 days, and a listing age greater than one year. It presents volatility as a way to find stocks with larger price…
This post presents an A-share selection rule that combines daily price movement, convertible-bond information, and a moving-average trend filter. Its stated criteria include an amplitude above 1, a nonempty name for outstanding convertible bonds, and a…
This proposed stock screen combines elevated price movement with a sector-related condition. It looks for amplitude above 1%, at least one daily gain of 10% or more during the preceding 25 trading days, and a link to beverage or alcohol imports and exports.…
This proposed stock screen selects shares with price amplitude above 1%, excludes Beijing-labeled A-shares, and requires a “today control” indicator above a stated threshold. The document supplies example formulas for these conditions and a Python-style…
This stock-selection rule combines three filters: daily price amplitude above 1%, data from 2021, and a reversal or engulfing-style condition. The document describes the reversal condition through comparisons of smoothed percentage changes in recent closing…
The document describes a CVI oscillator that measures how far price has moved from a moving average while accounting for the Average True Range. This normalization relates the deviation to recent volatility, so the oscillator is intended to express price…
This market commentary links Federal Reserve uncertainty and tariff-related inflation concerns with higher volatility in traditional markets, then considers possible spillovers to Bitcoin. It cites a rise in the VIX after Powell’s remarks, strength and…
This market recap reviews Bitcoin and Ethereum options after approval of an Ethereum exchange-traded fund. It discusses realized and implied volatility, term structure, relative volatility, and option skew. The account says implied volatility fell as event…
This Chinese-language post describes a simple stock screen: select shares with an amplitude above 1, listed for more than a year, and remove those that hit the daily price limit on the previous day. It presents range as a measure related to price movement…
This post describes a stock screen combining three conditions: daily high-low range above 1% of the prior close, a code beginning with 60, and a 2019 dividend ratio above 25%. It explains the range filter as a way to select more volatile stocks, the code…
The article explains why implied volatility is an option price input solved from a pricing model, rather than a direct forecast of future realized volatility. It recommends assessing current IV against its own history and reading it alongside the shape of…
This MetaTrader indicator identifies supply and demand zones by finding sharp price moves relative to ATR, then marking the preceding base candle. It can measure total range or net body movement across a multi-candle window, merge nearby zones of the same…