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.
29,558 documents
The post describes a Chinese equity screen applied after 2 p.m. It selects stocks with turnover between 3% and 12%, a positive return over the prior ten days below 35%, and positive large-trade net inflows in the afternoon. A Python example sketches a…
This short forum post reports that version 1.2.0 of an option hedging engine and its monitoring component appear to submit many orders before the market opens, with those orders rejected. The author suggests the components should check whether the current…
This post proposes a stock-selection screen using RSI below 65, a condition involving price change multiplied by a large-order flow measure, and today’s position increase share above 5%. It presents the combination as a way to consider technical conditions…
The article explains return on invested capital (ROIC), return on equity (ROE), and weighted average cost of capital (WACC) as tools for judging whether a company’s growth creates value. ROIC relates after-tax operating profit to invested capital, while ROE…
The document presents an intraday stock-selection screen for Chinese equities. It selects stocks with an amplitude above 1, a product of prior-day turnover and the ratio of current auction volume to prior-day volume between 0.5 and 2, and a price rise below…
The post proposes a stock selection rule combining price amplitude above a stated threshold, progressively rising bottom levels, and a bullish weekly bar. It characterizes these as technical signals for price movement and buying interest, then suggests…
This brief BigQuant community post reflects on the challenge of improving a strategy’s Sharpe ratio while also controlling drawdowns. The author’s remarks suggest that judging a strategy by Sharpe alone can overlook the difficulty of managing losses. They…
This short-term Chinese stock screen selects shares whose daily price amplitude exceeds 1, whose reported daily control measure has an absolute change above 21, and whose auction-period return lies between -2% and 5%. The post presents these filters as a…
This expert advisor trades after a chosen number of consecutive candles share the same direction: it buys after a bullish run and sells after a bearish run. Version 6 adds configurable exits when the next candle goes against the position, an event the…
The document presents an A-share stock screen based on price amplitude above 1%, an available convertible-bond name, and positive returns. Its explanation frames these filters as a combination of stock movement and company-related information, and suggests…
The document proposes a Chinese A-share screening rule combining a robotics concept classification, turnover between 3% and 12%, float market value below 10 billion yuan, and exclusion of Beijing-listed shares. It says the exclusion is intended to reduce…
This document describes a one-shot pending-order method. At a user-configured time, the script places a buy stop and a sell stop a specified distance from the current price, with configured take-profit and stop-loss levels. When either pending order…
This stock screen combines turnover between 3% and 12%, seven consecutive sessions in which the close is below the open, and a 15-minute MACD histogram that is shortening. The setup seeks stocks that have fallen persistently but may be showing early signs of…
The document outlines a Chinese equity screening idea that selects stocks associated with the metaverse, with price amplitude above a threshold and free-float shares at or below a stated limit. It presents high amplitude as a way to find more volatile stocks…
This report gives results for an hourly, long-only IFR2 strategy on ADA/USDT using Binance candles from January 2019 through April 2021. The simulation records 260 closed trades and reports a positive net result and annual return, alongside a maximum…
The article presents quantitative investing as a way to replace discretionary buy and sell decisions with signals from systematic models. It attributes common retail timing mistakes to fear, greed, and reactions to market sentiment, and says rules-based…
This strategy uses copulas to estimate conditional probabilities between two assets’ daily returns. It accumulates each probability’s deviation from 0.5 into a mispricing index flag, intended to translate return dependence into a measure of how prices have…
This note describes a stock screen requiring amplitude above 1, positive institutional money-flow direction, and a positive daily MACD. The conditions combine a measure of price movement, a proxy for institutional flows, and a momentum indicator intended to…
This note describes a Chinese equity screen combining price movement, trading activity, opening behavior, and a long-term trend filter. It selects stocks with amplitude above 1, current volume above 10,000 lots, an open above the previous close, and a close…
This indicator divides a selected price range into bins and totals volume associated with bars whose closing prices fall in each bin. It marks the bin with the greatest volume as a strong level, then identifies low-volume bins above and below it as potential…
This stock-selection method requires a minimum daily price range, prior-day trading turnover above a stated threshold, and positive large-order net flow for at least three consecutive days. The article frames range as a measure of movement, turnover as a…
The document proposes a Chinese stock screen combining four criteria: daily high-low amplitude above 1%, prior-day trading volume above 60 million, market capitalization below 10 billion, and positive net profits over the previous three years. It presents…
This tutorial presents pyfolio as a Python toolkit for evaluating trading strategies through return, position, transaction, stress-period, and Bayesian analyses. Its central output is a set of tear sheets combining tables and plots, with lower-level plotting…
This document outlines a basic automated scalp approach that uses the Zigzag indicator to identify recent price highs and lows. The system treats those swing points as potential support or resistance, draws a trend line based on the market’s reaction around…