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.
21,023 documents
This introduction explains how cointegration can help create a mean-reverting portfolio from price series that are not themselves mean-reverting. By combining multiple assets with suitable weights, a trader may construct a spread or portfolio whose value…
The document explains grid trading as repeated buying during declines and selling during advances, with portfolio rebalancing used to harvest price fluctuations. Its central example, attributed to Shannon’s Demon, splits capital equally between shares and…
This Chinese-language research summary explains how to estimate consensus net profit from analyst forecasts and turn that estimate into equity-selection signals. It proposes weighting forecasts by report recency and by each analyst’s prior adjusted forecast…
The document defines trading volume as the amount of an asset traded over a period and average volume as total traded amount divided by the length of that period. It explains that volume is commonly expressed as shares per trading day for individual stocks,…
This literature digest summarizes two research topics. The first examines whether approval of new IPOs affects existing Chinese stocks. Treating the IPO approval system as a natural experiment, the summarized study reports negative price effects on existing…
This brief description introduces an oscillator formed from the ratio of two moving averages calculated with the linear regression method. The indicator compares a faster or slower regression-based average with another, offering a derived measure of their…
This weekly research summary compares fundamental and price-related equity factors across Chinese index constituent universes. It reports that valuation, profitability, and financial-quality factors were relatively strong during the week, while growth was…
This document describes an XMA Ichimoku indicator that adds a visual estimate of trend strength using standard deviation. When the indicator’s standard deviation falls between two configured thresholds, it displays a small dot on the moving average; the dot…
This document describes a smoothed correlation indicator intended to distinguish trending price action from ranging or erratic movement. It calculates a bar-to-bar correlation coefficient over a correlation period and then applies smoothing, with both…
This introductory programming note describes several Python mistakes that can make code behave unexpectedly or become harder to maintain. It recommends checking which Python version a program targets, favoring clear code over compressed one-liners, and…
This overview organizes common machine learning methods in two ways: by their form or function, and by how they learn from data. It surveys regression, instance-based methods, regularization, decision trees, Bayesian methods, clustering, association rules,…
A multi-factor analysis reports factor coverage below the required threshold, even though basic descriptive statistics and a null check do not reveal an obvious problem. The suggested diagnosis is that a feature extraction step removes rows containing…
A trader reports that a stock-selection strategy using TA-Lib indicators produces different results each time it is run. The response points to an SQL query in one module that lacks an explicit sort order as the likely cause. When rows arrive in an…
The document outlines a mean-reversion strategy for two assets selected for cointegration. It uses the Engle–Granger two-step approach: regress one price series on the other, test whether the residuals are stationary, then fit an error-correction model and…
This ProOrder indicator draws a zigzag by identifying local highs and lows over a symmetric window and connecting alternating turning points. Its configurable depth parameter determines how many bars are considered around a candidate fractal: increasing the…
The article explains event-based tick data through changes to a limit order book: orders arrive, are canceled, or trade against resting quotes. With this event stream, a researcher can reconstruct the visible book, subject to venue rules and the depth…
This article examines how training-window length affects an AI stock-selection model. It compares long windows, expanded year by year from 2005 to 2021, with shorter windows ranging from a month to a few years. The author recommends checking each window…
This implementation describes convergence trading for two cointegrated assets as a portfolio optimization problem. It estimates error-correction speeds and other model parameters from price data, then computes portfolio weights under both unconstrained and…
The document describes two ways to construct a Lagrange polynomial in an indicator tool. One option detects local maxima and minima automatically and uses those points as the basis for the polynomial. The other builds the polynomial from points chosen by the…
Backtesting feeds a strategy’s rules with historical market data, turns the resulting signals into trades, and aggregates their profit and loss. The document presents four uses: screening candidate strategies, modeling market and execution conditions, tuning…
This article introduces Granger causality and transfer entropy as ways to study directional predictive relationships in time series. Granger causality tests whether a source series improves forecasts of a target beyond the target’s own history, commonly…
The document presents a logarithmic Garman–Klass estimator that uses open, high, low, and close prices to estimate realized or historical volatility. It forms log returns for close-to-close, close-to-open, open-to-previous-close, and high-to-low moves. The…
This document summarizes an introductory treatment of graph neural networks (GNNs), which learn from data represented as entities and their relationships. It explains how convolutional ideas used with images can be generalized to graph structures, whose…
The article reviews the long decline in mutual fund and ETF expense ratios and links it to investor choices, competition, and changes in financial advice and retirement plans. It distinguishes asset-weighted averages, which reflect where investors put their…