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 document introduces a Python library for engineering technical-analysis features from financial time series, using price and volume fields such as open, high, low, close, and volume. It catalogs indicators across volume, volatility, and trend…
The document describes an adaptive moving average that uses the efficiency ratio to adjust how an EMA responds to price movement. It attributes the efficiency ratio to Perry Kaufman and presents this version as a simplified alternative to his adaptive moving…
This document explains an indicator that fits a linear regression channel from a user-selected date and time through the latest chart bar. It calculates the regression slope and intercept from closing prices, then estimates channel width using the standard…
This indicator highlights the bars with the largest and smallest high–low ranges within a user-selected search range. The user can independently choose whether to display the widest bar, the narrowest bar, or both. The description labels the widest bar as a…
This Chinese stock-selection rule combines three filters: rank stocks among the top 100 by volume ratio, rank the top 100 by the absolute difference between the previous day’s limit-down price and opening price, and require at least two limit-up days within…
This note describes a Chinese equity screen that selects beverage and alcohol import-export companies in 2021 when the daily high-to-low range exceeds 1% of the low. The stated rationale is that larger ranges may indicate volatility and return potential,…
This brief note describes a higher-timeframe version of a Change of Volatility indicator. Its main feature is a user-selectable chart period, with a four-hour period shown as the default. The indicator is intended to display volatility-change information…
This post describes a Chinese stock screen based on daily amplitude, circulating market capitalization, and association with a robotics concept. Its narrative specifies amplitude above 1, a market-cap threshold above 10 billion yuan, and a cap below 10…
This post presents a Chinese equity screening rule combining RSI below 65, a rising KDJ K line, and an amplitude measure above 1. The accompanying indicator reference uses a 14-period RSI, a 9-period stochastic calculation with 3-period smoothing, and…
This document describes an indicator that measures the size of recent highs and lows over configurable lookback periods, using a calculation likened to a price channel. Its histogram separates high-range readings from low-range readings and colors bars…
This post proposes a short-term Chinese equity screen using three conditions: prior-session amplitude above 1%, tradable share count no greater than 5.5 billion, and at least one limit-up during the first three months of 2021. The rationale is to combine…
The podcast account follows Jake Ostrovskis’s move from global macro trading into crypto OTC markets. It describes his focus on fair value and volatility dislocations, and the OTC desk’s role in arranging large or tailored trades across spot, options, CFDs,…
This stock selection rule screens for A-shares with a daily high-low range above 1% and turnover between 2% and 9%. It combines a volatility measure with trading activity and a market classification filter. The document also sketches an implementation using…
This market snapshot links macroeconomic conditions with Bitcoin and Ethereum developments. It discusses strong US employment data and Federal Reserve expectations, compares reported outflows from Bitcoin ETFs with steadier Ethereum ETF flows, and reviews…
Super SAR combines Parabolic SAR direction changes with SuperTrend confirmation. Green or red arrows indicate a potential entry when SAR changes position and SuperTrend agrees. A gray arrow marks an SAR direction change without SuperTrend confirmation,…
The document outlines a financial time-series study using returns on the CSI 300 index. It says the analysis applies TGARCH and related derivative models, compares their behavior, and attempts to fit and forecast both prices and volatility. This frames…
This post describes a Chinese equity screen that combines three conditions: daily price range greater than one percent, a trading date in 2021, and a nonempty name for an outstanding convertible bond. It provides example implementations in a charting formula…
This document describes a trend indicator implemented using the NRTR approach, with its calculation timeframe set through an input parameter. Average True Range is used in constructing the indicator’s moving average, so the method incorporates recent price…
The document introduces the Sharpe ratio as a measure of excess return per unit of portfolio risk, then describes a method for forecasting how that ratio changes over time. It outlines an approach associated with Whitelaw that estimates Sharpe ratios from…
This indicator modifies the Relative Strength Index so it can be displayed using a different chart timeframe and lets users choose among ten smoothing methods for both the RSI and its signal line. The choices range from standard simple and exponential…
The document explains a simple way to summarize price movement over a chosen number of trading days. For each quoted day, it takes the difference between the candle’s high and low, sums those ranges across the period, and divides by the number of quotation…
This document describes a Chinese equity screening rule that selects stocks when daily high-low amplitude exceeds 1%, the KDJ indicator has just formed a golden cross, and return on equity has exceeded 15% in each of the past five years. It includes…
The document describes a historical stock-selection screen for Chinese A-shares. It selects observations from 2021 where the daily high-to-low range exceeds 1% and turnover falls between 3% and 12%. The stated rationale is that a larger range may indicate…
The newsletter links Bitcoin’s recent weakness to U.S. market sentiment and argues that BTC continues to behave like a risk-sensitive asset. It notes rising Bitcoin volatility and shifting institutional options activity between IBIT and Deribit. It also…