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 indicator describes three ways to measure price movement over a timeframe-adjusted evaluation period. For intraday charts, it estimates the period from the trading session; for daily charts, it uses weekly data. The period length is calculated from the…
The response clarifies what a factor analysis does in the context of evaluating five candidate factors. It says the analysis is run on each factor individually, rather than testing whether a portfolio or combination of all five factors is effective. This is…
This forum post asks how a factor dashboard calculates win rates for low and high factor quantiles and for a long–short portfolio. It contrasts two possible interpretations: counting individual stocks with positive returns, or counting rebalancing periods in…
This forum post asks about a “Golden Cross Winner” ETF strategy that uses an unusual MACD-style calculation. The author questions why the signal line, DEA, is calculated as a 26-period exponential moving average of DIF instead of the commonly cited 9-period…
This translated discussion distinguishes the apparent simplicity of a trading rule from the difficulty of implementing and validating it. A basic buy-low, sell-high idea may be easy to state, but high-frequency firms must receive market data, calculate, and…
This Python utility collection supports quantitative factor analysis. It assigns factor observations to quantile or value-based bins, with options to bucket within groups or separate positive and negative signals. It also infers a trading calendar from…
This document describes a market mode indicator attributed to John Ehlers. It applies a bandpass filter and estimates reference levels from the average of detected peaks and valleys. The filter’s position relative to those levels is then used to determine…
This overview explains decision trees as nonparametric models that divide observations through sequential feature rules. Each path defines a group, and a leaf assigns a prediction based on the labels in that group. The same feature can be used at multiple…
The study groups fifty Wind order-flow measures into eight categories, including inflows, outflows, net active buying, and large-order flows. It evaluates these signals as stock-selection factors using portfolio sorts, cross-sectional regressions, and…
The document describes a MetaTrader 5 dashboard for separating the results of multiple expert advisors running in one account. Each robot’s trades carry a numeric magic number, allowing the dashboard to group activity by strategy instead of relying on…
This speech transcript outlines a research framework spanning short, intermediate, and long horizons. It associates short-term work with factor models and machine-learning stock selection, intermediate work with industry and style rotation, and long-horizon…
This report utility converts daily account snapshots and trade records into tables, then calculates summary statistics for simulated futures accounts or stock accounts. For both account types it derives daily profit and returns, cumulative profit and loss…
This article explains how to measure whether active mutual fund managers adjust holdings in stocks with different downside market sensitivity ahead of market moves. It defines relative downside beta as the portfolio weighted downside beta minus conventional…
This indicator applies fixed rules to identify channels, wedges, and triangles from price swings. It builds a recursive zigzag at multiple scales, takes the latest five pivots at each scanned level, and fits two boundary lines through alternating pivot…
The document describes a normalized version of Twiggs Money Flow intended to show where the current indicator reading sits within its recent distribution. It first calculates buying and selling pressure from the close relative to a true range built from the…
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 indicator estimates price waves from the close’s distance above or below a 150-period weighted moving average. It converts that relative distance into a percentage, scales it by ten, and plots the result alongside a zero reference line. Positive and…
This indicator describes an empirical way to classify bar direction and identify gaps in price quotes. Rather than relying only on whether a bar closes above or below its open, it evaluates the candle’s total height and body against statistical…
This tutorial explains how to build and install a reusable BigQuant module that reads a named data table, selects a date range, and rounds chosen floating-point fields to a requested number of decimal places. It describes defining required and optional…
This post describes a stock selection screen requiring an intraday range above 1, RSI below 65, and a rising KDJ K value across successive observations. It interprets the conditions as seeking stocks with notable price movement, without a high RSI reading,…
This document describes a MetaTrader indicator for calculating a euro currency index from five euro exchange rates: EUR/USD, EUR/JPY, EUR/GBP, EUR/SEK, and EUR/CHF. Each rate is raised to a specified weight and multiplied by a constant to form the index. The…
This research note presents investor mood as a possible explanation for seasonal patterns in both market returns and the relative performance of stocks. It hypothesizes that assets that perform well in historically upbeat periods will tend to do so again in…
The document explains turnover as the number of shares traded during a period divided by the average number of shares available to trade, expressed as a percentage. It illustrates the calculation with a quarterly example in which traded volume is twice the…