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
The article introduces the Keltner Channel as a volatility indicator built from an exponential moving average and ATR-based upper and lower bands. It outlines two signal rules: a rebound strategy that enters when price closes back inside a band after…
In this championship interview, Andrey Voitenko describes an Expert Advisor that trades breaks from a horizontal price channel. It calculates channel boundaries from highs and lows over five minute bars, then places pending orders at the boundaries after…
The article turns rough-volatility theory into a rolling local Hurst estimate for an XAUUSD intraday trading system. It blocks short-horizon returns into realized-variance observations, takes their logarithms, and estimates roughness from the slope of log…
This article explains how to apply agglomerative hierarchical classification (AHC) and dendrograms to historical price bar ranges. It treats each range as an observation, groups similar observations into clusters, and uses their hierarchical relationships to…
This article explains a Sigma Score indicator that standardizes a bar’s log return against the mean and standard deviation of a recent rolling window. The resulting z-score expresses how unusual the current return is relative to recent behavior. The…
The document describes a Keltner Channel, a volatility-based indicator formed from a moving average and upper and lower bands offset by a multiple of Average True Range. The channel is intended to adapt its width to current volatility and can help identify…
The document defines a Candle-Range Theory toolkit for classifying completed bars as large-range, small-range, inside, or outside candles. Large and small ranges are measured against an arithmetic average of recent true ranges, which includes gaps; inside…
The article presents Bag-of-SFA-Symbols (BOSS) as a way to classify market regimes by converting price windows into symbolic words. Each window is z-normalized to reduce sensitivity to price level, transformed with a low-pass Fourier representation to retain…
The document outlines classical CAPM and proposes a forex indicator that replaces market beta with a risk premium scaled by a currency pair’s historical volatility. It annualizes volatility using a square-root-of-252 factor, combines the resulting premium…
This article introduces Prophet’s trend, seasonality, changepoint, and holiday components, then applies the model to hourly EURUSD data from MetaTrader 5. It defines the target as each bar’s high-to-low range, converts timestamps and volatility into the…
This article surveys and implements market microstructure features for machine learning. Its OHLCV path estimates spreads and price impact using measures such as Roll, Corwin–Schultz, Amihud, and Hasbrouck. A separate path uses raw ticks to calculate per-bar…
This installment describes the decoder and autoregressive prediction half of a native MQL5 implementation of Kronos, a transformer model for financial candles. It reconstructs normalized OHLCVA bars from hierarchical tokens, embeds token pairs alongside…
The article outlines an MQL5 system for classifying market behavior as trending, ranging, or volatile. It motivates regime awareness by explaining that strategies built for one condition may struggle when the market changes. The proposed foundation combines…
This article describes a multilayer perceptron that forecasts a conditional Gaussian distribution for price increments rather than producing only a point estimate. It motivates the approach by noting that mean squared error corresponds to a Gaussian…
The article adapts Spatial Temporal Fusion (STF), a framework for jointly forecasting related demand and supply series, to trading signals. It treats bullish and bearish price movement as proxies for demand and supply, using high-minus-open and…
The article discusses ways to build Parabolic SAR signals into wizard-assembled Expert Advisors, focusing on volatility divergence, higher-timeframe context, and RSI confirmation. A proposed continuation pattern treats a SAR flip accompanied by shrinking bar…
This article describes an MQL5 Expert Advisor that replaces a fixed moving-average crossover threshold with parameters fitted on a rolling window. Its proposed volatility-adjusted moving average cross uses two exponentially weighted averages and an ATR-based…
This article describes a rule-based indicator that estimates a possible next price swing from recent market structure. It identifies candidate swing highs and lows using a configurable lookback and confirmation from the following candle, then searches for…
This article describes an MQL5 Expert Advisor that gathers several technical indicator readings into a chart-based dashboard. It groups tools into trend, momentum, and volatility categories, using moving averages and ADX for trend context, oscillators and…
This article extends standard ARCH and GARCH approaches to account for the sign of market shocks. Symmetric GARCH treats positive and negative returns of equal size alike, while the leverage effect describes how negative returns can be followed by sharper…
The article builds a Hawkes-process workflow to measure whether large market moves tend to cluster. It converts price data into event times when absolute log returns exceed a multiple of a trailing return-volatility estimate, then fits an exponential-kernel…
The document explains Mantis, a foundation model for classifying time-series patterns and market regimes. It describes splitting sequences into patches, combining local convolutional features with global attention, and using separate streams for normalized…
The article evaluates a two-sided CUSUM indicator that accumulates standardized log returns and flags a breakpoint when either accumulator crosses a threshold. It tests the Siegmund average run length formula, commonly used to estimate the spacing of false…
This article introduces ZUP, a configurable MetaTrader indicator that combines multiple ZigZag algorithms with automatically anchored charting tools, including Fibonacci levels and Pesavento patterns. Its general process is to identify market highs and lows…