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 article introduces econometric analysis of price-derived time series, emphasizing heavy tails, volatility clustering, and the leverage effect. It proposes modeling log returns rather than raw prices and explains how a GARCH model represents changing…
The article proposes replacing fixed RSI thresholds with levels based on the indicator’s observed range in the market being traded. Its motivation is that conventional overbought and oversold readings may be absent for extended periods, while simply changing…
This article replaces an augmented Lagrangian optimizer in an MQL5 volatility-model library with Sequential Least Squares Programming (SLSQP). The motivation is a mismatch between parameter estimates from the MQL5 implementation and Python’s ARCH module,…
This article describes risk controls and volatility estimation for emulated option strategies. For long option structures, it adds an early exit when the underlying reaches a selected rebalancing level; the trader can choose the level and stop trading for…
The article outlines a pipeline for characterizing multifractality in EURUSD five-minute returns. Starting from partition-function slopes calculated in an earlier installment, it extracts the scaling function tau(q), estimates the Hurst exponent using…
The article argues that limited market history can leave a trading system exposed to only one realized path, then proposes generating synthetic price series to examine a rebuy algorithm across many independent instruments. Its price model uses discrete…
This article presents a UT Bot indicator and an automated trading implementation aimed at quick entries and exits. The indicator calculates a volatility-adjusted trailing stop using average true range, then tracks whether price is above or below that stop.…
This article describes two ways to move a trade's stop toward breakeven in an MQL5 expert advisor. The ATR method sets both the activation distance and the stop offset as multiples of average true range, adapting the thresholds to measured volatility instead…
The article proposes identifying possible trend reversals through “yellow” clusters formed from volume and price volatility, their rates of change, and a visualization of market data. It describes normalizing inputs to a 3–9 scale, combining volatility and…
This article shows how to express candlestick patterns as explicit rules in MQL5 and organize those rules into reusable detection functions. It introduces price comparisons for bullish and bearish bars, time-series indexing for accessing recent and…
The article presents a structured method for detecting standard and inverse Head and Shoulders formations in an MQL5 chart indicator. It identifies swing highs and lows, then checks candidate formations using the relative positions of the shoulders and head,…
This article combines guidance on organizing MQL5 trading software as a project with an example Expert Advisor. The EA places limit orders at Bollinger Band boundaries only in the direction indicated by fast and slow exponential moving averages. It filters…
The article describes an MQL5 trading model that represents three qubits as a joint eight-state system. It outlines complex state amplitudes, probability measurement, rotation gates driven by market features, controlled phase gates based on feature…
The article introduces Gaussian process regression as a Bayesian, kernel-based approach that predicts a distribution over possible function values rather than only a point estimate. It explains how a prior encodes assumptions about function shape, how the…
The article explains natural transformations through two functors that map normalized changes in ATR and Bollinger Bands to price-range changes. Indicator changes are discretized into 21 bins from −100% to 100%, while price-range changes are stored as…
This article describes a non-trading MQL5 module that labels market behavior as compression, transition, or expansion, while assessing trend separately. The states are descriptive: compression reflects narrow, overlapping ranges; transition indicates…
The article proposes a conceptual model in which prices reflect interacting market participants, external events, and feedback. It treats the market as nonstationary and uncertain: the state must be estimated from recent history, different instruments are…
The article turns the three-candle Fair Value Gap concept into a reusable detection framework. It defines bullish gaps where the later bar’s low exceeds the earlier bar’s high, and bearish gaps where the later bar’s high falls below the earlier bar’s low. It…
The article develops an MQL5 indicator that combines trend, momentum, and volatility into a rolling market score. Trend is measured by the linear-regression slope of prices in a window, momentum by the price change across that window, and volatility by…
This article introduces eigenvalues and eigenvectors as tools for examining relationships among measured variables. It distinguishes principal component analysis, which forms orthogonal components that capture variance, from factor analysis, which models…
The article describes an MQL5 framework that turns chart rectangles into managed supply and demand zones. A CZone class stores each zone’s price boundaries, type, source, age, breakout tracking, and visual state, while a dynamic object collection tracks…
The article explains how an option chain can reveal the market-implied distribution of an underlying’s price at expiry. It uses the Breeden-Litzenberger result: the second strike derivative of call prices, adjusted for discounting, gives a risk-neutral…
The article describes a way to examine calendar effects in financial returns using boxplots. It converts EURUSD closing prices into percentage changes, groups returns by month, weekday, and hour, and compares their distributions across a historical sample.…
The article develops the first two stages of the Mapper topological data analysis pipeline for price point clouds: assign each point a scalar lens value, then divide the lens range into overlapping intervals called a cover. It describes three lenses:…