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 adapts the SuperTrend period using the coefficient of determination from a rolling linear fit of recent prices. It computes an R-squared value over the configured lookback and uses that value to adjust the period supplied to SuperTrend, aiming…
This forum post reports a suspected data-quality problem in a Chinese stock valuation dataset. The author observed that the September 14, 2022 snapshot appeared to contain more than 1,600 missing or erroneous records, while the adjacent dates seemed to have…
This report surveys several approaches to allocating across asset classes: macro and cycle-based fundamentals, mean-variance optimization, Kelly-CVaR, Black-Litterman, and risk parity. It describes a macro model that separates directional forecasts from…
This Chinese-language research digest summarizes two separate topics. The first reviews the United States target-date fund market, covering market share and flows, relative performance among fund series, and glide paths. It discusses glide-path averages and…
The document explains how Qlib’s tuner searches hyperparameters and combinations of models, trainers, strategies, and data labels. A configuration defines each tuner’s search spaces and evaluation limit, then organizes tuners into a pipeline. Users choose a…
These notes summarize ideas from a Chinese trading book through ten named principles and effects. They cover how payment frequency shapes perceived gains and losses, how unknown factors and nonlinear systems complicate market decisions, and how penalty kicks…
DayDeMarker adapts the DeMarker indicator’s calculation period to the number of bars elapsed in the current day. It is presented for intraday decision support and is available on timeframes from one minute through one day. The description notes that…
This document introduces mobile network activity as an alternative data source for quantitative investing. It explains that mobile devices continually exchange signals with cell towers and Wi-Fi access points, and that legally anonymized records may reveal…
This beginner tutorial uses the MNIST handwritten digit dataset to introduce TensorFlow through a simple image classification task. Each image has a digit label, and the model is intended to predict that label from the image. The tutorial chooses softmax…
The article explains how WorldQuant’s 101 formulaic alphas combine short horizon price and volume features, often mixing momentum and mean reversion. It distinguishes signals traded on the same day as their latest input from those traded later, and walks…
This article challenges three barriers commonly associated with quantitative investing: needing advanced mathematical credentials, being able to code extensively, and having a large portfolio. It presents quantitative analysis as a way to use statistics and…
This guide explains simple and exponential moving averages as ways to smooth price series. An SMA averages prices over a selected window, while an EMA updates recursively and gives more weight to recent prices. It illustrates both calculations with a short…
Zero Point Force (ZPF) is a technical indicator built from moving averages of price and volume. Its formula multiplies the moving average of volume by the difference between a shorter-period and a longer-period moving average of price, then divides the…
The document introduces a version of the fractal dimension indicator attributed to Mark Jurik. It describes the indicator as a tool for assessing whether price changes appear to be trending or ranging, rather than predicting whether prices will rise or fall.…
This index timing method fits a quadratic function to a local segment of a historical price series, using either closing prices or the average of opening and closing prices. It treats the slope at the newest fitted point as an indicator of whether the series…
This indicator overlays two kinds of bands calculated from log-transformed closing prices. The statistical bands use a rolling average and standard deviation, similar in spirit to Bollinger Bands. The regression bands use a rolling ordinary least squares…
This note surveys seven pitfalls in quantitative investing: survivorship bias, look-ahead bias, storytelling, data mining, signal decay and trading costs, outliers, and asymmetric long-short payoffs. It explains how current index constituents can distort…
The document describes the Zero-Lag Exponential Moving Average, a modified exponential moving average intended to reduce lag. It identifies two configurable inputs: the calculation period and the applied price. The formula adjusts the current input using a…
This tutorial demonstrates parameter optimization and result analysis using a moving average crossover strategy with separate averages for trend, entry, and exit decisions. It first applies randomized grid search across constrained parameter combinations and…
The document explains how the Capital Asset Pricing Model can be used to assess stock returns relative to market risk. Under CAPM, expected return is linked to the risk-free rate and the stock’s beta multiplied by the market risk premium. A regression of a…
The document summarizes a 2020 study on whether investor attention measured through Baidu search activity can help forecast volatility in Chinese equities. The researchers compare a baseline GARCH model with an expanded version that includes search volumes…
This indicator estimates how often price has crossed levels above the prior candle’s high or below its low, separated according to whether that prior candle was bullish or bearish. It displays the historical percentages at several successive levels on the…
This example builds a simple portfolio analysis workflow that generates a daily value series for several allocation weights and plots the paths together. A configuration object holds the tested weights, chart dimensions, and date range. The demonstration's…
This research summary examines analyst recoverage: the first new recommendation after an analyst or brokerage has stopped covering a stock for at least six months. It compares recoverage with initial coverage and ordinary rating changes, using U.S. analyst…