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 explains how an MQL5 application can communicate with external quantitative software using raw TCP sockets and a native implementation of the ZeroMQ Message Transfer Protocol. It describes the request-reply pattern and the roles of protocol…
The article describes HimNet, a neural forecasting framework designed to account for differences across instruments, venues, and time periods. It represents time of day, day of week, and each series or location with trainable embeddings. Similar contexts can…
The article explains Bayesian Online Change-Point Detection (BOCPD), an online method that updates each bar using only current and past observations. It maintains a probability distribution over run length, the time since the latest regime break, and uses…
The article explains nonlinear transformations for financial time series and develops indicators based on order statistics. It contrasts logarithmic transformations, which turn arithmetic operations into geometric ones, with methods that sort observations to…
The document explains MR Swing, a swing-trading system that uses volatility-adjusted Value Charts to identify pullbacks and different rules for bull and bear regimes. Value Charts compare prices with a moving fair-value baseline and scale the difference by…
The article reviews Bollinger Bands as a volatility measure and describes their middle moving-average line and standard-deviation envelopes. It discusses common interpretations including mean reversion after an outer-band touch, trend persistence near a…
This article introduces spans, experiments, and compositions from category theory, then uses them as a framework for describing a trailing-stop experiment. It records the floating profit of a long position alongside moving-average and average-true-range…
This article explains how Exponential GARCH models address a limitation of standard GARCH estimation: positivity constraints on conditional variance can force parameters to boundaries and restrict the fit. EGARCH models the logarithm of variance, keeping…
The article surveys fractal ideas for describing financial time series whose behavior includes heavy tails, volatility clustering, and patterns that vary across scales. It explains self-similarity and the Hurst exponent as indicators of persistence, mean…
The article explains Supertrend as a volatility-based trend indicator that combines Average True Range with a price midpoint and a trailing band. The band sits below price in a bullish state and above price in a bearish state; a close through it changes the…
The article presents a polynomial regression channel for describing price trends that curve or accelerate, which a straight regression line may not capture well. It fits a polynomial to prices over a configurable lookback window, then calculates upper and…
The document explains Delta as an option’s sensitivity to the underlying price and Gamma as the rate at which Delta changes. It contrasts long options, which have positive Gamma, with short options, which have negative Gamma, and describes why Gamma is…
This article surveys multi-timeframe (MTF) indicators that bring calculations or market information from higher chart periods onto a working chart. It classifies tools that display raw information, plot indicator values across periods, convert periods into…
The article presents an Expert Advisor that detects potential bearish and bullish market-structure flips using swing highs and lows filtered by Average True Range (ATR). It converts ATR into a variable pivot depth, then checks whether a candidate high or low…
The article describes using Average True Range as a volatility measure in mechanical trading systems. It outlines two applications: filtering signals from other indicators according to market activity, and setting pending-order distances, stop-loss levels,…
This article describes an MQL5 expert advisor built around the Nick Rypock Trailing Reverse channel. The channel uses an Average True Range calculation and a configurable multiplier to define volatility-adaptive support levels. A transition to rising support…
The study compares Close-to-Close, Parkinson, Garman-Klass, Rogers-Satchell, and Yang-Zhang variance estimates as one-session-ahead persistence forecasts. It evaluates those forecasts against a next-session EURUSD realized-variance proxy built from the…
The article describes an end-to-end workflow that adapts Google’s pretrained TimesFM 2.5 model for financial time series and displays forecasts in MetaTrader 5. It combines OHLCV exports across forex, index, and commodity instruments with time, session,…
The document develops rule based signal patterns for a wizard assembled MQL5 Expert Advisor, focusing on late Bollinger Band patterns and RSI. One pattern treats expanding bands after a prior trend as a possible contrarian reversal: widening after a rise…
This article upgrades a moving-average crossover Expert Advisor from fixed lots to position sizing based on a chosen share of account balance and the distance to an ATR-based stop. It estimates the loss per lot from stop distance, tick size, and tick value,…
The article describes a breakout method that estimates short-term volatility from two price swings across recently completed bars. At each new bar, it takes the larger absolute swing distance, then projects buy and sell trigger levels as configurable…
This work studies infinite-horizon investment and consumption for an investor with power utility in an incomplete market whose opportunities depend on a stochastic factor. It treats both finite-state factors and factors modeled as Itô diffusions, connecting…
This post proposes screening stocks for daily price amplitude above 1%, current volume above 10,000 lots, a higher open than the previous close, and a trend condition described as at least five moving averages overlapping. It frames these conditions as a way…
This Chinese-language post proposes a stock screen requiring daily price amplitude above 1%, an opening price near the 10-day moving average, and a reported position increase above 5%. The rationale is to find volatile shares that may be in a consolidation…