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 describes how crypto derivatives data can help traders assess uncertainty around elections. It focuses on implied volatility as a measure of expected price swings and open interest as an indication of outstanding positions and participation. It…
This document introduces ATRSmoothed, an Average True Range indicator that applies an additional averaging method to the resulting ATR curve. The added smoothing is intended to make the volatility series less jagged while retaining its basis in true range, a…
This stock screen selects shares with a daily high-to-low range above one percent, excludes Beijing-listed A shares, and rejects stocks that reached the upper price limit on the previous day. The document presents short-term volatility as a way to find…
This Chinese stock-selection note describes a daily screen that looks for shares with an amplitude above 1, a largest daily decline between 4% and 5%, and a close below the Bollinger upper band but above its middle band. It frames amplitude and the decline…
The article argues that liquidity alone offers an incomplete view of volatile crypto markets. Traders and institutions also need context on how activity connects across blockchains, DeFi protocols, centralized exchanges, and stablecoin flows. Stablecoin…
This indicator adapts the Sharpe ratio as a proposed input to a future trading strategy. It calculates log returns over a selected lookback, sums those returns, annualizes return volatility using a trading-day factor, and then divides the return measure…
The document outlines a Chinese A-share screening idea: select companies with a daily high-low range of at least 1%, market capitalization below 10 billion yuan, and positive net profit, then rank them by stock popularity. It presents the range as a way to…
The document introduces a chart indicator that plots a step channel using volatility measured by smoothed standard deviation. This links the channel's construction to the variability of the price series, rather than describing fixed channel boundaries. The…
This market recap describes how a sharp Bitcoin and Ether sell-off affected realized and implied volatility, term structure, option skew, trading flows, and dealer gamma. Short-dated put demand pushed weekly skew into put premium, while longer-dated skew…
This stock-screening rule combines three conditions: a stated amplitude threshold, MACD above its zero line, and at least one daily gain of 10% or more within the most recent 25 trading days. The accompanying rationale treats amplitude as a sign of…
This Chinese-language post describes an equity screen that selects stocks with an intraday range above 1, turnover between 2% and 9%, and a positive return, operationalized in the indicator example as a close above the open. The stated rationale is to…
This post outlines a short-term Chinese equity screen for stocks with an intraday range above 1, a day's maximum decline between 4% and 5%, and exclusion of the STAR Market. Its rationale is that a sharp move may create a rebound opportunity, while excluding…
The document compares free and paid crypto options scanners for professional trading teams. It explains that scanners consolidate activity across exchanges and that richer tools can report net volume and positioning, delta-based butterfly measures, block and…
This indicator scans chart candles and highlights those whose size exceeds a user-defined threshold measured in points. It can mark only the current candle or display qualifying candles across the chart. An optional alert notifies the user when the current…
This note describes a China A-share screen that places a stock in a candidate pool when its daily price range exceeds a threshold, it has recorded at least one limit-up day in the prior 25 sessions, and its stated scale measure is above 200 million. The…
The Volume-Weighted Price Displacement Oscillator measures how far the current close is from a rolling volume-weighted average price, then divides that difference by rolling price volatility. This produces a z-score-like reading centered on the VWAP anchor:…
This research summary describes a model for estimating the probability that large-cap stocks will outperform small caps over the coming month. It uses changes in short-term interest rates and broad-market volatility as leading inputs, with the aim of…
This note presents a Chinese stock-selection screen using price amplitude, the presence of an outstanding convertible bond name, and positive afternoon large-order net inflow. Its rationale treats amplitude as a measure of price movement, bond issuance as a…
This note describes a Chinese equity screen combining price movement with valuation. It selects Shenzhen Main Board stocks with an amplitude above 1, at least one daily gain of 10% or more during the prior 25 trading days, price-to-earnings ratios from 0 to…
The document explains an Elder Force Index oscillator that combines price change and volume, then smooths the result with exponential moving averages to produce an EFI line and a signal line. It describes fixed-length and adaptive calculation modes. In…
This market commentary argues that implied volatility in crypto options appears low relative to an uncertain macroeconomic backdrop. It points to volatility measures and charts for Bitcoin, Ether, Solana, bonds, equities, and precious metals, describing a…
This data-preparation module builds time-series inputs for a deep-learning momentum model. It reads close prices, clips extreme values using an exponentially weighted mean and standard deviation, then derives daily returns and volatility. The target is a…
This stock screen combines four filters: daily high-low amplitude above 1, prior-day turnover between 3% and 28%, a robotics concept classification, and circulating market capitalization below 10 billion yuan. The document gives example formulas and…
The screen selects stocks with codes beginning with 60, a daily high-to-low range exceeding one percent of the opening price, and a current low below the prior day’s low. The article describes this as a short-term selection rule and provides corresponding…