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 outlines a Turtle-style trend-following system for stocks. It frames a complete trading plan around market selection, position size, entry, loss exits, profitable exits, and trade rules. Position size is tied to account equity and the 20-day…
This article proposes combining two options data sources to investigate large-trader activity. Block-volume data summarizes large options trades by instrument, exchange, and underlying asset; decorated-trade data adds trade timing and level-one order-book…
This document describes a volatility-based trading indicator or expert-advisor setup for EURUSD. It estimates volatility over a configurable bar period using either high-low ranges or open-close movement, with simple or linearly weighted smoothing. A…
SpreadAudit analyzes the spread recorded for each one-minute historical bar over a selected lookback period. It reports median, 90th-percentile, and 99th-percentile spreads in price units and pips, normalizes them against hourly ATR for comparison across…
This event description outlines a defensive quantitative fund of funds approach built around diversification across asset classes. It proposes combining macroeconomic conditions—growth, interest rates, inflation, and credit—with market-level measures such as…
This proposed Chinese equity screen selects stocks with daily price amplitude above 1%, floating market capitalization over 10 billion yuan, and an association with beverage and alcohol imports or the beverage manufacturing industry. The rationale is to…
This dated market review examines Bitcoin and Ethereum options activity around Ethereum’s Shapella upgrade in April 2023. It discusses realized versus implied volatility, volatility risk premium, term-structure shifts, call-put skew, and reported block…
The document describes a Volatility Bands indicator as similar to standard Bollinger Bands. It lists four configurable inputs: the period used to calculate the bands, a smoothing period, a deviation factor affecting band range, and an adjustment to the lower…
This stock selection rule combines daily price amplitude, a measure described as controlling-shareholder change or control, and the presence of outstanding convertible bonds. The post frames amplitude as a way to find active, volatile shares, and the other…
This note presents a basic stock-selection filter for shares whose codes begin with 60. It requires the daily high-low range to exceed one percent of the prior close and yesterday’s trading value to exceed a stated threshold. The document interprets the…
The document describes an intraday volatility breakout approach proposed for EUR/USD and the DAX on 30-minute and hourly charts. It compares a one-period average true range with an average daily high-low range calculated over the prior three days. When…
The document describes a corrected moving average (CMA) that uses a volatility dependent threshold to decide whether the average should move. It compares variance with the squared difference between the corrected and regular averages; the current time series…
This market commentary links the week’s U.S. data calendar to expected crypto volatility, focusing on the Federal Reserve Beige Book, PCE inflation, and a scheduled FOMC meeting. It argues that PCE is the most likely near-term volatility catalyst, while the…
This Chinese A-share screening proposal combines three filters: daily price amplitude above 1%, membership in the robotics concept group, and a circulating market capitalization below 10 billion yuan with no more than 5.5 billion shares in circulation. It…
This market snapshot interprets a sharp crypto selloff using spot prices and volume alongside derivatives positioning, exchange traded fund flows, stablecoin supply, order book depth, and spreads. It frames falling open interest and negative funding as…
This document describes a Chinese equity screen combining intraday range, a recent large daily gain, and elevated but bounded relative volume. The refined criteria look for range above 1, at least one daily gain of 10% or more within the past 25 trading…
This article outlines a screening process for narrowing a large cryptocurrency universe to candidates for intraday trading. It uses asset ranking data to examine trading volume as a liquidity proxy, hourly price change as a measure of recent volatility, and…
This document outlines a Chinese equity selection screen combining large intraday ranges, a recent single-day gain of at least ten percent, and exclusion of specially treated stocks. Its later proposed version also requires a recent limit-up event and…
This indicator estimates the empirical distribution of close-to-close candle returns over a chosen start date or the full available chart history. It groups returns into 0.25 percentage-point intervals spanning negative and positive moves around zero, with…
This Chinese equity screening rule looks for stocks with amplitude above 1, an opening price near the 10-day moving average, and turnover between 3% and 12%. The sample implementation defines “near” as within 5% of the moving average. The stated rationale is…
The document explains what a useful volatility model should capture: volatility clustering and persistence, eventual mean reversion, asymmetric responses to positive and negative return shocks, effects from external variables and scheduled events, and…
This document introduces convertible bonds as instruments combining debt with an option to convert into the issuer’s shares. It outlines core contract features: face value, conversion price and period, coupon, conditional early redemption, and investor put…
This document introduces convertible bonds as instruments combining debt with an option to convert into the issuer’s shares. It outlines core contract features: face value, conversion price and period, coupon, conditional early redemption, and investor put…
This article outlines a stock screen using three conditions: an amplitude threshold above 1, prior-day actual turnover between 3% and 28%, and exclusion of stocks that closed at the upper price limit the previous day. It presents the filters as a way to find…