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 report summary examines ways to improve measures used to monitor crowding in Chinese equity factors. It focuses on pair correlation and factor volatility, two of four measure families previously tested alongside valuation spreads and long-term return…
The document describes a moving average inspired by an electronic RC filter. It combines an amplitude filter based on average true range with a frequency filter intended to suppress waves whose periods are shorter than a threshold derived from the filter…
The document describes a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, a positive ten-day return below 35%, and an average true range above 1. It frames the filters as a way to find stocks with moderate trading activity,…
This Chinese equity screening proposal combines three filters: prior-session price amplitude above a threshold, an opening price near the 10-day moving average, and an activity measure based on the previous day’s turnover multiplied by the ratio of today’s…
This indicator describes a daily breakout approach based on the previous session’s high and low. A close above or below those boundaries is treated as a possible entry signal, with separate Fibonacci-based stop and profit levels projected from the prior…
This note describes a Chinese A-share screening rule that selects stocks when the daily high-to-low range exceeds 1% and the 14-period RSI is below 65, limited to observations from 2021. It gives equivalent conditions for a charting formula and a Python…
This document describes an MQL5 indicator that draws two colored filled regions between channel values produced by the GRFLeadingEdger indicator on a bar. Its configurable inputs include a sample count, look-ahead setting, two standard-deviation levels,…
The KCI Directional Matrix is presented as an indicator with three bounded outputs: a main line for directional efficiency or trend expansion, plus and minus lines for bullish and bearish pressure. The described calculation separates upward and downward…
This indicator combines a straight-line regression to estimate trend direction with a curved regression channel to represent changing support and resistance. It measures price dispersion using root-mean-square deviation, then applies Fibonacci coefficients…
This screening rule looks for Chinese A-shares with a daily high-low range of at least 1% and relative volume between 1.5 and 6, while excluding stocks from Beijing and Tianjin markets. The article frames the range condition as a way to find more active…
The indicator uses Bollinger Band widths calculated over two lookback lengths to flag a possible range or contraction regime. It computes the distance between the upper and lower bands for the longer window and for the shorter window. When the shorter-window…
Historical volatility describes how widely an asset's returns have varied over a chosen period. The document presents standard deviation as the common calculation approach, while noting that it is not the only possible method. A higher reading indicates…
This indicator applies Ehlers’ nonlinear Kalman filter to deviation estimation as an alternative to standard-deviation measures based on moving averages. The description emphasizes responsiveness as an important property of volatility estimates and offers…
The document presents a script that estimates a power factor from historical price increments and uses the estimate to characterize a market as more range-bound or more prone to volatile, heavy-tailed moves. It reports example estimates across EUR/USD,…
This newsletter connects a forthcoming Federal Reserve decision with crypto markets and options positioning. It reports market expectations for a rate cut, summarizes recent macroeconomic context, and outlines a base case in which an expected decision could…
This stock-selection screen targets mainland Chinese equities outside Beijing, requiring a daily high-low range above 1% and a circulating market value between 5 billion and 10 billion yuan. The document provides both an indicator formula and a Python…
This note describes an A-share stock screen combining price movement, a fixed closing price, and prior-day auction turnover. The stated criteria are amplitude above 1%, a close of 18.5 yuan, and auction turnover above 0.26. It presents the screen as a way to…
This document proposes selecting stocks with amplitude above 1%, a specified turnover-to-auction-volume ratio between 0.5 and 2, and a weekly price crossover above the 30-week average. It frames the filters as a combination of price variability, trading…
This document describes a Chinese equity screen that excludes Beijing-listed shares and selects stocks with a daily high-low range above 1% and prior-day trading value above 60 million. It presents the filters as signals of price variability and market…
This A-share screening idea combines a daily amplitude threshold, a turnover-rate band, and a candlestick condition described as a morning-star signal. The stated rationale is to find stocks with notable price movement and active trading, then use the…
This A-share stock screen combines daily amplitude above 1%, tradable share count no greater than 5.5 billion, and a closing price between the middle and upper Bollinger Bands. The article presents the band position as a way to identify stocks in an upward…
The newsletter argues that Bitcoin remained in a short volatility and price consolidation regime, while Solana offered more relative volatility interest. It points to Bitcoin’s modest weekly price change, options-implied weekly movement, and limited…
This podcast summary covers derivatives trader Gordon Grant’s discussion of volatility across asset classes and in crypto options. Topics include quoting interest-rate volatility in basis points to compare different tenors, how zero-rate policies can affect…
This document describes iMAX3, a configurable indicator for detecting trend direction. Its inputs include a step size, an option to select that step automatically, and switches for three detection modes: iMAX, HP, and HPX. Step size affects sensitivity, and…