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 research summary studies iron ore returns using factors from the commodity supply chain as well as macroeconomic variables. It groups fundamental drivers around supply, demand, inventories, and costs, and reports findings from a vector autoregression…
The post proposes a Chinese equity screen combining daily price amplitude, afternoon large-order net inflow, and a record of high return on equity over five years. It frames the criteria as a mix of price activity, money flow, and company profitability, and…
This article surveys engineering choices for algorithmic trading systems, including desktop computers versus dedicated or cloud servers, operating-system trade-offs, remote access, and low-latency server placement. It emphasizes resilience: developers should…
The document explains how to calculate a portfolio’s expected return as the weighted sum of the assets’ expected returns. It describes portfolio standard deviation as a function of each asset’s weight and volatility, together with the correlations between…
Wave PM is presented as a volatility oscillator from Mark Whistler’s work. It is intended to help traders assess volatility cycles, including the possible onset or exhaustion of strong trends and the likely persistence of sideways conditions. The document…
The document presents an experimental indicator that applies a logistic-map calculation to values derived from four familiar oscillators: Awesome Oscillator, Rate of Change, Relative Strength Index, and Stochastic. A selector chooses the input oscillator,…
The article reviews a method for evaluating active mutual funds by adjusting performance first for factor exposures and then for the characteristics of stocks held. It begins with Carhart four-factor alpha, then uses either a cross-sectional regression on…
The document introduces two indicators derived from an article on automated support and resistance: the Widner Support Oscillator (WSO) and Widner Resistance Oscillator (WRO). Each compares the current closing price with the six most recent levels of its…
The document summarizes research proposing a portfolio-centered framework that brings ex ante and ex post attribution into one structure. It applies a consistent approach to explaining portfolio alpha, expected risk, and realized returns, broadening…
The document introduces the Vortex indicator through its relationship to Wilder’s Directional Movement Index. It explains directional movement by comparing each bar’s high and low with the prior bar: upward movement measures extension above the previous…
This brief summary of a factor-investing report reviews tests of capital-structure and solvency measures. For nine capital-structure factors, the report compares grouped portfolio performance, long-short returns, information coefficients, and Fama-MacBeth…
The document summarizes research on whether actively managed equity funds earn stronger future returns when their trading increases the technological similarity of their holdings. It describes Active Technological Similarity (ATS), built from the overlap in…
This document describes a stock screen combining a daily price-range condition, a low share-price cutoff, and a positive value for a field associated with beverage and alcohol imports and exports. The formula reference also includes a minimum trading-amount…
This summary compares financial growth signals and subsequent stock returns in overseas and Chinese markets. It defines asset growth as changes in balance-sheet items, including total assets, current assets, and inventory, and profit growth through measures…
This document introduces a proposed study of Chinese stock price-limit events. It says the work explains the limit-up mechanism, classifies stocks that reach the upper price limit, and examines returns after those events. The stated research direction is to…
This report describes a fundamental equity quality framework spanning profitability, growth stability, earnings quality, cash flow, operating efficiency, and solvency. It screens factors for historical long-term return behavior, then builds a composite…
The document addresses a stock-selection model whose chosen stocks and reported backtest returns change when the backtest end date is moved forward by about twenty days. The explanation is that the training data differs across the runs. A model trained on a…
The document raises a question about comparing backtested factors when they produce different numbers of trades. Its example contrasts one factor with 100 trades and a 2:1 profit-loss ratio against another with 1,000 trades and a 1.5:1 ratio, asking whether…
This report describes a stock rotation strategy that seeks timely events associated with excess returns. Its event factors cover shareholder actions, dividend policies, earnings forecasts and reports, growth measures, and private placements. The strategy…
The document examines relationships between half-hour returns in major Chinese equity indices and outlines intraday momentum and reversal trades. It reports stronger positive relationships among some afternoon intervals, a negative relationship between the…
The report outlines portfolio attribution methods for stocks and bonds, using both holdings and return series. For equity holdings, it applies a multifactor framework to separate common-factor returns from idiosyncratic returns, then estimates portfolio…
This article describes a daily Chinese equity screen that combines a positive MACD reading with a ranking by stock popularity, then limits candidates to profitable companies below a stated market-cap threshold. It frames MACD and popularity as ways to…
This overview explains a set of Ethereum indicators grouped around market tops and bottoms, sentiment, and user activity. Price measures include the 50-day and 200-day moving averages, a 200-week average, and the Pi Cycle comparison between the 111-day…
The document proposes screening Chinese stocks with RSI below 65, seven consecutive down sessions, and large-order net flow above 0.05 for at least three consecutive days. Its final version adds a market-capitalization range of 5–10 billion yuan, while the…