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
The document describes an enhancement to the EMAVFS indicator that marks trend strength with colored dots on its moving average. The dot color indicates the current trend direction, while the standard deviation of the indicator determines whether a dot…
This essay presents a framework for improving investment judgment through varied mental models rather than relying on one familiar way of thinking. It recommends learning core ideas from several disciplines, using an investor-specific checklist, and applying…
This research summary studies Chinese home appliance industry conditions using revenue and net profit growth as proxies, arguing that calculations on comparable constituents reduce distortions caused by changes in the historical stock universe. It frames…
SVAPO combines smoothed price movement and volume to gauge short-term directional pressure. The method derives a Heikin-Ashi-style price series, smooths it, and compares it with a volume trend. Volume is capped relative to a recent average before being…
This indicator variation aims to reduce false or excessive signals from a stochastic oscillator. It applies a step chart filter to the calculated stochastic: a user-set step size determines the minimum change treated as significant, and changes in the step…
This note outlines a Chinese equity screen that selects stocks with turnover between 3% and 12%, excludes Beijing-listed shares, and requires a measure described as today’s control concentration to exceed 21%. It argues that concentrated ownership may be…
The document describes a deep learning model intended to estimate a company’s next-quarter operating revenue year-over-year growth. It frames the forecast as a potential input to value-oriented investment decisions and says the target corresponds to roughly…
This Chinese equity-screening note selects stocks with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, and an appearance on the previous day’s “Dragon and Tiger List,” a Chinese market list highlighting notable…
This Chinese stock-screening note combines three filters: a 14-period RSI below 65, displayed best-bid volume greater than best-ask volume, and 2021 revenue more than 1.1 times 2018 revenue. The stated rationale is to find stocks with moderate RSI readings,…
This document describes helper calculations commonly used to construct quantitative signals from price or other tabular time series. Its functions cover rolling sums, averages, standard deviations, correlations, covariances, ranks, products, extrema,…
This document is a brief summary of a research presentation on changes in quantitative investing. It outlines a model that combines a linear factor component with a nonlinear function of factor exposures, leaving a residual term. It says that residual…
This forum post questions the target-return calculation in a one-day equity strategy’s labeling code. The strategy is described as buying near the open on one day and selling at the close of the next, yet the label reportedly divides a later session’s high…
This brief description presents an example of plotting a function’s spectrum using a Fast Fourier Transform library. The input can be either a test signal formed by summing three sinusoids with differing parameters or market closing prices. This outlines a…
This indicator first finds the median closing price within a rolling window, then averages successive median values using a simple moving-average calculation. The median is intended to represent the middle observation in a sample, while the later averaging…
This report summary describes an index-timing model that applies wavelet analysis to filter price series before using a support vector machine to predict direction. It compares daily and weekly data and different model settings for the Shanghai Composite and…
This research summary introduces the “Huayin Linjian” factor as a way to identify A-shares that may be undervalued because their prices have not been strongly driven by information-related trading pressure. Its stated premise separates price movements into…
This tutorial demonstrates a workflow for evaluating WorldQuant Alpha#100 on Chinese equities. It builds the factor from price and volume signals, including the close’s position within the daily range, the relationship between closing price and ranked…
The indicator constructs a central reference and four resistance and four support levels from the previous day’s high, low, and close. The previous close serves as the central pivot. Each surrounding level offsets that close by a fraction of the prior…
This indicator estimates how far price traveled across both the regular session and the overnight gap. It starts with twice the high-to-low range, subtracts the absolute open-to-close change, then adds the absolute difference between the current open and the…
The report reviews how to assess pure bond funds using disclosed portfolio data, covering asset allocation and leverage, bond-type exposure, concentration, duration, and turnover. It then explains bond performance attribution, contrasting Campisi with…
This document presents a Chinese equity screen that combines a turnover band with seven consecutive declining sessions and a nonempty name for an outstanding convertible bond. It then proposes adding fundamental filters: market capitalization above the…
This stock-selection rule combines three filters: a high-to-low daily range above 1%, a daily decline between 4% and 5%, and a positive price-to-earnings ratio. The article offers formula and Python examples, although the displayed formula does not appear to…
This essay challenges the idea that time in the market reliably produces trading skill. It argues that experience can reinforce poor habits, while trading decisions are better treated as probabilistic choices whose quality depends on having a statistical…
This stock-selection proposal combines a price-amplitude filter with a turnover and auction-volume condition, then requires return on equity (ROE) to exceed a stated threshold over five years. The central liquidity-style condition is yesterday's turnover…