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 document describes a Chinese equity screen using three conditions: daily price amplitude above 1, the 9:25 a.m. gain below 6%, and prior-day actual turnover between 3% and 28%. It presents these filters as ways to select for short-term movement and…
The post introduces a financial time-series study using returns on the CSI 300 index. It says that EGARCH and related models are used for comparison, with an effort to fit and forecast both prices and volatility. The topic is volatility modeling through…
This indicator guide explains how to visualize daily high-low ranges for Sydney, Tokyo, London, and New York sessions on a chart, with a separate outline for the London–New York overlap. Labels compare each session’s range with the average of recent…
This stock screen combines three conditions: daily amplitude above 1%, circulating market value above 10 billion yuan, and a decline between 4% and 5% under the document’s stated calculation. It presents the setup as a way to find sizable, active stocks that…
Power Measure is an oscillator intended to relate price changes to volatility over a configurable period. It calculates percentage change from the previous close to the current close, and a second percentage measure using the current high and the previous…
This Chinese-language strategy note proposes adding stocks to a candidate pool when they have a price range above a stated threshold, at least one limit-up event in the preceding 25 days, and a current close above the previous session’s low. It interprets…
This post proposes screening Chinese A-share stocks using a daily price-range threshold above one percent and a requirement related to outstanding convertible-bond names, then ranking candidates by average traded value. Its stated rationale combines trading…
This Chinese-language note proposes screening stocks for a price range greater than one, a shortening negative MACD histogram on a 15-minute chart, and a selected company type. It frames the range as a volatility filter and the histogram condition as a…
This note explains average true range (ATR) as a measure of price movement, then uses it to define a channel around a moving average. The middle line is the 25-day average closing price, and the upper and lower bands sit two ATR units above and below it. A…
This weekly market commentary reviews BTC and ETH options conditions during a period of falling realized and implied volatility alongside weaker spot prices. It discusses changes in volatility term structures, put and call skew, relative volatility between…
The article proposes screening Chinese stocks using three conditions: daily high-low range greater than one percent of the previous close, weekly MACD above zero, and a daily price increase greater than five percent. It frames the range as a volatility…
This indicator adds a three-level strength display to the ColorJ2JMA moving average. It uses the standard deviation of the indicator and two configurable thresholds: values between the thresholds produce a small dot, while values above the upper threshold…
XStdDevSpeed_direction displays market-volatility information based on values from the XStdDevSpeed indicator at a fixed timeframe. Its histogram color provides the initial signal context, while colored squares along the line mark bars when the corresponding…
The newsletter reviews a week in which Bitcoin rose 8% after briefly falling below $100,000 amid geopolitical headlines. It connects the rebound to falling crude prices and stronger performance in higher beta crypto assets, while noting that Bitcoin’s year…
This brief note describes an extended MetaTrader 5 version of the Ozymandias higher-timeframe indicator. The extension adds controls for the price-band width through an ATR multiplier and for the ATR lookback period. It also states that the higher-timeframe…
This derivatives newsletter reviews Bitcoin and Ether price and options behavior around a sequence of SEC-related events, ETF approval, and the start of ETF trading in January 2024. It describes a muted immediate spot response to a false approval report, a…
This document describes a short-term stock screen combining prior-session amplitude above 1%, an opening price within roughly 5% of the 10-day moving average, and prior actual turnover between 3% and 28%. It presents these conditions as a way to find shares…
This China equity screen looks for stocks with daily amplitude above 1, at least two limit-up sessions in the preceding 500 days, and an appearance on the prior day's market top list. The document interprets amplitude and repeated limit-ups as signs of…
This China equity screening idea selects stocks with amplitude above 1 whose prior-day 9:15 matched auction price met a limit-down condition, then ranks candidates by a measure of stock popularity and takes the leading names. Its rationale combines price…
This A-share screening rule places stocks in a candidate pool when they have a daily high-low range above 1%, at least one limit-up day in the preceding 25 sessions, and circulating shares no greater than 5.5 billion. The author interprets these conditions…
This post presents a short-term screen for stocks whose codes begin with 60, whose daily high-low range exceeds 1% of the previous close, and whose session low is between 4% and 5% below that close. It frames the range condition as a way to find volatile…
This Chinese stock-selection proposal filters for shares with amplitude above 1, an indicator described as prior-day major-player control, and a price of 18.5 yuan. The explanation interprets amplitude as a sign of greater volatility and the control…
This screen looks for stocks with an intraday range above 1%, at least one limit-up event in the prior 25 days, and a current decline from the session high of 4% to 5%. The article frames the range as a volatility signal, the recent limit-up as evidence of…
This short description presents an experimental modification of the Chaikin Volatility indicator: applying a stochastic transformation to it. The author notes that the result has limited resemblance to the original indicator, framing it as an interesting…