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 Chinese equity screen combines daily price amplitude above 1%, circulating market value above 10 billion yuan, and a ratio of 2021 revenue to 2018 revenue above 1.1. The conditions aim to select stocks with noticeable price movement, larger market…
The document outlines a financial time-series study using returns on the CSI 300 index. It says the analysis applies TGARCH and related derivative models, compares their behavior, and attempts to fit and forecast both prices and volatility. This frames…
The document explains the behavioral challenges of trend following: traders must tolerate repeated small losses, fluctuations in open profits, and periods of waiting for a large move. It recommends evaluating a strategy over many trades rather than judging…
This support note explains a model-training failure attributed to problems in the input data. The specific diagnosis is that an erroneous expression caused the buy-condition factor to fail extraction. It also notes that the dataset had only two factors, both…
The document introduces the Sharpe ratio as a measure of excess return per unit of portfolio risk, then describes a method for forecasting how that ratio changes over time. It outlines an approach associated with Whitelaw that estimates Sharpe ratios from…
This Chinese-language post proposes a short-term stock selection screen using daily amplitude, a measure described as today’s controlling-shareholder change, and a ratio combining yesterday’s turnover with today’s auction volume relative to yesterday’s…
This stock screen combines a daily price-range threshold with MACD conditions and a 15-minute chart signal. It looks for stocks whose intraday MACD histogram bars are getting shorter, alongside a prior MACD reading condition, with the idea that short-term…
The Fractal Channel is a channel-based indicator that identifies fractals within a configurable window of price bars. Its sole parameter, called frame size in the description, sets how many bars are considered when locating a fractal. A three-bar window…
The post describes a Chinese stock-selection screen using three conditions: turnover between 3% and 12%, membership in a beverage and alcohol-related industry, and a current daily low below the previous day's low. It presents the screen as a way to combine…
This short assignment defines quantitative investing in practical terms as using computers to carry out investment work. It identifies consistency within a fixed framework and the ability to hedge or run multiple trading styles as potential advantages. These…
The document explains a simple way to summarize price movement over a chosen number of trading days. For each quoted day, it takes the difference between the candle’s high and low, sums those ranges across the period, and divides by the number of quotation…
Shell sort orders items in place by first comparing elements separated by a wide gap, then shrinking that gap until the array is sorted. This lets elements move across the array more quickly than in a simple adjacent comparison sort. The document illustrates…
The document summarizes research on time-series intraday momentum in US equity ETFs. It describes a signal in which the first half-hour return, measured from the prior close, predicts the final half-hour return in the same trading day. Using SPY data, the…
These reading notes summarize an active, company-focused approach to equity investing. They organize stock selection around business quality, valuation, and timing, emphasizing industry structure and durable company advantages over tracking short-term…
The article explains why Bitcoin’s eventual supply is below the often cited 21 million cap. Because rewards are paid in whole satoshis and halving uses integer rounding, the scheduled issuance itself ends slightly below that figure. The article then…
This brief description identifies a MetaTrader indicator implementing William Blau’s Ergodic MACD Oscillator from his book on momentum, direction, and divergence. The indicator presents the oscillator as a color histogram, giving a visual form for examining…
This indicator description presents a generalized version of John Ehlers’ Instantaneous Trend Line, extended with bands intended to help identify trend changes and reduce false signals that may arise from relying only on the line’s slope. The underlying…
The study summary describes estimating bond fund asset exposures from externally available data when reported holdings are delayed, infrequent, and incomplete. Its central method is regression: fund returns are related to price-weighted asset returns, using…
This Chinese-language forum post addresses how to identify, for each stock, the day with the greatest trading volume in a prior window and retrieve that day’s closing price along with the previous day’s close. It outlines a windowing approach: shift the data…
The paper constructs a monthly measure of fear of missing out from three weighted components: a short-term versus long-term moving-average spread, Google search activity for FOMO-related terms, and investor margin-account use. It examines the index over 2004…
This Supertrend variation aims to keep its values stable after a bar closes. It replaces the moving average of the bars’ high-low midpoints with a moving statistical median, which the document describes as more robust to extreme values than an average. The…
The document describes a Price Cycle oscillator with four configurable inputs: a calculation period, a calculation method, and overbought and oversold levels. Its stated calculation takes a moving average of the difference between the close and low prices,…
This guide explains deterministic simulation testing for a concurrent trading system. It describes how a seed-controlled runtime can make task scheduling, timer events, random draws, and channel delivery repeatable, allowing a failure to be replayed and…
This brief technical note describes an iRSIOnArray function for calculating the Relative Strength Index from an array in MQL4 or MQL5. It presents the function as an alternative to the built-in MT4 version, citing a reported edge case in which a steadily…