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.
29,558 documents
The document outlines a MetaTrader 5 expert advisor that combines moving average crossover signals with grid entries. It describes using fast and slow simple moving averages on an hourly chart, with volume and volatility checks to filter signals. Additional…
The document summary highlights two applications of machine learning in quantitative investing. First, it describes forecasting volatility to inform how capital is allocated among strategies, based on the claim that many strategies’ profitability is closely…
This report surveys several approaches to allocating across asset classes: macro and cycle-based fundamentals, mean-variance optimization, Kelly-CVaR, Black-Litterman, and risk parity. It describes a macro model that separates directional forecasts from…
This Chinese stock-selection example combines a 14-period RSI below 65 with a history of at least two limit-up sessions over the prior 500 days, then ranks qualifying names by a measure of trading heat. The stated rationale is to pair a short-term technical…
The Alan Square, also called DaBox, is a price action framework built from the prior period’s high and low. It marks the range boundaries, midpoint, quarter levels, and extensions, then projects diagonal lines from key levels. Major angles are described as…
This stock screen combines a trading-activity filter with a size constraint and a profitability-quality condition. It selects shares with turnover between 3% and 12%, circulating market capitalization between 1 and 55 hundred million yuan, and return on…
This MetaTrader 5 Expert Advisor generates trades from an Oracle indicator that can redraw its historical signals. At bar close, it can trigger when the signal line crosses the zero level, changes direction, or crosses the indicator line, depending on the…
This report describes a Chinese equity index-enhancement strategy built from a composite stock-selection signal and portfolio constraints. It combines factors spanning company size, valuation, growth, profitability, technical behavior, liquidity, and…
This research report describes a Chinese equity fund approach that first selects industries through fundamental analysis, then applies a multi-factor model to stocks within those industries. Industry research estimates long-term growth across more granular…
These notes summarize ideas from a Chinese trading book through ten named principles and effects. They cover how payment frequency shapes perceived gains and losses, how unknown factors and nonlinear systems complicate market decisions, and how penalty kicks…
This research note reviews the growth and allocation case for quantitative funds in China, focusing on index enhancement and equity long-short strategies. It reports that in the first half of 2021, CSI 500 enhancement strategies outperformed selected active…
This document outlines a Chinese equity screen requiring turnover between 3% and 12% and year-over-year growth in net profit attributable to shareholders of the parent company between 20% and 100%. It then ranks qualifying stocks by capital strength, which…
This stock-selection idea combines membership in the metaverse theme with a limit on the opening price increase and a history of strong return on equity. The stated screen seeks firms with ROE above 15% for five consecutive years and an opening gain below…
This stock screen combines three conditions: daily price range above 1%, closing price below 20, and more than two limit-up sessions in the preceding ten days. The document provides example implementations in a Chinese stock analysis formula language and…
This guide describes NautilusTrader’s system for turning completed backtests into interactive or static performance reports. Users can select charts and themes, include run metadata and performance statistics, and inspect equity, drawdown, monthly and yearly…
This stock screen selects equities with turnover in a stated range, a prior-day appearance on a market trading activity list, and upward-moving averages. The detailed conditions also require a listing history exceeding one year, a close above its ten-day…
This stock-selection idea combines three filters: price amplitude above a stated threshold, actual turnover from the prior day within a specified range, and exclusion of stocks that closed at the daily upper price limit on the previous day. The document…
The document describes a Chinese A-share screening rule for stocks associated with the metaverse theme. It combines a price condition relative to the 250-day moving average with a fixed closing-price condition. The prose refers to the prior day’s price being…
This post describes a stock screen for Shenzhen main-board shares using a price-to-earnings range of 0 to 29.01, a price-to-book range of 0 to 3.11, a 2019 dividend payout ratio above 25%, and an amplitude condition above 1. It frames the filters as a…
Daily BreakPoint is described as a breakout strategy that enters when price moves beyond the prior daily bar by a specified number of points. Its inputs include the breakout distance, minimum and maximum sizes for the last bar, stop loss, take profit, and…
This page records a live Binance futures robot identified as using a martingale strategy and running across numerous trading pairs. It presents a dashboard snapshot with account and strategy figures, including reported return, drawdown, win rate, fees,…
Binario is an Expert Advisor that calculates exponential moving averages of the same period using high and low prices. The description says these averages adjust the system’s settings, but do not generate buy or sell signals. Instead, the EA alternates long…
The document describes a convertible-bond setup that enters after a V-shaped recovery when price rises through the left shoulder of the pattern, above its right shoulder. The right shoulder must be at least 3.5 points above the V’s low. The trader then uses…
The document explains a market-making setting in which a bot replaces filled orders as soon as it has no active orders. During a sustained price move, repeatedly refreshing both sides can lead the bot to keep buying into a decline or selling into a rise,…