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 indicator plots historical average returns for each calendar month using monthly price data. After a user selects a start month and year, it groups each month’s open-to-close changes across the available history and averages them. It displays the twelve…
This article proposes using a dashboard of the Hurst exponent, ADX, and a linear-regression score to contextualize Smart Money Concepts and ICT price-action setups. Hurst is calculated from log returns with rescaled range analysis: readings above 0.55 are…
This summary describes a method for constructing broad stock factor exposures and checking factor usefulness in a multifactor model. It presents returns as a linear combination of factor contributions plus an unexplained residual, and emphasizes examining…
This tutorial introduces Apache Arrow as a columnar format for in-memory computing and PyArrow as its Python interface, with integration for pandas, NumPy, and native Python objects. It demonstrates creating an Arrow scalar, converting a pandas DataFrame…
The article explains how to estimate gains from cryptocurrency investments, trades, fiat conversions, and mining. Its basic method subtracts acquisition cost from sale proceeds to find gross profit, then deducts transaction and other costs—such as exchange…
This BigQuant platform report investigates Beijing Stock Exchange records in the Chinese stock factors table and how they interact with a basic stock-selection query. The author queries instruments with the Beijing suffix for a single date and reports 249…
This factor-monitoring summary compares Chinese equity signals over weekly, monthly, year-to-date, and one-year windows. It reports rankings for long-only absolute returns, long-short returns, information ratios, and relative strength. The factors discussed…
This post describes a stock screen for main-board shares that combines a daily turnover-rate band of 3% to 12%, a circulating market value between 5 billion and 10 billion yuan, and an additional company-type criterion chosen by the user. It gives equivalent…
This factor note defines a volume-weighted measure of a stock’s intraday relative price range. For each instrument and date, it calculates the high-low range divided by the opening price, weights that value by volume, and divides the summed weighted values…
This reference explains a chart tool that plots price values vertically and their frequencies horizontally, showing how bid and ask observations are distributed around the current bar. Histograms can extend left, right, or both ways, and can represent either…
The Max Deviation indicator measures the range between the highest high and lowest low across a configurable lookback window. Subtracting the window’s lowest low from its highest high produces a simple measure of the instrument’s total price movement during…
This tutorial explains how to combine daily stock-price observations with less frequent dividend records using an ASOF JOIN. The example pairs records by instrument and date, allowing each daily price row to be associated with a nearby dividend record even…
This stock-selection example filters Chinese equities by a turnover rate between 3% and 12%, a K indicator below 20, and a daily price change between -5% and 2.6%. The article presents the screen as a way to find stocks with potential, then suggests adding…
This note explains a modified Stochastic oscillator that adds a sensitivity setting to the usual parameters. The added threshold is intended to ignore price fluctuations smaller than a specified number of points, so the indicator does not react to every…
This article explains why a strong historical backtest may fail in live markets, particularly when a strategy has been tuned to a small or unrepresentative sample. It recommends splitting time-ordered data into a training period for parameter selection and a…
This indicator description outlines a semaphore-style signal based on divergence between fast and slow Commodity Channel Index oscillators. It compares the oscillators at extreme points within the most recent five bars and requires a suitable candlestick…
This report reviews market conditions relevant to Chinese quantitative equity strategies in July 2022. It tracks the number of unstable factors as a proxy for how supportive conditions may be for strategy excess returns. The report says this count stayed…
This brief description introduces a reinforcement-learning lecture on the theoretical foundations of dynamic programming. It says the lecture studies dynamic-programming algorithms as contraction mappings and asks when and how those mappings converge to the…
DS Stochastic is described as a version of the Stochastic Oscillator that applies exponential moving average smoothing. The entry identifies it as an indicator and notes that its implementation relies on a smoothing library for intermediate calculations. It…
The document describes a chart indicator that organizes price swings into higher highs, higher lows, lower highs, and lower lows. For each completed move, it displays the distance in pips, the number of bars, and the retracement percentage. A Market Story…
The document studies a definition of an industry leader based on analyst coverage and strong links between a stock’s fundamentals and those of its industry peers. It describes the selected stocks’ general characteristics and examines whether their price…
This article introduces XGBoost as a machine-learning method for quantitative stock selection using price and volume factors. It explains boosting as a process that adds weak learners in sequence, then contrasts AdaBoost’s reweighting of misclassified…
This research summary examines whether stock return synchronicity—the degree to which a stock’s returns move with common factors—signals more or less information in prices. The conventional view treats high synchronicity as evidence of less firm-specific…
This analysis compares analyst forecast data from two Chinese financial data providers, examining report coverage, forecast accuracy, and the usefulness of forecast-related factors in stock selection. One provider is described as covering more stocks, while…