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 indicator measures the current candle’s open, high, low, and close relative to the close from 60 bars earlier. It expresses each log price change on a scale adjusted by average true range, framing the result as a way to compare recent movement with…
This post proposes screening equities for a daily price range of at least one unit, strong return on equity across five years, and a three-candle morning star pattern. The described pattern consists of an advancing candle, a small indecisive or lower candle,…
This article revisits volatility in option pricing, focusing on the constant-volatility assumption in Black–Scholes. It considers time-varying stochastic volatility, represents log volatility through a mean-reverting process, and motivates using a rougher…
This note introduces the Commodity Channel Index as a measure of how far the current price is from an average price over a chosen period. CCI may help identify potential trend changes or unusually high and low conditions, and the document says it can be…
This document describes a short-term A-share screen using three conditions: daily amplitude above 1, the 9:25 gain below 6%, and today’s position increase ratio above 5%. It frames amplitude as a measure of volatility, the early price change as a short-term…
The document introduces Jurik Volty as a volatility measure used in adaptive Jurik smoothing. It says the indicator highlights periods of volatility that are elevated or reduced relative to average conditions. Its listed inputs are the timeframe, volatility…
The document describes a Chinese stock screening rule combining three conditions: prior-day price amplitude above 1, appearance on the previous day’s 龙虎榜 (a public list of notable trading activity), and a circulating share count no greater than 5.5 billion…
The EMA HLC Envelope Oscillator is described as a histogram that measures price breaks beyond an EMA HLC Envelope. It has one adjustable setting, the period used to calculate the envelope. When the close rises above the upper envelope, the oscillator…
This post proposes an equity screening rule that combines three conditions: daily high-low range above a threshold, a newly formed KDJ crossover, and a price-change measure multiplied by large-order net volume exceeding a stated cutoff. It gives example…
The document describes a stock grid approach built around a reference price. It places an initial position at the current price, then schedules additional purchases at fixed percentage declines, dividing capital across up to six levels with larger…
This stock screen requires price amplitude above one, prior-day actual turnover between three and twenty-eight percent, and a nonempty name for an outstanding convertible bond. The article presents these conditions as filters for price movement, trading…
The document describes an Average True Range Bands indicator that plots bands based on average true range. It identifies four configuration areas: the ATR calculation period, band deviation or channel width, the price mode used for calculations, and whether…
This reference explains how TqSdk represents option contracts and exchange-defined combinations across several Chinese futures and securities venues. It gives examples of contract-code formats for calls and puts, ETF and index options, and calendar spread…
This indicator framework combines a zero-lag moving average with a conventional EMA of the same period. The zero-lag line is formed by reflecting price across its EMA and smoothing that adjusted series; its crosses of the EMA mark changes in regime. At each…
This proposed Chinese equity screen selects stocks whose daily range exceeds 1%, that had at least one limit-up day in the prior 25 days, and that appeared on the previous day’s Dragon-Tiger List. The article interprets these conditions as signals of higher…
This document describes an alert-enabled version of the XFisher_org_v1_Vol_Supr_Zer indicator. It can notify users when the main line crosses zero, the signal cloud changes color to indicate a trend-direction change, or the indicator crosses or exits…
This weekly crypto options note links a lower-than-expected US inflation reading and falling yields to a near-term bullish view on risk assets, while noting Bitcoin’s separate spot ETF catalyst. It reviews seasonal expectations for subdued holiday…
This article presents a technical stock screen for Chinese equities. Its stated conditions are an amplitude above 1, a measure formed from the previous day's turnover and the ratio of current auction volume to previous volume within a specified band, and a…
This document describes a step-filtered moving average intended to reduce signals caused by small slope changes, especially in ranging markets. The average is held at its prior step level until its movement exceeds a required threshold; once the threshold is…
This document presents an Ornstein–Uhlenbeck (OU) process as a framework for distinguishing mean-reverting behavior from persistent drift. It contrasts the model with conventional volatility bands, arguing that bands around a moving average do not by…
This brief mid-week recap discusses crypto derivatives conditions for Bitcoin and Ether as of December 6, 2022. It reports that realized volatility continued to make new lows, Bitcoin’s term structure was unchanged over the week, and skew continued to…
This document describes an indicator that displays the price-change ranges of the three most recent bars for a selected trading instrument. The trader chooses the timeframe in the indicator settings, so the displayed ranges correspond to the last three…
The indicator estimates recent volatility by counting local highs and lows over a rolling lookback. A peak is identified when surrounding bars have lower highs, while a trough has higher lows; the BarsBefore and BarsAfter settings determine how many…
This note describes a Chinese equity screen requiring a daily high-low range greater than 1% of the previous close, a trading date in 2021, and a filter intended to exclude stocks that hit the daily price limit on the prior day. It provides indicator-formula…