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
The document compares Bollinger Bands and MACD by explaining their calculations and common interpretations. Bollinger Bands use a moving average as a middle line and place upper and lower bands at a chosen number of standard deviations from it. The text…
This indicator applies Bollinger-style calculations to confirmed swing highs and lows. BarsBefore and BarsAfter define the neighboring bars used to recognize a fractal; the selected fractal prices are then averaged over a configurable period, with bands…
This document explains an indicator that marks potential support and resistance around historical swing highs and lows. It detects pivots over a configurable lookback, defines each zone using either the candle wick area or its full range, and tracks price…
This research summary presents cash-flow duration as a framework for understanding why equity characteristics such as value, profitability, investment, low beta, and dividend payout are associated with returns. Duration measures the timing of a company’s…
This brief review interprets the CSI 300’s movements through valuation bands tied to an assumed earnings growth rate. Using a 12-times valuation assumption and projected 2018 net profit growth, it describes an estimated index range and treats the July move…
This research note discusses how to turn equity alpha signals into portfolio forecasts and combine multiple factors. It suggests converting factor z-scores into expected returns using average results from repeated cross-sectional regressions, and favors…
This Chinese equity screening idea combines three conditions: daily price range above one percent, at least two limit-up events within the preceding 500 days, and a ratio between 0.5 and 2 formed from the prior day’s turnover rate and today’s opening-auction…
This diagnostic note explains how MQL5 timestamps can be misread after export. Server timestamps represent the broker's wall-clock time stored in an integer format, while common CSV consumers may interpret the same value as a true UTC epoch. Applying that…
This stock screen narrows the universe to Shenzhen Main Board listings and combines liquidity, size, and valuation constraints. It specifies turnover between 3% and 12%, a circulating share count no greater than 5.5 billion shares, price-to-earnings between…
The document outlines a data mining workflow for investment research, moving through data collection, cleaning, feature extraction, structuring, storage, analysis, and evaluation of results. It frames this workflow as a way to turn growing volumes of market…
This Qlib documentation describes a workflow for generating, storing, training, and collecting multiple research tasks. A task can include a model, dataset, and recorded outputs. Task generators such as RollingGen can create tasks for different date…
The document briefly describes an indicator that calculates trading volume per second, or over a selected period, and computes a corresponding moving average. This provides a simple way to compare current volume intensity with its smoothed baseline. A trader…
The document introduces Chaikin Volatility as an indicator derived from the difference between a period’s high and low. It describes comparing moving averages of that range to show how volatility changes, and gives default settings of 10 and 10 along with an…
This article presents the volume clock as an event-based way to measure market activity, in contrast with fixed calendar time. Sampling equal-volume intervals can reduce intraday seasonal effects and may produce observations better suited to conventional…
This research review studies whether stocks with unusually high trading volume earn a premium that reflects information about the real economy. It constructs high-volume premiums from stocks ranked by recent abnormal volume, then tests whether the premiums…
The article explains a method for separating a mutual fund’s total alpha into selection alpha and weighting alpha. Selection alpha is estimated by replacing reported portfolio weights with market-cap weights, isolating the contribution of choosing stocks;…
This overview discusses two research approaches to using deep learning for equity factor discovery. The first builds stock embeddings from co-investment patterns in fund portfolios: random walks on a stock-fund graph produce sequences for skip-gram training.…
This brief forum exchange addresses whether the minus-one term in a short-term stock factor formula removes shares trading below one currency unit. The reply says it does not: the subtraction applies to the value produced by a maximum operation. The…
This note proposes a short-term stock screen using amplitude above 1, a rounded price pattern, and a volume ratio between 1.5 and 6. The formula defines the rounded-shape condition through the prior close’s position within the five-day high-low range,…
The Damping Index is presented as an oscillator intended to indicate whether directed price movement is slowing. Its calculation compares the difference between moving averages of high and low prices with the corresponding high-low average range from one…
This module outlines an out-of-sample forecasting workflow built around Auto-ARIMA. It first applies an Augmented Dickey-Fuller test at a five percent significance level, repeatedly differencing the training series until the test indicates stationarity or a…
This research summary describes a study of price spillovers from homes in Hong Kong identified as haunted. It reports progressively smaller average price declines across nearby properties: the affected unit, other units on the same floor, homes in the same…
This document lays out a sequence of practical exercises for learning quantitative trading with VN.PY. The projects cover market data retrieval and database storage, vectorized indicator calculations, CTA strategy development, cleaning futures data, and…
This report examines whether changes in economic growth, inflation, interest rates, and risk premiums can help guide allocation among value and growth stocks and among large-, mid-, and small-cap Chinese equities. It uses GDP growth, CPI, the ten-year…