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.
16,761 documents
This article develops an A-share stock-selection framework around earnings surprises and post-earnings-announcement drift. It groups surprise signals by whether new information comes from analyst revisions, reported fundamentals versus analyst expectations,…
The post asks how to reproduce a backtest setting from JoinQuant in another Chinese trading platform. The JoinQuant setting described allows limit orders to fill directly without checking the submitted price or quantity, which the author wants to use when…
This document presents a technical equity screen requiring at least five moving averages to converge, a positive return, and the 20-day moving average to exceed the 120-day average. Its rationale is that clustered averages may indicate relatively stable…
The document explains a terminal feature that replays an entire historical trading day. A user chooses a date when launching the replay version of the terminal, then uses the software and its extensions as though operating during that session. Playback can…
This notebook demonstrates an end-to-end Qlib workflow for a China-market stock ranking model. It initializes Qlib data, uses the CSI 300 universe and Alpha158 features, and trains a LightGBM model on historical data with separate training, validation, and…
This essay defines quantitative investing as using mathematical methods, data, and factors to guide security selection and trading. It groups approaches by time-series versus cross-sectional decisions, by signal source such as price and volume factors or…
The note describes a way to turn high-frequency trade data into a daily measure of stock order book pressure. It uses intraday tick price movements to identify displayed orders above and below traded prices, aggregates these observations at the close, and…
This Expert Advisor uses changes in the ColorJFatl_Digit indicator’s line color as trade signals, assessed when a bar closes. It follows the indicated trend and increases position volume when unrealized profit, measured in points, rises past a threshold set…
This proposed A-share screen looks for stocks classified in the metaverse industry that appeared on the previous day’s Dragon and Tiger List and have a rising DEA indicator. The article treats list inclusion as a sign of market attention and a higher DEA…
This stock screen selects companies assigned to the metaverse industry when the KDJ indicator has just formed a bullish crossover and prices have closed lower throughout the recent seven-session window. The proposed rationale combines a technical signal with…
This document describes a version of Bill Williams’ fractals indicator built from MetaTrader 5’s standard fractals indicator. Its stated distinguishing property is that it does not repaint, meaning previously displayed fractal signals are intended to remain…
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 introductory note outlines common uses of quantitative investing: systematic analysis, market monitoring, and trade execution. It presents a basic process that moves from obtaining data to developing and backtesting strategies, then carrying them into…
This document outlines an equity selection rule based on price amplitude above 1, MACD crossing above zero, RSI over 14 periods above 50, and a condition described as the start of a strong upward move. It frames these criteria as technical signs of…
The author reflects on losses in leveraged forex trading and explains two staking approaches using a fair coin game. A martingale raises stakes after losses and depends on effectively unlimited capital; a reverse martingale risks a fixed fraction of current…
This retrospective compares two short bot competition runs on the SEI-USDT pair. In the earlier run, a modified single-market liquidity strategy traded on Binance spot and lost money overall, with fees cited as a major factor. The later run used a modified…
This document introduces an MQL5 port of ALGLIB, a cross-platform numerical analysis library, and outlines how its packages can support quantitative research. Covered methods include linear algebra, equation solving, interpolation, optimization, Fourier…
This overview explains statistical arbitrage as a family of strategies that trade relative mispricing across related instruments. It distinguishes cross-market, cross-asset, ETF, and market-neutral approaches, and gives pairs trading as a central example:…
This event study examines how Chinese convertible bonds and their underlying shares behave around conversion, early redemption, and conversion-price resets. It reports that conversions increase share supply and can weigh on the underlying stock. Early…
This strategy looks for a possible reversal near the European market close, entering at 17:29 after a sustained moving-average trend. For a short, the faster average must have stayed above the slower one for a specified number of bars; the long signal uses…
The article describes a daily, long-only ETF rotation system that applies a five-day and a 42-day closing-price moving average to each asset. Crossovers generate buy and sell decisions, while available capital is allocated equally among positions with buy…
This report discusses fixed-amount periodic investing in funds as a way to align contributions with investor cash flows and reduce the pressure to time volatile equity markets. It distinguishes investing an existing balance from investing new contributions…
The post describes a simple random stock-selection process: buy ten stocks, hold them for five days, sell the two weakest performers, then randomly choose two replacements and repeat. It frames the strategy as a challenge to expert stock picking and notes…
The article presents a momentum oscillator strategy for trading Optimism (OP) on Binance. Its basic rule treats low Ultimate Oscillator readings as potential buy signals and high readings as potential sell signals. A backtest search over indicator settings…