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 indicator description introduces the Adaptive Composite Moving Average (ACMA), which combines distance-based weighting, recency weighting, and an efficiency-ratio measure of trend strength. It offers four modes: favor prices near the mean, favor recent…
The strategy models a refining spread using crude oil, fuel oil, and a third petroleum product in a 3:2:1 weighting. It calculates the spread as the weighted value of the two product legs minus the weighted crude leg, then compares the current spread with…
This article presents a method for identifying time windows in which an existing trading system performs better. A library analyzes the system’s trading history, removes weaker intervals, and reports results for the remaining periods. In its scalper example,…
This document presents a QuantStats tear sheet for a strategy labeled “buffett-plain,” compared with SPY over January 4–15, 2026. It lists returns, drawdowns, risk-adjusted statistics, market exposure, daily outcomes, and two drawdown episodes. The reported…
This tutorial demonstrates a component-level backtest workflow using NautilusTrader. It loads historical Binance ETH/USDT trade ticks, configures a simulated spot venue with a cash account and maker-taker fees, and aggregates ticks into bars. A strategy…
This Chinese-language post proposes a stock screen combining three conditions: daily amplitude above a threshold, today’s price relative to moving averages in an upward configuration, and a prior-session signal described as main-force control. The rationale…
The document describes an accumulated version of the Relative Strength Index (RSI). It forms a new oscillator by combining consecutive RSI calculations, then interprets that oscillator with adaptive thresholds such as floating levels or quantile bands. The…
The discussion clarifies that maximum drawdown duration measures how long the strategy remains in its largest drawdown. It distinguishes the time span of a decline and recovery from the size of the loss itself, which is what the maximum drawdown percentage…
This post outlines a rule-based screen for Shanghai-listed shares with codes beginning in 60. It first restricts candidates to stocks with turnover between 3% and 12%, then requires the previous day’s price to exceed its 250-day moving average. The stated…
This weekly competition report presents diagnostic summaries for the ten highest-ranked submitted factors and tracks a China 1000 index-enhancement portfolio. Factor diagnostics include average exposures to BARRA style factors and sector-level average Rank…
This introductory note describes quantitative investing as turning research, asset selection, timing, and position decisions into explicit rules that can be tested and executed by a computer. It distinguishes cross-sectional stock selection, which compares…
This introductory overview explains quantitative trading as the conversion of market observations and decision rules into mathematical models and computer programs. It outlines a typical process: analyze historical price, volume, and timing data; design a…
The note describes a variation on the TRIX oscillator that uses a linear regression value as its signal line. It refers to an earlier argument that this approach may be preferable to using the oscillator’s slope, then presents the variation without…
This example implements a daily mean-reversion strategy for a Shanghai Futures Exchange gold contract. It calculates a Z-score from recent closing prices, enters long when the score falls below a negative entry threshold and short when it rises above a…
This document presents a simplified ZigZag indicator design that tracks alternating price highs and lows without arrays. It maintains the current extreme, then confirms a reversal after price moves away from that extreme by a configurable threshold. The…
This document outlines an Expert Advisor that trades signals from the PChannel_System indicator. A signal occurs at bar close when a colored bar appears after a preceding bar with the opposite color or no color. The description gives the signal condition,…
This community post describes a short-term stock selection idea combining a gap-up condition, net inflow attributed to major investors, low valuation, and a small market-cap filter. The author presents the approach as a compact model, and commenters…
This post describes an automated system for long and short positions, intended to work better on longer chart intervals, beginning at four hours. Long entries require a weighted rate-of-change measure and MACD to be rising while below zero, alongside a…
The document introduces reinforcement learning through the interaction of an agent and an environment, where actions produce feedback and the objective is to maximize discounted future rewards. It frames the problem as a Markov decision process, explaining…
This research summary presents asset allocation as a continuing process: define investor objectives, set an investment strategy, implement it, and review performance. Objectives specify the desired return, acceptable risk, and other investor needs. The…
This overview describes several ways quantitative trading attempts to identify and capture market opportunities. It presents historical data analysis and backtesting as tools for assessing a strategy, then discusses automated execution, momentum examples,…
This guide explains how NautilusTrader stores and accesses market data through a Parquet catalog backed by a Rust storage layer. It covers local and cloud storage, timestamp precision, compression choices, file organization, typed data queries, and…
This report presents an A-share stock-selection framework that applies StockRanker, a gradient-boosted learning-to-rank model, to fundamental, financial, and trading factors. It tests 282 individual factors across short, medium, and long holding horizons,…
The XBody strategy is a daily, rule-based system presented for stocks, indices, and forex, with parameters optimized by its author on the CAC index. It calculates candle body size as close minus open, then takes the change in that value over time and sums it…