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 Chinese-language note shows a calculation for plotting a fund’s annualized return through time from historical daily closing prices. It retrieves trading-day bars for a specified fund, compares each later close with the initial close to obtain…
This research summary explores whether statistics computed from intraday stock data can add new signals to established multi-factor selection approaches in China’s A-share market. It evaluates realized volatility, realized skewness, and realized kurtosis as…
This indicator combines a conventional MACD with a smoothed momentum measure and two event notifications. MACD is defined as the difference between fast and slow exponential moving averages; a moving average of MACD forms the signal line, and subtracting…
The article outlines a Monte Carlo approach to pricing European calls on the China 50 ETF under the Black-Scholes-Merton framework. It divides the life of the option into time steps, simulates the underlying price with normally distributed shocks, calculates…
The document explains alpha as the return remaining after comparing a portfolio’s actual return with the return predicted by the Capital Asset Pricing Model. It gives the formula using portfolio return, the risk-free rate, portfolio beta, and benchmark…
This Chinese stock-screening proposal combines three conditions: at least five moving averages converge, a concentration measure is below 20%, and the 30-day moving average is rising. The author interprets convergence as a possible support or resistance…
The document introduces copulas as a way to model how two or more random variables depend on each other separately from their individual distributions. It explains transforming observations through their marginal cumulative distribution functions into…
AIS Extremum estimates whether a bar’s high may have reached a local maximum or its low a local minimum. It first gathers statistics from historical price movements, then compares current market conditions with those observations and signals when its…
This short assignment defines quantitative investing as making trading decisions with data-supported methods instead of relying on intuition. It frames the approach as a way to turn an investment idea into explicit rules and encode those rules in a strategy,…
This meetup listing raises two quantitative research questions: why factors with strong information coefficients and information ratios may produce weaker Sharpe ratios, and why combining individually strong Sharpe-ratio factors can reduce portfolio…
This research summary examines whether macroeconomic and market indicators can predict returns to equity factors, with particular attention to the size and reversal factors in Chinese stocks. It uses IVX regression, presented as a response to endogeneity and…
The proposed Chinese equity screen looks for companies with positive earnings, market capitalization within a stated ceiling, daily price amplitude above a threshold, and revenue growth between two specified years. The article frames the size and revenue…
The document describes an RSI variant associated with John Ehlers’s work that applies Hann windowing. It says the resulting indicator is smoother than the conventional RSI and has a zero mean, with enough smoothing built into its calculation that extra…
The document presents factor analysis as a core research step for multi-factor, index-enhancement, and market-neutral strategies. It frames the analyst’s work as evaluating candidate factors before strategy researchers use them, with the quality of that…
This Chinese A-share screening rule selects stocks classified in the metaverse industry, with prior-day actual turnover between 3% and 28% and circulating market value between 5 billion and 10 billion yuan. The post gives equivalent screening conditions and…
A VeighNa community exchange answers whether the `self.sync_data()` method is available in version 2.5.7 spread-trading strategies. A user reports that the method works in CTA strategies but raises an error when called from a spread strategy while attempting…
This research summary introduces price-impact bias, derived from five-minute stock order-flow and market data. It compares how similar proportions of aggressive buying and selling move prices. Stocks with stronger upward impact are described as easier to…
This indicator evaluates historical price levels at one-percent intervals above and below a selected reference price. Across a configurable lookback window, it counts how many candles crossed each level and displays the counts as a distribution. It also…
This exchange asks how to make a deep-learning model produce two predictions for futures trading, one for a long view and one for a short view. The response explains that producing multiple outputs for a regression or classification model may require a…
This document describes an Expert Advisor that predicts a future price from a sequence of past prices using linear prediction. Burg’s method estimates model coefficients by reducing mean-square prediction error over a training window. The strategy’s…
This indicator compares a price’s percentage distance from a configurable moving average with the Average True Range expressed as a percentage of price. It first measures the percentage gain or loss relative to the average, then divides that distance by the…
The document introduces quantitative trading as the use of computers, mathematics, statistics, and a systematic process to develop signals for buying and selling. It briefly describes the field’s history, including Jules Regnault’s work on price variation,…
This indicator identifies the maximum price over a specified search period using data from a selected timeframe. The example settings use a four-hour chart period, a five-bar search period, and a starting-bar offset of zero. Other parameters control the…
This post describes a Chinese equity screening rule combining a capital-interest measure, positive price-to-earnings ratio, and a revenue comparison. Capital interest is represented by indicators such as turnover rate or volume ratio, with stocks ranked from…