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 describes Super Signals, an indicator that marks potential trend changes with arrows derived from price extremums over a period. It notes that the indicator was first implemented in MQL4 and published in 2007. The text provides a brief…
The forum post addresses why the Average True Range calculated in VeighNa may differ substantially from the value shown in TradingView. It proposes checking several potential causes: differences in the ATR formula or smoothing method, discrepancies in the…
This indicator estimates a month’s historical tendency by examining monthly open-to-close changes across a configurable number of prior years. It accumulates the price changes and counts how often the month closed above or below its open, then reports an…
This proposed Chinese stock screen excludes Beijing-listed stocks and selects for an intraday range above 1%, alongside a condition combining price change with net trading volume attributed to very large orders. The stated threshold for that combined measure…
This Chinese A-share screening proposal combines three conditions: an intraday range greater than one, return on equity above 15% in each of five consecutive years, and a stated daily maximum decline between 4% and 5%. The explanation interprets the range as…
This technical analysis note proposes measuring how closely two candlestick sequences resemble one another. It describes candles as summaries of open, high, low, and close prices over a chosen time period, then defines a similarity score as the average of…
This post describes a stock selection screen using four conditions: amplitude above 1, current trading volume above 10,000 lots, a higher opening price, and company size above 200 million. The rationale combines price movement and trading activity with a…
This indicator description covers applying a stochastic calculation to several RSI variants, including Cuttler’s, Ehlers’ smoothed, Harris’, Rapid, RSX, Slow, and standard RSI. It also describes an option to smooth prices with one of four basic average…
This article describes an application of autoregressive models to financial time series, using CSI 300 prices and returns as the study data. It presents the topic as a walkthrough of the modeling process, covering fitting and forecasting with an AR model.…
The document outlines a Chinese A-share screening rule that selects stocks with a daily high-low range of at least one percent, relative volume between 1.5 and 6 times its five-day average, and a nonempty outstanding convertible-bond name field. It…
The document explains a simple automated strategy that opens a position only when none are active, then chooses buy or sell through a pseudo-random even-or-odd result. It describes how the order uses configured trade size, slippage, stop-loss, and…
This document proposes screening stocks for price amplitude above a threshold, MACD above zero, and a positive change in the KDJ K value. It argues that amplitude can capture movement, MACD can indicate positive trend conditions, and rising K may reflect…
This forum post describes a historical data extraction discrepancy between BigQuant versions 1.0 and 3.0. The author reports calculating a 60-period regression slope relating stock returns to a benchmark return series over January 2010. In the stated…
This Chinese-language support exchange asks why BigQuant’s DNN template does not show a separate standardization module and how to handle an error after adding one. The response explains that the DNN is implemented as code and that data processing, including…
The Echo Chamber indicator searches past price data for the segment whose closing-price sequence has the highest Pearson correlation with the most recent sequence. It then takes the price path that followed the historical match, scales its range to the…
This post introduces an autoregressive model for financial time series, using CSI 300 prices and returns as the subjects of study. It says the material walks through fitting the model and attempting forecasts, presenting a modeling workflow focused on this…
The document defines maximum drawdown as the largest decline from a historical net asset value peak to a subsequent trough within a selected period. It frames the measure as an estimate of the worst loss an investor might have experienced after buying a…
The document summarizes research on whether investor sentiment genuinely helps explain cross-sectional stock return anomalies or appears predictive because it is persistent. Persistent predictors can spuriously forecast returns when expected returns also…
The article recommends cleaning tick data before using it in strategy research or backtests, since duplicate records, implausible prices, out-of-order timestamps, and missing fields can distort results. Its example workflow sorts records by timestamp,…
This indicator measures historical seasonality by grouping monthly price changes by calendar month, using data from a chosen starting year and month through the present. For each month, it reports the average open-to-close return, a normalized rank relative…
The article explains how liquid factor portfolios can approximate some hedge fund returns, potentially offering an accessible, lower cost substitute for investments with limited liquidity, high fees, or high entry barriers. It reviews linear multifactor…
The document describes a reusable class for smoothing an array of double-precision values with a classical moving-average approach. The user supplies an input array, a smoothing period, and the array dimension; initialization prepares the required arrays,…
The document introduces a stock factor study based on cumulative net money flow over the previous 20 trading days, scaled by the stock’s market capitalization on the current day. It presents this normalization as a way to compare flows across stocks and…
This weekly report reviews Chinese market conditions and fund activity, with particular attention to plans to include exchange-traded funds in the Stock Connect program and the approaching release of restrictions on shares in the first public REITs. It also…