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 Expert Advisor trades changes in the direction of the FineTuningMA moving average. It forms a signal when a bar closes and the indicator direction has changed, making the strategy dependent on the indicator and bar-close timing. The EA requires a…
This Chinese-language article introduces a workflow for building custom stock-selection strategies on the older BigQuant platform. It contrasts platform-generated AI strategies, which learn from selected factors but may be difficult to interpret or tune,…
This code excerpt implements neural-network components for a momentum forecasting model based on a temporal fusion transformer design. It includes feed-forward layers, gated linear units, gated residual networks with skip connections and normalization, and…
This strategy maintains a portfolio split between a broad US stock ETF and a long-term Treasury ETF. It targets a 60% stock allocation and 40% bond allocation, checks prices daily, and submits trades to move holdings toward those weights. The code schedules…
This article presents a broad framework for choosing and assessing quantitative trading strategies. It recommends matching a strategy to an investor’s temperament, available time, preferred trading frequency, capital, programming skills, and goals. It argues…
This document describes a chart indicator that plots price levels associated with the Special Theory of Price Discovery. Users select a reference period—daily, weekly, monthly, quarterly, or yearly—and can adjust the price expansion multiples used to place…
This article explains how to assess a systematic futures model through test design and several complementary performance measures. It recommends testing across multiple instruments and long historical periods, and including commissions and slippage. The…
This article proposes studying Chinese A-share stocks during days when the broader market falls sharply. It suggests identifying historical selloff days, then examining two setups: stocks that close at the daily upper price limit despite the market decline,…
This article explains random forests and decision trees, then applies a random forest regressor to short-horizon Chinese stock selection. It describes bootstrap sampling, random feature selection, averaging tree predictions, tree pruning, regression split…
This document describes settings for an Expert Advisor and mentions tester reports for EUR/USD across a long historical period, with and without lot increases. It says stop-loss and take-profit levels are applied after a position opens, and a retry parameter…
The document presents a Chinese equity screening rule that requires MACD to be above zero, the reported external-to-internal trading volume ratio to exceed 1.3, and the 20-day moving average to be above the 120-day average. Stocks passing all three filters…
The document describes why quantitative investors use machine learning to analyze large datasets, forecast market direction, and select portfolios. It highlights the ability of these methods to represent nonlinear relationships and process data efficiently,…
The document describes an Expert Advisor based on a direction-changing moving average. A trading signal is generated when a bar closes and the moving average changes direction. The indicator is supplied as a compiled file that must be placed in the…
The article proposes a Chinese equity screening rule that ranks stocks by trading heat, then filters for an RSI below 65 and at least one limit-up session during 2021. Its code example retrieves daily data, computes a 14-period RSI, checks for a qualifying…
This tutorial explains how to use Alphalens to examine whether factor scores are associated with future asset returns. It distinguishes factor research from portfolio backtesting: factor analysis helps characterize predictive power, consistency across…
This document describes a forex Expert Advisor that trades breakouts around a smoothed-candle indicator. A trade signal is evaluated when a bar closes: the breakout level must be above the indicator candle’s high or below its low. The page refers to a…
This proposed A-share stock screen combines a price-range condition, three consecutive daily limit-up moves ending the previous day, and a company-type filter. Its rationale is that larger price movement may indicate active trading and repeated limit-ups may…
The document explains backtesting as the simulation of a strategy on historical market data to assess returns, risk, and stability. It outlines a workflow from obtaining and checking data, coding rules, and setting dates, capital, fees, and slippage through…
This article presents a multi-asset allocation framework that combines traditional asset selection with allocation to systematic factors. It maps macroeconomic variables and style factors to asset classes, estimates exposures with time-series regressions,…
This document describes an Expert Advisor that trades signals from an AbsolutelyNoLagLwma range-channel indicator. It enters when a bar closes after price breaks through the channel, then closes the position once its holding time reaches a preset limit. The…
This research summary describes a machine-learning approach to predicting very short-term price changes from futures order-book data. It proposes using support vector machines with features such as best bid and ask prices and sizes, order-book depth, slope…
The document presents a two-sided trading strategy based on crossovers between short and long moving averages of RSI. A downward crossover opens a long position and closes a short; an upward crossover closes a long and opens a short. The example uses a…
This trading system uses changes in an RSI histogram to generate entries at bar close. A signal occurs when the histogram changes from neutral gray to red or lime, which the description associates with the RSI entering an overbought or oversold zone. The…
This summary describes a style-neutral, multi-factor stock selection system for Chinese A-shares built from short-horizon price and volume behavior. The report develops nearly 200 trading-oriented alpha factors using daily stock data, aiming to capture the…