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
The document presents two ways to estimate convexity in Chinese convertible bonds. The Black–Scholes approach substitutes implied volatility for the underlying stock’s volatility, calibrating the model price to the observed bond price before using its…
The described Expert Advisor looks for directional alignment among five moving averages with periods of 10, 20, 50, 100, and 200. It opens a buy when the shorter averages are ordered above the longer ones, and a sell when their order is reversed. An ADX…
The article argues that a complete trading system must define entries, exits, and capital allocation. It favors coherent rules and warns against unexplained indicators or assumptions that cannot be justified. Entry and exit decisions should follow a…
This meetup Q&A surveys quantitative research topics, including collecting and cleaning market data, creating features, training models, and evaluating strategies through backtests. It lists possible information sources beyond price and volume, such as…
The document explains an approach to mutual-fund evaluation that adds an active peer benchmark (APB) to standard asset-pricing models. The APB is formed from the average returns of funds in a comparable style group, providing a proxy for shared strategies…
This article compares monthly portfolios formed from the highest- and lowest-volatility stocks in the CSI 300. Each portfolio holds 20 stocks, rebalanced on the first trading day of each month, and the author says the strategies were backtested over…
This account describes an informal attempt to test long-only factors for China A-shares using a visual strategy tool. The author selected factors discussed in a paper on anomalies in the Chinese A-share market, then adjusted the learning and simulation…
This MSCI FactorLab overview describes sentiment signals that aim to capture views about companies. The measures include analyst earnings surprises and revisions, consumer confidence, news tone, and short-selling activity. Signals can come from market…
The note describes a stock-selection factor derived from buy-side order book data. It simulates executing a specified trade amount against displayed orders, adds interpolated virtual orders, and compares the resulting market value with the value implied by…
This note describes a trend indicator based on the correlation between a security’s price history and an idealized straight-line trend. The underlying approach, attributed to John Ehlers, is intended to identify the beginning of trends and recognize when…
This MetaTrader 5 example demonstrates an EMA crossover Expert Advisor designed to illustrate implementation practices rather than a trading edge. It evaluates signals on closed bars and acts on a new bar, closing an existing position and opening in the…
This expert advisor generates buy and sell signals from overbought and oversold readings across the M15, H1, and H4 timeframes. It compares two ways to set those thresholds. The conventional approach uses fixed RSI levels of 70 and 30. The alternative places…
The post proposes a stock screen that combines daily price amplitude above a threshold, a newly formed KDJ crossover, and a dividend ratio above a threshold based on 2019 data. It frames amplitude as a volatility filter, the crossover as a momentum or timing…
The article introduces algorithmic trading as a way to automate rule based strategies and reduce some burdens of manual trading. It describes bots as tools for applying predefined entry and exit conditions across markets, including trend following,…
This notebook explores relationships between Colombian peso exchange-rate data and crude oil blends, currencies, and gold. It ranks simple ordinary least squares regressions by R-squared, compares the Vasconia crude relationship with the peso before and…
This indicator builds a trend measure by comparing each close with a simple moving average, using a period shown as 30. It increments a running score when the close is above the average and decrements it otherwise. A second moving average is then calculated…
The document describes a multi-day strategy for DAX contracts for difference using hourly signals. A QQE indicator supplies long and short triggers, while a Universal indicator acts as a directional filter. Separate month-specific multipliers scale long and…
This A-share stock screen combines three conditions: turnover between 3% and 12%, an opening price within 5% of the 10-day moving average, and an indicated opening gain below 6%. The document presents the rules as a way to identify active stocks whose…
This Chinese stock-screening post describes selecting equities using a mix of a technical indicator, company classification filters, and recent candle behavior. Its stated conditions include MACD above zero, exclusion of several company types, and three…
This stock-selection approach screens for shares with prior-day amplitude above 1%, a listing on the previous day’s unusual-trading report, and an auction return between -2% and 5%. The proposed interpretation is that amplitude identifies active stocks, the…
This document presents a framework for testing trading decisions made at multiple time scales together. It argues that portfolio selection and intraday order execution should interact within one backtest because execution quality can change which…
This document describes a basic simulator for practicing manual trades against historical price bars. A user chooses a starting bar and playback speed, then enters a long or short position, closes it, pauses, or ends the run. The simulator reports net profit…
This MetaTrader 5 expert advisor combines Supertrend direction with ADX trend strength and the relative positions of +DI and −DI. It checks signals once per new signal-timeframe bar using the prior completed candle. A long or short entry requires the…
This Chinese-language case study describes using an AI coding assistant to reproduce and modify a high-frequency volume factor for Chinese equities. The source factor uses intraday volume’s Fourier spectrum to measure energy in a short-period band, with…