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 indicator adapts an exponential moving average using phase information derived from a Hilbert Transform. The document describes the transform as splitting price information into in-phase and quadrature components using current and prior price…
The custom NHNL_Divergence indicator plots a high-low index line in a separate pane and marks detected divergences both there and on the price chart. It is based on the NHNL indicator, which tracks new highs and new lows, and is intended to make divergence…
This document describes a price smoother whose calculation period can be fractional and whose adaptation is based on standard deviations. It distinguishes the method from a true Jurik moving average, while noting that it resembles versions often labeled as…
The document introduces EVWMA, a moving average that weights price updates by trading volume. Its sole stated input is a calculation period. The described recurrence combines the prior EVWMA value, weighted by the period’s volume excluding the current…
This research summary examines ways to improve equity momentum signals in China’s A-share market, where the authors report that reversal has historically been stronger than momentum. It compares conventional momentum with four adaptations: using moving…
The article compares decade-scale changes in six major equity indices and argues that long-run wealth accumulation depends on the balance between advances and declines, rather than on the count of up and down sessions. It describes a pattern of relatively…
This Chinese-language strategy note proposes screening equities with a 14-period RSI below 65, parent-attributable net profit growth between 20% and 100%, and a reversal pattern described as a “wraparound” stock. It frames the setup as a way to find…
This note describes selecting A-share stocks by prior-day trading value above 60 million yuan and references a 2021 stock universe. Its later, expanded rule set adds market capitalization above 10 billion yuan, price-to-earnings below 20, and indicators…
This Chinese stock-selection post proposes screening for shares with RSI below 65, circulating market capitalization between 5 billion and 10 billion yuan, and a candlestick condition described as the Kute Intelligent morning-star pattern. The accompanying…
The document describes a variation of Parabolic SAR that allows the calculation to use a selected price series rather than relying only on high and low prices. It also permits an average of price values to be used in place of raw prices. This changes the…
The document explains cumulative volume delta (CVD) as a running total of estimated aggressive buying volume minus aggressive selling volume. It describes classifying volume within each bar by its price distribution, then accumulating the difference to show…
The document introduces generative adversarial networks (GANs), a framework that trains two models against each other. A generator creates samples intended to resemble the training data, while a discriminator estimates whether a sample is real or generated.…
The post asks how to reproduce a Chinese stock industry return series from constituent-level data. It identifies three aggregation methods: equal weighting, weighting by total shares, and weighting by free-float shares. The example query retrieves…
This document explains how MetaTrader 5 strategy tester cache files for individual test runs can be read, saved, and inspected without rerunning the tester. Example scripts convert real account trading history into a tester-compatible file and retrieve the…
The paper proposes a decision-focused learning framework for prediction followed by optimization when the downstream objective includes linear soft constraints. Such constraints penalize violations with a maximum function, which is nondifferentiable at its…
This document outlines a Chinese equity screen using three conditions: price amplitude above 1, a 9:25 price increase below 6%, and recent revenue at least 1.1 times the 2018 revenue figure. It frames the revenue comparison as a growth filter and combines it…
The document outlines a tick-based algorithm for finding uninterrupted price movement. It looks for a sequence in which price rises or falls across multiple consecutive ticks without a pullback, then compares the resulting movement with price. The…
This Chinese A-share screening rule combines a metaverse industry filter and a maximum circulating share count with a measure based on yesterday’s turnover rate and today’s auction volume relative to yesterday’s trading volume. It selects stocks where the…
This Expert Advisor describes a framework for overlay hedging across currency pairs listed in the trading platform’s Market Watch. It calculates correlations between symbols and Average True Range ratios for possible hedge combinations, assigning distinct…
The study tests institutional ownership data as a quarterly stock-selection factor in Chinese equities. It measures ownership share, the number of institutions holding a stock, and average holdings per institution as a proxy for ownership concentration. For…
The r_Ma indicator combines multiple ways of calculating a classical moving average. For a chosen period, it calculates twenty-eight versions, formed from four averaging methods and seven possible input prices, then averages those results into a single…
This research digest summarizes two finance topics. The first reviews competing claims about the size effect, the long-discussed idea that smaller companies have higher average returns than larger ones. It says the underlying study uses simple tests and…
This overview explains the Kuramoto model, which represents interacting oscillators through phase dynamics. Each oscillator’s motion depends on its natural frequency, coupling strength, and phase differences with the others. Positive coupling draws phases…
This research summary treats the assignment of special treatment (ST) status as a proxy for financial distress among Chinese A-share companies. It describes using Fisher discriminant analysis and regression-based models to predict company financial…