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.
2,013 documents
This review surveys momentum investing across equities, funds, commodities, bonds, currencies, and cryptocurrencies. It explains cross-sectional momentum, which buys past winners and sells losers, and time-series momentum, which takes positions based on each…
This document is a short summary of a report about constructing a fund-of-funds portfolio that can consistently outperform the median actively managed equity fund. It highlights the difficulty of selecting funds that remain above that benchmark across…
Active trading seeks short-term gains from price movements, commonly in liquid and volatile markets. The document describes technical analysis as a tool for identifying opportunities and notes that frequent trading may be needed because short-term price…
This indicator overlays candles from a larger timeframe on a chart using filled rectangular areas. It distinguishes candle direction through separate colors for the body and shadows, allowing traders to see higher-timeframe price structure alongside…
This introductory article defines quantitative investing as using numerical models and systematic rules to guide investment decisions. It contrasts model-based methods with more discretionary approaches, then describes claimed benefits: disciplined…
The report describes a sector-rotation framework that pairs quantitative clustering with macroeconomic reasoning. It first groups industries using features such as returns across market conditions, return on equity, and revenue growth, then makes limited…
The document describes a dashboard that displays Relative Strength Index readings across nine chart intervals, ranging from one-minute to monthly. It classifies each reading as overbought, oversold, or within a neutral range, using colors to make comparisons…
The Repulse indicator represents bullish or bearish pressure associated with each candlestick as a curve. This version is designed to display readings across multiple timeframes, including the timeframes supported by MetaTrader 5. It also provides three…
This brief indicator description introduces a higher-timeframe version of an Adaptive Cycle Oscillator. Users can choose the indicator period through an input setting, with a four-hour period shown as the default example. The note says the indicator is…
This reference explains several ways to measure dependence among asset returns and distance between correlation structures. Distance correlation can detect nonlinear dependence and is zero exactly when variables are independent, unlike Pearson correlation,…
This study examines value, momentum, carry, and defensive factor returns across six asset classes using data spanning roughly a century. It compares each factor’s discovery period with earlier and later periods, using the long history and cross-asset…
This report summary reviews Schroders as an asset manager and describes its investment approach, asset mix, and historical fund performance. It says the firm focuses on asset management, with equities prominent in its portfolios, and reports that many funds…
The document gives brief examples of using large-scale and unconventional data to inform investment research. Satellite images of retail and office parking areas are described as a way to estimate business activity, while satellite monitoring of shipping is…
The document explains how Brinson attribution uses portfolio holdings to separate active return into allocation and security-selection effects. The framework can be applied across industries for equity funds or across broad asset classes for mixed-asset…
This event announcement describes a strategy framework that uses macroeconomic timing to adjust a multi-asset portfolio as markets and economic conditions change. The stated approach is to monitor macro indicators for turning points in the economic cycle,…
This report summary presents a strategic allocation framework that shifts the budgeting unit from asset classes to macroeconomic drivers, aiming to reduce exposure to changing correlations among assets. Principal component analysis is used to derive five…
This indicator displays ChandelierStops trend positions from ten timeframes in one view. It compares the indicator line with minimum and maximum price levels and colors its squares accordingly: light green when the line is below the minimum level, and pink…
The document describes a higher-timeframe variant of the Color Zero Lag Relative Vigor Index (RVI) indicator for MetaTrader 5. Its main feature is a timeframe input, allowing the indicator to use a selected chart period, with a four-hour period shown as the…
This research note argues that Indian equities may offer strategic allocation value because of the country’s growth prospects and relatively low correlation with other major markets. It attributes the long-term economic outlook to capital investment, labor…
The document introduces Delta_MFI_HTF, a version of the Delta_MFI indicator with an input that lets the user choose the timeframe used for the indicator, with a four-hour period shown as the default. This allows the indicator to be configured to reference a…
The study estimates a fund’s factor exposure from its net asset value returns and factor return series, aiming to provide more timely exposure tracking than holdings-based estimates from delayed periodic reports. It trains an LSTM on features describing the…
The strategy ranks a multi asset universe using two momentum horizons and a valuation measure. It assigns equal portions of the combined score to 12 month and one month momentum, and a larger portion to value. Stock valuation is represented by earnings…
This project introduction explains an architecture for building multi-asset, multi-venue trading systems with a Rust engine and Python control layer. It uses an event-driven runtime for research, deterministic simulation, and live execution, allowing…
This document describes a higher-timeframe variant of the GRFLeadingEdge indicator. A timeframe input lets the user choose the chart period from which the indicator’s data is drawn; the provided default is four-hour data. The main practical concept is to…