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 Slope Direction Line is described as a colored moving average intended to show the market’s average direction. Its configurable inputs are a lookback period, a moving-average method, and the price series used in the calculation. The calculation first…
This MetaTrader utility evaluates whether splitting a position into multiple exits improved the outcome relative to holding the full position until the final exit. It reads closing-deal records from a CSV and reports three measures: value added versus that…
This Chinese-language post describes an equity screening rule that selects stocks with an amplitude threshold, prior-day main-fund control, and a rising DEA. It frames the conditions as combining price activity and fund-flow participation with a short-term…
This source code implements a collection of volume-related technical indicators for price and volume series. It includes cumulative measures such as Accumulation/Distribution, On-Balance Volume, Volume-Price Trend, and Negative Volume Index, as well as…
The report studies liquidity, volatility, and return distributions in the CSI 1000 near-month futures contract using minute bars over a specified 2024 sample. It examines log returns across several aggregation windows, compares full-session data with…
The document explains how to choose between regression and classification when building machine-learning models for stock research. A regression task predicts a continuous quantity, illustrated by forecasting a stock’s five-day return. It introduces fitting…
This document describes a Chinese stock-selection screen combining turnover with year-over-year growth in net profit attributable to parent-company shareholders. It specifies turnover between 3% and 12%, profit growth above 20% and no more than 100%, and an…
The report introduces a Barra-style multi-factor risk and return attribution model for Chinese equities. Its central idea is to explain the returns and risks of many stocks through a smaller set of style factors, making portfolio exposures easier to analyze.…
This short BigQuant discussion asks whether factor analysis of a custom stock universe requires manually importing a data table. The response says custom feature data can instead be passed into the factor-analysis module, enabling analysis for a user-defined…
This brief indicator description explains a channel built around percentage price deviation. Its width is controlled by a percentage setting, and the channel is displayed as a filled background or cloud. The document identifies an original author and says…
The document presents a calculation for charting the annualized return of a fund over time. It retrieves daily closing prices for a specified fund and date range, then compares each later close with the first close to calculate cumulative return. It…
This introductory guide covers core JavaScript concepts that can help a reader understand or write scripts, including numeric values, strings, variables, arrays, objects, control flow, functions, scope, closures, and constructors. Examples show how these…
This introduction to crypto pairs trading argues that correlation alone does not establish a durable relationship between two assets. A pair may move together because of shared market forces, yet its price spread can continue drifting. Cointegration offers a…
This explanation defines an asset’s exposure to a factor as its sensitivity to that factor’s returns. It illustrates the idea with a value factor: filter a broad A-share universe, sort stocks by price-to-earnings ratio, and form a long-short portfolio from…
The report compares ordinary K-fold cross-validation with time-series cross-validation for tuning machine-learning models on sequential data. Random folds can place later observations in training while earlier ones are used for validation, creating leakage…
The essay argues that traders should accept uncertainty instead of relying on confident market forecasts. It treats technical and fundamental interpretations as fallible explanations that may sometimes coincide with subsequent price moves, but cannot…
The document summarizes research on the disposition effect among actively managed U.S. equity mutual funds: managers may sell winning stocks too readily while holding losing stocks. It describes a measurement based on quarterly changes in reported holdings…
The document describes a corrected version of the QWMA moving-average indicator. Its correction process compares changes in the average with a standard deviation-based significance threshold; changes judged too small are ignored, producing a step-like…
The document outlines a MetaTrader 5 utility for collecting candlestick history across multiple timeframes and writing it to a CSV file. It presents the export as a way to prepare price data for external analysis, record keeping, strategy backtesting, or…
The document describes a cyclically smoothed Relative Strength Index (CRSI), intended to adapt RSI signals to market cycles. It begins with upward and downward price changes, smooths them exponentially using a period derived from the estimated dominant…
This Chinese equity research note proposes unexpected profitability as a source of stock-selection alpha. It measures operating profitability with return on net operating assets (RNOA), which separates operating activity from financing and is presented as…
This document describes an indicator that applies John Ehlers’ inverse Fisher transform to either RSI or RSX. The transform is presented as a way to reshape an indicator’s probability distribution and produce a smoother oscillator for timing buy and sell…
The document explains how limit order books can reveal displayed supply and demand, liquidity concentrations, spread changes, and shifts in intraday buying or selling pressure. It proposes tracking order book changes alongside price to investigate support…
The document outlines a proposed moving-average indicator intended to imitate a range of other moving averages, reducing the need to select among many separate versions. It describes desired behavior rather than giving a formula or implementation: the…