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 report explains the Black-Litterman model as a portfolio construction approach that starts from market-equilibrium expected returns and blends them with an investor’s views. It describes the prior return estimates as grounded in CAPM and mean-variance…
This study examines whether U.S. equity mutual fund managers adjust market exposure when broad stock mispricing changes. It builds a market mispricing measure from a financing-based long-short factor, then orthogonalizes it against macroeconomic variables. A…
This collection of short anecdotes illustrates common pitfalls in statistical reasoning. The stories contrast an average river depth with local danger, show how a high-accident location can be misread as a reason to speed through it, and use a pair of…
This indicator searches historical candles for examples whose wick-to-body structure resembles the latest candle, then projects the average price path that followed those analogues. Users can compare general wick length, the upper wick, the lower wick, or…
This research summary describes a model for estimating whether a company will meet or exceed analyst expectations in its next reporting period. Its premise is that earnings delivery has persistence: stocks that beat expectations in one period are more likely…
The report applies a modified Grinold-style decomposition to attribute equity index returns to dividend yield, nominal earnings growth, and changes in the price-to-earnings multiple. It compares major Chinese broad-market indexes and selected industry…
This brief post introduces a Python implementation of Markowitz portfolio theory, a framework for constructing portfolios by balancing expected return against risk. It says the article works through the theory and implementation, but the supplied document…
The document raises a measurement question about Rank IC, a rank-based measure of association between model predictions and subsequent returns. The author reports that Rank IC computed on a custom training set differs substantially from the value produced by…
This MetaTrader 5 tutorial explains how to instrument an Expert Advisor so an optimization workflow can save balance and equity data and attach custom criteria to each test pass. It describes adding calls in tick and tester lifecycle functions, recording…
This research report explains how equity risk factors and factor models can help identify portfolio risks, estimate return covariances, and analyze portfolio performance. It distinguishes risk factors from alpha factors and discusses factor returns,…
The document introduces a Python library for adding technical analysis features to financial time series containing open, high, low, close, and volume data. It describes using the library with pandas and shows two workflows: adding a broad set of indicators…
This document proposes an A-share stock screen for companies classified in the metaverse sector. It requires a circulating share count no greater than 5.5 billion and a current-day low below the prior day’s low. The stated rationale is to focus on a selected…
This document introduces two self-balancing binary search trees and explains how their balancing rules support efficient lookup, insertion, and deletion. For AVL trees, it defines node height and balance factor, then describes single and double rotations and…
This document describes a Chinese equity screen for Shenzhen Main Board stocks. It selects stocks with a daily range above 1, price-to-earnings ratios from 0 to 29.01, price-to-book ratios from 0 to 3.11, and a quoted 9:25 gain below 6%. The rationale is to…
The article describes an architecture that combines iTick market feeds, other economic and alternative data, and DeepSeek-R1 to support quantitative research workflows. It proposes attention-based data fusion, automated strategy variant generation,…
This ProRealCode indicator plots how frequently rounded values of RSI, Stochastic, Williams %R, or ADX have occurred over a chosen historical period. The user selects an indicator and its settings, optionally chooses a start date, and can display a simple…
This Chinese stock-screening proposal selects shares with daily amplitude above a threshold, a minimum time since listing, and a reported daily increase in position share above five percent. It frames high position growth as a possible sign of market…
This stock-selection method screens for shares with turnover between 3% and 12%, market capitalization of at least 200 million yuan, and a positive product of the daily price change and a measure of large-order net flow. The article also presents an…
This brief indicator note defines the moving average, abbreviated MA, as a calculation using closing prices and a lag or lookback parameter. It gives a compact formula reference for producing an MA value from those inputs. The entry identifies the indicator…
The William Blau candlestick momentum indicator is described as the difference between a selected price and that price from a specified number of periods earlier. Its two inputs are the lookback period and the applied price, allowing the calculation to use…
This documentation explains three trading-specific numeric types: Price for market levels, Quantity for non-negative sizes, and Money for signed amounts associated with a currency. The types are immutable and use fixed-point representation to support…
The document introduces the Intraday Momentum Index, an oscillator that compares directed price movement with total price movement over a selected period. Its adjustable settings are the calculation period and the overbought and oversold thresholds. The…
The post describes a feature-data issue in a quantitative research workflow. A request failed with an error indicating that no observations remained after missing values were removed. Changing the feature lookback period, as suggested by common…
This brief indicator description defines the Cauchy difference as the difference between the arithmetic mean and geometric mean of price over a chosen period. For each bar, it first represents price using the average of open, high, low, and close, then…