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 proposes using Benford’s law, the uneven distribution of leading digits found in many datasets, to study stock minute-volume data. From those statistics, it constructs an “institutional footprint” measure: higher values are interpreted as stronger…
This study examines how Chinese and US equity markets move together, with a focus on whether movements in one market help explain later movements in the other. It uses Granger causality tests on market returns and volatility, reporting evidence of two-way…
This Chinese stock screen combines a turnover band of 3% to 12% with a circulating market value between 5 billion and 10 billion yuan. It then uses a comparison between the latest daily low and the previous day’s low as a short-term price filter. The…
This stock-selection screen targets companies associated with China’s metaverse theme. It filters for prior-day actual turnover between 3% and 28%, market capitalization below 10 billion yuan, and positive earnings per share. The document explains these…
This discussion raises a data-reconciliation question: why historical prices retrieved from a Chinese equity data platform still differ from observed market prices after dividing open, high, low, and close by an adjustment factor. The example queries daily…
The document explains a Fisher Transform oscillator for price data. It first scales prices using a recent high-low range, smooths and bounds the normalized value, then applies a logarithmic transform and recursive blending. This process is intended to make…
This meetup page collects questions about quantitative trading on the BigQuant platform. Topics include searching for holding-period parameters in a default stock-ranking template, defining reusable Python modules, and building a workflow for developing…
This research summary describes factors derived from operating financial statements and reports selected long-short results. It identifies changes in operating current liabilities as a notable factor, with a reported Sharpe ratio of 2.62 and annualized…
The indicator expresses current trading volume relative to its average over a chosen period, using percentage-style normalized values. Values can fall below zero when volume is quieter than the average, making subdued activity visible alongside volume…
This short indicator note presents a Relative Volatility Index (RVI) construction that adapts the RSI calculation to volatility. It weights standard deviation over ten closing-price days by whether the current close is above or below the previous close,…
The article explains how the Kelly criterion can set leverage and capital allocation to maximize long-run compounded growth. Under its simplifying assumptions of normally distributed strategy returns, stable estimated means and standard deviations,…
The document describes a script that compares streams of price bars to find a similar historical sequence and illustrates the resulting match alongside a predicted bar and price area. Inputs control the comparison-window length, the number of bars shown, and…
This document describes an oscillator that measures the standard deviation of each bar’s high-minus-low range over a chosen period. It offers two settings: the length of the calculation window and the standard deviation method. The indicator can be…
This document describes an oscillator that expresses the percentage ratio between prices and candlestick sizes over a selected range. It identifies two settings: the calculation period, which determines the range length, and whether the range begins on the…
The document describes a method for testing factor effectiveness dynamically and selecting stocks within industries. It examines whether differences in style-factor exposure relate to differences in stock returns, then uses the results to form industry-based…
This guide describes how a BigAlpha competition participant can build equity factors using BigQuant’s DAI data engine. The specified universe is the historical membership of the CSI 1000, and the listed inputs include one-minute bars and order-book…
This research overview examines risk parity within the broader development of portfolio allocation methods. It describes several risk measures and risk-allocation principles, emphasizing Euler allocation to define each asset’s contribution to portfolio risk.…
This Chinese equity screen selects stocks with RSI below 65, a positive return over the prior ten days that remains below 35%, and no limit-up move on the previous day. The article presents these filters as a way to identify stocks with recent gains while…
This stock selection method combines three conditions: daily price amplitude above 1, positive institutional fund flow, and a newly formed bullish KDJ crossover. The accompanying examples calculate amplitude from the high, low, and opening price; sum…
XROC2_VG plots two selected price-change indicators, such as Momentum or different forms of Rate of Change, in one window. It supports several related calculations: absolute price change, percentage change, and price ratios on different scales. The resulting…
This Chinese-language support exchange addresses a quantitative research notebook that restarts automatically after two features are added and feature extraction begins. The user reports that the visible CPU and memory figures have not reached their…
This indicator converts RSI behavior into eight normalized features, including level, slope, acceleration, percentile, volatility, fast-versus-slow spread, and regime. It stores sampled feature vectors alongside forward price outcomes grouped into ATR-scaled…
This article collects learning materials for applying machine learning to algorithmic trading, grouped into books, blogs, research papers, videos, and podcasts. The topics span neural networks, structured data, regression, clustering, nearest-neighbor…
This study turns unusual intraday stock behavior into a measurable event signal. It describes days when a stock repeatedly moves against the direction of the broader index, then uses correlation to screen for these cases. The resulting event samples are…