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 document introduces convex functions through their geometric shape and explains a first-order characterization for differentiable convex functions on an open convex domain. At any point, the function’s value at another point is at least as large as the…
The note describes an indicator that applies Noise Elimination Technology, characterized as a rolling Kendall rank correlation coefficient, to determine the trend of a simple moving average. This trend measure is distinct from the moving average’s slope, so…
This document contrasts MQL’s built-in MathRand generator with a class wrapping a 32-bit PCG pseudorandom number generator. It characterizes MathRand as a limited linear congruential generator and says its statistical flaws make it unsuitable for large Monte…
The document examines how benchmark choice affects mutual fund performance estimates. It contrasts return-based evaluation, which is sensitive to benchmark selection, with holdings-based evaluation, which can be more precise but depends on infrequently…
The document outlines a Chinese equity screening rule focused on stocks classified in a metaverse-related category. It selects for an elevated turnover measure, circulating market capitalization above a stated threshold, and positive cumulative price change…
The document describes a realized volatility indicator calculated from recent closing prices. It takes the difference between consecutive log prices, squares those returns, sums them over a configurable lookback, takes the square root, and scales the result…
This report outlines the first step in a multi-factor model research process: selecting which factors to combine. It proposes using a hedging perspective and benchmark factor exposures as part of the screening criteria, with the stated aim of reducing the…
This short indicator description explains a simple way to characterize price action: calculate the percentage of bullish and bearish bars within a chosen interval. The user sets a calculation period and an applied price, which determines the price input used…
This document describes a short-term screening rule for main-board Chinese stocks. Candidates must have turnover between 3% and 12%, gain more than 1% on the day relative to a comparison benchmark or group, and meet a condition described as the start of a…
The indicator plots a weekly seasonality curve from historical hourly price movements. It is intended to help traders inspect which hours of the day and days of the week have historically shown more favorable movements for long or short positions. Users can…
The article proposes an A-share screening rule that combines an RSI below 65 with an external-to-internal trading volume ratio above 1.3, plus a prior-day 9:15 matching price at the daily limit-down level. It presents the setup as a way to find stocks that…
This example schedules a target futures position across a chosen intraday window according to the historical distribution of volume. It groups past bars by trading day and time, computes each time slot's share of that day's session volume, averages those…
The proposed stock screen combines a price-range condition with a profitability filter: it seeks shares whose high-low amplitude exceeds one and whose return on equity has remained above 15% for five consecutive years, while excluding Beijing-listed…
This research summary presents labor leverage as a company characteristic that may help explain differences in expected stock returns. It defines labor leverage through the relative size and rigidity of labor expenses, which shape how operating profits…
This tutorial outlines a workflow for modeling Chinese steel futures using high frequency market data. It starts with tick snapshots for the RB2305 contract, explains that futures may trade during night sessions, and resamples the raw observations into ten…
This report tool exports one CSV row for each closed position, grouping deals by position identifier. Its fields include symbol, direction, entry and exit details, profit points, maximum favorable excursion (MFE), maximum adverse excursion (MAE), capture…
CandleRange is a chart indicator that displays two histograms to summarize price movement around each candle's open. The upper histogram represents an averaged difference between the high and open, while the lower histogram represents an averaged difference…
This Chinese-language post outlines an A-share stock screen for companies in the metaverse industry. It selects stocks that appeared on the prior day’s trading-activity list and had year-over-year growth in net profit attributable to parent-company…
This document describes a recursive channel indicator that produces upper and lower price bands and their midpoint. It contrasts conventional channels, which combine a central tendency estimate with a volatility measure, with a method that updates each band…
This study examines whether active U.S. equity mutual funds that increase portfolio concentration subsequently achieve better risk-adjusted performance. Its rationale is a tradeoff: concentrating holdings can give greater weight to the manager’s strongest…
This document describes a competition built around Deep Alpha-CNN, an equity prediction model using a seven-layer one-dimensional convolutional neural network with residual connections. The report’s stated findings favor the deeper network over a two-layer…
This brief post asks why a long-period exponential moving average (EMA) calculated in TradingView differs from results produced by common Python libraries. It presents TradingView’s recurrence: use a simple moving average to seed the series, then update each…
The document examines whether CTA strategies that resemble their peers perform differently from more distinctive strategies. It defines a strategy distinctiveness index (SDI) using rolling return correlations to peer groups formed by clustering, then…
The document describes a low-latency container for storing a fixed number of recent market ticks. It indexes the newest observation at position zero and discards the oldest observations when new ticks push the series beyond its configured capacity. The…