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.
12,303 documents
The document defines the Mass indicator using the high-low range. It first applies an exponential moving average to that range, then smooths the result with a second exponential moving average of the same length. The ratio of the first smoothed range to the…
This note describes a Chinese equity screening rule that selects Shanghai-listed stocks whose daily high-low range exceeds 1% of the previous close and whose 20-day moving average is above the 120-day average. The range condition is intended to find more…
This Chinese equity screen selects main board stocks with a daily amplitude above 1, an opening gain greater than 1% relative to the prior close, and a top-five rank by auction trading value. The proposed combination targets active stocks showing both price…
This newsletter connects a softer US inflation and labor market outlook with expectations for Federal Reserve rate cuts and possible support for crypto prices. It then frames Bitcoin’s decline in the context of German government sales and anticipated Mt. Gox…
This research note develops an equity factor from intraday changes in volatility, which it treats as uncertainty about volatility. Using rolling five-minute windows of returns and volatility, it identifies periods when this uncertainty is elevated. It then…
This note describes a Chinese equity screening rule that combines daily price range, a stock-code prefix beginning with 60, and a positive institutional-flow measure. The accompanying indicator example defines range relative to the previous close and…
This stock-selection note proposes requiring daily price amplitude above 1%, a dividend ratio above 25% for 2019, and afternoon net inflow from large orders. It presents these as a blend of price movement, a historical dividend measure, and trading-flow…
This indicator maps price to a 0–100 scale within standard deviation bands built around simple moving averages. Zero corresponds to the lower band and 100 to the upper band. It can calculate separate bands for monthly, weekly, daily, hourly, and minute data,…
This pattern indicator combines a smoothed Commodity Channel Index with Bollinger Bands. Its central signal occurs when price crosses an upper or lower Bollinger Band boundary while the CCI crosses its signal line. The default timeframe is five minutes. The…
This indicator combines a T3 moving average with an adaptive correction intended to flatten the output when changes are small relative to recent variability. The described calculation first forms T3 from a cascade of six exponential averages and a hotness…
This study examines six smart beta factors in Chinese equities: size, value, low volatility, momentum, quality, and dividends. Its reported sample runs from July 2006 through November 2018. The summary finds differing absolute and risk-adjusted performance…
This Chinese-language post describes a short-term equity selection screen based on three conditions: prior-session price amplitude above a threshold, tradable share count at or below a stated limit, and appearance on the previous day’s exchange activity…
The proposed stock screen combines a large daily range, a session with a gain of at least 10% during the previous 25 trading days, and three consecutive down sessions. The article frames this as a way to find volatile stocks that have shown strong upside and…
This document presents an A-share stock screen combining a daily price-movement condition, a minimum circulating market capitalization, and more than two limit-up sessions within a recent ten-day window. It frames these filters as a way to capture…
This Chinese stock-selection proposal combines daily price amplitude, a rounded or curved price pattern relative to moving averages, and a measure described as today’s increase in position exceeding five percent. The discussion presents amplitude as a way to…
TrendRange labels market conditions as weak or flat, medium, and strong. It represents each bar with a histogram value based on the candle’s point range multiplied by volume; for large price gaps, it uses the gap size multiplied by volume instead. This makes…
This stock screen combines a daily amplitude above 1%, a positive weekly MACD histogram, and a prior-day 9:15 matching price at the limit-down level. The article presents the matching-price condition as a possible clue about liquidity and market acceptance,…
This podcast recap discusses Bitcoin options-market conditions around the ETF narrative, including term structure, skew, and changes in inter-dealer flows. It also describes exchange structured products: Double-Win, a range-based payoff compared to a…
The article describes adjusting hedge ratios as crypto prices, implied volatility, and liquidity conditions change. For derivatives portfolios, it suggests rebalancing futures and options exposures, including strikes and expirations, to manage directional…
This proposed Chinese stock screen combines three conditions: an absolute price below 12 yuan, an opening move from the prior close of less than six percent at 9:25, and a price amplitude above one percent. The accompanying formula reference expresses the…
This stock-selection screen combines four filters: a daily price move greater than 1%, market capitalization no more than 10 billion yuan, positive net profit, and turnover between 3% and 12%. The accompanying rationale is that a meaningful price move and…
This market commentary links a risk-off episode to declines in stocks and crypto, stronger gold, increased volatility, and heavy leveraged liquidations. It compares perpetual futures with spot markets, arguing that forced selling and uneven order-book depth…
This Chinese stock-screening recipe selects shares with daily amplitude above 1%, a newly formed KDJ crossover, and a ratio between 0.5 and 2 based on the prior day’s turnover rate and current auction activity relative to prior volume. The post includes…
This document outlines a proposed A-share screen that excludes Beijing-listed stocks, selects shares whose high-to-low amplitude exceeds 1%, and looks for a prior-day 9:15 matching price equal to the limit-down price. It frames the amplitude filter as a way…