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
This analysis uses estimated institutional Bitcoin ETF cost bases to map how drawdowns could push holdings underwater and potentially amplify selling. It presents scenarios from current prices through a 30% decline, arguing that stress rises nonlinearly…
The document defines a price-action indicator by comparing each candle’s open and close with a 100-period exponential moving average. It averages the two deviations: the open minus the EMA and the close minus the EMA. The resulting value expresses where the…
The article examines how global equities, bonds, commodities, and diversified long-short style premia behave across economic growth, inflation, real-rate, volatility, and liquidity regimes. It constructs standardized macro indicators from U.S. economic and…
This forum post discusses a binning failure in a quantitative label-generation workflow. It attributes the reported non-unique bin edges to a weighted-binning step that attempts to divide a label into 20 groups. The preceding label expression clips values at…
This short forum exchange concerns a VeighNa Trader configuration error. An initial response interprets an invalid integer conversion as a nonnumeric value in a field expected to contain an integer and recommends deleting the settings file so the application…
The document describes an indicator that measures how far the current price is from a rolling mean in units of standard deviation. Because the score is unbounded, it can represent unusually large deviations without the fixed ceiling of bounded oscillators…
This study asks whether cash flow measures predict stock returns better than conventional profitability ratios. It constructs a direct cash flow template that groups operating receipts and payments and separates them from financing, taxes, investment, and…
The report introduces generative adversarial networks (GANs) for quantitative finance. A generator creates synthetic market data while a discriminator tries to distinguish it from real data; alternating training aims to make the generated series resemble the…
This article summarizes research on whether mutual fund managers adjust market exposure ahead of rises and declines. It describes Treynor–Mazuy and Henriksson–Merton regression tests, augmented with market, size, value, and momentum factors, and compares…
A BigQuant community post reports that an XGBoost template completes historical backtesting but fails when submitted for simulated trading. The traceback shows the failure occurring while training data is prepared: the code calculates ranking group sizes…
A trader reports an error while running an rb-hc spread strategy in a simulated environment. The failure occurs when the strategy attempts to convert its current grid position into an integer target position, but the value is NaN. The trader suspects that a…
This document describes an MT4 script that exports account order history to a delimited file for analysis in spreadsheet software. Alongside the available trade attributes, it calculates fields such as net profit after swap and commission, price movement,…
This indicator looks for divergence by applying a linear regression channel to the MACD. It draws a middle channel line whose color changes to signal a change in slope; users can treat that change as a divergence cue and respond according to their usual…
The proposed screen selects main-board stocks using three conditions: daily amplitude above one, large-order net volume above 0.05 for at least three consecutive days, and outside volume more than 1.3 times inside volume. The document interprets amplitude…
The discussion explains why a backtest’s cumulative return can appear inconsistent with profit and loss shown in exported position details. The key distinction is that the export described here records stocks still held at the end of each day. It therefore…
The document explains how a trading platform defines local synthetic instruments by applying formulas to prices from one or more component instruments. These derived prices can feed strategies and data actors, support derived quotes, trades, and bars, and…
This module describes two ways to estimate hedge ratios from security price data. Ordinary least squares (OLS) treats one selected asset as the dependent variable and fits coefficients for the remaining assets, optionally including an intercept. It returns…
This indicator combines a Z-score measuring the close’s distance from volume-weighted average price with a normalized MACD component. The VWAP calculation uses a rolling window of volume and closing prices; the MACD component compares fast and slow moving…
This document explains how to use the FuzzyNet library in MQL5 to build fuzzy inference systems of the Mamdani or Sugeno type. It outlines a workflow: define input and output variables, assign linguistic terms and membership functions, create rules, provide…
This report summary describes a composite signal for forecasting changes in futures basis using high-frequency ETF premiums and discounts. It separates ETF observations into intraday comparisons, such as the close versus the open or the day's average, and…
This page summarizes two research papers rather than presenting their full methods. The first applies a non-proportional-thinking model to explain how prices relative to reference values may shape reactions to new information. It proposes that stocks priced…
This overview describes alpha as a return opportunity identified by studying historical data and relationships among market, company, macroeconomic, and text information. It outlines a research cycle: develop an economic rationale and measurable signal,…
This document describes a stock screen combining three signals: a positive but limited ten-day return, the prior day's price above its 250-day moving average, and a measure of daily position increases above 5%. It interprets the position-change measure as a…
This document presents a regime indicator that applies cumulative sum (CUSUM) change detection to deviations of price from a Hull moving average. Separate bullish and bearish accumulators build when residuals persist in one direction, while a drift term…