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
This A-share screening rule combines four filters: daily amplitude above 1%, market capitalization below 10 billion yuan, positive trailing net profit, and a nonempty convertible-bond name. The accompanying discussion presents the profit and size filters as…
This indicator compares pivot, first resistance, and first support calculated from each candle’s high, low, and close with the corresponding levels from the prior candle. Higher resistance and support are interpreted as bullish; lower levels as bearish. When…
This index-timing method combines relative price strength (RPS) with the difference between upward and downward volatility. It computes the two directional volatility measures for each index, subtracts one from the other, and smooths the result with a moving…
The document reviews limitations of Bollinger Bands, which place standard-deviation ranges above and below a simple moving average. It challenges the probabilistic interpretation of those bands: observed prices do not necessarily fall within the bands at…
This Python module documents functions for calculating common technical indicators from market bars and options data. The visible functions include average true range, bias, Bollinger Bands, directional movement, KDJ, MACD, parabolic SAR, and Williams %R.…
The strategy forms a monthly long-short equity portfolio from NYSE, AMEX, and NASDAQ stocks priced above five dollars. It first keeps the larger half of the eligible universe by market capitalization, then ranks stocks by six-month realized return and…
This indicator modifies the Commodity Channel Index by replacing its usual simple moving average with the Jurik Moving Average for smoothing and using exponential moving average deviation in place of the conventional mean deviation. The stated aim is to make…
The document outlines a Chinese stock-screening idea that combines daily price amplitude above 1%, a closing price of 18.5 yuan, and an arc-shaped chart pattern. It suggests that the amplitude filter may find active stocks, while the price and pattern…
The Range Expansion Index (REI) is a relative oscillator attributed to Tom DeMark. It measures the pace of price changes on a scale from -100 to +100 and is intended to identify overbought or oversold conditions when price action shows weakness or strength.…
This Chinese A-share screening rule selects stocks with a daily range above 1%, at least one limit-up day during a recent 25-day period, and turnover between 3% and 12%. The source presents the range as a sign of higher volatility, a recent limit-up as…
This Chinese A-share screening rule requires a daily high-low range greater than 1%, excludes stocks identified as Beijing listings, and keeps stocks whose 10-day price gain is above zero but below 35%. The source describes the range as a volatility filter…
This indicator adapts an exponential moving average using Cutler’s version of the Relative Strength Index. The premise is that RSI, as a bounded momentum measure, can help represent changing market conditions and guide an average to respond differently as…
This stock-selection note proposes filtering for shares with amplitude above 1, an opening price near the ten-day moving average, and scale above a stated threshold of 200 million. It presents the screen as a way to find moderately sized stocks with some…
This report summary describes the risk-prediction component of a multi-factor investment framework. It outlines adjustments to factor covariance estimates, including Newey–West autocorrelation correction, eigenvalue adjustment, and volatility-bias…
The document proposes screening Chinese stocks for daily price amplitude above one percent, favorable company characteristics, and at least two limit-up events within a 500-day period. It frames the inputs as a mix of volatility, company quality, and market…
Average True Range is described as a measure built by averaging True Range values, conventionally with a simple moving average. The document points out that this choice also carries the usual characteristics of a simple average into the ATR calculation. The…
This market commentary reviews BTC and ETH options conditions ahead of expected ETH ETF trading. It reports falling realized volatility and softer one-month implied volatility, alongside positive carry that may appeal to traders expecting range-bound prices.…
The 20PRExp-3 Expert Advisor is described as an intraday volatility breakout system for five-minute charts. It combines volume filters with the Parabolic SAR indicator and manages exits with a trailing stop. The advisor draws three horizontal reference…
This market commentary links a stronger-than-expected U.S. jobs report and falling unemployment to reduced expectations for a large Federal Reserve rate cut. It discusses upcoming inflation releases as possible catalysts for further rate-market repricing,…
This post describes a historical A-share filter that combines daily price amplitude above 1%, observations from 2021, and a company-type classification. It presents amplitude as a way to identify more volatile stocks and company type as context for…
This market commentary examines Bitcoin and Ether options alongside spot prices, macro events, and regulatory news as of April 23, 2023. It discusses dealer gamma, implied volatility, volatility risk premium, term structure, and trading flows. The author…
The Vortex indicator uses two oscillators to represent positive and negative price movement, in a way similar to the directional lines in the Average Directional Movement Index. It calculates positive movement from the distance between the current high and…
The post outlines an equity screen based on daily price amplitude, a measure labeled shareholder control, and a closing-price threshold. It frames higher amplitude and control readings as ways to find active, volatile stocks, while treating price as a…
This stock screen combines three conditions: daily high-low amplitude above 1% relative to the prior close, a trading date in 2021, and at least one limit-up-like close during the preceding 19 sessions. The document gives example implementations in a Chinese…