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.
16,761 documents
The report presents a Chinese equity timing approach that combines a prior model based on limit-move breadth with a price-volume confirmation model. Its premise is that the two systems capture different long-entry periods: the combined model aims to retain…
The document describes an Expert Advisor that trades signals from the SSL indicator. It checks for a color change when a bar closes and uses that change to form a trade signal. The example setup tests EURUSD on an eight-hour timeframe during 2015. The stated…
This document describes an Expert Advisor that trades when the TriXCandle indicator changes candle color. It generates a signal after a bar closes, so the decision is based on a completed candle rather than an intrabar color change. The advisor depends on a…
This Chinese stock-screening post combines a price-amplitude filter with a measure based on the prior day’s turnover and the ratio of current auction volume to prior volume. It selects stocks where that combined measure falls between 0.5 and 2, and which…
The document describes research that turns intraday stock volume data into factors for stock selection. It presents seven conventional volume distribution factors and six specialized ones. The methods include measuring minute volume through bucket entropy…
This guide explains how unit-root and cointegration tests can help identify mean-reverting combinations of asset prices. It presents the Augmented Dickey–Fuller test as a test of whether price changes depend on the current level, and relates the estimated…
This overview introduces several machine learning approaches used in stock strategies: deep neural networks, convolutional networks, LSTMs, gradient-boosted trees, and a ranking model built around GBDT. It briefly describes what each model can learn or…
The document presents a Chinese equity screening rule that combines trading activity, short-term price location, and a multi-year profitability filter. It selects stocks with turnover between 3% and 12%, an opening price within 5% of the 10-day moving…
This career note offers criteria for evaluating a quantitative trading team. It recommends examining the team’s track record and trading frequency to judge whether apparent performance may reflect skill or luck. It also values scientific judgment, honest…
This MetaTrader expert advisor uses stochastic crossovers for entries: it buys when %K crosses above %D and sells when %K crosses below %D. The stated setup is for an H1 chart, with adjustable stochastic periods and slowing. It assigns each trade a fixed lot…
The article compares three consumer activity measures for publicly traded companies: estimated in-store visits, traffic to company and related websites, and interest in brands measured through search and social activity. It forms growth proxies by comparing…
The document describes an Expert Advisor that trades signals from the CronexChaikin oscillator. A signal is generated when a bar closes and the indicator cloud changes color. It notes that the compiled indicator must be installed for the EA to operate and…
The document describes a chart script that emulates successive ticks to preview how an indicator, expert advisor, or other script behaves across historical data. It supports manual movement of the test point and automatic iteration from a chosen bar toward…
The article adapts an efficiency ratio to a trend strategy for Chinese government bond futures. The ratio compares the absolute net price change over a lookback window with the sum of absolute price changes in that window. Values nearer one indicate a more…
This expert advisor trades EURUSD on four-hour bars using a 14-period RSI threshold of 50. When RSI is below 50, it opens a short position and closes a long; when RSI rises above 50, it opens a long and closes a short. The listed parameters include a stop…
The research note describes factor-mimicking portfolios (FMPs) as an alternative representation of alpha factors, with conversion between the two under a given stock covariance structure. It argues that linearly combining alpha signals corresponds to…
This Expert Advisor uses the SimpleBars trend indicator and generates a signal when a completed bar changes color. It describes the required compiled indicator placement and notes that a supporting trade library can accommodate brokers with nonzero spreads…
This technical screening idea looks for stocks whose price is near at least five moving averages from different time periods. The examples given are the 5-, 10-, 20-, 50-, and 200-day averages. The premise is that multiple averages clustering near the price…
This algorithm allocates among five ETFs representing US stocks, foreign stocks, bonds, real estate, and commodities. It ranks them by trailing 12-month rate of change, selects the three with the strongest momentum, and assigns them equal portfolio weights.…
This strategy ranks a universe of country equity ETFs using Shiller’s cyclically adjusted price-to-earnings ratio (CAPE), which compares inflation-adjusted prices with a ten-year average of inflation-adjusted earnings. At each year-end, it selects the…
This short BigQuant support exchange answers how to obtain an algorithm’s daily returns from backtest performance data. Its method reads the raw performance table, takes the cumulative algorithm period return, converts it to a growth index by adding one, and…
This long-only Dow Jones strategy on an hourly timeframe combines a close crossing above a 600-period moving average with a close above the Ichimoku cloud. It opens a two-contract position only when both entry conditions hold and no position is already open.…
The document outlines a Chinese equity screen combining a positive but capped ten-day price return, circulating market capitalization above a stated threshold, and a minimum measure of price movement. It presents the criteria as a way to find larger stocks…
This document explains a fixed-range volume profile that maps traded volume across price levels over a configurable lookback window. It divides the high-to-low range into channels, estimates each candle’s volume allocation across its body and wicks, and…