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 document explains a trend-regime indicator that applies a one-sided cumulative sum test to price deviations from a Hull moving average. Separate accumulators track persistent positive and negative residuals; a drift allowance suppresses small…
The document describes an indicator that combines the Jurik Moving Average (JMA) with a standard-deviation-based display of trend strength. It places colored dots on the moving average when the standard deviation falls within a configurable band, with dot…
The article answers practical questions about machine-learning stock strategies. It says the platform separates training and test periods by time, with the test interval serving as the backtest, and describes a setup without a separate validation set. It…
This indicator applies a selected RSI calculation to prices filtered with an adaptive T3 average. It offers seven RSI variants, including Cuttler’s, Ehlers’ smoothed, Harris’, Rapid RSI, RSX, Slow RSI, and a standard RSI. The T3 calculation can use either…
Extent is described as a histogram showing the difference between a selected price and a moving average. Its configuration includes the moving-average period and type, the price used to calculate the average, and the price used for comparison. The listed…
This monitoring framework tracks valuation measures and fund holdings across major Chinese equity indexes, industry groups, and selected large companies. It covers price-to-earnings, growth-adjusted valuation, price-to-book, dividend yields, and fund…
This research note studies value-based stock selection in Hong Kong equities, using the Hang Seng Composite as its universe. Because Hong Kong main-board companies are not required to publish quarterly reports and may change their fiscal year-end, the…
The document presents an experimental moving-average formula built from simple moving averages at three multiples of a base period. It first describes one arrangement of the three averages, then reverses the sign of the middle term. The author says the…
The discussion asks how to detect whether a value, such as a closing price or trading volume, has risen or fallen continuously over a chosen number of days. It points to a pair of time-series functions: one counts consecutive rises, and a corresponding…
This document describes a price envelope built around a smoothed estimate of the underlying trend. It uses an endpoint Nadaraya-Watson estimator with kernel weights to calculate the centerline, then estimates deviations from that line using an exponentially…
This Chinese-language post presents an equity screening idea combining amplitude above 1, a rounded price pattern, market capitalization below 10 billion yuan, and no recent losses. It explains the intended rationale: price movement may offer short-term…
This stock screen selects Chinese A-shares listed in 2021, excludes Beijing-listed shares, and requires turnover to fall between 3% and 12%. The article presents the rule as a basic quantitative selection filter and includes references to implementing it in…
This Chinese stock-selection rule combines amplitude above one, successively rising bottom levels, and a MACD reading below zero from two sessions earlier. The intended setup uses rising lows as a sign of improving price structure while retaining a lagged…
This report summary examines Chinese public mutual funds around the second quarter of 2018, focusing on actively managed equity funds. It describes falling scale and share counts for active equity products, differences in reported returns across fund types,…
This report summary examines Chinese public mutual funds around the second quarter of 2018, focusing on actively managed equity funds. It describes falling scale and share counts for active equity products, differences in reported returns across fund types,…
The document describes a candlestick fitness rule intended for use in coding high-frequency trading algorithms based on population optimization. It labels a candle unfit when its body does not meet a default proportion of the relevant upper or lower wick…
The document introduces the Commodity Channel Index (CCI), a technical indicator calculated from high, low, and close prices. It first derives typical price as the average of those three values, then compares typical price with its moving average and scales…
This indicator description explains how to construct synthetic Japanese candlesticks over a period selected in the indicator settings. It recalculates on each bar and applies price-series averaging during intermediate calculations, producing a transformed…
The document describes a modified MACD oscillator built from the difference between configurable fast and slow moving averages. It places upper and lower bands around the recent average of that difference, with band width determined by a standard deviation…
The document explains a Brinson-style framework for decomposing portfolio returns into a benchmark baseline, the combined effects of active asset allocation and the benchmark, the combined effects of security selection and the benchmark, and the actual…
This indicator finds ABC price structures across several nested swing scales. It builds a base zigzag, then repeatedly filters its pivots to form higher levels, and searches each level for a three-pivot pattern where BC retraces 61.8% to 78.6% of AB.…
The document describes a custom MetaTrader 5 Strategy Tester criterion for ranking strategies. It divides the test period into an earlier in-sample segment and a later out-of-sample segment, then calculates return, drawdown, risk-adjusted performance, trade…
This article presents a checklist for judging whether a quantitative strategy is understandable and whether its reported performance reveals its risks. It recommends examining the strategy’s economic or behavioral rationale, the explanation for position…
This project outlines a mean-reversion pairs strategy for Chinese futures. It screens candidate contract pairs for cointegration with an Augmented Dickey-Fuller test, estimates a changing hedge ratio with a Kalman filter, and measures spread behavior with…