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
This study summary describes a text-based factor intended to capture post-earnings-announcement drift in Chinese equities. It uses analyst report titles and abstracts about earnings forecasts, converts selected words into frequency features, and trains…
This forum exchange concerns tick-level backtesting of a spread between a cash bond instrument and a futures contract. The questioner has externally downloaded tick data in CSV form because the data source lacks cash-bond ticks, and asks how to import and…
This report develops indicators from the gap between actual Chinese economic releases and market forecasts. It groups indicators into growth, liquidity, and inflation categories, assigns expected effects on domestic equities, bonds, and commodities, and…
This research Expert Advisor describes a short-only EURUSD reversal strategy. It looks for an RSI overbought exhaustion signal during an allowed trading session, then checks whether the spread is small enough relative to current volatility before entering.…
This brief description presents an Expert Advisor based on the NRTR component of an Adaptive Renko indicator. It generates a trade signal when a histogram changes direction at a bar close. The document refers to a test on the EURAUD currency pair using…
This essay distinguishes a deliberately designed trading system from the behavior a trader repeatedly enacts in practice. It argues that recurring habits such as holding losing positions, hesitating to enter, or trading too frequently form a stable…
The document describes an Expert Advisor that trades when the XPeriodCandle indicator changes its displayed trend direction. It waits for a bar to close, then opens a trade when the indicator’s candle color signals a change. This makes the entry rule depend…
This tutorial demonstrates a config-driven foreign-exchange backtest using a Parquet data catalog and a simulated venue. It loads quote ticks from either local Histdata files or a sample dataset, sorts them by timestamp, stores the instrument and ticks in…
This research summary examines whether intraday stock price behavior predicts future returns. It uses five-minute data and calculates volatility, skewness, and kurtosis from returns residualized with a Fama-French regression to reduce market and style…
A VeighNa community exchange explains why CTA strategies such as moving-average and ATR-RSI examples may show a flat return curve near the start of a backtest. The initial historical observations are used to initialize the strategy’s ArrayManager, so the…
This document presents a long-only strategy that compares the daily close with a price from roughly six months earlier. It enters when the close crosses above a level 44% higher than that reference price, then exits after about one year, described as…
This document explains a library approach for handling tick events from multiple symbols in an MT5 Expert Advisor. Since the platform's NewTick event is tied to the chart symbol running the advisor, the library provides a multisymbol callback that reports…
This futures example computes daily pivot, support, and resistance levels from the prior session's high, low, and close. It trades a copper contract by entering long when price falls below first support or short when it rises above first resistance.…
This article proposes a Chinese stock screen requiring price amplitude above 1, three technical indicators to produce bullish crosses, and an opening auction return between −2% and 5%. It frames the opening move as an additional filter on stocks selected by…
This document describes an expert advisor that compares price changes across two adjacent historical windows. It calculates the start-to-end price difference within each window, compares the resulting values, and uses their relative size to predict the…
The script outlines an intraday foreign-exchange breakout strategy. It records prices during the hour before London opens, uses that period’s high and low as thresholds, and looks for a break during the first 30 minutes of the London session. It permits a…
This brief example describes an expert advisor that opens an order, modifies it to set stop-loss and take-profit levels, and closes the position after a fixed holding interval. The stated example uses a 30-second delay between opening and closing. It…
This research summary describes stock-selection factors derived from tick-level trades. Trades are aggregated to minute intervals to estimate active buy and active sell amounts, which are used to form active-buy share and active-buy intensity measures. It…
This document describes a portfolio allocation overlay that uses rolling economic drawdown as a control target. It adjusts allocation weights using drawdown measured over a moving window while accounting for the time value of money, aiming to reflect…
The document turns a past trading approach into a simple stock selection and exit rule. It selects the ten stocks with the highest dividend yields over the previous three years, buys them immediately, and sells one month after a dividend payment if the yield…
This post outlines an equity screening rule that ranks stocks by capital-flow strength, favors a short moving average above a longer one, and requires repeated limit-up sessions within a recent window. It presents turnover and volume ratio as possible ways…
This project overview describes a high-frequency backtesting framework built around tick-level market replay. It reconstructs order books from Level-2 or Level-3 data and models feed and order latency, along with the trader’s queue position, to make…
This document outlines a MetaTrader expert advisor built around a zero-lag momentum indicator. Its stated trade conditions require the fast and slow trends to align and the fast trend to change direction. The setup uses a higher timeframe to display the…
This document outlines an automated system that uses a Martingale position-sizing approach. It can restrict the hours when new positions are opened, while continuing to manage open positions and close the full set when their combined profit reaches a…