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 describes a chart indicator that measures each candle’s high-to-low range and prints the size in points or pips. It uses separate colors for bullish and bearish candles, and can assign colors by weekday so traders can compare daily patterns…
The document compares two ways to estimate a bond fund’s duration. A holdings-based estimate builds a proxy portfolio from the largest positions disclosed in periodic reports and calculates its weighted duration. A NAV-based estimate regresses the fund’s net…
The document summarizes a slack-based manager efficiency index (SMEI) for evaluating mutual fund managers as a whole rather than judging each fund in isolation. The data envelopment analysis framework treats risk, portfolio turnover, and a combined…
This document outlines a China A-share stock selection strategy using market, size, and book-to-market factors. It starts with constituents of a benchmark index, filters out stocks that are suspended or marked as special treatment, and uses a historical…
The document presents DeMarker as a bounded technical indicator for identifying potential overbought and oversold conditions, with reference levels of 70 and 30. It describes the calculation using changes in consecutive highs and lows: upward high changes…
A band-pass filter is described as a way to retain price movements within a chosen frequency range while removing slower trends and faster noise. The range it allows through is its bandwidth, which can be selected to correspond to a desired swing period. The…
The document presents a custom calculation of the Fractal Dimension Index (FDI), an indicator intended to characterize trend strength from price variation. It describes using a rolling window of 30 bars, normalizing historical custom closing prices within…
This class template describes a bivariate mixed copula as a weighted combination of component copulas. It calculates the mixture density, joint cumulative probability, and conditional probability by evaluating each component and summing according to its…
This forum exchange concerns missing hourly bars created by aggregating minute data for a futures contract. A user reports that the stored hourly series is incomplete on a particular date, despite the underlying minute records appearing intact, and later…
This document presents an implementation of John Ehlers’ Sinewave indicator from his 1999 Market Mode Strategies description. It detrends midpoint price, derives in-phase and quadrature components, estimates phase and its change, and uses accumulated phase…
This document describes an indicator that identifies three pivot points in either an upward or downward sequence, then draws a Fibonacci expansion object from those points. It scans historical bars for local highs and lows using comparisons with nearby bars.…
This note outlines a basic toolkit for constructing low-frequency factors from price and trading data. For each selected input, it proposes calculating rolling means, sums, standard deviations, and skewness over several lookback windows, ranging from short…
The document raises a question about reproducing a 60-day moving-average comparison in a Chinese quantitative research platform. The user’s feature flags observations when a close-price series is below a 60-day mean calculated from prices divided by an…
This Chinese-language post proposes screening A-share stocks using three conditions: RSI below 65, seven consecutive sessions in which the close is below the open, and a turnover-adjusted ratio involving the current opening-auction volume and the prior day’s…
This research summary describes adapting daily price-volume alpha research to intraday high-frequency data for stock selection. It examines relationships between price and volume, including ordinary and unusual activity, and reports constructing three…
The document describes an indicator that evaluates a grid of Supertrend settings across different ATR lengths and multipliers. Each configuration is treated as an always-in-market system: trend changes close the current position and open one in the opposite…
This brief Chinese-language forum post reports a data-quality issue discovered while debugging backtests: some runs returned no results, and inspection showed that certain factors were empty in many cases. The author notes that noticing the missing values…
This technical note introduces the Money Flow Index (MFI) and outlines its calculation from high, low, close, and volume data over a chosen lookback period. It first computes typical price as the average of the day's high, low, and close. Volume-weighted…
This stock-selection rule screens main-board shares for a daily high-to-low range of at least one price unit, return on equity above 15% in each of the prior five years, and a daily gain greater than 1%. It combines a price-movement condition with a…
This stock-selection proposal filters companies classified in the metaverse industry by a volume ratio between 1.5 and 6 and a weekly MACD reading above zero. Its rationale is to combine relative trading activity with a positive longer-term momentum signal.…
This post outlines a Chinese stock-screening idea that orders shares by “capital intensity” and keeps those with positive institutional activity, with 2021 specified as the target year. It defines capital intensity as trading volume relative to free float…
This excerpt describes a problem while building a five-minute bar series from minute bars or ticks with VeighNa’s BarGenerator and storing the results in an ArrayManager. The author reports that keeping direct edits to arrays such as close and high arrays…
The document describes an order-flow indicator that monitors the rate and density of market data updates rather than relying only on cumulative volume. Its proposed method compares incoming tick activity with a moving baseline and its standard deviation,…
This essay argues that experienced investors may communicate in a direct, plainspoken way because they have worked through complexity and learned to focus on what they understand. It frames simplicity as the result of discernment rather than lack of…