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
The document introduces selection sort and demonstrates sorting trading-platform deal records by symbol. The algorithm repeatedly finds the smallest remaining item and places it in the next position, here using a symbol array as the sort key while keeping…
This code utility builds pairwise dependence matrices from columns in a feature DataFrame. It supports information-based measures, distance correlation, rank correlation, GPR and GNPR distances, and optimal-transport dependence. Parameters let users…
The article describes a Chinese equity screening rule for Shenzhen Main Board stocks. It selects companies with turnover between 3% and 12%, a 2021 listing year, price-to-earnings ratios from 0 to 29.01, and price-to-book ratios from 0 to 3.11. The rationale…
This indicator demonstrates smoothing a moving average by transforming its time series into a spectrum and suppressing frequencies above a chosen cutoff. The document presents the approach as a way to smooth the output of other indicators as well. Its stated…
Unity derives comparable values for currencies and metals from the quoted exchange rates between them. In a simple example with a currency pair and gold, it treats each asset as having an underlying value, then adds a constraint that the sum of squared…
This brief note discusses the Detrended Synthetic Price oscillator, attributed to John Ehlers. It observes that one common approach uses fixed threshold levels, but those thresholds may need adjustment for each instrument, timeframe, and indicator…
This stock-selection outline filters for Chinese equities with circulating market capitalization above a stated threshold, then ranks eligible names by capital strength, using measures such as trading value or turnover as examples. Its proposed…
This indicator estimates how a symbol’s intraday range varies by hour and displays the results beside price with shaded Asian, London, and New York session windows. It groups historical bar ranges by the hour each bar closes, averages them across the…
The article describes a framework for identifying crowded trading and distinguishing a bubble’s buildup from its unwinding. It estimates asset clustering from covariance and principal components, using the concentration of sector returns in important…
This report examines shifts in China’s A-share market and argues that both industry fundamentals and market style help explain relative sector returns. It describes a stepwise regression that attributes sector performance to beta, company size, cyclicality,…
This research note evaluates 31 quality factors for stock selection in Hong Kong equities and compares their effectiveness with results in mainland A-shares. Twelve factors are reported as notably effective, particularly measures tied to operating cash flow…
The document describes a modified exponential moving average intended to change how quickly the average responds while adding implicit smoothing. EMA is presented as a first-order filter whose weights decline exponentially with age, and whose recursive…
This overview introduces statistical learning methods for prediction and data analysis. It covers linear and logistic regression, linear and quadratic discriminant analysis, resampling, predictor selection, regularization, dimension reduction, nonlinear…
This brief indicator description presents Kalman-filter velocity as a smoothed measure of price momentum. Its multi-timeframe version adds three higher-timeframe views beyond the standard chart intervals available in MetaTrader 5: the first, second, and…
The document describes a stock screen combining a minimum daily amplitude, MACD above zero, and a bounded ratio involving the previous day’s turnover rate, the current auction’s buy volume, and the prior day’s volume. It presents the screen as a way to find…
This research summary examines how earnings forecasts can improve equity valuation and stock selection in China’s A-share market. It argues that historical return on equity alone has limited selection value there, while substituting forecast earnings for…
This research note describes extending mean-variance portfolio allocation with higher-moment information, especially co-skewness and co-kurtosis among assets. Mean and covariance alone can miss differences in joint tail behavior: portfolios with similar…
This indicator groups closing prices from a user-selected lookback window into equal-width intervals and plots their frequency as a histogram. Users choose the sample count and number of bins; the example settings use 150 observations divided into 30…
This indicator example smooths the OsMA time series by filtering higher-order harmonics in its spectrum. The description presents the approach as a way to smooth indicator values while introducing very little delay, and says that the same method can be…
The document describes an indicator that compares closing prices with prices from a chosen lag over a rolling window, using Pearson correlation to identify recurring patterns. When correlation clears a user-set threshold, it applies linear regression to…
This submission describes a composite stock factor combining three ranked measures: three-year net profit growth, the inverse of summed turnover over five periods, and the inverse of five-period trading-amount variability. The intended profile is high growth…
The document reviews research on whether investor sentiment helps explain stock return anomalies or appears predictive because of spurious regression. Persistent predictors can seem to forecast returns in finite samples when expected returns also vary over…
This document explains a linear regression line fitted to closing prices over a sequence of time periods. The line has an intercept and a slope: the intercept represents the fitted starting level, while the slope describes how the fitted value changes as the…
This research summary explains a dynamic firm model in which companies can expand or shrink their operating scale, but face adjustment costs. Expansion and contraction options alter exposure to productivity shocks: the ability to reduce scale can buffer…