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.
12,303 documents
This document describes an A-share stock screen combining three conditions: prior-day price amplitude above 1%, appearance on the previous day’s trading leaderboard, and a nonempty name for an outstanding convertible bond. It frames the combination as a way…
This note outlines a Chinese equity screen that excludes Beijing-listed A-shares, selects stocks with daily amplitude above 1%, and requires more than one year since listing. It argues that the listing-age filter can reduce exposure to newly listed companies…
The Envelope-ATR indicator builds a central line from a 21-period weighted average of closing prices. It sets the upper band from a weighted average of highs plus 2.618 times a 14-period Average True Range, and the lower band from a weighted average of lows…
Timeframe Flow is a trend indicator concept that displays user-selected higher-timeframe candles repeatedly across a lower-timeframe chart. The examples describe viewing four-hour, twelve-hour, or daily candles on an hourly chart, and multi-day candles on a…
The interview describes crypto options market making through Laura Vidiella’s experiences at LedgerX, a regulated venue offering fully collateralized contracts, and Paradigm, where institutions trade options in blocks with market makers. It outlines how…
This indicator identifies swing pivots using a configurable left and right bar window, with pivots based either on candle wicks or bodies. It connects descending pivot highs and ascending pivot lows, projects those lines forward, and signals a bullish break…
This Chinese stock screen admits candidates when daily amplitude exceeds 1%, at least one limit-up occurred during the prior 25 days, and weekly MACD is above zero. The rationale is to combine elevated price movement, evidence of recent demand, and a…
This stock-selection screen combines three daily conditions: an amplitude above 1%, a daily decline between 4% and 5%, and turnover between 2% and 9%. The document frames the bounded decline as a possible reversal setup, amplitude as a measure of price…
This note outlines a Chinese equity screen combining a circulating market capitalization above 10 billion yuan, a daily range filter, and an opening price within two percent of the 10-day moving average. The intended idea is to focus on larger companies…
This Chinese stock screen combines three filters: daily price amplitude above a threshold, observations from 2021, and a 2019 dividend payout ratio above a stated level. The article interprets larger daily ranges as greater price movement and uses the…
The document describes a simple stock-selection screen: identify shares with a daily high-to-low range above one percent during 2021, then require the close to exceed the prior session’s low. It interprets the range threshold as a way to focus on more…
AtrRange is described as an indicator for identifying periods of unusually low volatility. For manual trading, the author suggests watching its colored marks on an hourly chart and placing breakout orders above and below the current range. The idea is that a…
This document describes a trading-range forecasting tool intended for monthly candlestick charts, primarily for forex pairs. It estimates the likelihood that a chosen pip range will be reached using historical trading ranges from the prior two years and a…
This February 2024 market commentary links Federal Reserve expectations and scheduled US economic releases with crypto prices, options volatility, and dealer positioning. It reviews concerns about persistent inflation, notes that personal consumption…
True MFI is presented as an alternative to the standard Money Flow Index, motivated by the idea that increased trading activity can precede price moves. The description argues that conventional MFI relies on price in a way that makes it resemble RSI, while…
The document describes a Chinese equity screen combining daily price range, the opening price’s distance from the 10-day moving average, and a history of limit-up sessions. Its example selects stocks with an amplitude above 1, an open within 5% of the moving…
This Chinese-language report summarizes two overseas research papers. The first decomposes the book-to-market ratio into a market-to-intrinsic-value component and an intrinsic-value-to-book component, then examines which part relates to valuation-strategy…
The i-VaR95 indicator presents historical volatility and a way to estimate risk costs at a chosen probability level. It describes three volatility approaches: a simple equally weighted moving average, an exponentially weighted moving average, and a high-low…
The report outlines a fixed-income-plus approach that reserves some capital for options margin and option buying strategies, while investing most remaining funds in government bonds. It combines directional index exposure, short volatility, and event-driven…
This stock-selection note combines three filters: amplitude above 1, at least one daily gain of 10% or more in the previous 25 trading days, and actual turnover on the prior day between 3% and 28%. The author frames these conditions as a way to find…
This Chinese stock-screening note describes selecting shares with an amplitude above 1 and a ratio of yesterday’s turnover rate multiplied by today’s auction volume divided by yesterday’s volume between 0.5 and 2. It also requires recent trading data, with…
This indicator description starts from the Dynamic Momentum Index, an RSI-like measure intended to identify overbought and oversold conditions. The standard concept adapts its lookback period as volatility changes, unlike RSI’s fixed period. This version…
The document summarizes research on rapid fluctuations in US equity bid and ask quotes, their cost to liquidity takers, and possible causes. It measures short-horizon quote variability with variance ratios, using millisecond quote data for 150 listed…
This market commentary connects falling U.S. inflation readings and a surprise credit downgrade with changing risk appetite across traditional and crypto markets. It describes stronger altcoin performance as Bitcoin dominance eased, and highlights bullish…