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 document outlines an automated strategy that enters long or short positions when moving averages meet a set of crossover conditions. The long setup is described as a golden cross, and the short setup as a dead cross. Each setup uses comparisons across…
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…
The document argues that trading agents need controls after they generate a signal: trade permissions, deterministic risk checks, execution controls, and records of their decisions. It describes a setup that separates research agents from agents allowed to…
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…
This example shows how to run a historical backtest of a cryptocurrency portfolio using a drift rebalancer and Alpaca’s backtesting data source. The described method compares holdings with target weights and trades assets that have drifted from those…
This research summary describes a multi-factor investment workflow that combines alpha forecasts, a risk model, transaction-cost estimates, portfolio optimization, and performance attribution. It argues that simple score-based selection or sector and…
This brief Chinese-language support note explains a prediction-data problem traced to missing values in a rolling price-range factor. The example factor compares a short moving average of the high-low range with a longer moving average. According to the…
The document explains how implied volatility (IV) surfaces organized by option moneyness can help identify relative pricing anomalies. A floating surface compares options at their actual listed expirations, while a constant surface interpolates or…
The report asks whether exposure to macroeconomic policy uncertainty is priced in Chinese A-shares. It describes a news-based economic policy uncertainty index and estimates each stock’s EPU beta through time-series regression. Stocks are sorted into five…
This study examines whether price-to-earnings ratios, cyclically adjusted P/E (CAPE), and the bond-stock earnings yield measure (BSEYD) can signal major downturns in the Shanghai and Shenzhen composite indexes. It also describes return features in the two…
This article applies the stock-to-flow ratio to Bitcoin as a scarcity-based valuation approach. It defines stock as the existing supply and flow as new annual issuance, then estimates Bitcoin’s annual production from the change in supply over a year. Using…
This guide explains how to organize data for VeighNa’s AlphaLab research workflow. It describes the roles of its directories, daily and minute bar files, index constituent records, and contract settings, then shows how preparation notebooks supply data…
The document describes an automated U.S. equities strategy that reconstructs a member of Congress’s reported stock portfolio from annual disclosures and subsequent transaction filings. A research agent combines the year-end holdings with later reported…
This discussion examines why published quantitative findings and attractive backtests may fail to reproduce or translate into tradable returns. It explains how publication incentives, selective reporting, repeated testing, flexible data choices, and…
The document describes a problem encountered when using an initialization module to set a day counter and prevent duplicate daily trades. In backtests, the counter reportedly advanced across several days, but in simulated trading the same first-day trade ran…
This short forum post asks how to add market-timing conditions to a strategy backtest. The author has seen strategies reduce or alter exposure after several consecutive market declines and is interested in alternatives based on whether the Shanghai Composite…
This brief introductory response defines quantitative investing as finding patterns in historical data, translating them into a model and strategy, and using software to execute trades according to the resulting rules. It highlights discipline as a benefit:…
This tutorial demonstrates replaying Binance level-two order book snapshots and updates in a backtest engine. It describes rebuilding the book from timestamped deltas, then checking the best bid and ask sizes after each update. When the larger side exceeds a…
This forum exchange describes a fix for a BigQuant data query that failed with a missing date key while combining two data sources. The suggested query explicitly selects the date and instrument fields along with technical factor fields. It also filters…
A user reports a discrepancy between a trade’s recorded execution price and the stock’s historical prices on the same date after adjustment for corporate actions. The example contrasts a reported buy price with lower adjusted open and close values. The…
This document explains how to remove ChiNext stocks from both the training and test portions of a visual AI stock-selection strategy on BigQuant. It instructs users to insert a shared “filter market” module before the missing-data handling module in each…
This document introduces an updated version of a DSL MACD indicator for MetaTrader 5. It says the revision refreshes the code for newer platform builds, aims to make the indicator suitable for use in Expert Advisors, and adds display options. Its main…
This documentation page catalogs practical Python examples for algorithmic trading, including buy-and-hold, momentum, bracket orders, historical data retrieval, quotes, technical indicators, position handling, persistent strategy state, and logging. It…