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 indicator guide explains how logarithmic transformations can express price behavior in relative rather than absolute terms. It distinguishes a log price, calculated as the natural logarithm of the close, from log returns, calculated as the difference…
The document discusses how to judge excess returns in an index enhancement strategy. It argues that alpha should be evaluated by its persistence and consistency against a benchmark, rather than by the size of gains in a brief period. It describes monthly…
This brief BigQuant support exchange concerns an error triggered after a user changed features in a beginner template. The response identifies a formatting issue in the feature list: comments or notes should be placed on separate lines rather than appended…
This indicator identifies Bat, Gartley, Crab, Butterfly, AB=CD, and Three Drives formations by evaluating the last five confirmed ZigZag pivots as an XABCD sequence. It calculates retracement and extension ratios between the swings, then compares them with…
The post proposes a stock-selection screen based on three conditions: RSI below 65, seven consecutive declining sessions, and previous-day turnover above 8%. It frames RSI and the run of down sessions as technical filters, with turnover as a measure of…
The document uses national input-output tables to map intermediate flows between industries and represent those relationships as networks. It compares China across several historical snapshots with the United States in a later snapshot, using network…
The post asks how to calculate, for each instrument, the rolling five-day count of sessions when a stock value exceeds an index value, then assign those counts back to the original dataframe. The author reports that the grouped calculation produces the…
The document describes a dual version of the Average Directional Index (ADX). It computes directional movement and average true range, derives positive and negative directional indicators, then presents a smoothed ADX alongside a faster unsmoothed reading.…
This equity factor study measures buying and selling pressure through the amount of time a stock spends at different positions within its recent price range. It first normalizes price between the interval’s high and low to obtain relative price position…
The report presents a framework for dynamically adjusting multi-factor portfolio weights by forecasting factor returns and their covariance. It replaces unconditional expectations with conditional expectations based on external market variables, allowing…
The document describes adding a custom Rank Information Coefficient module to a stock-ranking strategy. The module reports average RankIC separately for the training set and the test set, providing a way to assess how well a model’s rankings align with…
Kaufman’s Adaptive Moving Average (KAMA) adjusts its smoothing in response to the market’s directional efficiency. The described calculation compares the absolute price change over a lookback interval with the sum of absolute one-step price changes over that…
This report summary examines whether Chinese equity index returns and industry performance vary by lunar calendar month. It analyzes eight major mainland indices using historical monthly average returns and regression tests with autocorrelation-consistent…
This study tests whether machine learning can explain stock returns left unexplained by a conventional linear equity factor model. It uses 22 style factor exposures to predict standardized stock specific returns, then evaluates boosted trees, random forests,…
This research summary examines why firms repurchase shares when short sellers increase their positions. It contrasts managerial myopia, in which buybacks protect near-term prices or earnings at a cost to long-term owners, with a private-information…
This stock selection proposal combines three filters: daily price range, five consecutive years of return on equity above 15%, and large-order net volume above 0.05 for at least three days. It then suggests smoothing that flow measure and requiring its…
This indicator highlights candlesticks whose price changes exceed user-set thresholds, showing both percentage and broker-point values. It can measure change from the bar's open to close or from the previous close to the current close, and lets the user…
This code example demonstrates a data workflow for a FinRL stock-trading project. It fetches a single stock’s price history through both yfinance and FinRL’s Yahoo downloader, then downloads a Dow 30 universe over configured training and trading periods. A…
The document describes a framework for evaluating equity factors and combining selected factors into a portfolio. It estimates factor returns with periodic cross-sectional robust regressions, measures the relationship between factor exposures and subsequent…
The document presents a directional rule for identifying engulfing candlestick patterns using candle bodies rather than the full high-low ranges. A bullish signal requires the prior candle to close below its open, the current candle to close above its open,…
The document explains the USDX as a measure of the U.S. dollar against a six-currency basket: the euro, yen, pound sterling, Canadian dollar, Swedish krona, and Swiss franc. It describes the index as a weighted geometric calculation and gives the basket…
The document explains Value at Risk (VaR) as a loss threshold for a portfolio over a specified period at a chosen confidence level. It outlines common uses, including setting risk limits for individual strategies and portfolios, comparing risk across…
The document explains an extended Moving Slope Rate of Change indicator. The basic MSROC estimates price slope from a least-squares line rather than using the direct price change of conventional rate of change. The text says this smoothing reduces false…
The document describes an indicator intended to estimate a slower-changing reference value for the market than the observed price or a moving average. Its direction is linked to the relationship between price and the indicator: it rises when price is above…