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.
29,558 documents
This document describes a non-directional automated trading expert advisor that can open trades using several modes, including simultaneous long and short positions, random side selection, alternating sides, swap-aware direction, or one-sided trading. It…
The document describes a long-only S&P 500 trading system built from two simple moving averages. It enters when the two-period average from one day earlier exceeds the current two-period average, the average from ten days earlier exceeds its value from…
The document outlines a Chinese equity screening rule combining a turnover-rate range of 3% to 12%, seven consecutive declining days, and an opening-auction volume condition described as growth of more than 50% versus the prior day. It includes sample…
This document describes a MetaTrader 5 account-level risk manager intended for proprietary trading evaluations. It monitors all positions, regardless of whether an expert advisor or manual trading opened them, and can close positions and remove pending…
This brief forum exchange concerns stop orders in VeighNa 4.3 when running multiple processes or strategies. A user reports that stop orders for exits refresh as expected with one process and one instrument strategy, but stop orders no longer appear after…
This post describes an equity screen combining daily turnover between 3% and 12%, seven consecutive declining sessions, market capitalization below 10 billion yuan, and no losses in the preceding three years. It presents the screen as a way to pair recent…
This note describes a Chinese equity screen using an intraday range above 1%, current volume above 10,000 lots, a higher open, and a 2019 dividend ratio above 25%. It frames the rules as a combination of market activity, liquidity, opening sentiment, and…
This note proposes a short-term Chinese equity screen combining price movement, activity, and fundamental filters. It selects stocks with an intraday range above 1%, at least one daily gain of 10% or more during the prior 25 trading days, and prior-day…
The article discusses Chinese stocks that close at the daily limit and then open sharply lower. It offers two possible explanations: short selling followed by repurchasing at a lower price, and conventional large traders either distributing shares near a…
The document explains how Bitcoin ETFs provide indirect exposure to bitcoin through shares traded on traditional exchanges. It distinguishes spot funds, which hold bitcoin, from futures funds, which track futures contracts, and leveraged futures funds, which…
The article examines a z-score indicator whose automatic lookback selection is described as machine learning. It selects among ten fixed windows using price-trend fit, then trades z-score extremes as mean-reversion signals. The audit identifies problems in…
The author warns that a martingale strategy can show attractive returns during calmer conditions while accumulating exposure that may lead to severe drawdowns or liquidation when volatility rises. The post recounts an anecdotal case in which several live…
This post reports an intermittent runtime error in a live trading script when code attempts to read a position’s price field. The author asks whether the cause could be a null custom field or missing price data, and whether wrapping the position query in a…
Dual Thrust is presented as an intraday trend-following method that sets upper and lower breakout levels around the current session’s opening price. It estimates a lookback range from recent highs, lows, and closes, then scales that range with separate…
This expert advisor uses the Williams Percent Range indicator for contrarian entries: it sells when the indicator is overbought and buys when it is oversold. It was designed for EUR/USD on the one-minute timeframe, with a five-digit price feed, though the…
This MetaTrader utility evaluates whether splitting a position into multiple exits improved the outcome relative to holding the full position until the final exit. It reads closing-deal records from a CSV and reports three measures: value added versus that…
The document surveys indicators intended to help assess potential market tops and bottoms in Bitcoin and Ethereum. It describes moving averages as possible trend and support or resistance references, and compares market capitalization with realized…
The document explains how a calibrated SVI volatility surface can be used to estimate option prices across a range of strikes, then apply the Breeden-Litzenberger relationship. That relationship connects the second strike derivative of call prices to a…
This overview explains how common technical indicators summarize price trends, momentum, volatility, and possible support or resistance. It describes simple and exponential moving averages, RSI, Bollinger Bands, MACD, the Stochastic Oscillator, Fibonacci…
The report studies liquidity, volatility, and return distributions in the CSI 1000 near-month futures contract using minute bars over a specified 2024 sample. It examines log returns across several aggregation windows, compares full-session data with…
The report introduces a Barra-style multi-factor risk and return attribution model for Chinese equities. Its central idea is to explain the returns and risks of many stocks through a smaller set of style factors, making portfolio exposures easier to analyze.…
This note describes a Chinese equity screen that combines amplitude above 1, a prior-day proxy for main-investor control, and return on equity above 15% in each of five consecutive years. The proposed logic aims to pair active price movement and recent…
The document describes a China-market stock screen that selects companies in the metaverse theme, with circulating market capitalization above 10 billion yuan and a 2019 dividend payout ratio above 25%. It defines payout ratio as dividends per share relative…
This BigQuant example attempts to close a stock position after its price falls more than 10% below cost, then exclude that instrument from target holdings until a cooldown expires. It tracks expiration dates in a pool, removes expired entries each day,…