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 report develops Chinese equity money-flow signals using tick data to reconstruct order sizes. It argues that conventional fixed cutoffs miss meaningful institutional activity, tests 44 absolute amount thresholds, and finds that lower cutoffs can better…
This code implements a bivariate Gumbel copula for representing dependence between two uniform variables. It provides methods to generate paired samples from independent uniform inputs, calculate the copula density and cumulative distribution, and evaluate a…
This indicator counts bullish and bearish candles between two chart bars. The starting bar is defined relative to the right edge of the chart, while the ending bar lies farther to the left. The example uses bars 0 and 5 to illustrate how the interval is set.…
This screening example selects stocks with turnover between 3% and 12% and positive gains over a stated recent period, capped below 35%. It also refers to stocks that performed well in 2021. The accompanying pseudocode adds implementation filters, including…
This Chinese equity screening rule combines a turnover range of 3% to 12%, a positive product of the day’s price change and large-order net flow, and revenue in 2021 at least 10% above revenue in 2018. The post presents the combination as a way to pair…
This forum post raises a factor-research reproducibility problem: a user reports that returns from reproducing four factors differ substantially from the platform’s published results. The suggested comparison holds the factor and backtest period constant,…
This Chinese-language report summary examines intraday price, volume, and trading characteristics using minute data to build factors and compare their behavior in stocks and futures. The factor families include return-distribution statistics such as realized…
The Silence indicator presents market activity using two plotted measures. Its average line represents aggressiveness as a percentage based on the rate of price change, while a red line represents volatility as a percentage of a corridor value. The document…
The article tests whether Monte Carlo simulations of stochastic differential equations can forecast stock prices, directions, or severe losses. It selects the simulation curve that best fits historical data, then evaluates it on later observations, arguing…
This Chinese-language research summary assesses whether mainland Chinese equities may be nearing a market bottom using three indicators: northbound investor flows, mutual-fund equity exposure, and a turnover-to-volatility measure. It reports that…
This Chinese-equity screening rule selects companies with turnover between 3% and 12%, circulating market value between 5 billion and 10 billion yuan, total market value below 10 billion yuan, and positive reported profits. Turnover is used as a…
This overview explains mean reversion as a tendency for a time series to move back toward a typical level, contrasting it with a random walk and relating the idea to the Ornstein–Uhlenbeck process. It describes the Augmented Dickey-Fuller test as a unit-root…
The document introduces covariance as a measure of how two assets move together, then outlines a matrix-based approach to portfolio risk. It describes collecting observations for several stocks, calculating each series’ mean, subtracting that mean, and using…
The document explains an EUR index indicator built as a weighted geometric combination of EURUSD, EURGBP, EURJPY, EURSEK, and EURCHF. Its fixed coefficients define each pair’s contribution to the index. Two settings control which price is used in the…
This study proposes using the roughly 42-month cycle in year-over-year asset-price series to identify broad market turning points. It treats price behavior as a combination of trend, cycle, and random components, and argues that year-over-year log changes…
This report surveys equity factors associated with trading frictions and outlines how academic anomaly research differs from investment-oriented factor research. Academic studies seek a suitable pricing model and portfolios whose returns the model does not…
This screening proposal combines a daily price-range condition, consistently high return on equity over five years, and an opening price near short-term moving averages. The suggested refinement places the open between the prior ten-day and twenty-day…
This support note investigates why a portfolio log showed a sale on one date while the holding still appeared in positions and no sell signal was visible until the following day. The explanation identifies the test universe’s end-date setting: it extended…
This tutorial explains term frequency–inverse document frequency (TF-IDF), a method for assigning greater weight to words that occur often in one document but less often across a corpus. Term frequency captures within-document prevalence, while inverse…
This indicator displays a trend direction or deal direction generated by the iMFISign indicator, using colored graphical arrows. A right-pointing arrow marks continuation of the existing trend at the selected bar, while a diagonal arrow indicates a trend…
This study explains combinatorially symmetric cross-validation (CSCV) as a way to estimate the probability that a strategy selected as best in a backtest will rank poorly across alternative partitions of that history. The backtest period is divided into…
This study examines a database of 486 patent-derived factors for Chinese listed companies and tests their usefulness in stock selection. It organizes patent information by type, procedural status, metric, and lookback period. Measures include patent counts,…
This report studies whether gaps between consensus forecasts for macroeconomic indicators and their released values help explain subsequent returns across asset classes. It places the signal in an allocation framework that combines long-term strategic…
This document describes a script that measures how much price moves during each hour relative to the spread, using a broker’s own M1 history. For each symbol and hour, it averages the bar ranges as a movement measure and averages recorded spreads. Their…