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 study describes a grouped-factor approach to combining quality, growth, and value signals for A-share stock selection. A quality composite based on enterprise value and return on equity ranks stocks and defines a filtered universe for further selection.…
The document describes a stock screen combining daily price range, exchange code, and circulating market value. It selects stocks whose codes begin with 60, whose high-to-low range exceeds 1% of the opening price, and whose circulating market value meets a…
The post raises a data-timing concern when using iWencai in quantitative research. Its author says that get_iwencai() does not introduce future data, while some uses of query_iwencai() may do so. The practical takeaway is to check whether a query relies only…
This trading system enters when a bar closes after a channel breakout, using signals from an external indicator. It can also close an open position after a preset holding period, with time-based exits enabled by default and the holding limit specified in…
The note explains the low-lag trend line (LLT) as a timing indicator derived from signal processing. It frames moving averages as low-pass filters: they smooth short-term price fluctuations while retaining slower trend movement. LLT applies a second-order…
This Chinese-language knowledge post explains a mismatch in a sample trailing-stop calculation. The code obtains a holding duration by subtracting the position’s last sale date from the current date, which yields calendar days. It then passes that duration…
The post asks whether an ATR-RSI strategy should reset its intratrade high after a stop order closes a position. The displayed logic updates the stored high to the greater of its previous value and the current bar’s high, then calculates a long exit level as…
The document describes a utility for saving the historical OHLCV data available on a MetaTrader 5 chart to a CSV file in the platform’s common data directory. It is presented as an alternative when the standard Symbols request tool fails to return all…
The Dynamic Zone Elasticity indicator is an oscillator intended to signal short-term price direction, especially for scalping or automated trading. It plots a smoothed signal line alongside adaptive upper and lower zones and a midpoint. The lookback period…
This Backtrader example shows a simple strategy that counts changes in calendar date and alternates between opening and closing a position when its counter reaches two. Orders use the close execution type, so the intended fill is at a bar’s closing price.…
This Python-style example outlines a state-based trading loop driven by fast and slow exponential moving average crossovers. While flat, it checks an entry crossover and opens a long position for an upward cross or a short position for a downward cross,…
This document describes a charting tool that constructs Renko charts using a custom symbol created automatically by an expert advisor. The chart is built from tick history and can include tick volume and real volume when those data are available. Users can…
This Expert Advisor generates signals from the Derivative indicator crossing its zero level. It evaluates the signal when a bar closes, triggering on a move through zero in either direction. The description also notes that the advisor depends on a compiled…
The document reports a question about inconsistent price bases in a Chinese stock strategy backtest. A user compares adjusted closing prices retrieved from a stock factor data table with a position cost price returned after placing an order. The former is…
The analyzer evaluates closed-trade results from a CSV containing a date and profit for each trade. It reports how much gross profit came from the largest winners at several cutoffs, and calculates the share of net profit attributable to the top N trades. A…
This engineering retrospective reviews Hummingbot’s 2023 work on exchange connectivity, code maintenance, strategy development, and external modules. Connector updates included refreshed gold and silver integrations with market-order support, and…
This example sets up a backtest for a Bitcoin to USDT market on Binance using level two market-by-price order book snapshots and updates. It configures a cash account with BTC and USDT balances, a maker taker fee model, and an order book imbalance strategy.…
The report evaluates ten equity valuation measures, including earnings, book, sales, cash flow, dividend, enterprise value, and growth based ratios. It first describes how factor levels vary across industries and company sizes, and how those relationships…
The article describes an indicator that measures weekend gaps using chart prices at the CME Friday close and Sunday reopen. It tracks unfilled gaps until price revisits the Friday close, reports fill timing and adverse movement, and tests a fade trade…
This document describes an Expert Advisor that uses signals from the Trigger Line indicator. A signal is formed at bar close when the indicator’s main and signal lines cross and the indicator cloud changes color. The EA depends on a separately compiled…
This document describes a MetaTrader Expert Advisor that uses Bollinger Bands signals and trades on new bars. A buy signal closes open sell positions, while a sell signal closes open buy positions. Version 2 adds configurable stop loss, take profit, trailing…
This post outlines a Chinese equity screen using three conditions: a price-range measure above a threshold, a dividend yield threshold tied to the stated 2019 dividend criterion, and a closing price above the prior day’s low. It presents these filters as a…
This Chinese stock-screening post proposes selecting shares with a price range threshold, positive large-order net volume for at least three consecutive days, and a limit-up event within the previous month. The stated rationale is to combine trading activity…
This stock screen selects shares with turnover between the stated bounds, three consecutive declining sessions, and a condition that scales yesterday’s turnover by the ratio of today’s auction volume to yesterday’s volume. The scaled value must remain within…