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
RSIV-1 is presented as a modified Relative Strength Index that responds more quickly to changes in direction. It first measures closing price relative to a linear regression of price, then separates rising and falling changes over a rolling period. The…
This document presents a Chinese A-share screening rule combining turnover, daily price change, large-order net flow, and circulating market value. The stated screen requires turnover between 3% and 12%, a negative product of daily change and large-order net…
This document presents a ProRealTime adaptation of a Weis Wave Volume indicator. It classifies price movement into rising and falling waves, accumulates volume while each wave continues, and displays the totals as separate colored histograms. The…
This brief note describes an iTrend indicator variant that uses ADXVMA in its calculation. It highlights ADXVMA’s tendency to remain relatively flat during ranging conditions, which may make the combined indicator less reactive to spurious changes in those…
The document uses three gambling puzzles to explain probability and conditional reasoning. In the first, two fans each believe their team has a better-than-even chance of winning. The proposed wager can appear profitable to both sides and to the bookmaker,…
This document describes a backtest reporting framework that computes metrics over a full record and, optionally, across daily, hourly, or monthly partitions. Metric classes can be instantiated with relevant supplied parameters, then receive the record and a…
This research summary compares five classifiers for predicting stock returns from historical equity factors: multinomial logistic regression, linear support vector machines, random forests, XGBoost, and deep neural networks. It distinguishes the linear…
The Sampler indicator is described as a way to derive training targets from future price changes. One output is an analog value normalized between negative and positive one, representing the balance of upward and downward price movement over a specified…
The document summarizes an analysis of Chinese A-share investor research visits, using public company announcements to identify when institutions visit firms. These events are usually targeted visits involving five or fewer institutions, and announcements…
This note diagnoses a backtest error in BigQuant position-condition functions. Both the opening and closing condition functions attempt to filter a DataFrame using a column named “fantanbili.” The author points out that the prediction output supplied by an…
The document describes a Dynamic Momentum Index (DMI) that adjusts its calculation period as volatility changes. It estimates volatility from price variability, smooths that estimate, and scales a base period accordingly, subject to configurable lower and…
The document outlines a systematic stock-selection model built from valuation, profitability, growth, operating-efficiency, and technical factors. It describes a scoring approach: choose candidate factors, test their predictive usefulness, remove redundant…
This summary examines whether frequent constituent changes weaken returns for a portfolio tracking the CSI 300. It reports a Wilcoxon test finding short-term price effects around index adjustments: additions tended to rise and removals to fall, with the…
The indicator divides the price range over a selected lookback window into horizontal zones and estimates bullish and bearish volume in each zone. It assigns volume to a zone using each bar’s closing price, then classifies the bar as bullish when its close…
This selection rule screens main board stocks for turnover between 3% and 12%, circulating market capitalization between 5 billion and 10 billion yuan, and a positive institutional activity indicator. The document frames the combination as a way to consider…
This document describes a chart utility for inspecting how many bars the Bars function reports for a selected symbol across timeframes, and whether CopyRates can retrieve data for a chosen bar number. It defaults to checking the oldest bar and lets the user…
TriggerLines is presented as a trend indicator with two moving-average-style lines whose colors show direction: green for an upward trend and red for a downward trend. Its settings are a calculation period, a smoothing period, and the applied price used in…
This article describes a data-engineering workflow for turning SEC XBRL companyfacts data into an auditable long-form table. Because a tag can have observations across units, periods, filings, accessions, and frames, the author advises preserving each…
The document summarizes a study of a composite fundamental factor based on the Piotroski framework and its stock-selection value in the Chinese A-share market. It reports that stocks in the highest factor decile outperformed those in the lowest by an average…
The document summarizes a study of a composite fundamental factor based on the Piotroski framework and its stock-selection value in the Chinese A-share market. It reports that stocks in the highest factor decile outperformed those in the lowest by an average…
The document presents asset allocation as a combination of choosing assets and timing the market, with portfolio risk and expected return as the objectives. It explains that a hidden Markov model infers unobservable market states from observable data, then…
This document describes a Chinese equity screen combining three conditions: an amplitude above 1, institutional participation above 30% over a 15-day period, and a price change between -5% and 2.6%. The proposed rationale is to find stocks with substantial…
This code implements a bivariate mixture of Clayton, Frank, and Gumbel copulas, framed as a dependency model for a mixed-copula pairs trading strategy. It transforms each input series to empirical marginal quantiles, then fits the mixture weights and…
This indicator note isolates the trend component produced by Holt's double exponential smoothing, rather than displaying the smoothed price estimate commonly shown on a chart. It presents that component as an oscillator that may help identify trend, and…