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 short description explains the intuition behind John Ehlers’ Instantaneous Trend Line. It presents the indicator as a smoothing average designed to remove the dominant market cycle. The key idea is to average observations across a period matching that…
This post describes a Chinese equities screening rule using three conditions: turnover between 3% and 12%, a positive ten-day return below 35%, and a 9:25 a.m. price gain below 6%. The stated aim is to select stocks with activity and recent gains while…
This Chinese research note explores whether stock selection models built within individual industries can add information to a broad market-wide fundamental alpha model. The authors argue that industry models make it easier to use sector-specific factors and…
This document describes a cross-sectional equity reversal factor that separates recent returns according to trading activity. For each stock, it looks back over 20 sessions, calculates average transaction value per trade each day, ranks the sessions by that…
The document describes an RSI experiment that changes the averaging method used to calculate gains and losses. Wilder’s original smoothing is identified with the smoothed moving average, and the experiment allows users to choose among four basic average…
DayImpuls is a chart indicator that plots the difference between each bar’s closing and opening prices over an averaging period. It applies double smoothing based on exponential moving averages and displays the resulting line in a separate chart window. This…
The report examines Chinese analyst earnings forecasts, ratings, and target prices as inputs to equity selection. It compares six ways to combine analyst estimates and finds that weighting forecasts by analysts’ past accuracy performs better than several…
The document reports a pandas error raised when a factor-analysis workflow formats the minimum date with strftime. The shown failing expression takes the minimum of a date column and immediately formats it; pandas raises the error when that value is NaT, its…
Projection Bands are a technical indicator developed by Mel Widner and introduced in 1995. They define upper and lower price boundaries by taking the highest and lowest prices over a lookback period and projecting those extremes forward in parallel with a…
This short assignment response describes quantitative investing as using data to check market observations and identify patterns. It frames the goal as building strategies that can be backtested and evaluated for stability over time, then using software to…
The document describes a simple average-range indicator intended for daily range measurement, while noting that it can be applied to bars from any timeframe. It calculates the mean of the recent bars’ highs and subtracts the mean of their lows. The lookback…
This research note proposes that stock price changes reflect market forces, firm-specific short-term information, longer-term fundamentals, and noise. It uses daily minute data and cross-lag regressions of returns on changes in trading volume to estimate…
This article explains the claimed tendency for Chinese A-share markets to weaken on Thursdays through three proposed mechanisms: investors selling ahead of weekend cash needs under T+1 trading and restricted weekend transfers, investors reducing exposure to…
This note describes a Chinese equity screen that combines daily amplitude above a threshold, a change in a reported institutional volume measure, and exclusion of stocks that rose the previous day. The stated rationale is to find volatile shares with signs…
The document presents a market randomness measure based on Shannon entropy as a filter for automated strategies. It describes estimating the distribution of log returns over a rolling window, then calculating entropy from the probabilities of discrete return…
This stock screen selects securities whose turnover ratio is between 3% and 12%, whose opening price is within 5% of the ten-day moving average of closing prices, and whose codes begin with 60. The document provides equivalent rule expressions and a Python…
This brief BigQuant support exchange addresses a question about a backtest whose logs and apparent trade signals stop before the requested end date. The user says the run was set through the 23rd, exchange data stopped at the 17th, and the output log stopped…
This indicator description explains a moving average built from prices sampled at offsets based on Fibonacci numbers. The selected prices are combined into a Fibonacci moving average, after which a second moving average is calculated from that first series.…
This notebook explores relationships among the Canadian dollar, crude oil benchmarks, and other currencies or commodities. It compares normalized series and fits separate ordinary least squares regressions of CAD against candidate variables, using R-squared…
This Chinese community post proposes a daily A-share screen based on recent net buying, prior-day trading value, and company size. The stated idea is to find smaller companies with positive buying activity and sufficient liquidity, while also describing the…
This Japanese-language README curates resources for systematic trading research and implementation, including backtesting and live-trading frameworks, analytics tools, data sources, books, papers, blogs, and courses. Its practical framing is to reproduce…
This review examines whether controlling for quality changes the apparent size premium in equity markets and whether small-cap exposure can strengthen other factors. It compares size-factor returns with quality and related factor exposures using time-series…
This short exchange explains how to assign groups when training a learning-to-rank model on stock observations. The questioner expects each trading date to form a group, so the model ranks stocks against other stocks observed on that date, and asks where…
This Chinese-language research digest summarizes two separate studies. The first considers adding trend-following strategies to target-date funds in defined-contribution retirement plans. It argues that these funds may concentrate too much risk in equities…