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 indicator exports the Stochastic oscillator’s main and signal lines to a CSV file for analysis in MATLAB. The author presents the data as input for techniques such as neural networks, support vector machines, nearest-neighbor methods, and fuzzy systems,…
The document outlines an equity screen combining turnover, industry classification, and historical revenue growth. It selects beverage and alcohol import-export companies with turnover between 3% and 12% and 2021 revenue more than 1.1 times 2018 revenue. It…
The document presents a literature-search workflow for financial machine learning and quantitative finance, where relevant work may be spread across econometrics, machine learning, and other fields. It describes using a paper-mapping service to find related…
The document describes an indicator that measures the percentage of observations in which the closing price is above or below a moving average. Its calculation period matches the averaging period used by the moving average. The moving average is added…
The document describes an MT5 reporting script that groups account history by magic number and currency, with optional date filters and CSV export. It outlines measures including profit after swaps and commissions, win rate, time-weighted return, profit…
This post reports a data-quality question about one-minute BNB/USDT candles retrieved through a trading platform’s GetRecords interface. The author compares a candle for a specified minute in August 2018 with Binance’s displayed data. Open, high, low, and…
This article proposes comparing a model's information coefficient (IC) and mean IC across training and test samples to assess predictive stability. It defines IC as the correlation between a model score and subsequent returns, using a five-day return…
This document is a dated series of U.S. Treasury yields organized by maturity, from short bills through long-term securities. Each row pairs an observation date with a maturity and quoted yield, allowing researchers to examine how rates across the curve…
This stock screen selects shares with turnover between 3% and 12%, an opening price within 5% of the 10-day moving average of closing prices, and at least 50 days since listing. The document presents the rules as a way to combine trading activity, proximity…
This module generates synthetic pairs whose relationship is defined by a hedge ratio and a mean-reverting cointegration error. It first simulates the change in one asset’s price as an autoregressive process, cumulatively sums those changes into a price…
The Random Walk Index (RWI) is described as a tool for assessing whether an instrument is developing a trend or moving randomly within a trading range. The method first defines a trading range, then calculates RWI values across the analyzed period. The…
This article outlines a daily Chinese stock screen using amplitude above 1%, a controlling-shareholder measure above 21%, and turnover between 2% and 9%. Its proposed refinement adds positive price-to-earnings and price-to-book ratios, with upper bounds of…
The document explains how a linear regression trend line is fitted to price observations using the least squares method. The fitted straight line minimizes the distances between the observed prices and the line, providing a simple statistical description of…
The document introduces the manager-of-managers fund structure, in which a central manager allocates capital among independent subaccounts managed by different investment advisers. It distinguishes this approach from a fund of funds: MOM evaluates and…
The document proposes a modified Laguerre smoothing filter called the Carnazzi filter. It first estimates the filter’s gamma parameter from a chosen period length, using a correction term called delta, then applies a four-stage recursive Laguerre calculation…
The article explains a research design for isolating the effect of earnings announcement timing from announcement content. It uses calendar rotations: because a month’s starting weekday changes across years, companies that repeatedly announce on a particular…
The document presents a Relative Moving Average framework that ranks the latest price within a trailing window after normalizing closes around their simple moving average. Its primary output is a fractile from zero to one, intended to make the current…
This document describes an indicator that lets users choose among a broad set of moving-average and smoothing methods, including simple, exponential, weighted, regression-based, volume-weighted, and filter-style variants. It also lists price series that can…
This brief indicator description defines a moving average oscillator as the relative deviation of a selected price from its moving average. The calculation divides the applied price by the moving average and subtracts one, so the output expresses the price’s…
This research review examines whether actively managed U.S. equity funds favor firms focused on a single business and whether that preference reflects industry expertise. Its proposed mechanism is that a manager with an informational edge in one industry can…
This reference explains two utilities for copula-based trading research: a linearly interpolated empirical cumulative distribution function (ECDF), and a quick selector for candidate pairs. A standard empirical CDF is a step function, which can map sparse…
TrendLinearReg fits a straight line to a rolling window of prices and plots the regression slope as a non-normalized histogram. The slope coefficient represents the direction and steepness of the fitted line. Histogram color tracks whether that coefficient…
This Chinese equity screen combines an RSI reading below 65, a positive product of price change and a large-order net-volume measure, and a weekly 5-period moving average crossing above the 10-period average. The intended interpretation is to find stocks…
This document explains a price-trend indicator based on singular spectrum analysis, also called the Caterpillar method. It decomposes a recent price segment into additive components, then reconstructs a smoothed trend while filtering smaller-scale…