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.
12,303 documents
This indicator uses the position of closing, high, and low prices within Bollinger Bands to identify moves beyond the bands after a contraction. It averages the prior three high and low percentile readings, then tracks conditions above the upper band or…
This midweek derivatives recap summarizes Bitcoin and Ether conditions during a period when spot prices were testing familiar levels. It discusses realized volatility, the shape of the volatility term structure, skew, options flows, and dealer gamma. Bitcoin…
This page summarizes several quantitative investing topics: timing equity factors with cross-sectional and time-series indicators; adjusting portfolios to target volatility; modeling changing stock-bond correlations; assessing tactical asset-allocation…
The document describes a stock selection rule that filters for shares with a daily high-low range exceeding one percent of the previous close, codes beginning with 60, and circulating market value of at least 200 million. It then ranks qualifying stocks by…
This weekly market note links Bitcoin’s rally to macro developments including rising bond yields, war-related spending concerns, gold strength, and optimism about a Bitcoin ETF and the Ripple lawsuit. It reviews Bitcoin options term structure, put skew,…
The document presents a stock screen combining three conditions: daily high–low range greater than one percent of the open, a stock code beginning with 60, and a positive large-order flow condition. Eligible names are then ranked by net volume attributed to…
The article describes a daily, post-close stock screen combining three conditions: a five-period amplitude measure above one, institutional participation above thirty, and a positive main-fund control measure from the prior day. It frames the combination as…
This document describes a Chinese stock screen combining three conditions: daily price amplitude above a threshold, a historical dividend yield above a threshold, and positive forecast year-over-year earnings growth. It gives example indicator and Python…
The document describes a stock-selection idea that combines a 2021 date filter, a price-amplitude threshold, and a market-concentration measure. It gives formula and Python examples, but the conditions are inconsistent: the written description says…
This document explains a chart heatmap that compares an instrument’s typical volume or volatility across months, days of the month, weekdays, or hours. It calculates each period’s total volume or true range, groups observations by the selected calendar…
The document introduces an adaptive variation of the Keltner Channel. A conventional channel is described as a simple moving average with bands placed at an average true range distance above and below it. In the variant discussed, Kaufman’s Adaptive Moving…
This weekly Chinese equity factor note compares value and growth styles and reports relative performance across six industry-neutral long-short factor groups. Value and growth were described as broadly balanced, while quality measures such as return on…
The Volty channel stop indicator is described as combining Average True Range with money risk. The version discussed adds Jurik Moving Average smoothing and displays the price level that must be crossed to signal a trend change. This places the indicator in…
This note describes a short-term Chinese equity screen combining three conditions: prior-day price amplitude above 1%, appearance on the previous day’s trading-activity ranking list, and circulating market value between 5 billion and 10 billion yuan. Its…
The indicator places three volatility-scaled bands above and below a smoothed moving average. Band distances use ATR multiplied by Fibonacci-related factors, with the center average providing trend context. The article describes the zones between the middle…
This proposed stock screen selects for price amplitude above one, a shortening negative MACD histogram on a 15-minute chart, and net large-order inflows in the afternoon. The article interprets the amplitude condition as a way to find more volatile stocks,…
This strategy looks for a narrow-range setup: the current bar sits inside the previous bar and its range is below the recent minimum. It requires Bollinger Band width to be near a recent low, ADX to exceed a threshold, and short-term ATR to be greater than a…
The document introduces an MQL5 implementation of Average True Range that calculates the indicator without calling the platform’s built-in ATR function. It explains ATR as a volatility measure derived from true range values and describes Wilder smoothing as…
FiboBands adapts the channel idea behind Bollinger Bands by using Average True Range in place of standard deviation. It sets its outer boundaries with Fibonacci extension multipliers of 1.618, 2.618, and 4.326. The description presents boundary breaks as…
This analysis proposes heterogeneous volatility as an alternative to the standard volatility factor in multi-factor equity selection. Standard volatility is the dispersion of a stock’s returns. The proposed measure instead captures the volatility of returns…
ATRNorm is described as a normalized Average True Range indicator intended to identify periods of relatively flat price action. Its inputs include the lookback period, a smoothing period, the type of series to normalize, a normalization window, volume type,…
This note describes an equity screen that combines daily amplitude above 1, a ten-session price gain greater than zero but below 35%, and a high ranking on a large-order net-volume measure. The rationale is to find stocks with meaningful price movement and…
This note describes an A-share stock screen combining price amplitude above 1, a circulating share count no greater than 5.5 billion, and a prior session’s 9:15 matching price at the daily limit down. It presents the conditions as a way to find volatile,…
The article describes a Chinese stock screen combining a turnover rate between 3% and 12%, a reversal-style price pattern, and a nonempty name for an outstanding convertible bond. Its formula further limits candidates to listed Shenzhen stocks and defines…