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 meetup summary collects questions and answers on quantitative research, strategy development, and live trading. It points readers toward factor analysis, information coefficient interpretation, portfolio performance assessment, and resampling data to…
This research summary describes a Chinese equity approach that first screens stocks within broad industry groups using selected fundamental indicators, then combines the resulting preferred-stock universe with a multi-factor framework. It discusses a…
This tutorial explains how to assess strategy performance by examining completed round-trip trades: positions opened and later wholly or partly closed. It argues that trade-level frequency, duration, and profitability can reveal whether results came from…
The document explains how small-cap and value premiums in China’s A-share market may vary over time. It frames stock valuation as depending on expected future cash flows and the discount rates applied to them. A two-beta model separates a stock’s sensitivity…
This document describes an Expert Advisor that trades signals from the XRSI_Histogram_Vol indicator. It enters when a completed bar breaks an overbought or oversold threshold. The two thresholds are treated as separate signal strengths, each with its own…
The document explains how to configure and run a historical backtest in the Hummingbot Dashboard. Users select a controller, exchange connector, trading pair, and strategy parameters such as leverage, quote allocation, position mode, order levels, spread,…
This document outlines an Expert Advisor that uses the LeManTrend oscillator. It generates a signal when a bar closes with a crossover between the oscillator’s main and signal lines. The description specifies the signal condition but does not explain how the…
This implementation describes a distance-based statistical arbitrage method for forming and trading equity pairs. In a training period, each price series is scaled using its own minimum and maximum, and candidate pairs are ranked by the sum of squared…
This article explains how commissions, fees, taxes, slippage, latency, spreads, liquidity, and market impact can alter a strategy’s backtest results. It contrasts fixed transaction-cost assumptions with linear, piecewise linear, and quadratic models. Fixed…
This article explains why parameter optimization should favor a broad, stable region of good performance over a narrow peak. A broad region suggests the model can tolerate small parameter changes; a sharp isolated peak may reflect a fit to quirks in…
This document describes an Expert Advisor that trades signals from the ColorZerolagStochs oscillator. A signal is generated at bar close when the indicator's cloud changes color. The EA requires the compiled indicator to be installed in the platform's…
This Chinese-language article proposes a stock screen combining a 14-period RSI below 65, three consecutive bearish candles, and a condition described as at least five moving averages overlapping. It frames the down candles as a way to identify technically…
This MetaTrader expert advisor opens a position when a BykovTrend indicator arrow appears at a bar close. It then adds volume in the direction of the existing position once the last deal’s profit points pass a user-set threshold. The system stores the scale…
This brief discussion asks whether a strategy’s return calculation horizon should match its holding period. The response says the answer depends on the trading logic, but that the two are generally kept consistent so a backtest represents the intended trade.…
This Expert Advisor uses the ForexProfitBoost_2nb indicator to generate trades when its trend bars change color between blue and pink. It describes the signal as a directional change and requires the compiled indicator file to be installed in the platform’s…
This Expert Advisor concept opens buy and sell positions together, then adds trades at fixed pip intervals when price moves against an initial position. Added position sizes may grow by a configured multiplier, while the system seeks to close trades or the…
This document describes an indicator that displays recent bid and ask ticks, showing the latest 300 observations. It can also run in a strategy tester, where users can examine how different tick-generation modes produce similar or different tick sequences.…
This document describes an indicator that fits a polynomial regression trend to historical prices and draws a channel around it. The upper and lower lines are parallel to the regression curve, with their distance set by the maximum closing-price deviation…
This stock-selection rule screens A-shares for turnover between 3% and 12%, an opening price within roughly 5% of the ten-day moving average of closing prices, and exclusion of Beijing-listed shares. The article presents the thresholds as a way to combine…
The document describes an Expert Advisor that trades crossings between the positive and negative directional indicator lines of a Fractal ADX Cloud. A signal is generated when a bar closes with a crossover, making the close the stated confirmation point. It…
This indicator combines a volume-weighted average price with MACD-style trend measures to classify market conditions. It calculates the average closing price weighted by volume over a rolling lookback, then plots the distance between the current close and…
The note proposes adding a 20-period average true range (ATR) volatility factor to a trading strategy, with the aim of improving its Sharpe ratio. It describes a regime-dependent relationship: higher ATR is associated with stronger returns in bull markets,…
The proposed Chinese equity screen combines a daily amplitude threshold, a positive weekly MACD condition, and simultaneous bullish moving-average crosses. Its final rule names MA, MACD, and KDJ as the three indicators, but the accompanying formula and…
The discussion explains how to inspect a strategy's logical position during a VeighNa backtest. The strategy's `self.pos` value represents its net position quantity and updates as the strategy processes opening and closing trades. It is scoped to the…