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 document describes a trading-range forecasting tool intended for monthly candlestick charts, primarily for forex pairs. It estimates the likelihood that a chosen pip range will be reached using historical trading ranges from the prior two years and a…
This document introduces a Commodity Channel Index variant smoothed with the Tilson algorithm. It describes the indicator as being calculated at bar close and presents it as a signal filter that can be incorporated into a larger trading system. The suggested…
This article introduces algorithmic strategy backtesting as the application of trading rules to historical data to generate signals and estimate trade and portfolio profit and loss. It describes using backtests to screen candidate strategies, test models of…
This brief explanation identifies two main reasons a quantitative factor may have low coverage: the coverage of its underlying input factors and the length of its calculation window. If an input dataset contains values for only a limited portion of the…
The i-VaR95 indicator presents historical volatility and a way to estimate risk costs at a chosen probability level. It describes three volatility approaches: a simple equally weighted moving average, an exponentially weighted moving average, and a high-low…
The report summary describes a stock-selection factor built from a multinomial logistic model that estimates the probability of a large stock decline over the following month. It tests several decline thresholds and reports broad factor coverage, including…
This stock-selection rule filters for turnover between 3% and 12%, an opening price within 5% of the ten-day simple moving average of closing prices, and a concentration measure above 20% but below 70%. The example implementation also limits the universe to…
This stock screen combines a daily turnover range of 3% to 12% with a condition that the day’s price change multiplied by net large-order flow is below zero. It also requires year-over-year growth in net profit attributable to parent-company shareholders to…
The document describes a zero-lag moving average intended to reduce the delay of a conventional moving average. It forms the indicator by taking twice a first moving average of price and subtracting a second moving average applied to that smoothed series.…
This note describes a generalized version of a Kalman filter indicator for MetaTrader 5. Unlike a version limited to price input, it can be applied to price data or to another indicator’s output. The author suggests examining the filtered series and says its…
This report overview introduces supervised neural networks, unsupervised learning, and reinforcement learning, then considers their possible roles in finance. It describes deep networks as learning nonlinear mappings through layered representations;…
This article explains why a strategy that performs smoothly on historical data can fail in live trading. It distinguishes rule discovery from quantitative implementation: researchers may mine historical market data to invent or combine rules, then add and…
Twiggs Money Flow is presented as a variation of Chaikin Money Flow that combines trading volume with the closing price's position inside a range. The calculation uses the current high and low together with the prior close to define the range, then weights a…
This MetaTrader indicator generates semaphore-style signals by comparing two instances of the 2pbIdeal1MA indicator, one calculated from open prices and the other from close prices. A signal appears when the difference between the two indicator values…
This stock screen combines a price-movement threshold with a low share-price condition and positive earnings valuation. The stated logic selects stocks whose high–low amplitude exceeds 1%, whose closing price is below 20, and whose price-to-earnings ratio is…
The note describes PATV, a stock-selection factor based on intraday trading volume. It first compares average volume over five-minute intervals with average volume over thirty-minute intervals, then ranks the resulting ratios across stocks. The factor…
This forum thread concerns a strategy that produced normal backtest behavior but no signals after submission to simulated trading. The user had removed a binding between the strategy’s start date and its live-trading parameter, then waited several days…
This document describes a MetaTrader indicator that measures how quickly quotes arrive relative to the normal pace for that time of day. It converts quote changes into events, combines records stamped in the same millisecond, treats long gaps as session…
The example compares two daily stock volatility features: a manual calculation that takes the maximum of the day’s high-low range and the two gaps from the previous close, then applies a 14-period simple moving average; and the platform’s built-in ATR…
This document summarizes a 2020 study of whether individual Chinese stocks’ left-tail risk is related to their future returns. Left-tail risk describes exposure to extreme negative returns. Earlier research cited in the summary found a negative…
This code example shows how to retrieve the highest high and lowest low across a specified time interval for the current symbol and chart timeframe. It maps the start and end times to bar indexes, then uses the platform's highest- and lowest-value functions…
The Glitch Index is a technical indicator designed to express how far an applied price deviates from a moving average adjusted by the moving average’s rate of change. Its inputs are the moving average period and method, the ROC lookback period, and the price…
This note addresses a position-accounting problem reported for Shanghai-listed futures: after opening new contracts and closing older ones, the remaining same-day position’s average price can become zero. It presents a recalculation approach that starts with…
This Chinese equity research summary reports tests of more than two hundred money-flow factors, built from a set of underlying measures and derived variants. It highlights small-order inflow amount, defined by buy executions from orders below a stated value…