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.
29,558 documents
These notes summarize a practical framework for developing an independent quantitative trading operation. They cover choosing strategies that fit a trader’s capital, skills, time, and income goals; screening ideas with benchmark comparisons, Sharpe ratio,…
This note describes a short-term China A-share screen that selects stocks classified in the metaverse sector, appearing on the prior day’s trading-activity list, and posting a positive daily return. It gives equivalent screening conditions in a formula and…
The proposed stock screen combines daily price amplitude, a listing-age requirement, and a condition described as evidence of dominant-player control on the prior day. The accompanying rationale treats larger movement as a sign of activity, a longer listing…
This indicator combines fast and slow Parabolic SAR calculations with price extremes to generate bullish and bearish signals. When price crosses the fast SAR, it records a recent low or high; a qualifying position relative to the slow SAR then triggers a…
This screening idea targets main-board Chinese stocks meeting three conditions: a 15-day maximum amplitude above 1, institutional participation above 25% over 15 days, and a declining seven-day moving average. The article presents the combination as a way to…
This stock selection method combines a 14-period RSI below 65 with positive parent-company net profit growth between 20% and 100%, and a current daily low below the previous day’s low. The article describes screening for eligible Shanghai-listed shares,…
The document describes a stock screen combining daily price range, MACD, company size, and annual profitability. It selects shares with an amplitude above 1, MACD above its zero line, market capitalization below 10 billion yuan, and positive net profit. The…
The document describes a Chinese stock-selection rule for beverage-related industries. It selects stocks with MACD above zero, membership in beverage manufacturing, beer, or liquor categories, and a 10-day price gain from zero up to but excluding 35 percent.…
The document explains an Expert Advisor that uses arrows from a Candle shadow percent indicator to open trades. At the start of a new bar, an upper-shadow signal on the prior completed bar triggers a sell, while a lower-shadow signal triggers a buy. Position…
This A-share screening strategy first restricts candidates by turnover, circulating market value, and a positive-earnings condition. It then selects companies whose year-over-year growth in net profit attributable to parent-company shareholders falls within…
This MT5 tool monitors the chart symbol for changes in selected broker-reported contract properties. It compares each valid observation with a saved baseline associated with the account server, login, and symbol. Watched fields include price precision and…
This document describes an Expert Advisor that checks for signals when a new bar appears. It identifies direction from a crossing of two moving averages, with a minimum separation threshold that can be set independently for buy and sell trades. After a…
This podcast recap examines changes in Bitcoin and Ethereum options volatility, focusing on the spread between their implied volatilities. The discussion attributes shifts in that relationship to factors including persistent option supply, an Ethereum ETF…
This Chinese-market stock screen selects shares whose daily amplitude exceeds 1%, that recorded at least two limit-up moves within a 500-day lookback, and whose return falls between -5% and 2.6%. The article also proposes sorting candidates using a score…
The document describes a cash-and-carry strategy for crypto perpetual futures. When a perpetual contract trades above spot and its funding rate is positive, the trader sells the perpetual and buys an equivalent amount of spot, aiming to collect funding…
This Chinese A-share stock screen combines a technical filter, an earnings filter, and recent price momentum. It selects shares with a 14-period RSI below 65, positive net profit attributable to parent-company shareholders growing by more than 20% and up to…
This Expert Advisor uses an RSI custom smoothing indicator and calculates a regression before generating a trading signal. The description focuses on how the EA manages exits rather than specifying the exact signal rules or regression method, so those parts…
This Chinese stock screen combines a turnover rate from 3% through 12%, a newly formed KDJ golden cross, a 2019 dividend ratio above 25%, and a minimum market value above 1 billion yuan. The article describes turnover as a liquidity filter, the KDJ crossover…
This report describes a multi-factor model for analyzing stock returns and risk in China’s A-share market. Instead of assessing each stock independently, the framework represents exposures and returns through a smaller set of factors. It highlights…
This brief example outlines a two-sided automated strategy based on a 14-period RSI calculated from closing prices. It opens a buy when RSI falls below 25 and closes that position once RSI rises above 50. For short trades, it opens when RSI rises above 75…
This post describes a Chinese equity selection idea that combines daily price amplitude, a ranking based on net large-order volume, and a “today control” threshold above 21. It presents amplitude and order-flow measures as ways to find active stocks, while…
This tutorial illustrates how combining assets or strategies can smooth portfolio returns and raise the portfolio Sharpe ratio, even when individual components have weak risk-adjusted performance. It generates synthetic return series, builds equal-weight…
The document describes a Chinese equity screening rule that selects stocks with turnover between 3% and 12%, year-over-year net profit growth attributable to parent-company shareholders above 20% and at most 100%, and a share price below 12. It presents the…
This proposed A-share screen combines turnover between 3% and 12%, market capitalization below 10 billion yuan, a non-loss condition, and a same-day Morning Star candlestick pattern. The article treats the pattern as a possible short-term reversal signal and…