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.
5 documents
This document outlines a per-contract result tracker and a portfolio-level PnL container. The contract tracker stores an opening position, observed trades, position changes, and cumulative long and short traded volumes and costs. It filters duplicate trade…
The document shows a simple workflow for evaluating two futures strategies together. It runs separate historical simulations for an ATR-RSI strategy on an equity index contract and a Bollinger channel strategy on a metal contract. Each run specifies its own…
This document describes data structures for tracking option contracts, underlying instruments, and option chains in a portfolio. It updates positions from trades and holdings, derives mid prices from top of book quotes, and connects options with pricing…
The document shows a workflow for backtesting two strategies on different cryptocurrency markets, then adding their result data frames to form a combined portfolio series. A helper configures each run with market, interval, date range, transaction costs,…
This document describes a portfolio monitoring module that groups trading activity by order source and tracks positions, fills, and profit and loss. Each source, such as manual trading or a strategy, can be treated as a separate portfolio. The display…