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.
19 documents
This article explains box theory as a way to identify support and resistance from recent price ranges. It defines support as the lowest closing price over a lookback period and resistance as the highest, then treats a break above or below the range as a…
The article presents a trend-following system built around three shifted simple moving averages, named the jaw, teeth, and lips. When the lines are tangled, the approach treats the market as directionless and waits; when they separate in order, it interprets…
The article distinguishes futures–spot arbitrage from calendar and cross-market spread trades. In a futures–spot position, a trader buys the commodity in the spot market and sells futures when the futures premium is considered unusually wide, expecting…
This Chinese course chapter introduces commodity trading advisors (CTAs), describing trend following, mean reversion, arbitrage, and strategies across different holding periods. It explains trend-following returns as a pattern of frequent small losses and…
This teaching example demonstrates a two-contract commodity futures hedge that monitors the price difference between contracts A and B. It opens opposing positions when the spread exceeds a configured threshold, then closes them when the spread reaches a…
The article explains the Aroon indicator, which measures how many bars have elapsed since the period’s highest high and lowest low. Aroon Up and Aroon Down range from zero to one hundred; their relative position is used to assess trend direction, while…
The document introduces average true range (ATR) as a measure of price movement and explains how its level may reflect changing market conditions. It associates unusually high ATR with panic and possible turning points, and low ATR with consolidation or…
The document explains Average True Range (ATR) as a measure of price movement and describes how Wilder associated high readings with panic-driven declines near market lows, and low readings with quieter consolidation or market tops. It presents the…
The document adapts an intertemporal commodity futures hedge strategy by using Bollinger Bands on the price spread between two contracts to define entry and exit signals. It synchronizes the contracts’ candle data, calculates the spread as one contract’s…
The document describes a footprint chart that expands each futures candlestick into price levels with estimated active buying and selling volume. Its example processes tick updates, classifies trades as buyer or seller initiated using the latest price…
This overview traces managed futures and CTA systems through three broad stages. Early systems focused on a small set of commodity markets and simple trend-following rules, including moving-average crossovers, during periods the article characterizes as…
This article explains how to build an interactive tool for calendar spread trading in commodity futures. It outlines checking the CTP connection, fetching quotes for two delivery months, calculating their price difference, and plotting that spread over time.…
The document explains a box-based trend strategy built around support and resistance. It defines the box boundaries from recent price extremes and treats a close above the upper boundary as a potential move into a higher range, while a close below the lower…
The document presents a Python port of a commodity futures moving average strategy originally implemented in JavaScript. It frames the example as a way to study multi-instrument strategy architecture, including per-contract state, position and order…
The document explains the Aroon indicator, which uses how recently a market made its highest and lowest prices over a chosen lookback period. Aroon Up and Aroon Down range from zero to one hundred; readings near one hundred indicate that the corresponding…
This tutorial compares several moving-average trading rules using daily commodity futures data. It starts with a single-average rule that trades when price crosses its average, then shows dual-average crossovers, adds conditions requiring the averages to…
This article explains R-Breaker, a commodity futures strategy that uses the prior day's high, low, and close to calculate a pivot and three support and resistance levels on each side. With no position, it enters long above the upper breakout level or short…
This article compares bar-based and tick-based backtests, focusing on how coarse bars can hide the path prices took within a period. That ambiguity can produce unrealistic fills or conceal whether a stop would have triggered before a favorable exit. It also…
The article explains a passive market-making approach that tries to move ahead of a large visible order by placing a limit order one tick better. A trader watches the order book for a sizable participant whose order may act as support or resistance, then…