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.
22 documents
The article diagnoses four live-trading weaknesses in a leveraged grid on EWY: poor capital use when volatility is low, growing exposure in a persistent decline, profit giveback and trapped positions, and expensive inventory accumulated near the top. It…
This tutorial develops a pairs trading approach around the idea that two related assets may have a stable long-run relationship even as their prices temporarily diverge. It distinguishes cointegration from correlation, uses a cointegration test to screen…
This tutorial develops an intraday pairs-trading example using SPY and IWM minute bars. It aligns the two price series, estimates a rolling linear-regression hedge ratio, forms a spread, and standardizes that spread as a z-score. The example opens a long…
The document explains a basket strategy that ranks assets by an expected-return signal, buys the highest-ranked group, and shorts the lowest-ranked group with equal dollar exposure. The intended market neutrality reduces sensitivity to broad market moves,…
The article outlines an automated workflow for trading tokenized US stock contracts through a crypto platform. A scheduled process gathers account positions, news sentiment, and daily stock candles; calculates MACD, RSI, ATR, and OBV; asks a language model…
This article outlines a Fisher Transform indicator computed from bar highs and lows. It normalizes the midpoint against the highest high and lowest low over a lookback period, blends that value with the prior normalized value, clamps extreme inputs, and…
This document outlines a Dual Thrust breakout system attributed to Michael Chalek and shows how it is expressed in FMZ Mylanguage. The method uses a lookback range built from recent highs, lows, and closes. At the next session’s open, it sets upper and lower…
The document explains a short-term mean-reversion strategy attributed to Larry Connors. It uses a long-term moving average to define the prevailing trend, then treats extreme readings in a two-period RSI as pullback or rebound signals: seek longs after…
The document describes Penny Jump, a high-frequency idea that reacts to unusually large displayed limit orders. It interprets a large bid as possible buying support, then proposes placing a bid one tick above that price to improve queue position. If the…
This article outlines a system that turns an analyst’s posts on X into potential trades in US equity perpetual futures. It proposes collecting posts through an RSS feed, asking a language model to identify explicitly named tickers and classify direction and…
This tutorial develops the statistical basis for pairs trading. It explains how a temporary divergence between related assets can be traded by shorting the relatively stronger asset and buying the weaker one, with the expectation that their spread will…
This tutorial outlines an automated workflow for trading crypto-settled contracts that track U.S. stocks. It combines account position data, news sentiment, and daily stock prices, then uses an AI model to interpret short- and longer-term signals. A workflow…
The document describes a pipeline that turns a financial influencer’s posts into trading signals for Binance stock perpetual contracts. It proposes collecting posts through an RSS feed, asking an LLM to identify explicitly named tickers, direction,…
This article presents several ways to quantify how orderly or erratic price movement is. It describes the efficiency ratio as net price change divided by the sum of intervening changes, price density as the price points contained within a period’s high-low…
This tutorial explains the Directional Movement Index (DMI), including its four lines: positive and negative directional indicators (DI+ and DI−), ADX, and ADXR. It describes an implementation assembled from directional indicator series, a smoothed…
The document presents a daily pivot-point framework built from the prior session’s high, low, and close. It calculates a central pivot, three support levels, three resistance levels, and intermediate levels. The author interprets price behavior between the…
The article proposes a relative-value strategy linking the South Korea ETF EWY with Samsung Electronics and SK Hynix. It explains why the author avoids trading the visible cash-equity versus perpetual-contract basis: trading-hour mismatches, currency…
The document describes a research framework that uses a language model to classify equity contracts into overlapping AI subtheme baskets, summarize current news, and map potential leader–follower relationships. It filters out ETFs and other non-company…
The document explains a market-neutral portfolio approach that ranks a universe of related assets, buys equal-sized positions in the highest-ranked group, and shorts the lowest-ranked group. Its returns depend on whether the ranking factor separates future…
This document describes a research framework for tracking how price moves may spread across companies linked by an AI theme. It builds a universe from equity contracts, excludes ETFs and indices, and uses a language model to assign companies to multiple…
This note explains the Dual Thrust system, a breakout approach associated with futures, foreign exchange, and equity markets. It derives a range from recent highs, lows, and closes, then scales that range by a parameter to set thresholds around the next…
The document develops a relative-value strategy that trades EWY against Samsung Electronics and SK Hynix, which are major ETF holdings. It argues that this same-account basket avoids several practical frictions in trading Korean cash equities against…