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.
37 documents
The document examines Bitcoin return distributions and volatility, then outlines a modeling workflow using ARMA for returns and EGARCH for conditional volatility. It calculates log returns from closing prices and discusses descriptive statistics, quantile…
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…
The document presents a channel strategy for crypto futures that combines a moving average with average true range. An upper band is formed by adding a multiple of ATR to the moving average, while a lower band subtracts it. The strategy enters positions when…
The article proposes an automated grid strategy for traditional-asset perpetual contracts listed on crypto exchanges. It ranks instruments by average daily high-low range, rejects those whose range is too small relative to grid spacing, then runs buy-low,…
This article demonstrates two simple strategies on the WOOFi and EdgeX decentralized exchanges. The WOOFi prototype refreshes order book and position data, uses ATR to set order spacing, and places layered orders on both sides of the market. Its order logic…
The document introduces option sensitivities—delta, gamma, theta, and vega—and describes a delta-neutral options strategy using futures to hedge Deribit option exposure. A long call, for example, is initially offset with a short futures position. As the…
The document explains a daily RangeBreak method that sets upper and lower entry thresholds around the day’s opening price using the previous session’s high-to-low range multiplied by a tunable factor. A move above the upper boundary triggers a long entry,…
The document describes a prototype that turns crypto traders’ stated methods into a computable consensus process. It first converts BTC daily market data and macro inputs into structured states, including trend, momentum, volatility, recent price ranges,…
The document describes a two-sided BTC grid strategy managed by a workflow that checks market volatility before initialization and runs the grid on a recurring candle trigger. When configured position or price conditions suggest the market has moved beyond…
This strategy description adapts grid trading to perpetual contracts tracking traditional assets such as equity indexes, commodities, and currencies. It periodically ranks eligible markets by average daily high–low range over a lookback window, excludes…
The document teaches a basic intraday strategy built around Bollinger Bands and shows how to implement it with a JavaScript CTA framework. It describes the bands as a moving-average centerline with upper and lower boundaries derived from price dispersion, so…
This article addresses how to choose an options contract after forming a directional view. It proposes comparing contracts across strikes, expiries, implied-volatility valuations, and execution conditions, pooling candidates from Deribit, Binance, and OKX.…
This overview introduces grid trading as a way to trade price fluctuations without forecasting a single market direction. It explains the basic approach of placing buy and sell orders at price levels across a range, then compares this with rebalancing, which…
This document derives recursive updates for the arithmetic mean and variance, so a process can incorporate each new observation without retaining the full history. It then presents exponentially weighted mean and variance updates, which give recent…
This research examines dynamic delta hedging for Bitcoin options using adjustments informed by the implied volatility smile. It compares standard Black–Scholes delta with several smile-based and locally parameterized alternatives, including methods designed…
The document introduces a platform data exploration tool for querying exchange OHLC and tick data with SQL, including user-uploaded datasets. It explains how query parameters can make filters adjustable, how results can be viewed as tables or visualizations,…
The article adapts risk parity to contracts representing BTC, equities, gold, and crude oil. It aligns hourly price data, calculates log returns, estimates covariance with an exponentially weighted scheme, and iteratively adjusts signed weights to bring…
The article redesigns a leveraged grid strategy after identifying low activity in quiet markets, accumulating exposure during sustained declines, profit giveback, and stubborn high-priced inventory. It frames grids as short volatility strategies whose…
This article presents a short-term countertrend strategy for crypto futures. It opens long positions when price is below a moving average and average true range exceeds its own moving average by a chosen multiple. The thesis is that a sharp volatility…
This tutorial presents a two-sided, staged position strategy using ATR to set price thresholds around a reference level. As price crosses successive upper or lower levels, the system adds short or long exposure, with trade size increasing by level. It exits…
This document describes RangeBreak, an intraday breakout method that centers trading levels on the current day’s open and offsets them by a multiple of the previous day’s high-low range. A move above the upper level signals a long entry, while a move below…
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 document explains a trend-following strategy based on an upgraded Keltner Channel. The channel uses the average of high, low, and close as its input, an exponential moving average as its center line, and average true range to set the upper and lower…
The document presents a short-term cryptocurrency mean-reversion approach that looks to buy during a decline when volatility rises sharply. It defines a falling market as price below a moving average and elevated volatility as ATR exceeding its own moving…