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.
682 documents
The article characterizes high-frequency trading as automated, rapid intraday trading based on fine-grained market data, with rapid order entry and cancellation and high capital turnover. It surveys four approaches: providing liquidity through market making,…
This note argues against holding losing positions merely to avoid realizing a loss or repeatedly adding to them to lower the average cost. It frames a planned trade around four decisions made before entry: the entry level, stop-loss, profit target, and…
This Chinese-language article surveys quantitative finance work through six role types: desk quant, model validation, research, quant development, statistical arbitrage, and capital modeling. It describes how these roles differ in their proximity to trading,…
This intermediate FMZ tutorial explains practical platform techniques for building automated trading strategies. It covers operating across exchanges and symbols, configuring futures and swap contracts, and handling API failures through retries, null checks,…
The document describes an order-management issue in a Binance perpetual futures example. A partially filled sell order has an original quantity and an executed quantity; subtracting the latter from the former in JavaScript produces a residual quantity with a…
This beginner tutorial explains why a live trading system may need to collect its own candlestick history. Some exchanges provide candle data directly, while others may not. The author distinguishes live use from testing: the platform supplies historical…
The essay cautions against treating a single factor as a reliable cause of an investment outcome. It uses stock reactions to restructuring announcements to show that the same news can be welcomed in a bull market and ignored or sold in a weak market. It also…
This tutorial outlines a Fisher Transform indicator calculated from the midpoint of each price bar and the highest high and lowest low over a rolling period. A ratio between zero and one controls how much the newly normalized price affects the recursively…
This essay uses hypothetical investment examples to explain how returns compound asymmetrically: a loss requires a larger percentage gain to recover, and alternating gains and losses can produce a modest long-run result despite large individual moves. It…
This FAQ explains practical design and troubleshooting points for FMZ Quant Workflow strategies. It covers host-version requirements, JavaScript-only code nodes, sequential execution, trigger behavior, reading data from connected parent nodes, and sharing…
This article introduces the KDJ stochastic oscillator, formed from the close’s position within a recent high-low range and smoothed into K and D lines, with J derived from them. It describes common interpretations: high and low readings as overbought or…
This essay uses the contest of guessing two-thirds of the group’s average to explain why a theoretically logical answer may not win when other players reason differently. Applied to speculation, its central lesson is to consider market behavior and other…
This overview organizes strategy examples collected from a cryptocurrency trading platform into three groups: basic trading aids, simple strategies for study, and strategies described as having performed well in live trading. The examples span price alerts,…
The document presents Benford’s law as a quantitative screening method for assessing whether company financial figures may have been manipulated. It explains that in many naturally occurring datasets, the first nonzero digit appears with a nonuniform…
The document traces several ways to build moving average trading rules, using a 15-minute Chinese rebar futures index as its backtest example. It starts with price crossing a single average and short-period averages crossing longer ones, then adds…
A trader asks why MACD golden-cross detection sometimes disagrees with a charting exchange during five-minute backtests. The comparison covers both simulated and live tickers over a two-day period. The trader reports that some cross signals were incorrectly…
The post asks how to identify the perpetual futures pairs with the largest 24-hour percentage price changes from exchange ticker data. The example response is a list of market records containing symbols and percentage changes, along with other fields such as…
This note introduces a charting template intended to make strategy behavior easier to inspect during development and live monitoring. It draws real-time candlesticks and marks entries and exits on the chart. The author motivates the tool with a double moving…
This article presents a modified high-frequency “profit harvester” concept for a one-way crypto perpetual-futures market. It tracks recent trades and order-book prices, then compares a short-term weighted price estimate with recent highs or lows. A move…
This forum post reports a rejected Bitcoin sell order on an OKCoin futures account. The submitted quantity was 5.99 BTC, and the exchange response said that the order quantity must be a multiple of the lot size. The accompanying logs show the displayed…
The article defines volatility as the dispersion of continuously compounded returns and explains why higher volatility, all else equal, raises option value. It distinguishes historical volatility, estimated future volatility, traders’ expected volatility,…
The post presents a chart indicator that uses the highest high and lowest low over a configurable lookback, excluding the current bar, to plot proposed long and short stop-loss and take-profit levels. Its stop logic compares the distance from the current…
This beginner guide introduces common programmed trading approaches: arbitrage, trend following, grid or return strategies, and high-frequency trading. It also distinguishes system designs that handle one or many symbols, accounts, or strategy logics. For…
This annotated strategy describes a directional grid that can operate buy-first or sell-first. In buy-first mode, it places a sequence of buy orders below an initial price at fixed intervals. When a buy fills, it places a sell order above that fill by a…