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.
58 documents
This tutorial develops an earlier cryptocurrency spot hedging bot for trading price spreads between two exchanges. It adds optional spot margin mode switching for Binance, separate trigger thresholds for trades in each direction, chart lines and live spread…
The article introduces calendar spread arbitrage as opposing positions in contracts on the same underlying asset with different maturities. It describes monitoring the price difference between crypto contracts and acting when the spread widens beyond a…
This talk overview explains four broad approaches to quantitative trading: market making, statistical arbitrage, price prediction, and microstructure trading. Market makers post bids and offers to supply liquidity and seek to earn the spread, while managing…
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 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 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,…
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…
The article explains a box spread formed from four options at two strike prices: a lower-strike call is bought, a higher-strike call is bought, and puts at the two strikes are sold and bought in the corresponding legs. It presents the position as the…
The author explains why Bitcoin markets can suit systematic trading, citing continuous access, low entry barriers, active spot and futures markets, and opportunities across platforms. The main lesson is to understand the economic reason a strategy should…
The document introduces quantitative trading as the use of computers, mathematics, statistics, and a systematic process to develop signals for buying and selling. It briefly describes the field’s history, including Jules Regnault’s work on price variation,…
This tutorial describes a simple spot arbitrage approach across two cryptocurrency exchanges: buy on the venue with the lower price and sell on the one with the higher price when the spread is large enough to cover trading costs. It explains that the…
The article explains why automated trading needs explicit order-state management. A signal does not guarantee a fill: an order may remain open, fill partially, be canceled, or require a replacement. The program should track the action it submitted and wait…
This Chinese-language overview groups trading systems into trend-following, countertrend oscillation, swing, arbitrage and hedging, and intraday categories. It names examples built around moving averages, breakouts, oscillators, chart patterns, spreads, and…
The author warns that a martingale strategy can show attractive returns during calmer conditions while accumulating exposure that may lead to severe drawdowns or liquidation when volatility rises. The post recounts an anecdotal case in which several live…
This note explains two cash-and-carry approaches to perpetual futures funding. When funding is positive, it buys spot and shorts the perpetual contract to collect payments from longs. When funding is negative, it describes borrowing and selling spot while…
The account describes a historical nickel trade built around a persistent discount in physical nickel relative to futures, growing exchange inventories, and continuing imports of Russian nickel. Because imports could be profitable while domestic stainless…
The document explains how restructuring an arbitrage scanner can reduce computation when it checks many paths across exchanges and trading pairs. It recommends separating the quick profitability check from the more detailed calculation of order prices and…
The document describes a cash-and-carry strategy for crypto perpetual futures. When a perpetual contract trades above spot and its funding rate is positive, the trader sells the perpetual and buys an equivalent amount of spot, aiming to collect funding…
This product description outlines a multi-exchange hedging system intended to capture price differences across venues. It lists implementation features including parallel order-book retrieval and order placement, simulated account updates, retrying exchanges…
The article examines price differences between a domestic Bitcoin exchange and a foreign exchange. Its initial strategy is to buy Bitcoin abroad, transfer it to the domestic venue, and sell at the higher local price. The author accounts for purchase,…
The document surveys systematic fund approaches and the markets where they are commonly used. It distinguishes trend following, countertrend trading, statistical arbitrage, convertible arbitrage, fixed income trades, commodity spreads, and global macro or…
This teaching example outlines a basic arbitrage strategy for digital-asset spot markets across multiple exchanges. It gathers account balances and quotes, adjusts buy and sell prices for exchange fees, and compares venues to find opportunities to buy on a…
This case study follows a live statistical-arbitrage strategy trading the residual between the EWY Korea ETF and Samsung Electronics and SK Hynix. A rolling log-price regression estimates hedge ratios; the residual is standardized into a z-score, with…
This annotated educational strategy describes hedging cryptocurrency spot exposure across multiple exchanges. It aims to exploit price differences by buying on the venue with the lower effective price and selling on the venue with the higher effective price,…