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.
14 documents
The document outlines three broad stages in the development of commodity trading adviser strategies. It attributes early CTA success in the 1960s and 1970s to persistent commodity trends associated with economic growth, inflation, and oil-market shocks.…
The article develops a relative-value framework for Chinese rebar and iron ore futures. Because iron ore is a major steelmaking input, their prices are linked, but the author argues that simple steel-margin formulas can be distorted by coke prices,…
The article distinguishes following a visible trend from trying to anticipate how large participants may use crowded positioning. It argues that traders should first assess the broader trend, while recognizing that directions can differ across chart time…
The article explains why a high win rate alone does not ensure long-run profits. Traders may close winners too early and let losing positions grow, so the size of gains and losses matters alongside their probabilities. It also argues that trading systems…
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…
This example outlines a multi-instrument commodity futures strategy built on a CTA framework. For each symbol, it reads historical bar records and current position, waits until enough data exists for the slower lookback, then compares fast and slow…
The author frames futures prices through two connected forces: the underlying spot market and the behavior of market participants. Spot supply and demand are proposed as the main influence on longer-term direction, while collective impulses, herding, fear,…
The article explains calendar spread trading as taking positions on price differences between futures contracts for the same commodity but different delivery months. It groups potential spread drivers into supply conditions, capital flows and position…
The article recounts two forms of Shanghai Futures Exchange copper delivery arbitrage. One exchanges warehouse locations by delivering from Ningbo while requesting Shanghai allocation, then seeks to profit if the recipient of the less convenient warehouse…
The article examines three futures strategies in China’s oilseed complex: soybean crush spreads, soybean oil versus palm oil substitution spreads, and soybean oil versus soybean meal companion spreads. It outlines the production and consumption logic behind…
The article describes a discretionary system-building process and a trend-following approach intended to withstand prolonged sideways markets. Its central method uses a higher timeframe to define direction and manage the trailing stop, while a lower…
The document explains why futures backtests need a method for joining contracts with different expiries and prices. It compares three approaches: Panama adjustment, proportional adjustment, and a rollover series that blends adjacent contracts over several…
This profile follows a quantitative trader’s shift from intraday models toward medium-frequency futures strategies grounded in industry knowledge. He argues that statistical relationships alone can be fragile: attractive historical fits may reflect…
This essay compares the foundations of value in fiat money, gold, and Bitcoin. It describes fiat currency as resting on state authority and public credit, while gold historically served as a monetary anchor because of its scarcity, durability, and usefulness…