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.
27 documents
Grid trading places orders at regular price intervals above and below a reference level to seek gains from market fluctuations without requiring a directional forecast. The described design opens successive buy orders as price falls, then places a sell…
The document surveys option buyer and seller risks, then explains dynamic delta hedging as a way to manage directional exposure. It describes how delta changes with the underlying price, time to expiration, and volatility, and illustrates rebalancing a short…
This introductory guide explains call and put options, the distinction between in-, at-, and out-of-the-money contracts, and key features of China’s 50ETF options, including contract size, exercise style, settlement, and price limits. It emphasizes that…
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,…
This article explains how to make the lookback length in a range-breakout strategy vary with volatility. A fixed N-day breakout may enter quickly during strong trends but can produce repeated signals in sideways markets. The proposed adjustment compares a…
This overview presents ten intraday breakout concepts. They use reference levels drawn from prior-session highs and lows, the opening price, an initial post-open range, recent consolidation, average price, or measures of historical and intraday ATR. In each…
This guide treats a trading strategy as a complete set of rules covering what to trade, position size, entries and exits, order placement, and responses to unusual conditions. It surveys broad strategy families and recommends trend trading as an accessible…
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 article describes the infrastructure and workflow needed for systematic options trading. It emphasizes collecting and organizing data across many strikes and expiries, then computing pricing and volatility measures that can support historical analysis…
This Chinese allegory presents three approaches through hunters facing animals that move within ranges, trend in one direction, or wander unpredictably. The range trader waits near perceived boundaries and considers fading an extended move only after it has…
This introduction explains technical analysis as the study of an asset’s price history and chart behavior to inform trading decisions. It presents charts as a visual way to inspect past prices, current direction, movement variability, and signs of market…
The article introduces financial time series as sequential observations modeled as realizations of stochastic processes. It identifies trends, seasonal variation, and serial dependence as recurring features, with volatility clustering and commodity…
The document presents a hand-written Average True Range calculation and asks for an equivalent implementation using pandas without a technical-analysis library. For the first record, true range is the high minus the low. For later records, it is the greatest…
The document describes three common mistakes made by new options traders: buying far out-of-the-money calls without accounting for timing and time decay, relying on one strategy in every market, and trading without a preplanned exit. It explains that an…
The article uses gambling and trading stories to explain why survival and capital preservation come before pursuing returns. Roulette illustrates how a small house edge compounds with repeated play, while blackjack card counting shows how a positive edge can…
The article explains how time affects option value and describes calendar, or horizontal, spreads as a way to trade that effect. A calendar spread pairs options on the same underlying with the same strike and type but different expirations, typically selling…
This essay explains black swan events as rare occurrences with unusually large consequences and focuses on the distinction between known risks and unknown unknowns. It uses historical market crashes, a casino liability, terrorism, an epidemic, and the…
The document outlines a stock grid strategy that places buy and sell orders at fixed percentage intervals. Its example divides the stock position into ten portions and uses a 5% grid: sell a portion after each rise and buy one after each decline. It…
The speech explains how option-focused funds seek returns by assessing the risk environment, comparing implied option prices with estimates of risk, and spreading trades across contracts and products. It frames options as insurance: sellers may collect…
The article describes a constant-mix strategy inspired by Claude Shannon: hold equal portions of an asset and cash, then rebalance after large price moves. Rebalancing sells some of the asset after gains and buys after losses, harvesting price fluctuations…
This article outlines a Turtle-style trend-following system for stocks. It frames a complete trading plan around market selection, position size, entry, loss exits, profitable exits, and trade rules. Position size is tied to account equity and the 20-day…
The document describes an intraday volatility breakout approach proposed for EUR/USD and the DAX on 30-minute and hourly charts. It compares a one-period average true range with an average daily high-low range calculated over the prior three days. When…
This stock screen selects shares with a daily price range above 1%, free float no greater than 5.5 billion shares, and turnover between 2% and 9%. The article presents the combination as a way to find stocks with notable price movement, a smaller share base,…
This essay contrasts the stabilizing intuition of averages and Gaussian distributions with the outsized effects of rare events in systems described by heavy-tailed or power-law behavior. It explains that averaging becomes informative under assumptions such…