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.
5 documents
This configuration defines a futures system that combines exponentially weighted moving-average crossover forecasts at several speeds with a carry forecast smoothed over 90 days. It assigns forecast scalars to the rules, caps combined forecasts, and…
This configuration describes a futures trading system that estimates forecasts from several exponentially weighted moving average crossover rules and a carry rule. The EWMAC rules pair faster and slower lookback periods, while the carry forecast uses…
This configuration describes a multi-asset systematic trading framework that combines rules for breakouts, relative and absolute momentum, moving-average trends, carry, acceleration, and skew-related factors. The rules use multiple horizons and include…
This Python module defines four types of trading forecasts from price or carry series. Its breakout rule locates the rolling high-low range, measures the current price relative to the range midpoint, scales that reading, and smooths it with an exponentially…
This document describes a raw-data stage in a futures trading system that prepares reusable price and carry calculations for later forecasting. It retrieves daily, natural-frequency, and hourly prices; computes absolute daily and hourly price changes; and…