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.
3 documents
This strategy tests whether two price series can support a mean-reverting spread. It applies augmented Dickey–Fuller tests to each series and their first differences, then uses a linear regression to estimate a hedge ratio and intercept when the series…
The document demonstrates a workflow for backtesting a Dual Thrust strategy and reviewing its performance with Pyfolio. It configures a CTA backtest engine, sets the date range and storage location, and creates a strategy instance with a futures contract,…
This example configures a genetic algorithm optimizer to search parameters for a Dual Thrust futures strategy. It shows how to define an objective from average winning and losing trade results, assign fixed and variable parameters, set a backtest environment…