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.
69 documents
The document describes a commodity futures strategy that ranks 28 markets by changes in Twitter-derived sentiment. It calculates daily sentiment from keyword-matched posts using a financial sentiment dictionary, then forms equal-weighted long and short…
This document is a brief outline of a presentation on machine learning in finance. It names four application areas: Lasso regression for commodity futures price prediction, decision trees for detecting possible financial fraud, logistic regression for…
This article explains risk parity as an allocation approach that assigns comparable risk contributions across assets or risk factors, unlike capital-weighted mixes such as a conventional stock and bond portfolio. It lays out assumptions behind the method,…
This article explains a Dual Thrust trend-following method and its application to a basket of nickel, rebar, and coking coal futures. It defines a range from historical highs, lows, and closes, then sets upper and lower breakout thresholds around the current…
This weekly market commentary reviews Chinese equity index moves and sector themes for August 8–14, 2022. It highlights Chiplet-related stocks and financial firms, linking the former to semiconductor packaging developments and the latter to expectations…
This report examines whether commodity futures signals and trades should use the most liquid main contract or an actively traded near-month contract. It defines active near-month contracts using liquidity and price sensitivity, then compares contract choices…
This Chinese-language research summary reviews gold’s strong performance through mid-2020 and discusses drivers including heightened pandemic uncertainty and monetary easing. It reports substantial global gold ETF inflows and describes gold’s historically…
This guide outlines a workflow that combines TQ EDB market and indicator data services with Coze as a conversational research assistant. After adding the EDB skill, a researcher can describe a task and request data retrieval, idea checks, simple backtests,…
The document explains gold contracts for difference as cash-settled derivatives that provide exposure to gold price changes without holding bullion or futures. It outlines features such as leverage, smaller contract sizes, the ability to take long or short…
This report summary compares cross-sectional, market-neutral commodity futures strategies based on inventory deviation and historical momentum. The inventory signal favors commodities with inventories below their own trend and shorts those above trend. It is…
The script describes a spread-trading approach linking methanol futures with polyethylene and polypropylene futures. It estimates an MTO production margin by valuing the two polymer contracts together and subtracting the methanol input cost, adjusted for…
This research summary studies iron ore returns using factors from the commodity supply chain as well as macroeconomic variables. It groups fundamental drivers around supply, demand, inventories, and costs, and reports findings from a vector autoregression…
This report reviews the issuance and performance of Chinese private CTA products in the first quarter of 2018, then discusses equity index futures, government bond futures, and commodity markets. It links strategy ideas to changes in volatility, trading…
This report reviews Chinese market and exchange-traded product developments for the week of March 30 to April 3, 2020. It summarizes moves in domestic equity indexes, bond yields, precious metals, currencies, and traded ETP categories. Equity and…
This article explains a cross-sectional futures strategy that ranks commodity contracts by roll yield, going long markets in backwardation and short markets in contango. It distinguishes weekly signal-based direction changes from contract rolls: the former…
This note explains average true range (ATR) as a measure of price movement, then uses it to define a channel around a moving average. The middle line is the 25-day average closing price, and the upper and lower bands sit two ATR units above and below it. A…
This market outlook examines whether a narrowing or inverted spread between long and short US Treasury yields reliably signals an approaching recession. It argues that historical examples of a true ten-year versus one-year inversion are limited, and that…
This document outlines a long-horizon commodity futures strategy that uses machine learning to forecast the following week’s direction. It calculates signals at the end of each week and adjusts positions on the first trading day of the next week using TWAP…
This report outlines a framework for researching quantitative commodity signals in iron ore. It groups inputs into fundamental factors covering supply, demand, and inventories, plus a separate sentiment category. Because fundamental data updates less…
This tutorial outlines a workflow for modeling Chinese steel futures using high frequency market data. It starts with tick snapshots for the RB2305 contract, explains that futures may trade during night sessions, and resamples the raw observations into ten…
This report develops indicators from the gap between actual Chinese economic releases and market forecasts. It groups indicators into growth, liquidity, and inflation categories, assigns expected effects on domestic equities, bonds, and commodities, and…
The report reviews two major historical gold rallies and argues that the drivers of gold prices vary over time. It examines two short-term and four long-term factors, using rolling correlations to show that relationships between these factors and gold are…
This excerpt summarizes a Chinese weekly research note on machine learning and commodity trading advisor strategies. It reports recent results for a neural network strategy on the CSI 500, a commodity futures strategy, and a commodity strategy combining…
This research summary links debt-cycle phases across government, financial, and household sectors to movements in bonds, equities, and commodities in China. It describes a transmission mechanism: rising leverage and easier credit may support bond prices,…