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.
139 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…
The report describes a CTA approach for Chinese stock index futures that combines weekday return patterns with intraday effects. Its analysis notes higher return probabilities overnight and during the first half hour after the open, and different weekday…
This presentation interprets findings from a 2021 survey of Chinese quantitative investment institutions and discusses how the sector was developing at that time. It covers strategy mixes, research organization, talent, artificial intelligence, alternative…
This meetup Q&A contrasts futures CTA strategies, often framed around trend following, with equity multi-factor strategies that combine signals such as value, momentum, quality, and size. It outlines a Bollinger Band example for futures: calculate a…
This short forum post gives a data access pattern for retrieving historical benchmark or stock data from a trade module. The example requests closing prices and volume for a benchmark symbol over a specified lookback, using daily frequency, and assigns the…
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…
The document discusses how to estimate hedging costs for Chinese equity index futures. It argues that raw futures premiums or discounts need adjustment for time to expiry, convergence, and expected dividends. A dividend model and quadratic equation are…
This 2018 weekly report reviews a sharp post-holiday decline in Chinese equities, noting that large-cap leaders held up better than smaller companies. It interprets price structure, valuation, and long-term support as signs that the market was in a potential…
This market-monitoring report summarizes Chinese trading conditions for July 13, 2022. It reviews broad index and sector performance, then gauges equity sentiment using limit-up and limit-down counts, next-day returns for stocks that had hit either limit,…
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…
The post asks whether an AI system can infer a profitable futures trader’s approach from minute-level transaction records and then automate similar decisions. The trader reportedly combines minute-bar patterns with discretionary market feel, making the…
This 2022 overview describes Hong Kong as a base for international and Chinese quantitative asset managers and as a channel for overseas investors seeking exposure to mainland China. It cites hiring and regional-office examples involving Citadel and Two…
This 2018 report reviews managed futures, including how CTA strategies trade futures and options and how they differ by analysis method, trading style, holding period, and markets covered. It describes systematic and discretionary approaches alongside trend…
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…
The document introduces R-Breaker as a futures strategy that combines breakout entries with reversal signals. It describes calculating daily pivot, resistance, and support levels from the previous session’s high, low, and close, then using those levels to…
This brief platform discussion concerns an error encountered while plotting intraday minute bars for a futures strategy. The response identifies a data-availability issue: fields such as adjustment factors and suffixed close-price columns are not present in…
This weekly report assesses Chinese equity-market sentiment after a sharp March decline and a subsequent rebound. Its composite sentiment score rose from 38 to 51, while the authors judged that near-term further weakness had become less likely, despite…
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,…
A BigQuant user asks why a strategy continues to submit buy orders even though the platform logs cancel them for insufficient cash. The example allocates a daily portion of portfolio value, reads the reported cash balance, calculates an order value, and…
The document summarizes a study of deep value episodes, defined as periods when the valuation gap between cheap and expensive securities is unusually wide relative to its history. The study examines individual stocks across global markets, equity index…
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…
This overview outlines a quantitative workflow: collect and clean data, develop a strategy, manage risk, backtest on historical data, and automate execution. It then sketches strategies for Chinese equities and futures, including Turtle-style breakouts,…
This support exchange diagnoses why a futures Bollinger Band strategy produced no backtest results. The reported cause is a mismatch between the date ranges: the data extraction module supplied data from 2021, while the backtest was set to run in 2024. Since…
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…