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.
9 documents
This note asks whether markets that perform well for trend-following do so because their prices have drifted favorably, because of carry, or because they convert those effects into trend signals more effectively. It compares bonds, foreign exchange, metals,…
The document explains why “CTA” can refer to several overlapping ideas: a US regulatory category, an adviser operating managed accounts, a manager of futures strategies, or a modern investment fund. It contrasts traditional managed accounts, where clients…
The document discusses several systematic trading ideas. It frames short volatility as harvesting the gap between option-implied and expected realized volatility, using short volatility futures with a constant negative forecast and volatility-based position…
The article describes the components and operating choices of a long-running automated futures system. Its rules combine trend and momentum signals, breakouts, carry, relative signals, skew, acceleration, and mean reversion. Forecasts are weighted across…
This article evaluates a hierarchical, handcrafted method for allocating weights among trading rules and instruments. The method is intended to be transparent enough for spreadsheet implementation, grounded in theory, and responsive to uncertainty in…
This article develops a simple breakout trading rule and evaluates different lookback speeds across a set of futures markets. It discusses forecast scaling, turnover, and how trading costs can make the fastest breakouts impractical. The author notes that…
This document describes how a futures system can select contracts and move positions as delivery months change. It frames contract choice around liquidity, trading costs and calendar spreads, volatility and kurtosis, contango measurement, price action, and…
The document describes a method for checking whether trading forecasts carry information beyond their direction. It pairs forecasts from moving average crossover and carry rules with subsequent price changes over an estimated average holding period, then…
The document explores whether interest-rate conditions can help tailor CTA allocations across fixed-income futures and trading rules. It proposes meta-prediction: group historical strategy returns by a regime variable, then compare performance across those…