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.
12 documents
The article compares ways to organize a trading business: managed accounts, commodity trading advisory firms, proprietary funds, hedge funds, and family offices. Managed accounts are presented as a lower-cost way to manage separate client accounts and build…
The diary entry describes an early event-driven forex system and its roadmap toward more realistic trading and backtesting. It identifies components already present, including price streaming, signal generation, order execution, local portfolio replication,…
This article presents a simplified interface for configuring a forex backtest and extending it to multiple currency pairs. A Backtest object is assembled from price data, strategy, portfolio, and simulated execution components, with strategy settings passed…
The article describes updates to an event-driven forex backtesting system: generating format-compatible simulated tick files, processing daily files sequentially, supporting multiple currency pairs, and plotting equity, returns, and drawdowns. Loading one…
This tutorial uses minute-level foreign exchange prices to build return series and calculate rolling realized volatility. It defines realized volatility from squared returns over a chosen interval and applies a rolling standard deviation to represent recent…
This tutorial shows how to retrieve daily price data from AlphaVantage, convert nested JSON or CSV responses into Pandas DataFrames, and prepare several ETFs for charting. It explains that API responses may default to a limited history, describes sorting and…
This diary entry describes an attempt to build a portfolio component for an event-driven automated forex system connected to a broker API. The goal is to keep a local portfolio’s balance, realized and unrealized profit and loss, and open positions aligned…
This development diary describes changes to a forex trading system: correcting how positions use bid and ask prices, adding historical tick data from CSV files, and building an initial event-driven backtester. The position update distinguishes trade…
This diary entry describes updates to a forex backtester that enable trading multiple currency pairs and accounts denominated in currencies other than the traded pair. It explains how positions convert profit and loss from the quote currency into the account…
This tutorial describes Stooq’s downloadable historical price data and ways to prepare it for analysis. It explains ticker suffix conventions, regional and frequency-based downloads, and the nested directory structure. A single security’s OHLCV file can be…
This diary entry describes a Python architecture for automated forex trading through a broker API, with practice and live endpoints. A streaming price handler places bid and ask ticks on a shared event queue; a strategy turns tick events into orders; and an…
This tutorial describes a workflow for retrieving intraday foreign exchange aggregates from a market data API, formatting timestamps, plotting closing prices, and calculating percentage returns. It illustrates the process with a major pair and a less…