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.
11 documents
The article demonstrates how to estimate historical FX rollover payments using central bank policy rates, a broker charge, and currency conversion. It implements the calculations in both Zorro and Python. The long and short roll estimates depend on the…
The document frames trading as judging whether an asset is mispriced, then competing with others who may recognize the same opportunity. Expected buying pressure, for example, can be reflected in the price before a trader is able to act. This competition…
This article demonstrates a practical way to reduce trading costs in a crypto statistical-arbitrage portfolio: keep existing positions until they drift sufficiently far from their target weights. The example uses perpetual futures, excludes stablecoins, and…
This article advises traders with small accounts to begin with comparatively simple, forgiving strategies that support consistent process-building and skill development. It cautions that niche, high-capacity-constrained opportunities may offer attractive…
This brief article outlines a portfolio philosophy built around collecting risk premia while allowing for the possibility that active signals or discretionary views will be wrong. It proposes selecting assets with positive carry and varied exposures to…
The article presents a workflow for studying and combining signals on Binance crypto perpetual futures. It examines carry from funding rates and cross-sectional momentum alongside a breakout measure based on closeness to recent highs. The author first…
The document argues that a trading method is not an edge by itself: an edge is a positive expected return grounded in an effect that can plausibly persist. It distinguishes four possible sources—arbitrage, information advantage, risk preferences, and flow…
Carry is a position expected to earn a return as time passes, provided prices and other conditions remain stable. The document explains this through currency yield differentials, rolling bond and stock futures, and selling options, then describes perpetual…
The article explains how to express trading signals as expected returns, giving a common scale for comparing features and combining them with risk estimates and trading costs. Its example uses Binance perpetual futures and considers carry, short-term…
The article argues that a trading business needs a plausible, explainable source of returns rather than relying on discretionary chart reading or feeding features into a machine-learning model without a clear rationale. It frames durable edges as…
The article discusses two proposed crypto trading signals. The retail-flow factor uses order-book data to distinguish retail from institutional activity and treats unusually strong retail participation as a contrarian signal. The author reports a near-linear…