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.
10 documents
This case study recounts a team’s experience entering crypto trading in 2021, when they viewed the market’s fragmented and developing structure as a source of inefficiencies. It describes several approaches: futures basis arbitrage, exploiting delays between…
The article explains why VIX futures can trade at premiums or discounts to the VIX index and examines how the futures curve changes with market conditions. It introduces a cash-and-carry comparison: futures require less cash than a stock purchase, leaving…
The article examines whether US election dates coincide with unusual S&P 500 returns. It describes aligning historical index returns to the nearest election, grouping observations by days before or after election day, and comparing average returns across the…
The article presents pairs trading as taking opposite positions in correlated assets when their relative prices diverge, with the expectation that the relationship will move back toward its mean. It questions the routine use of price regression to estimate a…
The document describes using the Fréchet distance to compare a price series with a predefined shape, such as a triangle or cup. Pattern arrays encode the desired shape, while parameters control the number of price bars and the pattern’s vertical scale; a…
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 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…
This short essay argues that independent traders should learn from the ideas behind institutional strategies without copying their implementations. It points to statistical arbitrage opportunities that can arise when supply and demand are uneven or when…
This introduction defines an option as a contract giving its holder a right, without an obligation, to trade an underlying asset at a specified strike price by an expiration date. It distinguishes calls, which grant the right to buy, from puts, which grant…