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.
48 documents
This recap of an Amberdata and Blockworks webinar discusses institutional participation in Bitcoin markets, with attention to derivatives, market structure, and the possible effects of a spot exchange-traded fund. It frames Bitcoin's 2023 performance and…
The document explains moving averages as averages of recent closing prices and introduces Granville’s eight buy and sell signals. These compare price with a moving average, using line crossings, direction, and distance from the average to suggest entries or…
This brief description introduces an indicator implementing a trading approach based on Woodies CCI. The stated method is to focus on patterns formed by the Commodity Channel Index in the traded market. It says the approach does not rely on the appearance of…
This overview introduces three assumptions commonly associated with technical analysis: market activity is reflected in prices, prices tend to move in trends, and historical patterns may recur. It also frames volume, price, time, and range as core elements…
This 2017 review compares commodity trading adviser factors and explores ways to combine them. It covers time-series and return-signal momentum, roll yield, basis momentum, and changes in warehouse receipts and inventories. The report says standalone…
Dual Thrust is described as a trend-following system that defines a recent trading range using the larger of two spans: the highest high minus the lowest close, or the highest close minus the lowest low, over a lookback period. The system places an upper buy…
These reading notes explain how futures can offset exposure to changes in commodity prices, exchange rates, or other market variables. A short hedge suits a party that benefits when an asset price rises and loses when it falls, such as a producer planning a…
This strategy description combines a Perfect Trend Line signal for entries and exits with a Trend Impulse indicator for direction. It is presented for five-minute Dow Jones trading. A long position is opened when the trend line changes to bullish while the…
These notes summarize the Turtle trading approach as a systematic trend-following method built around breakouts, disciplined execution, and survival through losing periods. The described rules include entering when prices exceed a prior-period high or low,…
Dual Thrust is presented as an intraday trend-following method that sets upper and lower breakout levels around the current session’s opening price. It estimates a lookback range from recent highs, lows, and closes, then scales that range with separate…
The report studies liquidity, volatility, and return distributions in the CSI 1000 near-month futures contract using minute bars over a specified 2024 sample. It examines log returns across several aggregation windows, compares full-session data with…
This guide explains two Rust workflows for running Nautilus Trader backtests. The lower-level BacktestEngine approach assembles a simulated venue, instruments, in-memory market data, and a strategy before running the engine. It allows direct configuration of…
R-Breaker is an intraday futures strategy that combines breakout entries with reversals against an existing position. It calculates six price levels from the prior session’s high, low, and close: observation levels, reversal levels, and outer breakout…
This draft presents a research framework for estimating short-horizon crypto prices from fixed-interval data. It resamples futures and spot mid-prices at 100-millisecond intervals, derives returns, and preprocesses order-book imbalance features. The proposed…
This review compares passive and active approaches to protecting U.S. equity portfolios during severe drawdowns and recessions. Its sample covers 1985–2018, including eight equity declines greater than 15% and three U.S. recessions. It discusses rolling S&P…
The document explains the Turtle trend following system as a mechanical futures approach intended to limit discretionary decisions. It covers liquid market selection, volatility based sizing using ATR, and Donchian channel breakout entries. A short term…
This report summary reviews Chinese private securities funds and market conditions around July 2018. It covers equity, bond, and commodity performance, the size and formation of the private-fund sector, and median fund returns overall and by strategy. It…
This guide explains how to create and save a strategy in the Tq trading terminal, edit its parameters, and start or stop it. It describes a strategy management area and says parameters such as contract identifiers can be changed before saving. The guide also…
This overview surveys private fund investment approaches, outlining how managers combine asset selection, portfolio construction, and risk management. It covers equity long-only, long-short, and market-neutral strategies; managed futures trend and arbitrage…
The document explains market making as continuously quoting buy and sell prices and trading against customer orders to provide immediacy and liquidity. A simple futures example illustrates spread capture when both sides fill, while showing that an adverse…
The document explains the Dual Thrust trend-following system, which defines a recent trading range from the largest of two high-to-close and close-to-low spreads. It sets upper and lower trigger levels by adding scaled versions of that range to a reference…
These notes describe several practical features of futures and over-the-counter derivatives markets. They explain how central counterparties manage standardized OTC trades through margin and default-fund contributions, while bilateral trades use master…
The document describes an MQL5 class for calculating the Relative Strength Index (RSI) with a ring buffer. The class can process a full input array or individual values, and its initialization accepts an RSI period, smoothing method, buffer capacity, and an…
This documentation overview maps backtesting data sources to asset classes, bar intervals, and setup requirements in LumiBot. It suggests Yahoo for uncomplicated daily stock and ETF tests, ThetaData for intraday stock or options history, Polygon for several…