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
This event outline describes a quantitative study of option spread strategies, with a focus on gold options. Topics include straddles and strangles, bull and bear spreads, butterfly spreads, and put-call parity. It proposes examining the structure of these…
The discussion raises two practical issues for CTA strategies: protecting source code when running a strategy on another computer or server, and adapting a strategy as a futures market’s active contract changes. Replies point to a strategy-encryption guide…
The post outlines a way to backtest a continuous sequence of dominant futures contracts in a VeighNa-based system. It argues that an exchange-style continuous index can differ from trading actual contracts because it blends contract prices and may produce…
A VeighNa community exchange addresses a user’s report that some commodity option contracts cannot be found. The reply suggests checking whether the affected module was started only after the main interface logged that contract queries had succeeded. This…
A forum exchange asks whether vn.py version 3.9.1 can still use a TqSdk account to obtain historical data, and what naming convention TqSdk uses for continuous main contracts. The question gives the example of downloading tick history for the main silver…
A trader reports an error while running an rb-hc spread strategy in a simulated environment. The failure occurs when the strategy attempts to convert its current grid position into an integer target position, but the value is NaN. The trader suspects that a…
This forum exchange explains why historical prices for a continuous Dalian soybean futures series may differ between the Xt data center and VeighNa downloads. The main issue identified is the adjustment method: VeighNa’s data feed requests ratio-adjusted…
This event announcement introduces spread trading as a relative-value approach that focuses on price differences between related futures contracts or between futures and spot instruments. The idea is to trade whether a spread has moved outside a reasonable…
The document describes a vn.py and CTP gateway modification for creating live commodity futures indices and identifying each product’s dominant contract. It proposes weighting real contracts by their previous day open interest, selecting a main contract only…
This forum exchange addresses an identifier error when setting up silver options in VeighNa. A user reports that using “ag” as the option portfolio name causes a KeyError during backtesting or simulated trading, despite having downloaded option data and…
This brief VeighNa community exchange concerns downloading custom Wind indices through the platform’s data-management interface. A user asks whether self-defined index series, including weighted commodity indices, can be fetched and what code and exchange…