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 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…
This Chinese research summary examines whether intraday data can support sector rotation signals, focusing on realized skewness and the share of volatility attributable to downside moves. It describes constructing industry level factors inspired by high…
The forum post addresses why the Average True Range calculated in VeighNa may differ substantially from the value shown in TradingView. It proposes checking several potential causes: differences in the ATR formula or smoothing method, discrepancies in the…
A VeighNa community exchange distinguishes the roles of two option modules in version 3.9.3. It describes the open-source OptionMaster as intended for semi-automatic volatility trading, while the Elite edition's OptionStrategy module is designed for fully…
This forum post discusses a multi-timeframe CuatroStrategy implementation. Its five-minute handler updates a bar manager, waits for both five- and fifteen-minute data managers to initialize, then uses RSI and Bollinger Bands to place stop entry orders in the…
This article outlines the engineering challenges of researching and backtesting systematic options strategies. Because listed contracts change over time, a historical test needs an accurate record of which contracts were available on each date. The described…
This event outline introduces options volatility trading through pricing theory, portfolio profit and loss, and the role of delta hedging. It distinguishes historical volatility, implied volatility as reflected in option time value, and realized volatility…
A brief Chinese-language forum exchange addresses how to obtain real-time VIX data when a trading interface does not provide it. The questioner says the strategy requires live VIX values and asks about manually subscribing through a data service. A…
This short example demonstrates adding three technical-analysis series to closing-price data: a linear regression value over a 14-period window, a time-series forecast over the same window, and a standard deviation over five periods. It also shows plotting…
A forum post reports a numerical problem when calculating implied volatility for deep out-of-the-money December put options on a ChiNext ETF. The author says the issue appeared while using an option pricing module for European stock options and processing a…