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.
243 documents
This configuration describes a daily, long-short US equity strategy that ranks a broad stock universe by model predictions, buys the top decile, and shorts the bottom decile with equal weights within each group. It specifies next-session open execution,…
This notebook turns model rankings into simple crypto perpetual portfolios. At each funding timestamp, an entry rule selects contracts from the top or bottom of the ranking and assigns equal weights. Equal weighting provides a reference point: comparisons…
This notebook measures how validation Sharpe for at-the-money S&P 500 option straddles changes across assumed execution costs and two option universes. It expresses spread cost as a fraction of the quoted option half-spread, since option premium and…
This notebook explains how to assess whether strategies built on a US equities panel can withstand trading friction. It fixes one configuration per label using validation Sharpe, then reprices that same strategy across declared cost levels. This prevents the…
This document explains how to represent a live order’s lifecycle as a finite set of states and valid event-driven transitions. It covers submission, broker acknowledgment, exchange acceptance, partial and full fills, cancellation requests, rejection, expiry,…
This notebook shows how to translate gross returns into net performance under explicit trading, financing, and fund-expense assumptions. Its cost stack includes spread and market impact, commissions and exchange fees, margin interest, stock borrow,…
This notebook compares behavior cloning with inverse reinforcement learning (IRL) for learning from execution records. Its demonstrations come from a TWAP schedule, whose risk-neutral objective is known: spread trades evenly to limit impact while accepting…
The notebook presents the Almgren–Chriss framework for scheduling a large liquidation. It measures implementation shortfall against the arrival price and models two competing costs: market impact, which rises with trading intensity, and timing risk, which…
This notebook walks through a deployment cycle for a daily FX pairs model using Interactive Brokers as both the live data source and execution venue. It trains a Ridge regression model on a historical panel, computes a compact set of daily return, momentum,…
This study re-prices leading ETF allocation and risk-control combinations across two cost grids while holding each registered strategy configuration fixed. One grid uses basis points per trade; the other uses per-share commission and half-spread, the…
This notebook examines retained results from a real-strategy audit comparing the LEAN engine with matching ML4T Backtest profiles. It identifies the asset-class workloads supported by the frozen inputs and reports parity evidence across fills, valuations,…
The notebook contrasts two ways to divide a large equity order into child orders over a trading session. TWAP sends roughly equal quantities at each interval and needs no market forecast. VWAP allocates shares according to an estimated intraday volume…
This notebook tests whether portfolio construction can rescue a cost-defeated, every-bar NASDAQ-100 strategy. It selects leading baseline predictions using the declared selection universe, then runs the allocation comparisons on the full universe. The sweep…
This chapter describes a path from research to live execution built around strategy logic that can run in backtest, paper, and live settings. It covers broker and platform integrations, deployment loops, data and feature parity checks, order lifecycle…
This notebook implements a long-only RSI mean-reversion rule for BTC/USDT perpetual bars using an event-driven backtesting engine. It aggregates intraday observations into UTC daily bars, calculates a simple rolling gain-and-loss RSI, enters when the…
This document explains how TWAP and VWAP divide a large parent order into child orders over a trading session. TWAP allocates equal shares to each time interval; VWAP allocates shares in proportion to a forecast of interval volume. The notebook estimates…
This feasibility analysis evaluates whether quote data can support a market-neutral, cross-sectional strategy that ranks NASDAQ-100 constituents at a fifteen-minute cadence and holds both ends of the ranking. It checks whether enough eligible symbols are…
This notebook evaluates validation predictions as long-only equity portfolios, using equal-weight top-K selection and a decision schedule determined by each label's cadence. It checks the close-to-next-open event ordering with a seeded random-signal run,…
The notebook studies whether order-book activity predicts near-term returns for NVDA. It builds a distance-weighted measure of book pressure from market-by-order adds, cancels, and fills, then smooths the signed activity to represent liquidity changes near…
This notebook demonstrates connecting a shared ETF momentum strategy interface to Alpaca, with a simulated offline path available by default. It explains how broker and market-data adapters can change while the strategy, order log, and shadow-mode wrapper…
This notebook compares gross and net Sharpe across strategy cost sweeps drawn from case-study backtests. For each deployed strategy configuration, it reads the assumed per-leg cost and rebalance cadence from recorded artifacts, interpolates Sharpe at the…
This notebook measures how a selected US firm-characteristics strategy’s validation performance changes as assumed commissions and slippage vary. It re-runs the same configuration across a declared cost grid, splitting each total charge evenly between…
This configuration describes an intraday study of order-flow signals across a point-in-time NASDAQ-100 universe. It defines a cost-screened subset using liquidity information available before each evaluation period, specifies decision schedules for several…
This notebook explains how a volume participation limit constrains the quantity of a parent order that can fill during each market interval. A broker calculates the allowed slice from observed traded volume and carries any unfilled remainder forward. Lower…