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.
30 documents
This configuration specifies a long-short strategy research workflow for crypto perpetual futures. It defines a 19-asset volume-selected universe, decisions aligned to eight-hour funding settlements, and execution at the funding timestamp. The primary target…
This notebook applies configured stop-loss, trailing-stop, and time-exit rules to the strongest validation-ranked signal or allocation strategy for each futures return horizon. Each rule is assessed on its own parent strategy, with parameters fixed in…
This case study tests weekly long-short carry-ranked strategies across a diversified set of CME futures, using daily data, walk-forward model evaluation, and costs for commissions, spreads, and roll slippage. It compares signal quality across model families,…
This notebook explains feature construction from data beyond a single asset’s price history. It derives annualized futures roll yield from contemporaneous front and deferred contract prices, and uses three tenors to calculate normalized curve slope and…
This configuration defines a weekly futures research universe spanning equity indexes, government bonds, energy, metals, currencies, agriculture, and livestock. It sets Friday settlement as the decision snapshot and Monday open as the execution point. The…
This notebook builds features for a cross-sectional hypothesis: unusually costly long positioning in perpetual futures may precede relative weakness as crowded trades unwind. It transforms funding rates and premium-index data into levels, historical…