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 case study evaluates monthly long-short decile strategies built from US firm characteristics, comparing linear models, gradient boosting, and latent-factor approaches under point-in-time accounting lags, walk-forward validation, and era-dependent…
This notebook compares embedded, server-based, general-purpose, and trading-focused databases on financial time-series tasks: bulk writes, full scans, time-window queries, OHLCV aggregation, and trade-quote alignment. Its main lesson is that storage layout…
This analysis compares three ways to convert signed model return forecasts into binary positions: a fixed zero cutoff, a trailing percentile for each symbol, and a cross-sectional percentile across symbols. It applies the rules to registered validation…
This notebook demonstrates operational safeguards for live trading using a synthetic broker. It shows how an order is rejected when its market snapshot exceeds a configured age, and how an account-value decline can trigger a daily-loss kill switch. The loss…
This notebook measures how changing proportional transaction costs affects one validation-selected FX strategy per return label. It first selects a parent from signal, allocation, and risk-overlay candidates, then varies only the aggregate cost per traded…
This analysis explains how to read cross-sectional information coefficients (ICs) for CME futures models and how they relate to later portfolio tests. It computes each date’s rank correlation between predicted and realized returns, then averages those…
This notebook assesses whether historical ETF data can support a monthly ranking strategy before any model or forecast is built. It checks point-in-time eligibility using prior-year liquidity, counts available funds on rebalance dates, converts per-share…
This notebook investigates why two backtesting engines can produce different results from identical signals. It holds a precomputed ETF strategy fixed, forms a deterministic portfolio from its predictions, and changes execution settings one at a time. The…
This notebook evaluates validation predictions derived from equity and options research by translating them into long-only equity portfolios. It uses an equal-weight top-K baseline, compares several portfolio concentrations, and follows the label-specific…
This notebook uses NASDAQ ITCH-derived trades and order messages to illustrate market microstructure patterns. It examines negative first-order autocorrelation in tick-level trade-price returns, explaining how alternating trades at the bid and ask can create…
This notebook develops a simulated market-making task in which a PPO agent chooses quote skew and spread width. Fill probability declines as quotes move farther from the mid price, while order imbalance affects both fills and subsequent price moves. A…
This notebook checks whether the data can support a weekly, cross-sectional futures strategy before any model is fitted. It describes a design that ranks CME products, takes long positions in the highest-ranked contracts and short positions in the lowest,…
This notebook uses NASDAQ ITCH-derived trade records to examine intraday trading activity. It resamples individual trades into time bars and compares share volume, trade counts, last prices and volume-weighted prices for one ticker selected from each of…
This notebook explains how market impact grows with order size and uses the square-root participation model to frame strategy capacity. It distinguishes inputs available from market data, such as volatility and average daily volume, from the impact…
This guide introduces two sources of US equity order book tick data for microstructure research: Databento market-by-order events and NASDAQ TotalView-ITCH messages. It describes their formats, coverage characteristics, approximate data sizes, and tradeoffs.…
This notebook trains a PPO agent to schedule a parent sell order across hourly perpetual-futures bars. It augments price and volume history with the perpetual premium and time to the next funding settlement, while lagging information that would not yet be…
This notebook compares two methods for estimating bid-ask spreads when historical data contains daily open, high, low, close, and volume but no quotes. Corwin-Schultz separates spread from volatility by comparing daily and two-day high-low ranges, relying on…
This module explains how to prepare historical S&P 500 prices when ticker symbols can refer to different securities over time. It applies corporate-action adjustment factors, tracks security identifiers, and marks identity boundaries. Return calculations are…
This notebook measures how an S&P 500 options strategy's validation performance changes under different assumed fractions of the quoted spread paid. It selects one baseline strategy per model family, then reruns each across spread-cost assumptions and both a…
This document presents a reusable state machine for automated trading halts, with closed, open, and half-open states. It applies the same transition logic to four risks: account drawdown, daily loss, consecutive losing sessions, and system latency. After a…
This dataset guide compares two sources of US equity tick data for order book and market microstructure research. Databento market-by-order records provide preprocessed add, modify, cancel, and trade events, while NASDAQ ITCH supplies a raw exchange feed…
This case study evaluates daily cross-sectional signals across a broad US stock universe and lays out a long research pipeline, from point-in-time data and engineered features through model comparison, portfolio construction, costs, and holdout assessment.…
This module estimates parameters for simulated crypto markets used in reinforcement-learning environments. It loads hourly perpetual-market data for a selected symbol, computes close-to-close log returns, and fits a GARCH(1,1) volatility model. If the…
This document describes a Gymnasium environment for training an agent to liquidate a position over a fixed horizon. The observation combines remaining inventory and time with spread, market depth, volatility, and a normal or stressed regime. A continuous…