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.
8 documents
This notebook explains when a strategy is clearest as precomputed arrays and when it benefits from a sequential simulation that carries positions, fills, cash, realized profit and loss, or equity forward through time. Array-based backtests are attractive…
This notebook explains when a trading strategy is clearer to simulate bar by bar with evolving state than to express as precomputed signals or weights. It contrasts array-based backtests, which can be fast and convenient for parameter sweeps, with sequential…
This notebook reconstructs the selected FX pairs configuration from a frozen validation candidate set, then assesses its validation and holdout evidence. Selection uses the highest eligible validation Sharpe, with a deterministic backtest identity…
This notebook explains a local linear trend state-space model for extracting financial features from price levels. The hidden state contains a price level and its slope; observations are noisy closes. At each step, the filter predicts the state, measures the…
This notebook explains pairwise and cross-sectional features using ETF panels. It compares Engle–Granger and Johansen cointegration tests, distinguishing a stationary spread from simple co-movement. Its energy fund and crude oil fund example fails both…
This notebook turns currency-pair prediction rankings into a traded baseline. At each decision time, it forms equal-sized long and short sleeves from the highest- and lowest-ranked pairs, then evaluates them with an FX backtest engine. Equal weighting is…
This notebook explains Kalman filtering as a way to extract features from financial prices. A local linear trend state tracks both a latent price level and its slope, while an observation model accounts for noisy closes. Each update produces a filtered…
This notebook develops features that require multiple asset series. It compares Engle-Granger and Johansen tests for cointegration, explains why co-movement alone does not imply a stationary spread, and estimates hedge ratios both with a full-sample…