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.
9,797 documents
The document describes a long-only strategy for the DAX using four-hour bars. It combines a detrended price oscillator with a Repulse indicator intended to capture candle buying and selling pressure. The system opens a long position when both readings exceed…
This reference explains common market-data workflows in the TqSdk Python interface. It covers subscribing to real-time quotes, monitoring updates to quote fields, and requesting K-line bars or tick series as data frames that update in place. It also…
A user reports that minute-bar open and close prices generated from CTP market data sometimes differ from values shown in mainstream trading software, with discrepancies of about one currency unit. The reply identifies a timestamp convention as a possible…
This study compares ways to hedge stock holdings, motivated by investors who hold equities as a base for IPO subscriptions and want to reduce exposure to price swings. It measures hedge costs using annualized futures discounts and compares those costs across…
This article explains how to assess a systematic futures model through test design and several complementary performance measures. It recommends testing across multiple instruments and long historical periods, and including commissions and slippage. The…
This tutorial explains the true range (TR) and average true range (ATR), then shows how to calculate and display both for a Shanghai Futures Exchange gold contract using TqSdk. True range takes the largest of the current high-low range, the gap between the…
This document is a dated overview of trading-fee arrangements at cryptocurrency exchanges, grouped into domestic and international sections. It distinguishes fixed-rate charges from maker-taker schedules and includes spot and futures fee references. For some…
This article discusses practical decisions for running systematic strategies live, including how to enter a system initially, define the active futures contract during roll periods, choose markets, manage capital, handle outages or unexpected events, prepare…
This research summary describes a machine-learning approach to predicting very short-term price changes from futures order-book data. It proposes using support vector machines with features such as best bid and ask prices and sizes, order-book depth, slope…
This article presents the volume clock as an event-based way to measure market activity, in contrast with fixed calendar time. Sampling equal-volume intervals can reduce intraday seasonal effects and may produce observations better suited to conventional…
This release note describes new features and fixes in OctoBot 1.0.4. Users can download strategies from OctoBot Cloud into a self-hosted bot, then configure them for different exchanges or assets and use the platform’s backtesting or strategy design tools to…
This document lays out a sequence of practical exercises for learning quantitative trading with VN.PY. The projects cover market data retrieval and database storage, vectorized indicator calculations, CTA strategy development, cleaning futures data, and…
This platform update describes additions to an expression engine for quantitative analysis. The new rolling functions calculate sums, means, standard deviations, variances, skewness, and kurtosis over a specified lookback while handling missing values. It…
This community post reports a failure in a VeighNa CTA backtest on Windows with a Tushare data service. Historical one-minute futures data downloads successfully and the strategy loads, but the run fails when the backtesting engine calculates performance…
The study examines timing the basis between Chinese equity indices and their futures, motivated by persistent futures discounts and uncertainty for market-neutral funds. To reduce the influence of carry components such as rates, dividends, and time to…
The DELOREAN sto SC-SV v.2.0 is described as a stochastic-style oscillator intended for volatile instruments, with Bitcoin and DAX40 given as examples. It first locates the close within a rolling high-low range, smooths that reading into K and D lines, then…
This market commentary links the inflation outlook and Federal Reserve communications to crypto sentiment, then focuses on Bitcoin positioning ahead of the April 2024 halving. It notes the reported PCE and core PCE readings, upcoming employment data, strong…
This research note introduces time-series stationarity as preparation for studying pairs trading in cryptocurrency futures. It explains weak stationarity through stable mean and variance and covariance that depends on the time gap rather than the observation…
The document describes a multi-day strategy for DAX contracts for difference using hourly signals. A QQE indicator supplies long and short triggers, while a Universal indicator acts as a directional filter. Separate month-specific multipliers scale long and…
The author explains why Bitcoin markets can suit systematic trading, citing continuous access, low entry barriers, active spot and futures markets, and opportunities across platforms. The main lesson is to understand the economic reason a strategy should…
This MetaTrader 5 expert advisor combines Supertrend direction with ADX trend strength and the relative positions of +DI and −DI. It checks signals once per new signal-timeframe bar using the prior completed candle. A long or short entry requires the…
A VeighNa community thread addresses why the official spread backtesting example cannot read data even though the same data source works in CTA backtesting. The response explains that spread-trading backtests require their own prepared dataset: data must…
The document explains tick volume as a proxy for intraday trading activity, especially in futures markets where reported contract volume may arrive with a delay. It counts the number of deals or ticks within a chosen interval, making it available sooner than…
This indicator plots account balance and equity over trading history, with optional displays for used margin and free equity. It can also show period returns, maximum drawdown in absolute and percentage terms, profit factor, and recovery factor. Filters…