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.
4,613 documents
The document outlines a quantitative approach to forming a daily market outlook. It compares the current broad-market setup with similar historical situations, drawing on more than ten years of past market data, and uses the subsequent behavior of those…
The notes explain how to hedge an exposure with a futures contract on a related but different asset. They define the minimum-variance hedge ratio using the correlation and volatility of spot and futures price changes, then use that ratio and contract size to…
The code builds a portfolio of instruments through a greedy selection process. It first scores each eligible instrument individually, then repeatedly adds the candidate that gives the highest estimated portfolio Sharpe ratio. Correlations enter through a…
This live strategy listing describes a cycle-reversion approach with position compounding across several Binance crypto futures markets. The page identifies a one-hour chart period and says the strategy runs on a repeating schedule several times per day,…
This expert advisor follows the Ang_Zad_C indicator, entering when its indicator cloud changes color. It adds a configurable daily trading window: users set start and end times, and the system closes positions at the specified end time. If the start time…
The document describes a position size calculator for MetaTrader 4 that determines lot size from a trader’s chosen percentage risk and stop-loss distance. It offers two ways to set that distance: an Average True Range ratio or a fixed number of points. The…
This note explains how to turn daily profit and loss into a continuous account value and net asset value series when a position can grow or shrink without being fully closed. The proposed approach starts from an assumed account value, adds each day's P&L to…
The document presents a portfolio optimization problem involving integer long or short futures positions, transaction costs, expected returns, covariance, position bounds, and a target volatility range. The proposed objective subtracts transaction costs from…
The document compares hedging with cutting a position as ways to manage risk. Its central point is that reducing exposure may not be practical when the market is illiquid, as can happen with exotic derivatives, or when a position is too large to unwind…
The document presents an exam-style question about protecting a diversified portfolio that tracks the S&P 500 against a loss beyond a specified threshold. It describes a put-based hedge and an alternative replication using European calls, then asks how much…
The document collects examples and explanations of volatility pumping, also called the rebalancing premium or optimal growth portfolio. It describes the Kelly criterion as a way to choose growth-oriented exposure, and gives the example of a portfolio…
The document explores a multivariate Kelly allocation workflow for two return streams. It estimates rolling mean returns and covariance matrices from historical daily log returns, then uses those estimates to calculate changing strategy fractions. The author…
The question asks how to choose a position as a function of a return predictor to maximize expected Sharpe ratio. Returns are modeled as a predictor-linked component plus independent noise, and the question extends the objective across multiple trading…
The document examines how to hedge a 10-year bond when only a 5-year credit default swap is available. It distinguishes two objectives: protection against an issuer default over the CDS term, and reducing sensitivity to changes in market-implied credit risk.…
The document considers the capital needed to simulate a daily long–short strategy that shorts the top five gainers and buys the top five losers, allocating $200,000 to each stock. The apparent offset between the $1 million long and short sides does not…
The document asks how coefficients from a regression of one stock’s price on two other stock prices can be translated into share quantities for a spread. The example fits a linear model without an intercept, using stock A as the target and stocks B and C as…
The document asks how to extend the Kelly criterion, which seeks to maximize long-run growth, to a portfolio of correlated stocks. It points to a multivariate treatment in an investment science text and summarizes a constrained quadratic optimization model…
The post formulates Kelly sizing for multiple simultaneous bets whose returns may be correlated. It represents the outcomes as a joint return vector with a probability density and the bet sizes as a vector. Expected logarithmic wealth is then expressed as an…
The document asks how to hedge a stock modeled as geometric Brownian motion, with a stated price, zero interest rate, and known annual volatility. Its replies show that the problem is underspecified: a hedge depends on what exposure or loss measure is meant…
The exchange explains why a bond arbitrage example can show a fractional face amount even though a bond’s coupon is quoted as a rate on par. The key distinction is between the denomination and trading increment of an individual bond and the aggregate face…
The document explains what happens to a bull put spread when the position size increases. The example sells a higher-strike put and buys a lower-strike put, with stated premiums for both options. Increasing both legs from one contract to ten leaves the…
The document discusses how to calculate expectancy from a short record of trades. It presents a formula that combines the proportion of winning and losing trades with the respective total winning and losing amounts, then divides by the number of trades. In…
The document explains how multiple purchases of the same security can be tracked as separate tax lots, each with its own acquisition date, quantity, and cost basis. When a sale occurs, the shares sold are assigned to one or more lots according to a lot…
The document asks when the Kelly criterion is optimal outside familiar distributional assumptions. One response derives the criterion from repeated bets: under suitable long-run frequency assumptions, the growth rate is governed by expected log wealth, and…