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.
5,922 documents
This introduction explains how block-based visual programming can express trading logic without requiring the user to write conventional code. It demonstrates building a basic output action, then describes a digital-asset rebalancing example based on current…
The article introduces Markowitz modern portfolio theory as a framework for choosing asset weights by balancing expected return and risk. It explains that portfolio risk depends not only on each asset’s volatility but also on covariance between assets, so…
The article reviews a 2021 basket of Binance perpetual-contract cryptocurrencies and compares holding an equally weighted index with rebalancing strategies. It constructs normalized price series, fills missing prices, and compares average and median…
The document explains a basket strategy that ranks assets by an expected-return signal, buys the highest-ranked group, and shorts the lowest-ranked group with equal dollar exposure. The intended market neutrality reduces sensitivity to broad market moves,…
The document introduces visual programming for trading strategies, showing how to select candle data, calculate price changes, and express patterns such as a sharp rise with higher volume or a price gap. It also reviews moving averages, MACD, and KDJ as…
This article adapts a fixed-allocation rebalancing idea to Bitcoin and cash. It begins from equal market values, calculates half the gap between cash and the Bitcoin position, and trades when the imbalance exceeds a threshold. When Bitcoin’s value rises…
The document introduces value at risk as an estimate of portfolio loss over a chosen horizon at a specified confidence level. It outlines parametric, historical simulation, and Monte Carlo approaches, then focuses on historical simulation: calculate…
APFF is a framework for ranking a changing universe of crypto perpetual futures and combining interpretable signals into a long-short portfolio. Its seed factors cover momentum, short-term reversal, funding, premium, and open-interest behavior.…
The article adapts risk parity to contracts representing BTC, equities, gold, and crude oil. It aligns hourly price data, calculates log returns, estimates covariance with an exponentially weighted scheme, and iteratively adjusts signed weights to bring…
The article develops a market-neutral rotation strategy for volatile crypto perpetuals. It ranks contracts using both price momentum and funding rates, goes long the strongest group and short the weakest with balanced notional, and estimates factor weights…
The document explains two approaches that seek to trade price fluctuations: a balance strategy that restores a target share of portfolio value in crypto, and a grid strategy that places buys and sells at preset price levels. It distinguishes their inventory…
The document contrasts rule-based quantitative trading with discretionary trading based on a person’s experience and judgment. It characterizes quantitative systems as explicit rules for entries, exits, and fund management that can be applied consistently…
This advice article distills trading habits attributed to interviews with 19 digital-currency professionals. Its central recommendation is to write down entry, exit, and contingency rules before trading, then follow them when predefined conditions occur. It…
This document explains a threshold-based rebalancing strategy adapted from a stock-and-bond allocation model to a cash and Bitcoin portfolio. It starts with equal values in cash and BTC, then sells BTC after appreciation or buys it after a decline when the…
This chapter presents practical ways to refine a trading strategy before deployment. It recommends acting on real-time prices when a closing-price model delays entry or exit, while emphasizing that the benefit depends on the strategy’s logic. For parameter…
The article proposes an automated workflow for finding relative-value baskets from a universe of instruments. It arranges log prices in a time-by-instrument matrix, uses singular value decomposition to estimate common movement and residual directions, and…
This tutorial presents a beginner framework for testing factors across a universe of USDT perpetual futures. It starts with hourly price, volume, trade count, and aggressive-buy data, then describes factor evaluation through forward-return regressions,…
The document explains Shannon’s Demon, a portfolio strategy that repeatedly rebalances between cash and a volatile asset. In a simplified random walk, the strategy can gain from price fluctuations even when the asset has no positive expected return. The…
This article presents behavioral and portfolio guidelines for cryptocurrency traders: risk only funds they can afford to lose, diversify, research assets independently, plan profit-taking and stop losses, and review mistakes. It also advises tracking…
The document explains a market-neutral portfolio approach that ranks a universe of related assets, buys equal-sized positions in the highest-ranked group, and shorts the lowest-ranked group. Its returns depend on whether the ranking factor separates future…
The document presents a historical overview of managed futures trading systems in three broad generations. Early systems are described as relatively simple trend followers, often using moving-average rules in a period characterized by persistent commodity…
This article offers practical rules for speculative cryptocurrency trading, centered on limiting financial exposure, monitoring Bitcoin’s influence on altcoins, diversifying holdings, setting profit targets, researching claims independently, and using stop…
This document explains how Pearson correlation can describe the relationship between cryptocurrency prices and Bitcoin, then explores whether that relationship contains a relative-performance signal. Using four-hour Binance data for 144 currencies listed at…
This introduction explains how Markowitz portfolio theory uses expected returns, volatility, and asset covariances to evaluate diversified allocations. Because portfolio risk depends on how assets move together, imperfect or negative correlations can reduce…