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.
2,013 documents
This retrospective examines US exchange traded products and China’s ETF market during 2020, covering fund flows, product launches, fees, providers, regulation, and investor preferences. In the United States, bond ETF inflows were strong amid Federal Reserve…
This research note describes a tactical asset allocation method that converts the tone of company and macroeconomic news into a slower-moving signal. News sentiment scores are aggregated weekly, then filtered with a two-sided cumulative sum (CUSUM) procedure…
This overview presents LumiBot as a Python framework for writing conventional rule-based strategies, AI-agent strategies, or combinations of the two. Its workflow supports running historical backtests before connecting to a broker, then running a strategy in…
This introductory article defines a trading strategy as a plan specifying what to trade, when to enter and exit, and how much capital to risk. It says the plan should reflect the trader's goals and tolerance for losses, and describes technical analysis, risk…
The document summarizes a research study that applies hidden Markov models to identify regimes for individual assets and adjust portfolio exposure in response to price trends. It describes a global allocation analysis spanning January 2004 through December…
The document describes a tool for assessing portfolios of expert advisors (EAs) across three dimensions: correlation between daily profit-and-loss series, the hours and weekdays when strategies trade, and diversity across asset classes. It combines dimension…
This report overview describes how artificial intelligence may be applied across investment management, including portfolio research, investment decisions, trading, risk control, product development, and client marketing. It highlights information…
This document summarizes a documentary series on the development of money and financial systems. Its topics include the origins and social role of credit and debt, the rise of securities markets and sovereign borrowing, insurance and the welfare state,…
The document discusses the rapid growth of China’s quantitative private fund industry since 2019. It attributes that expansion to growing volumes of data, better data processing, and market inefficiencies that may offer more alpha opportunities than mature…
This Chinese-language research summary describes a top-down framework for institutional fund allocation that connects macro asset views with strategy and product selection. It argues that asset allocation recommendations need to flow through to specific…
This research report presents Qualified Domestic Institutional Investor funds as an accessible route for mainland Chinese investors to gain overseas exposure. It argues that international assets can diversify portfolios because their returns may be less…
This talk connects volatile Chinese markets with plentiful liquidity, scarce investment assets, and changing market structure. It contrasts China’s active market cycles with the speaker’s account of increasingly competitive US markets, and argues that…
This report summary outlines a regime-based approach to multi-asset allocation. It uses historical averages or filtering methods to estimate whether macroeconomic indicators are rising or falling, then compares asset-class returns across those trend…
This LumiBot example uses a team of agents to build a basket from leveraged long and inverse ETFs, with SHV as a cash-like fallback. Separate agents assess growth, inflation and rates, and debt and liquidity. A fourth challenges their conclusions, and a…
This example describes an automated multi-agent strategy that selects among leveraged long and inverse ETFs, with a short-term Treasury fund as a cash-like fallback. Specialist agents assess growth, inflation and rates, and debt and liquidity using…
This indicator displays the opening price of a selected timeframe as a line on a chart using another timeframe. A single timeframe setting controls which period’s open is shown. The examples illustrate higher-period opens overlaid on lower-period charts,…
The document explains how to estimate asset and portfolio risk from historical returns. It describes calculating average returns, variance, and standard deviation, with standard deviation expressing return dispersion in the same units as returns. It then…
The article presents a framework for explaining changes in trend-following performance through three components: the size of risk-adjusted market trends, the strategy’s efficiency in converting those trends into returns, and the diversification benefit…
This document presents two factor-based approaches to managed futures (CTA) investing. The first aims to time exposure to CTA strategies across changing market and macroeconomic conditions, using indicators from both technical and fundamental perspectives.…
This document describes an expert advisor that randomly chooses currency symbols, trade sizes, and order types rather than basing entries on technical indicators or fundamental analysis. Although it can be attached to one currency chart, it is described as…
The document introduces tokenization as representing assets on blockchain networks in a way that supports transparent tracking and resistance to tampering. It describes tokenization as applicable across asset classes, naming art, collectibles, corporate…
This indicator description presents a method for adapting an exponential moving average (EMA) using normalized average true range (ATR). The idea is to make the EMA’s effective calculation period respond to volatility rather than keep it fixed. It notes that…
This report compares ways to measure similarity among funds, including cosine similarity, Euclidean distance, and return correlations. It argues that the choice of measure should follow the intended meaning of “similar”: resemblance in holdings structure,…
This report compares ways to measure similarity among funds, including cosine similarity, Euclidean distance, and return correlations. It argues that the choice of measure should follow the intended meaning of “similar”: resemblance in holdings structure,…