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.
765 documents
The document describes an automated ETH/BTC approach that seeks to accumulate BTC by trading relative price swings between Ethereum and Bitcoin. When BTC strengthens against ETH, the bot converts some BTC into ETH; when ETH later strengthens, it converts ETH…
The document explains futures spread trading as a paired position: long one contract and short another, seeking changes in the price difference between the legs. It distinguishes calendar spreads, which pair the same underlying across expiries, from…
The commentary reviews a volatile week in crypto, contrasting Bitcoin’s limited net decline after a wide trading range with weaker performance in ether and many altcoins. It argues that altcoins have faced persistent pressure amid a growing supply of…
The article distinguishes the BTC/ETH price ratio, which expresses how much Bitcoin one Ether costs, from a correlation coefficient, which measures whether their price movements align. It describes measuring the coefficient over rolling periods of 30 to 60…
The script trades a spread between Dalian Commodity Exchange coke and coking coal futures. It estimates the spread from each contract's close, volume multiplier, and a fixed contract ratio, then calculates a z-score from a rolling set of daily observations.…
This example trades a spread between continuous Light Sweet Crude Oil and RBOB Gasoline futures. It estimates a return relationship by regressing crude returns on gasoline returns over a rolling history, then measures the recent spread against its mean and…
This statistical-arbitrage demo tracks closing prices for two instruments, takes their logarithms, and uses the difference as a spread signal. When the spread crosses configured positive or negative thresholds, it opens opposing legs: short the first…
This script presents a spread-style signal using continuous YM and NQ futures. It divides the YM close by the NQ close, smooths that ratio with a 200-period simple moving average, and uses it to scale NQ in a difference series. Bollinger Bands over that…
This tutorial develops a pairs trading approach around the idea that two related assets may have a stable long-run relationship even as their prices temporarily diverge. It distinguishes cointegration from correlation, uses a cointegration test to screen…
This tutorial develops an intraday pairs-trading example using SPY and IWM minute bars. It aligns the two price series, estimates a rolling linear-regression hedge ratio, forms a spread, and standardizes that spread as a z-score. The example opens a long…
This article studies whether crypto assets that move more closely with Bitcoin perform differently from less correlated coins. It explains Pearson correlation as a measure of linear co-movement, then describes collecting four-hour Binance futures prices for…
This document explains a statistical arbitrage approach that trades two correlated cryptocurrencies when their price ratio moves away from a reference level. It describes taking opposite positions in the two assets and closing or adjusting them as the ratio…
This document presents a JavaScript implementation of a two-asset cryptocurrency pair strategy on FMZ, along with platform features needed to run it. The strategy estimates a reference price ratio from hourly candles, compares the live ratio with that…
This tutorial outlines a statistical arbitrage approach for crypto perpetual contracts. It screens historical closing prices for highly correlated pairs, then trades deviations in their price ratio: when the ratio is above its reference level, it buys one…
The article describes a spot-style cross-currency hedge using two crypto assets, such as LTC and ETH quoted in USDT. Instead of trading an absolute price spread, it tracks one asset's price relative to the other. As the ratio rises through preset grid…
This teaching example demonstrates a two-contract commodity futures hedge that monitors the price difference between contracts A and B. It opens opposing positions when the spread exceeds a configured threshold, then closes them when the spread reaches a…
This guide explains how FMZ trading terminal plugins can run short, task-specific scripts for manual trading. It distinguishes immediate execution, intended for brief tasks, from background execution, which runs like a bot and is suited to longer strategies.…
This tutorial develops the statistical basis for pairs trading. It explains how a temporary divergence between related assets can be traded by shorting the relatively stronger asset and buying the weaker one, with the expectation that their spread will…
The document explains a calendar-spread hedge between near-dated and deferred cryptocurrency futures. A positive spread position buys the nearer contract and sells the deferred one; the reverse position sells the nearer contract and buys the deferred one.…
This article presents a short-term trading idea based on a claimed lead-lag relationship between two related crypto contracts. When the leading contract moves, the strategy measures the relative price change and trades the lagging contract if the difference…
This article examines a proposed strategy that takes opposing BTC and ETH perpetual positions based on their relative moves. It explains why equal contract counts do not create a balanced hedge, then describes estimating ETH’s return beta against BTC,…
This research explores two approaches to trading baskets of Binance perpetual contracts. The first shorts a selected group of altcoins while holding a similarly valued Bitcoin position, aiming to reduce exposure to broad market moves. The second compares…
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…
The article proposes a relative-value strategy linking the South Korea ETF EWY with Samsung Electronics and SK Hynix. It explains why the author avoids trading the visible cash-equity versus perpetual-contract basis: trading-hour mismatches, currency…