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 explains how to calculate an external cash inflow that moves a portfolio toward target weights without selling overweight holdings. It distinguishes this approach from conventional rebalancing, where assets above target are sold to fund…
The document sketches a data-driven workflow for developing systematic trading ideas: identify possible market regimes, find predictors from price or fundamental data, combine weaker signals with machine learning or ensembles, and refine rules through…
The document describes how to optimize portfolio allocations against objectives such as drawdown or the Sortino ratio. It recommends expressing the chosen risk or reward measure as a scalar function of portfolio weights, then using an optimizer suited to…
The document explores how a market-cap-weighted ETF with two stock holdings might represent a two-times long position. It asks how to determine the fund’s initial share price and share count, then works through a one-day example in which the holdings rise by…
The document considers what happens when a leveraged exchange-traded fund’s daily target return would imply a loss greater than the fund’s entire value. In its example, a three-times fund tied to a broad equity ETF would face a theoretical loss exceeding…
The document considers how to turn multi-day price forecasts and predictive intervals into trade selection and capital allocation. It cautions against maximizing forecast return alone, since that can lead to concentrated, all-in positions. Instead, it points…
The response sketches how a forex broker can offer leveraged trading without separately arranging a loan for each customer. A client holds a position through a credit line from the broker, while the broker aggregates or manages its customers’ positions using…
The document considers a 16-week portfolio contest in which participants seek the highest return, can observe one another's weekly results and holdings, and do not affect market prices. It asks whether copying successful portfolios offers a game-theoretic…
The document poses a finite-horizon choice between earning a time-varying short rate and switching at a chosen time to a lottery ticket with an expected payoff. The short rate and a component of the lottery payoff are defined through ordinary differential…
The document compares ways to size a wager in a one-time, even-odds coin-flip game with asymmetric payouts. Applying the Kelly criterion gives a quarter of bankroll for the stated payoff, which maximizes long-run logarithmic growth when bets can be repeated.…
The document asks how to size 10-year Treasury micro futures against a full-sized 10-year note futures contract when adjusting exposure for volatility. It reports an estimated volatility ratio of 5.125 between the micro and full-sized contracts and seeks the…
The document examines how to adjust a minimum-variance cross-hedge when futures are marked to market daily. It contrasts the hedge ratio based on correlations and standard deviations of price changes with the contract count based on position values. The…
The document clarifies how pattern day trader buying power relates to maintenance margin excess. Its example distinguishes the account minimum from the maintenance excess: with no positions and an account balance of $26,000, the answer treats the full…
The document asks whether leverage should multiply entry and exit prices when calculating profit and loss on a CFD or forex trade. Its accepted explanation separates price profit from financing: profit is the exit price minus the entry price, while funding…
The document examines how a brokerage’s initial and maintenance margin requirements relate to the stock price at which a leveraged position may be liquidated. The author presents a formula based on cash borrowed per share and the maintenance margin rate,…
The document asks how to choose portfolio leverage when wealth follows a diffusion with proportional exposure to a risky asset and a constant cost paid over time. Without costs, power utility gives a closed-form leverage rule, with log utility corresponding…
The document considers whether portfolio weights can be chosen by maximizing average portfolio log returns directly from observed data, without fitting a named probability distribution. One response explains that this still amounts to modeling returns: the…
The document asks how to calculate daily returns for a short straddle from an options dataset containing dates, maturities, strikes, call or put labels, moneyness, implied volatility, and delta. The response identifies a key data gap: these fields do not…
The question seeks a hindsight trading sequence from OHLC forex bars, subject to leverage, spread, and a lookahead window intended to reduce exposure near whipsaws. The proposed method is to formulate the sequence of positions across bars as a candidate…
The document asks whether maximum adverse excursion (MAE) can help select a stop-loss level when a scatter plot of long-trade outcomes against MAE shows winning and losing trades mixed across the range. The proposed visual inspection finds no obvious MAE…
The document considers how to evaluate strategies whose trades begin and end at irregular event times. It distinguishes measuring the average return around an event from measuring the cumulative performance of a strategy. For event analysis, the question…
The document considers a rule for gradually selling shares as a stock rises: sell portions at successively higher prices so the remaining holding’s dollar value stays roughly constant. It asks whether this approach balances gains and risk when the future…
The document asks how to interpret the maximum inventory parameter in the infinite-horizon Avellaneda–Stoikov market-making model. The response describes it as a chosen cap on inventory, intended to limit how large a position the market maker can accumulate,…
A common quick backtest multiplies each day’s asset returns by lagged signals, combines the resulting returns across assets, and compounds the daily portfolio series into net asset value. This construction implicitly resets exposures as portfolio value…