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.
9,797 documents
The document introduces volume weighting and contrasts it with value weighting, equal weighting, and market capitalization weighting. It explains that components with greater volume have a larger influence in a volume-weighted measure, while other weighting…
This tutorial explains several ways to organize exchange objects in a cryptocurrency strategy. For a strategy that processes multiple trading pairs, it contrasts switching the pair on one exchange object with assigning separate objects to each pair. It then…
This installment describes a two-part order synchronization design for futures accounts. A reusable library embedded in a strategy monitors changes in the reference account’s long and short positions. It calculates the change from an initial position…
This tutorial translates a closing-price ATR and EMA strategy from a domain-specific language into a JavaScript framework for digital currency futures. It calculates true range and ATR, smooths the average of each bar’s high, low, and close into a midline,…
The document introduces a data science research environment as a way to study hedging concepts in crypto trading. It focuses on spot-futures hedging, where positions in spot and futures are paired to analyze price differences and the process of opening and…
This document describes RangeBreak, an intraday breakout method that centers trading levels on the current day’s open and offsets them by a multiple of the previous day’s high-low range. A move above the upper level signals a long entry, while a move below…
This document shows how to translate a My-language trading strategy into JavaScript when the original language makes custom data handling difficult. Its reusable framework separates market-data processing, signal generation, and order execution, with a state…
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 document describes a cryptocurrency strategy that shorts currency-margined perpetual contracts to seek funding payments. It explains that these contracts are denominated in fixed-value units and that, in the author’s example, the coin balance changes…
The document introduces average true range (ATR) as a measure of price movement and explains how its level may reflect changing market conditions. It associates unusually high ATR with panic and possible turning points, and low ATR with consolidation or…
The document presents an FMZ teaching strategy that adds positions at successive price levels spaced by multiples of ATR. It builds short positions when price rises through upper levels and long positions when price falls through lower levels, increasing the…
The article studies whether a predictable change in the displayed 24-hour return can influence later prices. As older price moves leave the rolling window, the displayed return changes mechanically even if the current price stays flat. The proposed signal…
The document explains a workflow for sizing futures orders from a percentage of available account balance, then attaching conditional take-profit and stop-loss orders after an entry fills. Its quantity method converts the chosen balance allocation into coin…
The article proposes a long-only grid strategy for crypto contracts, motivated by the view that a long position has a bounded loss if the asset falls to zero while potential gains are not similarly capped. It places successive buy orders at intervals below…
This article outlines a relative-value strategy that trades two futures contracts on the same cryptocurrency with different expiries. It treats their price difference as a spread that may revert toward its recent range. The example uses weekly and quarterly…
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 document explains HANS123, an intraday breakout method that uses the opening range to set the day’s trading boundaries. In its futures example, the strategy measures the high and low of the first 30 one-minute bars, then takes a long position if price…
This overview describes FMZ Quant API changes intended to simplify strategies that handle multiple products. It introduces bulk ticker retrieval, explicit-symbol order placement, historical order queries, and position retrieval across a product or contract…
This tutorial shows how to build a multi-asset cryptocurrency strategy framework using exchange-wide ticker endpoints. It compares aggregated market data from Binance futures and Huobi spot, whose response schemas and field names differ, then normalizes…
The strategy combines a moving-average trend filter and a daily price band with staged profit-taking and fixed stop-loss rules. Long entries require the close to exceed the upper band while that band sits above the moving average; short entries use the…
This document presents a pivot-point framework for interpreting intraday price action. It calculates a central pivot from the prior session’s high, low, and close, then derives support and resistance levels around it, including intermediate levels. The…
The document argues that trading opposite positions across two exchanges cannot reliably move value from one account to another. Its central reasoning is that if a strategy can produce a stable loss at one venue and gain at another, the losing venue should…
This article presents a modified high-frequency crypto strategy for a single-direction perpetual contract. It builds a short-term reference price from several levels of the order book, tracks recent trade volume, and compares the latest reference price with…
The document develops a rolling-position approach that reinvests realized profits into later trades to compound returns during trends. It outlines three decisions: how to enter, when to add another position after a take-profit, and when to stop. The example…