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 adapts an intertemporal commodity futures hedge strategy by using Bollinger Bands on the price spread between two contracts to define entry and exit signals. It synchronizes the contracts’ candle data, calculates the spread as one contract’s…
The article introduces intertemporal hedging by pairing a long position in one contract with a short position in another, then closing both when the combined result is favorable. It derives the basic spread relationship for a short in contract A and a long…
This article presents a short-horizon strategy for trading two related crypto futures contracts. Its motivating example is a claimed brief lag between TRUMP and MELANIA: when one contract moves sharply, the strategy looks for a difference in their candle…
This document revisits a multi-coin Binance futures strategy that trades each altcoin against a basket-level index of altcoin-to-BTC prices. Positions are scaled to the deviation from the cross-sectional mean, with an exchange simulation tracking margin,…
The document walks through a JavaScript implementation of a two-asset digital currency pair strategy on a trading platform. It estimates an average price ratio from aligned hourly candles, compares the current ratio with that average, and converts the…
The document develops a relative-value strategy that trades EWY against Samsung Electronics and SK Hynix, which are major ETF holdings. It argues that this same-account basket avoids several practical frictions in trading Korean cash equities against…
This article tests a proposed strategy that pairs Bitcoin and Ether positions according to their relative strength. It first illustrates the weakness of using equal contract counts, then estimates a hedge ratio from the assets’ historical price ratio and…
This document describes a grid strategy that trades the relative price of two crypto assets, illustrated with LTC/USDT and ETH/USDT. Instead of using the price difference between assets, it tracks their price ratio. As the ratio rises through preset levels,…
This installment reviews a multi-currency Binance futures strategy and updates its analysis with minute-level price data. One method compares each asset's price relative to Bitcoin after exponential moving-average normalization, then adjusts signed target…
This desk commentary argues that option valuation depends on more than volatility assumptions and dynamic hedging. It emphasizes whether counterparties trust the venue, whether options are liquid enough to enter and exit, and whether the underlying can be…
The article presents a bearish conditional case for Ether while remaining more constructive on Bitcoin. It argues that a break of ETH’s cited support could expose lower technical levels and trigger liquidations. The author points to ETH’s recent…
The commentary reviews an unusually volatile week in crypto, contrasting Bitcoin’s relatively small net decline after a wide trading range with larger losses among Ether and many altcoins. It connects altcoin weakness to the year’s concentration of…
This market commentary describes a relative-value options position during a period of subdued realized and implied volatility. The proposed trade is to buy a March ETH straddle and sell a March BTC straddle, expressing the view that ETH volatility may…
The article proposes a relative-value approach to Bitcoin and Ethereum based on their historical relationship. Its statistical workflow measures correlation, fits a linear regression, estimates beta, tracks residuals, tests cointegration, and considers a…
The document introduces spread trading as taking a long position in one asset and a short position in another, aiming to trade their relative performance. It applies this idea to crypto cross pairs, where one cryptocurrency is priced against another, and to…
The commentary describes a crypto market with range-bound prices, stable realized volatility, and implied volatility still above realized volatility. That relationship leaves positive volatility carry, though the spread is compressing. The author interprets…
This market commentary considers why crypto prices held up amid US enforcement actions, then looks for relative-strength and catch-up opportunities across layer-one tokens and decentralized finance. It argues that regulatory actions were broadly anticipated,…
This article explains how USDC-settled linear perpetual contracts differ from inverse contracts that use BTC as collateral. It compares equivalent BTC positions and shows that their dollar profit or loss can match, while the resulting balance is held in…
This profile follows a California data analyst’s move toward quantitative and algorithmic trading. His engineering, econometrics, and data work led him to explore Python, futures, automated analysis, and discretionary trading based on macro news sentiment.…
This project tests a mean-reversion pairs strategy on Mexican stocks. It screens an initial equity universe for complete price histories and minimum average trading volume, then tests within-industry pairs for cointegration with an augmented Dickey-Fuller…
The article introduces principal component analysis (PCA) as a way to reduce the dimensionality of financial data while retaining much of its variation. It explains eigenvectors and eigenvalues as directions and magnitudes of transformation, then connects…
The article explains Linear Discriminant Analysis (LDA) as a supervised method for classifying observations and estimating the probability of belonging to a class. It contrasts LDA with logistic regression and describes LDA’s use of Bayes’ theorem, class…
This project tests a simple ETF pairs strategy in oil, technology, and financial sectors: USO with XLE, XLK with IYW, and XLF with PSCF. It estimates a hedge ratio by regression, evaluates spread stationarity with an Augmented Dickey-Fuller test, then enters…
The article introduces the Kalman filter as a recursive method for estimating a changing, partly unobserved state by combining model predictions with noisy measurements and their uncertainty. It explains concepts including normal distributions, variance,…