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
This guide describes an execution module that runs algorithms in a separate process, lets users configure and monitor orders, and supports manual order routing across multiple accounts. Its five examples illustrate different execution behaviors: TWAP divides…
The account describes a historical nickel trade built around a persistent discount in physical nickel relative to futures, growing exchange inventories, and continuing imports of Russian nickel. Because imports could be profitable while domestic stainless…
The article adapts an efficiency ratio to a trend strategy for Chinese government bond futures. The ratio compares the absolute net price change over a lookback window with the sum of absolute price changes in that window. Values nearer one indicate a more…
This long-only Dow Jones strategy on an hourly timeframe combines a close crossing above a 600-period moving average with a close above the Ichimoku cloud. It opens a two-contract position only when both entry conditions hold and no position is already open.…
This indicator description explains a way to plot support and resistance levels from recent tops identified by a Gann ZigZag calculated on a selected higher timeframe. The timeframe can be fixed by the user, allowing the turning-point calculation to be based…
A user asks why a CTP connection to SimNow sometimes connects and sometimes appears unresponsive. The reply points them to SimNow’s published operating hours for each environment as a likely explanation. This suggests that connection availability can vary…
The Market Facilitation Index (MFI), attributed to Bill Williams, measures the bar's high-low range per unit of volume. The document explains how to compare both MFI and volume with the prior bar to classify market conditions. When both rise, the reading is…
This document describes separate long and short intraday breakout rules intended for the CAC 40, with possible adaptation to the FTSE 100 and Euro Stoxx. The long setup places a buy stop above the previous seven hourly highs at 08:00; the short setup places…
Monthly VWAP is the volume-weighted average price calculated from the start of each calendar month, with the calculation resetting when a new month begins. Because prices traded with more volume contribute more to the average, the indicator offers a…
This brief describes a version of the LaguerreVolume indicator that lets a user choose the chart timeframe through an input parameter. The example setting uses a four-hour period, indicating that the indicator can be configured to calculate or display…
AutoDayFibs automatically plots Fibonacci levels using the high and low of a selected daily range. Its settings determine whether the indicator shifts to the current day’s prices, when that adjustment occurs, and how far back to look for the high and low…
This guide explains how VeighNa Elite Trader’s CTA template can filter synthetic bars received outside configured trading sessions, preventing out-of-session data from affecting strategy indicators. It describes obtaining a sample filter configuration…
This brief strategy description uses 15-minute bars and combines Parabolic SAR, MACD, and a simple moving average. SAR provides the initial directional cue, while MACD is used as an early indication of direction. For a buy setup, the description looks for a…
This guide explains how to prepare tick-by-tick trades and full order-book updates for HftBacktest, noting that this level of historical data is not commonly available for free in the way daily bars are. For Binance Futures, it describes collecting raw feed…
This configuration module sets parameters for a fast mean-reversion futures strategy and derives operating bounds for its estimated price range, R. It estimates that range from hourly high-low data: zero ranges are discarded, a rolling average is taken, and…
This document presents an automated strategy that builds pseudo-Renko bricks from ordinary candlestick closes, calculates a moving average on those brick closes, and trades when the brick close crosses the average. It also includes a minimum time interval…
The iWPRSign_HTF_Signal indicator displays the trend direction or trade signal produced by iWPRSign for a selected bar using colored arrows. A right-pointing arrow marks continuation of the existing trend, while a diagonal arrow marks a change and indicates…
A trader reports that a CTA strategy can receive a short opening fill and a long opening fill almost simultaneously when placing stop orders on opposite sides of a Bollinger band. The strategy tracks net position, so equal and opposite fills bring that value…
The document proposes continuous Fibonacci-style support and resistance bands built from a rolling high-low range and a moving average of closing prices. A central pivot is calculated from the range extremes and average close; fractions of the range are then…
The document describes a trade-copying setup in which one MetaTrader expert advisor exports order requests and another imports and executes them. The systems can run in the same terminal or separate terminals on the same computer. The importer can target a…
This short forum exchange discusses CTP connections that fail or produce no useful log output. One reply explains that the first environment follows live trading hours and points readers to SimNow's documentation. It also says that, outside of penetration…
This report introduces intraday high-frequency trading in the Chinese securities market, framing it as an attempt to capture short-lived market inefficiencies caused by investor behavior or delayed reactions to information. It defines the strategies under…
This report studies whether rotating among industry and thematic exchange-traded funds can support an absolute-return portfolio. It selects 14 industries with matching funds from a broader set of Chinese industry groups, then compares a rotation portfolio…
This Python data-feed example adapts RQData historical futures data for use with the Wt trading framework. It maps standardized instrument codes to RQData symbols, requests bar or tick records, renames fields, and converts rows into Wt bar and tick…