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 overview explains how standardized futures contracts differ from private forward agreements, and describes contract expiry, delivery months, tickers, margin, and profit and loss. It also introduces futures continuation series, which join successive…
The article describes three sentiment measures and proposes contrarian trades based on them. VIX is presented as an options-derived estimate of expected S&P 500 volatility; high readings are associated with fear and falling prices, while low readings are…
This document explains how the IBrokers R package connects a strategy to Interactive Brokers through Trader Workstation (TWS). It outlines functions for requesting contract details, live quotes, market depth, real-time bars, and historical data, along with…
The article explains how Quadratic Discriminant Analysis (QDA) differs from Linear Discriminant Analysis (LDA), then applies QDA to an intraday momentum strategy using three-minute e-mini S&P 500 futures data. LDA assumes classes share a covariance matrix,…
This article presents an individual trader’s checklist for moving automated strategies from research into live trading and, potentially, managing outside capital in the United States. It recommends validating systems through backtests, walk-forward work, and…
This guide describes a trend-following method that calculates short- and long-window moving averages on the Nifty index, then uses their crossovers to signal long call option trades. It outlines a Python workflow: obtain index and option data, combine the…
This tutorial explains how to prepare market data for classification and regression decision trees. It uses daily E-mini S&P 500 futures data and constructs predictors from exponential moving averages, average true range, average directional index, relative…
The document introduces covered calls as a way to earn option premium while holding shares, explaining that the seller keeps the premium if the stock stays below the strike but may have to sell shares at the strike if the price rises. It then outlines a…
This project describes dispersion trading as a relative value strategy that trades options on an index against options on its component stocks. It estimates implied volatility from nearby option strikes using Black–Scholes, combines component volatilities,…
This interview follows Derek’s path from futures trading and professional card games into quantitative trading and the creation of Golden Compass with collaborator Maxime. Their partnership developed through continued remote research, a shared derivatives…
This project outlines an intraday strategy for trading the spread between a security’s spot price and its futures price. It classifies futures trading above spot as contango and below spot as backwardation, then calculates the spread from one-minute prices.…
This project describes a dispersion strategy using Bank Nifty options and options on its constituent bank stocks. It compares implied volatility across the index and its components, using implied correlation as a signal: high correlation points toward…
This analysis uses daily Nifty 50 futures data from exchange files to examine price, trading volume, open interest, rollover percentages, and foreign and domestic institutional activity during the first quarter of 2020. It explains how to interpret price…
A fill-or-kill order is described as a limit order that must be executed immediately for the full requested quantity or cancelled entirely. It does not permit a partial execution. The document contrasts this behavior with immediate-or-cancel and all-or-none…
The document is an outline for a webinar introducing machine learning in quantitative finance. It lists an overview of machine learning and its workflow, features of the Quantiacs toolkit, and a demonstration applying machine learning to futures data. The…
This guide compares free and paid sources of financial data by access method, asset coverage, and availability of intraday, daily, fundamental, and news information. It recommends choosing a provider according to data accuracy, latency, historical depth,…
This study compares two systematic futures trend approaches across indices, bonds, currencies, and commodities: a one-year time-series momentum rule and a continuous-forecast framework inspired by systematic trading methods. The first takes long or short…
This interview follows an experienced IT professional who developed an interest in algorithmic trading and built a short-duration intraday system for futures alongside a full-time job. He describes drawing on engineering, programming, mathematics, and…
The article introduces time series as observations arranged over time and outlines how traders can analyze and forecast such data. It distinguishes univariate from multivariate series and stationary from nonstationary series. Autocorrelation and partial…
The document explains how to size positions so instruments with different price volatility make more balanced contributions to portfolio risk. It first distinguishes account capital from notional exposure, including how margin and contract multipliers can…
This beginner guide defines day trading as opening and closing positions within the same session, partly to avoid overnight price gaps. It surveys momentum trading, scalping, and tick-based spread strategies, then outlines markets available to day traders,…
This project describes a dispersion strategy on Bank Nifty index options and constituent bank stock options. It takes relative volatility positions using combinations of straddles or strangles: when implied correlation is high, the example suggests selling…
The tutorial describes IBridgePy as a Python wrapper that calls Interactive Brokers’ C++ API, and outlines how to connect it to Trader Workstation or IB Gateway. It explains a basic program structure in which initialization sets persistent variables and a…
The article surveys how traders identify and control exposure to market and operational shocks. It discusses diversification, portfolio optimization, position sizing, hedging, stop-loss orders, and take-profit rules, with an opening recommendation for…