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 weekly strategy adapts a two-period RSI approach attributed to Larry Connors. It combines a 50-period simple moving average with extreme RSI readings to enter in the direction of the broader trend: it starts a long position when price is above the…
The article introduces arbitrage as offsetting positions in related instruments, aiming to reduce exposure to broad price moves while earning a spread or other income. It describes crypto approaches that may capture differences between spot and futures…
This document explains a MetaTrader 4 indicator for calculating pivot-like price levels according to a chosen session time zone. It distinguishes the time zone used by the chart’s server from the target session’s time zone, allowing levels to align with a…
A trader asks how to run a low-frequency strategy using daily bars, including whether the framework supports daily-bar aggregation and how to place orders at that interval. The practical suggestion is to record minute bars and have the strategy combine them…
This guide describes a user interface for running execution algorithms and explains how to configure an order’s instrument, side, price, quantity, duration, interval, and open-or-close instruction. It focuses on order execution rather than deciding what to…
This FMZ reference describes the fields returned by common market, account, order, position, and instrument-information structures. It covers trades, tickers, OHLC records, orders and conditional orders, order books and depth, balances, assets, futures…
This article examines how often an investor should make decisions when each decision reflects some degree of skill and incurs trading costs. It models repeated independent outcomes and argues that expected compounded return depends nonlinearly on skill,…
This release note describes Zipline changes relevant to building and running quantitative backtests. The main development is broader futures support alongside equities, including futures slippage and commission models, configurable continuous-futures…
The document explains why futures backtests need a method for joining contracts with different expiries and prices. It compares three approaches: Panama adjustment, proportional adjustment, and a rollover series that blends adjacent contracts over several…
The document describes an intraday volatility breakout approach proposed for EUR/USD and the DAX on 30-minute and hourly charts. It compares a one-period average true range with an average daily high-low range calculated over the prior three days. When…
This report surveys crypto spot and derivatives activity amid exchange security incidents, regulatory changes, and macroeconomic volatility in early 2025. It discusses exchange trading volumes, futures and perpetual contract activity, funding rates,…
This document describes an Expert Advisor that opens trades when the KWAN_CCC indicator changes direction, identified by a change in indicator color. The signal is evaluated at the close of each bar. It notes that the compiled indicator file must be…
This experimental DAX daily strategy uses a close-based two-day high as a breakout reference and enters long when the day's high exceeds it. It can add a position when price opens more than five points above the trade price, so exposure may grow as a move…
This guide explains how to use MultiCharts as a historical data feed for VeighNa through the vnpy_mcdata module. It distinguishes this data service from a trading gateway, so users can connect the feed while continuing to trade through other interfaces. The…
The document presents a long-only automated strategy for a mini S&P 500 instrument. Entries require the MACD line to be above its smoothed value, the stochastic to be above its average, price to remain above a moving average, and price to be below a custom…
The discussion explains why a resting exchange limit order for profit-taking can freeze a position and prevent a locally managed stop order from closing it. It contrasts exchange orders with VeighNa stop orders, which remain local until their trigger…
This document outlines a rules-based strategy for the DAX mini that uses the trading day of the month (TDOM). It opens a short position on the first trading day and schedules long entries from the eighth trading day, with additional entries allowed on later…
A limit order rests in the order book at a chosen price and can execute only at that price or a more favorable one. Traders can use it to control execution price, provide liquidity, make markets, scale into or out of positions, or seek maker fees when…
This forum exchange concerns the historical data available through a Xuntou account for the IM futures contract on the China Financial Futures Exchange. A user reports that minute bars are available only from a particular date in 2022 onward, while tick data…
The article challenges the claim that Chinese stock index futures expiry reliably causes equity market declines. It argues that these contracts settle in cash, so settlement itself does not require buying or selling ETFs or underlying shares. Hedgers can…
This report surveys gold’s supply and demand, major trading venues, and common investment instruments. It notes that investment demand and central bank purchases are especially relevant to prices, and describes the roles of London spot trading, U.S. futures,…
This Chinese-language post describes a method for turning raw futures tick updates into real-time minute bars for traders using lower- and medium-frequency strategies. Its design aims to align bar timestamps with common market-data conventions: ticks during…
This VeighNa CTA example shows how to build daily bars from incoming ticks and use them in a moving average crossover strategy. A BarGenerator aggregates ticks into daily bars, while an ArrayManager stores the resulting history. On each completed daily bar,…
A brief forum exchange addresses why a request for minute data on the IF888.CFFEX index futures symbol returns no records. A participant suggests using the vendor-specific symbol IFJQ00.CFFEX for the continuous IF futures contract and notes that symbol…