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.
610 documents
This configuration describes a multi-asset systematic trading framework that combines rules for breakouts, relative and absolute momentum, moving-average trends, carry, acceleration, and skew-related factors. The rules use multiple horizons and include…
This study examines whether futures-curve shape can rank commodity markets. It explains backwardation, where deferred contracts are cheaper than nearer ones, and contango, where they are more expensive. The article connects these patterns to supply, demand,…
This literature summary reports research on investment strategies in Chinese commodity futures and notes that long-only approaches produced limited economic returns. Among twelve long-short strategies examined, momentum and term-structure strategies showed…
The code describes a currency carry strategy that compares the US three-month Treasury rate with the average forward discount of a basket of developed-market currencies. The basket uses equal weights, and the comments say that an average three-month interest…
This Python module defines four types of trading forecasts from price or carry series. Its breakout rule locates the rolling high-low range, measures the current price relative to the range midpoint, scales that reading, and smooths it with an exponentially…
This Chinese-language research digest summarizes two topics. The first concerns systematic style investing in fixed income: it reports that value, momentum, carry, and defensive premia have shown notable results in both government and corporate bonds,…
The article explains how periodic funding payments in perpetual swaps help keep contract prices near spot prices. When funding is positive, longs pay shorts; when negative, shorts pay longs. These payments affect the net cost of holding a position and can…
This guide compares staking, where crypto is committed to help secure a blockchain in return for rewards, with yield farming, where assets are deployed through decentralized finance protocols or liquidity pools. It contrasts the approaches across potential…
The document describes prerequisites for running an automated strategy that seeks positions earning positive swaps while also trading according to its own strategy. It says the approach needs substantial account capital and free margin, because swap-oriented…
The document examines 2025 spot Bitcoin ETF flows and stablecoin supply as measures of institutional positioning and potential crypto market liquidity. It reports cumulative ETF inflows and accumulation, the distribution of flows across issuers and market…
This live-robot snapshot scans perpetual futures across Binance, GateIO, and OKX for differences in funding rates. It pairs a short position on the venue with the higher funding rate and a long position on the venue with the lower rate, then reports…
This market commentary reviews early 2025 conditions across Bitcoin, Ethereum, and Solana. It links macro events and labor data to volatility expectations, and describes Bitcoin positioning around the $100,000 strike, including dealer short gamma and demand…
The document explains a cash-and-carry strategy: buy spot and short futures when futures trade above spot, then seek to earn the premium as prices converge. It discusses how basis varies by contract tenor and compares the estimated return with Treasury bill…
This study examines value, momentum, carry, and defensive factor returns across six asset classes using data spanning roughly a century. It compares each factor’s discovery period with earlier and later periods, using the long history and cross-asset…
This market recap interprets Bitcoin and Ether options during a sharp sell-off and liquidation episode. It compares realized and implied volatility, put and call skew across expiries, carry, and the volatility spread between the two assets. The commentary…
This article explains Ethereum proof-of-stake and liquid staking tokens (LSTs), which let holders delegate ETH to a protocol and receive a token representing their staked position. That token can be used in DeFi, such as as lending collateral, improving…
This live dashboard describes a Web3 yield scanner that periodically reports lending and borrowing rates across Aave V3 assets and chains, estimated returns from looping deposits and borrowing subject to loan-to-value limits, fixed yields in Pendle markets,…
This overview explains how Ethereum liquid staking converts staked ETH into a tradable or lendable liquid staking token. A staking provider holds or routes the ETH for validation, while the token represents the staked position and allows the holder to use it…
This market recap reviews Bitcoin and Ethereum options after an upside move. It reports rising realized volatility in both assets, with implied volatility lagging, and negative carry. The author links the demand for volatility to price moves exceeding…
This document describes a raw-data stage in a futures trading system that prepares reusable price and carry calculations for later forecasting. It retrieves daily, natural-frequency, and hourly prices; computes absolute daily and hourly price changes; and…
The document asks how to separate expected returns from carry and from spread changes when estimating sovereign bond returns over a year. The response distinguishes holding a bond and earning its yield from the return associated with its market spread, but…
For goods that have not yet been produced, futures pricing may depend on expected future supply and demand as well as carrying costs. The simple spot-plus-carry relationship applies most directly when the commodity can be stored and delivered, and does not…
The note explains why the implied repo rate for a cash-and-carry bond futures trade uses a denominator adjusted for coupon timing. The initial financing requirement is the bond’s dirty price, but an interim coupon can be used to pay down the repo borrowing…
The discussion compares two ways to value a bond for a future date: projecting a spot bond price using financing carry, or discounting its cash flows to obtain a price settled on that date. In theory, the approaches should agree when their financing…