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
The document explains how to connect TradingView alerts to an FMZ Quant bot using the platform’s extended API. It describes creating an API key with only the command permission needed, then configuring an alert webhook to call the bot’s command interface…
A user reports that installing the vn.py CTP module on macOS fails while following the community installation guide. The only suggested remedy in the discussion is to try a specific package release, version 6.6.9.1. The thread does not include the error…
This ProRealTime strategy combines three moving averages with short lookback breakouts and a confirming candle pattern. For long entries, price lows must sit above all three averages and the high must reach the recent high; a sequence of declining then…
This example schedules a target futures position across a chosen intraday window according to the historical distribution of volume. It groups past bars by trading day and time, computes each time slot's share of that day's session volume, averages those…
This indicator calculates Fibonacci-style pivot levels from the prior period’s high, low, and close. It supports daily, weekly, monthly, and four-hour periods, with a custom-session option for daily calculations. Users specify session start and finish times…
This ProOrder strategy is designed for three-minute CAC 40 spread data. It builds upper and lower bands from a moving average and standard deviation, then tracks a trend state. A band break sets the initial direction and trailing-stop level; the stop follows…
This tutorial develops a market-making approach that estimates a futures contract’s fair price from spot-market returns. Its basic arbitrage pricing theory relationship assumes futures and spot returns move one-for-one with no intercept; the strategy uses…
This document describes an intraday breakout system for the French CAC 40 using the early-session high and low as reference levels. It tracks the range from the opening period, then places stop entries beyond those levels when the range and the price’s…
This tutorial outlines a workflow for modeling Chinese steel futures using high frequency market data. It starts with tick snapshots for the RB2305 contract, explains that futures may trade during night sessions, and resamples the raw observations into ten…
This forum exchange explains why VeighNa’s contract query may return no data after a manual Mac installation. The key distinction is that contract lookup depends on a connected trading interface, such as CTP or SimNow, rather than on a market-data package…
This document describes an expert advisor that manages open positions for the chart symbol on which it runs. It monitors position profit and loss against configured take-profit and stop-loss levels, then closes positions at market when a threshold is…
The document examines whether CTA strategies that resemble their peers perform differently from more distinctive strategies. It defines a strategy distinctiveness index (SDI) using rolling return correlations to peer groups formed by clustering, then…
This forum exchange concerns tick-level backtesting of a spread between a cash bond instrument and a futures contract. The questioner has externally downloaded tick data in CSV form because the data source lacks cash-bond ticks, and asks how to import and…
This intraday system takes short positions in the DAX using a Repulse-style candle indicator and several filters. Entries are considered at scheduled times on a four-hour chart. The rules also require a short-term exponential-average relationship, a…
A VeighNa community exchange explains why CTA strategies such as moving-average and ATR-RSI examples may show a flat return curve near the start of a backtest. The initial historical observations are used to initialize the strategy’s ArrayManager, so the…
The document describes an MT5 chart panel that scans symbols in MarketWatch and displays long and short swap rates alongside estimated daily and weekly monetary costs. Users can set a reference lot size, sort the symbols, highlight favorable swap rates, and…
The document outlines safeguards for cryptocurrency futures trading during sharp market moves and delayed updates. It recommends monitoring the gap between a futures contract and its underlying spot price, and between last price and mark price, as signs that…
This futures example computes daily pivot, support, and resistance levels from the prior session's high, low, and close. It trades a copper contract by entering long when price falls below first support or short when it rises above first resistance.…
The post raises an architectural question about combining multiple CTA strategies in a live portfolio. The author has Bollinger-channel and DKX strategies that calculate indicators and position changes, but finds their individual money management conflicts…
This discussion raises practical questions about backtesting strategies across multiple futures products with different expirations. It asks whether a system can switch automatically to the next active contract before expiry, how to test periods longer than…
This tutorial describes a directional strategy for the USD-margined Bitcoin perpetual PF_XBTUSD. It combines a slow regime estimate from dollar bars with a faster trade-flow signal. A rescaled-range regression estimates the Hurst exponent from rolling log…
This proposal applies the Fisher Transform to daily DAX prices and uses threshold crossings to switch between long and short positions. It normalizes the typical price within a rolling high–low range, smooths the resulting value, and transforms it into an…
The document demonstrates a vn.py workflow for backtesting a statistical arbitrage strategy on a two-leg futures spread. It defines a spread as the price difference between two futures contracts, sets the backtest interval and trading assumptions, loads…
A beginner asks why a trading server disconnects during login and whether access is limited to trading hours. They also report that no market data appears when connecting through TTS. The reply explains that connections made outside regular trading hours…