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.
4,613 documents
The document presents risk management as a repeatable cycle: identify important risks, choose measurements, define thresholds and responses, monitor conditions, and reverse interventions when conditions normalize. It distinguishes market, counterparty,…
This excerpt introduces a book about trading leveraged products and identifies its intended readers: novice traders, people with limited capital, and traders interested in foreign exchange, contracts for difference, margin accounts, spread bets, or futures.…
The article examines whether choosing a utility function other than logarithmic wealth justifies using leverage above the Kelly level. It simulates ten-year terminal wealth from Gaussian daily returns with a stated mean and volatility, then compares leverage…
The document outlines the intended scope of a beginner-oriented trading book covering unleveraged instruments such as shares, exchange-traded funds, and cryptocurrencies. Its central educational theme is that trading decisions can combine judgment with…
The document lays out a framework for translating a trader's account and risk preferences into position sizes. It separates account size, instrument volatility, the overall risk target, forecast confidence, portfolio breadth, and the conversion from exposure…
This post examines dynamic portfolio optimisation for a relatively small trading account. It describes a historical backtest setup that estimates instrument correlations and covariance, derives expected returns from existing portfolio weights and risk…
This outline follows a futures trading system from forecast weights through forecast and instrument diversification multipliers to a final position. It flags choices involved in estimating weights, including pooling across instruments, shrinkage,…
This document develops a portfolio weighting adjustment for uncertainty in estimated Sharpe ratios. It translates a difference in Sharpe ratios into a difference in expected returns, estimates uncertainty in that difference using the assets’ volatility,…
The document explains the Position component in an early event-driven trading system. A position records buys and sells, average prices, commissions, cost basis, net exposure, and realized and unrealized profit and loss. The broader design separates this…
This introductory guide organizes quantitative trading into four connected areas: finding strategies, testing them on historical data, executing trades through a broker, and managing capital and risk. It sketches mean-reversion and momentum approaches,…
The document explains how an event queue can pass information among the components of an event-driven trading system. A market event marks a new data update and prompts strategy evaluation. Strategies emit signal events with a symbol, time, and direction;…
This article presents the Kelly criterion as a way to choose leverage and allocate capital among algorithmic trading strategies to maximize long-run compounded growth. Under its simplified single-strategy assumptions, the recommended leverage depends on…
This installment in an event-driven backtesting series describes a portfolio component that receives trading signals, creates orders, processes fills, and records positions and holdings over time. Its NaivePortfolio tracks per-symbol quantities alongside…
The document demonstrates a systematic monthly rebalancing strategy using SPY for US equities and AGG for investment-grade bonds. It invests 60% and 40% of initial capital, respectively, at the first month end after the backtest begins. At each later month…
This article explains the PortfolioHandler component in an event-driven order management system. It separates the Portfolio, which tracks cash and positions, from the handler, which connects portfolio state to strategy signals, position sizing, risk checks,…
This practical MQL5 guide describes checks that can help an Expert Advisor respect trading conditions and account constraints. It shows how to enumerate trading and quotation sessions, estimate required margin for market or pending orders, and calculate the…
This article explains how to turn a trading idea into a precise specification for a trading robot. It recommends starting with the strategy’s general premise, defining important terms, then documenting separate buy and sell conditions, filters, signal…
This article extends a context-aware reinforcement learning framework for cryptocurrency trading with a risk management module. In the described two-stage setup, market conditions are classified by trend and volatility so specialized sub-agents can learn for…
This tutorial extends trade-level risk controls by treating an Expert Advisor’s open positions on one symbol as a combined basket. It describes aggregating position count, total volume, volume-weighted entry, floating profit and loss including swap,…
This interview describes a championship Expert Advisor built around moving-average comparisons for entries, with stop-loss and take-profit rules, adaptive money management, and GBP/USD trading. The trader says he chose a one-minute chart for its perceived…
This installment of a news-trading series revises an earlier MQL5 economic-calendar database project. It describes using object-oriented inheritance to organize country-specific news data, with a shared base class for event details and derived classes for…
This article presents an MQL5 money-management module that adjusts position size as the recent price range expands. It uses a monotonic queue to track rolling highs and lows, describing how each observation is added and removed at most once to achieve linear…
The article describes a feedback mechanism that adjusts an Expert Advisor’s trade volume according to the slope of its balance curve. Before a prospective trade, the system estimates slope from recent closed trades; when the slope weakens, it reduces volume,…
The article explains how fuzzy logic can soften rigid indicator categories in an automated trading system. Its first example maps ADX trend strength into overlapping weak, average, and strong categories using trapezoidal, bell-shaped, and sigmoid membership…