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.
4,574 documents
This article outlines a way to assess whether a strategy’s backtest results stand out from outcomes generated by chance. It proposes constructing randomized strategies that match the original strategy’s simulation period, trade count, direction, and average…
This article introduces several ways to assess whether an exchange-rate series may suit a mean-reversion strategy. It explains the Augmented Dickey-Fuller test as a check for a unit root, the Hurst exponent as an indicator of trending or reverting behavior,…
The author considers whether a systematic futures portfolio should be manually repositioned ahead of the Brexit vote. The stated approach is to follow the strategy’s rules rather than introduce a discretionary directional bet, especially for a close, binary…
This retrospective considers the Brexit referendum through the lens of trading risk, with sections on GBPUSD, a wider futures portfolio, equity and currency hedging, and the payoff associated with negative skew. The visible discussion emphasizes that the…
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 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…
The article compares ways to organize a trading business: managed accounts, commodity trading advisory firms, proprietary funds, hedge funds, and family offices. Managed accounts are presented as a lower-cost way to manage separate client accounts and build…
The diary entry describes an early event-driven forex system and its roadmap toward more realistic trading and backtesting. It identifies components already present, including price streaming, signal generation, order execution, local portfolio replication,…
This article presents a simplified interface for configuring a forex backtest and extending it to multiple currency pairs. A Backtest object is assembled from price data, strategy, portfolio, and simulated execution components, with strategy settings passed…
The article describes updates to an event-driven forex backtesting system: generating format-compatible simulated tick files, processing daily files sequentially, supporting multiple currency pairs, and plotting equity, returns, and drawdowns. Loading one…
This tutorial uses minute-level foreign exchange prices to build return series and calculate rolling realized volatility. It defines realized volatility from squared returns over a chosen interval and applies a rolling standard deviation to represent recent…
This tutorial shows how to retrieve daily price data from AlphaVantage, convert nested JSON or CSV responses into Pandas DataFrames, and prepare several ETFs for charting. It explains that API responses may default to a limited history, describes sorting and…
This diary entry describes an attempt to build a portfolio component for an event-driven automated forex system connected to a broker API. The goal is to keep a local portfolio’s balance, realized and unrealized profit and loss, and open positions aligned…
This development diary describes changes to a forex trading system: correcting how positions use bid and ask prices, adding historical tick data from CSV files, and building an initial event-driven backtester. The position update distinguishes trade…
This diary entry describes updates to a forex backtester that enable trading multiple currency pairs and accounts denominated in currencies other than the traded pair. It explains how positions convert profit and loss from the quote currency into the account…
This tutorial describes Stooq’s downloadable historical price data and ways to prepare it for analysis. It explains ticker suffix conventions, regional and frequency-based downloads, and the nested directory structure. A single security’s OHLCV file can be…
This diary entry describes a Python architecture for automated forex trading through a broker API, with practice and live endpoints. A streaming price handler places bid and ask ticks on a shared event queue; a strategy turns tick events into orders; and an…
This tutorial describes a workflow for retrieving intraday foreign exchange aggregates from a market data API, formatting timestamps, plotting closing prices, and calculating percentage returns. It illustrates the process with a major pair and a less…
This article outlines an MQL5 Expert Advisor that combines a linear regression forecast with technical indicators and gradient descent. Its proposed objective is to reduce absolute forecast error by adjusting model coefficients; the learning rate controls…
This article explains how a MetaTrader indicator can read coordinates from objects a trader has drawn on a chart and respond to them. The author uses manually placed Fibonacci levels and trend lines, arguing that human-selected reference points can avoid the…
The article introduces a pipeline for applying topological data analysis to financial time series. Takens time-delay embedding converts a one-dimensional series into vectors in a higher-dimensional point cloud, controlled by embedding dimension and delay.…
The article explains vector autoregression as a multivariate forecasting method in which each series depends on its own lagged values and the lags of other series. It applies VAR to daily EURUSD open, high, low, and close data: the example differences the…
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…
The article proposes a theoretical model in which a probabilistic wave field governs price evolution. It derives a time-evolution equation under assumptions of a smooth field and conserved, normalized probability, then relates that equation mathematically to…