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 intraday index strategy trades breaks of the overnight high or low during a morning entry window. It uses recent highs and lows to define levels, adds a configurable spread to some stop or limit orders, and uses the Parabolic SAR to shape entries and…
A VeighNa community discussion addresses a futures strategy using one-hour bars, long moving averages, and calculations over a longer run of closing prices. The questioner reports that a simple moving average request above the default ArrayManager capacity…
This guide explains how to use customizable plugins in FMZ’s trading terminal to support manual and semi-automated trading. Users can add and rearrange data or trading modules, configure their exchange and trading pair, and write custom plugins in several…
A short forum exchange addresses why the final minute bar appears to be missing before the market close. The reply explains that VeighNa timestamps a bar at the time the candle begins. As a result, a bar covering the final minute may carry the timestamp for…
This article outlines a systematic trend-following approach commonly called the Turtle method. It describes choosing liquid markets, using average true range (ATR) as a volatility measure for position sizing, and entering on Donchian channel breakouts. The…
This Backtrader example demonstrates how to combine daily market data with a monthly resampled series. It calculates pivot points from the monthly feed and compares the daily close with the first support level to produce a sell signal. A switch selects…
The post presents a short-term screening rule that combines a daily price range greater than one, three consecutive limit-up sessions on the previous day, and an increase in open interest exceeding five percent relative to volume and contract multiplier. It…
This platform announcement describes support for trading Binance BTC-USDT futures through an algorithmic trading system. It lists a maximum leverage of 20 and explains that leverage is applied automatically, with required margin rising as notional position…
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 forum thread discusses lightweight ways to connect Python applications to Chinese futures brokers through the CTP interface. One participant recommends using VeighNa’s CTP API wrapper directly when only market data and order entry are needed, without…
A BigQuant support exchange explains a missing-feature error when a derived feature extractor requests a 20-day return field. Although the questioner expects the field to be predefined, the response identifies the likely cause as using the feature name for…
The document discusses using time of day to refine entries and exits. It notes that liquidity often follows a U-shaped intraday pattern, with greater activity near the open and close, and that traders may observe price or volume changes around the close. It…
The document explains how a spread-trading module can define synthetic combinations of futures legs, calculate their spread price, and execute them through taker, maker, or exchange-spread algorithms. It walks through constructing a spread from leg…
This study summary examines whether index futures information can improve high-frequency technical trading rules for Chinese index ETFs. It uses genetic programming to evolve rules from five-minute price data for CSI 300 and CSI 500 ETFs and their…
This Chinese community post presents a VeighNa CTA strategy built around Bollinger Bands and recent closing-price extremes. It aggregates incoming bars into daily bars, then updates an array manager and waits for its data window to initialize. A long entry…
The indicator marks opening ranges for the London or US session and projects price levels beyond each range. It measures the high-to-low span of two consecutive opening windows, then plots upper and lower targets at multiples of that span. The first window’s…
This release note describes changes to Zipline that affect strategy research and backtesting. It adds a daily pre-market callback and more flexible scheduling, including calls tied to market time and early closes. History data can expand as requested, and…
The author describes FMZ, formerly BotVS, as a platform intended to make automated trading easier for users with limited programming experience. The article highlights cross-exchange strategy portability, learning materials and templates, simulated…
This OctoBot guide outlines how to configure automated futures trading. It lists supported trading modes: DCA, Dip Analyser, TradingView, and Daily. It names Binance, Bybit, and Kucoin as supported futures exchanges. A profile's leverage setting is adjusted…
The document presents a long-only strategy derived from a gap-detection indicator. It uses a configurable lag to compare the close with a prior close and checks for a gap between the current high and the previous bar's low to trigger an entry. A…
This strategy ranks a universe of commodity futures by the skewness of their daily returns over a trailing 12-month window. At each monthly rebalance, it goes long the quintile with the lowest skewness and short the quintile with the highest, with equal…
This code example implements an intraday R-Breaker strategy for a futures contract while allowing positions to remain open overnight. It calculates a pivot and six reference levels from the prior daily bar: breakout thresholds, observation levels, and…
The document describes a crypto futures strategy that combines ATR-based channel signals with Avellaneda–Stoikov quoting. It treats a move above the upper band as a short signal and a move below the lower band as a long signal, while quotes are adjusted for…
The note argues that crypto implied volatility appears low despite macro uncertainty and recent sharp price declines. It proposes a delta-neutral long-volatility position combining long-dated out-of-the-money calls with short underlying futures. The calls…