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 describes an opening-range breakout approach for the FDXS on a five-minute chart. It tracks the high and low formed from 9 to 10 a.m., then enters long or short when price breaks beyond that range. The proposed stop is at the range midpoint,…
This QTPyLib example illustrates a simple event-driven futures strategy for the S&P E-mini. It counts incoming ticks and acts on every tenth tick. When flat and without a pending order, it randomly chooses a side and submits a one-contract limit order around…
This forum exchange documents a VeighNa user who could not find a DCE futures contract in the contract query or when submitting an order. The log shows the trading application starting, loading risk rules, attempting a CTP connection, and then reporting that…
This brief troubleshooting post shows a BitMEX limit-order request that succeeds when the price is written as a literal number but fails when the request uses a variable. The logged variable evaluates to a numeric price, yet the API responds that the price…
This document describes a long-only strategy for a Bund contract CFD on a four-hour chart. Entries are triggered when a normalized, smoothed price-action indicator reaches either extreme threshold or crosses above zero, with Monday entries excluded. The…
This brief indicator description explains a way to display support and resistance levels from recent tops identified by the ZigZag_NK_MTF indicator. A user can choose the timeframe used to calculate the ZigZag, allowing the plotted levels to reflect a…
The document outlines Two Sigma’s systematic investment approach and briefly describes its China macro strategy, which invests across Chinese commodity and financial futures. It presents a process built around research, portfolio construction, and risk…
This study explores genetic programming as a way to discover formula-based signals for commodity futures trading. It adapts a genetic programming package to search combinations of market data and operators, aiming to find signals that could complement…
This shared ProRealTime strategy combines ADX, directional indicators, momentum, stochastic movement, and price relationships to moving averages. It seeks long entries when several measures support an upward trend and short entries when they support a…
This short forum exchange explains one possible cause of a SimNow trading-server login failure that returns CTP error code 4 with an inactive-user message. A user asks why login is failing, and a respondent says the account may have been frozen after a long…
This document describes version 3.0 of a charting tool for Elliott Wave analysis. Its main addition is drawing Andrews Pitchforks from three selected wave labels. Users select the labels, trigger the drawing action, and can remove the resulting pitchfork by…
This example demonstrates a backtest workflow for market-by-order data. It loads instrument definitions and a short sample of order book deltas, configures a margin account with an L3 market-by-order book, and feeds the data into the engine. A built-in book…
This code describes a multi-contract futures strategy that combines daily contract selection with three-minute entry signals. It ranks instruments by trading activity relative to open interest and by daily range relative to the open, then permits new…
The document describes a long-only DAX system intended for 15-minute bars. It permits entries around the Frankfurt open on weekdays, using a short momentum comparison and price above a parabolic SAR as entry conditions. A fractal dimension index below a…
A forum discussion considers how to size orders dynamically during a backtest as account equity changes. The trader describes a strategy that may lose capital after a position closes and then needs to size a new entry using the reduced balance. They explain…
The document raises a focused implementation question about building one-minute bars from tick data with VeighNa’s BarGenerator. It asks why the update logic compares the current bar high with a tick’s last traded price, then conditionally considers the…
This forum exchange explains a BarGenerator behavior for forming hourly candles when a contract is inactive near the end of an hour. If no new market data arrives during the final minutes, the incoming bar may carry a timestamp in the next hour. The hour…
This brief forum exchange concerns a user who cannot find an IM-prefixed futures contract in VNPY’s contract lookup and market-data records. The reply suggests checking whether the contract query has completed successfully before searching, since attempting…
A VeighNa community exchange discusses why a backtest may show a flat return curve when stock data contains negative prices after adjustment. One participant reports seeing negative values in forward-adjusted data for a stock and notes that crude oil futures…
This profile follows a quantitative trader’s shift from intraday models toward medium-frequency futures strategies grounded in industry knowledge. He argues that statistical relationships alone can be fragile: attractive historical fits may reflect…
This article describes an indicator that interprets the session after an Initial Balance, defined by the high and low of an opening period. It freezes those boundaries, optionally plots range-extension references, and divides the remaining session into fixed…
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 notes explain how to hedge an exposure with a futures contract on a related but different asset. They define the minimum-variance hedge ratio using the correlation and volatility of spot and futures price changes, then use that ratio and contract size to…
The document introduces a MetaTrader 5 indicator called JS-Stoh-BB-RSI_HTF, which adds a selectable chart timeframe to the JS-Stoh-BB-RSI indicator. The timeframe is configured through an input parameter, with a four-hour period shown as the default. The…