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 draft presents a research framework for estimating short-horizon crypto prices from fixed-interval data. It resamples futures and spot mid-prices at 100-millisecond intervals, derives returns, and preprocesses order-book imbalance features. The proposed…
This project outlines a mean-reversion pairs strategy for Chinese futures. It screens candidate contract pairs for cointegration with an Augmented Dickey-Fuller test, estimates a changing hedge ratio with a Kalman filter, and measures spread behavior with…
This tutorial demonstrates replaying Binance level-two order book snapshots and updates in a backtest engine. It describes rebuilding the book from timestamped deltas, then checking the best bid and ask sizes after each update. When the larger side exceeds a…
The document explains how to retrieve futures margin rates through TqSdk2 when a trading program otherwise uses TqSdk. It describes running both libraries in one Python file: connect directly to a CTP broker through TqSdk2, query the margin rate for a…
This post presents a 15-minute intraday strategy for German DAX mini CFDs. It uses a Super Smoother filter applied to price changes, then normalizes the filtered value by a decaying estimate of its peak magnitude. The strategy opens long positions when the…
This excerpt summarizes a Chinese weekly research note on machine learning and commodity trading advisor strategies. It reports recent results for a neural network strategy on the CSI 500, a commodity futures strategy, and a commodity strategy combining…
This educational MetaTrader 5 example extends the Commodity Channel Index by adding a user-defined shift in bars to its plotted values. The description explains the general implementation idea: apply the shift by changing the indicator buffer index, a…
This automated strategy places buy stop and sell stop orders around the high and low of the previous five-minute candle, with an adjustable offset. It can place additional pending orders relative to open positions. The cycle closes all positions when…
This MT5 monitoring indicator summarizes account-level risk without placing or managing trades. It compares balance with equity to display current drawdown as both a percentage and a currency amount, and tracks peak equity to measure equity drawdown over…
This strategy description proposes trading intraday reversals around levels derived from daily bars. It buys when price is below a recent daily low and sells short when price moves above a recent daily high, aiming to capture a return toward the prior day’s…
This short Python example shows how to assemble a daily futures trading system with an order simulator. It creates a data source, loads configuration, and constructs a system from account, portfolio, position-sizing, forecast-combination, forecast-scaling,…
This forum exchange explains why a futures backtest can differ from a course example even when the strategy and settings are the same: the data series may be revised over time. It describes the platform’s 888 series as a continuously smoothed main-contract…
The document surveys systematic fund approaches and the markets where they are commonly used. It distinguishes trend following, countertrend trading, statistical arbitrage, convertible arbitrage, fixed income trades, commodity spreads, and global macro or…
This strategy trades five-minute Dow index bars when a bullish or bearish engulfing candle forms with a body exceeding a multiple of average true range. Two Bollinger-style bands, calculated from moving averages and standard deviations, provide trend…
This forum exchange explains that a VeighNa CTA strategy’s operating interval depends on its implementation. A strategy can react to each incoming tick, process one-minute bars formed from ticks, or aggregate those bars into longer periods using a bar…
This guide explains how to use TargetPosTask to move a contract’s net position toward a requested target. Create one task per contract, set a positive, negative, or zero target for long, short, or flat exposure, and keep calling the update loop so the task…
This weekly crypto market snapshot combines regulatory and company news with indicators of institutional activity and derivatives positioning. It covers the launch of XRP and Dogecoin ETFs, Tether’s U.S.-focused stablecoin, a large corporate Solana purchase,…
The document explains three QTPyLib utilities for working with Interactive Brokers futures. A tuple-generation helper builds a valid contract specification from a symbol, expiry, and optional exchange. Another helper selects the most active contract using…
The author describes an automated version of a manual DAX day-trading approach on five-minute charts. It uses 20-, 180-, and 200-period moving averages to define trend alignment and slope. Long entries require the averages to be ordered upward, all three to…
A Chinese forum exchange discusses large differences between futures data from Xuntouyan and TQSDK and the resulting disagreement in strategy backtests. The original poster reports discovering that the unusually high returns from one Xuntouyan test came from…
The Rust module outlines a connector for Binance USD-M futures that combines market data subscriptions, user account updates, and order management. It reads connection and credential settings from configuration, tracks registered symbols, and starts…
This forum exchange clarifies how VeighNa’s spread trading callbacks relate. For live operation, the strategy receives a complete spread data structure through `on_spread_data`; that structure can be converted into a tick before the tick-handling logic is…
The discussion explains that VeighNa 2.7 does not provide built-in save-and-restore support for variables in spread trading strategies, even though CTA strategies have a dedicated data file. As a workaround, a community reply suggests saving selected values…
This technical guide explains how NautilusTrader’s Interactive Brokers adapter connects to Trader Workstation or IB Gateway for market data, order execution, instrument discovery, and historical requests. It covers socket access, paper and live connection…