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
The paper evaluates two deep reinforcement learning methods, Double Deep Q-Network and Proximal Policy Optimization, for trading. Their performance is compared with a buy-and-hold benchmark using daily data from 2019 to 2023. The assets described include…
The proposed approach combines foreign exchange rate prediction with statistical arbitrage while accounting for the delay between observing prices and executing trades. Its first stage models exchange-rate prediction as edge-level regression on a…
This study examines whether order flow in the foreign exchange spot market has long memory, meaning that dependence in its behavior persists over extended periods. It analyzes three liquid currency pairs on a highly active electronic platform, using data…
The document explains a currency carry trade: borrow or short currencies with relatively low central bank rates and hold currencies with relatively high rates, aiming to earn the interest-rate differential. Its simple example forms a universe of 10–20…
The document describes cross sectional momentum in foreign exchange: currencies with stronger recent returns have tended to outperform recent laggards. A simple version ranks a universe of roughly 10 to 20 currencies by their trailing 12 month returns…
The dollar carry trade uses the average forward discount of a basket of developed-market currencies relative to the US three-month Treasury rate to choose a currency position. If the US rate exceeds the basket’s average forward discount, the strategy goes…
This document presents a foreign-exchange value strategy that uses purchasing power parity (PPP) to compare currencies with estimated fair values. The suggested universe contains 10–20 currencies. Using the latest OECD PPP figure and monthly CPI and…
The document describes an automated RSI strategy that uses H1 signals with D1 confirmation. A buy requires RSI on both timeframes to be above the oversold threshold and rising relative to its previous reading; a sell requires RSI below the overbought…
This document explains an expert advisor approach for moving stop losses as a trade becomes profitable. The user sets whether trailing is enabled, a profit distance at which trailing begins, a step size, and a magic number. On each tick, the routine scans…
This document describes an expert advisor using the IBS_RSI_CCI_v4 indicator. It forms a signal when a bar closes and the indicator cloud changes color, making the cloud transition the stated trigger for the system. The note mentions GBPUSD on a six-hour…
The article describes a MetaTrader expert advisor framework with separate scalping and swing modes across a configurable list of instruments. Its proposed scalp logic uses short timeframes, fast and slow exponential moving averages, RSI filters, and…
This installment explains why a replay system designed around traded-price data can produce incorrect charts and indicators when used with forex or other Bid-based markets. In the described data, tick volume can remain zero because it is tied to changes in…
The document considers how to explain a mark-to-market difference between two systems valuing the same AUD/JPY option under a Black–Scholes-style framework. The systems report different implied volatilities, forward rates, vegas, and USD deltas. The question…
The article introduces support vector machines for classifying next-day currency returns. It explains maximum-margin boundaries, soft margins that allow some classification errors, and the kernel trick for representing nonlinear boundaries in a…