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.
4,613 documents
The document examines what the coefficient in a log-price cointegrating relation means for a pairs trade. It contrasts interpreting the coefficient as a share ratio with interpreting it as a ratio of market values, and explains why those interpretations lead…
The document explains how broker margin rules constrain portfolio weights, especially for dollar-neutral equity portfolios. It relates gross exposure—the sum of the absolute portfolio weights—to the capital required to carry long and short positions. For a…
This tutorial shows how to add position-change notifications to a strategy written in FMZ My Language. Its example trading system uses Williams %R and an exponential moving average to generate long and short entry signals. The central technique uses the…
This spot grid strategy places paired buy and sell orders around the market, then rebuilds the grid after a fill using the filled order price and current bid and ask. Grid spacing and order size are configurable. A position calculator tracks net exposure and…
This strategy uses Bollinger Bands calculated from hourly closing prices to generate long and short trades. It enters long when the latest tick rises above the upper band and enters short when it falls below the lower band. A long is closed below the middle…