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 explains the Turtle trend following system as a mechanical futures approach intended to limit discretionary decisions. It covers liquid market selection, volatility based sizing using ATR, and Donchian channel breakout entries. A short term…
This article describes a monitoring upgrade for a cryptocurrency futures Martingale strategy used with Binance Futures and dYdX bots. The first version showed limited position information and plotted realized profit and loss without accounting for floating…
The document describes a rules-based gold strategy that buys after the CME’s daily maintenance break, holds for a fixed period, and uses a volatility-scaled stop. It reports an eleven-year hourly-data study: the first hour after the daily reopen showed a…
The discussion addresses how a spread strategy should handle ticks arriving at different times for multiple contracts. It describes a latest-available-data approach: cache each leg’s most recent tick and recalculate the spread whenever any leg updates. This…
This market commentary combines a US macro calendar with views on Japanese rates, Bitcoin, and Ethereum options. It notes that the Federal Reserve decision and US employment report could move markets, while a weaker employment result might support bonds and…
This brief forum exchange addresses a type error encountered during a CTA backtest. The reply points to the construction of five-minute bars and explains that the window argument was not passed as an integer value. The practical lesson is to check the type…
This example describes a three-leg futures strategy that treats polyester fiber value minus the weighted costs of PTA and ethylene glycol as a production margin. It estimates the margin’s mean and standard deviation from recent daily bars, then calculates a…
This report summary lays out a framework for analyzing government interest-rate bonds through supply and demand, return decomposition, duration timing, and portfolio allocation. It attributes supply partly to fiscal conditions and economic pressure, and…
This indicator description explains a charting method for displaying candles from a larger timeframe as filled rectangles. The rectangles use a fill-drawing buffer, with the BrainTrend1 indicator determining the colors: the candle body uses one color for…
This guide walks through a TqSdk workflow, from setting up an account and connecting to live quotes to reading synchronized bars, checking account and position references, and submitting or cancelling orders. Its central pattern is to create an API, request…
The document explains how to connect VeighNa trading software to Excel through its ExcelRtd module and PyXLL. After installing and configuring the commercial PyXLL add-in, users can enable the module in VeighNa Station or load it in a startup script. The…
This indicator description explains a way to plot hourly pivot support and resistance levels. It calculates the first three resistance levels and first three support levels using either a standard pivot-point formula or Fibonacci-based levels, with the user…
This forum post presents a rule-based strategy for Japan 225 cash on an hourly chart. It checks for entries at 02:00, skips Fridays, and uses the direction and absolute range of a bar four periods earlier to choose a long or short trade. The position size is…
The author reports that 15-minute bars collected by a live trading bot for a Chinese steel rebar futures contract differ substantially from bars shown by two other market-data sources. They provide a long excerpt of the bot’s OHLCV records, with timestamps,…
This ProRealTime indicator is designed for price-action charting with few overlays. It calculates Fibonacci retracement levels from the current session's high and low, changes their orientation according to whether price is behaving bullishly or bearishly,…
This example shows how to load daily market data from a delimited text file into a pandas DataFrame and pass it to Backtrader as a Pandas data feed. It uses a basic Backtrader strategy, runs the engine over the data, and plots the result. Optional…
This DAX trading idea opens a long position on Monday at the specified morning entry time if the current price is more than 50 points above the previous day’s close. It exits at a preset time later that morning and sets a 50-point loss stop. The code also…
This document describes a rule-based strategy for the Nikkei 225 on 15-minute bars. It enters long after a closed bar meets three criteria: price is above its recent average by a volatility-scaled amount, upward momentum remains below a threshold, and tick…
This tutorial outlines a mean-reversion approach to calendar spreads in ETC futures. It defines the spread as the weekly contract price minus the quarterly contract price, samples it on a five-minute cycle, and pairs the contracts in a one-to-one ratio. The…
This example shows how to combine a spot BTCUSDT mid-price series with US dollar margined futures order book data in an hftbacktest simulation. It parses spot book ticker messages into local timestamps and mid prices, then, at each backtest timestamp,…
A discussion about an options strategy notebook describes a backtest that produced zero daily profit and loss values and took a long time to load historical data. The reported cause was missing underlying futures data: the shared activity data package…
This report summary reviews Chinese private securities funds and market conditions around July 2018. It covers equity, bond, and commodity performance, the size and formation of the private-fund sector, and median fund returns overall and by strategy. It…
This tutorial explains how to add a second vertical axis to a trading chart when plotting an indicator with a very different scale from market prices. Its example combines candlesticks for a futures instrument with MACD lines. Because the MACD values are…
The document describes a trend-following indicator built from a moving average of the prior day’s typical price. It plots five fixed-distance bands above and below that average; the user sets the period and band increment, with 20 periods and an increment of…