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.
29,558 documents
This guide introduces the Avellaneda–Stoikov framework for setting bid and ask quotes while managing a market maker’s inventory. It describes a reservation price that shifts away from the mid-price according to inventory deviation, risk aversion, volatility,…
This implementation describes a threshold-based rule for a cointegrated pair. It opens a long-spread trade when the spread falls to or below a lower entry level, or a short-spread trade when it rises to or above an upper entry level. A trade closes when the…
The document describes a MetaTrader-style utility that closes matching open orders when calculated losses reach a user-set percentage of account balance. A caller supplies a drawdown threshold and a magic number to select orders; using zero is described as…
This document describes a trade-management utility for open positions rather than a signal generator or strategy. It can add missing stop-loss and take-profit levels, move stops to break even as trades become profitable, and apply trailing stops to help…
This overview explains vn.py as a modular framework for automated trading. The MainEngine coordinates gateways, applications, databases, and data services, while the EventEngine routes market, order, and other messages to subscribed components. A typical…
The document presents a framework for deciding whether a candidate multifactor strategy adds value beyond a small set of investable reference factors, called elementary smart betas. It models each candidate through its exposures to those factors and its…
This article groups recurring trading losses into three market conditions: trading against a strong trend, repeatedly chasing moves in a broad range, and trading through choppy swings. It recommends first identifying the prevailing structure across larger…
This intraday strategy for the DAX uses three consecutive candles of the same color as its directional condition. On the one-hour chart, it allows a long entry at noon when the current and prior two candles have all closed above their opens. It allows a…
The Trend Levels indicator uses the highest high and lowest low over a configurable lookback period to identify potential changes in direction. A new period high sets an uptrend state, while a new period low sets a downtrend state; arrows mark those…
This commentary reviews the Chinese quantitative-investing environment in 2022 and presents a private manager’s expectations for 2023. It attributes a difficult path to excess returns to weak trading activity and rapid shifts in market style, alongside a…
The document describes an A-share stock screen intended to find possible short-term rebounds. It combines a 14-period RSI below 65, first-level bid volume greater than ask volume, and a stated daily maximum decline between 4% and 5%. The accompanying…
The document describes a short-term Chinese equity screen combining turnover, recent price performance, and limit-up frequency. It selects stocks with turnover between 3% and 12%, a positive 10-day gain below 35%, and more than two limit-up sessions during…
The article proposes a short-term stock screen requiring price amplitude above a threshold, at least two limit-up events within a 500-day lookback, and a prior-session 9:15 indicative match price at the limit-down level. It interprets the last condition as a…
The document surveys option buyer and seller risks, then explains dynamic delta hedging as a way to manage directional exposure. It describes how delta changes with the underlying price, time to expiration, and volatility, and illustrates rebalancing a short…
This document describes a chart utility for viewing groups of long and short symbols together. Users can configure each basket with up to 50 symbols, select a symbol to display on the chart, and review per-symbol and total statistics. These include weekly…
This code module outlines methods for constructing sparse portfolios intended to exhibit mean reversion. It includes Box–Tiao canonical decomposition, greedy support selection, semidefinite optimization under volatility constraints, and sparsity methods…
A liquidity miner describes using automated pure market making across cryptocurrency pairs in liquidity mining campaigns. His approach is to distribute capital across available pairs, use a spreadsheet to plan allocations, order sizes, balance limits, and…
This document proposes screening Chinese stocks by price range, a K-line condition described as being below 20, and descending money strength. It characterizes money strength as a way to infer buying and selling pressure from price direction and trading…
This document describes a Chinese stock watchlist screen combining daily price range, a recent limit-up event, and a signal labeled as prior-day main-force control. Its rationale is that larger price swings and recent limit-ups may indicate attention and…
This post describes a stock selection rule combining three conditions: daily price amplitude above 1, actual turnover on the previous day between 3% and 28%, and weekly MACD above zero. It presents the combination as a way to screen for stocks with…
MAVA-XonaX describes a moving-average crossover approach for EURUSD on a four-hour chart. It uses four six-period moving averages calculated from bar open, close, high, and low prices. A cross of the close-based average above the open-based average is…
This description outlines a pending-order breakout approach implemented by an Expert Advisor. It scans a configurable lookback range, set to 80 bars in the described version, and places a Buy Stop at the highest price and a Sell Stop at the lowest price. The…
This Chinese equity screening rule combines a turnover range of 3% to 12%, at least one limit-up event in the prior 25 days, and seven consecutive sessions in which the close is no higher than the open. It is intended to find stocks with recent signs of…
This brief literature note introduces a VaR-augmented Black-Litterman approach for constructing an absolute-return fund-of-funds portfolio with market-risk controls. The described formulation incorporates value-at-risk alongside practical trading…