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 Dual Thrust trend-following system, which defines a recent trading range from the largest of two high-to-close and close-to-low spreads. It sets upper and lower trigger levels by adding scaled versions of that range to a reference…
This guide explains how to use a target-position scheduler to execute a sequence of position-adjustment tasks. A table specifies each task’s duration, desired net position, and pricing mode: pause, passive quote, active quote, or a custom price function.…
This overview catalogs Python examples for the WonderTrader framework, including CTA strategies, futures and stock backtests, futures arbitrage, optimization, reinforcement learning, and high-frequency trading. It names Dual Thrust as a sample strategy used…
These notes describe several practical features of futures and over-the-counter derivatives markets. They explain how central counterparties manage standardized OTC trades through margin and default-fund contributions, while bilateral trades use master…
This note presents a simplified Turtle trend-following system and applies it to a rubber futures contract. It frames the approach around seeking positive long-run expectancy, controlling risk, following rules consistently, and favoring simplicity. The…
This indicator description shows a way to mark neutral trading ranges using transitions, or twists, between the Ichimoku Senkou Span A and Senkou Span B lines. It draws each range’s upper and lower boundaries as a rectangle, ending the range when price…
This script counts consecutive runs of bullish and bearish bars over a user-selected window and plots the distribution. Each run is represented by a signed value: positive for bullish sequences and negative for bearish ones, with the magnitude equal to the…
The document outlines a process for forecasting dividends for index constituents, aggregating those estimates into an index-level total, and predicting when the dividends will be paid. Historical distributions are described as concentrated mainly in May…
This document explains a portfolio management interface for monitoring strategy-level positions, trades, and profit and loss during the trading day. It treats each order source, such as manual trading or a strategy module, as a separate portfolio and…
This document raises implementation questions about trading two OKEX futures maturities through one exchange object. Its example switches between the this-week and quarterly contracts to request tickers over WebSocket, then switches again before submitting…
This example describes a short-term price timing strategy for a gold futures contract. It calculates an AR indicator from recent daily bars by comparing the accumulated distance from open to high with the distance from open to low, scaled as a percentage.…
This guide explains how to obtain exchange history for OctoBot Script backtests and how to reuse previously downloaded data. The fetch request is configured with a trading pair and candle interval, with optional settings for the starting timestamp, exchange,…
The article argues that Rust can suit quantitative trading infrastructure where large data workloads, dense computation, concurrency, and low latency matter. It attributes this fit to Rust’s performance, memory and thread safety guarantees, and lack of…
This forum post explores how VeighNa's historical bar loading relates to strategy initialization, bar aggregation, and trading decisions. The author asks whether loading bars at minute, hourly, or daily intervals supplies the corresponding historical data,…
The document describes a long-only GER40 strategy on a four-hour chart. Its written description says to buy when price is below the 200-period EMA and above the 50-period EMA, with a linear regression slope filter, then exit when price is above the 28-period…
This essay argues that trend following can exploit the tendency of traders to seek high win rates, take profits early, and let losses run. It recommends simple, rule-based systems that avoid future information and do not depend on extensive parameter tuning.…
This reference introduces MyLanguage, a domain-specific language for writing programmatic trading analyses on the FMZ Quant platform. It explains scalar and sequence data, strings, numeric and Boolean values, global variables, naming conventions, and…
This short Chinese-language post asks how to retrieve position data from a CTP trading gateway. The author shows a connection sequence that loads gateway settings, initiates a connection, pauses for login and initial contract, account, and position queries,…
This brief Chinese forum reply addresses a user whose CTP connection is failing without producing log output. It explains that an “inactive front end” status means the CTP server is currently unavailable, and suggests trying again during trading hours. The…
This forum exchange addresses a connection failure encountered while following a VeighNa tutorial on retrieving option quotes through the CTP interface. The questioner has authorization for a futures broker’s test account and asks whether completing…
The guide explains how to configure Hummingbot Strategy V2 controllers to run market-making strategies for multiple trading pairs through one generic script. It walks through creating a separate controller configuration for each pair, setting values such as…
The document explains tick volume as a count of deals during an intraday period. Because reported futures trade volume can arrive a day late, tick counts offer a more timely way to observe activity. They do not reveal the number of contracts in each deal, so…
The article explains why futures research often uses constructed continuous series: individual contracts expire, so a longer history requires rules for selecting and joining successive contracts. A direct splice can create an artificial price gap at a roll,…
This post describes a macOS setup problem connecting VeighNa’s CTP interface to a futures broker. The reported symptoms are an initial 4040 error followed by repeated 4097 errors. The author says the broker’s troubleshooting materials targeted Windows, while…