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.
610 documents
This article demonstrates a practical way to reduce trading costs in a crypto statistical-arbitrage portfolio: keep existing positions until they drift sufficiently far from their target weights. The example uses perpetual futures, excludes stablecoins, and…
This article advises traders with small accounts to begin with comparatively simple, forgiving strategies that support consistent process-building and skill development. It cautions that niche, high-capacity-constrained opportunities may offer attractive…
This brief article outlines a portfolio philosophy built around collecting risk premia while allowing for the possibility that active signals or discretionary views will be wrong. It proposes selecting assets with positive carry and varied exposures to…
The article presents a workflow for studying and combining signals on Binance crypto perpetual futures. It examines carry from funding rates and cross-sectional momentum alongside a breakout measure based on closeness to recent highs. The author first…
The document argues that a trading method is not an edge by itself: an edge is a positive expected return grounded in an effect that can plausibly persist. It distinguishes four possible sources—arbitrage, information advantage, risk preferences, and flow…
Carry is a position expected to earn a return as time passes, provided prices and other conditions remain stable. The document explains this through currency yield differentials, rolling bond and stock futures, and selling options, then describes perpetual…
The article explains how to express trading signals as expected returns, giving a common scale for comparing features and combining them with risk estimates and trading costs. Its example uses Binance perpetual futures and considers carry, short-term…
The article argues that a trading business needs a plausible, explainable source of returns rather than relying on discretionary chart reading or feeding features into a machine-learning model without a clear rationale. It frames durable edges as…
The article discusses two proposed crypto trading signals. The retail-flow factor uses order-book data to distinguish retail from institutional activity and treats unusually strong retail participation as a contrarian signal. The author reports a near-linear…
This note asks whether markets that perform well for trend-following do so because their prices have drifted favorably, because of carry, or because they convert those effects into trend signals more effectively. It compares bonds, foreign exchange, metals,…
The document explains why “CTA” can refer to several overlapping ideas: a US regulatory category, an adviser operating managed accounts, a manager of futures strategies, or a modern investment fund. It contrasts traditional managed accounts, where clients…
The document discusses several systematic trading ideas. It frames short volatility as harvesting the gap between option-implied and expected realized volatility, using short volatility futures with a constant negative forecast and volatility-based position…
The article describes the components and operating choices of a long-running automated futures system. Its rules combine trend and momentum signals, breakouts, carry, relative signals, skew, acceleration, and mean reversion. Forecasts are weighted across…
This article evaluates a hierarchical, handcrafted method for allocating weights among trading rules and instruments. The method is intended to be transparent enough for spreadsheet implementation, grounded in theory, and responsive to uncertainty in…
This article develops a simple breakout trading rule and evaluates different lookback speeds across a set of futures markets. It discusses forecast scaling, turnover, and how trading costs can make the fastest breakouts impractical. The author notes that…
This document describes how a futures system can select contracts and move positions as delivery months change. It frames contract choice around liquidity, trading costs and calendar spreads, volatility and kurtosis, contango measurement, price action, and…
The document describes a method for checking whether trading forecasts carry information beyond their direction. It pairs forecasts from moving average crossover and carry rules with subsequent price changes over an estimated average holding period, then…
The article outlines a multi-currency carry approach that seeks positive swap income while offsetting exchange-rate exposure through opposing positions in correlated currency pairs. It proposes using least-squares regression on historical daily prices to…
The article examines whether swap payments can contribute to returns and describes locking positions across accounts with different swap schedules. It argues that holding offsetting positions can reduce exposure to price direction while the combined swaps…
The article presents a method for selecting Forex positions with positive rollover income while accounting for exchange-rate returns and volatility. It describes scoring eligible currency pairs using normalized estimates of market return, swap, and…
This notebook describes an out-of-sample backtest for a selected crypto perpetual funding strategy. It reuses predictions generated from training history that ends before the holdout period, then applies the chosen strategy configuration, including its…
This notebook explains how to build a cross-sectional futures feature matrix from three contract tenors per product. It derives carry and curve curvature from exchange-settled prices, while using roll-adjusted prices for return, momentum, and volatility…
This document describes data access and alignment conventions for crypto perpetual futures and related on-chain series. It explains that premium-index bars are timestamped at their opening time: an eight-hour bar records the premium leading into the funding…
This notebook checks whether four-hour spot FX data can support a daily cross-sectional strategy that ranks currency pairs using momentum and carry. It tests whether the declared instruments have prices at each decision point, whether the universe represents…