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.
5,922 documents
The article divides solo trading work into four roles: researching whether a market effect is real, engineering a tradable strategy, building a portfolio from strategies, and operating the resulting system. Each role calls for a different focus, from…
This article compares simple systematic strategies, such as indicator signals on liquid markets, with more advanced approaches that may use niche instruments, statistical analysis, and explicit portfolio construction. It frames the choice around an…
This opening installment considers how a trader with limited capital might allocate across futures when contracts cannot be traded fractionally. The author frames the challenge as a portfolio optimization problem: a small account cannot spread capital over…
The document explores whether interest-rate conditions can help tailor CTA allocations across fixed-income futures and trading rules. It proposes meta-prediction: group historical strategy returns by a regime variable, then compare performance across those…
The report reviews crypto and blockchain venture investment and fundraising in Q2 2025. It tracks capital and deal counts by investment stage, company category, geography, and founding year, and compares venture activity with bitcoin prices. It reports…
This market commentary argues that Bitcoin's rally from 25,000 to 38,000 was largely driven by expectations of US spot ETF approval. The author expected another attempt to break above 38,000, but suggested using strength to prepare for sideways or mildly…
This guide presents ten broad principles for participating in cryptocurrency markets. It emphasizes limiting exposure to money an investor can afford to lose, building positions through scheduled dollar-cost averaging, researching token utility and project…
This guide explains how to run multi-contract strategies in VeighNa, from loading the module and creating strategy instances to initializing, starting, stopping, editing, and removing them. It describes the distinction between initialization and live…
The report assesses Bitcoin and Ethereum performance in 2025 through monthly returns, six market regimes, drawdowns, rolling volatility, and BTC–ETH correlation. It argues that annual returns conceal large differences across regimes: Bitcoin finished the…
This system stage combines already scaled and capped forecasts from multiple trading rules for an instrument. It aligns rule weights with available forecasts, adjusts weights when forecasts are missing, carries weights forward across dates, smooths them with…
This strategy uses a three-agent workflow to build a concentrated portfolio from a fixed list of large-company stocks. A research agent ranks up to five candidates for predictable operations, cash generation, and attractive pricing. A separate short-seller…
This script describes an evaluation workflow for trained stock trading agents based on an ensemble reinforcement learning study. It loads trained A2C, DDPG, PPO, TD3, and SAC models, applies them to a stock trading environment, and records account values and…
The document describes a monthly strategy that combines a portfolio of smart factors with a broad US equity market proxy. It uses five factor return series based on large US stocks. For each factor, it measures one-month and twelve-month momentum, ranks the…
The discussion explains why the choice between simple and logarithmic returns depends on the calculation. In a portfolio with fixed asset weights over a period, the portfolio’s simple return is the weighted sum of its assets’ simple returns. This…
The document poses a portfolio-combination question: how to estimate the Sharpe ratio of several strategies when only each strategy's expected return, standard deviation, Sharpe ratio, and trade count are available. It highlights that averaging standard…
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…
The document questions the usual assumption that all assets share one continuous calendar clock. Markets instead operate asynchronously: order flow arrives through events, and the time between events can be random. It compares event-time, renewal,…