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 notebook explains feature construction from data beyond a single asset’s price history. It derives annualized futures roll yield from contemporaneous front and deferred contract prices, and uses three tenors to calculate normalized curve slope and…
This configuration defines a weekly futures research universe spanning equity indexes, government bonds, energy, metals, currencies, agriculture, and livestock. It sets Friday settlement as the decision snapshot and Monday open as the execution point. The…
This notebook builds features for a cross-sectional hypothesis: unusually costly long positioning in perpetual futures may precede relative weakness as crowded trades unwind. It transforms funding rates and premium-index data into levels, historical…
The paper examines how excess returns across risk-premium strategies relate to asymmetric tail risk. It introduces a new definition of skewness and reports that risk premia are strongly associated with tail-risk skewness, while showing little relationship…
The paper models the yield strategy of a decentralized stablecoin that combines staked Ethereum with an equal-sized short position in ETH perpetual futures. The matched legs aim to reduce exposure to ETH spot-price changes while earning staking rewards and,…
The document explains a currency carry trade: borrow or short currencies with relatively low central bank rates and hold currencies with relatively high rates, aiming to earn the interest-rate differential. Its simple example forms a universe of 10–20…
This document explains a cross-sectional commodity carry strategy that ranks futures by roll returns, buys the strongest contracts, and shorts the weakest. Its simple monthly example equally weights the top and bottom quintiles and holds the positions for…
The dollar carry trade uses the average forward discount of a basket of developed-market currencies relative to the US three-month Treasury rate to choose a currency position. If the US rate exceeds the basket’s average forward discount, the strategy goes…
This document presents a foreign-exchange value strategy that uses purchasing power parity (PPP) to compare currencies with estimated fair values. The suggested universe contains 10–20 currencies. Using the latest OECD PPP figure and monthly CPI and…
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…