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
This reference compares direct order placement, cancellation, target-position control, scheduled execution, and TWAP tools for futures and stock workflows. Manual orders suit cases requiring explicit price selection, cancellation decisions, partial-fill…
This Python example describes a process manager for a CTA futures strategy using vn.py and the CTP gateway. A parent process checks the clock and launches a child process during configured daytime and overnight trading windows. The child creates the event…
This project description outlines a LightGBM system for classifying the direction of futures prices over a configurable forward horizon. It processes one-minute bars across multiple contracts, builds technical and statistical features, and labels future…
A user asks whether a futures position should be counted at its full market value or at a value adjusted for margin when a strategy calculates returns by adding asset value and cash. The reply emphasizes that futures use margin and daily settlement, so their…
This research overview describes two broad approaches to absolute-return investing: combining equities and bonds, and hedging or taking exposures through derivatives. It lists stock-bond rebalancing, target-volatility, risk-parity, and risk-budgeting…
This account describes connecting VeighNa to CTP before and after new programmatic-trading requirements, with particular attention to error codes 4040 and 4097 and a subsequent testing process. The author recommends a recent VeighNa version and contrasts two…
This reference summarizes exchange-specific behavior relevant to configuring an automated cryptocurrency trading system. It compares supported spot and futures markets, margin modes, and available on-exchange stop orders, then discusses API rate limits,…
The post asks how to translate the Turtle Trading system’s N measure into contract size. Its proposed calculation uses average true range over a chosen risk window, then divides one percent of risk capital by ATR multiplied by the assumed price tick and…
This meetup Q&A covers practical choices in quantitative strategy design. It says researchers can choose the forward-return horizon used as the target when calculating information coefficients, and points to model-based and scoring templates. For…
This document explains a graphical workflow for researching CTA strategies with historical data. It covers downloading market data, configuring a backtest with instrument details and trading costs, and reviewing equity, drawdown, daily profit and loss, and…
This document describes a rules-based intraday strategy that takes short positions in the DAX on 15-minute bars. Entry requires the MACD to cross below zero while its signal line is negative, price to be below a long-period exponential moving average, and…
This short forum exchange addresses how to model a monthly rollover strategy that trades futures and options together. The question is how to configure the backtest engine when the two instrument types have different transaction fees, especially when closing…
This document describes an automated strategy that enters when price breaks the high or low of a prior candle on a selected timeframe, from one minute through one month. The user can set an offset from that candle’s extreme and optionally apply…
This collection of trading anecdotes describes manual, high-frequency intraday futures scalping based on order-book changes, quick reactions, and repeated attempts to capture small price differences. Practitioners emphasize watching volume and position…
This Python entry point runs a futures mean reversion system through a broker controller. Before trading, it checks broker position consistency, obtains a price and an initial range estimate, and prompts the operator to accept or modify strategy parameters.…
CazaGaps is presented as an analysis tool for identifying and measuring upward and downward opening gaps in an index or other instrument. It marks a positive gap when the open is above both the previous close and previous high, and a negative gap when the…
The document introduces the Commodity Selection Index (CSI), specifying high, low, close, and a lookback length as inputs. Its pseudocode builds an average true range measure from intraday range and gaps relative to the previous close. It also estimates…
A Chinese-language forum exchange discusses long decimal values appearing in trading system displays, including a silver futures sell-to-open price. One participant attributes the extra digits to Python floating-point representation and suggests rounding…
This brief description introduces a higher-timeframe version of the ColorXATR indicator for MetaTrader 5. A user can select the timeframe used by the indicator through an input parameter; the example default is a four-hour chart period. This lets the…
The document describes a high-frequency futures data method: connect to multiple futures brokers, subscribe each connection to the same contract, and combine incoming tick events. Its platform design uses a continuously running main loop and an event-waiting…
This strategy trades the DAX on five-minute bars, requiring Ichimoku conditions to align across five-, fifteen-, and sixty-minute timeframes. Long and short signals require price to be on the corresponding side of the cloud and the lagging-span comparison to…
This report introduces an early-stage study of market microstructure signals in the IF equity index futures contract. It proposes examining the difference between midpoint and trade-price log returns, quoted depth, large trades, and signed volume. The…
A trader reports that a local stop order on a simulated Chinese futures account triggered after a long position was opened, but the resulting fill was far below the displayed stop level. The discussion explains that the stop order’s displayed price is its…
This example describes a daily, long-only futures strategy using a 10-period average crossing a 30-period average to generate entry and exit signals. A 120-period moving average acts as a trend filter: the strategy opens a position after an upward crossover…