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.
1,414 documents
The script describes a two-sided futures strategy on hourly bars. It identifies confirmed swing low and swing high fractals, then enters long when price breaks above a bullish fractal’s high during a short-over-long moving-average uptrend. It enters short…
This report reviews the issuance and performance of Chinese private CTA products in the first quarter of 2018, then discusses equity index futures, government bond futures, and commodity markets. It links strategy ideas to changes in volatility, trading…
The document explains an automatic take-profit and stop-loss feature that attaches predefined exit levels to each newly opened position. The trader can set thresholds using a fixed pip distance, a percentage of account balance, or technical price levels.…
The strategy ranks a broad set of commodity futures by their performance over the previous 12 months, divides the available contracts into quintiles, and holds long positions in the strongest quintile and short positions in the weakest. It rebalances monthly…
The document describes a MetaTrader indicator that draws daily high-low boxes for the Asia, London, and New York trading sessions. It uses hourly data, adjusts broker timestamps to GMT with a configurable offset, and supports sessions that cross midnight.…
This overview classifies quantitative funds by strategy, market, instrument, and time horizon. It describes trend following, which seeks sustained price moves and can have a low win rate while relying on occasional large trends, and countertrend trading,…
This document presents an implementation of John Ehlers’ Adaptive Commodity Channel Index. It estimates a dominant cycle period from price data by smoothing prices, deriving in-phase and quadrature components, and applying a homodyne discriminator. The…
The strategy models a refining spread using crude oil, fuel oil, and a third petroleum product in a 3:2:1 weighting. It calculates the spread as the weighted value of the two product legs minus the weighted crude leg, then compares the current spread with…
The discussion raises two practical issues for CTA strategies: protecting source code when running a strategy on another computer or server, and adapting a strategy as a futures market’s active contract changes. Replies point to a strategy-encryption guide…
This example implements a daily mean-reversion strategy for a Shanghai Futures Exchange gold contract. It calculates a Z-score from recent closing prices, enters long when the score falls below a negative entry threshold and short when it rises above a…
This document describes a chart indicator for marking the opening and closing times of major global markets, intended to help short-term traders view session boundaries alongside price action. It covers built-in and custom sessions, per-market time…
This report reviews Chinese market and exchange-traded product developments for the week of March 30 to April 3, 2020. It summarizes moves in domestic equity indexes, bond yields, precious metals, currencies, and traded ETP categories. Equity and…
This document describes an intraday XAUUSD strategy that looks for a wick to breach a confirmed swing high or low and then close back across it. The sweep candle defines an order block; a later candle must close through that zone with sufficient range to…
The document describes an equilibrium level derived from the Directional Movement Indicator. It attributes the concept to Welles Wilder and presents crossings between positive and negative directional indicators as important points for judging a commodity…
The document describes an Expert Advisor that trades signals from the TSI DeMarker trend indicator. It generates a signal at bar close when the indicator cloud changes color. The setup depends on installing the compiled indicator in the trading terminal’s…
This notebook explores relationships between Colombian peso exchange-rate data and crude oil blends, currencies, and gold. It ranks simple ordinary least squares regressions by R-squared, compares the Vasconia crude relationship with the peso before and…
This article explains a cross-sectional futures strategy that ranks commodity contracts by roll yield, going long markets in backwardation and short markets in contango. It distinguishes weekly signal-based direction changes from contract rolls: the former…
This document outlines a rule-based implementation of the TD Sequential indicator, designed to identify possible turning points against an existing trend. A setup phase counts qualifying consecutive price comparisons until a nine-bar condition is reached. A…
This Expert Advisor trades signals from the TSI_WPR oscillator. It acts when a bar closes and the indicator cloud changes color, using that change as its entry signal. The document also notes that the compiled indicator must be installed for the EA to…
The document describes a daily channel indicator that displays a daily period according to a selected time zone. Its settings let users choose local and daily time zones, set the period’s color and line style, and adjust the visual styles for the high, low,…
This indicator guide explains how to visualize daily high-low ranges for Sydney, Tokyo, London, and New York sessions on a chart, with a separate outline for the London–New York overlap. Labels compare each session’s range with the average of recent…
This note explains average true range (ATR) as a measure of price movement, then uses it to define a channel around a moving average. The middle line is the 25-day average closing price, and the upper and lower bands sit two ATR units above and below it. A…
This market outlook examines whether a narrowing or inverted spread between long and short US Treasury yields reliably signals an approaching recession. It argues that historical examples of a true ten-year versus one-year inversion are limited, and that…
This document outlines a long-horizon commodity futures strategy that uses machine learning to forecast the following week’s direction. It calculates signals at the end of each week and adjusts positions on the first trading day of the next week using TWAP…