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
A user asks whether the Guotai Junan edition of the VeighNa trading platform supports immediate-or-cancel orders. The reply says that this edition does not provide IOC support. This is a concise platform capability detail that may matter when configuring…
A trading-system forum discussion explains why a conventional CTA strategy that works on outright futures may fail when applied directly to exchange-listed spread contracts. The reported symptoms include missing backtest data and occasional trades with…
This swing strategy looks for alignment among three stochastic measures with short, medium, and longer lookbacks. It enters long when the measures are ordered upward and their relative spread exceeds a threshold, provided either shorter-cycle momentum is…
This forum post reports a VeighNa CTA backtest that reaches the historical-data loading stage but loads zero records. The script then completes initialization and replay with no trades, before result calculation fails because the daily results table lacks a…
The document discusses how to estimate hedging costs for Chinese equity index futures. It argues that raw futures premiums or discounts need adjustment for time to expiry, convergence, and expected dividends. A dividend model and quadratic equation are…
A VeighNa Trader user reports that the platform cannot load its iFind data service module, even though the relevant Python packages are installed and can be imported. The community reply points to the global configuration: the provider name must be entered…
This comparison explains differences between TqSdk and vn.py that matter when adapting existing trading strategies. vn.py is presented as an integrated package with market data, trading connections, storage, and interface components. TqSdk instead uses…
This article outlines a two-part FMZ design for forwarding futures position changes from a reference account to one or more synchronizing accounts. A template library runs inside the reference strategy, records initial long and short position amounts, checks…
This indicator calculates conventional pivot levels from the prior period’s high, low, and close, with selectable daily, weekly, monthly, or four-hour periods. It uses the resulting range to plot a central pivot, three resistance levels, three support…
This 2018 weekly report reviews a sharp post-holiday decline in Chinese equities, noting that large-cap leaders held up better than smaller companies. It interprets price structure, valuation, and long-term support as signs that the market was in a potential…
The 89WMA Trend Aktivator is described as a standalone trend-following indicator with behavior similar to Supertrend. It begins with a weighted moving average, then derives two offset levels from shifted versions of that average. An average true range…
The document defines a modified stochastic indicator and lists its configurable inputs: the %K and %D periods, slowing, smoothing methods, and overbought and oversold levels. Its calculation first derives a fast %K value from the close’s position within the…
The Double Seven method is presented as a long-only daily strategy for ETF or futures index markets. It first requires the close to be above its 200-day moving average. An entry occurs when the day’s low reaches or falls below the lowest close over the…
The article introduces calendar spread arbitrage as opposing positions in contracts on the same underlying asset with different maturities. It describes monitoring the price difference between crypto contracts and acting when the spread widens beyond a…
This market-monitoring report summarizes Chinese trading conditions for July 13, 2022. It reviews broad index and sector performance, then gauges equity sentiment using limit-up and limit-down counts, next-day returns for stocks that had hit either limit,…
This guide explains a replay mode for reviewing a trading strategy against historical market data for a chosen trading day. Unlike event-driven backtesting, replay is time-driven: the service streams the day’s historical data for subscribed contracts,…
A short forum exchange asks how to obtain roughly two decades of historical futures and options data at hourly, daily, weekly, and monthly frequencies for backtesting. One reply says that such data must be purchased, particularly minute-level data. The…
This podcast recap describes Cboe Digital’s crypto spot and derivatives exchange and clearinghouse. It lists spot markets in several major digital assets and notes the launch of Bitcoin and Ethereum futures. A central topic is futures margin clearing, which…
The document compares two ways to retrieve Binance perpetual futures candles. Using the platform’s standard record retrieval after setting a maximum bar length of 1,500 returns only 1,000 records in the described example. A direct exchange API request for…
This guide explains how the FMZ Quant platform organizes strategy development and bot operation. Users manage strategies and bots through the website, while a Docker service on their own or a rented machine connects to exchanges, runs the strategy, and sends…
This overview introduces three assumptions commonly associated with technical analysis: market activity is reflected in prices, prices tend to move in trends, and historical patterns may recur. It also frames volume, price, time, and range as core elements…
This article explains a Dual Thrust trend-following method and its application to a basket of nickel, rebar, and coking coal futures. It defines a range from historical highs, lows, and closes, then sets upper and lower breakout thresholds around the current…
This strategy proposes long entries on the Nasdaq using 30-minute bars. It combines the directional indicator and Average Directional Index (ADX): an entry can occur when positive directional movement crosses a threshold while ADX is already above its…
This 2017 review compares commodity trading adviser factors and explores ways to combine them. It covers time-series and return-signal momentum, roll yield, basis momentum, and changes in warehouse receipts and inventories. The report says standalone…