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
The article recounts two forms of Shanghai Futures Exchange copper delivery arbitrage. One exchanges warehouse locations by delivering from Ningbo while requesting Shanghai allocation, then seeks to profit if the recipient of the less convenient warehouse…
This note collects operational details for trading BitZ contracts through its API, including contract identification, contract types, leverage behavior, margin modes, and closing orders. It distinguishes linear contracts from inverse contracts, noting that…
This document outlines a long-only mean-reversion setup for the DAX on a 30-minute chart. It looks for a prior low below the lower Bollinger Band, followed by a close back above that band while remaining below the upper band. Entry also requires a close…
The Herrick Payoff Index is presented as a futures indicator intended to estimate money flowing into or out of a contract. Its calculation uses price movement, volume, and changes in open interest, so it requires an instrument with open-interest data. The…
This brief forum exchange addresses where to obtain historical futures data for strategy backtesting. Participants suggest using open-source financial data tools for daily bars, applying to a research service that offers a temporary trial, or downloading…
This guide explains how to use FMZ Trading Terminal plugins to support manual or semi-automated trading. A plugin runs a code snippet on a selected Docker instance and can return data tables or charts. The examples include displaying an exchange order-book…
This brief forum exchange addresses how a VeighNa CTA strategy can read an account’s current position when it initializes. One participant asks whether a framework function exists, noting that calling the main engine’s position lookup directly did not seem…
This indicator displays the high and low price levels for a selected day while viewed on any chart timeframe. A day-shift input selects which day’s range to show, and a separate bar-shift input moves the plotted indicator horizontally. When the day shift is…
The document defines bull markets as sustained price advances and bear markets as extended declines. It links bullish conditions with optimism and increased buying, while bearish conditions are associated with pessimism and selling pressure. The suggested…
The report explains how the MSCI China A50 Connect Index is constructed and why its futures contract could help overseas investors manage A-share exposure. The index selects large free-float-adjusted stocks across GICS sectors, then adjusts weights to match…
This personal account traces a progression from speculative cryptocurrency trading to learning systematic futures trend trading and eventually writing an EMA-based strategy. The author describes early gains followed by losses from discretionary trading and a…
The article argues that traders should avoid relying on elaborate market theories or stacks of technical indicators. It recommends choosing a method that suits the trader, then checking it against historical charts and defining entries, stops, scaling…
A short VeighNa community exchange explains why the project continues to maintain vnpy_ctptest alongside vnpy_ctp. The response says that some futures companies still use an older version of the CTP testing environment, so the test interface remains…
This DAX strategy uses a one-hour Kaufman Adaptive Moving Average (KAMA) crossing a 22-period simple moving average to generate long and short signals. It calculates signals on hourly bars but uses one-minute data to manage exits. The author describes a…
This reading note summarizes two quantitative research papers. The first applies the thermal optimal path method, a nonparametric approach motivated by statistical physics, to study how stock indices and their futures lead or lag one another over time. The…
This configuration defines a futures system that combines exponentially weighted moving-average crossover forecasts at several speeds with a carry forecast smoothed over 90 days. It assigns forecast scalars to the rules, caps combined forecasts, and…
This tutorial adapts a GLFT-based grid market-making backtest to multiple futures assets. It normalizes order size to a common notional amount, sets inventory limits in units of that order size, estimates trade-arrival intensity and price volatility from…
This strategy applies a moving average of the difference between daily closes and opens as a Qstick signal on a China-listed equity index futures contract. It enters long when Qstick crosses above zero and price is above its simple moving average, and enters…
This podcast recap follows Ilan Levy-Mayer’s path into trading and his work at a futures brokerage. It describes the broker’s role in helping hedgers, speculators, and self-directed traders choose platforms, understand markets, and manage risk. The firm’s…
This introduction shows how to build a futures trading rule and assemble it into a larger systematic trading process. Its example EWMAC forecast subtracts a slow exponential moving average from a fast one, then normalizes the difference by a robust estimate…
This guide explains how to use VeighNa’s CTA strategy module to load strategy classes, create instances, initialize them with historical data, and start or stop automated trading. It describes how instances can trade different futures contracts with separate…
This brief forum exchange discusses how to close positions using VeighNa’s script trading interface. A user notes that the documentation shows an opening order example and asks for examples of closing a position and closing a position opened on the same day.…
This report describes a high-frequency futures CTA approach that uses the relationship between traded prices and adjusted intraday open interest. It argues that open interest can provide information beyond trading volume, and derives directional signals from…
This indicator combines two HalfTrend series with different amplitudes. Their difference forms a histogram, and a six-period average of that difference serves as a signal line. The post describes MACD-style interpretations: a histogram crossing the zero line…