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.
9,660 documents
The strategy rotates among China’s four largest banks using each stock’s current price relative to the previous close. When flat, it buys the bank with the weakest ratio if the spread between the strongest and weakest ratios exceeds a preset threshold. When…
In this interview, market maker Harry Yeh discusses applying electronic trading and Hummingbot to cryptocurrency market making. He stresses that operators need to understand limit orders, bid-ask spreads, order levels, parameters, and cancellations before…
The document explains how delisting works for validator-operated perpetual contracts. Validators vote on whether an asset should be removed; if they approve delisting, the contract settles at the one-hour time-weighted spot oracle price from before the…
This article presents a broad framework for choosing and assessing quantitative trading strategies. It recommends matching a strategy to an investor’s temperament, available time, preferred trading frequency, capital, programming skills, and goals. It argues…
This study compares ways to hedge stock holdings, motivated by investors who hold equities as a base for IPO subscriptions and want to reduce exposure to price swings. It measures hedge costs using annualized futures discounts and compares those costs across…
This article explains how to assess a systematic futures model through test design and several complementary performance measures. It recommends testing across multiple instruments and long historical periods, and including commissions and slippage. The…
The document describes an indicator that monitors candles against a channel and can issue alerts when price breaks through it. Alerts may be delivered by email or push notification, making the tool a way to monitor potential breakout events without watching…
The indicator measures how far the current close sits above or below the intraday volume-weighted average price, expressed in units of a calculated standard deviation. VWAP resets each trading day. Once a minimum number of bars has elapsed, the…
The article summarizes research comparing cryptocurrency data providers and argues that raw data gains value from the context and presentation built around it. It distinguishes on-chain and off-chain sources, and describes how providers may differentiate…
This example describes a five-minute long-only strategy built from moving averages, Heikin-Ashi candles, and RSI. It enters when the 20-period EMA crosses above the 50-period EMA, the Heikin-Ashi close is above the faster average, and the candle is positive.…
The document describes an indicator that gathers a trading symbol’s contract, pricing, margin, swap, execution, and session settings into a chart panel. It converts many values to account currency per standard lot, flags settings that can invalidate…
This guide collects exchange-specific implementation details for brokerage and cryptocurrency connections. For Futu, it explains market-specific stock symbol formats, account market identification, and the effect of disabling cached account and position data…
This document describes a small MQL5 benchmarking library for comparing how quickly functions or expressions execute. It introduces three measurement styles: timing a call in microseconds per invocation, running a fixed number of repetitions and reporting…
The document outlines a cryptocurrency grid strategy designed to run across several exchanges and spot, futures, and perpetual markets. It describes a grid that can operate in both directions or only one direction, with one side disabled by setting its order…
This commentary argues that oversight of quantitative trading should focus on predictable, transparent market rules and enforcement of misconduct, rather than suppressing algorithmic methods as a category. It frames the regulatory challenge as balancing…
This document is a dated overview of trading-fee arrangements at cryptocurrency exchanges, grouped into domestic and international sections. It distinguishes fixed-rate charges from maker-taker schedules and includes spot and futures fee references. For some…
The document explains backtesting as the simulation of a strategy on historical market data to assess returns, risk, and stability. It outlines a workflow from obtaining and checking data, coding rules, and setting dates, capital, fees, and slippage through…
This article discusses practical decisions for running systematic strategies live, including how to enter a system initially, define the active futures contract during roll periods, choose markets, manage capital, handle outages or unexpected events, prepare…
This diagnostic note explains how MQL5 timestamps can be misread after export. Server timestamps represent the broker's wall-clock time stored in an integer format, while common CSV consumers may interpret the same value as a true UTC epoch. Applying that…
The document describes a MetaTrader 5 variant of the XEnvelopes indicator that adds a selectable chart timeframe through an input parameter. The supplied example sets the timeframe to four hours, indicating that users can choose the period from which the…
This trading system uses changes in an RSI histogram to generate entries at bar close. A signal occurs when the histogram changes from neutral gray to red or lime, which the description associates with the RSI entering an overbought or oversold zone. The…
This document describes the API workflow for deploying HIP-1 and HIP-2 assets on Hyperliquid. The core process sends five actions in order: register the token specification, distribute initial balances and blacklist settings as needed, finalize genesis using…
This article presents the volume clock as an event-based way to measure market activity, in contrast with fixed calendar time. Sampling equal-volume intervals can reduce intraday seasonal effects and may produce observations better suited to conventional…
This tutorial develops a spot-style cryptocurrency grid strategy by extending a finite set of price levels as the market moves beyond its upper or lower boundary. It tracks the current and previous ticker prices to detect upward and downward crossings. At an…