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 forum participant asks whether a short position opened in one futures delivery month must be closed by buying the next lead contract at its higher quoted price when market attention shifts to that contract. The concern is that the apparent price gap…
Pivot_Fibs_Custom is an indicator that plots Fibonacci-based pivot levels using candles from a timeframe chosen in its inputs. The listed settings include a chart period, three Fibonacci ratios, and a horizontal shift measured in bars. The supplied defaults…
This configuration describes a futures trading system that estimates forecasts from several exponentially weighted moving average crossover rules and a carry rule. The EWMAC rules pair faster and slower lookback periods, while the carry forecast uses…
This forum post reports a desktop application crash after a progress bar finishes loading market bar data in a background task. The example uses PySide or Qt threading with a QRunnable, Peewee ORM selection, and a query against stored futures bar records.…
The document describes a vn.py and CTP gateway modification for creating live commodity futures indices and identifying each product’s dominant contract. It proposes weighting real contracts by their previous day open interest, selecting a main contract only…
This reference catalogs calculation functions available in the VeighNa Elite Trader CTA module. It groups common tools by their required inputs and outputs, covering moving averages, momentum and rate-of-change measures, volatility, trend strength and…
This March 2024 market note links macro conditions, crypto derivatives pricing, and possible bull-market paths for BTC and ETH. It reports that hotter inflation data pushed rates higher, while BTC and ETH prices had weakened over the week. The author…
The forum thread discusses converting one-minute market bars into daily bars in VeighNa. The assistant presents two approaches: use the framework’s BarGenerator with a daily interval and a configurable session end, or maintain a custom daily bar by updating…
This reference compares order and position query behavior across 21 futures venues. For order retrieval, it records whether an endpoint is paginated, whether the request path or parameters vary by contract type or settlement currency, and when multiple…
This market snapshot combines Bitcoin price commentary with news about a proposed Solana spot ETF and MicroStrategy’s convertible debt offering to expand its Bitcoin holdings. Its analysis discusses Bitcoin’s approach to the $100,000 level, futures open…
The strategy ranks currency futures using purchasing power parity data as a currency-value signal. Its description proposes a universe of roughly ten to twenty currencies, estimates fair values using OECD PPP figures adjusted with monthly CPI and…
This market snapshot surveys crypto-related regulatory and security developments alongside spot exchange activity, decentralized trading, lending, and network data. It describes changes in exchange market share and volumes, reports that…
This forum exchange discusses a CTA strategy that generates buy or short signals but fails to obtain fills in a no-UI run, despite working in the normal software environment. The suggested first step is to print and inspect market data and strategy logic to…
This research note studies return skewness as a cross-sectional factor for commodity futures. It tests long-short and long-only portfolios across all contracts, agricultural contracts, and non-agricultural contracts, then explores lookback choices, ATR-based…
The document explains how historical market data supports CTA strategy initialization, backtests, parameter optimization, and research. It outlines importing externally sourced data into a local environment and recommends checking file reliability, timestamp…
The described MT5 custom indicator plots Bollinger Bands with configurable period, shift, deviation, applied price, color, and line style. It also calculates the distance between the upper and lower bands in pips and displays that range bandwidth as a label.…
This forum exchange addresses why a spread-trading algorithm may submit orders marked as opening even when the strategy intends to close a position. A trader observes that closing a long spread appears to send orders in the opposite directions, which raises…
This VeighNa community discussion concerns detecting and rejecting futures orders whose prices do not conform to a contract’s minimum price increment. The question describes a CTP test using an index futures contract with a 0.2 tick size and a limit price…
The newsletter connects US economic releases and Federal Reserve commentary with crypto market conditions in June 2024. It discusses inflation, labor data, political uncertainty, the Ethereum spot ETF decision, and the veto of a rule affecting bank crypto…
This Chinese-language guide describes a manual VeighNa setup on Ubuntu. It recommends using pyenv to select a Python version for the project and a virtual environment to isolate its package dependencies. It then outlines installing the project and several…
The document explains how a continuous futures series joins expiring contracts by applying cumulative price adjustments at caller-supplied roll transitions. It compares backward and forward additive spread adjustments with multiplicative ratio adjustments,…
The post answers why a community-edition backtest can work while simulated trading produces no orders. It distinguishes imported historical data, which can be replayed during a backtest and used to initialize indicators, from simulated trading, where…
The discussion explains why a strategy can run in a historical backtest yet place no trades in simulated trading. Imported historical bars support backtests and indicator initialization, while a live simulation generally depends on real-time tick or bar…
This reference explains how a spot commodity instrument is represented in a trading system, using examples such as gold and silver. It distinguishes cash commodity markets from dated futures contracts and lists the instrument fields needed to describe price…