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.
2,013 documents
This article recounts ten episodes it labels currency wars, moving from early paper money and metallic standards through sterling and dollar dominance, the breakdown of Bretton Woods, Latin American debt, Japan's Plaza Accord, European exchange-rate turmoil,…
This research summary discusses how asset prices can reflect economic expectations before official data is released. It proposes comparing year-over-year changes in a basket of asset prices with economic indicators, and comparing asset-price changes with…
The script demonstrates a classic allocation strategy that holds a portfolio with a target mix of 60% stocks and 40% bonds. It uses a drift rebalancer: when asset weights move away from their targets by a configured threshold, the strategy sells assets that…
This guide surveys data services that traders and researchers might use for market quotes, historical bars, and related financial information. It discusses Google Finance, Finnhub, iTick, and Bloomberg, contrasting broad asset coverage, real-time delivery,…
This overview surveys models used to relate asset values or expected returns to risk and other inputs. It describes CAPM as linking expected return to the risk-free rate and market exposure, then introduces multifactor models such as Fama–French, which add…
This indicator monitors the chart symbol’s Relative Strength Index across selectable timeframes, from M1 through MN1. It can alert when RSI reaches configured extreme zones, using 75 as the default upper threshold and 25 as the default lower threshold. The…
This Backtrader example loads a base data feed and creates a second feed at a larger timeframe, with daily, weekly, or monthly options. The larger feed can be produced by resampling or replaying the original series, loaded separately, or created through…
The document explains the U.S. Dollar Index as a weighted geometric measure of the dollar against six major currencies. It lists the basket weights and gives a formula that combines the exchange rates, with negative exponents for EURUSD and GBPUSD and…
The document explains how a trading system represents instruments across spot assets, futures, options, swaps, CFDs, betting markets, and synthetic instruments. Each instrument has a unique symbol-and-venue identity, while its definition carries details such…
This document describes a standalone indicator that combines the Commodity Channel Index (CCI) with a moving average to estimate the direction and strength of the current market trend. It supports four moving-average methods: simple, exponential, smoothed,…
This brief indicator description explains how to display the minimum price found over a selected number of bars on a chosen timeframe. Its inputs let the user choose the timeframe, search period, starting bar, and the drawn level’s name, comment, color, line…
This document describes a MetaTrader indicator that displays candles from a higher timeframe as colored filled rectangles on a chart. It uses separate colors for upward and downward candle bodies, with lighter contrasting colors for the shadows. The visual…
The document explains how to calculate a portfolio’s expected return as the weighted sum of the assets’ expected returns. It describes portfolio standard deviation as a function of each asset’s weight and volatility, together with the correlations between…
This brief description introduces a strategy-rotation framework for adapting a portfolio to different market environments. It proposes tracking shifts in market style, identifying the style characteristics of individual strategies, and using quantitative…
This technical reference explains how a synthetic instrument represents a locally calculated price derived from other instruments. Formulas can express averages, spreads, baskets, or ratios; the instrument is assigned a synthetic venue and uses specified…
This document explains a MetaTrader 4 script that builds an offline chart for a user-defined basket of instruments and updates it as new ticks arrive. It calculates basket prices using a geometric mean, allows directional weights—including fractional…
The document explains why a portfolio weight constraint routine can fail when it caps bond exposure and then normalizes all weights. Normalization may push the bond allocation above its intended limit; the example describes a bond weight of 20% becoming 40%…
This document explains how to combine absolute, time-series momentum with relative, cross-sectional momentum in a multi-asset portfolio. It describes a unified portfolio framework that treats each pair of instruments as a relative-momentum opportunity,…
The document reviews three quantitative allocation approaches: rotating between equities and bonds, flexible multi-asset allocation, and multi-asset trend following. Each approach is offered at conservative, moderate, and aggressive risk levels, allowing…
This research note outlines a framework for evaluating funds and constructing allocations across active equity funds, enhanced index funds, and active bond funds. For equity funds, it discusses classification and performance attribution using both holdings…
This essay defines quantitative investing as using mathematical methods, data, and factors to guide security selection and trading. It groups approaches by time-series versus cross-sectional decisions, by signal source such as price and volume factors or…
This report summary outlines the structure of the U.S. retirement system and the investment choices available through employer plans and individual retirement accounts. It describes these arrangements as part of a broader retirement landscape and notes that…
A forum user asks how a strategy trading rebar futures can access the previous daily close of iron ore before the strategy starts, and whether a pre-close field is suitable. The reply recommends using a portfolio strategy module to access data for another…
This research digest reviews two portfolio topics. The first concerns Shiller’s cyclically adjusted price-to-earnings ratio (CAPE): it can help forecast long-run equity returns as valuations tend to mean-revert, but its short-term signal is unreliable when…