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.
1,414 documents
The document introduces a webinar about examining a simple seasonality effect with Excel. Its central research lesson is that an upward-sloping equity curve alone may not tell the whole story; researchers should investigate the market behavior behind the…
The article explains how to estimate the volatility risk premium (VRP) by comparing option implied volatility with volatility that is later realised. Using ORATS data, it describes a practical alignment issue: implied volatility looks forward across calendar…
The document describes using the Fréchet distance to compare a price series with a predefined shape, such as a triangle or cup. Pattern arrays encode the desired shape, while parameters control the number of price bars and the pattern’s vertical scale; a…
The document explains why “CTA” can refer to several overlapping ideas: a US regulatory category, an adviser operating managed accounts, a manager of futures strategies, or a modern investment fund. It contrasts traditional managed accounts, where clients…
This conference trip report summarizes a talk about seeking trading signals in alternative data. Examples include satellite and drone imagery, purchase receipts, social media, industrial sensor data, agriculture, energy supply and demand, weather, and…
The document explains why futures backtests need a method for joining prices from contracts with different expiration dates. Contango and backwardation can create price gaps at the splice, so the article compares three approaches: additive Panama…
The article evaluates whether an aluminum producer’s equity and a natural gas ETF could form a mean-reverting pair, based on the role of gas in aluminum production. It tests adjusted price series with a cointegrated Augmented Dickey-Fuller procedure,…
The article introduces deep learning, explains its layered approach to learning data representations, and outlines why it may help reduce hand-built feature engineering. It discusses possible quantitative finance applications, including time-series analysis,…
This article describes how to simulate statically allocated, periodically rebalanced portfolios with QSTrader. It uses an All Weather style allocation across US equities, long and intermediate government bonds, gold, and commodities as an example, and…
The article describes an indicator that maps prime-number density around converted market price levels to colored chart zones. It explains scaling fractional quotes into integers, choosing a search radius, precomputing primes with the Sieve of Eratosthenes,…
The article describes a MetaTrader 5 expert advisor designed to manage trades across multiple currency pairs and two metals from one chart. Its entry logic combines a seven-period ADX directional movement signal with Parabolic SAR confirmation. The ADX rules…
The article evaluates whether the CBOE Euro and Gold volatility indexes (EVZ and GVZ) add forecasting value for XAUEUR. It describes merging the indexes with daily XAUEUR OHLC data, imputing missing values with column means, and examining correlations,…
The article describes a cross-market trading framework using silver quoted in US dollars and euros alongside EURUSD. It reasons that currency movements should affect the two silver quotations differently, then looks for aligned price behavior across all…
The article proposes linking weather in agricultural regions to related currency pairs: Australian conditions with AUDUSD, New Zealand conditions with NZDUSD, and Canadian prairie conditions with USDCAD. It describes collecting historical weather and quote…
This article describes a configurable short-term breakout Expert Advisor built around swing structure, volatility expansion, and optional time filters. A bullish or bearish setup is identified from a three-bar swing point. Rather than entering immediately,…
The article builds a gold volatility monitor by comparing near-the-money implied volatility from GLD options with recently realized volatility, aligned to a 30-day horizon. It describes implied volatility as the movement embedded in option prices and…
The article tests whether gold and palladium prices help forecast USDCAD. It explains the economic rationale for comparing the markets, then describes gathering price bars from MetaTrader, aligning observations by shared timestamps, and labeling a future…
Momentum Pinball uses a daily LBR/RSI reading to set the likely direction for the next session, then uses the first hourly bar to define an entry and initial stop. A reading below 30 signals a potential buy day; a reading above 70 signals a potential sell…
This installment describes changes to a multi-currency MetaTrader 5 expert advisor so it can recognize broker-specific prefixes or suffixes on forex and metal symbols, and limit trading to selected sessions. It outlines a fixed universe of 30 forex and metal…
This installment of a self-adapting algorithm series reviews weaknesses of a candle-count strategy, including unstable candle sizes, time-based entries during quiet markets, drawdowns, and instrument-specific historical tuning. The author proposes rebuilding…
The article explains an automated grid approach for MOEX futures that places buy and sell limit orders at intervals across a chosen price range. As price moves through levels, the Expert Advisor updates pending orders and pairs executed buys and sells. The…
The article turns a tCISD reversal concept into a rules-based MQL5 trading process. It anchors quarterly cycles to New York time, accounting for daylight saving, then compares quarter highs and lows in a traded instrument and a correlated symbol. A…
The article describes an end-to-end workflow for training a model to screen EMA crossover trades and deploying it in an MQL5 Expert Advisor. It fetches XAUUSD hourly history, derives nine price and indicator features, simulates crossover trades, and labels…
The article describes a MetaTrader 5 Expert Advisor designed to trade a selectable set of currency and metal symbols from one chart. Its entry signal combines Bollinger Bands calculated on Keltner Channel values: the Keltner Channel uses an exponential…