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
Threshold autoregression (TAR) extends a standard unit-root test to allow a series to adjust differently depending on whether it is above or below a threshold. The document illustrates the idea with the gasoline crack spread, defined as unleaded gasoline…
This demo strategy builds two classic Renko streams from bid ticks. A slower stream sets directional bias, while a faster stream triggers entries; trades are permitted only when both streams point the same way and the fast stream meets the entry-run…
The document presents a two-hour strategy adapted for Brent crude, combining smoothed RSI crossover signals from the Traders Dynamic Index approach with Heiken Ashi price values and a shifted moving average of typical price. Long entries occur when the…
This report overview argues that commodity price forecasts should combine fundamental and technical analysis. It groups actively traded Chinese commodity futures into five broad sectors—ferrous materials, chemicals, agriculture, nonferrous metals, and…
ColorJCCX is described as a smoothed Commodity Channel Index variant that uses alternative averaging methods, including JMA and an ultralinear method, to make the indicator less erratic. The histogram color represents the interpreted trend direction: blue or…
The document is a country-level table of oil production economics. It lists operational cost, capital cost, total cost, estimated reserves, daily production, and the 2015 average oil price for twenty producers. The figures allow readers to compare reported…
This trading system uses crossings between the positive and negative directional indicator lines of a smoothed ADX indicator. It generates a trade signal when the red and green lines cross at a bar close. The description identifies XAUUSD on a four-hour…
The document presents a code implementation of Wilder’s Accumulative Swing Index (ASI), a cumulative price-movement indicator. It calculates the day’s swing from current high, low, open, and close alongside the previous bar’s prices. Intermediate values…
This report presents a fundamental quantitative stock-selection framework for China’s lithium battery industry. It first reconstructs the supply chain into battery makers, material suppliers, and upstream cobalt and lithium resources, arguing that…
The article explains “price desensitization”: a cyclical company’s shares stop advancing, or weaken, while the underlying commodity price continues to rise. Its proposed rationale is that equity prices anticipate earnings and may have priced in future gains…
The document combines two research summaries. The first explains how target-date fund allocations can account for retirement spending as a liability alongside financial assets and human capital. A liability-aware optimization framework treats…
This notebook explores relationships among the Canadian dollar, crude oil benchmarks, and other currencies or commodities. It compares normalized series and fits separate ordinary least squares regressions of CAD against candidate variables, using R-squared…
This Japanese-language README curates resources for systematic trading research and implementation, including backtesting and live-trading frameworks, analytics tools, data sources, books, papers, blogs, and courses. Its practical framing is to reproduce…
The article reviews empirical research comparing commodity futures momentum based on total returns with momentum based on residual, or idiosyncratic, returns after accounting for selected systematic factors. The study forms ranked portfolios across…
The document outlines an Expert Advisor that trades signals from the BrakeMA semaphore indicator. A signal is generated at bar close when the indicator reverses color and a large dot appears. This gives a basic rule for identifying a possible trend change,…
This manual explains a MetaTrader indicator suite that charts several CFTC report families, including standard Commitments of Traders, disaggregated reports, financial futures, index traders, and largest-position data. It describes measures of absolute and…
The report presents a framework for timing gold using three proposed price drivers: value preservation, safe-haven demand, and speculation. It builds the first factor from US inflation expectations and trends in US real interest rates, the second from the…
This macro commentary argues that markets may shift from pricing direct conflict risk to pricing the inflation and monetary tightening that an energy supply shock could cause. It describes a possible chain from disrupted shipping through higher oil and gas…
This document presents a library of trading functions for opening and closing positions and calculating trade size. Its sizing routine estimates the loss budget from account equity or balance and a user-specified risk percentage, then divides that budget by…
This module describes calendar rules for rolling several futures series: crude oil, NBP natural gas, refined products including RBOB, grains, and ethanol. The rules use contract-specific termination conventions, such as dates near the 25th or 15th of a…
The document describes an audit of terminal-held price bars before they are used for indicators or backtests. It checks OHLC consistency, bar timestamps, missing openings relative to the broker’s stated quote sessions, empty or flat bars, higher-timeframe…
This article explains cross-sectional momentum in commodity futures: periodically rank markets by recent performance, buy the strongest and sell the weakest. It distinguishes this relative ranking approach from time-series momentum, which evaluates each…
This oil example describes a trend-following setup that combines moving averages with hammer-shaped candles. It defines bullish and bearish regimes using the direction of several moving averages and the close relative to them. In a bullish regime, a bearish…
This document is a dated market data table spanning observations from 2013 through 2018, with a truncated section indicated by an ellipsis. Columns identify Western Canadian Select crude, gas, WTI, several currency series, Edmonton, gold, and the Canadian…