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.
19,452 documents
The document raises practical questions for researching and backtesting crypto or forex strategies when exchange pairs use different quote currencies. It asks how to value holdings in a common currency, such as USD, whether to use a direct market or a chain…
The document asks how to interpret the Kraken XBT-USD order book when estimating how many price levels are needed to trade a specified amount. It distinguishes asks from bids, asks which currency the displayed volume uses, and raises the problem of trading…
The document raises two modeling issues when applying stochastic quanto pricing formulas to crypto futures and perpetual swaps. First, it questions what domestic discount rate to use when the contract is settled in bitcoin, given the absence of a…
The note surveys several forms of arbitrage and relative-value trading rather than developing one strategy in depth. Examples include capital-structure and convertible-bond trades, merger and latency arbitrage, ETF and index arbitrage, and relative-value…
The document describes a thesis design for testing cross-sectional momentum in cryptocurrencies. Each week, coins are ranked by their past value-weighted log returns over several lookback windows, then divided into five equal-weighted portfolios. The…
The discussion examines how to estimate a cryptocurrency yield curve when perpetual futures are the only obvious derivatives market. One answer emphasizes that a curve describes rates across maturities at a point in time; forecasting future funding rates is…
The document considers whether a holder of bitcoin can mimic put-option protection by shorting CME bitcoin futures above a chosen price and returning to a neutral position when the price crosses that threshold. The motivation is concern that a rising market…
The document clarifies the distinction between daily futures accounting and final settlement. Futures are settled at expiry, while their positions are marked to market each day. The daily mark to market changes the balance in the trader’s margin account,…
The document challenges a claim that a high-frequency trading bot can detect a large cryptocurrency order, infer its hidden maximum price, buy available coins first, and resell them at that limit. The answers explain that a marketable order generally…
The document compares price alignment in loosely connected cryptocurrency exchanges with currency markets. In crypto, a trader may buy where an asset is cheaper, transfer it, and sell at a higher-priced venue; delays and limited coin availability can widen…
The document considers whether a technical trading rule for cryptocurrency can be assessed with receiver operating characteristic analysis. The proposed labeling marks a buy signal as correct when the underlying asset has a positive return that day and…
This discussion asks whether a crypto strategy’s statistically significant intercept from a regression on established equity factors provides a fair measure of skill. It frames the issue as benchmark choice: an alpha is measured relative to the factors…
The discussion asks how to choose the number of historical candles used to estimate a spread z-score in a crypto perpetual swap pairs strategy. The question notes that different pairs appear to perform best with different window lengths in both backtests and…
The document asks how to preserve fair ownership shares when several people jointly hold an asset whose value changes over time. It illustrates an initial pool funded by three contributors, followed by appreciation and a later cash contribution from one…
The example explains how a marketable limit buy interacts with resting asks at different prices. A buy limit specifies the maximum price the buyer will pay per unit, while matching proceeds against available sell orders from the lowest price upward. The…
The document raises a data-quality question about using hourly OHLC prices for a cryptocurrency in strategy research. Its supplied dataset carries more decimal places than the values displayed by a chart, and the author asks whether to round the historical…
The document asks how traders might infer very short-term price direction from a cryptocurrency limit order book. It describes a trader who takes long or short positions over horizons ranging from seconds to a few minutes, apparently using visible order book…
The document describes an attempt to fit hourly Bitcoin returns with asymmetric GARCH-family models. The reported fit has a portmanteau statistic of 198.4 and an estimated first ARCH and GARCH coefficient sum above one, raising concern about volatility…
The document explains how leveraged futures positions are closed when a trader’s margin cannot cover the losses, focusing on the difference between broker-backed conventional markets and crypto exchanges with limited-liability accounts. It uses a…
The document surveys algorithmic trading platforms and tools, including hosted research environments, open-source backtesting engines, and locally assembled development stacks. It describes Quantopian and Zipline as Python-centered research and backtesting…
The document asks how a market maker might hedge a short position in down-and-in Bitcoin puts. Its answer contrasts these barrier options with vanilla puts and gives two possible risk-management actions: use Bitcoin-dollar perpetual swaps or dated futures to…
The document considers whether adding Bitcoin to a stock-market proxy improves a CAPM test. The questioner reports applying a GRS test to ten industry portfolios and finding jointly significant alphas with a stock-based market proxy. Adding Bitcoin at a 2.1%…
The document investigates why several Python implementations of the Schaff Trend Cycle (STC) produce values that differ from a TradingView chart for a BTC/USDT example. It lists library calls and a custom implementation built from MACD, stochastic…
The document considers how to estimate when displayed ask depth will be exhausted so a trader can place a bid at the previous ask during an upward price move. The setting is a continuous double auction on a bitcoin futures exchange. A basic regression over…