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 discusses how to assess a cryptocurrency portfolio rebalancing strategy based on mean reversion, especially when frequent trading costs overwhelm attractive backtest results. Its example compares hourly and daily backtests under different fee…
The document poses a practical question about deriving an executable B/C price from two markets, A/B and A/C, on the same exchange. The proposed route is to buy A with B and then sell A for C, with the achievable price depending on the desired quantity of C.…
The document describes a proposed statistical arbitrage workflow: enumerate combinations of assets, estimate hedge weights by regressing one asset on the others, and seek a spread with substantial high-frequency variation but little low-frequency drift. A…
The document explains two related ideas for European options settled in bitcoin: put-call parity for identifying a conversion or reversion mispricing, and delta hedging to manage exposure to the underlying. For matching calls and puts, parity relates their…
The document addresses unstable mid-price estimates in thin order books used for market making. A small new order inside the spread or the cancellation of a large best quote can move the midpoint sharply, even when the broader available liquidity has changed…
The document describes a cryptocurrency market-making question about estimating a reference price for an Avellaneda–Stoikov style inventory-control strategy. The author proposes adjusting the initial price by cumulative signed market-order volume multiplied…
The document examines a reported study in which MACD strategies using many parameter combinations outperformed buy and hold in a high percentile. A response cautions that this result does not by itself challenge market efficiency, especially for Bitcoin,…
The post describes fitting several distributions to daily log returns of a minimum-variance portfolio containing four cryptocurrencies, then estimating value at risk and expected shortfall. A fitted Student’s t distribution has 1.73 degrees of freedom. The…
This long-only strategy for ONEUSDT seeks rebounds after a sharp decline. Its entry filters require a specified two-bar price move from five to three bars ago to fall within a decline range, while the latest two-bar move must be flat or negative. The…
This indicator builds a dashboard of technical ratings for a configurable list of assets across several chart resolutions. Users can choose among ratings based on moving averages, oscillators, or both, and set the symbols, timeframes, table layout, and…
This strategy enters long after a lower-timeframe RSI crosses below an oversold threshold. If price falls further, it can add up to four safety orders at progressively wider price levels, but only while RSI remains below a second oversold threshold. The…
This long-only Bitcoin strategy opens a base position when a 14-period RSI on the four-hour timeframe falls below a configurable threshold. If price declines farther from the base entry, it adds up to five orders at fixed percentage levels measured from that…
This ETH strategy combines swing-based order block levels with optional fair value gap setups. For an order block entry, price must move through a stored pivot-derived level and close back across it. Gap entries require a recent bullish or bearish gap, a…
This indicator builds a price-binned footprint over the visible chart range using either traded volume or changes in open interest. Users choose the number of price rows and whether each row displays totals, an up/down split, or net delta. Positive delta…
This daily-bar strategy for ETH combines a Gaussian-filtered price channel with a Stochastic RSI entry filter. It enters long when the channel is rising, price closes above the upper band, the oscillator is outside a specified threshold, price is above its…
This strategy estimates price-zone friction by counting how often the current close fell within prior bars' high-low ranges, with more recent observations weighted more heavily. It compares that measure with rolling high and low friction values. A reading…
This TradingView strategy runs a long-only price grid between user-set upper and lower bounds. It divides the allocated investment evenly among grid levels, with either geometric spacing, which keeps percentage gaps more consistent, or arithmetic spacing,…
This strategy combines pivot-based market structure with moving-average alignment and hourly momentum indicators to generate directional trade setups. It identifies swing highs and lows using configurable bars on each side, classifies higher highs, lower…
This long-only Chainlink strategy turns a technical view around $12.20 resistance into explicit entry rules. It requires a close above the configured breakout level, price above the 200-period simple moving average, RSI between 50 and 70, and MACD line and…
This strategy uses a simple moving average of closing prices to define crossover entries: a move above the average triggers a long signal, and a move below triggers a short signal. Its configurable average length controls the lookback. Users can allow both…
This scalping strategy combines a higher-timeframe trend filter with a lower-timeframe momentum trigger. It compares price with the previous completed values of three configurable higher-timeframe EMAs, using their alignment to permit only long or only short…
This Bitcoin strategy looks for pullbacks in the direction of a broader trend. It combines a higher-timeframe exponential moving average with faster and slower averages on the chart, then filters potential entries using ADX, directional indicators, RSI, and…
This long-only strategy for LTC against USDT arms an entry when a 14-period RSI on a four-hour timeframe falls below 29 and the chart close is under a configurable price ceiling, set to $61 by default. After the base order, it can add four averaging orders…
AliceTears Grid sets a baseline at the daily or session open and projects price levels above and below it at configurable percentage intervals. Its central entry filter waits for price to cross a grid level and then close back toward the baseline, seeking…