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.
9,797 documents
The document examines whether a Treasury futures basis trade can earn more than the implied repo minus the bond’s actual repo financing cost. It proposes adding an overnight indexed swap hedge, with the answer correcting the hedge direction: pay fixed and…
The document distinguishes two different charts that are often both described using contango. A futures curve at a single point in time compares prices across delivery dates: contango describes deferred contracts priced above nearby ones, while backwardation…
The document distinguishes forward and futures prices and explains why their drift depends on the probability measure used. Under the risk-neutral measure associated with the relevant numeraire, each price is a conditional expectation and has martingale…
The document explains when a hedge can be established once and when it needs ongoing adjustment. Static hedging is possible when instruments can replicate a position’s payoff at inception; the payoff need not be linear. The example given is replicating a…
The document asks how a bond futures carry measure can make sense when a futures holder does not directly receive the underlying bond’s coupons or pay its repo funding. The cited index description ranks eligible government bond futures by estimated carry,…
The document explains what can and cannot be inferred about price movement when only bid and ask quotes are available. A midpoint series offers a practical estimate: compare each midpoint with the previous one to track changes in the quoted market. Tracking…
The document considers a short-front, long-back bond futures calendar roll when both contracts share the same cheapest-to-deliver bond. The trader asks whether a low conversion factor dampens the change in implied repo when the calendar spread widens, and…
The document proposes detecting temporal leakage by changing all input rows after a chosen cutoff and rerunning feature construction. If outputs at or before the cutoff change, the feature pipeline has used future data. This empirical check can reveal…
The document asks which timing feature defines a forward contract: the future delivery of the underlying asset or the timing of payment. It raises the Islamic finance contract Salam, also called Salaf, as a point of comparison. In the description given,…
The document explains bond carry as the return expected when time passes and market conditions otherwise stay unchanged. For a bond, pure carry can be estimated from coupon income less repo financing costs, expressed relative to DV01, or approximated through…
This template trades crossovers between a fast and a slow exponential moving average, with configurable lengths and an optional filter based on the direction of a longer simple moving average. A bullish crossover can open a long when the filter is rising; a…
This TradingView indicator builds volume profiles for configurable market sessions and calendar periods, including Tokyo, London, New York, daily, weekly, and longer intervals. It divides each period’s price range into bins, allocates lower-timeframe volume…
This intraday strategy records the high and low during a configurable opening window, then takes long or short breakouts of that range during the selected session. Optional filters require a range size within ATR-based bounds, volume above its moving…
This strategy trades Micro E-mini Nasdaq futures in both directions using smoothed Stochastic RSI and a 20-period EMA. For shorts, an extreme high oscillator reading arms a setup; price must then touch the EMA before the oscillator falls through an entry…
This example strategy combines bullish and bearish fair value gaps with MACD crossovers filtered by RSI. It also defines trend-aligned flags using the relationship between price and a moving average, together with above-average volume. Entries require one of…
This intraday strategy builds a high-low range from the 8:00 to 8:15 a.m. New York session and calculates its midpoint. During the specified later trading window, it records a close above or below the range as the breakout direction, then enters when price…
This TradingView strategy targets long and short setups around the New York cash open. It anchors VWAP to the regular session and allows trades only during a narrower morning window. Entries are framed as VWAP reclaims followed by a hold or pullback, with a…
This strategy looks for a transition from relatively quiet trading to rising volatility, then enters when price crosses a level recorded during the quiet period. It compares ATR with a longer average of ATR, marks compression below a configurable threshold,…
This strategy looks for reversals after price crosses a recent extreme and closes back through the prior bar. It calculates the rolling highest high and lowest low over a 20-bar lookback. A short signal occurs when the current high exceeds the previous bar's…
This intraday strategy looks for price to cross daily VWAP, revisit that level within a configurable bar window, then close back on the breakout side with a candle in the same direction. It can trade long setups by default and optionally enable mirrored…
This Nifty futures strategy records the close of the 9:15 a.m. India-time candle on Tuesdays and Wednesdays. On Wednesday, it compares that candle’s close with a stored reference: the prior week’s Wednesday price when available, otherwise the prior week’s…
This intraday strategy looks for reversals around zones built from confirmed pivot highs and lows. It expands those pivot levels using an ATR-based width to form supply and demand areas. Long setups require a pivot low, price near demand, a bullish candle,…
This script describes an intraday VWAP strategy centered on the NYSE regular-session open. It includes a 09:45–11:00 New York trade window, VWAPs anchored to different session starts, prior-day VWAP, opening-range and initial-balance levels, and a status…
The strategy records the high and low of the Asian session, defined as 00:00–08:00 UTC, and uses that range as a breakout reference during the UK and US sessions. A long signal occurs when the close crosses above the Asian high; a short signal occurs when it…