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
This document explains an adjustable Zigzag indicator for identifying price swing points. It uses a step-size threshold: the current wave continues until price moves far enough in the opposite direction to confirm a reversal. Unlike the traditional Zigzag…
The document examines how one-minute OHLC backtests can misclassify bracketed trades when a bar touches both the stop and target. Because OHLC records prices but not their sequence within the bar, a tester must assume an intrabar path; real tick data can…
The document summarizes research on shared movements across commodity markets. It reports that commodity return fluctuations often move together and that a common factor explains a substantial portion of their variation. The factor is closely associated with…
This July 2018 research summary reviews U.S. equities, gold, and crude oil using earnings, interest rates, investor risk appetite, currency moves, supply conditions, and inventories. For U.S. stocks, it argues that earnings expectations remain supportive and…
This notebook explores how several market series relate to the Russian ruble exchange rate against the Australian dollar. It fits separate ordinary least squares regressions for each candidate regressor within each year, then repeats the analysis…
The document introduces the Commodity Selection Index (CSI), specifying high, low, close, and a lookback length as inputs. Its pseudocode builds an average true range measure from intraday range and gaps relative to the previous close. It also estimates…
The notebook estimates crop prices from Malaysian GDP, population, and crop production data. It fits ordinary least squares models for comparison, then uses quadratic optimization to constrain the non-constant coefficients to be nonnegative. Production…
The document outlines a daily trend-following strategy for commodity futures based on Bollinger bands. It enters long when price breaks above the upper band and short when price breaks below the lower band, then exits when price crosses back through the…
The document outlines an expert advisor that uses a VolatilityPivot NRTR indicator to make trading decisions. Entries are based on colored cross-shaped labels appearing in the direction of the intended trades. It notes that a supporting trading library can…
The article defines CTA strategies as professionally managed approaches focused mainly on futures, with possible options exposure, and sketches their development in overseas and Chinese markets. It describes the shift of Chinese CTA activity toward commodity…
The article explains calendar spread trading as taking positions on price differences between futures contracts for the same commodity but different delivery months. It groups potential spread drivers into supply conditions, capital flows and position…
The article recounts two forms of Shanghai Futures Exchange copper delivery arbitrage. One exchanges warehouse locations by delivering from Ningbo while requesting Shanghai allocation, then seeks to profit if the recipient of the less convenient warehouse…
This podcast recap follows Ilan Levy-Mayer’s path into trading and his work at a futures brokerage. It describes the broker’s role in helping hedgers, speculators, and self-directed traders choose platforms, understand markets, and manage risk. The firm’s…
This forum exchange explains why historical prices for a continuous Dalian soybean futures series may differ between the Xt data center and VeighNa downloads. The main issue identified is the adjustment method: VeighNa’s data feed requests ratio-adjusted…
This futures strategy tracks the crush spread formed from soybean, soybean meal, and soybean oil contracts. It weights the three contract prices using an approximate processing ratio, computes the spread as the combined meal and oil value less the soybean…
This research summary reviews the 2021 commodity futures market and examines whether exchange increases in trading fees affect commodity prices and CTA strategies. It describes a year of broad price gains followed by sharp reversals amid market…
This brief document identifies an indicator called SessionRangeBreakout and says its author uses breakouts from the Asian trading range when trading gold. It provides a little context for the indicator’s intended market and general approach: define a session…
This research describes a systematic trend-following strategy for commodity futures. It first uses MACD crossings, filtered by cumulative distance relative to ATR, to classify rising and falling trends. It then revises those classifications when price…
The document introduces tokenization as representing assets on blockchain networks in a way that supports transparent tracking and resistance to tampering. It describes tokenization as applicable across asset classes, naming art, collectibles, corporate…
This document summarizes a commodity futures strategy based on carry and the futures term structure. It describes a directional rule in which the nearby, or main, contract is bought when its price is below the next contract and sold when it is above it. The…
This overview describes a commodity futures CTA strategy that ranks contracts using a combined score. It considers technical signals—cross-sectional momentum, volatility, open-interest changes, and term structure—alongside macroeconomic measures including…
This event announcement introduces spread trading as a relative-value approach that focuses on price differences between related futures contracts or between futures and spot instruments. The idea is to trade whether a spread has moved outside a reasonable…
This research summary describes a method for forecasting year-over-year inventory growth across six products in China’s ferrous commodity chain. It treats inventory as an indicator of relative supply and demand, while noting that true inventory is difficult…
This Expert Advisor combines ADX_Cross_Hull_Style color changes with an UltraXMA trend filter. It opens a trade when a new indicator color point appears at bar close, provided the filter supports the direction. It closes positions on an opposing entry signal…