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.
2,013 documents
This swing-trading framework enters long when a short moving average crosses above a longer one while RSI is above 50, and enters short on the opposite crossover with RSI below 50. It describes MACD as a tool for refining entry timing and Bollinger Bands as…
This Pine Script strategy combines several configurable signal types: RSI and Bollinger Band extension, order block interactions, cumulative volume delta divergence, and swing failure patterns. Users can enable or disable each confirmation, choose whether to…
The article describes Hierarchical Equal Risk Contribution (HERC), a portfolio allocation method that combines hierarchical clustering with cluster-aware capital allocation and risk balancing. It first groups assets from their return correlations, selects a…
The document introduces Hierarchical Risk Parity (HRP) as a portfolio allocation method intended to reduce sensitivity to noisy return estimates and covariance-matrix inversion in traditional mean-variance optimization. It explains HRP in three stages:…
This tutorial explains Hierarchical Equal Risk Contribution (HERC), a portfolio allocation method that combines hierarchical clustering with risk-based weighting. It motivates the approach by describing how conventional mean-variance optimization can be…
This short article uses the long-run nominal growth of US stocks and bonds as a starting point for discussing risk premia. It reports that stocks rose 48,000 times in value and bonds 300 times from 1900 to the article’s present. Its explanation is that…
This course overview presents a systematic trading process built around identifying an economic reason for an edge before optimizing a backtest. It recommends forming a hypothesis first, then examining data and testing the idea, and describes a framework for…
The article explains why covariance estimates matter for portfolio risk: pairwise asset covariances combine with portfolio weights to determine portfolio variance. Using adjusted-price returns for SPY, TLT, and GLD, it first compares rolling-window…
The article groups systematic strategies into three broad types, ordered by increasing turnover. Risk-premia harvesting seeks compensation for bearing risks that investors tend to avoid, using diversified exposure and sensible risk control; examples include…
The document frames consistent participation in markets as a way to grow capital over time. It points to the time value of money and the no-arbitrage principle as the main ideas for understanding how investments can earn more than a baseline return, though…
This article weighs gold’s theoretical status against its observed portfolio behavior. Since gold produces no cash flow and has no clear cash-flow-based valuation anchor, the author argues it does not fit a conventional academic account of a risk premium. In…
The article introduces tidy data principles and shows how to represent financial returns in long and wide formats. In tidy form, each column represents a variable, each row an observation, and each cell one value. Its example uses dates, tickers, and…
The article explains equal risk contribution (ERC) portfolio construction, which chooses asset weights so each holding contributes equally to portfolio risk. Because ERC depends on estimated covariances rather than expected returns, the quality of the…
The document presents a systematic trading course organized around identifying a plausible market edge before building or optimizing a backtest. It describes a research sequence that starts with a hypothesis, then examines data and tests the idea, alongside…
The article frames long-term investing as earning compensation for bearing uncertainty. Stocks and bonds have historically risen over long periods, but their shorter-term losses and volatility help explain why investors expect a premium for holding them. It…
The workshop description outlines a mechanism-first approach to researching trades. It argues that potential returns may come from bearing risk premia or trading against participants whose constraints require them to transact, rather than from forecasting…
The article outlines three practical sources of trading hypotheses. Traders can learn from other market participants who appear to have profitable approaches, while adapting ideas to smaller niches or constraints that may not suit large asset managers. It…
This article advises traders with small accounts to begin with comparatively simple, forgiving strategies that support consistent process-building and skill development. It cautions that niche, high-capacity-constrained opportunities may offer attractive…
This page catalogs a broad set of trading strategy case studies, including risk-premia portfolios, volatility strategies, equity and FX effects, crypto trades, and bond ideas. It points readers to related research, implementation examples, and tools, while…
This course overview describes a research framework for systematic trading, emphasizing that a profitable backtest does not by itself establish a durable strategy. It recommends understanding market participants and the structural reasons an edge might…
This career guide explains that quantitative and systematic trading covers many assets, holding periods, strategies, and degrees of automation. It notes overlap with related roles such as risk management, portfolio management, execution, quant development,…
This guide walks through a hand-built method for allocating a long-only portfolio across assets or trading strategies. It groups assets hierarchically, assigns volatility-based weights within groups, and can optionally adjust for estimated Sharpe ratios and…
This document sets out criteria for assembling a curated ETF list across equity and bond regions and categories. The stated filters include sufficient fund size, a preference for distributing share classes when dividend yield is used as a valuation measure,…
This annual review evaluates a systematic futures portfolio over the UK tax year ending in April 2025. It separates pure futures results from cash-like ETFs and foreign-exchange effects, compares the portfolio with the SG CTA index and an AHL fund, and also…