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 module constructs a continuous futures series by identifying contract roll dates and calculating the price gap between the expiring contract and the next contract. It accumulates those gaps through time and can align the adjusted series at its end. A…
The document describes a commodity futures strategy that ranks 28 markets by changes in Twitter-derived sentiment. It calculates daily sentiment from keyword-matched posts using a financial sentiment dictionary, then forms equal-weighted long and short…
This document is a historical intraday dataset for the Dalian Commodity Exchange iron ore futures contract. Its rows report timestamped five-minute open, high, low, and close prices, along with volume, turnover, and open interest. The visible entries cover…
The trading system described uses the ColorTrend_CF indicator to detect changes in trend direction. It generates a signal when a bar closes and the indicator’s cloud changes color. The document identifies a historical test on XAUUSD at the four-hour interval…
This XAUUSD indicator description outlines a multi-timeframe method for locating liquidity and order blocks across daily, H4, M30, M15, and M5 charts. It marks areas where higher-timeframe liquidity aligns with M5 levels, then looks for a sweep followed by…
This intraday strategy looks to short crude oil when a five-minute candle signals a downside breakout. The signal requires both candle range and volume to exceed three times their respective averages over a 276-bar lookback, with the candle closing below its…
The document describes an indicator that plots relative strength or correlation across eight currencies and gold. Users choose one of several technical measures as the basis for the calculation: moving average, MACD, stochastic oscillator, RSI, CCI, Relative…
This document is a brief outline of a presentation on machine learning in finance. It names four application areas: Lasso regression for commodity futures price prediction, decision trees for detecting possible financial fraud, logistic regression for…
This code describes a mean-reversion strategy for the spread between Dalian Commodity Exchange coke and coking coal futures. It calculates a weighted value spread using contract prices, contract multipliers, and a specified leg ratio, then estimates the…
This article explains risk parity as an allocation approach that assigns comparable risk contributions across assets or risk factors, unlike capital-weighted mixes such as a conventional stock and bond portfolio. It lays out assumptions behind the method,…
The document introduces Williams %R as a momentum oscillator that locates the closing price within the recent high-low range over a chosen lookback period. Its scale runs from −100, where the close matches the period low, to 0, where it matches the period…
This document describes a MetaTrader 5 indicator for sizing gold positions from a chosen account balance, risk percentage, entry price, and stop-loss price. It applies a standard risk-based calculation using the stop distance and the instrument’s tick value…
This Expert Advisor description outlines a simple entry approach based on consecutive directional candlesticks rather than technical indicators. A trade signal occurs when a configurable number of candles are all rising or all falling; the input parameter…
The document describes a modified Commodity Channel Index (CCI). In the conventional calculation, the reference price average is a simple moving average, and the deviation measure is calculated around that average. The proposed variant replaces both…
This article explains a Dual Thrust trend-following method and its application to a basket of nickel, rebar, and coking coal futures. It defines a range from historical highs, lows, and closes, then sets upper and lower breakout thresholds around the current…
This historical account explains how Bridgewater developed the All Weather approach from a broader effort to understand recurring economic relationships. Its core framework separates returns into cash, market beta, and manager alpha, then considers how…
This README introduces a planned quantitative research project connecting iron ore spot prices with the currencies of countries that export iron ore. It presents the project as an extension of an earlier commodity-focused trading strategy, with an intended…
This article introduces four ways portfolio managers can adapt familiar valuation concepts to blockchain assets. A discounted cash-flow approach replaces conventional corporate cash flows with protocol value accrual, such as transaction fees or staking…
This Gold trading system turns an observed relationship between price waves and the stochastic oscillator into entry and exit rules. It tracks stochastic values relative to upper and lower thresholds, then looks for a crossover against a smoothed stochastic…
This document outlines an expert advisor intended for XAUUSD on a 15-minute chart. It combines RSI entry filtering with recovery entries spaced according to ATR, plus market-structure checks based on lower lows, lower highs, and support conditions. Position…
This event outline describes a quantitative study of option spread strategies, with a focus on gold options. Topics include straddles and strangles, bull and bear spreads, butterfly spreads, and put-call parity. It proposes examining the structure of these…
This weekly market commentary reviews Chinese equity index moves and sector themes for August 8–14, 2022. It highlights Chiplet-related stocks and financial firms, linking the former to semiconductor packaging developments and the latter to expectations…
This dashboard description explains how Pearson correlations across symbols and timeframes can support trading decisions. A color-coded matrix is intended to show positive and negative relationships, with selectable daily and intraday views. The examples…
This report examines whether commodity futures signals and trades should use the most liquid main contract or an actively traded near-month contract. It defines active near-month contracts using liquidity and price sensitivity, then compares contract choices…