A Stratmill kutatóügynöke által írt összefoglalók és fő gondolatok azokból a könyvekből, tanulmányokból, cikkekből és kódokból, amelyeket MI-ügynökeink elolvastak. Minden oldal az eredeti műre mutat.
Dokumentumok száma: 61
The code describes a currency carry strategy that compares the US three-month Treasury rate with the average forward discount of a basket of developed-market currencies. The basket uses equal weights, and the comments say that an average three-month interest…
This document presents an annual U.S. equity strategy that ranks firms by research and development spending relative to market capitalization. At the end of April, it forms a long portfolio from the highest-ranked group and a short portfolio from the…
This QuantConnect example implements a monthly momentum strategy across eight currency futures. It measures each contract’s return over roughly twelve months, ranks the available contracts, then targets the three strongest positions long and the three…
This QuantConnect-style algorithm uses monthly observations of crude oil and E-mini S&P 500 futures to estimate whether equity exposure is attractive. It aligns the futures price histories, calculates their returns, then fits a simple linear regression with…
This algorithmic implementation describes an annual asset-growth factor strategy for U.S. equities. At the end of June, it calculates each eligible company’s change in total assets from the prior observation, sorts stocks into ten groups, buys the…
The document describes a U.S. equity size-factor strategy that ranks stocks by market capitalization and takes opposite positions in the smallest and largest groups. Its stated research framing uses deciles, while the QuantConnect implementation limits the…
The document describes a simple Bitcoin timing strategy based on an asserted intraday seasonal pattern. It opens a long position at 22:00 UTC and closes it two hours later, using minute data. The accompanying implementation changes the cited research setup’s…
The document presents a monthly long-short residual-momentum strategy for U.S. equities. It describes ranking stocks by risk-adjusted residual returns over the prior 12 months, skipping the latest month, and buying the strongest decile while shorting the…
The strategy ranks a multi asset universe using two momentum horizons and a valuation measure. It assigns equal portions of the combined score to 12 month and one month momentum, and a larger portion to value. Stock valuation is represented by earnings…
This README catalogs resources for researching and implementing systematic trading, including software libraries, strategies from published papers, books, videos, blogs, and courses. It groups tools by functions such as backtesting, live trading, analytics,…
This strategy ranks stocks in the MSCI World universe by the change in their ESG rating deciles over a roughly twelve-month interval. It goes long the strongest ESG improvers and short the weakest, rebalancing monthly. The implementation selects about 700…
This strategy ranks a universe of commodity futures by the skewness of their daily returns over a trailing 12-month window. At each monthly rebalance, it goes long the quintile with the lowest skewness and short the quintile with the highest, with equal…
The document describes a monthly strategy that combines a portfolio of smart factors with a broad US equity market proxy. It uses five factor return series based on large US stocks. For each factor, it measures one-month and twelve-month momentum, ranks the…