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: 560
The article explains how to calculate the Resistance Support Relative Strength (RSRS) market-timing indicator more quickly. RSRS fits a rolling regression of highs against lows; its slope is used as a measure of the relationship between resistance and…
The note explains how tick quote fields may appear when a futures contract reaches its upper price limit. In the example, the best bid price is set to the limit price and its volume reflects the quantity actually queued to buy. The best ask price and ask…
The forum exchange answers a practical question about how VeighNa Trader discovers a custom strategy when launched through its example runner. The response says to find the default runtime directory in the trader window’s title bar, then put strategy files…
This post presents a Chinese equity screening idea that combines a MACD value above zero with year-over-year net profit growth between 20% and 100%, framed around 2021. It explains the intent as pairing price momentum with a fundamental growth filter. The…
The discussion addresses how a spread strategy should handle ticks arriving at different times for multiple contracts. It describes a latest-available-data approach: cache each leg’s most recent tick and recalculate the spread whenever any leg updates. This…
This forum post reports a failure during VeighNa’s genetic-algorithm optimization for a strategy backtest. The traceback reaches Python’s multiprocessing pool while it tries to send evaluation work to worker processes. Serialization then fails because the…
This brief forum exchange addresses a type error encountered during a CTA backtest. The reply points to the construction of five-minute bars and explains that the window argument was not passed as an integer value. The practical lesson is to check the type…
This forum exchange concerns semi-automated trading with VeighNa’s CTA framework. The questioner runs a strategy without a graphical interface and wants to change parameters manually while it is active, using those changes to trigger a manual entry and…
This community post describes a restart issue in a portfolio strategy. A position and target are saved when the system shuts down, then restored during startup; however, historical bars are replayed through the strategy’s bar handler during initialization.…
A brief VeighNa forum exchange describes an order-timing problem in a strategy that constructs daily bars from intraday data. The user says the daily bar is completed at the 3 p.m. close, after which an order submitted by the strategy is canceled. They ask…
A discussion about an options strategy notebook describes a backtest that produced zero daily profit and loss values and took a long time to load historical data. The reported cause was missing underlying futures data: the shared activity data package…
This forum discussion addresses how a VeighNa portfolio strategy should create daily bars and initialize technical indicators from historical data. A user proposes emitting completed daily bars based on exchange-specific end times, while accounting for…
A VeighNa community discussion distinguishes between a data interface and a provider that supplies data for use in the platform. Participants suggest CTP for free intraday data and mention TQSDK, but the exchange focuses on the practical difference between…
The forum exchange discusses a limitation in VeighNa’s graphical backtesting interface. A user notes that CTA strategies can be tested through the GUI, while other strategy types, including multi-contract strategies, are run from code in Jupyter. They ask…
The document outlines a training program on cross-sectional multi-factor strategies, also described as alpha strategies. Its curriculum spans factor data preparation, supervised learning, model evaluation and interpretation, portfolio construction, and…
This forum exchange explains a common execution issue in daily-bar backtests. A trader submits a sell order using the current bar’s closing price, but the order is evaluated for execution on the following day. Since the next opening price may differ from the…
This forum exchange explains why a trader might see the IF index futures contract but not the IM contract for the CSI 1000 when querying instruments through CTP. Participants ask which interface and account are being used, clarify that the trader is…
A forum exchange asks how research conducted with vn.py’s alpha module can be connected to live trading and whether a matching live example is available. The reply says there is no open-source template in the discussion and outlines a minimal workflow: load…
This tutorial explains how VeighNa’s backtesting engine replays historical daily bars to evaluate an equity strategy. It walks through configuring instruments, interval, dates, and initial capital; attaching a strategy and dated signal table; loading data;…
The discussion addresses how a strategy can show more losing trades than winning trades while its cumulative account value still rises. The reply explains this through the aggregate size of gains and losses: a smaller number of sufficiently large wins can…
This short forum exchange addresses how to inspect and debug backtests in the Elite trading environment. A beginner asks about getting output in the console or a log file, starting backtests from the command line, and using an editor with breakpoints. One…
This forum post raises a position-reconciliation problem in a portfolio strategy. The example begins with a short position of twelve contracts and a target holding of ten long contracts. The intended sequence is to close the short and then open the long, but…
The document describes a Chinese A-share screening rule for main-board stocks. It selects shares with turnover between 3% and 12%, a circulating market value between 5 billion and 10 billion yuan, and weekly MACD above zero. It explains that the screen…
The post asks whether an ATR-RSI strategy should reset its intratrade high after a stop order closes a position. The displayed logic updates the stored high to the greater of its previous value and the current bar’s high, then calculates a long exit level as…