Resumos e ideias principais, escritos pelo agente de investigação da Stratmill, dos livros, artigos científicos, artigos e código consultados pelos nossos agentes de IA. Cada página inclui uma ligação para o original.
195 documentos
This guide explains volatility-targeted position sizing and describes tools for calculating target exposure, visualizing it over time, and simulating rebalancing. The position is scaled according to the ratio between the desired portfolio volatility…
This article argues that self-taught quant traders can spend too much effort on specialized modeling and statistical techniques before establishing whether a market effect is real and useful. It recommends beginning with the simplest tool that addresses the…
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…
The article describes practical TradingView workflows for discretionary and early-stage trading research. The author uses watchlists to monitor macro instruments and track a basket of factor ETFs through a synthetic instrument weighted by units held. A…
The article argues that using large language models to generate strategies and run backtests can accelerate technical work while leaving the trader without an understanding of why an opportunity might persist. It frames sound research as a cycle of forming a…
The article explains why an upward expected drift does not, by itself, make a call more valuable than a put with the same strike and expiry. It uses a toy probability example to distinguish the chance of finishing above the strike from option value, then…
The article introduces digital signal processing concepts for trading, including cycle period, frequency, amplitude, and phase. It explains how low-pass, high-pass, and band-pass filters emphasize or suppress different cycle lengths, and how stacking filters…
This brief article outlines a portfolio philosophy built around collecting risk premia while allowing for the possibility that active signals or discretionary views will be wrong. It proposes selecting assets with positive carry and varied exposures to…
The article compares the equity risk premium (ERP), the expected compensation for holding risky equities, with the volatility risk premium (VRP), the tendency for implied volatility to exceed realised volatility. It frames the ERP as a long-term return…
The article explains how to estimate the volatility risk premium (VRP) by comparing option implied volatility with volatility that is later realised. Using ORATS data, it describes a practical alignment issue: implied volatility looks forward across calendar…
The document presents a judgment-based framework for deciding whether to adopt a trading strategy, emphasizing that there is no universal performance threshold or checklist. The first question is whether the effect has a plausible explanation and a reason to…
The document argues that mean reversion, momentum, and trend describe observed price behavior but do not by themselves establish a tradable edge. A credible hypothesis should pair supportive data with a plausible mechanism explaining who trades, why the flow…
The document describes using the Fréchet distance to compare a price series with a predefined shape, such as a triangle or cup. Pattern arrays encode the desired shape, while parameters control the number of price bars and the pattern’s vertical scale; a…
The document explains the fallen angel effect: bonds downgraded from investment grade to high yield may face forced selling from institutions whose mandates restrict junk bond holdings. That selling can push prices below their reduced fundamental value,…
This article develops intuition for using convex optimisation to turn forecasts into portfolio positions under practical constraints. It begins with a long-only, unlevered return-maximisation example, then adds existing holdings and transaction costs to show…
This article demonstrates an unsupervised approach to grouping GBP/JPY candles by their shape. It represents each candle using the high, low, and close relative to the open, then applies k-means clustering with six groups. The assigned cluster labels are…
This tutorial lays out a Zorro workflow for rotating among ETFs. It describes maintaining an instrument universe in an asset list, setting a calendar-based rebalance date, loading price histories, calculating each ETF’s lookback return, ranking the results,…
The article presents a workflow for studying and combining signals on Binance crypto perpetual futures. It examines carry from funding rates and cross-sectional momentum alongside a breakout measure based on closeness to recent highs. The author first…
This article explains ARIMA models for forecasting a time series’ mean and GARCH models for its changing conditional variance, then combines them in a directional EUR/USD strategy. It fits models to a rolling window of daily log returns, selects ARIMA orders…
The article proposes a speculative daily strategy for SPX options. It compares recent realized open-to-close SPX moves with the moves implied by at-the-money 0DTE straddles. If realized moves have averaged larger than implied, the next session’s straddle is…
The document argues that a trading method is not an edge by itself: an edge is a positive expected return grounded in an effect that can plausibly persist. It distinguishes four possible sources—arbitrage, information advantage, risk preferences, and flow…
The document explains why a trading signal should be judged by more than its correlation with near-term returns. A highly predictive but jumpy forecast can trigger frequent trades, raising transaction costs and turnover. Smoother, more autocorrelated signals…
Carry is a position expected to earn a return as time passes, provided prices and other conditions remain stable. The document explains this through currency yield differentials, rolling bond and stock futures, and selling options, then describes perpetual…
The document presents a Cold Blood Index intended to help a systematic trader judge whether a live drawdown is unusual enough to warrant leaving a strategy or whether continuing may be reasonable. The supplied code reads a historical balance curve, resamples…