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.
560 documentos
This forum exchange explains how to access an in-progress aggregated bar when calculating indicators before a higher-timeframe candle closes. A BarGenerator must first receive lower-timeframe bars through its update method; once initialized, its current…
The post reports a backtest failure caused by subtracting a time-zone-naive datetime from a time-zone-aware datetime while checking whether orders have timed out. The strategy had loaded historical bars and begun replay, but halted when its timeout check…
The forum exchange addresses a bracket-order problem: when a take-profit stop and a protective stop are both active, a rapidly moving one-minute bar may cross both prices. The suggested approach is to place both as local stop orders and let the strategy…
This forum exchange addresses how a strategy can retrieve the cost basis of a contract it already holds, so later decisions can account for current profit or loss. Participants advise maintaining the value in strategy-managed state: record it when trade…
This brief forum exchange concerns a user who cannot connect through the CTP trading interface. A respondent suggests that the server may be switched off during the weekend and advises trying again on a trading day. The practical takeaway is to check whether…
This forum exchange concerns a user who could connect to a Rohon simulated trading account through VeighNa Station but received a disconnection error when starting a command-line configuration. A reply initially suggests checking whether the installed Rohon…
This forum exchange addresses a new user whose VeighNa startup screen differs from tutorial demonstrations and lacks a CTP connection option. A reply explains that market data will not appear until a market-data subscription is configured, and connection…
The post questions where the discount factor belongs in a binomial option-pricing recurrence. The cited implementation discounts the expected value of holding the option at a node, then compares that value with immediate exercise value and zero. The author…
This short forum post asks how VeighNa's TargetPosTemplate handles order replacement during live trading. The shown trade routine checks whether an order has finished; if not, it cancels an old order, and otherwise sends a new one. The author asks whether a…
This release overview describes VeighNa 3.9.3 additions for institutional futures and options workflows. A new L-Star interface provides trading connectivity for FOF and MOM products. It is described as similar in use to VeighNa’s CTP interface, while market…
The document proposes using VeighNa ScriptTrader to detect manual futures trades and submit limit orders to close them at a target offset. It explains that CTA strategies may not receive trade callbacks for orders they did not place, so the proposed…
The thread discusses changing a Turtle-style CTA backtest from a fixed number of contracts per trade to dynamically sized positions. A user reports editing a strategy variable intended to replace the fixed unit, but the refreshed backtest still uses the…
The discussion asks whether VeighNa strategies can submit market orders and gives a practical example: close a position after it has been open for 30 minutes if neither its profit target nor stop has been reached. The reply suggests either placing an order…
A VeighNa community exchange discusses why a user testing the Pegasus system can subscribe to contract quotes from CFFEX but receives no updates for contracts from other exchanges. The response explains that Pegasus is a China Financial Futures Exchange…
This note addresses a position-accounting problem reported for Shanghai-listed futures: after opening new contracts and closing older ones, the remaining same-day position’s average price can become zero. It presents a recalculation approach that starts with…
This short VeighNa community thread concerns users who cannot connect to the SimNow simulated futures-trading environment. One reply suggests checking the relevant port with a telnet connection, and another explains that the port is open only during trading…
This forum post raises a backtesting problem: a simple EMA20 strategy on TQQQ reports that account funds fell to zero or below, preventing the platform from calculating performance statistics. The trader questions the warning because the listed trade entries…
This forum exchange investigates why a VeighNa trading script fails to find contracts even though the graphical Studio client receives market data. Participants explain that a strategy module may start before contract queries finish, and that simply adding a…
This short forum exchange discusses a timing problem in a 15-minute bar strategy: a signal is generated when a bar closes during a trading break, so an order submitted immediately may fail because the market is closed. The question also raises the…
A VeighNa community discussion investigates a CTA backtest in which the recorded position appears to exceed the strategy's actual holdings. The trader reports opening seven contracts, then seeing several stop orders close quantities that add up to more than…
This brief VeighNa forum exchange addresses how to work with five-minute and thirty-minute bars in one strategy. The suggested approach is to use two BarGenerator instances and two ArrayManager instances, allowing each interval to be aggregated and tracked…
This note develops a proposed A-share strategy for vn.py around two prior-day setups: a first limit-up close after two days without a limit-up, or a session that touched the limit price but did not close there. Candidates are further filtered by turnover…
This project description outlines a LightGBM system for classifying the direction of futures prices over a configurable forward horizon. It processes one-minute bars across multiple contracts, builds technical and statistical features, and labels future…
This forum exchange addresses how to choose a target metric when optimizing strategy parameters in VeighNa’s Jupyter-based workflow. A user shows a Sharpe ratio target and asks which field represents total profit, after an attempted profit-field name did not…