Strategy Library

Quantpedia

Quantpedia


Strategy Name
Asset Class Trend Following

Selects ETFs over ten-month moving average and assigns an equally weighted allocation.

Source: Quantpedia

Asset Class Momentum

Selects ETFs in different asset classes with the highest momentum and assigns an equally weighted allocation.

Source: Quantpedia

Sector Momentum

Selects ETFs in different sectors with the highest momentum and assigns an equally weighted allocation.

Source: Quantpedia

Overnight Anomaly

Buy SPY ETF at its closing price and sell it at the opening each day.

Source: Quantpedia

Forex Carry Trade

Goes long the currency with the highest central bank interest rate and goes short the currency with the lowest interest rate.

Source: Quantpedia

Volatility Effect in Stocks

Constructs equally weighted portfolios by selecting stocks with the lowest volatility in the past one year.

Source: Quantpedia

Forex Momentum

Goes long currencies with strongest 12 month momentum against USD and goes short currencies with the lowest 12 month momentum against USD.

Source: Quantpedia

Pairs Trading with Stocks

Looks for the security that minimizes the sum of squared deviations and long-short position is opened when pair prices have diverged by multiple of standard deviations.

Source: Quantpedia

Short Term Reversal

Goes long stocks with the lowest return in the previous month and goes short stocks with the greatest return from the previous month.

Source: Quantpedia

Momentum Effect in Stocks

Goes long stocks with the best 12-month momentum in the large-cap universe.

Source: Quantpedia

Momentum Effect in Country Equity Indexes

Goes long stocks with the best 12-month momentum in the country equity indexes ETFs.

Source: Quantpedia

Mean Reversion Effect in Country Equity Indexes

Goes long country equity indexes ETFs with the worst 36-month return and short ETFs with the best 36-month return.

Source: Quantpedia

Liquidity Effect in Stocks

Goes long stocks with the lowest turnover and short on stocks with the highest turnover from the lowest market-cap quartile.

Source: Quantpedia

Volatility Risk Premium Effect

Sells at-the-money straddle with one month until maturity and buys an offsetting 15% out-of-the-money puts each month.

Source: Quantpedia

Momentum Effect in Commodities Futures

Goes long commodity futures with the highest momentum and short on futures with the lowest momentum.

Source: Quantpedia

Small Capitalization Stocks Premium Anomaly

Goes long stocks with the lowest market capitalization and rebalances the portfolio once a year.

Source: Quantpedia

Paired Switching

Goes long asset with better performance over the last period and rebalances portfolio every quarter.

Source: Quantpedia

Term Structure Effect in Commodities

Buys each month the 20% of commodities with the highest roll-returns and shorts the 20% of commodities with the lowest roll-returns and holds the long-short positions for one month.

Source: Quantpedia

Momentum Effect Combined with Term Structure in Commodities

Portfolios are formed based on roll returns and the algorithm goes long and short contracts with the highest and lowest one-month performance.

Source: Quantpedia

Book-to-Market Value Anomaly

Quintile portfolios are formed based on the Book-to-Market ratio and the highest quintile is held for one year.

Source: Quantpedia

Gold Market Timing

Goes long gold when the Fed model shows that the market is undervalued (the earnings yield is higher than the bond yield and their ratio is at least 2).

Source: Quantpedia

Turn of the Month in Equity Indexes

Buys SPY the day before the end of the month and liquidates position on 3rd trading day of new month.

Source: Quantpedia

Momentum - Short Term Reversal Strategy

Goes long stocks with the decreasing return from the winner group and short stocks with the increasing return from the loser group.

Source: Quantpedia

Pairs Trading with Country ETFs

Identifies the price divergence from two highly correlated country ETFs and takes a market neutral position.

Source: Quantpedia

Sentiment and Style Rotation Effect in Stocks

Creates long-short positions of growth and value stocks based on the investment sentiment.

Source: Quantpedia

Asset Growth Effect

Creates long-short positions of stocks based on the annual change of their total assets.

Source: Quantpedia

Momentum and State of Market Filters

Goes long and short stocks with the highest and lowest six-month momentum respectively if the previous 12 months return on the broad market index was positive.

Source: Quantpedia

Accrual Anomaly

Decile portfolios are formed based on balance sheet based accruals and highest decile is shorted while lowest decile is bought for a year.

Source: Quantpedia

Momentum and Style Rotation Effect

Goes long style index ETF with the highest 12-month momentum and short ETF with the lowest 12-month momentum.

Source: Quantpedia

Trading with WTI BRENT Spread

Goes long the spread if the spread is below 20-day moving average and short if the spread is above 20-day moving average.

Source: Quantpedia

Momentum Effect in REITs

Trecile portfolios are formed based on momentum and the best performing portfolio is held.

Source: Quantpedia

Option Expiration Week Effect

Goes long S&P 100 index ETF during option expiration week and stays in cash during other days.

Source: Quantpedia

Earnings Quality Factor

Goes long stocks with high earnings quality and short stocks with low earnings quality based on composite factor score.

Source: Quantpedia

January Effect in Stocks

Invests into small cap stocks at the beginning of each January and stays invested in large cap stocks for rest of the year.

Source: Quantpedia

Momentum and Reversal Combined with Volatility Effect in Stocks

Goes long on stocks from the highest performing quintile from the highest volatility group and short on stocks from the lowest performing quintile from the highest volatility group.

Source: Quantpedia

ROA Effect within Stocks

Goes long on stocks with highest ROA and short stocks with the lowest ROA from each market capitalization group.

Source: Quantpedia

January Barometer

Invested in equity market with ETF only if January return is positive otherwise switch investments to T-Bills.

Source: Quantpedia

Lunar Cycle in Equity Market

Goes long in emerging market index ETF 7 days before the new moon and switch to a short position on emerging market index ETF 7 days before the full moon.

Source: Quantpedia

VIX Predicts Stock Index Returns

Goes long on equity index ETF if the VIX is in the highest percentile short if VIX is in the lowest percentile in the last two-year history.

Source: Quantpedia

Combining Momentum Effect with Volume

Goes long stocks with the highest volume from the top momentum decile and short stocks with the highest volume from the bottom momentum decile.

Source: Quantpedia

Short Term Reversal with Futures

Goes long (short) on futures from the high-volume, low-open interest group with the lowest (greatest) returns in the previous week.

Source: Quantpedia

Pre-holiday Effect

Invests in equity market 2 days preceding holiday days and stays in cash during the other trading days.

Source: Quantpedia

Beta Factors in Stocks

Goes long stocks with the bottom beta and short stocks with the top beta, securities are weighted by the ranked betas.

Source: Quantpedia

Exploiting Term Structure of VIX Futures

Buys or sells the nearest VIX futures based on the daily roll and hedge against the open positions with E-mini S&P500 futures.

Source: Quantpedia

12 Month Cycle in Cross-Section of Stocks Returns

Reviews the returns from last January, going long on the top 10% winners and short the bottom 10%.

Source: Quantpedia

Momentum Effect in Stocks in Small Portfolios

Goes long in the 10 stocks with the highest performance and goes short in the 10 stocks with the lowest performance in the previous one year.

Source: Quantpedia

Value Effect within Countries

Invests in the cheapest 33% of country ETFs according to CAPE ratios.

Source: Quantpedia

Beta Factor in Country Equity Indexes

Goes long on the low-beta portfolio and short on the high-beta portfolio in country indexes ETFs.

Source: Quantpedia

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