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

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