Strategy Library

Strategy Library


Strategy Name
CAPM Alpha Ranking Strategy on Dow 30 Companies

Applies CAPM model to rank Dow Jones 30 companies.

Combining Mean Reversion and Momentum in Forex Market

Combines momentum and mean reversion techniques in the forex markets.

Pairs Trading-Copula vs Cointegration

Applies Copula and Cointergration method to pairs trading.

The Dynamic Breakout II Strategy

A demonstration of dynamic breakout II strategy.

Dual Thrust Trading Algorithm

A demontration of Dual Thrust Intraday strategy.

Can Crude Oil Predict Equity Returns

Applies regression method to predict the return from the stock market and compare it to the short-term U.S. T-bill rate.

Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach

A high frequency pairs trading algorithm based on cointegration.

The Momentum Strategy Based on the Low Frequency Compoment of Forex Market

Applies high frequency filter to the momentum strategy.

Stock Selection Strategy Based on Fundamental Factors

MorningStar Fundamental factors universe selection algorithm.

Short-Term Reversal Strategy in Stocks

A short term reversal algorithm which gives the opposite signal by analyzing recent period price action.

Fundamental Factor Long Short Strategy

A basic monthly rebalance long short algorithm based on fundamental factors.

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

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

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

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