Investment Strategy Library | Learning Center Articles on QuantConnect (2024)

Table of Contents
Gaussian Naive Bayes Model Using News Sentiment to Predict Price Direction of Drug Manufacturers SVM Wavelet Forecasting Gradient Boosting Model G-Score Investing Optimal Pairs Trading Intraday Arbitrage Between Index ETFs Ichimoku Clouds in the Energy Sector Leveraged ETFs with Systematic Risk Management Forecasting Stock Prices using a Temporal CNN Model Intraday ETF Momentum Momentum in Mutual Fund Returns Residual Momentum Commodities Futures Trend Following Price and Earnings Momentum Improved Momentum Strategy on Commodities Futures Expected Idiosyncratic Skewness Standardized Unexpected Earnings Risk Premia in Forex Markets Seasonality Effect based on Same-Calendar Month Returns Mean-Reversion Statistical Arbitrage Strategy in Stocks Fama French Five Factors Time Series Momentum Effect VIX Predicts Stock Index Returns Price Earnings Anomaly Beta Factor in Country Equity Indexes Value Effect within Countries Momentum Effect in Stocks in Small Portfolios 12 Month Cycle in Cross-Section of Stocks Returns Beta Factors in Stocks Exploiting Term Structure of VIX Futures Pre-holiday Effect Short Term Reversal with Futures Combining Momentum Effect with Volume Lunar Cycle in Equity Market ROA Effect within Stocks January Barometer Pairs Trading-Copula vs Cointegration Momentum and Reversal Combined with Volatility Effect in Stocks Earnings Quality Factor January Effect in Stocks Momentum Effect in REITs Trading with WTI BRENT Spread Option Expiration Week Effect Momentum and State of Market Filters Pairs Trading with Country ETFs Momentum and Style Rotation Effect Asset Growth Effect Accrual Anomaly Sentiment and Style Rotation Effect in Stocks Turn of the Month in Equity Indexes Momentum - Short Term Reversal Strategy Paired Switching Momentum Effect Combined with Term Structure in Commodities Gold Market Timing Book-to-Market Value Anomaly Overnight Anomaly Term Structure Effect in Commodities Small Capitalization Stocks Premium Anomaly Momentum Effect in Commodities Futures Volatility Risk Premium Effect Liquidity Effect in Stocks Mean Reversion Effect in Country Equity Indexes Momentum Effect in Country Equity Indexes Momentum Effect in Stocks Forex Carry Trade Pairs Trading with Stocks Asset Class Momentum Volatility Effect in Stocks Sector Momentum Short Term Reversal Asset Class Trend Following Forex Momentum CAPM Alpha Ranking Strategy on Dow 30 Companies Stock Selection Strategy Based on Fundamental Factors Combining Mean Reversion and Momentum in Forex Market Dual Thrust Trading Algorithm Can Crude Oil Predict Equity Returns The Momentum Strategy Based on the Low Frequency Component of Forex Market Fundamental Factor Long Short Strategy The Dynamic Breakout II Strategy Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach Short-Term Reversal Strategy in Stocks References

Gaussian Naive Bayes Model

Forecasts the next day's return of technology stocks by fitting a gaussian naive bayes model to the historical returns of the technology sector constituents.

Using News Sentiment to Predict Price Direction of Drug Manufacturers

Analyzes the news releases of drug manufacturers and places intraday trades for the stocks with positive news.

SVM Wavelet Forecasting

Forecasting EURJPY prices with an SVM Wavelet model

Gradient Boosting Model

Forecasts future intraday returns with a gradient boosting model trained on technical indicators

G-Score Investing

Applying G-Score Investing to Invest in a Portfolio of Technology Stocks

Optimal Pairs Trading

Mathematically Deriving the Optimal Entry and Liquidation Values of a Pairs Trading Process

Intraday Arbitrage Between Index ETFs

A strategy that tracks the price paths of two correlated ETFs and takes advantage of mis-pricings that arise when the price paths diverge

Ichimoku Clouds in the Energy Sector

A techincal indicator crossover strategy trading the largest energy companies.

Leveraged ETFs with Systematic Risk Management

We apply Simple Moving Averages to manage the risk of holding leveraged ETFs in an attempt to beat the S&P500

Forecasting Stock Prices using a Temporal CNN Model

Applying a Temporal Convolutional Neural Network to forecasting future stock prices.

Intraday ETF Momentum

A momentum strategy based on returns of the market open

Momentum in Mutual Fund Returns

Forms a long-short portfolio of asset management firms based on trailing rate of change and nearness to trailing high.

Residual Momentum

Constructs a long/short portfolio based on trailing residual momentum normalized by its standard deviation

Commodities Futures Trend Following

A simple trend following strategy on commodities futures.

Price and Earnings Momentum

A momentum strategy based on quarterly returns and earnings growth

Improved Momentum Strategy on Commodities Futures

An advanced momentum strategy that modifies the basic momentum strategies by introducing Baltas and Kosowski weights and rebalances the portfolio monthly. The new weighing scheme incorporates trend strength into the trading signal, uses an efficient volatility estimator, and adds a dynamic leverage mechanism.

Expected Idiosyncratic Skewness

Stock selection strategy that calculates expected idiosyncratic skewness using Fama-French three-factor model, sorts stocks based on the calculated skewness, and longs the bottom 5%.

Standardized Unexpected Earnings

Stock selection strategy that calculates the unexpected earnings, standardizes the unexpected earnings, goes long on the top 5%, and rebalances the portfolio monthly.

Risk Premia in Forex Markets

A strategy based on asymmetric tail risks and excess returns in forex markets.

Seasonality Effect based on Same-Calendar Month Returns

A strategy that takes long and short positions based on historical same-calendar month returns

Mean-Reversion Statistical Arbitrage Strategy in Stocks

Apply statistical arbitrage to take advantage of pricing inefficiencies in stocks.

Fama French Five Factors

Stock selecting strategy based on Fama-French Five Factors Model.

Time Series Momentum Effect

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

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.

Price Earnings Anomaly

Invests in stocks with low P/E ratio.

Beta Factor in Country Equity Indexes

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

Value Effect within Countries

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

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.

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%.

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.

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.

Pre-holiday Effect

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

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.

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.

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.

ROA Effect within Stocks

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

January Barometer

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

Pairs Trading-Copula vs Cointegration

Applies Copula and Cointergration method to pairs trading.

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.

Earnings Quality Factor

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

January Effect in Stocks

The investment universe consists of 24 commodity futures, 12 cross-currency pairs (with nine underlying currencies), nine developed equity indices, and 13 developed government bond futures.

Momentum Effect in REITs

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

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.

Option Expiration Week Effect

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

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.

Pairs Trading with Country ETFs

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

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.

Asset Growth Effect

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

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.

Sentiment and Style Rotation Effect in Stocks

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

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.

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.

Paired Switching

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

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.

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).

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.

Overnight Anomaly

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

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.

Small Capitalization Stocks Premium Anomaly

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

Momentum Effect in Commodities Futures

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

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.

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.

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.

Momentum Effect in Country Equity Indexes

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

Momentum Effect in Stocks

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

Forex Carry Trade

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

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.

Asset Class Momentum

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

Volatility Effect in Stocks

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

Sector Momentum

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

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.

Asset Class Trend Following

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

Forex Momentum

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

CAPM Alpha Ranking Strategy on Dow 30 Companies

Applies CAPM model to rank Dow Jones 30 companies.

Stock Selection Strategy Based on Fundamental Factors

MorningStar Fundamental factors universe selection algorithm.

Combining Mean Reversion and Momentum in Forex Market

Combines momentum and mean reversion techniques in the forex markets.

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.

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

Applies high frequency filter to the momentum strategy.

Fundamental Factor Long Short Strategy

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

The Dynamic Breakout II Strategy

A demonstration of dynamic breakout II strategy.

Intraday Dynamic Pairs Trading using Correlation and Cointegration Approach

A high frequency pairs trading algorithm based on cointegration.

Short-Term Reversal Strategy in Stocks

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

As an enthusiast deeply immersed in the field of quantitative finance and algorithmic trading, I've dedicated a significant amount of time to understand and explore various trading strategies and models. My experience spans across a multitude of approaches, from traditional statistical methods to advanced machine learning techniques. I have a strong foundation in financial markets, quantitative analysis, and programming, allowing me to comprehensively engage with the concepts presented in the article.

Let's delve into the details of the trading strategies mentioned:

  1. Gaussian Naive Bayes Model for Technology Stocks:

    • Utilizes Gaussian Naive Bayes model on historical returns of technology sector constituents.
  2. News Sentiment for Drug Manufacturers:

    • Analyzes news releases of drug manufacturers to predict stock price direction and places intraday trades on positive news.
  3. SVM Wavelet Forecasting for EURJPY:

    • Applies SVM Wavelet model to forecast EURJPY prices.
  4. Gradient Boosting Model for Intraday Returns:

    • Forecasts future intraday returns using a gradient boosting model trained on technical indicators.
  5. G-Score Investing in Technology Stocks:

    • Applies G-Score Investing to construct a portfolio of technology stocks.
  6. Optimal Pairs Trading:

    • Mathematically derives optimal entry and liquidation values for a pairs trading process.
  7. Intraday Arbitrage Between Index ETFs:

    • Tracks price paths of correlated ETFs, exploiting mis-pricings arising from diverging price paths.
  8. Ichimoku Clouds in the Energy Sector:

    • Implements a technical indicator crossover strategy in trading the largest energy companies.
  9. Leveraged ETFs with Systematic Risk Management:

    • Applies Simple Moving Averages for systematic risk management in holding leveraged ETFs.
  10. Temporal CNN Model for Stock Price Forecasting:

    • Utilizes a Temporal Convolutional Neural Network for forecasting future stock prices.
  11. Intraday ETF Momentum:

    • Implements a momentum strategy based on market open returns.
  12. Momentum in Mutual Fund Returns:

    • Forms a long-short portfolio of asset management firms based on trailing rate of change and nearness to trailing high.
  13. Residual Momentum:

    • Constructs a long/short portfolio based on trailing residual momentum normalized by its standard deviation.
  14. Commodities Futures Trend Following:

    • Implements a simple trend following strategy on commodities futures.
  15. Price and Earnings Momentum:

    • Utilizes a momentum strategy based on quarterly returns and earnings growth.
  16. Improved Momentum Strategy on Commodities Futures:

    • Enhances basic momentum strategies with modified weights, efficient volatility estimation, and dynamic leverage mechanisms.
  17. Expected Idiosyncratic Skewness:

    • Selects stocks based on expected idiosyncratic skewness using the Fama-French three-factor model.
  18. Standardized Unexpected Earnings:

    • Constructs a stock selection strategy based on standardized unexpected earnings.
  19. Risk Premia in Forex Markets:

    • Implements a strategy based on asymmetric tail risks and excess returns in forex markets.
  20. Seasonality Effect based on Same-Calendar Month Returns:

    • Takes long and short positions based on historical same-calendar month returns.
  21. Mean-Reversion Statistical Arbitrage Strategy in Stocks:

    • Applies statistical arbitrage to exploit pricing inefficiencies in stocks.

This extensive list showcases the diverse range of quantitative strategies employed in financial markets, reflecting the dynamic and evolving nature of algorithmic trading.

Investment Strategy Library | Learning Center Articles on QuantConnect (2024)

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