Strategy Library
16 quantitative strategies — momentum, mean-reversion, carry, breakout, ML, regime switching, event-driven, and portfolio overlays.
Pair Trading
Identify temporary price divergences between statistically related assets
Based on Gatev, Goetzmann & Rouwenhorst (2006), 'Pairs Trading: Performance of a Relative-Value Arbitrage Rule', Review of Financial Studies
TSMOM
Time-series momentum: measure trend persistence across multiple assets
Based on Moskowitz, Ooi & Pedersen (2012), 'Time Series Momentum', Journal of Financial Economics
Cross-Asset Pairs
Trade asset pairs connected by real economic relationships
Based on Gatev, Goetzmann & Rouwenhorst (2006), 'Pairs Trading: Performance of a Relative-Value Arbitrage Rule', Review of Financial Studies
Cointegration Basket
Find stationary combinations across multiple assets simultaneously
Based on Johansen (1988), 'Statistical Analysis of Cointegration Vectors', Journal of Economic Dynamics and Control
XGBoost ML
Machine learning predicts price direction using dozens of market features
Walk-forward methodology based on Lopez de Prado (2018), 'Advances in Financial Machine Learning'
HMM Regime
Automatically detect market regimes and adjust strategy allocation
Based on Hamilton (1989), 'A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle', Econometrica
FX Carry
Long high-yielding currencies, short low-yielding ones — earn the interest rate differential
Based on Lustig, Roussanov & Verdelhan (2011), 'Common Risk Factors in Currency Markets', Review of Financial Studies
Cross-Sectional Momentum
Rank G10 currencies by 6-month return and long the winners, short the losers
Based on Asness, Moskowitz & Pedersen (2013), 'Value and Momentum Everywhere', Journal of Finance
Donchian Breakout
Enter when price breaks the N-day high/low — the classic Turtle Trader rule
Based on Faith (2003), 'Way of the Turtle' — the original 20/10-day breakout system taught by Richard Dennis
Kalman Pair
Pair trading with a Kalman filter that learns the hedge ratio as the market shifts
Based on Chan (2009) 'Algorithmic Trading: Winning Strategies and Their Rationale', Chapter 3 on Kalman-filter hedge ratio estimation
Risk Parity
Re-size positions so every asset contributes equal risk — the Bridgewater All Weather playbook
Based on Qian (2005) 'Risk Parity Portfolios' — and the Bridgewater All Weather implementation framework
VIX Regime Filter
Cut gross exposure when the VIX spikes — carry and momentum hate risk-off regimes
Based on Moreira & Muir (2017), 'Volatility-Managed Portfolios', Journal of Finance
Markov Switching
Each market regime has its own α and σ — trade accordingly, automatically
Based on Hamilton (1989), 'A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle', Econometrica — extended with per-regime regression coefficients
FOMC Drift
Long SPX in the 24 hours before FOMC — the Lucca-Moench anomaly
Based on Lucca & Moench (2015), 'The Pre-FOMC Announcement Drift', Journal of Finance
NFP Drift
Pre-announcement drift on scheduled BLS release days (NFP + CPI)
Based on Savor & Wilson (2014), 'Asset Pricing: A Tale of Two Days', Journal of Financial Economics
CPI Drift
Pre-announcement drift on scheduled BLS release days (NFP + CPI)
Based on Savor & Wilson (2014), 'Asset Pricing: A Tale of Two Days', Journal of Financial Economics