Strategy Database

Outperform by switching between equities and cash (or bonds) when relative and absolute momentum favor the switch.

Risk: Max drawdown ~20% in backtests; regime shift risk.

Capture sustained moves across commodities, rates, FX, and equity indices using normalized price breakout signals.

Risk: Drawdowns 15–30% in backtests; diversification across markets essential.

Target a stable portfolio volatility by scaling exposure to a diversified multi-asset basket inversely to realized vol.

Risk: Leverage increases in low-vol regimes; drawdown when vol spikes.

Earn the interest rate differential by going long high-yield and short low-yield currencies, with vol scaling.

Risk: Carry unwinds in risk-off; correlation with equity stress.

Small caps overshoot on short-term moves; fade extreme z-scores over 5–10 days for mean reversion edge.

Risk: Blow-up risk in strong trends; use strict stop and size limits.

Rotate into sectors with strongest relative momentum (e.g. 3–6m) and out of weakest; rebalance monthly.

Risk: Concentration risk in few sectors; underperforms in rapid rotation.

Rank assets across equities, bonds, commodities, FX by 12m momentum; long top quartile, short bottom quartile.

Risk: Correlation in drawdowns; need liquid instruments and execution.

Trade the spread between cointegrated pairs when it deviates from the equilibrium; exit at mean reversion or stop.

Risk: Cointegration breaks; one leg can gap; liquidity in both legs critical.

Capture roll yield in backwardated commodity futures by holding front-month (or optimized roll) with vol scaling.

Risk: Contango erodes returns; single-commodity risk; roll timing matters.

Apply simple momentum (e.g. 20d/55d MA cross or 12m trend) to BTC and ETH with strict vol cap and size limits.

Risk: Extreme vol and drawdowns; exchange and custody risk; regulatory uncertainty.

Follow trend in rates (e.g. 10Y yield or bond futures) with vol-scaled position; capture sustained rate moves.

Risk: Central bank regime shifts cause whipsaws; rate volatility spikes.

Sell volatility (e.g. covered calls or put spreads) when implied vol is rich vs realized; manage tail with defined risk.

Risk: Short vol carries tail risk; black-swan events can wipe out premium.