Chapter 3: Stocks
21 of 173 strategiesPrice-Momentum
Strategy 3.1: Rank by 12-month returns, long top decile, short bottom decile
Mean-Reversion Weighted Regression
Strategy 3.10: Weighted regression residuals for mean reversion
Single Moving Average
Strategy 3.11: Single Moving Average. Buy when price crosses above SMA, sell when below. The simplest trend-following signal.
Two Moving Averages
Strategy 3.12: Two Moving Averages crossover. Buy when fast MA crosses above slow MA, sell on cross below. Classic...
Three Moving Averages
Strategy 3.13: Triple MA alignment - buy short>medium>long, sell reverse
Support and Resistance
Strategy 3.14: Trade at support/resistance levels with breakout detection
Channel
Strategy 3.15: Donchian channel breakout - buy on high breakout, sell on low
Event-Driven M&A
Strategy 3.16: M&A arbitrage - long target at discount to offer price
Machine Learning KNN
Strategy 3.17: KNN-based directional prediction
Statistical Arbitrage
Strategy 3.18: Statistical Arbitrage with PCA residuals
Market-Making
Strategy 3.19: Market making with inventory-aware bid/ask quoting
Earnings-Momentum
Strategy 3.2: Trade on Standardized Unexpected Earnings (SUE)
Alpha Combos
Strategy 3.20: Weighted combination of multiple alpha signals
Value
Strategy 3.3: Long cheap value stocks, short expensive growth stocks
Low-Volatility Anomaly
Strategy 3.4: Long low-vol stocks, short high-vol stocks
Implied Volatility
Strategy 3.5: Trade IV vs HV divergence
Multifactor Portfolio
Strategy 3.6: Combine momentum, value, size, quality via weighted z-scores
Residual Momentum
Strategy 3.7: Momentum on factor-residual returns
Pairs Trading
Strategy 3.8: Pairs Trading with z-score mean reversion
Mean-Reversion Single Cluster
Strategy 3.9: Log-return mean reversion across single cluster
Mean-Reversion Multiple Clusters
Strategy 3.9.1: Mean reversion within industry clusters