Chapter 4: ETFs

4.1 PLUGIN

Sector Momentum Rotation

Strategy 4.1: Rank sector ETFs by 3-month momentum, long top / short bottom

etf momentum

4.1.1 PLUGIN

Sector Momentum Rotation MA Filter

Strategy 4.1.1: Momentum rotation filtered by SMA(200) trend

etf momentum

4.1.2 PLUGIN

Dual-Momentum Sector Rotation

Strategy 4.1.2: Dual (absolute + relative) momentum rotation

etf momentum

4.2 PLUGIN

Alpha Rotation

Strategy 4.2: Rank ETFs by alpha (excess return over benchmark), go long high alpha

etf alpha

4.3 PLUGIN

R-Squared

Strategy 4.3: Trade low R-squared ETFs for idiosyncratic alpha

etf anomaly

4.4 PLUGIN

ETF Mean-Reversion

Strategy 4.4: Mean-reversion on ETF z-score deviation from SMA

etf mean reversion

4.5 PLUGIN

Leveraged ETFs

Strategy 4.5: Short both bull & bear leveraged ETFs to capture volatility decay

etf arbitrage

4.6 PLUGIN

Multi-Asset Trend Following

Strategy 4.6: SMA crossover trend following across asset class ETFs

etf trend