Important Quantpedia Update Sunday, 19 February, 2012
We would like to inform you that we have greatly expanded our free section and QUANTPEDIA.com currently contains free reviews of more than 40 most common investment/trading strategies. We believe you will find this new development very useful.
Our Quantpedia Premium section currently contains more than 120 strategies together with more than 250 links to related academic research papers. Premium section allows you to access reviews of high-performance uncommon/niche investment strategies and new systems/strategies are regularly added on a weekly basis.
Each strategy in QUANTPEDIA.com contains as usual:
- extracted explicit trading rules in plain language
- identified performance and risk characteristics
- distinct leading attributes for each strategy
- quoted source and related research papers
The QUANTPEDIA Team
Sample strategy #6 - Pairs Trading with Country ETFs Sunday, 2 October, 2011
Pairs trading (sometimes known as statistical arbitrage) is a very popular trading strategy between traders. It has also become a favorite strategy for investigation by financial academics. The most well-known variant is stock's pairs trading where a trader buys and simultaneously sells two correlated stocks when they diverge from their normal synchronized moves. The equity universe is broad and therefore it is time-consuming to look for pairs which are correlated or cointegrated (aka. they move together). But isn't there some simple version of this strategy?
Sample strategy #5 - Momentum and Style Rotation Effect Saturday, 1 October, 2011
Academics have shown that momentum strategies are able to generate extraordinary excess returns in virtually every asset class (stocks, FX, commodities) or their respective parts (equity sectors, industries, countries). This includes momentum into the standard strategy set of nearly each portfolio manager. But is momentum applicable also to market anomalies or factor portfolios?
Sample strategy #4 - Soccer Clubs' Stocks Arbitrage Wednesday, 7 September, 2011
Let's view one totally unconventional trading strategy.
Sport betting is the favorite entertainment of many people.. However bookmakers are reportedly more skilled at predicting game outcomes than bettors and betting markets are therefore extraordinarily efficient. Betting shops' wide spreads are an additional obstacle. This means that it is exceptionally hard to beat the house in this game. Luckily, betting shops are not the only place where we can place bets on match results as several soccer teams are publicly traded on equity markets. Shares of those clubs are sensitive to teams' game results, so are there any inefficiencies?
Sample strategy #3 - Trading WTI/BRENT Spread Sunday, 4 September, 2011
The WTI-Brent spread is the difference between the prices of two types of crude oil, West Texas Intermediate (WTI) on the long side and Brent Crude (Brent) on the short side. The two oils differ only in the ability of WTI to produce slightly more gasoline in the cracking ratio which causes WTI’s slight pricing margin over Brent. As both oils are very similar their spread shows signs of strong predictability and usually oscillates around some average value. Could we use a trading strategy and exploit this spread's reversion?