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Categories

65 categories. A strategy can belong to more than one.

Factor factor

68 strategies
marginalAmihud Illiquidity Premium (US S&P 500)+0.12marginalBetting Against Beta (JP All Stocks)+0.13marginalDownside Beta (JP All Stocks)+0.39marginalGarman-Klass Volatility Factor (JP All Stocks)+0.10marginalGarman-Klass Volatility Factor (JP Growth Stocks)+0.19marginalIdiosyncratic Volatility (JP Growth Stocks)+0.06marginalInformation Discreteness (US S&P 500)+0.23marginalLiquidity Premium / Amihud Illiquidity (US S&P 500)+0.31

Anomaly anomaly

36 strategies
marginalBetting Against Beta (JP All Stocks)+0.13marginalCalendar Effects (US S&P 500)+0.23marginalDownside Beta (JP All Stocks)+0.39marginalGarman-Klass Volatility Factor (JP All Stocks)+0.10marginalGarman-Klass Volatility Factor (JP Growth Stocks)+0.19marginalIdiosyncratic Volatility (JP Growth Stocks)+0.06marginalLiquidity Premium / Amihud Illiquidity (US S&P 500)+0.31marginalLow Volatility Anomaly (JP Growth Stocks)+0.15

Momentum momentum

27 strategies
marginalEarnings Yield x Momentum (JP All Stocks)+0.08marginalCross-Sectional Momentum (US S&P 500)+0.76marginalMomentum × Volume Interaction (US S&P 500)+0.05marginalPost-Earnings Announcement Drift (JP All Stocks)+0.96marginalReturn Autocorrelation Factor (JP All Stocks)+0.05marginalSector Rotation / Sector Momentum (JP All Stocks)+0.08marginalTrend Following / Donchian Breakout (US S&P 500)+0.22marginalVolatility Breakout (JP All Stocks)+0.16

Cross Sectional cross-sectional

15 strategies
marginalCross-Sectional Momentum (US S&P 500)+0.76marginalMulti-Factor Composite (JP Growth Stocks)+0.23marginalSector Rotation / Sector Momentum (JP All Stocks)+0.08marginalShort-Term Reversal (JP Growth Stocks)+0.30rejectedMean Reversion (JP All Stocks)-0.36rejectedMean Reversion (JP Growth Stocks)+0.03rejectedMean Reversion (US S&P 500)-0.38rejectedLightGBM Factor Model (JP All Stocks)-1.19

Volatility volatility

12 strategies
marginalGarman-Klass Volatility Factor (JP All Stocks)+0.10marginalGarman-Klass Volatility Factor (JP Growth Stocks)+0.19marginalVolatility Breakout (JP All Stocks)+0.16marginalVolatility Breakout (US S&P 500)+0.50marginalVolatility Ratio Reversal (JP Growth Stocks)+0.26rejectedGarman-Klass Volatility Factor (US S&P 500)-0.83rejectedVol-of-Vol Stability (JP All Stocks)-0.11rejectedVol-of-Vol Stability (JP Growth Stocks)+0.04

Reversal reversal

11 strategies
marginalShort-Term Reversal (JP Growth Stocks)+0.30marginalVolatility Ratio Reversal (JP Growth Stocks)+0.26rejectedEarnings Reversal (JP All Stocks)-3.15rejectedEarnings Reversal (JP Growth Stocks)-0.18rejectedShort-Term Reversal (JP All Stocks)-0.66rejectedShort-Term Reversal (US S&P 500)+0.01rejectedSkewness Reversal (JP All Stocks)-0.65rejectedSkewness Reversal (JP Growth Stocks)-0.36

Fundamental fundamental

10 strategies
marginalEarnings Yield x Momentum (JP All Stocks)+0.08marginalForecast Revision (JP Growth Stocks)+0.24rejectedEarnings Yield (JP All Stocks)+0.33rejectedEarnings Yield (JP Growth Stocks)-0.03rejectedEarnings Yield x Momentum (JP Growth Stocks)-0.15rejectedForecast Revision (JP All Stocks)-0.49rejectedPEG Ratio Value (JP All Stocks)+2.23rejectedPEG Ratio Value (JP Growth Stocks)-0.57

Liquidity liquidity

9 strategies
marginalAmihud Illiquidity Premium (US S&P 500)+0.12marginalLiquidity Premium / Amihud Illiquidity (US S&P 500)+0.31marginalTurnover Factor (JP All Stocks)+0.12rejectedAmihud Illiquidity Premium (JP All Stocks)-0.21rejectedAmihud Illiquidity Premium (JP Growth Stocks)-0.96rejectedLiquidity Premium / Amihud Illiquidity (JP All Stocks)-0.08rejectedLiquidity Premium / Amihud Illiquidity (JP Growth Stocks)-0.56rejectedTurnover Factor (JP Growth Stocks)-0.07

Volume volume

9 strategies
marginalMomentum × Volume Interaction (US S&P 500)+0.05marginalVolume Anomaly (US S&P 500)+0.08rejectedMomentum × Volume Interaction (JP All Stocks)-0.09rejectedMomentum × Volume Interaction (JP Growth Stocks)-0.16rejectedVolume Anomaly (JP All Stocks)-0.24rejectedVolume Anomaly (JP Growth Stocks)-0.03rejectedVPT Divergence (JP All Stocks)-0.06rejectedVPT Divergence (JP Growth Stocks)-0.94

Beta beta

6 strategies
marginalBetting Against Beta (JP All Stocks)+0.13marginalDownside Beta (JP All Stocks)+0.39rejectedBetting Against Beta (JP Growth Stocks)-0.65rejectedBetting Against Beta (US S&P 500)-1.20rejectedDownside Beta (JP Growth Stocks)-0.27rejectedDownside Beta (US S&P 500)-1.25

Breakout breakout

6 strategies
marginalTrend Following / Donchian Breakout (US S&P 500)+0.22marginalVolatility Breakout (JP All Stocks)+0.16marginalVolatility Breakout (US S&P 500)+0.50rejectedTrend Following / Donchian Breakout (JP All Stocks)+0.13rejectedTrend Following / Donchian Breakout (JP Growth Stocks)-0.18rejectedVolatility Breakout (JP Growth Stocks)-0.61

Intraday intraday

6 strategies
marginalOvernight vs Intraday Return (US S&P 500)+0.17rejectedGap Reversal (JP All Stocks)-0.75rejectedGap Reversal (JP Growth Stocks)-0.23rejectedGap Reversal (US S&P 500)-0.58rejectedOvernight vs Intraday Return (JP All Stocks)-0.11rejectedOvernight vs Intraday Return (JP Growth Stocks)-0.35

Lottery lottery

6 strategies
marginalMax Return / Lottery Effect (JP Growth Stocks)+0.26rejectedMax Return / Lottery Effect (JP All Stocks)-0.39rejectedMax Return / Lottery Effect (US S&P 500)-0.91rejectedSkewness Anomaly (JP All Stocks)-0.56rejectedSkewness Anomaly (JP Growth Stocks)-0.42rejectedSkewness Anomaly (US S&P 500)-0.69

Mean Reversion mean-reversion

6 strategies
rejectedGap Reversal (JP All Stocks)-0.75rejectedGap Reversal (JP Growth Stocks)-0.23rejectedGap Reversal (US S&P 500)-0.58rejectedMean Reversion (JP All Stocks)-0.36rejectedMean Reversion (JP Growth Stocks)+0.03rejectedMean Reversion (US S&P 500)-0.38

Skewness skewness

6 strategies
rejectedSkewness Anomaly (JP All Stocks)-0.56rejectedSkewness Anomaly (JP Growth Stocks)-0.42rejectedSkewness Anomaly (US S&P 500)-0.69rejectedSkewness Reversal (JP All Stocks)-0.65rejectedSkewness Reversal (JP Growth Stocks)-0.36rejectedSkewness Reversal (US S&P 500)-1.09

Technical technical

6 strategies
marginalVolatility Ratio Reversal (JP Growth Stocks)+0.26rejectedVolatility Ratio Reversal (JP All Stocks)-0.20rejectedVolatility Ratio Reversal (US S&P 500)-0.44rejectedVPT Divergence (JP All Stocks)-0.06rejectedVPT Divergence (JP Growth Stocks)-0.94rejectedVPT Divergence (US S&P 500)-0.07

Value value

6 strategies
marginalEarnings Yield x Momentum (JP All Stocks)+0.08rejectedEarnings Yield (JP All Stocks)+0.33rejectedEarnings Yield (JP Growth Stocks)-0.03rejectedEarnings Yield x Momentum (JP Growth Stocks)-0.15rejectedPEG Ratio Value (JP All Stocks)+2.23rejectedPEG Ratio Value (JP Growth Stocks)-0.57

Earnings earnings

4 strategies
marginalPost-Earnings Announcement Drift (JP All Stocks)+0.96rejectedEarnings Reversal (JP All Stocks)-3.15rejectedEarnings Reversal (JP Growth Stocks)-0.18rejectedPost-Earnings Announcement Drift (JP Growth Stocks)-0.28

Event Driven event-driven

4 strategies
marginalPost-Earnings Announcement Drift (JP All Stocks)+0.96rejectedEarnings Reversal (JP All Stocks)-3.15rejectedEarnings Reversal (JP Growth Stocks)-0.18rejectedPost-Earnings Announcement Drift (JP Growth Stocks)-0.28

Growth growth

4 strategies
rejectedPEG Ratio Value (JP All Stocks)+2.23rejectedPEG Ratio Value (JP Growth Stocks)-0.57rejectedSales Growth Rank (JP All Stocks)-1.73rejectedSales Growth Rank (JP Growth Stocks)-0.17

Anchoring anchoring

3 strategies
rejected52-Week High Momentum (JP All Stocks)-0.57rejected52-Week High Momentum (JP Growth Stocks)-0.56rejected52-Week High Momentum (US S&P 500)-0.44

Autocorrelation autocorrelation

3 strategies
marginalReturn Autocorrelation Factor (JP All Stocks)+0.05rejectedReturn Autocorrelation Factor (JP Growth Stocks)-0.40rejectedReturn Autocorrelation Factor (US S&P 500)-0.57

Calendar calendar

3 strategies
marginalCalendar Effects (US S&P 500)+0.23rejectedCalendar Effects (JP All Stocks)-0.71rejectedCalendar Effects (JP Growth Stocks)-0.53

Composite composite

3 strategies
marginalMulti-Factor Composite (JP Growth Stocks)+0.23rejectedMulti-Factor Composite (JP All Stocks)-0.25rejectedMulti-Factor Composite (US S&P 500)-0.85

Dispersion dispersion

3 strategies
marginalCross-Sectional Dispersion Trading (US S&P 500)+0.14rejectedCross-Sectional Dispersion Trading (JP All Stocks)-0.16rejectedCross-Sectional Dispersion Trading (JP Growth Stocks)-0.16

Divergence divergence

3 strategies
rejectedVPT Divergence (JP All Stocks)-0.06rejectedVPT Divergence (JP Growth Stocks)-0.94rejectedVPT Divergence (US S&P 500)-0.07

Downside Risk downside-risk

3 strategies
marginalDownside Beta (JP All Stocks)+0.39rejectedDownside Beta (JP Growth Stocks)-0.27rejectedDownside Beta (US S&P 500)-1.25

Gap gap

3 strategies
rejectedGap Reversal (JP All Stocks)-0.75rejectedGap Reversal (JP Growth Stocks)-0.23rejectedGap Reversal (US S&P 500)-0.58

Idiosyncratic Volatility idiosyncratic-volatility

3 strategies
marginalIdiosyncratic Volatility (JP Growth Stocks)+0.06rejectedIdiosyncratic Volatility (JP All Stocks)-0.04rejectedIdiosyncratic Volatility (US S&P 500)-0.99

Illiquidity illiquidity

3 strategies
marginalLiquidity Premium / Amihud Illiquidity (US S&P 500)+0.31rejectedLiquidity Premium / Amihud Illiquidity (JP All Stocks)-0.08rejectedLiquidity Premium / Amihud Illiquidity (JP Growth Stocks)-0.56

Information information

3 strategies
marginalInformation Discreteness (US S&P 500)+0.23rejectedInformation Discreteness (JP All Stocks)+0.02rejectedInformation Discreteness (JP Growth Stocks)+0.02

Interaction interaction

3 strategies
marginalMomentum × Volume Interaction (US S&P 500)+0.05rejectedMomentum × Volume Interaction (JP All Stocks)-0.09rejectedMomentum × Volume Interaction (JP Growth Stocks)-0.16

Leverage leverage

3 strategies
marginalBetting Against Beta (JP All Stocks)+0.13rejectedBetting Against Beta (JP Growth Stocks)-0.65rejectedBetting Against Beta (US S&P 500)-1.20

Low Risk low-risk

3 strategies
rejectedVol-of-Vol Stability (JP All Stocks)-0.11rejectedVol-of-Vol Stability (JP Growth Stocks)+0.04rejectedVol-of-Vol Stability (US S&P 500)-0.26

Low Volatility low-volatility

3 strategies
marginalLow Volatility Anomaly (JP Growth Stocks)+0.15rejectedLow Volatility Anomaly (JP All Stocks)-0.17rejectedLow Volatility Anomaly (US S&P 500)-1.00

Max Return max-return

3 strategies
marginalMax Return / Lottery Effect (JP Growth Stocks)+0.26rejectedMax Return / Lottery Effect (JP All Stocks)-0.39rejectedMax Return / Lottery Effect (US S&P 500)-0.91

Momentum Quality momentum-quality

3 strategies
marginalInformation Discreteness (US S&P 500)+0.23rejectedInformation Discreteness (JP All Stocks)+0.02rejectedInformation Discreteness (JP Growth Stocks)+0.02

Multi Factor multi-factor

3 strategies
marginalMulti-Factor Composite (JP Growth Stocks)+0.23rejectedMulti-Factor Composite (JP All Stocks)-0.25rejectedMulti-Factor Composite (US S&P 500)-0.85

Overlay overlay

3 strategies
marginalRisk Parity / Volatility Targeting Overlay (US S&P 500)+0.44rejectedRisk Parity / Volatility Targeting Overlay (JP All Stocks)-0.20rejectedRisk Parity / Volatility Targeting Overlay (JP Growth Stocks)-0.45

Overnight overnight

3 strategies
marginalOvernight vs Intraday Return (US S&P 500)+0.17rejectedOvernight vs Intraday Return (JP All Stocks)-0.11rejectedOvernight vs Intraday Return (JP Growth Stocks)-0.35

Regime regime

3 strategies
marginalCross-Sectional Dispersion Trading (US S&P 500)+0.14rejectedCross-Sectional Dispersion Trading (JP All Stocks)-0.16rejectedCross-Sectional Dispersion Trading (JP Growth Stocks)-0.16

Return Decomposition return-decomposition

3 strategies
marginalOvernight vs Intraday Return (US S&P 500)+0.17rejectedOvernight vs Intraday Return (JP All Stocks)-0.11rejectedOvernight vs Intraday Return (JP Growth Stocks)-0.35

Risk Parity risk-parity

3 strategies
marginalRisk Parity / Volatility Targeting Overlay (US S&P 500)+0.44rejectedRisk Parity / Volatility Targeting Overlay (JP All Stocks)-0.20rejectedRisk Parity / Volatility Targeting Overlay (JP Growth Stocks)-0.45

Seasonal seasonal

3 strategies
marginalCalendar Effects (US S&P 500)+0.23rejectedCalendar Effects (JP All Stocks)-0.71rejectedCalendar Effects (JP Growth Stocks)-0.53

Time Series time-series

3 strategies
rejectedTime-Series Momentum (JP All Stocks)-0.19rejectedTime-Series Momentum (JP Growth Stocks)-0.51rejectedTime-Series Momentum (US S&P 500)-0.23

Timing timing

3 strategies
marginalCross-Sectional Dispersion Trading (US S&P 500)+0.14rejectedCross-Sectional Dispersion Trading (JP All Stocks)-0.16rejectedCross-Sectional Dispersion Trading (JP Growth Stocks)-0.16

Trend Following trend-following

3 strategies
marginalTrend Following / Donchian Breakout (US S&P 500)+0.22rejectedTrend Following / Donchian Breakout (JP All Stocks)+0.13rejectedTrend Following / Donchian Breakout (JP Growth Stocks)-0.18

Turnover turnover

3 strategies
marginalTurnover Factor (JP All Stocks)+0.12rejectedTurnover Factor (JP Growth Stocks)-0.07rejectedTurnover Factor (US S&P 500)-0.21

Volatility Targeting volatility-targeting

3 strategies
marginalRisk Parity / Volatility Targeting Overlay (US S&P 500)+0.44rejectedRisk Parity / Volatility Targeting Overlay (JP All Stocks)-0.20rejectedRisk Parity / Volatility Targeting Overlay (JP Growth Stocks)-0.45

Drift drift

2 strategies
marginalForecast Revision (JP Growth Stocks)+0.24rejectedForecast Revision (JP All Stocks)-0.49

Revision revision

2 strategies
marginalForecast Revision (JP Growth Stocks)+0.24rejectedForecast Revision (JP All Stocks)-0.49

Sector Rotation sector-rotation

2 strategies
marginalSector Rotation / Sector Momentum (JP All Stocks)+0.08rejectedSector Rotation / Sector Momentum (JP Growth Stocks)-0.38

Carry carry

1 strategy
marginalFX Carry Trade (JPY Crosses)+0.64

Fx fx

1 strategy
marginalFX Carry Trade (JPY Crosses)+0.64

Machine Learning machine-learning

1 strategy
rejectedLightGBM Factor Model (JP All Stocks)-1.19

Macro macro

1 strategy
marginalFX Carry Trade (JPY Crosses)+0.64

Lightgbm lightgbm

0 strategies

Meta Label meta-label

0 strategies

Ml ml

0 strategies

Multi Strategy multi-strategy

0 strategies

Pairs Trading pairs-trading

0 strategies

Portfolio Synthesis portfolio-synthesis

0 strategies

Quality quality

0 strategies

Regime Switching regime-switching

0 strategies

Statistical Arbitrage statistical-arbitrage

0 strategies