Strategy library
72 systematic trading strategies, backtested the same way
Every strategy is tested on daily data for stocks, gold, oil, FX and crypto with walk-forward optimization and identical metrics, so the results are directly comparable.
Browse by category
Trend FollowingStrategies that buy strength and sell weakness, holding positions while a move persists. (25)MomentumStrategies that rank assets or periods by recent performance and ride the winners. (16)Mean ReversionStrategies that fade stretched moves and bet on a return toward a recent average. (16)VolatilityStrategies that size or time positions using volatility regimes and breakouts. (10)Portfolio & AllocationAllocation methods that combine several assets, such as risk parity and minimum variance. (3)Regime DetectionStrategies that switch behaviour depending on the market regime they detect. (5)
All strategies
| Strategy | Main market | 5Y CAGR | 5Y Sharpe | 5Y Max DD |
|---|---|---|---|---|
| MOM-10 Accelerating MomentumMulti-period momentum with short-term emphasis. | SPY | 7.8% | 0.81 | -14.6% |
| TREND-11 Kaufman Adaptive Moving AverageMoving average that adapts to market efficiency. | SPY | 1.6% | 0.20 | -15.7% |
| ADX-01 ADX Trend FilterTrade only when ADX confirms trend strength. | SPY | 2.5% | 0.43 | -7.1% |
| TREND-16 Aroon IndicatorTrend strength using time since highs/lows. | SPY | 2.9% | 0.35 | -18.6% |
| MOM-04 Asset Class RotationRotate into top-performing asset classes based on momentum. | ROTATION | 12.9% | 0.68 | -28.5% |
| COMBO-01 Bollinger-Keltner SqueezeTrade volatility expansion after squeeze. | SPY | -0.0% | 0.03 | -15.7% |
| MR-02 Bollinger Band ReversionBuy at lower band, exit at middle band with bandwidth filter. | SPY | 3.1% | 0.39 | -9.0% |
| MR-05 CCI Mean ReversionBuy oversold CCI readings, exit at neutral. | SPY | 4.1% | 0.43 | -16.2% |
| TREND-17 Chandelier ExitATR-based trailing stop trend system. | SPY | 5.5% | 0.52 | -15.8% |
| STAT-11 Cointegration BasketTrade mean-reverting spread across multiple assets. | SPY | -0.2% | -0.06 | -6.4% |
| MR-16 Connors RSIComposite RSI using price, streak, and rank. | SPY | 7.9% | 1.03 | -7.6% |
| TREND-18 Coppock CurveLong-term trend timing with a smoothed momentum curve. | SPY | 6.8% | 0.63 | -18.2% |
| TAIL-01 Crisis AlphaDefensive exposure when volatility spikes. | SPY | -1.6% | -0.16 | -13.8% |
| MACRO-01 Cross-Asset MomentumUse one asset's momentum to trade another. | SPY | 11.3% | 1.04 | -20.4% |
| CS-01 Cross-Sectional MomentumBuy winners and rotate monthly. | CS-UNIV | 11.7% | 0.76 | -20.1% |
| TREND-15 Darvas BoxBreakout trades based on Darvas boxes. | SPY | 5.2% | 0.52 | -18.8% |
| MR-14 Detrended Price OscillatorMean reversion using a detrended price oscillator. | SPY | 0.7% | 0.14 | -7.5% |
| COMBO-03 Divergence Strategy | SPY | 0.0% | 0.00 | 0.0% |
| TREND-02 Donchian BreakoutRide multi-month highs and exit on fast lows. | GLD | 9.5% | 0.72 | -14.1% |
| RISK-01 Drawdown ControlReduce exposure when drawdown exceeds threshold. | SPY | 8.7% | 0.63 | -25.8% |
| MOM-02 Dual MomentumCombine relative and absolute momentum for asset selection. | DUAL-MOM | 10.9% | 0.47 | -40.5% |
| TREND-05 Dual Moving AverageFollow the 50/200 cross and stay aligned with regime. | SPY | 9.3% | 0.71 | -18.8% |
| STAT-10 Dynamic Hedge Ratio PairsPairs trading with adaptive hedge ratio. | SPY | -2.0% | -0.21 | -19.6% |
| TREND-19 Elder Triple ScreenMulti-filter trend system using MACD, pullbacks, and breakouts. | SPY | 0.0% | 0.00 | 0.0% |
| MOM-05 Faber TAAHold assets above 10-month moving average, cash otherwise. | FABER-TAA | 9.0% | 0.91 | -11.6% |
| MACRO-03 Flight to QualitySwitch to safe havens during equity stress. | SPY | 8.8% | 0.56 | -21.0% |
| CARRY-01 FX CarryLong high carry and rotate monthly. | FX-CARRY | 14.6% | 1.05 | -13.2% |
| HMA-01 HMA CrossoverFast/slow Hull MA crossover for trend direction. | SPY | 0.3% | 0.06 | -20.9% |
| REG-10 HMM Regime DetectionUse Hidden Markov Model to detect market regimes. | SPY | 7.5% | 0.78 | -14.8% |
| PORT-05 Hierarchical Risk ParityRisk parity using hierarchical clustering. | HRP | 19.8% | 0.95 | -22.8% |
| MR-07 Hurst-Filtered Mean ReversionMean reversion only when Hurst exponent indicates mean-reverting regime. | SPY | 2.2% | 0.37 | -10.7% |
| TREND-10 Ichimoku CloudTrade based on Ichimoku Cloud signals. | SPY | 6.3% | 0.69 | -9.7% |
| MR-03 Kalman Filter Mean ReversionTrade deviations from Kalman-estimated fair value. | SPY | 2.1% | 0.25 | -12.1% |
| KC-01 Keltner Channel BreakoutBreakouts from an ATR-based channel. | SPY | 4.5% | 0.67 | -8.5% |
| TREND-14 Linear Regression ChannelTrade breakouts from a rolling regression channel. | SPY | -3.0% | -0.17 | -32.8% |
| CS-02 Low Volatility RotationDefensive rotation into the lowest vol assets. | CS-UNIV | 6.9% | 0.97 | -15.1% |
| COMBO-02 MACD + RSI FilterMACD crossover with RSI confirmation. | SPY | 4.4% | 0.51 | -12.3% |
| TREND-12 MACD StrategyClassic MACD crossover trend following. | SPY | 2.8% | 0.30 | -17.1% |
| MR-12 Money Flow Index ReversionBuy oversold MFI, exit at neutral. | SPY | 3.9% | 0.43 | -12.9% |
| PORT-02 Minimum VarianceMinimize portfolio variance without return forecasts. | MIN-VAR | 3.4% | 0.55 | -16.5% |
| MOM-11 Momentum Crash ProtectionMomentum with drawdown-based position scaling. | SPY | 6.9% | 0.58 | -20.3% |
| FACTOR-05 Multi-Factor CompositeCombine value, momentum, and quality factors. | SPY | 10.8% | 0.75 | -19.4% |
| MR-04 Ornstein-Uhlenbeck Mean ReversionTrade based on OU process parameter estimation and half-life. | SPY | 1.1% | 0.24 | -6.5% |
| STAT-01 SPY-GLD PairMean-revert the SPY/GLD spread using z-score. | SPY-GLD | -2.3% | -0.22 | -16.7% |
| SAR-01 Parabolic SARStop-and-reverse trend system with acceleration. | SPY | 1.2% | 0.15 | -22.7% |
| REG-01 Regime SwitchSwitch between trend and cash based on volatility regime. | SPY | 7.6% | 0.69 | -17.7% |
| MOM-06 Residual MomentumTrade momentum after removing market factor exposure. | GLD | 7.3% | 0.57 | -26.9% |
| MACRO-02 Risk-On/Risk-Off SwitchSwitch between risk and safe-haven assets. | SPY | 5.8% | 0.40 | -28.2% |
| PORT-01 Risk ParityEqual risk contribution from each asset. | RISK-PARITY | 8.2% | 1.04 | -15.5% |
| MR-01 RSI Mean ReversionBuy oversold and fade overbought with a volatility cap. | SPY | 5.2% | 0.77 | -7.2% |
| SEAS-01 Monthly SeasonalitySell in May? Long Nov-Apr, cash May-Oct. | SPY | 4.0% | 0.35 | -18.8% |
| MR-10 Stochastic Oscillator ReversionBuy oversold stochastic, exit at neutral. | SPY | 7.7% | 0.66 | -15.8% |
| RISK-03 Stop Loss OverlayUniversal stop loss with cooldown period. | SPY | 4.5% | 0.45 | -21.5% |
| SUPER-01 SupertrendATR-based trailing trend system. | SPY | 4.0% | 0.44 | -10.9% |
| MOM-01 Time-Series MomentumStay long when 12-month momentum is positive. | EURUSD=X | 0.9% | 0.19 | -6.8% |
| RISK-04 Trailing Stop StrategyATR-based trailing stop locks in profits. | SPY | 4.4% | 0.44 | -14.8% |
| EVENT-01 Trend + Macro FilterTrend following with a macro event blackout. | SPY | 9.7% | 0.89 | -12.6% |
| COMBO-04 Trend + Mean Reversion HybridFollow trend, buy pullbacks. | SPY | 2.0% | 0.38 | -8.8% |
| TREND-13 Triple Moving AverageConfirm trend direction with three moving averages. | SPY | 9.7% | 0.71 | -18.8% |
| MR-13 TRIX ReversionBuy deep TRIX pullbacks and exit on mean reversion. | SPY | 0.0% | 0.00 | 0.0% |
| CAL-01 Turn of MonthCapture month-turn windows using a fixed weekday calendar. | SPY | 4.0% | 0.47 | -15.1% |
| TURTLE-01 Turtle TradingClassic breakout system with trailing exit. | SPY | 6.0% | 0.62 | -13.3% |
| MR-15 Ultimate OscillatorBuy oversold Ultimate Oscillator, exit at neutral. | SPY | 6.2% | 0.70 | -11.8% |
| VOL-13 Volatility Regime StrategySwitch strategy style based on volatility regime. | SPY | 5.3% | 0.47 | -17.1% |
| REG-14 Volatility Regime SwitchAdapt position size to volatility regime. | SPY | 4.3% | 0.46 | -17.7% |
| VOL-10 Volatility Risk PremiumHarvest volatility risk premium when VRP is high. | SPY | 4.3% | 0.43 | -14.4% |
| RP-01 Volatility TargetScale exposure to hit a 10% vol target. | SPY | 8.4% | 0.66 | -16.6% |
| VOL-01 Volatility BreakoutEnter on large volatility bursts and exit on mean reversion. | USO | 7.5% | 0.54 | -12.9% |
| TREND-20 Vortex IndicatorTrend signals from vortex indicator crossovers. | SPY | 9.4% | 0.89 | -13.0% |
| MOM-03 52-Week High MomentumBuy when price approaches 52-week high, exit on weakness. | SPY | 7.7% | 0.61 | -20.9% |
| MR-11 Williams %R ReversionBuy oversold Williams %R, exit at neutral. | SPY | 1.4% | 0.17 | -20.4% |
| MR-06 Z-Score Mean ReversionSimple z-score reversion with volatility and trend filters. | SPY | 7.7% | 0.86 | -10.4% |