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Trading Strategy Catalog

Posted in Big Ideas

Where can investors find a large catalog of trading strategies spanning asset classes? In the September 2019 update of their paper entitled “151 Trading Strategies”, Zura Kakushadze and Juan Andres Serur make freely available their book describing over 150 trading strategies, including over 550 formulas. These strategies encompass many asset classes and trading styles, including: stocks, options, fixed income, futures, exchange-traded funds, commodities, foreign exchange, convertibles, structured assets (collateralized debt and mortgage-backed), volatility, real estate, distressed, crypto, weather, energy, inflation, global macro, infrastructure and tax arbitrage. Some strategies incorporate machine learning. The paper does not include empirical studies, numerical simulations or backtests, but does contain annotated source code for out-of-sample testing, references and a glossary of acronyms and mathematical terms. Based on experience, they observe that:

  • Some strategies, such as hedging within a bigger plan, do not have profitability (buy low and sell high) as a main objective.
  • Financial markets change continuously, with trading strategies working and then dying, sometimes abruptly.
  • Technological advances (such as big data mining and machine learning) engender new strategies, many with signals so faint that traders can exploit them only by combining thousands of them.

In summary, investors may find this very long paper a useful catalog of potential trading strategies across different kinds of assets.

The paper does not address how well any strategy is currently working.

The preface summarizes obstacles encountered by the authors in achieving original publication of the book, explaining why they are making it freely available.

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