Strategy - Alvarez

Alvarez Accelerating Dual Momentum

Description

The Alvarez strategy is based on the work of Cesar Alvarez on https://alvarezquanttrading.com. This too is using a variant of accelerating dual momentum but with a wide range of assets.

It uses the following risk-on assets: EEM, EFA, GLD, HYG, IWM, LQD, QLD, SSO, UBT, VNQ, with TMF being the risk off haven

It will buy up to 4 risk-on assets at a time.

Trading happens on the Close of the signal day, the last trading day of the month

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momentum  EEM  EFA  GLD  HYG  IWM  LQD  QLD  SSO  UBT  VNQ  TMF  TBF 

System - Alvarez-d

Daily Accelerating Dual Momentum

Description

The Alvarez daily strategy is based on the work of Cesar Alvarez on https://alvarezquanttrading.com. This too is using a variant of accelerating dual momentum but with a wide range of assets.

It uses the following risk-on assets: EEM, EFA, GLD, HYG, IWM, LQD, QLD, SSO, UBT, VNQ, with TMF being the risk off haven

It will buy up to 2 risk-on assets at a time.

Trading happens on the NextOpen of the signal day.

Total position allocation is set to 0.9 of account

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momentum  EEM  EFA  GLD  HYG  IWM  LQD  QLD  SSO  UBT  VNQ  TMF 

Strategy - VSlopes

Description

This trades using volatility slopes and cycles, especially towards the end of the month.

It uses the leveraged SPXL, SPY, TMF and regular TLT

It will buy one asset at a time.

Trading happens on the next Open from the signal day.

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cycles  SPXL  SPY  TMF  UBT  SSO  TLT 

System - GrayBeard-d

Daily Accelerating Dual Momentum

Description

This is similar to GrayBeard with shorter time frames and tighter stops. However, here the use assets proposed by SeekingAlpha’s Graybeard for an all weather portfolio.

This strategy uses the following risk-on assets: IAU, SPXL, TLT, SHV. with UBT being the risk off haven.

It will buy only one risk on asset at a time.

Trading happens on the NextOpen of the signal day

Total position allocation is set to 0.9 of account

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momentum  EEM  EFA  GLD  HYG  IWM  LQD  QLD  SSO  UBT  TBT  VNQ  TMF 

System - General-d

Daily Accelerating Dual Momentum

Description

This uses two strategies with general index ETFs

This is considerably risky.

Trading happens on the NextOpen after the signal day.

Total position allocation is set to 0.9 of account

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momentum  EEM  EFA  GLD  HYG  IWM  LQD  QLD  SSO  UBT  VNQ  TMF  TBF 

Strategy - VRP-SPX

Volatility Risk Premium

Description

This looks at the difference between realized and implied volatility in the S&P500 for advancing price formations. It decides on the amount of risk to take on based on the past history.

This uses TMF, UBT, TLT, SPY ,SSO and SPXL.

Trading happens on the next Open from the signal day.

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volatility  SPXL  SSO  SPY  TMF  TLT  UBT