Tim Olson
47471b7700
- Flink update_bars debouncing - update_bars subscription idempotency bugfix - Price decimal correction bugfix of previous commit - Add GLM-5.1 model tag alongside renamed GLM-5 - Use short Anthropic model IDs (sonnet/haiku/opus) instead of full version strings - Allow @tags anywhere in message content, not just at start - Return hasOtherContent flag instead of trimmed rest string - Only trigger greeting stream when tag has no other content - Update workspace knowledge base references to platform/workspace and platform/shapes - Hierarchical knowledge base catalog - 151 Trading Strategies knowledge base articles - Shapes knowledge base article - MutateShapes tool instead of workspace patch
23 KiB
23 KiB
description, tags
| description | tags | ||||
|---|---|---|---|---|---|
| Master catalog of 150+ trading strategies organized by asset class. Load this page first, then use MemoryLookup with a specific page name to drill into any strategy's full details, formulas, and mechanics. |
|
Trading Strategies — Master Index
Source: 151 Trading Strategies (Kakushadze & Serur, 2018). Each strategy has a dedicated knowledge page.
Usage: MemoryLookup({page: "trading/strategies/<dir>/<file>"}) — e.g. MemoryLookup({page: "trading/strategies/options/covered-call"})
Options (Chapter 2)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 2.2 | Covered call | Buy stock + sell call; income strategy capping upside | options/covered-call |
| 2.3 | Covered put | Short stock + sell put; income with neutral-to-bearish bias | options/covered-put |
| 2.4 | Protective put | Long stock + long put; hedges downside, preserves upside | options/protective-put |
| 2.5 | Protective call | Short stock + long call; hedges upside risk on short position | options/protective-call |
| 2.6 | Bull call spread | Buy near-ATM call, sell OTM call; capped bullish bet | options/bull-call-spread |
| 2.7 | Bull put spread | Sell higher put, buy lower put; credit-based bullish bet | options/bull-put-spread |
| 2.8 | Bear call spread | Sell lower call, buy higher call; credit-based bearish bet | options/bear-call-spread |
| 2.9 | Bear put spread | Buy near-ATM put, sell OTM put; capped bearish bet | options/bear-put-spread |
| 2.10 | Long synthetic forward | Long call + short put at same strike; replicates long forward | options/long-synthetic-forward |
| 2.11 | Short synthetic forward | Long put + short call at same strike; replicates short forward | options/short-synthetic-forward |
| 2.12 | Long combo | Buy OTM call + sell OTM put; bullish risk reversal | options/long-combo |
| 2.13 | Short combo | Buy OTM put + sell OTM call; bearish risk reversal | options/short-combo |
| 2.14 | Bull call ladder | Bull call spread + sell higher OTM call; limited upside, unlimited risk above K3 | options/bull-call-ladder |
| 2.15 | Bull put ladder | Short near-ATM put + buy two lower OTM puts; bearish adjustment | options/bull-put-ladder |
| 2.16 | Bear call ladder | Short near-ATM call + buy two higher OTM calls; bullish adjustment | options/bear-call-ladder |
| 2.17 | Bear put ladder | Bear put spread + sell lower OTM put; unlimited downside risk | options/bear-put-ladder |
| 2.18 | Calendar call spread | Long far-dated call, short near-dated call at same strike; exploits time decay | options/calendar-call-spread |
| 2.19 | Calendar put spread | Long far-dated put, short near-dated put at same strike; exploits time decay | options/calendar-put-spread |
| 2.20 | Diagonal call spread | Long deep ITM far-dated call, short OTM near-dated call; combines direction + decay | options/diagonal-call-spread |
| 2.21 | Diagonal put spread | Long deep ITM far-dated put, short OTM near-dated put; combines direction + decay | options/diagonal-put-spread |
| 2.22 | Long straddle | Buy ATM call + put; profits from large move either direction | options/long-straddle |
| 2.23 | Long strangle | Buy OTM call + OTM put; cheaper volatility play than straddle | options/long-strangle |
| 2.24 | Long guts | Buy ITM call + ITM put; pricier volatility play than straddle | options/long-guts |
| 2.25 | Short straddle | Sell ATM call + put; income when stock stays near strike | options/short-straddle |
| 2.26 | Short strangle | Sell OTM call + OTM put; wider profit zone than short straddle | options/short-strangle |
| 2.27 | Short guts | Sell ITM call + ITM put; higher credit, narrower profit zone | options/short-guts |
| 2.28 | Long call synthetic straddle | Short stock + buy 2 ATM calls; replicates long straddle | options/long-call-synthetic-straddle |
| 2.29 | Long put synthetic straddle | Long stock + buy 2 ATM puts; replicates long straddle | options/long-put-synthetic-straddle |
| 2.30 | Short call synthetic straddle | Long stock + sell 2 ATM calls; replicates short straddle | options/short-call-synthetic-straddle |
| 2.31 | Short put synthetic straddle | Short stock + sell 2 ATM puts; replicates short straddle | options/short-put-synthetic-straddle |
| 2.32 | Covered short straddle | Covered call + short ATM put; higher income, more downside risk | options/covered-short-straddle |
| 2.33 | Covered short strangle | Covered call + short OTM put; wider profit zone | options/covered-short-strangle |
| 2.34 | Strap | Buy 2 ATM calls + 1 ATM put; bullish volatility bias | options/strap |
| 2.35 | Strip | Buy 1 ATM call + 2 ATM puts; bearish volatility bias | options/strip |
| 2.36 | Call ratio backspread | Sell fewer near-ATM calls, buy more OTM calls; strongly bullish | options/call-ratio-backspread |
| 2.37 | Put ratio backspread | Sell fewer near-ATM puts, buy more OTM puts; strongly bearish | options/put-ratio-backspread |
| 2.38 | Ratio call spread | Buy fewer ITM calls, sell more near-ATM calls; income with unlimited upside risk | options/ratio-call-spread |
| 2.39 | Ratio put spread | Buy fewer ITM puts, sell more near-ATM puts; income with unlimited downside risk | options/ratio-put-spread |
| 2.40 | Long call butterfly | Buy ITM + OTM calls, sell 2 ATM calls; profits if stock stays near middle strike | options/long-call-butterfly |
| 2.41 | Long put butterfly | Buy ITM + OTM puts, sell 2 ATM puts; profits if stock stays near middle strike | options/long-put-butterfly |
| 2.42 | Short call butterfly | Sell ITM + OTM calls, buy 2 ATM calls; profits from large move | options/short-call-butterfly |
| 2.43 | Short put butterfly | Sell ITM + OTM puts, buy 2 ATM puts; profits from large move | options/short-put-butterfly |
| 2.44 | Long iron butterfly | Bull put spread + bear call spread around ATM; income near center | options/long-iron-butterfly |
| 2.45 | Short iron butterfly | Bear put spread + bull call spread around ATM; profits from large move | options/short-iron-butterfly |
| 2.46 | Long call condor | 4-leg call spread; profits if stock stays between inner strikes | options/long-call-condor |
| 2.47 | Long put condor | 4-leg put spread; profits if stock stays between inner strikes | options/long-put-condor |
| 2.48 | Short call condor | Inverse 4-leg call spread; profits from large move | options/short-call-condor |
| 2.49 | Short put condor | Inverse 4-leg put spread; profits from large move | options/short-put-condor |
| 2.50 | Long iron condor | OTM bull put spread + OTM bear call spread; income in wide range | options/long-iron-condor |
| 2.51 | Short iron condor | OTM bear put spread + OTM bull call spread; profits from large move | options/short-iron-condor |
| 2.52 | Long box | Long + short synthetic forward at different strikes; locks in fixed arbitrage payoff | options/long-box |
| 2.53 | Collar | Long stock + long OTM put + short OTM call; defined risk/reward range | options/collar |
| 2.54 | Bullish short seagull spread | Bull call spread financed by short OTM put; zero-cost bullish structure | options/bullish-short-seagull-spread |
| 2.55 | Bearish long seagull spread | Short combo hedged by long OTM call; zero-cost bearish structure | options/bearish-long-seagull-spread |
| 2.56 | Bearish short seagull spread | Bear put spread financed by short OTM call; zero-cost bearish structure | options/bearish-short-seagull-spread |
| 2.57 | Bullish long seagull spread | Long combo hedged by long OTM put; zero-cost bullish structure | options/bullish-long-seagull-spread |
Stocks (Chapter 3)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 3.1 | Price-momentum | Buy past winners, short past losers based on 12-month cumulative return | stocks/price-momentum |
| 3.2 | Earnings-momentum | Buy high-SUE stocks, short low-SUE; captures post-earnings drift | stocks/earnings-momentum |
| 3.3 | Value | Buy high Book-to-Price stocks, short low B/P; exploits value premium | stocks/value |
| 3.4 | Low-volatility anomaly | Buy low-vol stocks, short high-vol; low risk = higher risk-adjusted return | stocks/low-volatility-anomaly |
| 3.5 | Implied volatility | Buy stocks with rising call IV, short those with rising put IV | stocks/implied-volatility |
| 3.6 | Multifactor portfolio | Blend multiple ranking factors (value + momentum etc.) by averaging ranks | stocks/multifactor-portfolio |
| 3.7 | Residual momentum | Momentum on Fama-French regression residuals, stripping common factors | stocks/residual-momentum |
| 3.8 | Pairs trading | Long cheap stock, short rich stock in correlated pair when spread deviates | stocks/pairs-trading |
| 3.9 | Mean-reversion – cluster | Generalize pairs to N-stock cluster; buy underperformers, short outperformers | stocks/mean-reversion-cluster |
| 3.10 | Mean-reversion – weighted regression | Continuous loadings matrix extension of cluster mean-reversion | stocks/mean-reversion-weighted-regression |
| 3.11 | Single moving average | Long/short when price crosses a single MA | stocks/single-moving-average |
| 3.12 | Two moving averages | Long/short on MA crossover (short vs. long window) | stocks/two-moving-averages |
| 3.13 | Three moving averages | Require all three MAs to align before entering | stocks/three-moving-averages |
| 3.14 | Support and resistance | Trade pivot-point-derived support/resistance levels | stocks/support-and-resistance |
| 3.15 | Channel | Donchian channel mean-reversion or breakout | stocks/channel |
| 3.16 | Event-driven – M&A | Merger arbitrage: long target, short acquirer in stock deals | stocks/event-driven-ma |
| 3.17 | Machine learning – KNN | KNN regression on price/volume features to predict forward returns | stocks/ml-knn |
| 3.18 | Statistical arbitrage – optimization | Maximize Sharpe via covariance matrix optimization; dollar-neutral variant | stocks/statistical-arbitrage-optimization |
| 3.19 | Market-making | Earn bid-ask spread via passive limit orders with directional signal filter | stocks/market-making |
| 3.20 | Alpha combos | Combine many weak alpha signals into a mega-alpha via structured optimization | stocks/alpha-combos |
ETFs (Chapter 4)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 4.1 | Sector momentum rotation | Overweight top-momentum sector ETFs; with MA filter and dual-momentum variants | etfs/sector-momentum-rotation |
| 4.2 | Alpha rotation | Rotate into sector ETFs with highest Jensen's alpha from factor regression | etfs/alpha-rotation |
| 4.3 | R-squared | Overweight low-R² (high selectivity) high-alpha ETFs | etfs/r-squared |
| 4.4 | Mean-reversion | Long low-IBS ETFs, short high-IBS ETFs (daily mean-reversion) | etfs/mean-reversion |
| 4.5 | Leveraged ETFs | Short both leveraged ETF and its inverse to harvest daily decay | etfs/leveraged-etfs |
| 4.6 | Multi-asset trend following | Long-only momentum across asset-class ETFs, volatility-weighted | etfs/multi-asset-trend-following |
Fixed Income (Chapter 5)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 5.1 | Generalities | Bond mechanics: zero-coupon, coupon, floaters, swaps, duration, convexity | fixed-income/generalities |
| 5.2 | Bullets | Hold bonds at a single target maturity to express a rate view | fixed-income/bullets |
| 5.3 | Barbells | Hold two maturity extremes; higher convexity than equivalent bullet | fixed-income/barbells |
| 5.4 | Ladders | Equal-capital allocation across n equidistant maturities | fixed-income/ladders |
| 5.5 | Bond immunization | Match portfolio duration to liability maturity to hedge rate risk | fixed-income/bond-immunization |
| 5.6 | Dollar-duration-neutral butterfly | Long barbell + short bullet; neutral to parallel shifts, bets on curvature | fixed-income/dollar-duration-neutral-butterfly |
| 5.7 | Fifty-fifty butterfly | Butterfly with equal wing dollar durations | fixed-income/fifty-fifty-butterfly |
| 5.8 | Regression-weighted butterfly | Butterfly with empirically estimated wing weights; maturity-weighted variant | fixed-income/regression-weighted-butterfly |
| 5.9 | Low-risk factor | Buy lowest-maturity bonds within IG/HY tier; exploits low-risk anomaly | fixed-income/low-risk-factor |
| 5.10 | Value factor | Buy bonds with spread above regression-implied fair value | fixed-income/value-factor |
| 5.11 | Carry factor | Long top-decile bonds by total carry (yield + roll-down) | fixed-income/carry-factor |
| 5.12 | Rolling down the yield curve | Buy bonds in steepest curve segments and hold through roll-down appreciation | fixed-income/rolling-down-yield-curve |
| 5.13 | Yield curve spread | Flattener or steepener trade between two maturities, duration-matched | fixed-income/yield-curve-spread |
| 5.14 | CDS basis arbitrage | Buy bond + buy CDS protection when negative basis creates near-riskless carry | fixed-income/cds-basis-arbitrage |
| 5.15 | Swap-spread arbitrage | Long/short IRS vs. Treasury at same maturity; captures LIBOR-repo spread | fixed-income/swap-spread-arbitrage |
Indexes (Chapter 6)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 6.1 | Generalities | Index construction, futures/ETF vehicles, spot-futures pricing, basis | indexes/generalities |
| 6.2 | Cash-and-carry arbitrage | Trade basis when index futures deviate from fair value F* = (S-D)·exp(r·T) | indexes/cash-and-carry-arbitrage |
| 6.3 | Dispersion trading | Long single-stock straddles, short index straddle; exploits IV correlation premium | indexes/dispersion-trading |
| 6.4 | Intraday ETF arbitrage | Exploit short-lived bid-ask mispricings between two ETFs on same index | indexes/intraday-etf-arbitrage |
| 6.5 | Index volatility targeting | Dynamically allocate w = σ*/σ to index and (1-w) to T-bills | indexes/volatility-targeting |
Volatility (Chapter 7)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 7.1 | Generalities | Historical vs. implied vol, VIX, volatility instruments (futures, ETNs, swaps) | volatility/generalities |
| 7.2 | VIX futures basis trading | Short VIX futures in contango, long in backwardation based on basis threshold | volatility/vix-futures-basis-trading |
| 7.3 | Volatility carry | Short VXX + long VXZ; harvest contango roll differential between maturities | volatility/volatility-carry |
| 7.4 | Volatility risk premium | Sell ATM straddles when implied > realized vol; gamma-hedged variant | volatility/volatility-risk-premium |
| 7.5 | Volatility skew – long risk reversal | Buy OTM call + sell OTM put; exploit put IV > call IV skew | volatility/volatility-skew-risk-reversal |
| 7.6 | Variance swaps | Trade realized vs. implied variance directly; no delta-hedging needed | volatility/variance-swaps |
Foreign Exchange (Chapter 8)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 8.1 | Moving averages with HP filter | HP-filter FX series, then apply MA crossover signals | fx/moving-averages-hp-filter |
| 8.2 | Carry trade | Buy high-rate currencies, sell low-rate currencies via forwards | fx/carry-trade |
| 8.3 | Dollar carry trade | Long/short all currencies vs. USD based on average forward discount | fx/dollar-carry-trade |
| 8.4 | Momentum & carry combo | Blend HP-MA momentum with carry using minimum-variance weights | fx/momentum-carry-combo |
| 8.5 | FX triangular arbitrage | Exploit circular mispricing across three currency pairs for riskless profit | fx/triangular-arbitrage |
Commodities (Chapter 9)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 9.1 | Roll yields | Long backwardated, short contangoed futures based on front/second-month ratio | commodities/roll-yields |
| 9.2 | Hedging pressure | Use COT positioning data to identify long/short commodity opportunities | commodities/hedging-pressure |
| 9.3 | Portfolio diversification | Add commodities to equity portfolio for low cross-asset correlation benefit | commodities/portfolio-diversification |
| 9.4 | Value | Buy commodities cheap vs. 5-year-ago spot; sell those expensive | commodities/value |
| 9.5 | Skewness premium | Buy low-skewness, sell high-skewness commodity futures | commodities/skewness-premium |
| 9.6 | Trading with pricing models | Fit stochastic term-structure model; trade rich/cheap vs. model fair value | commodities/pricing-models |
Futures (Chapter 10)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 10.1 | Hedging risk | Offset price/rate risk with futures; cross-hedging and IR hedging variants | futures/hedging-risk |
| 10.2 | Calendar spread | Long near-month, short deferred-month (or vice versa); bet on supply/demand | futures/calendar-spread |
| 10.3 | Contrarian trading | Buy recent underperforming futures, short outperforming; volume/OI filter variant | futures/contrarian-trading |
| 10.4 | Trend following | Weight positions by sign of recent returns scaled by historical volatility | futures/trend-following |
Structured Assets (Chapter 11)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 11.1 | CDO generalities | CDO mechanics, tranche structure, valuation, spread pricing, risky duration | structured-assets/cdo-generalities |
| 11.2 | Carry – equity tranche | Buy equity tranche + delta-hedge with CDS index; earn tranche/index spread diff | structured-assets/carry-equity-tranche |
| 11.3 | Carry – senior/mezzanine | Sell senior/mezz tranche + buy CDS index; earn index premium over tranche | structured-assets/carry-senior-mezzanine |
| 11.4 | Carry – tranche hedging | Buy low-quality tranche + sell high-quality tranche; earn spread differential | structured-assets/carry-tranche-hedging |
| 11.5 | Carry – CDS hedging | Buy low-quality tranche + hedge with single-name CDS | structured-assets/carry-cds-hedging |
| 11.6 | CDOs – curve trades | Long/short CDO tranches of different maturities; bet on spread curve shape | structured-assets/cdo-curve-trades |
| 11.7 | MBS trading | Buy MBS passthrough + hedge duration with IRS; primary exposure = prepayment risk | structured-assets/mbs-trading |
Convertibles (Chapter 12)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 12.1 | Convertible arbitrage | Buy convertible bond + short underlying stock via delta hedge ratio h = Δ·C | convertibles/convertible-arbitrage |
| 12.2 | Convertible OAS | Long high-OAS convertible, short low-OAS from same issuer; profit on convergence | convertibles/convertible-oas |
Tax Arbitrage (Chapter 13)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 13.1 | Municipal bond tax arbitrage | Borrow at taxable rates, invest in tax-exempt munis; capture after-tax spread | tax-arbitrage/muni-bond-tax-arbitrage |
| 13.2 | Cross-border tax arbitrage | Exploit dividend imputation tax credits via stock loan or deep ITM puts | tax-arbitrage/cross-border-tax-arbitrage |
Miscellaneous Assets (Chapter 14)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 14.1 | Inflation hedging – inflation swaps | Buy/sell zero-coupon or year-on-year CPI swaps to hedge or trade inflation | miscellaneous/inflation-hedging-swaps |
| 14.2 | TIPS-Treasury arbitrage | Short Treasury, replicate with TIPS + inflation swaps + STRIPS; lock in spread | miscellaneous/tips-treasury-arbitrage |
| 14.3 | Weather risk – demand hedging | Hedge weather-driven demand using CDD/HDD futures/options | miscellaneous/weather-risk-hedging |
| 14.4 | Energy – spark spread | Trade power plant gross margin via electricity/gas futures ratio hedge | miscellaneous/energy-spark-spread |
Distressed Assets (Chapter 15)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 15.1 | Buy and hold distressed debt | Passively hold diversified distressed debt portfolio through reorganization | distressed-assets/buy-and-hold-distressed-debt |
| 15.2 | Active distressed investing | Acquire control; three sub-strategies: court reorganization, debt purchase, loan-to-own | distressed-assets/active-distressed-investing |
| 15.3 | Distress risk puzzle | Long healthy stocks, short distressed stocks (HMD portfolio) with vol-scaling | distressed-assets/distress-risk-puzzle |
Real Estate (Chapter 16)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 16.2 | Mixed-asset diversification | Add real estate to stock/bond portfolio via MVO; low correlation benefit | real-estate/mixed-asset-diversification |
| 16.3 | Intra-asset diversification | Diversify within real estate: property type, economic region, and combined | real-estate/intra-asset-diversification |
| 16.4 | Real estate momentum | Buy high-momentum MSAs, short low-momentum MSAs via REITs/housing futures | real-estate/momentum-regional |
| 16.5 | Inflation hedging | Hold commercial real estate as inflation hedge (strong empirical relationship) | real-estate/inflation-hedging |
| 16.6 | Fix-and-flip | Buy distressed property, renovate, resell; short-term value-add strategy | real-estate/fix-and-flip |
Cash (Chapter 17)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 17.2 | Money laundering (dark side) | Three-stage illegal process; documented for AML/educational awareness only | cash/money-laundering-dark-side |
| 17.3 | Liquidity management | Optimize cash holdings to meet liquidity demands while minimizing drag | cash/liquidity-management |
| 17.4 | REPO | Borrow/lend cash at preset rate using securities as collateral | cash/repo |
| 17.5 | Pawnbroking | Secured short-term lending against physical collateral with right of sale | cash/pawnbroking |
| 17.6 | Loan sharking | Illegal high-rate uncollateralized lending; documented for educational awareness only | cash/loan-sharking |
Cryptocurrencies (Chapter 18)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 18.2 | ANN strategy | EMA/EMSD/RSI features → softmax classifier → BTC buy/sell signals | crypto/ann-strategy |
| 18.3 | Sentiment – naïve Bayes | Twitter keyword features → Bernoulli naïve Bayes → BTC direction forecast | crypto/sentiment-naive-bayes |
Global Macro (Chapter 19)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 19.2 | Fundamental macro momentum | Rank assets on 4 state variables (business cycle, trade, monetary, risk sentiment) | global-macro/fundamental-macro-momentum |
| 19.3 | Global macro inflation hedge | Commodity allocation driven by headline vs. core inflation spread | global-macro/inflation-hedge |
| 19.4 | Global fixed-income strategy | Rank government bonds on 9 macro/value/momentum factors; long-short | global-macro/global-fixed-income |
| 19.5 | Trading on economic announcements | Hold equities on FOMC/announcement days only; T-bills otherwise | global-macro/economic-announcements |
Infrastructure (Chapter 20)
| # | Strategy | Summary | Page |
|---|---|---|---|
| 20 | Infrastructure overview | Asset class overview: transport, utilities, energy; ETFs, listed/unlisted funds, munis | infrastructure/infrastructure-overview |