Index of Strategies

On this page, you’ll find a list of strategies discussed in RW Pro and links to relevant content (research, code, tools, etc), and recommendations for navigating the content efficiently.

The Edge Database contains, in addition to these strategies, other ideas that we haven’t yet gotten around to discussing inside RW Pro. Note: you must be logged in to GitHub and a member of the RW Lab GitHub organisation to see the Edge Database.

On this Page

Super Important Context

In all the material we present on trading strategies, we’re primarily interested in developing your skills to independently find new things to trade. That means that when we talk about a strategy, the focus is on showing you how to understand it in depth:

  • Why the edge might exist, under what conditions it would disappear, and what else might explain it.
  • Quantifying it to the extent possible through efficient data analysis that would be applicable to a trading business (rather than academia). Importantly, this includes an appreciation of the uncertainty inherent in financial trading.
  • To the extent that you decide to trade something, helping you decide on an implementation that navigates your constraints (time, abilities, capital) and considers important trade-offs.

This is most definitely not about just “giving you something to trade” (although there is plenty of stuff here that you can trade and that we trade ourselves). Inevitably, everything you see on this page will one day no longer be viable. Everything decays and eventually disappears in this game. This is why we focus so much on developing your skills to independently find new stuff to trade.

The strategies all provide helpful case studies of research and development, regardless of their current state of decay. It’s best to think of them primarily in this context.

Because our focus is on developing your skills rather than giving you things to trade, the actual strategy implementations you’ll find within the content are example or model strategies, rather than things we are actively monitoring. Within the community, people are trading implementations of these that they developed with consideration to their own constraints and trade-off preferences. It’s important that, if you decide to trade any of these, you take responsibility for your own implementation as well.

The example strategies you’ll meet as you work through the material are reviewed by us at the start of the calendar year unless specified otherwise.

Risk Premia Harvesting

A suggested path through the material:

  1. The section on Risk Premia in Trade Like a Quant Bootcamp provides the most succinct overview. It starts here.
  2. Risk Premia is also presented as a module in FX Bootcamp here. While this module was created before the lessons in (1), it provides a quick overview of a version of the strategy that uses a broader universe of ETFs, and incorporates a heuristic equal-risk contribution tilt and a momentum tilt.
  3. You can go deeper into the concepts introduced in (2) – including exploring the research and implementation trade-offs – in the next module of FX Bootcamp here. The material in (2) and (3) is duplicated in:
  4. In 2022, we revisited the strategy in the Risk Premia on Schteroids Bootcamp. We explored the use of futures contracts and alternative equal-risk contribution approaches. We revisited our earlier exploration of the momentum tilt. And we presented a number of alternative model portfolios.
  5. Towards the end of 2022, we looked at some different model portfolios. That material starts here.
  6. Optional: if you are interested in trading Risk Premia using Zorro, go through the Zero to Robot Master Bootcamp, particularly this lesson on Risk Premia, and this one on automation with Zorro and Interactive Brokers.
  7. Optional: In 2023, we looked at timing bond exposure with the yield curve and a value metric. You might use this to tactically lighten up or load up. Webinars here and here. Summaries here and here. Research notebook here.

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

  1. This is the original Risk Premia Bootcamp we ran for members. Our first foray into the strategy is contained in this Bootcamp. It’s useful if you want to see how we were thinking about researching and implementing the strategy from the very start.
  2. The following public RW blog posts talk about Risk Premia:
  3. The Only Two Ways to Make Money on YouTube (public)

VIX Basis

A suggested path through the material:

  1. This webinar and summary from 2023 is a succinct introduction to VIX and VIX derivatives. It also includes approaches to trading VIX derivatives, including the VIX basis strategy.
  2. Trade Like a Quant contains the most succinct overview of the strategy, including an introduction to VIX and VX futures, and data analysis of the edge.
  3. We first introduced this idea in Trading through Armageddon Bootcamp. It contains introductory material on VIX and VX futures, research and analysis, and a simple implementation of the idea.
  4. Zero to Robot Master Bootcamp has a simple Zorro implementation of the idea as well as introductory material and data analysis. Background material is here, instructions for setting up Zorro to trade ETFs on Interactive brokers are here, and a simple Zorro implementation is here (including setup and troubleshooting).
  5. In 2023, we revisited the strategy and came up with a new signal for timing VIX exposure:
    • This webinar from Options for Degenerate Gamblers provides an introduction.
    • This webinar refreshes the basics, introduces the trade in more detail, and includes a section on calculating constant maturity VIX futures prices. Summary here.
    • This webinar and summary provide a recap.
    • In this webinar and summary, we identify a seasonal bias that comes into effect around the December holiday period.
  6. In 2024, we analysed whether short volatility is getting crowded. While not directly part of this strategy, this analysis is useful when making decisions about sizing the short side of the strategy. Webinar here, summary here.
  7. Modelling known volatility events in the VIX term structure.  Webinar here, summary here.
  8. Information on managing a short volatility position. Webinar here (from 34:28), summary here.

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

VIX Calendars

A suggested path through the material:

Where are the tools and research assets related to this strategy?

Trading UVXY

This webinar and summary describe UVXY and five strategies for trading it:

  • Short and rebalance
  • Harnessing tracking error and compounding effects
  • Trading the futures basis and index level
  • Trading UVXY vs SPX options
  • NAV stat-arbs (one-sided ETF arbs)

End-of-Month Flow Effects

A suggested path through the material:

  • These edges are described in Trade Like a Quant, starting here.
  • We looked at improving the window dressing bond trade by diversification and volatility targeting in this webinar.

Where are the tools and research assets related to these strategies?

Equity Pairs Trading

A suggested path through the material:

  1. This lesson from Trade Like a Quant is a brief introduction to spread trades, including pairs trading.
  2. The Machine Learning and Big Data Bootcamp contains all the background, research, and development of the equity pairs strategy.
  3. Pairs Trading Bootcamp is focused on the implementation of the equity pairs trading strategy, including trading rules, background markets and execution information, and automation approaches.
  4. Statistical Arbitrage 2022 contains a concise overview of the equity pairs strategy data pipeline, an introduction to statistical arbitrage, and the pair universe for 2022.
  5. This RWI post summarises a review of the strategy in October 2023 (includes code). It is discussed in this webinar.

Where are the tools and research assets related to this strategy?

  • The Equity Stat Arb Research Pod contains:
    • Code for running the equity pairs data pipeline on Google Cloud BigQuery
    • Scripts for trading the strategy on Interactive Brokers using Zorro
    • Scripts for backtesting and obtaining trade signals from Trading View

Additional content to include if you’re a maniac:

Tactical Timing with Recent Volume

A suggested path through the material:

  1. This RWI post provides a brief introduction to the idea.

Trading Leveraged ETFs

We discuss two simple ideas for trading leveraged ETFs (short and hedge, equity exposure replacement) in this RW Pro webinar and summary.

Straddle Over Earnings

This strategy is in the research phase.

A suggested path through the material:

  1. This webinar introduces the trade (starts at 1:19:55). This webinar goes into slightly more detail on the data requirements (from 39:42).
  2. This webinar presents results of the initial research (from 16:05)

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

Post-Earnings Announcement Drift

This strategy is in the research phase. We have done some initial research and designed a strategy. The next steps are to examine whether our assumptions hold up in production.

A suggested path through the material:

  1. We first looked at PEAD in the Data Engineering for Traders course. Start here.
  2. This webinar and summary summarises the initial research and the design of a strategy considering short borrow costs.

Where are the tools and research assets related to this strategy?

  • This folder in the Data Engineering for Traders repo contains the research and data engineering scripts.

Additional content to include if you’re a maniac:

FX Intraday seasonality

A suggested path through the material:

  1. This lesson from Trade Like a Quant is a concise introduction to seasonal regularities
  2. Weeks 4 and 5 of Zero to Robot Master Bootcamp provide the most succinct and most coherently presented analysis of the edge. They begin here.
  3. This material is presented in more detail from Week 2 of FX Robots Bootcamp.
  4. The original research for this strategy was done in FX Bootcamp here, here, and here. This content is not as polished as the content above, however it does more accurately reflect the actual research process.

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

  • This lesson from our initial foray into FX explores intraday seasonality (initial and detailed analysis).

FX Weekend GAP (alpha around market close)

A suggested path through the material:

  1. This strategy was covered in FX Bootcamp here and here.

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

This lesson from our initial foray into FX explores the weekend gap strategy (initial and detailed analysis).

FX Commodity basket

A suggested path through the material:

  1. This strategy was covered in FX Bootcamp here and here.

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

FX Broad Pairs Trading

A suggested path through the material:

Where are the tools and research assets related to this strategy?

FX Squeeze Mean Reversion

A suggested path through the material:

Where are the tools and research assets related to this strategy?

FX Carry (retired)

This strategy was retired at the start of 2022 and is no longer updated.

A suggested path through the material:

Where are the tools and research assets related to this strategy?

FX European Currency basket

This strategy is not updated and wasn’t traded.

A suggested path through the material:

  1. This strategy was covered in FX Bootcamp here.

Where are the tools and research assets related to this strategy?

FX Selecting Darwins

This strategy is not updated.

A suggested path through the material:

  1. This strategy was covered in FX Bootcamp here. This content is duplicated in FX Robots Bootcamp here.

FX momentum reversal in NY TIME

This strategy is not updated and wasn’t traded.

A suggested path through the material:

  1. This strategy was covered in FX Bootcamp here.
  2. It is also presented here in Zero to Robot Master in the context of research into seasonality effects.

Where are the tools and research assets related to this strategy?

Intraday/overnight equity seasonality

This strategy is not updated and was’nt traded.

A suggested path through the material:

  1. The strategy was explored in Trading through Armegeddon Bootcamp here and here.

Where are the tools and research assets related to this strategy?

Long-Term Valuation Equity Timing

This strategy is not updated and was’nt traded.

A suggested path through the material:

  1. The strategy was documented in Trading through Armageddon Bootcamp here.

Where are the tools and research assets related to this strategy?

seasonality in GLD and GDX

This strategy is not updated and was’nt traded.

A suggested path through the material:

  1. The strategy was documented in the bonus material of Trading with Machine Learning and Big Data Bootcamp. It was duplicated in the bonus material of FX Robots Bootcamp.

Where are the tools and research assets related to this strategy?

  • Code is embedded in the lessons linked above.

Buying NAV Discounts

This strategy is not updated.

A suggested path through the material:

  1. The strategy is described in detail here in Trading through Armageddon Bootcamp.

Where are the tools and research assets related to this strategy?

  • Everything you need is embedded in the lesson linked above.

Asset Class Momentum

This strategy is not updated.

We reviewed this strategy in a RW Pro webinar, starting at 1:15:24.

Conditionally High-Beta ETF Constituents (Revenge of the Stock Pickers)

This strategy is not updated and was’nt traded.

A suggested path through the material:

  1. The strategy was explored in Trading through Armageddon Bootcamp starting here.

Where are the tools and research assets related to this strategy?

Short-Term Equity REversal with Meta-Labelling

This strategy is not updated.

A suggested path through the material:

  1. The strategy is explored in Trading with Machine Learning and Big Data Bootcamp here and here.

Where are the tools and research assets related to this strategy?

Crypto Perp Basis

A suggested path through the material:

  1. We revisited the basis trade in March 2024 with an overview of the trade and an example trade on Drift (a Solana DEX). Webinar here, summary here.
  2. A good introduction to futures basis is in the bonus material of Trade Like a Quant.
  3. It’s also explored in Quant for Crypto Bootcamp here.

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

Crypto Extreme Carry Basket

This strategy is not updated. Research and trading happened mostly on FTX before it blew up. The strategy might be portable to different exchanges.

A suggested path through the material:

  1. Follow these lessons from Statistical Arbitrage 2022:
  2. We reviewed the strategy in April 2024. Summary and notebook.

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

  • This webinar includes a brief overview of carry effects on Binance (from 38:23)

Crypto YOLO (Combining Trend and Momentum)

A suggested path through the material:

  1. This strategy was the subject of Quant for Crypto Bootcamp.
  2. This lesson provides a summary of the work done and the original strategy implementation.
  3. These updates and webinars follow the process of porting YOLO over to Binance in Q3 2023:
    • Summary of research highlights and production update – webinar and summary.
    • Parameter update and first look at short-term mean-reversion – summary.
    • Updated simulation with new parameters – summary.
  4. We also looked at the predictability of momentum of momentum –  webinar and summary.
  5. We reviewed the strategy in March 2024 – summary.
  6. We showed that inverse volatility weighting improved the strategy – webinar (from about 1:03:10) and summary.
  7. We did some initial analysis on two new features: aggression imbalance and carry – webinar and summary.
  8. Further discussion on these new features and some complications around the tradeable universe – webinar and summary.

Where are the tools and research assets related to this strategy?

Additional content to include if you’re a maniac:

  • This RW Pro webinar includes a description of a trend strategy (aping recent highs) and an update on YOLO research on Binance data.
  • Cross-sectional returns analysis techniques with a crypto momentum example – webinar (from 52:40) and summary.
  • Improving YOLO in the context of exploring the generic quant trading trading system (continuation of the above item) –webinar and summary.

Crypto Extreme Borrow Short Squeeze

This strategy is not updated. Research and trading happened mostly on FTX before it blew up. The strategy might be portable to different exchanges.

A suggested path through the material:

  1. This strategy is documented in Statistical Arbitrage 2022 here.

Where are the tools and research assets related to this strategy?

Crypto Stablecoin Lending

This strategy is not updated. Research and trading happened mostly on FTX before it blew up. The strategy might be portable to different exchanges.

A suggested path through the material:

  1. In this session from Quant for Crypto round 1, we explored automated capitalisation of crypto lending returns

Where are the tools and research assets related to this strategy?

Crypto Yield Farming

This strategy is not updated.

A suggested path through the material:

  1. We introduced crypto yield farming in round one of Quant for Crypto here.
  2. We then explored it in more detail in a series of RW Pro member calls:

Crypto Seasonality

This strategy is not updated. Research and trading happened mostly on FTX before it blew up. The strategy might be portable to different exchanges.

A suggested path through the material:

  1. This lesson from Trade Like a Quant provides a succinct summary.

Where are the tools and research assets related to this strategy?

Crypto Intraday Seasonality

In this webinar (and summary), we look at a simple crypto intraday seasonality trade.

The notebook for the strategy is here.

Crypto Shitcoin Pumps

In this webinar (and summary), we look at managing positions in crypto shitcoin pumps.

Short-Term Reversal Effects in Crypto

In this webinar and summary, we investigate short-term reversal effects in crypto. Turns out that this is a real but weak effect that might prove useful in executing certain crypto strategies, or as one component of a larger strategy. It’s unlikely to be profitable traded alone.

Trading the FTX Leveraged Token Rebalance

This strategy is not updated. Research and trading happened mostly on FTX before it blew up. The strategy might be portable to different exchanges.

A suggested path through the material:

Trading the Ethereum Merge

This is a review of a “one-off” trade that we actually didn’t take. It includes useful lessons on pricing out an effect to decide if there’s a trade.

Fallen Angels Bonds

This is a tactical trade that we looked at briefly in 2023.

Trading Inefficient Closing Auctions

This is a demo of James doing this trade on an NZ stock.

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