strategy ideas
Research-backed trading strategy ideas
59 backtestable ideas across momentum, mean-reversion, macro, and crypto — each with its rationale, sources, and a one-command backtest. New ideas added weekly.
Cross-sectional momentum and trend-following
Sector dual-momentum rotation (relative + absolute)
rotate into the top few sector ETFs, step aside to bonds when trend is down
Sharpe 0.5–0.8high
Cross-asset time-series momentum on liquid ETFs, large-tick filtered
CTA-style trend following that dodges the microstructure decay
Sharpe 0.4–0.8medium
Residual (factor-neutral) cross-sectional momentum
rank on stock-specific momentum after stripping Fama-French exposures
Sharpe 0.3–0.7medium
Factor momentum via factor/style ETFs
momentum applied to factor portfolios rather than single stocks
Sharpe 0.5–0.9medium
Crash-protected cross-sectional momentum
vol-scaled / dynamic momentum to survive the reversal spikes
Sharpe 0.6–1.1medium-high
Crypto and digital-asset strategies
Time-Series Momentum / Trend Filter on Crypto Majors
ride persistent trends, sit out chop
Sharpe 0.6–1.3high
BTC/ETH Cointegration Pairs
market-neutral mean reversion on the ETH/BTC spread
Sharpe 0.6–1.2medium
Cross-Sectional Momentum Across Liquid Crypto Majors
rotate into the strongest coins
Sharpe 0.5–1.1medium
MSTR-vs-Bitcoin Relative Value
fade the leverage-premium swing against IBIT
Sharpe 0.4–0.9low
Volatility-Targeted Crypto Allocation with Regime Filter
same coins, half the drawdown
Sharpe 0.6–1.1medium
Macro, rates, and cross-asset strategies
Cross-asset time-series momentum (ETF trend)
go long/short each asset on its own 12-month trend, vol-scaled
Sharpe 0.5–0.9high
Credit risk-on/off rotation
rotate HYG when credit is healthy, IEF when spreads widen
Sharpe 0.4–0.8medium
Treasury yield-curve carry & roll-down
long duration when the curve pays you to wait
Sharpe 0.3–0.7medium
Cross-asset gold regime filter
hold gold only when both gold and Treasuries are trending up
Sharpe 0.5–0.9medium
Cross-asset relative-strength rotation with a correlation short hedge
own the strongest sleeves, short the weakest
Sharpe 0.35–0.6medium-low
Mean-reversion and statistical arbitrage
Cross-Sectional Short-Term Reversal (Enhanced, Sector-Neutral)
buy last week's losers, short last week's winners among large caps
Sharpe 0.5–1.0medium
Cointegration ETF Pairs Trading (Stability-Filtered)
trade the spread between cointegrated ETF pairs on z-score extremes
Sharpe 0.6–1.2medium
RSI(2) Time-Series Mean Reversion on Index ETFs
buy short-term oversold, exit on snap-back, long-only above the trend filter
Sharpe 0.5–0.9medium
PCA Residual Statistical Arbitrage on Sector ETFs
trade the mean-reverting residual after hedging out common factors
Sharpe 0.7–1.3medium-low
Dispersion-Conditioned Relative-Value Reversion (Sector vs Index)
fade sector ETFs that overshoot their index during high-dispersion regimes
Sharpe 0.4–0.9low
Sector & industry rotation
Relative-Strength Sector Momentum (Faber Top-3)
buy the three sectors with the strongest trailing momentum, rebalance monthly
Sharpe 0.4–0.9medium
Volatility-Managed Sector Momentum
scale sector-momentum exposure inversely to its own realized volatility
Sharpe 0.7–1.1medium
Cyclical-vs-Defensive Regime Rotation
tilt between a cyclical and a defensive sector basket driven by a broad-market trend regime
Sharpe 0.5–0.9medium
Short-Term Sector Reversal
buy last month's laggard sectors, fade last month's leaders
Sharpe 0.3–0.7low
Seasonality & calendar effects
Turn-of-the-Month Liquidity Window (broad [-3:3]) on International/EM Equity ETFs
capture institutional month-end flows where the anomaly still lives
Sharpe 0.3-0.7medium
Halloween / Sell-in-May Seasonal Switch
rotate equities into defensives for the weak May-October half-year
Sharpe 0.4-0.7medium
Pre-FOMC Announcement Drift Overlay
hold equity index only in the day before scheduled Fed meetings
Sharpe 0.5-0.9medium-low
Front-Running Sector Seasonality
buy the sectors one month ahead of their historically strong month
Sharpe 0.4-0.8medium-low
Gold Month-of-Year Seasonality
own gold in its historically strong months, sit out the weak spring window
Sharpe 0.3-0.6low-medium
Dual-momentum / tactical asset allocation
Hybrid Asset Allocation (HAA)
single TIPS "canary" gates a top-4 dual-momentum basket
Sharpe 0.7–1.1high
Vigilant Asset Allocation G4 (recency-weighted momentum + breadth crash filter)
fast dual momentum with an AGG "spoiler"
Sharpe 0.6–1.1medium
Protective Asset Allocation (PAA)
multi-market breadth sets a continuous bond fraction
Sharpe 0.6–0.9medium
Accelerating Dual Momentum (ADM)
averaged short lookbacks over an international small-cap sleeve
Sharpe 0.5–0.9low
Elastic Asset Allocation (EAA)
generalized momentum weighted by volatility and correlation
Sharpe 0.5–0.9low
Risk-managed & volatility-targeted allocation
Inverse-Volatility Naive Risk Parity
weight a multi-asset ETF sleeve by 1/realized-vol so each sleeve contributes equal risk
Sharpe 0.5–1.0high
Single-Asset Realized-Volatility Targeting
scale equity-index exposure up/down to hold constant target vol
Sharpe 0.4–0.7medium
Equal-Risk-Contribution Risk Parity
covariance-aware weights so every sleeve contributes identical portfolio risk
Sharpe 0.6–1.1medium-high
Hierarchical Risk Parity
cluster the realized correlation tree, then allocate by recursive bisection
Sharpe 0.5–0.9medium
Minimum-Variance / Maximum-Diversification
realized-covariance optimizer that minimizes total portfolio vol
Sharpe 0.5–1.0medium
Factor & style rotation (factor/style etfs)
Defensive Factor Switch (Low-Vol vs High-Beta)
ride high-beta in calm markets, hide in low-vol when volatility spikes
Sharpe 0.5–0.9medium
Value–Growth Relative-Value Reversion
fade stretched style spreads back toward their mean
Sharpe 0.3–0.7low–medium
Macro-Cycle Factor Rotation
tilt to cyclical factors in expansions, defensive factors in slowdowns, using cross-asset ETF regime proxies
Sharpe 0.4–0.8medium
Volatility-Managed Factor Overlay
scale total factor exposure inversely to each factor's own realized variance
Sharpe 0.4–0.8medium
Factor Breadth Participation Rotation
let the share of factors in uptrends decide offensive vs defensive tilt
Sharpe 0.3–0.7low–medium
Pairs trading & cointegration (etfs)
Kalman-Filter Dynamic Hedge-Ratio Pairs
trade a state-space spread whose beta re-estimates every day
Sharpe 0.4–0.9medium
OU Optimal-Threshold Pairs (half-life-gated)
derive entry/exit bands analytically from the fitted mean-reversion process
Sharpe 0.6–1.1medium
Copula Mispricing-Index Pairs
trade the conditional-probability signal instead of a linear spread
Sharpe 0.5–1.0medium
Country-ETF Distance Pairs
sum-of-squared-deviations selection on international single-country ETFs
Sharpe 0.4–0.9low
Johansen Triplet Stat-Arb
trade the mean-reverting eigenvector spread of a three-ETF basket
Sharpe 0.4–0.9low-to-medium
Macro, rates & cross-asset (etf-based)
Copper/Gold growth-proxy duration timing
let the copper/gold ratio decide when to own long Treasuries vs the short end
Sharpe 0.4-0.8medium
TIPS breakeven-inflation regime tilt
lean into inflation hedges when market-implied inflation is rising, into duration when it falls
Sharpe 0.5-1.0medium
Stock-bond correlation regime switch
flip between a diversified 60/40 and a defensive posture based on realized SPY-TLT correlation
Sharpe 0.4-0.8medium
Duration-neutral yield-curve slope spread
trade 2s/20s steepness with a DV01-weighted SHY vs TLT pair, timed by slope momentum
Sharpe 0.3-0.7medium-low
Dollar-trend overlay on international equity
own EM/developed-ex-US equity only when the US dollar is in a downtrend
Sharpe 0.4-0.8medium
Cross-sectional momentum & trend-following
52-Week-High Proximity Rotation
buy the sectors closest to their yearly high, not the ones with the biggest trailing return
Sharpe 0.4–0.8medium
Frog-in-the-Pan Quality Momentum
keep only winners that climbed on a smooth, gradual path
Sharpe 0.5–0.9medium
t-Statistic Trend Strength
rank by how reliable the trend is, not how big the return is
Sharpe 0.6–1.0medium
Donchian Breakout Managed-Futures Replication
go long only on fresh N-day highs, cut on N-day lows
Sharpe 0.3–0.7medium
Multi-Horizon Momentum Consensus
hold only where short-, medium-, and long-term trends all agree
Sharpe 0.4–0.8low
Turn any of these into a validated backtest
SignalChain researches, codes, runs, and grades a backtest for any idea here — inside Claude Code, no API key required.
Get SignalChain — $49 →Not financial advice. This page describes a research idea, not a recommendation. Any performance figures are hypothetical, research-derived estimates and are not indicative of future results. SignalChain is a research and educational tool; you are solely responsible for any decisions you make.