strategy ideas
Research-backed trading strategy ideas
20 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
Turn any of these into a validated backtest
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