Strategies Library

Browse the Backtested Strategies library to find completed strategy research pages and backtests.

Each strategy card is designed for discovery. It summarizes what the strategy is, what it trades, its category, trade direction, and source credit. Full rules, methodology details, implementation notes, and results are available on the linked backtest page.

BTS Zones — Major Indexes

BTS Zones — Major Indexes is a long-only tactical allocation strategy built to pursue targeted equity participation from the premise that recurring calendar windows can identify favorable periods for major-index exposure, using published BTS Strength Zones and a portfolio-level VIX 50/35 admission regime across QQQ, MDY, IJR, and IYT, with SPY or SHY used when no zone is entered.

Category: Tactical allocation / VIX-regime BTS Strength Zones
Universe: QQQ, MDY, IJR, IYT, SPY, SHY; $VIX is a non-traded reference
Trade Direction: Long-only allocation
Credit: Brian Ernest Metzger; BTS Zones methodology and Major Indexes Heatmap

BTS Zones — Industry Sectors

BTS Zones — Industry Sectors is a long-only tactical allocation strategy built to pursue targeted equity participation from the premise that recurring calendar windows can identify favorable periods for sector exposure, using 14 published BTS Strength Zones and a portfolio-level VIX 50/35 admission regime across nine sector ETFs, with SPY or SHY used when no zone is entered.

Category: Tactical allocation / VIX-regime sector BTS Strength Zones
Universe: VOX, XLY, XLP, XLE, XLV, XLI, XLB, XLK, XLU, SPY, SHY; $VIX is a non-traded reference
Trade Direction: Long-only allocation
Credit: Brian Ernest Metzger; BTS Zones methodology and BTS Sectors heat map

Connors Double 7s

Connors Double 7s is a short-term mean-reversion strategy built to pursue pullback rebounds from the premise that oversold conditions within an uptrend can create temporary dislocations, using seven-day closing extremes and a 200-day trend filter on SPY.

Category: Mean reversion
Universe: SPY
Trade Direction: Long-only / cash
Credit: Larry Connors and Cesar Alvarez, Short-Term Trading Strategies That Work; Cesar Alvarez, Double 7’s Strategy

Distance Pairs Trading — Nasdaq-100

Distance Pairs Trading — Nasdaq-100 is a relative-value mean-reversion strategy built to pursue reconvergence after unusual stock-pair divergence from the premise that historically similar price paths can temporarily separate, using normalized distance matching within point-in-time Nasdaq-100 constituents.

Category: Pairs / Statistical arbitrage
Universe: Point-in-time Nasdaq-100 constituents
Trade Direction: Market-neutral
Credit: Evan Gatev, William N. Goetzmann, and K. Geert Rouwenhorst, Pairs Trading: Performance of a Relative-Value Arbitrage Rule; BTS Nasdaq-100 distance-pairs adaptation

Dividend Aristocrats

Dividend Aristocrats is an index-replication strategy built to pursue durable dividend-growth exposure from the premise that long dividend-increase records identify a distinct quality cohort, using the official point-in-time S&P 500 Dividend Aristocrats constituent basket.

Category: Dividend growth
Universe: S&P 500 Dividend Aristocrats Index point-in-time constituents
Trade Direction: Long-only
Credit: S&P Dow Jones Indices, S&P Dividend Aristocrats Indices Methodology

Donchian Four-Week Rule

Donchian Four-Week Rule is a breakout trend-following strategy built to pursue large directional moves from the premise that new price extremes can signal trend persistence, using strict 20-day High/Low channel breakouts on SPY.

Category: Trend following / Breakout
Universe: SPY
Trade Direction: Long-short
Credit: Richard Donchian; SPY proxy implementation of the Four-Week Rule

Dual Momentum (Antonacci GEM)

Dual Momentum is a global tactical allocation strategy built to pursue equity leadership while seeking defense from the premise that absolute and relative momentum can identify stronger risk regimes, using 12-month momentum across SPY, ACWX, and AGG.

Category: Tactical allocation / Dual momentum
Universe: SPY, ACWX, AGG; Treasury-bill return hurdle used as a signal input only
Trade Direction: Long-only allocation
Credit: Gary Antonacci, Global Equities Momentum; Optimal Momentum

Global Tactical Asset Allocation (Faber)

Global Tactical Asset Allocation is a tactical allocation strategy built to pursue steadier participation across major asset classes from the premise that broad markets trend over time, using 10-month moving-average sleeve signals across five ETF risk sleeves and SHY.

Category: Tactical allocation / Trend following
Universe: SPY, EFA, IEF, VNQ, DBC, SHY
Trade Direction: Long-only allocation
Credit: Mebane T. Faber, A Quantitative Approach to Tactical Asset Allocation

Parabolic SAR

Parabolic SAR is a stop-and-reverse trend-following strategy built to pursue sustained directional movement from the premise that accelerating trailing stops can keep exposure aligned with trend, using Wilder’s Parabolic SAR on SPY.

Category: Trend following / Stop-and-reverse
Universe: SPY
Trade Direction: Long-short
Credit: J. Welles Wilder Jr., New Concepts in Technical Trading Systems

Volatility Targeting

Volatility Targeting is a risk-control strategy built to pursue smoother equity participation from the premise that exposure should contract when realized volatility rises and expand when realized volatility falls, using daily SPY volatility scaling with a synthetic SHY cash/financing proxy.

Category: Volatility / Risk control
Universe: SPY; SHY synthetic cash / financing proxy
Trade Direction: Long-only exposure scaling
Credit: MSCI-style Risk Control methodology; Moreira and Muir, Volatility-Managed Portfolios

52-Week High Momentum (George-Hwang)

52-Week High Momentum is a cross-sectional momentum strategy built to pursue equity leadership from the premise that stocks near 52-week highs often reflect persistent investor demand, using high-proximity ranking across the strategy’s point-in-time eligible equity universe.

Category: Cross-sectional momentum
Universe: Russell 3000 Current & Past
Trade Direction: Long-short
Credit: George and Hwang, The 52-Week High and Momentum Investing