3-Asset Cointegration Triplet
Stat ArbStat Arb
Cointegrated triplets vector reverts
Source: Quant
52-Week High Anomaly
FactorFactor
Long stocks near 52w high
Source: George-Hwang
ADR Arbitrage
Stat ArbArb
Trade ADR vs underlying foreign listing
Source: Banks
Accrual Anomaly
FactorFactor
Short high-accrual long low-accrual
Source: Sloan
Acquirers Multiple (Carlisle)
FactorFactor
Long lowest EV/EBIT
Source: Carlisle
Analyst Recommendations Factor
FactorFactor
Long buy-rated short sell-rated
Source: Womack
Asset Growth Anomaly
FactorFactor
Short high asset growth long low
Source: Cooper-Gulen-Schill
Autoencoder Feature Extraction
MLDL
Autoencoder for latent factors
Source: ML
Avellaneda-Stoikov MM
HFTHFT
Optimal market making model
Source: Avellaneda-Stoikov
Bayesian Online Changepoint
MLRegime
Detect regime change Bayesian
Source: Adams-MacKay
Betting Against Beta (BAB)
FactorFactor
Long low-beta short high-beta levered
Source: Frazzini-Pedersen
CNN-LSTM Hybrid
MLDL
Conv-recurrent hybrid
Source: ML
Carhart 4-Factor (Momentum)
FactorFactor
3-factor + momentum
Source: Carhart
CatBoost
MLML
Categorical boosting
Source: Yandex
Cointegrated ETF Pairs (XLF/XLE)
Stat ArbStat Arb
Trade sector ETF pairs
Source: Quant
Cointegration Pairs
Stat ArbStat Arb
Long under-perf + short over-perf cointegrated stocks
Source: Engle-Granger
Composite Quality Score
FactorFactor
Combine ROE/leverage/earnings stability
Source: Asness
Cross-Asset Arbitrage
HFTHFT
Trade ETF vs basket of underlyings
Source: Banks
Cross-Sectional Momentum
FactorFactor
Long top decile short bottom decile by 12m-1m return
Source: Jegadeesh-Titman
DDPG / PPO RL Trader
MLRL
Policy gradient RL agent
Source: OpenAI
DTW (Dynamic Time Warping) Pattern Match
MLPattern
DTW finds historical analog patterns
Source: ML
Dark Pool Execution
ExecutionExecution
Execute large block in dark pool
Source: Banks
Deep Q-Learning (DQN) Trader
MLRL
DQN to learn trade decisions
Source: Mnih
Defensive Factor
FactorFactor
Long defensive short aggressive stocks
Source: AQR
Distance Pairs
Stat ArbStat Arb
Match by distance metric and trade spread
Source: Gatev-Goetzmann-Rouwenhorst
Dual-Class Share Arbitrage
Stat ArbArb
Trade A/C class share spreads
Source: Public
ETF Arbitrage (Create/Redeem)
Stat ArbArb
Authorized participant create/redeem arb
Source: APs
Earnings Surprise Drift (PEAD)
FactorFactor
Long positive surprise short negative
Source: Bernard-Thomas
Elastic Net
MLML
L1+L2 regularization
Source: ML
F-Score (Piotroski)
FactorFactor
Long high F-score value stocks
Source: Piotroski
Fama-French 3-Factor Model
FactorFactor
Long small cheap value short large growth
Source: Fama-French
Fama-French 5-Factor Model
FactorFactor
5-factor extension with profitability and investment
Source: Fama-French
GAN Synthetic Data Generator
MLDL
GAN generates synthetic price paths for robustness
Source: ML
GARP (Growth At Reasonable Price)
FactorFactor
Long growth at low PEG
Source: Lynch
GRU Recurrent Net
MLDL
Gated recurrent unit
Source: Cho
Gaussian Mixture Regime
MLRegime
GMM for regime classification
Source: ML
Hawkes Process Order Flow
HFTHFT
Model order arrivals as Hawkes process
Source: Quant
Hidden Markov Model Regime
MLRegime
HMM for market regime detection
Source: Hamilton
Iceberg Order Algo
ExecutionExecution
Show small slice keep rest hidden
Source: Banks
Idiosyncratic Volatility
FactorFactor
Short high-iVol long low-iVol
Source: Ang-Hodrick
Implementation Shortfall
ExecutionExecution
Almgren-Chriss optimal execution
Source: Almgren-Chriss
Index Arbitrage
Stat ArbArb
Trade index futures vs basket
Source: Banks
Industry Momentum
FactorFactor
Long top industries short bottom
Source: Moskowitz-Grinblatt
Investment Factor (CMA)
FactorFactor
Long conservative short aggressive investors
Source: Fama-French
K-Nearest Neighbors
MLML
KNN for prediction
Source: ML
K-means Clustering Regime
MLRegime
K-means on features for regimes
Source: ML
Kalman Filter Pairs
Stat ArbStat Arb
Use Kalman filter for time-varying hedge ratio
Source: Quant
LLM-Based Trade Signal
MLNLP
Use LLM (GPT/Claude) for sentiment + prediction
Source: Public
LSTM Time Series
MLDL
Long short-term memory recurrent net
Source: Hochreiter-Schmidhuber
Lasso Regression
MLML
L1-regularized regression for feature selection
Source: ML
Latency Arbitrage HFT
HFTHFT
Arb between fast and slow venues
Source: HFT
LightGBM Model
MLML
LightGBM gradient boosting
Source: Microsoft
Limit Order Book Imbalance
MicrostructureMicrostructure
Trade based on bid/ask size imbalance
Source: Cont
Linear Regression Forecast
MLML
Linear regression on features
Source: ML
Liquidity Factor (Pastor-Stambaugh)
FactorFactor
Long illiquid short liquid stocks
Source: Pastor-Stambaugh
Liquidity Seeking Algo
ExecutionExecution
Adaptive volume participation
Source: Banks
Long-Term Reversal (3-5 year)
FactorFactor
Long 3-5y losers short 3-5y winners
Source: DeBondt-Thaler
Low Volatility Anomaly
FactorFactor
Long low-vol stocks short high-vol
Source: Frazzini-Pedersen
M-Score (Beneish)
FactorFactor
Avoid stocks with high M-score
Source: Beneish
Magic Formula (Greenblatt)
FactorFactor
Long high earnings yield + return on capital
Source: Greenblatt
Market Making (Maker-Taker)
HFTHFT
Quote both sides; capture spread + rebates
Source: MMs
Microprice Trading
HFTHFT
Trade micro-price (quote-imbalance-weighted)
Source: Stoikov
Naive Bayes Classifier
MLML
Probabilistic classifier
Source: ML
Net Issuance Anomaly
FactorFactor
Short net issuers long net buybackers
Source: Daniel-Titman
Order Book Imbalance HFT
HFTHFT
Trade short-term price impact of imbalance
Source: HFT
Order Flow Imbalance (OFI)
MicrostructureMicrostructure
OFI on order book updates
Source: Cont-Kukanov-Stoikov
Ornstein-Uhlenbeck Mean Revert
Stat ArbStat Arb
Trade OU half-life mean reversion
Source: Quant
POV (Percent of Volume) Algo
ExecutionExecution
Trade fixed % of market volume
Source: Banks
Pair Trading Long-Short Equity
Stat ArbStat Arb
Long-short pairs trading basket
Source: Hedge funds
Principal Component Stat Arb
Stat ArbStat Arb
Trade residuals from PCA
Source: Avellaneda-Lee
Profitability Factor
FactorFactor
Long high gross profit/assets stocks
Source: Novy-Marx
Quality Factor
FactorFactor
Long high ROE/profitability stocks
Source: Asness/AQR
Queue Position Trading
MicrostructureMicrostructure
Manage queue priority in order book
Source: HFT
Random Forest Predictor
MLML
Ensemble of decision trees
Source: Breiman
Reddit WSB Sentiment
MLNLP
Trade on r/WallStreetBets mentions
Source: Public
Reinforcement Learning Portfolio
MLRL
RL optimizes portfolio weights
Source: ML
Reversal (Short-Term 1-month)
FactorFactor
Long last-month losers short last-month winners
Source: Jegadeesh
Ridge Regression
MLML
L2-regularized regression
Source: ML
Sentiment Analysis NLP
MLNLP
Trade on news sentiment scores
Source: Tetlock/Bollen
Short Interest Anomaly
FactorFactor
Short high SI long low SI
Source: Boehmer-Huszar-Jordan
Size Factor (SMB)
FactorFactor
Long small caps short large caps
Source: Fama-French
Smart Order Router (SOR)
ExecutionExecution
Route order across venues for best price
Source: Banks
Sniffer / Liquidity Detection
ExecutionHFT
Detect hidden orders by probing
Source: HFT
Sniper Algo
ExecutionHFT
Aggressively cross spread when signal triggers
Source: HFT
Statistical Arbitrage HFT
HFTHFT
Microsecond stat arb
Source: HFT
Stealth Execution
ExecutionExecution
Randomize child orders to hide intent
Source: Banks
Support Vector Machine (SVM)
MLML
SVM classifier for direction
Source: Vapnik
TWAP Execution Algo
ExecutionExecution
Slice order over time uniformly
Source: Banks
Time-Series Momentum
FactorFactor
Long if 12m return positive short if negative
Source: Moskowitz-Ooi-Pedersen
Topic Modeling (LDA) on News
MLNLP
LDA topics from news as features
Source: ML
Trade Sign Imbalance
MicrostructureMicrostructure
Cumulative aggressive order flow
Source: Bouchaud
Transformer for Trading
MLDL
Attention-based transformer for time series
Source: Vaswani
Triangular Arbitrage HFT
HFTHFT
FX/crypto triangular arb
Source: HFT
Twitter Sentiment Trade
MLNLP
Trade on Twitter mood index
Source: Bollen
VPIN (Volume-synced PIN)
MicrostructureMicrostructure
Detect toxic order flow
Source: Easley-Lopez de Prado
VWAP Execution Algo
ExecutionExecution
Execute order tracking VWAP
Source: Banks
Value Factor (HML)
FactorFactor
Long value short growth
Source: Fama-French
Word2Vec/GloVe Embeddings
MLNLP
Word embeddings as features
Source: ML
XGBoost Trading Model
MLML
Gradient boosting trees
Source: Chen-Guestrin
Z-Score (Altman)
FactorFactor
Avoid stocks with low Altman Z
Source: Altman
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.