# Showcase Algorithms

TuringTrader comes with a lbirary of showcase algorithms. These are meant to serve as more complete real-life examples for implementing strategies with TuringTrader. We believe these strategies to be great assets for learning, as well as useful starting points for your experiments.

We implement these strategies as close to the original publication as possible. Sometimes it is not clear how exactly the authors simulated these strategies for their publication. The data sources used, and the methods of extending/ substituting them to reach further into the past are of particular concern here. Due to these circumstances, our implementations might show results significantly different from those published. Often some simple changes to the data sources, the code, and the parameters can substantially improve the performance of these strategies.

Here are the strategies available, in no particular order:

Publication and Author | Description | Source Code |
---|---|---|

Parking Trade by Tim Pearson and Dave Thomas | A simple options strategy selling far out of the money put credit spreads. | v1 |

ETF Sector Rotation by Cesar Alvarez | A simple strategy, rotating sector ETFs based on their momentum. | v1 |

Dual Momentum Investing by Gary Antonacci | A portfolio strategy, ranking instruments by both their relative and their absolute momentum. | v1 |

The 30-Minute Stock Trader by Laurens Bensdorp | WR: a long-only strategy rotating through a large universe of individual stocks based on momentum, a trend-filter, and relative strength. MRL (MRS): a long-only (short-only) mean-reversion strategy, selecting stocks from a large universe of individual stocks, based on a trend filter, volatility, ADX and RSI. |
v1 |

The Hedge Fund Edge by Mark boucher | Heine Bond Model and Bond-Bill-Utility Model: Two models combining trend following with macro-economic cues to trade bond ETFs. | v1 |

Stocks on the Move by Andreas F. Clenow | A portfolio strategy, ranking instruments by their volatility-adjusted momentum, and using risk-parity for position sizing. | v1 v2 |

The Alpha Formula by Chris Cain and Larry Connors | A meta strategy, combining various uncorrelated strategies to achieve high returns in many different market scenarios. | v1 |

High Probability ETF Trading by Larry Connors and Cesar Alvarez | A collection of 7 strategies, using various techniques to identify short-term mean-reversal opportunities. | v1 |

Short Term Trading Strategies That Work by Larry Connors and Cesar Alvarez | A collection of 8 strategies, demonstrating various techniques to identify short-term mean-reversal opportunities. | v1 |

The Ivy Portfolio by Mebane Faber | Four variants of portfolio strategies, selecting from a small universe of ETFs on a monthly basis, based on their relative momentum. | v1 |

Relative and Absolute Momentum in Times of Rising/Low Yields by Wouter J. Keller | Bold Asset Allocation: A strategy combining slow relative momentum with fast absolute momentum for crash protection. | v2 |

Momentum and Markowitz: a Golden Combination by Wouter J. Keller, Adam Butler, and Ilya Kipnis | Classical Asset Allocation (CAA): a strategy attempting to create an efficient portfolio of ETFs using Markowitz' Critical Line Algorithm. | v1 |

Breadth Momentum and the Canary Universe by Wouter J. Keller and Jan Willem Keuning | Defensive Asset Allocation (DAA): a strategy combining relative momentum and the breadth-momentum of a canary universe to create a portfolio from a small number of ETFs. | v1 |

Dual and Canary Momentum with Rising Yields/Inflation by Wouter J. Keller and Jan Willem Keuning | Hybrid Asset Allocation (HAA): a strategy combining dual momentum with a single canary asset for fast crash protection. | v2 |

Generalized Momentum and Flexible Asset Allocation by Wouter J. Keller and Hugo van Putten | Flexible Asset Allocation (FAA): A strategy generalizing momentum to include 3 factors: absolute momentum, volatility momentum, and correlation momentum. | v1 |

Growth-Trend Timing and 60-40 Variations by Wouter J. Keller | Lethargic Asset Allocation (LAA): A strategy combining macro-economic indicators with trend-following. | v1 |

Universal Investment Strategy by Frank Grossman | A brute-force mean-variance optimization to allocate between stocks and bonds. | v1 v2 |

Muscular Portfolios by Brian Livingston | Two variants of strategies, creating portfolios of ETFs based on their relative momentum. | v1 v2 |

Sector Rotation Strategy Using The High-Yield Spread by Fancois Soto | A simple strategy using a yield spread to rotate sector ETFs. | v1 |

Quantamentals by Larry Connors and Chris Cain | All-Markets Fixed-Income: A momentum-based strategy to trade pairs of bond ETFs. | v1 |

Anchor Trades by SteadyOptions | An option strategy hedging deep-in-the-money calls by buying 1-year at-the-money puts, financed through selling monthly at-the-money puts. | v1 |

Winning with New IRAs by Martin Zweig | Zweig's Bond Model: A simple trend-following model to trade bond ETFs. | v1 |

You can see most of these strategies running live on TuringTrader.com.