Strategy Research Library

Tushar Chande (1995) — Aroon Indicator

Wilder (1978) ATR + Keltner channels — volatility-adjusted breakout

Bill Williams — Awesome Oscillator (5/34 SMA difference)

Frazzini-Pedersen (2014) JFE — Betting Against Beta: low-β stocks outperform high-β risk-adjusted across asset classes

Donchian channel / Turtle Traders system (Richard Dennis, 1980s)

Carhart (1997) J. of Finance — 12-month minus 1-month skip momentum, Fama-French 4-factor UMD component

Donald Lambert (1980) — Commodity Channel Index

E.S.C. Coppock (1962, Barron's) — long-term market timing

Detrended Price Oscillator — cyclical pattern detection

細田悟一 (1969) — 一目均衡表 (close-only approximation)

Kaufman (1995) 'Smarter Trading' — Adaptive Moving Average

Ke et al. (2017) - LightGBM: A Highly Efficient Gradient Boosting Decision Tree

Ang-Hodrick-Xing-Zhang (2006) / Frazzini-Pedersen (2014, BAB) — Low-volatility anomaly: low-vol stocks outperform 4-8% risk-adj

Faber (2007) - A Quantitative Approach to Tactical Asset Allocation; SMA trend filter

Appel (1979) - Moving Average Convergence-Divergence

Wilder (1978) RSI + Bollinger (2002) Bands — combined mean-reversion signal

Jegadeesh & Titman (1993) - Returns to Buying Winners and Selling Losers; price momentum signal

Wilder (1978) - Parabolic SAR (Stop and Reverse)

George-Hwang (2004) J. of Finance — 52-week high momentum: proximity to 52w high predicts continued outperformance

Lane (1950s) - Stochastic Oscillator

Jack Hutson (1980) — TRIX (Triple Exponential Average)

Larry Williams (1976) — Ultimate Oscillator

Botes & Siepman (2010) — Vortex Indicator (VI+/VI-)

Larry Williams (1973) — Williams %R oscillator

Cooper-Gulen-Schill (2008) J. of Finance — Asset growth anomaly: low asset growth firms outperform by 13-21% annual

Warren Buffett style screen — Hagstrom (1995) 'The Warren Buffett Way' / Buffettology 系の Quality + Value + Strength AND filter

S&P Dividend Aristocrats (1989) / 日経連続増配株指数 (2020) — long-run dividend growth + payout sustainability

David Dreman (1980) 'Contrarian Investment Strategy' — low PE + low PB + high dividend + financial stability

Peter Lynch (1989) 'One Up on Wall Street' — Growth At Reasonable Price (PEG < 1 中核)

Greenblatt (2006) 'The Little Book That Beats the Market' — Magic Formula = high Earnings Yield + high ROIC

Graham (1934, 1949) / Oppenheimer (1986) — Net Current Asset Value rule: buy when price < 2/3 × (CA - TL) / shares

John Neff (1999) 'John Neff on Investing' — Windsor Fund low-PE + high dividend + sustainable growth (PEGY ratio)

Damodaran (2012) Investment Valuation — PEG composite with growth durability + quality + financial health

Piotroski (2000) — F-Score 9-criteria value investing screen. 本 plugin は時系列要らない 5 項目に簡略化。

Asness-Frazzini-Pedersen (2019) Rev. of Acc. Studies — Quality Minus Junk: Profitability + Growth + Safety + Payout

Walter Schloss (1994) — Graham 直系のシンプル balance-sheet value: low P/B + low D/E + dividend + positive earnings

JP-specific shareholder-benefit yield anomaly — extends Dogs of the Dow (O'Higgins 1991) with 優待 yield component

四季報独自予想 vs 会社予想の乖離 (positive surprise) signal. 個人購読 CSV を import_shikiho.py で取り込み。

Sloan (1996) — Accruals anomaly: low (NI-CFO)/TotalAssets predicts higher future returns, hedge portfolio 10.4% annual

Stickel (1991) The Accounting Review — Forecast revisions produce drift, count clustering as sentiment signal

JP-specific cross-shareholding unwind catalyst — post-2015 governance code & post-2023 PBR reform driven

Event-driven trading on 適時開示 (TDnet). Catalyst 系: 業績修正・市場替え・主幹事変更・自社株買 等。

EDINET 公式法定開示 (大量保有報告 / TOB / 役員変更 等) の catalyst を signal 化。

Lakonishok-Lee (2001) RFS — Insider trade signal: accumulated institutional buying predicts excess returns

Tetlock (2007) JF — Media intensity predicts volatility and short-term return reversal

Bernard-Thomas (1989) J. of Acc. Research — Post-Earnings Announcement Drift, +3-6% per surprise direction over 60 days

CNN Fear & Greed Index methodology / Baker-Wurgler (2006) — multi-factor sentiment composite, contrarian at extremes

Tetlock (2007) JF / Loughran-McDonald (2011) JF — news/text sentiment predicts short-term returns and reversal

CBOE Put/Call Ratio sentiment — Wang (2001) showed extremes predict reversals over 4-week horizon

Da-Engelberg-Gao (2011) JF — Google Search Volume Index spike predicts +5-10% return drift over 2-4 weeks

Bollen-Mao-Zeng (2011) JOCS / Da-Engelberg-Gao (2011) JF — social media sentiment predicts short-term price moves

Whaley (2000) JPM — VIX as Investor Fear Gauge, extreme readings as contrarian regime signal

Kuttner (2001) JME / Bernanke-Kuttner (2005) JF — Central bank policy surprises drive immediate FX moves + 3-5 day drift

Wang (2003) JFM / CFTC COT data — Speculator positioning extremes (percentile 5/95) predict 4-12 week reversal

Lustig-Verdelhan (2007) AER — Carry trade premium: high interest rate currencies outperform low rate by ~8%/yr

Rogoff (1996) JEL / Cassel (1918) — PPP-based long-run mean reversion, half-life 3-5 years

Menkhoff-Sarno-Schmeling-Schrimpf (2012) JFE — Currency momentum: 1-12 month FX momentum yields 4-6%/yr, low equity correlation

Evans-Lyons (2005) AER — FX order flow predictive in specific sessions, Tokyo/London/NY structural patterns

Ranaldo-Söderlind (2010) Rev. of Finance — JPY safe-haven currency: negative safe-haven beta during global crises

Evans (2002) JF / Melvin-Prins (2015) JIMF — London 4PM fix and end-of-day institutional flow predictability

Engel (2014) Handbook of Int'l Economics — Real yield differential predicts 3-12 month FX moves

Stovall (1996) 'Sector Investing' / Conover et al (2008) JPM — sector cycle rotation via relative momentum

Estrella-Hardouvelis (1991) JF — Yield curve as leading indicator, 7/7 US recessions correctly predicted past 50 years

Crypto spot-perp basis arbitrage — institutional cash-and-carry, persistent premium in bull markets

BTC dominance cycle — BTC season vs altcoin season rotation, 5-cycle historical seasonality

Glassnode / Cryptoquant Exchange Net Flow — on-chain supply/demand pressure detection

Perpetual futures funding-rate cash-and-carry arbitrage — spot long + perp short captures funding premium

Crypto perpetual liquidation cascade — large forced liquidations precede V-shaped reversal in 60%+ cases

Binance Long/Short Account Ratio — retail crowding contrarian, smart-money following signal

Willy Woo / Murad Mahmudov (2018) — MVRV Z-Score, on-chain macro top/bottom detector for Bitcoin

Open Interest / price divergence — crypto-specific top warning and capitulation detection pattern

Crypto option 25-delta IV skew — Deribit-derived fear/greed gauge, contrarian signal at extremes

Stablecoin supply growth — USDT/USDC market cap leads crypto bull/bear cycles by 3-6 months

Ikenberry-Lakonishok-Vermaelen (1995) JFE — Buyback announcement 4-year drift +12%, persists in 2020s

Senchack-Starks (1993) JFQA / Boehmer-Jones-Zhang (2008) JF — Days-to-cover ratio captures short squeeze fuel

Madhavan (2003) FAJ — Russell index reconstitution: +5-7% abnormal return for additions in anticipation period

Frazzini (2018) FAJ / Cohen-Polk-Silli (2010) — 13F top fund new positions yield +5% over 6 months

Campbell-Chen-Dhaliwal-Lu (2014) The Accounting Review — 8-K filings concentrate price discovery, count = activity signal

Seyhun (1986) JFE / Lakonishok-Lee (2001) RFS — Insider Form 4 net buyer signal, +6% over 6 months

Asquith-Pathak-Ritter (2005) JFE — High short interest stocks subject to short squeeze on positive catalysts

Shleifer (1986) JF — S&P 500 inclusion/deletion price effects, +/-5-10% over announcement window

Cusatis-Miles-Woolridge (1993) JFE — Spin-off 3-year abnormal return +76%, Greenblatt specialty strategy

Carr-Wu (2006) J. of Derivatives — VIX term structure regime, backwardation marks crisis bottom approach

Asness-Moskowitz-Pedersen (2013) JoF & Moskowitz-Ooi-Pedersen (2012) JFE — Commodity 12-month TSMOM Sharpe 0.5+, universal across asset classes

Erb-Harvey (2013) FAJ — Gold は実質金利 (10y TIPS yield) inverse hedge、 1997-2020 で persistent -0.85 相関

Baur & Lucey (2010) Financial Review — Gold safe-haven asymmetric β: 株式急落時に negative correlation 発動

Hess (2024) / Lucey-Tully (2006) AFE / Naylor-Wongchoti-Ith (2014) — Gold 9-10 月 monthly +1.5% average (1980-2020)、 Indian Diwali + 中国新年前需要

Bjornson-Kim-Lee (1999) AJAE / Wang-Wu (2012) AE — EIA weekly petroleum status surprise (毎水曜 10:30 EST) は 1-day window で 60%+ directional hit rate

Koijen-Moskowitz-Pedersen-Vrugt (2018) JFE 'Carry' — futures roll yield (期近-期先) は 9 asset class で universal factor、 Sharpe 0.5-1.0 (1972-2012)

Sanders-Boris-Manfredo (2004) Energy Economics + Briese (2008) — CFTC Managed Money net long extreme で mean-revert、 商品 / FX で robust contrarian sentiment indicator

Moskowitz-Ooi-Pedersen (2012) JFE — Time-series momentum: 24 futures markets 12m past return predicts next-month return、 Sharpe 1.43 (1985-2009)、 CTA 業界 core

Caginalp-DeSantis (2011) JoBF & Andrade-Chang-Seasholes (2008) JoBF — equity index 中規模 (0.3-0.8%) overnight gap は 60-70% fill rate、 大規模 gap は continuation 多

Madhavan (2000) JoFM / Comerton-Forde-Putnins (2011) JoFM — JP 寄り 9:00-9:15 機関 VWAP order が 9:30 までに続伸失敗 → intraday reversal (Nikkei 225 で 55-60% hit rate)

Truong (2010) AJM & Sadka (2006) JFE — Earnings 翌日 over-reaction の short-window fade、 PEAD と逆方向 1-3 day mean-reversion。 sniper 戦略 (発表翌日のみ in-market)

Lucca-Moench (2015) JoF & Cieslak-Morse-Vissing-Jorgensen (2019) JoF — Pre-FOMC drift +0.49% (24h window)、 US equity premium の 80% を説明、 1994-2024 persistent