# Showcase Algorithms

TuringTrader comes with several 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 we implemented, in no particular order:

Name/ Author | Notes |
---|---|

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

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

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

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. Source Code... |

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. Source Code... |

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. Source Code... |

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. Source Code... |

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. Source Code... |

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. Source Code... |

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. Source Code... |

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. Source Code... |

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. Source Code... |

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

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

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. Source Code... |