Research Library

Every findings document in the repo, rendered. Sourced directly from the markdown under backtests/ and docs/ — nothing to register, a new file shows up here automatically. Negative results are kept deliberately: most of what's here is a hypothesis that didn't survive.

38 documents are private and not shown.

docs · 9

Strategy 002: 12-1 Cross-Sectional Momentum · 3kb

Jegadeesh & Titman, Returns to Buying Winners and Selling Losers (Journal of Finance, 1993). Still one of the most-replicated equity anomalies.

backtests/docs/002_momentum_12_1.md

Strategy 009: Insider Cluster Buying · 2kb

Cohen, Malloy & Pomorski, Decoding Inside Information (Journal of Finance, 2012). Also Lakonishok & Lee (2001), Jeng et al. (2003).

backtests/docs/009_insider_cluster.md

Strategy 008: Sell-in-May Calendar Effect · 2kb

Folk wisdom + Bouman & Jacobsen, The Halloween Indicator, "Sell-in-May-and-Go-Away": Another Puzzle (American Economic Review, 2002). Subsequent decades of replication.

backtests/docs/008_sell_in_may.md

Strategy 007: Short-Term Reversal (1-week loser-winner) · 2kb

Jegadeesh (1990), Lehmann (1990) — the original short-horizon reversal papers. The mirror image of 12-1 momentum: short-term returns reverse at 1-week/1-month horizons, while medium-term (12-1) returns continue.

backtests/docs/007_short_term_reversal.md

Strategy 006: Net-Net (Graham Deep Value) · 2kb

Benjamin Graham, The Intelligent Investor (1949) and Security Analysis (1934). The original quantitative value strategy. Tweedy Browne, Walter Schloss, and others used variants for decades.

backtests/docs/006_net_net.md

Strategy 005: VIX Term Structure · 2kb

Multiple — vol-arbitrage literature 2010s. Notable: Simon (2014), Donninger (2015), the "Hayek" / "Boggs" VIX-term-structure papers. Popularized in retail circles via SVXY / VXX strategies after the 2011 launch of VIX ETPs.

backtests/docs/005_vix_term_structure.md

Strategy 004: Piotroski F-Score · 3kb

Joseph Piotroski, Value Investing: The Use of Historical Financial Statement Information to Separate Winners from Losers (Journal of Accounting Research, 2000).

backtests/docs/004_piotroski.md

Strategy 003: Post-Earnings Announcement Drift (PEAD) · 2kb

Bernard & Thomas, Post-Earnings-Announcement Drift: Delayed Price Response or Risk Premium? (1989). Replicated and refined for ~40 years.

backtests/docs/003_pead.md

Strategy 001: Magic Formula (Greenblatt) · 3kb

Joel Greenblatt, The Little Book That Beats the Market (2006).

backtests/docs/001_magic_formula.md