A²PT · Strategy Learning Hub
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156 strategies. Learn the idea through a story, see the mechanics, then test the payoff against real observations.
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- 025Statistical arbitrage & pairs
Statistical arbitrage – optimization
Mean-variance portfolio optimisation converts defined inputs into a rule or allocation. Its scenario illustrates the arithmetic, not validated excess returns.
- 026Market making & liquidity
Market-making
Market making and bid-ask quoting converts defined inputs into a rule or allocation. Its scenario illustrates the arithmetic, not validated excess returns.
- 027Mean reversion & reversal
Internal Bar Strength
Internal Bar Strength places the close within the same bar’s high–low range. A low reading can define a short-term reversal signal. The source also describes cross-sectional ETF ranking; that is not the same rule as a single-stock time-series threshold.
- 028Volatility
Leveraged ETF decay
A leveraged ETF targets L times the benchmark’s daily return, not its long-run return. Daily factors compound, so volatility and path affect the endpoint. Shorting long and inverse products also carries single-leg rallies, recalls, fees and collateral risks.
- 029Trend & time-series momentum
Time-series momentum／trend following
Time-series momentum uses each asset’s own cumulative return to set direction, often over a 6–12 month lookback, with volatility scaling. Long-only positive-momentum ETFs, long/short futures and moving-average filters are distinct implementations.
- 030Hedging & risk management
Bullet／barbell／ladder
The three bond allocations differ in maturity cash flows and reinvestment timing. A bullet concentrates principal at one point, a barbell at short and long ends, and a ladder at regular intervals. Comparisons should control initial duration, credit quality, cash flows and funding.
- 031Hedging & risk management
Bond immunization
Immunisation seeks to align the asset portfolio’s rate sensitivity with a liability so price and reinvestment effects offset under defined conditions. A two-bond example solves matching weights; multiple liabilities, non-parallel shifts, changing cash flows and credit risk require richer methods.
- 032Arbitrage & relative value
Yield-curve butterfly
A yield-curve butterfly is long short- and long-end bonds and short a middle tenor, targeting curve curvature. A dollar-duration-neutral construction controls initial net market value and small parallel-rate risk, but not slope, credit, convexity or funding.
- 033Carry
Carry
Carry is the return component expected while holding a position if other price moves do not occur. Bond carry can include income and the price effect of rolling down a yield curve; FX carry compares funding rates while bearing exchange-rate jump risk. Definitions differ by asset and should not be pooled into one backtest.
- 034Global macro
Yield curve spread：steepener／flattener
A steepener expects the long-minus-short yield spread to widen; a flattener expects it to narrow. DV01 matching can reduce outright duration exposure. State the spread convention explicitly because market shorthand varies.
- 035Arbitrage & relative value
CDS／swap basis arbitrage
The CDS–bond basis compares CDS protection cost with a cash-bond credit spread. A common negative-basis trade buys the bond and CDS protection. Funding, repo, deliverability, recovery, liquidity, capital and counterparty risk can keep the gap open, so it is not risk-free arbitrage.
- 036Arbitrage & relative value
Cash-and-carry／index arbitrage
Index-futures fair value depends on spot, funding, expected dividends and time to expiry. A sufficiently rich future may motivate buying the cash basket and shorting futures. Constituent replication, dividend forecasts, borrow, taxes, margin and settlement basis can make a quoted gap untradeable.