I read about an interesting strategy yesterday in Bloomberg Markets, by Douglas Edler and Jonathan Lin. I can't find a link to it at the moment. Basically run a linear regression (6 months?) on the positive and negative market return days. This gives a bull and a bear beta. The goal is to invest in stocks with positive "convexity", where the bear beta is 1.2. Over the last five years, it seems to have produced a legit 7%+ excess CAGR. When quantopian allows screening over big/consistent universes we can replicate it here!
You can run it over 10% of the universe at a time right now. That might be enough for an interesting result. 700-something of the most liquid stocks compares favorably to the DJIA and S&P500 in breadth.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.