The
Accrual Anomaly strategy implements the accrual anomaly factor. It rebalances annually on the first trading day of May, going long low-accrual stocks and short high-accrual ones.
Testing indicates an average annual return of about 12%. It performs best in the U.S. equity market.
Positions are adjusted once per year; no intraday signals are used.
- Entry Criteria: see implementation for accrual calculations.
- Long/Short: Both directions.
- Exit Criteria: Rebalance on next scheduled date.
- Stops: No explicit stop logic.
- Default Values:
- Deciles = 10
- CandleType = TimeSpan.FromDays(1).TimeFrame()
- Filters:
- Category: Fundamental
- Direction: Both
- Indicators: Fundamentals
- Stops: No
- Complexity: Intermediate
- Timeframe: Daily
- Seasonality: Yes
- Neural Networks: No
- Divergence: No
- Risk Level: Medium