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