Quant Strategy Library — Academic Backtests…

Showing 451–500 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
451	Market Timing S&P 500 with VIX and COT Report	1.79%	1.71	Global	Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
452	Timing Commodities and S&P500 with COT Report	1.79%	1.71	Global	Commodity, Equity	CFDs, ETFs, Funds, Futures	Weekly	Paid	—	Open
453	Combining Seasonality and Momentum in US Equity Sectors	-1.44%	0.06	United states	Equity	ETFs, Funds	Monthly	Paid	—	Open
454	Post-Loss/Profit Announcement Drift in Stocks	6.00%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
455	Insiders Trading Effect in Stocks	6.75%	0.47	United states	Equity	Stocks	Yearly	Paid	—	Open
456	Market Timing with Aggregate Accruals	6.77%	0.74	Global	Equity	CFDs, ETFs, Funds, Futures	Yearly	Paid	—	Open
457	High-Frequency Arbitrage with ETF Twins	7.79%	0.62	Global	Equity	ETFs	Intraday	Paid	—	Open
458	Gold Market Timing	4.48%	0.31	Global	Commodity	ETFs, Funds, Futures	Monthly	Paid	—	Open
459	Paired Switching	6.31%	0.73	Global	Bond, Equity	ETFs, Funds, Stocks	Quarterly	Paid	—	Open
460	Lunar Cycle in Precious Metals	7.86%	0.56	Global	Commodity	CFDs, ETFs, Futures	Daily	Paid	—	Open
461	Net Emotional Volatility Index Effect	6.00%	0.63	United states	Equity	CFDs, ETFs, Funds, Futures	Daily	Paid	—	Open
462	Short-Term Reversal in Equity Index Futures	4.06%	0.28	Europe	Equity	CFDs, ETFs, Futures	Weekly	Paid	—	Open
463	Demographic Changes Predict Stock Market Returns	6.14%	0.39	Global	Equity	ETFs	Yearly	Paid	—	Open
464	Momentum in FOREX Trading Strategies	3.30%	0.27	United states	Currency	CFDs, Forwards, Futures, Swaps	Daily	Paid	—	Open
465	Idiosyncratic Momentum in Stocks	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
466	Commodities Timing based on a Monetary Conditions	7.64%	0.54	United states	Commodity	ETFs, Futures	Daily	Paid	—	Open
467	Exploiting Option Information in the Equity Market	7.89%	0.63	United states	Equity	Stocks	Weekly	Paid	—	Open
468	US Holiday Effect in EU Markets	11.49%	0.73	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
469	Market Timing Filter Applied to a Momentum and Other Factor Strategies	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
470	Cold IPOs Effect	8.76%	0.55	United states	Equity	Stocks	Monthly	Paid	—	Open
471	Volatility Term Structure Predicts Option Returns	7.89%	0.63	United states	Equity	Options	Monthly	Paid	—	Open
472	Institutional Ownership Effect	7.89%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
473	Pairs Trading on Intraday Basis	7.89%	0.63	Europe	Equity	Stocks	Intraday	Paid	—	Open
474	Shorting Stocks on the Option Expiration Day	4.62%	0.55	United states	Equity	Stocks	Daily	Paid	—	Open
475	Abnormal Volume Effect in the Stock Market	6.00%	0.63	Europe	Equity	Stocks	Daily	Paid	—	Open
476	Simple NAV Arbitrage within Country ETFs	6.27%	0.39	Global	Equity	ETFs	Daily	Paid	—	Open
477	Catching “Falling Knife” Stocks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
478	Dual Listed Stock Arbitrage	6.77%	0.74	United states	Equity	Stocks	Intraday	Paid	—	Open
479	Optimized Currency Portfolios	3.36%	0.26	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
480	Timing Carry Trade	3.99%	0.34	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
481	Categorization Effect in Stocks	7.89%	0.63	United states	Equity	Stocks	Weekly	Paid	—	Open
482	Adaptive Moving Averages used for Market Timing	6.60%	0.73	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
483	CEO Interviews Effect	7.89%	0.63	United states	Equity	Futures, Stocks	Daily	Paid	—	Open
484	Short-term Adaptive Reversal in S&P 500 Index	1.44%	0.17	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
485	Timing VIX ETNs	0.58%	0.17	United states	Equity	ETFs	Daily	Paid	—	Open
486	Put-Call Spread Predicts Earnings Announcement Returns	6.00%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
487	Productivity of Cash Effect in the Stock Market	6.00%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
488	Complexity Effect in Stocks	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
489	Trendfollowing Effect within REITs	2.83%	0.36	United states	REITs	ETFs, Stocks	Monthly	Paid	—	Open
490	Advertising Effect within Stocks	7.89%	0.63	United states	Equity	Stocks	Semi-yearly	Paid	—	Open
491	Long Term Debt Factor within Stocks	6.77%	0.74	United states	Equity	Stocks	Yearly	Paid	—	Open
492	Effect of Change in Non-Current Operating Assets	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
493	Default Risk Filter Applied on Momentum Effect within Stocks	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
494	Classical Equity Anomalies Combined with Trendfollowing Filter	6.60%	0.73	Global	Equity	Stocks	Monthly	Paid	—	Open
495	Instititutional Ownership Effect During Earnings Announcements	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
496	Dividend Announcement Effect	7.89%	0.63	United states	Equity	Futures, Stocks	Monthly	Paid	—	Open
497	Value Premium in Large Cap Stocks	7.89%	0.63	Global	Equity	Stocks	Monthly	Paid	—	Open
498	Selling Options on Bond ETFs	2.68%	0.28	United states	Bond	Options	Monthly	Paid	—	Open
499	Switching between Value and Momentum in Stocks	2.63%	0.61	Global	Equity	Stocks	Monthly	Paid	—	Open
500	Trendfollowing Combined with Momentum in Commodity Futures	4.90%	0.33	United states	Commodity	Futures	Monthly	Paid	—	Open

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