Quant Strategy Library — Academic Backtests…

Showing 501–550 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
501	Share Issuance Effect	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
502	Volatility Of Volatility Effect in Stocks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
503	Adaptive Asset Allocation	4.13%	0.42	Global	Bond, Commodity, Equity	ETFs	Monthly	Paid	—	Open
504	Market Timing Strategy Based on Principal Component Analysis	7.32%	0.74	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
505	Scheduled Economic Announcements Effect in Stocks	7.89%	0.63	Global	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
506	Long-Term Reversal Combined with a Momentum Effect	2.74%	0.23	Emerging markets	Equity	ETFs	Monthly	Paid	—	Open
507	Time Series Momentum Combined with Volatility Filters in Futures Markets	1.86%	0.27	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Daily	Paid	—	Open
508	Time Series Momentum Combined with Volatility Filters in FOREX	2.13%	0.21	Global	Currency	CFDs, Futures	Daily	Paid	—	Open
509	Active Collar Strategy	8.09%	0.68	United states	Equity	ETFs, Funds, Options	Monthly	Paid	—	Open
510	Option/Stock Volume Ratio Predicts Stock Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
511	Change in Option/Stock Volume Ratio Predicts Stock Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
512	FX Momentum Seasonality	2.13%	0.21	Global	Currency	CFDs, Futures	Daily	Paid	—	Open
513	Momentum and Trend Following in Global Asset Allocation	2.79%	0.24	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
514	Timing Carry Trade v2	5.60%	0.53	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
515	One Day Momentum Effect in Stocks	6.00%	0.63	United states	Equity	Stocks	Intraday	Paid	—	Open
516	Realized Skewness Predicts Equity Returns	7.89%	0.63	United states	Equity	Stocks	Weekly	Paid	—	Open
517	Profitability Factor Combined with Value Factor	6.00%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
518	Improved Merger Arbitrage	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
519	Insiders’ Silence	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
520	Trend Factor within Stocks	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
521	Google Search Volume Combined with Extent of Press News Predicts Stocks’ Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
522	Mean Variance Carry Trade Strategy	5.56%	0.47	Global	Currency	Stocks	Monthly	Paid	—	Open
523	Comomentum Strategy	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
524	Debt Growth Effect Combined with Asset Growth Effect	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
525	Using Straddles to Trade on Earnings Announcements	11.49%	0.73	United states	Equity	Options	Daily	Paid	—	Open
526	Carry Factor within Asset Classes	0.65%	0.16	Global	Bond, Commodity, Currency, Equity	Futures	Monthly	Paid	—	Open
527	Scheduled Economic Announcements Effect in Bonds	2.68%	0.28	Global	Bond	CFDs, Futures	Daily	Paid	—	Open
528	Spin-off Anomaly	8.74%	0.55	United states	Equity	Stocks	Daily	Paid	—	Open
529	Large Price Changes combined with Analyst Revisions	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
530	Sector Rotation via Credit Relative Value	6.73%	0.48	United states	Equity	ETFs, Funds, Stocks	Weekly	Paid	—	Open
531	Trading VIX ETFs	0.58%	0.17	United states	Equity	ETFs	Daily	Paid	—	Open
532	Filtered Short-Term Reversal	1.44%	0.17	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
533	Momentum Combined with Insider Trading	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
534	Long-Term PB Ratio Effect in Stocks Combined with Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
535	Post-Split Drift Combined with PEAD Anomaly	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
536	Trading on the Dividend Paydate	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
537	Value Effect within Countries v2	6.46%	0.39	Global	Equity	ETFs, Futures	Monthly	Paid	—	Open
538	Momentum Combined with Value Effect within Countries	1.42%	0.18	Global	Equity	ETFs, Futures	Monthly	Paid	—	Open
539	Momentum Effect in Stocks Combined with Stop-Losses	6.77%	0.74	United states	Equity	Stocks	Daily	Paid	—	Open
540	Interest Rates Momentum Predicts FX Rates	3.63%	0.27	Global	Currency	CFDs, Forwards, Futures, Swaps	Intraday	Paid	—	Open
541	Intraday Momentum in Equities	6.00%	0.63	Global	Equity	CFDs, ETFs, Futures	Intraday	Paid	—	Open
542	Closed-End Fund Mean Reversion Trading	3.83%	0.69	Global	Bond, Equity	Funds	Monthly	Paid	—	Open
543	Cross-Sectional Momentum in Futures	3.84%	0.52	Global	Bond, Currency, Equity	CFDs, Futures	Semi-yearly	Paid	—	Open
544	Federal Open Market Committee Meeting Effect on US Dollar	5.56%	0.47	United states	Currency	CFDs, ETFs, Futures	Daily	Paid	—	Open
545	Turn of the Month Effect in Futures Momentum Strategy	4.48%	0.31	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Daily	Paid	—	Open
546	Cloning Hedge Fund Indexes	7.89%	0.63	United states	Equity	Options	Monthly	Paid	—	Open
547	FX Value v2 – Real Exchange Rate Changes	6.27%	0.39	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
548	FX Value v3 – Real Exchange Rate Levels	6.27%	0.39	Global	Currency	CFDs, Forwards, Futures, Swaps	Weekly	Paid	—	Open
549	Trend Following in Commodity Calendar Spreads	4.48%	0.31	Global	Commodity	Futures	Daily	Paid	—	Open
550	Trading Commodity Calendar Spreads	-0.48%	0.07	Global	Commodity	Futures	Monthly	Paid	—	Open

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