Quant Strategy Library — Academic Backtests…

Showing 551–600 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
551	Timing Commodity Factor Portfolios	4.48%	0.31	Global	Commodity	Futures	Daily	Paid	—	Open
552	Economic Momentum in Currencies	7.85%	0.71	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
553	Dividend Risk Premium Strategy	8.16%	0.75	Europe	Equity	Futures	Daily	Paid	—	Open
554	Days to Cover Strategy	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
555	Skewness Effect in Country Equity Indexes	6.83%	0.41	Global	Equity	ETFs	Monthly	Paid	—	Open
556	Market Timing Using Lumber/Gold Ratio	4.78%	0.45	Global	Bond, Equity	CFDs, ETFs, Funds, Futures	Weekly	Paid	—	Open
557	Expected Skewness and Momentum in Stocks	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
558	Intraday Currency Seasonality	5.56%	0.47	Global	Currency	CFDs, Futures, Swaps	Intraday	Paid	—	Open
559	Turn of the Month Effect in the Cross-Section of Stock Returns	1.44%	0.17	United states	Equity	Stocks	Daily	Paid	—	Open
560	Overnight Stock Trading	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
561	Overreaction to Merger and Acquisition Announcements	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
562	Post-Earnings Announcement Drift Based on Price Signal Alone	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
563	Post-Earnings Announcement Drift for Friday Evening Announcers	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
564	Shorting Stocks During the Last Hour of Month	6.77%	0.74	United states	Equity	CFDs, ETFs, Futures	Intraday	Paid	—	Open
565	Sequenced Insider Trading	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
566	Trading Commodity ETFs versus Equity ETFs	8.25%	0.58	United states	Commodity, Equity	ETFs	Daily	Paid	—	Open
567	Long-Term Reversal Combined with a Momentum Effect in Industry Portfolios	1.89%	0.19	Global	Equity	ETFs	Quarterly	Paid	—	Open
568	Trading the VIX Futures Roll and Volatility Premiums with VIX Options	7.89%	0.63	United states	Equity	Options	Daily	Paid	—	Open
569	Trading based on Higher Moments in Currency Markets	5.56%	0.47	Global	Currency	CFDs, Futures, Swaps	Monthly	Paid	—	Open
570	Market Neutral Strategy Based on Share Buybacks	3.82%	0.36	United states	Equity	ETFs, Stocks	Daily	Paid	—	Open
571	Timing the Small Cap Effect ver. 2	6.57%	0.52	United states	Equity	ETFs	Monthly	Paid	—	Open
572	Spread (Basis) Momentum within Commodities	0.65%	0.16	Global	Commodity	CFDs, Futures	Monthly	Paid	—	Open
573	Spread (Basis) Momentum within Currencies	3.30%	0.27	Global	Currency	CFDs, Futures, Swaps	Monthly	Paid	—	Open
574	The FOMC Cycle Effect	7.89%	0.63	United states	Equity	CFDs, ETFs, Futures	Monthly	Paid	—	Open
575	Combining Momentum, Term Structure, and Idiosyncratic Volatility within Commodities	0.65%	0.16	Global	Commodity	CFDs, Futures	Monthly	Paid	—	Open
576	Google Search Strategy Based on Limited Investor Attention	7.89%	0.63	Global	Equity	Stocks	Weekly	Paid	—	Open
577	Options Convexity Predicts Consecutive Stock Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
578	Momentum Seasonality and Investor Preferences	6.00%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
579	Momentum Effect in Anomalies v2	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
580	Seasonality Within Trend-Following Strategy in Commodities	4.90%	0.33	Global	Commodity	CFDs, Futures	Monthly	Paid	—	Open
581	Seasonality Effect in Anomalies	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
582	Management Diversity Strategy	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
583	Combining Time-Series and Cross-Sectional Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
584	Combining Fundamental and Transitory Component of Value Strategy	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
585	Absolute Momentum Effect in Stocks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
586	Overnight Momentum Strategy	6.00%	0.63	United states	Equity	Stocks	Intraday	Paid	—	Open
587	Overnight-Intraday Daily Reversal in Commodities	-13.34%	-0.15	Global	Commodity	CFDs, Futures	Intraday	Paid	—	Open
588	Overnight-Intraday Weekly Reversal in Currency Futures	3.36%	0.26	Global	Currency	CFDs, Futures, Swaps	Weekly	Paid	—	Open
589	Overnight-Intraday Weekly Reversal in Interest Rate Futures	4.63%	0.47	Global	Bond	CFDs, Futures, Swaps	Weekly	Paid	—	Open
590	Seasonality in Treasury Auctions Strategy	3.83%	0.69	Global	Bond	Bond, CFDs, Futures, Swaps	Daily	Paid	—	Open
591	Multi-Asset Market Breadth Momentum	7.56%	0.66	United states	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
592	Trading VIX ETFs v2	-14.91%	-0.54	United states	Equity	ETFs	Daily	Paid	—	Open
593	Short-Term (1 Month) Momentum in Currencies	2.13%	0.21	Global	Currency	CFDs, Forwards, Futures, Swaps	Weekly	Paid	—	Open
594	Subsidiary – Parent Equity Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
595	Headquarter Location Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
596	Currency Option Delta-Hedging Strategy	5.56%	0.47	Global	Currency	Options	Intraday	Paid	—	Open
597	Low-Price Effect	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
598	Nearness to 52-Week Low Strategy	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
599	Sector Rotation Strategy Based on Multivariate Regression Analysis	6.52%	0.47	United states	Equity	ETFs	Monthly	Paid	—	Open
600	Stock Splits Strategy Based on Earnings Management	6.77%	0.74	United states	Equity	Stocks	Yearly	Paid	—	Open

Loading strategies…