Quant Strategy Library — Academic Backtests…

Showing 601–650 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
601	Combined Momentum and Counter Trend Strategy on US Equity Indexes	9.24%	0.67	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
602	Trading FOMC Announcements with Summary of Economic Projections	7.89%	0.63	United states	Equity	CFDs, ETFs, Futures	Intraday	Paid	—	Open
603	Option Trading Volume Predicts Equity Returns	11.49%	0.73	Global	Equity	Stocks	Weekly	Paid	—	Open
604	Combined Stock and CDS Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
605	Natural Gas Futures Trading Based on Informed Traders Forecasts	8.16%	0.75	Global	Commodity	Futures	Intraday	Paid	—	Open
606	International Carry Investing on the Yield Curve	3.83%	0.69	Global	Bond	Forwards, Futures, Swaps	Monthly	Paid	—	Open
607	Rank Effect for Commodities	-0.48%	0.07	Global	Commodity	CFDs, Futures	Daily	Paid	—	Open
608	Timing the Small Cap Effect ver. 3	6.48%	0.53	United states	Equity	ETFs, Stocks	Monthly	Paid	—	Open
609	Risk-Managed Industry Momentum	6.31%	0.43	Global	Equity	ETFs	Monthly	Paid	—	Open
610	Abnormal Turnover Effect in the Stock Market	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
611	Volatility Investing Across Asset Classes	10.10%	0.66	Global	Bond, Commodity, Currency, Equity	Swaps	Monthly	Paid	—	Open
612	Investor Sentiment and Momentum Effect in Currencies	3.30%	0.27	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
613	Spread Trading with ADRs	7.99%	0.48	United states	Equity	ETFs	Daily	Paid	—	Open
614	Portfolio Hedging Using VIX Options	-1.26%	0.02	United states	Bond, Equity	ETFs, Options	Monthly	Paid	—	Open
615	Pre-Earnings Announcement Drift	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
616	Timing Betting-Against-Beta (BAB) Anomaly	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
617	Contrast Effect During the Earnings Announcements	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
618	Earnings Announcement Seasonality Effect in Equities	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
619	Volatility-Adjusted Momentum in Corporate Bonds	3.73%	0.60	United states	Bond	Bond	Monthly	Paid	—	Open
620	Cross-Sectional One-Month Equity ATM Straddle Trading Strategy	3.30%	0.27	United states	Equity	Options	Monthly	Paid	—	Open
621	Cross-Sectional Six-Month Equity ATM Straddle Trading Strategy	6.00%	0.63	United states	Equity	Options	Monthly	Paid	—	Open
622	Cross-Sectional Six- Minus One-Month Equity ATM Straddle Calendar Trading Strategy	6.00%	0.63	United states	Equity	Options	Monthly	Paid	—	Open
623	Timing of Option Returns	7.89%	0.63	United states	Equity	Options	Daily	Paid	—	Open
624	Expected Investment Growth within the Cross-section of Stocks Returns	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
625	Halloween Effect During the Mid-Term Election Year	8.50%	0.74	United states	Equity	Stocks	Semi-yearly	Paid	—	Open
626	Opening Range Breakout within Crude Oil	7.89%	0.63	United states	Commodity	Futures	Intraday	Paid	—	Open
627	Global Cross-Asset Time Series Momentum in Bond and Equity Markets	3.63%	0.27	Global	Bond, Equity	ETFs, Futures	Monthly	Paid	—	Open
628	Impact of Macro News on PEAD Strategy	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
629	Dynamic Momentum and Contrarian Trading	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
630	Betting Against Correlation Effect	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
631	Commodity Option Implied Volatility Strategy	-0.86%	0.05	Global	Commodity	CFDs, Futures	Monthly	Paid	—	Open
632	Mispricing of Equity Options With Different Time To Maturity	7.89%	0.63	United states	Equity	Options	Monthly	Paid	—	Open
633	The Tax Day Trade	7.89%	0.63	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
634	Trading Options During Expiration Weekends	7.89%	0.63	United states	Equity	Options	Daily	Paid	—	Open
635	Effect of Corruption on FX Markets	5.56%	0.47	United states	Currency	CFDs, Forwards, Futures, Swaps	Yearly	Paid	—	Open
636	Returns Signal Momentum	0.65%	0.16	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Monthly	Paid	—	Open
637	Time Series Reversal of Momentum on Futures	-7.24%	-0.19	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Monthly	Paid	—	Open
638	US Sector Rotation with Five-Factor Fama-French Alphas	6.52%	0.43	United states	Equity	ETFs	Monthly	Paid	—	Open
639	ETF Creation/Redemption Activity and Return Predictability	7.89%	0.63	United states	Bond, Commodity, Equity	ETFs	Monthly	Paid	—	Open
640	The Crisis Alpha Portfolio	2.15%	0.26	United states	Bond	ETFs	Monthly	Paid	—	Open
641	The Dollar Ahead of FOMC Target Rate Changes	5.56%	0.47	United states	Currency	CFDs, Forwards, Futures, Swaps	Daily	Paid	—	Open
642	Using Intensity of Book to Market to Identify Growth Premium	7.89%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
643	Monthly Reversal and/or Momentum Based on Intraday Returns	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
644	Connected-Stocks Momentum Portfolio	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
645	Trend Following Trading Strategies for Currencies	54.56%	1.02	Global	Crypto, Currency	CFDs, Crypto, Forwards, Futures, Swaps	Daily	Paid	—	Open
646	Idiosyncratic Commodity Momentum	0.65%	0.16	Global	Commodity	CFDs, Futures	Monthly	Paid	—	Open
647	Small Industry Premia	6.77%	0.74	Global	Equity	ETFs, Stocks	Monthly	Paid	—	Open
648	Technology Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
649	Trading the Crude Oil Term Structure	-0.48%	0.07	United states	Commodity	ETFs, Futures	Weekly	Paid	—	Open
650	Timing S&P500 Using a Large Set of Forecasting Variables	7.72%	0.52	United states	Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open

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