Quant Strategy Library — Academic Backtests…

Showing 651–700 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
651	Daily Box Office Earnings and Aggregate Stock Returns	7.89%	0.63	United states	Equity	CFDs, ETFs, Funds, Futures	Daily	Paid	—	Open
652	Timing S&P500 Using Full vs. Partial Employment	6.70%	0.77	United states	Bond, Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
653	Betting Against Alpha	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
654	Earnings Acceleration Effect in Stocks	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
655	Value-Growth Timing	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
656	Supply Chain Based Equity Strategy	7.35%	0.44	Global	Equity	Stocks	Monthly	Paid	—	Open
657	Trading Based on Levered ETFs Speculation Sentiment	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
658	Style Concentration and Stock Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
659	Political Uncertainty and Commodity Prices	-0.48%	0.07	Global	Commodity	CFDs, ETFs, Forwards, Futures, Swaps	Quarterly	Paid	—	Open
660	Cross-Section of Stock Returns Predicted by Commitment of Traders Information	6.00%	0.63	United states	Equity	Stocks	Weekly	Paid	—	Open
661	Trading Futures Using Basis Indicator	3.83%	0.69	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Monthly	Paid	—	Open
662	Time-Series Momentum Factor in Cryptocurrencies	-12.68%	-0.01	Global	Crypto	Crypto	Weekly	Paid	—	Open
663	Carry Factor in Cryptocurrencies	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
664	Value Factor in Cryptocurrencies	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
665	Blended Factors in Cryptocurrencies	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
666	The 52-Week High and Short-Term Reversal in Stock Returns	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
667	Moving Average Strategies for Cryptocurrencies	55.46%	1.04	Global	Crypto	Crypto	Daily	Paid	—	Open
668	Time-Series Momentum and Carry	0.65%	0.16	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Monthly	Paid	—	Open
669	Weather-Based Equity Trading Strategy	6.27%	0.39	Global	Equity	ETFs, Futures	Daily	Paid	—	Open
670	Enhanced Betting Against Beta Strategy in Equities	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
671	Moving Averages Distance Strategy in Equities	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
672	Implied Skewness Strategy in Commodities	-1.65%	0.04	Global	Commodity	CFDs, Futures	Daily	Paid	—	Open
673	Cryptomarket Discounts	37.74%	0.89	Global	Crypto	Crypto	Daily	Paid	—	Open
674	Lottery Stocks and the 52-Week High	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
675	The Conservative Formula	6.00%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
676	Intraday Market-Wide Ups/Downs and Returns	6.00%	0.63	United states	Equity	CFDs, ETFs, Futures	Intraday	Paid	—	Open
677	Oil Surprise Factor in Equities	0.65%	0.16	United states	Equity	Stocks	Quarterly	Paid	—	Open
678	Curvature Factor in Currencies	3.84%	0.52	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
679	Sales Seasonality Premium	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
680	When to Own Stocks and When to Own Gold	7.89%	0.63	United states	Commodity, Equity	CFDs, ETFs, Futures	Yearly	Paid	—	Open
681	Accruals Momentum	6.00%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
682	Lame-Duck CEOs	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
683	When Short Sellers and Corporate Insiders Agree on Stock Pricing	7.89%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
684	Accruals Effect Combined with Price Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
685	Carry On – Enhanced Carry Strategy	7.78%	0.70	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
686	International Volatility Arbitrage	6.31%	0.39	Global	Equity	Options	Monthly	Paid	—	Open
687	Cross-Sectional Seasonalities in International Government Bond Returns	5.00%	0.31	Global	Bond	Futures	Monthly	Paid	—	Open
688	Alpha Momentum in Country and Industry Equity Indexes	4.28%	0.29	Global	Equity	ETFs, Futures	Monthly	Paid	—	Open
689	Using VIX to Time Options Writing	7.89%	0.63	United states	Equity	ETFs, Options	Monthly	Paid	—	Open
690	Cash-Based Operating Proﬁtability	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
691	Timing Betting Against Beta with Small Stocks	3.51%	0.41	Global	Equity	Stocks	Monthly	Paid	—	Open
692	Cointegrated Cryptocurrency Portfolios	37.74%	0.89	Global	Crypto	CFDs, Crypto, Forwards, Futures, Swaps	Daily	Paid	—	Open
693	Trading Volume in Cryptocurrency Markets and Reversals	-12.68%	-0.01	Global	Crypto	CFDs, Crypto	Daily	Paid	—	Open
694	The Impact of Turnovers on Short-Term Momentum and Reversal	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
695	Halloween Effect during Low and High CAPE Months	7.89%	0.63	United states	Equity	CFDs, ETFs, Funds, Futures	Semi-yearly	Paid	—	Open
696	Buy-Side Competition and Momentum Profits	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
697	12 Month Seasonal Reversals	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
698	Patent-to-Market Equity Factor	6.00%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
699	Sovereign CDS Predicts FX Market Return	4.87%	0.32	Global	Currency	CFDs, Futures	Monthly	Paid	—	Open
700	Using Baltic Dry Index to Trade Tanker Shipping Companies	6.97%	0.52	Global	Equity	Stocks	Monthly	Paid	—	Open

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