Quant Strategy Library — Academic Backtests…

Showing 751–800 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
751	Macroeconomic Announcement Beta Strategy	6.00%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
752	Macroeconomic Announcement Beta Reversal	1.44%	0.17	United states	Equity	Stocks	Daily	Paid	—	Open
753	Jump-Only Momentum and Reversal in Currency Markets	3.81%	0.27	Global	Currency	CFDs, Forwards, Futures	Monthly	Paid	—	Open
754	Cross-Asset Skewness Effect	0.65%	0.16	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Monthly	Paid	—	Open
755	Return Cross-Predictability in Firms with Similar Employee Satisfaction	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
756	Offshore Sales Networks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
757	Speculator Spreading Pressure and the Commodity Futures Risk Premium	6.75%	0.47	Global	Commodity	CFDs, Futures	Monthly	Paid	—	Open
758	Generalised Risk-Adjusted Momentum in Commodities	5.51%	0.61	United states	Commodity	CFDs, Futures	Monthly	Paid	—	Open
759	Generalised Risk-Adjusted Momentum in Equity Indexes	6.39%	0.40	Global	Equity	CFDs, ETFs, Futures	Monthly	Paid	—	Open
760	Generalised Risk-Adjusted Momentum in Stocks	6.00%	0.63	Europe	Equity	Stocks	Monthly	Paid	—	Open
761	Machine Learning-Based Financial Statement Analysis	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
762	Holding Artificial VIX in a Portfolio	7.89%	0.63	United states	Equity	CFDs, ETFs, Futures, Options	Monthly	Paid	—	Open
763	Inteligent Currency Multistrategy	3.63%	0.27	Global	Currency	CFDs, Futures	Monthly	Paid	—	Open
764	Forecasting Index Changes in the German DAX Family	5.56%	0.36	Europe	Equity	Stocks	Daily	Paid	—	Open
765	The Serial Dependence of the Commodity Futures Returns	4.48%	0.31	United states	Commodity	CFDs, Futures	Monthly	Paid	—	Open
766	Toxical Releases and Stock’s Performance	5.56%	0.47	Global	Equity	Stocks	Yearly	Paid	—	Open
767	Credit Rating Announcements from Issuer- versus Investor-Paid Rating Agencies and Stock Returns	3.47%	0.73	United states	Equity	Stocks	Monthly	Paid	—	Open
768	Mean-Variance Market Timing in the FX Market	7.85%	0.71	Global	Currency	Forwards, Futures, Swaps	Monthly	Paid	—	Open
769	Stock Picking of ETF Constituents	6.44%	0.71	United states	Equity	Stocks	Daily	Paid	—	Open
770	Combining VIX Futures Term Structure Strategy and S&P500 Index	-4.06%	-0.07	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
771	Lazy Stock Prices	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
772	Pre-Election Drift In the Stock Market	7.89%	0.63	United states	Equity	CFDs, ETFs, Funds, Futures	Daily	Paid	—	Open
773	The Impact of Linkedin Data about Employees on Stock Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
774	Overlapping Momentum Portfolios	1.44%	0.17	United states	Equity	Stocks	Yearly	Paid	—	Open
775	Pro-Cyclical Stocks and Expected Future Economic Conditions	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
776	Option-to-Futures Volume in Commodities	-0.48%	0.07	Global	Commodity	CFDs, Futures	Weekly	Paid	—	Open
777	Using Machine Learning to Pick the Right Combination of Risky and Risk-Free Asset	3.33%	0.65	United states	Bond, Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
778	Monetary (FOMC) Momentum in Stocks	6.00%	0.63	United states	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
779	Value in Anomalies	6.00%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
780	ETF Momentum	6.00%	0.63	United states	Equity	ETFs	Monthly	Paid	—	Open
781	Interest Rate Momentum in Global Yield Curves	3.84%	0.52	Global	Bond	Futures, Swaps	Daily	Paid	—	Open
782	Carry Factor in Emerging Market Debt	8.18%	0.45	Emerging markets	Bond	Swaps	Monthly	Paid	—	Open
783	Defensive Factor in Emerging Market Debt	5.13%	0.32	Emerging markets	Bond	Swaps	Monthly	Paid	—	Open
784	Momentum Factor in Emerging Market Debt	8.18%	0.45	Emerging markets	Bond	Swaps	Monthly	Paid	—	Open
785	Value Factor in Emerging Market Debt	8.18%	0.45	Emerging markets	Bond	Swaps	Monthly	Paid	—	Open
786	Systematic Investing in Emerging Market Debt	5.13%	0.32	Emerging markets	Bond	Bond	Monthly	Paid	—	Open
787	Volatility Risk Premium in Commodities	-3.92%	-0.06	Global	Commodity	Options	Monthly	Paid	—	Open
788	Volatility Risk Premium in Currencies	5.56%	0.47	Global	Currency	Options	Monthly	Paid	—	Open
789	Exploring Core Earnings with Alternative Data	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
790	S&P500 Futures Return During the EU-Open Period	8.16%	0.75	United states	Equity	CFDs, Futures	Intraday	Paid	—	Open
791	Factor Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
792	Cheap Options Are Expensive	5.56%	0.47	United states	Equity	Options	Monthly	Paid	—	Open
793	Savings Rate Beta and Performance of Stocks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
794	Predicting Intraday Returns with Machine Learning methods	6.00%	0.63	United states	Equity	Stocks	Intraday	Paid	—	Open
795	Retail Trading and Momentum Profitability	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
796	Bear Market Risk and Hedge Fund Returns	8.09%	0.68	United states	Equity	Funds	Monthly	Paid	—	Open
797	Interest Rate Differentials and the Dynamic Asymmetry in USD/EUR pair	7.89%	0.63	Global	Currency	CFDs, Futures	Daily	Paid	—	Open
798	Predicting Bond Returns with Equity Return	2.26%	0.21	Global	Bond	Bond, Futures	Monthly	Paid	—	Open
799	Predicting Bond Returns with Commodity Index	-7.24%	-0.19	Global	Bond	Bond, Futures	Monthly	Paid	—	Open
800	Predicting Bond Returns with a Combined Model	-7.24%	-0.19	Global	Bond	Bond, Futures	Monthly	Paid	—	Open

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