Quant Strategy Library — Academic Backtests…

Showing 901–950 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
901	Quality Factor in Stocks	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
902	Reference Prices and Bad News	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
903	Global Imbalance Currency Factor	6.00%	0.63	Global	Currency	CFDs, Forwards, Futures	Monthly	Paid	—	Open
904	Image Recognition in Stock Price Charts Predicts Stock Returns	7.89%	0.63	United states	Equity	Stocks	Weekly	Paid	—	Open
905	Hedging Portfolio	6.77%	0.74	United states	Bond, Commodity, Currency, Equity	Bond, ETFs, Futures, Options, Stocks	Monthly	Paid	—	Open
906	Social Media Sentiment Factor	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
907	Residual Credit Spread Predicts Corporate Bond Returns	3.73%	0.60	United states	Bond	Bond	Monthly	Paid	—	Open
908	Machine Learning in Commodities	-0.48%	0.07	Global	Commodity	Futures	Monthly	Paid	—	Open
909	US Climate Policy News and the Cross-section of Stocks	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
910	Classification of Stocks as Anomaly Longs	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
911	Liquidity Growth Factor	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
912	Chronological Return Ordering	7.89%	0.63	Global	Equity	Stocks	Monthly	Paid	—	Open
913	Constituent Stock News Predict ETF Returns	8.75%	0.56	United states	Equity	ETFs	Intraday	Paid	—	Open
914	Machine Learning and Stock Anomalies in China	6.52%	0.39	China	Equity	Stocks	Monthly	Paid	—	Open
915	Age and Wealth Factors in Norwegian Stocks	5.87%	0.37	Europe	Equity	Stocks	Yearly	Paid	—	Open
916	Short Selling Activity and Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
917	Inventory Mispricing Predicts Oil Returns	-0.48%	0.07	Global	Commodity	Futures	Intraday	Paid	—	Open
918	Climate Beta and Mutual Funds	7.89%	0.63	United states	Equity	Funds	Monthly	Paid	—	Open
919	The Size Effect in Indian Market	9.41%	0.52	Emerging markets	Equity	Stocks	Monthly	Paid	—	Open
920	Cashflow to Price in Indian Market	4.87%	0.32	Emerging markets	Equity	Stocks	Monthly	Paid	—	Open
921	Dynamic Crude Oil Allocation in a Balanced Portfolio	-0.48%	0.07	Global	Bond, Commodity, Equity, REITs	ETFs, Futures	Daily	Paid	—	Open
922	Cross-asset Time-series Momentum (Equities and Crude Oil)	2.52%	0.25	Global	Bond, Equity	ETFs, Futures	Monthly	Paid	—	Open
923	Statistical Arbitrage With CNN and Transformer Networks	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
924	Post-Earnings-Annoucement Drift Using NLP on Earnings Calls	7.89%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
925	Equity Duration	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
926	Mean Absolute Daily Return in Cryptos	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
927	Scaled Volume in Cryptos	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
928	Volatility Effect in Cryptos	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
929	Predicting Informed Trading with Machine Learning	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
930	Machine Learning Stock Analyst	-13.34%	-0.15	United states	Equity	Stocks	Monthly	Paid	—	Open
931	Similar Stock Short-term Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
932	Momentum without the Crash Component	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
933	Price Pressure During Top Dividend Days	7.69%	0.61	United states	Equity	ETFs, Futures, Stocks	Daily	Paid	—	Open
934	Machine Learning for Extracting Pessimism from Newspaper Pictures and Text	3.84%	0.52	Global	Bond, Equity	Bond, ETFs	Monthly	Paid	—	Open
935	Portfolio Optimization with Nonlinear Risk Budgeting using Neural Network	3.83%	0.69	Global	Bond, Commodity, Equity	ETFs	Monthly	Paid	—	Open
936	Betting Against Uncertainty Beta in Australia	7.89%	0.63	Global	Equity	Stocks	Monthly	Paid	—	Open
937	Robust Quality in Stocks	7.89%	0.63	Global	Equity	Stocks	Quarterly	Paid	—	Open
938	ESG in Currencies	7.89%	0.63	Global	Currency	CFDs, Forward, Futures	Monthly	Paid	—	Open
939	Style-Integrated Portfolios of Commodity Futures	6.52%	0.39	China	Commodity	Futures	Monthly	Paid	—	Open
940	When Retail Investors Learn from Insiders	7.89%	0.63	United states	Equity	Stocks	Weekly	Paid	—	Open
941	Idiosyncratic Asymmetry Factor in China	6.00%	0.63	China	Equity	Stocks	Monthly	Paid	—	Open
942	Idiosyncratic Asymmetry in US Stocks	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
943	Volatility Risk Premium in Currencies 2	5.56%	0.47	Global	Currency	CFDs, Forwards, Futures	Monthly	Paid	—	Open
944	Machine Learning Pairs Trading Strategy	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
945	ESG Premium in Options	7.89%	0.63	United states	Equity	Options, Stocks	Monthly	Paid	—	Open
946	Growth Potential and Options Returns	7.89%	0.63	United states	Equity	Options, Stocks	Monthly	Paid	—	Open
947	Mispricing and Idiosyncratic Volatility Effect in Stocks	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
948	Inflation Volatility Risk and Corporate Bonds	3.47%	0.73	United states	Bond	Bond	Monthly	Paid	—	Open
949	Investor Ambiguity in Equities	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
950	Short-Term Reversal and High Uncertainty Periods	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open

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