Quant Strategy Library — Academic Backtests…

Showing 101–150 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
101	Global Equity Rotation Strategy Based on Seasonal Market Timing	5.26%	0.76	Global	Equity	CFDs, ETFs, Funds, Futures	Semi-annually	Free	—	Open
102	Post-Earnings Reversal Strategy on Optionable US Stocks with Two-Day Holding	1.44%	0.17	United states	Equity	Stocks	Daily	Free	—	Open
103	Global 5-Asset Trend-Following Strategy Using 10-Month SMA Filter	7.58%	0.69	Global	Bond, Commodity, Equity, REITs	CFDs, ETFs, Funds, Futures	Monthly	Free	—	Open
104	Top 3 Sector Momentum Rotation Strategy with Monthly Rebalancing	6.31%	0.43	United states	Equity	ETFs, Funds, Stocks	Monthly	Free	—	Open
105	Carry Trade Strategy: Long Highest-Rate Currencies, Short Lowest-Rate	6.31%	0.43	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Free	—	Open
106	Low Volatility Large-Cap Stock Strategy with Monthly Decile Ranking	6.00%	0.63	Global	Equity	Stocks	Monthly	Free	—	Open
107	Global Currency Momentum Strategy with Long Top 3 and Short Bottom 3 Positions	3.30%	0.27	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Free	—	Open
108	Global Currency Value Strategy Using OECD PPP Adjusted by CPI and Exchange Rates	3.30%	0.27	Global	Currency	CFDs, Forwards, Futures, Swaps	Quarterly	Free	—	Open
109	US Equities Pairs Trading Strategy with Six-Month Mean Reversion Holding	6.77%	0.74	United states	Equity	Stocks	Daily	Free	—	Open
110	Top 100 Market Cap Weekly Reversal Strategy	1.44%	0.17	Global	Equity	Stocks	Weekly	Free	—	Open
111	US Momentum Strategy Using 12-Month Returns Excluding Most Recent Month	6.00%	0.63	United states	Equity	Stocks	Monthly	Free	—	Open
112	Country ETF Momentum Strategy Selecting Top 5 with 10-12 Month Momentum	3.58%	0.27	United states	Equity	ETFs, Funds	Monthly	Free	—	Open
113	Country ETF Long-Short Reversal Strategy Based on 36-Month Returns with Triennial Rebalance	6.57%	0.38	United states	Equity	ETFs, Funds	Every 3 Years	Free	—	Open
114	Monthly Index Straddle Selling with Out-of-the-Money Put Crash Protection	7.89%	0.63	Global	Equity	Futures, Options, Swaps	Monthly	Free	—	Open
115	Commodity Futures Momentum Strategy	0.65%	0.16	Global	Commodity	CFDs, Futures	Monthly	Free	—	Open
116	Commodity Futures Roll-Return Strategy	-0.48%	0.07	Global	Equity	Futures	Monthly	Free	—	Open
117	US Equity Size Factor Strategy	6.77%	0.74	United states	Equity	Stocks	Yearly	Free	—	Open
118	US Equity Value Factor Strategy: Monthly Long High and Short Low Book-to-Price Stocks	6.77%	0.74	United states	Equity	Stocks	Monthly	Free	—	Open
119	Top 3 ETF Momentum Strategy Selecting from SPY, EFA, BND, VNQ, GSG	5.90%	0.40	Global	Bond, Commodity, Equity, REITs	CFDs, ETFs, Funds, Futures	Monthly	Free	—	Open
120	Multi-Asset Momentum and Valuation Strategy Using Adjusted Yield Rankings	2.98%	0.27	Global	ETFs, Funds, Futures	Bond, Equity, REITs	Monthly	Free	—	Open
121	Seasonal Global Equity Rotation Strategy with Hemispheric and Sector Timing	7.43%	0.43	Global	Equity	CFDs, ETFs, Funds, Futures	Semi-annually	Free	—	Open
122	Earnings Surprise Strategy Using EAR and SUE with Quarterly Rebalancing	7.89%	0.63	United states	Equity	Stocks	Semi-annually	Free	—	Open
123	Net Payout Yield Strategy	7.89%	0.63	United states	Equity	Stocks	Yearly	Free	—	Open
124	Net Current Asset Value Effect	8.24%	0.51	Europe	Equity	Stocks	Yearly	Free	—	Open
125	Balance Sheet Accruals Strategy	7.89%	0.63	United states	Equity	Stocks	Yearly	Free	—	Open
126	SPY Turn-of-the-Month Strategy	7.89%	0.63	United states	Equity	CFDs, ETFs, Funds, Futures, Options	Daily	Free	—	Open
127	Consensus Best Ideas Strategy Using 13F Filings from Active Mutual Fund Managers	7.89%	0.63	Global	Equity	CFDs, ETFs, Funds, Futures	Semi-annually	Free	—	Open
128	Weekly US Futures Reversal Strategy Based on Volume, Open Interest, and Past Returns	-13.34%	-0.15	United states	Bond, Commodity, Currency, Equity	CFDs, Futures	Weekly	Free	—	Open
129	Short Interest Strategy	6.75%	0.47	United states	Equity	ETFs, Stocks	Monthly	Free	—	Open
130	Asset Growth Anomaly Strategy	7.89%	0.63	United states	Equity	Stocks	Yearly	Free	—	Open
131	International ETF Pairs Trading Strategy	5.76%	0.41	Global	Equity	ETFs	Daily	Free	—	Open
132	Industry Alpha Bubble Strategy: Monthly Long Allocation to Statistically Significant Outperforming Sectors	6.62%	0.44	Global	Equity	ETFs, Funds	Monthly	Free	—	Open
133	Short Interest Long-Short Strategy	6.75%	0.47	United states	Equity	Stocks	Monthly	Free	—	Open
134	FOMC Event-Based Stock Timing Strategy	7.89%	0.63	Global	Equity	CFDs, ETFs, Funds, Futures	Daily	Free	—	Open
135	Betting-Against-Beta Strategy	6.00%	0.63	United states	Equity	Stocks	Monthly	Free	—	Open
136	Global Country ETF Betting-Against-Beta Strategy	3.58%	0.27	Global	Equity	ETFs, Futures	Monthly	Free	—	Open
137	Earnings Announcement Volume Concentration Strategy	7.89%	0.63	United states	Equity	Stocks	Monthly	Free	—	Open
138	US Pre-Holiday Equity Exposure Strategy	7.89%	0.63	United states	Equity	CFDs, ETFs, Funds, Futures	Daily	Free	—	Open
139	Momentum Strategy for No-Load US Equity Mutual Funds	6.00%	0.63	United states	Equity	Funds	Quarterly	Free	—	Open
140	Industry Momentum Strategy: Monthly Long Stocks in Top Industries by Price-to-52-Week High, Short Bottom Industries	6.00%	0.63	United states	Equity	Stocks	Monthly	Free	—	Open
141	Equity Style Momentum: Long Best, Short Worst Russell Style ETFs	6.60%	0.73	United states	Equity	ETFs	Monthly	Free	—	Open
142	Oil-Driven Equity Allocation via Monthly Regression	2.05%	1.50	Global	Equity	CFDs, ETFs, Funds, Futures	Monthly	Free	—	Open
143	WTI-Brent Spread Reversion via 20-Day SMA	4.48%	0.31	Global	Commodity	Futures	Daily	Free	—	Open
144	S&P 100 Long Strategy During Option Expiry Week	9.01%	0.69	United states	Equity	CFDs, ETFs, Futures, Stocks	Weekly	Free	—	Open
145	UEFA Match Day Short Soccer Stock Strategy	5.56%	0.36	Europe	Equity	Stocks	Daily	Free	—	Open
146	January Return-Based Equity Timing Strategy	8.50%	0.74	Global	Equity	CFDs, ETFs, Funds, Futures	Monthly	Free	—	Open
147	January Small-Cap Entry, Large-Cap Hold Strategy	6.57%	0.52	Global	Equity	CFDs, ETFs, Funds, Futures	Monthly	Free	—	Open
148	Multi-Asset Momentum Strategy with Volatility-Adjusted Positioning	0.65%	0.16	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Monthly	Free	—	Open
149	Momentum and Asset Growth Long-Short Strategy with January Exclusion	6.00%	0.63	United states	Equity	Stocks	Monthly	Free	—	Open
150	Top 30% Market Cap Stocks Momentum Long-Short Strategy	6.00%	0.63	United states	Equity	Stocks	Monthly	Free	—	Open

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