Quant Strategy Library — Academic Backtests…

Showing 301–350 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
301	Arbitraging Levered ETFs	7.89%	0.63	United states	Equity	ETFs	Monthly	Paid	—	Open
302	Momentum Based on Fractional-Difference Filter	6.00%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
303	Text-Based Recession Detection Strategy	7.89%	0.63	United states	Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
304	ETF Flows Predict Subsequent ETF Performance	6.75%	0.47	United states	Bond, Commodity, Currency, Equity, REITs	ETFs	Intraday	Paid	—	Open
305	Arbitrage Comovement Effect in ETFs	6.75%	0.47	United states	Bond, Commodity, Currency, Equity, REITs	ETFs	Monthly	Paid	—	Open
306	Enhanced Betting Against Beta with Stochastic Dominance	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
307	Accrual Effect in Family Firms	7.89%	0.63	Global	Equity	Stocks	Yearly	Paid	—	Open
308	Negative ESG Premium in Chinese Stock Market	5.71%	0.39	China	Equity	Stocks	Yearly	Paid	—	Open
309	Machine Learning and the Cross-Section of Cryptocurrency Returns	65.79%	1.14	Global	Crypto	Crypto	Weekly	Paid	—	Open
310	Diversified Machine Learning in Emerging Markets	4.87%	0.32	Emerging markets	Equity	Stocks	Monthly	Paid	—	Open
311	Hedging Factor in Cryptocurrencies	1.85%	1.73	Global	Crypto	Crypto, ETFs, Futures	Weekly	Paid	—	Open
312	News Sentiment and Equity Returns – BERT ML Model	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
313	A Machine Learning Approach to Stock Returns Prediction in China	7.54%	0.58	China	Equity	Stocks	Monthly	Paid	—	Open
314	Time-Series Momentum Portfolios with Deep Multi-Task Learning	3.84%	0.52	Global	Bond, Commodity, Currency, Equity	CFDs, Futures	Monthly	Paid	—	Open
315	Environmental Machine Learning Strategy in Equities	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
316	Size Factor vs. Monetary Policy Regime	6.57%	0.52	United states	Equity	Stocks	Monthly	Paid	—	Open
317	Fund Flows Predict Emerging Markets FX Returns	4.87%	0.32	Global	Currency	Forwards, Futures, Swaps	Weekly	Paid	—	Open
318	Presidential Fiscal News and Cross-section of Stock Returns	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
319	Skewness factor in Chinese Equities	6.00%	0.63	China	Equity	Stocks	Monthly	Paid	—	Open
320	VIX Beta Factor in Chinese Equities	6.00%	0.63	China	Equity	Stocks	Monthly	Paid	—	Open
321	Reversal After Voluntary Disclosures	1.44%	0.17	United states	Equity	Stocks	Quarterly	Paid	—	Open
322	Relative Sentiment and Machine Learning for Tactical Asset Allocation	6.54%	0.50	Global	Equity	ETFs, Funds, Futures	Monthly	Paid	—	Open
323	Patent Innovation Factor in Stocks	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
324	Overnight Reversal and the Asymmetric Reaction to News	1.44%	0.17	United states	Equity	Stocks	Intraday	Paid	—	Open
325	Factor Allocation with Reinforcement Learning	6.00%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
326	Investment Factor in Indian Stocks	6.77%	0.74	India	Equity	Stocks	Yearly	Paid	—	Open
327	Profitability Factor in Indian Stocks	6.77%	0.74	India	Equity	Stocks	Yearly	Paid	—	Open
328	Cross-Sectional Mood Beta Strategy in Equities	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
329	Cross-Sectional Mood Reversal Strategy in Equities	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
330	Firm-Level Investor Sentiment Factor in US	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
331	Modified volatility predicts DJI returns	4.78%	0.53	United states	Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
332	Antonacci’s Dual Momentum	8.83%	0.58	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
333	Keller’s & Keunig’s Protective Asset Allocation	7.43%	0.62	Global	Bond, Commodity, Equity, REITs	Bond, CFDs, ETFs, Funds	Monthly	Paid	—	Open
334	Keller’s & Keunig’s Vigilant Asset Allocation	6.53%	0.40	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
335	Keller’s & Keunig’s Defensive Asset Allocation	3.54%	0.27	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
336	Keller’s & van Putten’s Generalized Momentum and Flexible Asset Allocation	5.61%	0.38	Global	Bond, Commodity, Currency, Equity, REITs	Bond, ETFs	Monthly	Paid	—	Open
337	Adaptive Asset Allocation v.2	5.33%	0.45	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
338	Lethargic Asset Allocation	8.47%	1.02	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
339	Resilient Asset Allocation	8.05%	0.81	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
340	Bold Asset Allocation	6.87%	0.60	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
341	Avoid Equity Bear Markets with a Market Timing Strategy	5.26%	0.76	United states	Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
342	Forecasted Unemployment Beta Predicts the Cross-Section of Stock Returns	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
343	Crypto Perpetual Futures Arbitrage	37.74%	0.89	Global	Crypto	Crypto, Futures	Monthly	Paid	—	Open
344	Contrarian VIX strategy	7.89%	0.63	United states	Equity	ETFs, Futures	Monthly	Paid	—	Open
345	Earnings Delays and Advances Predict Stock Returns	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
346	Machine learning Analysts’ Sentiment Industry Factor	6.00%	0.63	United states	Equity	ETFs, Stocks	Monthly	Paid	—	Open
347	Bond ETF arbitrage with Machine Learning	3.83%	0.69	United states	Bond	ETFs	Daily	Paid	—	Open
348	Switching Between Momentum and Reversal Strategies Based on Market Volatility	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
349	Persistence of Abnormal Trading Volume Effect	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
350	Short Covering Factor	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open

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