Quant Strategy Library — Academic Backtests…

Showing 351–400 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
351	Pairs Trading with Wavelet Transform	6.77%	0.74	United states	Equity	Stocks	Daily	Paid	—	Open
352	Narrative-Based Asset Allocation	6.54%	0.50	United states	Equity	Stocks	Daily	Paid	—	Open
353	Cross Industry Dispersion Factor	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
354	Industry-Relative Stock Beta in Chinese Equities	5.62%	0.40	China	Equity	Stocks	Monthly	Paid	—	Open
355	Market Timing Corporate Bonds with Machine learning – Random Forests	3.49%	0.87	United states	Bond	ETFs, Funds	Monthly	Paid	—	Open
356	Timing Carry Trade with Central Banks’ Announcements	8.04%	0.71	Global	Currency	CFDs, Forwards, Futures, Swaps	Daily	Paid	—	Open
357	Traditional Carry in Cryptocurrencies	7.89%	0.63	Global	Crypto	Crypto	Weekly	Paid	—	Open
358	Machine Learning – Random Forests Predicts Cross Section of Corporate Bonds	3.73%	0.60	United states	Bond	Bond	Monthly	Paid	—	Open
359	Timing the Factor Zoo via Deep Learning: Evidence from China	7.54%	0.58	China	Equity	Stocks	Daily	Paid	—	Open
360	Trend-Based Machine Learning Crypto Strategy	55.46%	1.04	Global	Crypto	Crypto	Weekly	Paid	—	Open
361	Momentum (and Value) Enhanced by Institutional Prediction	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
362	Weighted Frequency of Losses	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
363	Factor Ownership Predicts Factor Returns	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
364	Implied Put-Call Volatility Spread in US Equities	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
365	Co-Skewness Enhanced Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
366	How Satellite Launches Influence Stock Returns	6.00%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
367	Opening Range Breakout (ORB) Strategy in QQQ	11.49%	0.73	United states	Equity	CFDs, ETFs, Futures	Intraday	Paid	—	Open
368	High-Momentum in Liquid Cryptocurrencies	6.00%	0.63	Global	Crypto	Crypto	Weekly	Paid	—	Open
369	Predicting Stock Outperformance by Machine Learning	7.35%	0.44	Global	Equity	Stocks	Monthly	Paid	—	Open
370	Network Diversification for a Robust Portfolio Allocation	3.51%	0.49	Global	Bond, Commodity, Equity, REITs	ETFs	Monthly	Paid	—	Open
371	Announcement-Adjusted Industry-Relative Reversal Factor	1.44%	0.17	United states	Equity	Stocks	Monthly	Paid	—	Open
372	Pairs Trading in Cryptocurrencies	1.44%	0.17	Global	Crypto	Crypto	Daily	Paid	—	Open
373	Financial Integration and Currency Returns	5.56%	0.47	Global	Currency	CFDs, Forwards, Futures	Monthly	Paid	—	Open
374	Improved Cross-Asset Time-Series Momentum I-XTSM	6.00%	0.63	United states	Bond, Equity	CFDs, ETFs, Funds, Futures	Quarterly	Paid	—	Open
375	Customer Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
376	Technical Analysis Sentiment Predicts Stock Returns	6.77%	0.74	United states	Equity	Stocks	Yearly	Paid	—	Open
377	Shorting Companies With the Most Overpaid CEOs	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
378	Intangibles-Adjusted Profitability Factor	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
379	Term Spread and Term Premium Predict US Government Bonds Returns	3.84%	0.79	United states	Bond	CFDs, ETFs, Forwards, Funds, Futures, Swaps	Monthly	Paid	—	Open
380	Listen Closely: Using Vocal Cues to Predict Future Earnings	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
381	Expected Change in Liquidity Forecasts Stocks’ Returns	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
382	Using Wavelet Transformation to Predict S&P 500 Performance	6.54%	0.50	United states	Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
383	Convenience Yield Risk Factor Predicts Commodity Futures Returns	0.65%	0.16	United states	Equity	CFDs, Futures	Monthly	Paid	—	Open
384	Conditional Currency Momentum Portfolios	3.30%	0.27	United states	Currency	CFDs, Forwards, Futures	Monthly	Paid	—	Open
385	Gamma Factor Premium	8.57%	0.64	United states	Equity	Stocks	Monthly	Paid	—	Open
386	The High Resolution Term Structure of Stock Return Predictability	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
387	Arbitrage Opportunities from MSCI Index Reconstitutions In Asian Stock Markets	4.87%	0.32	China, Emerging markets, India, Japan	Equity	Stocks	Daily	Paid	—	Open
388	Technical Sentiment Index in Cryptocurrencies	37.74%	0.89	Global	Crypto	Crypto	Weekly	Paid	—	Open
389	Fundamental Sentiment Index in Cryptocurrencies	37.74%	0.89	Global	Crypto	Crypto	Weekly	Paid	—	Open
390	Exploring the Factor ZOO with a Machine-Learning Portfolio	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
391	Using ChatGPT to Forecast Stock Price Movements	6.77%	0.74	United states	Equity	Stocks	Daily	Paid	—	Open
392	Estimating Hedge Funds’ Returns Out of Sample	10.11%	0.58	Global	Equity	Funds	Yearly	Paid	—	Open
393	Tail Risk Hedging with Cheap Options	7.89%	0.63	United states	Equity	ETFs, Funds, Futures, Options	Monthly	Paid	—	Open
394	Deep Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
395	The Term Structure of Machine Learning Alpha	7.89%	0.63	United states	Equity	Stocks	Quarterly	Paid	—	Open
396	Multi Risk Premia Strategy	7.45%	0.41	Global	Bond, Commodity, Currency, Equity	CFDs, ETFs, Forwards, Futures, Stocks, Swaps	Quarterly	Paid	—	Open
397	Forward Variance Factor Predicts Stock Returns	6.00%	0.63	Global	Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
398	Double Bottom Country Trading Strategy	6.31%	0.39	Global	Equity	ETFs	Daily	Paid	—	Open
399	Bitcoin Leads Altcoins on Intraday Basis	37.74%	0.89	Global	Crypto	Crypto	Intraday	Paid	—	Open
400	On-Chain Cashflows and the Cross-Section of Cryptocurrency Returns	65.79%	1.14	Global	Crypto	Crypto	Daily	Paid	—	Open

Loading strategies…