Quant Strategy Library — Academic Backtests…

Showing 1–50 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
1	(Re‐)Imag(in)ing Price Trends	1.44%	0.17	United states	Equity	ETFs	Monthly	Free	—	Open
2	A Century of Evidence on Trend-Following Investing	3.33%	0.65	Global	Equity	ETFs	Monthly	Free	—	Open
3	A Machine Learning Approach in Regime-Switching Risk Parity Portfolios	4.43%	0.47	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
4	A Market Timing Strategy for the GCC Conventional and Shariah Stock Indices	6.06%	0.45	United states	Equity	ETFs	Monthly	Free	—	Open
5	A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection	3.37%	0.28	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
6	A hybrid adaptive trading strategy integrating investor sentiment for precious metal ETFs	10.27%	0.58	United states	Equity	ETFs	Monthly	Free	—	Open
7	A machine learning approach to risk based asset allocation in portfolio optimization	2.49%	1.01	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
8	A six-factor asset pricing model	6.77%	0.74	United states	Equity	ETFs	Monthly	Free	—	Open
9	Agnostic Risk Parity: Taming Known and Unknown-Unknowns	4.43%	0.47	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
10	Ai-driven adaptive asset allocation	3.33%	0.65	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
11	Air-Sea Fluxes With a Focus on Heat and Momentum	6.00%	0.63	United states	Equity	ETFs	Monthly	Free	—	Open
12	Analysis of Different Trading Strategy Applicability to Cryptocurrency Market	55.46%	1.04	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
13	Asset Allocation Model for a Robo-Advisor Using the Financial Market Instability Index and Geneti…	2.76%	0.77	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
14	Asset allocation of Australian superannuation funds: a markov regime switching approach	4.49%	0.36	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
15	Basis Immunity: Isotropy as a Regularizer for Uncertainty	8.49%	0.57	United states	Equity	ETFs	Monthly	Free	—	Open
16	Beyond Trend Following: Deep Learning for Market Trend Prediction	6.77%	0.74	United states	Equity	ETFs	Monthly	Free	—	Open
17	Bitcoin intraday time series momentum	55.46%	1.04	Global	Cryptocurrency	Crypto	Daily	Free	—	Open
18	Center-of-mass angular momentum and memory effect in asymptotically flat spacetimes	3.84%	0.52	United states	Equity	ETFs	Monthly	Free	—	Open
19	Combining momentum with reversal in commodity futures	-7.24%	-0.19	Global	Commodity	Commodity	Monthly	Free	—	Open
20	Commodity momentum and reversal: Do they exist, and if so, why?	-7.24%	-0.19	Global	Commodity	Commodity	Monthly	Free	—	Open
21	Comparative analysis of AI-driven versus human-managed equity funds across market trends	6.75%	0.45	United states	Equity	ETFs	Monthly	Free	—	Open
22	Continuous Timing Signals for Growth-Defensive Style Allocation	6.77%	0.74	United states	Equity	ETFs	Monthly	Free	—	Open
23	Cryptocurrencies and momentum	65.79%	1.14	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
24	Cryptocurrency Price Prediction using Regression Models on Momentum Indicators	55.46%	1.04	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
25	Cryptocurrency Price Prediction using a Hybrid Deep Learning Approach with Explainable AI Integra…	-12.68%	-0.01	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
26	Cryptocurrency momentum effect: DFA and MF-DFA analysis	65.79%	1.14	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
27	Cryptocurrency trading: a comprehensive survey	37.74%	0.89	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
28	Deep Hedging with Reinforcement Learning: A Practical Framework for Option Risk Management	4.46%	0.58	United states	Equity	ETFs	Monthly	Free	—	Open
29	Deep Temporal Convolutional Networks for High-Frequency Cryptocurrency Price Forecasting	-12.68%	-0.01	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
30	Deterministic modelling of implied volatility in cryptocurrency options with underlying multiple…	55.46%	1.04	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
31	Does Investor Sentiment Influence South African ETF Flows During Different Market Conditions?	6.06%	0.45	United states	Equity	ETFs	Monthly	Free	—	Open
32	Domain-adapted Learning and Interpretability: DRL for Gas Trading	6.77%	0.74	United states	Equity	ETFs	Monthly	Free	—	Open
33	Dynamic Asset Allocation with Asset-Specific Regime Forecasts	5.13%	0.32	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
34	Dynamics of Periodic Bubbles and Crashes	6.77%	0.74	United states	Equity	ETFs	Monthly	Free	—	Open
35	ETF Resilience to Uncertainty Shocks	65.79%	1.14	United states	Equity	ETFs	Monthly	Free	—	Open
36	Empirical investigation of state-of-the-art mean reversion strategies for equity markets	6.93%	0.62	United states	Equity	ETFs	Monthly	Free	—	Open
37	End-to-End Parametric Portfolio Policies for Cross-Asset Futures Timing	4.43%	0.47	Global	Commodity	Commodity	Monthly	Free	—	Open
38	Establishment of Portfolio Based On Momentum Strategy and Analyzing the Factors Affecting the Por…	-3.12%	0.10	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
39	Factor Models of Cryptocurrency Returns: Financial Theory Approach	65.79%	1.14	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open
40	Factor Momentum and Regime-Switching Overlay Strategy	5.58%	0.51	United states	Equity	ETFs	Monthly	Free	—	Open
41	Factor investing and asset allocation strategies	8.49%	0.57	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
42	Factor models and investment strategies in the renewable energy sector	6.75%	0.45	United states	Us sectors	ETFs	Monthly	Free	—	Open
43	Fast Times, Slow Times: Timescale Separation in Financial Timeseries Data	3.83%	0.69	United states	Equity	ETFs	Monthly	Free	—	Open
44	Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies	6.77%	0.74	United states	Equity	ETFs	Monthly	Free	—	Open
45	Follow the Leader: Enhancing Systematic Trend-Following Using Network Momentum	4.48%	0.31	United states	Equity	ETFs	Monthly	Free	—	Open
46	Fundamental Framework for Technical Analysis	3.33%	0.65	United states	Equity	ETFs	Monthly	Free	—	Open
47	Fusing Blockchain and AI With Metaverse: A Survey	5.56%	0.47	Global	Equity	ETFs	Monthly	Free	—	Open
48	Global Asset Allocation Strategy Using a Hidden Markov Model	4.92%	0.50	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
49	Hierarchical Risk Parity for Portfolio Allocation in the Latin American NUAM Market	7.45%	0.41	Global	Multi-asset	Multi-asset	Monthly	Free	—	Open
50	High frequency momentum trading with cryptocurrencies	65.79%	1.14	Global	Cryptocurrency	Crypto	Monthly	Free	—	Open

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