Quant Strategy Library — Academic Backtests…

Showing 401–450 of 1411

No.	Strategy name	Annualised return	Sharpe ratio	Region	Market	Asset class	Frequency	Plan	Collect	Link
401	Intangibles Intensity in 10-K Reports	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
402	Low-Risk Anomaly in India	6.00%	0.63	India	Equity	Stocks	Monthly	Paid	—	Open
403	Seasonality in Equity Long-Short Factor Strategies	3.69%	0.27	Global	Equity	Stocks	Monthly	Paid	—	Open
404	Improved Dispersion Trading	11.49%	0.73	United states	Equity	Options, Stocks	Daily	Paid	—	Open
405	Financial Uncertainty Explains Cryptocurrency Returns	37.74%	0.89	Global	Crypto	Crypto	Monthly	Paid	—	Open
406	Measuring Firm Quality Using Machine Learning	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
407	Price-Based Quantitative Strategy for Country Valuation	6.14%	0.39	Global	Equity	ETFs, Funds	Quarterly	Paid	—	Open
408	Intraday Market Return Predictability Based on the Factor ZOO	6.75%	0.45	United states	Equity	Stocks	Intraday	Paid	—	Open
409	Profitability Context and the Cross-Section of Stock Returns	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
410	Option Factor Momentum	1.44%	0.17	United states	Equity	Options	Monthly	Paid	—	Open
411	Overnight Effect during High Volatility Days in Bitcoin	37.74%	0.89	Global	Crypto	Crypto	Intraday	Paid	—	Open
412	Mean-Reversion within Cluster Industries	8.75%	0.56	United states	Equity	Stocks	Monthly	Paid	—	Open
413	Using Machine Learning to Predict Stock Earnings	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
414	Machine Learning ESG Strategy	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
415	Influence of Liquidity, Institutional Ownership & Lottery Effect on Stocks	7.89%	0.63	United states	Equity	Stocks	Yearly	Paid	—	Open
416	Forecasting Crude Oil Prices	-0.48%	0.07	Global	Commodity	CFDs, ETFs, Futures	Monthly	Paid	—	Open
417	Timing Betting-Against-Beta (BAB) Anomaly v.2	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
418	The Effect of Market Returns on Factor Returns	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
419	Aggregate Call Order Imbalance Strategy	11.49%	0.73	United states	Equity	CFDs, ETFs, Funds, Futures	Monthly	Paid	—	Open
420	Characteristics Similarity of the Return-Sorted Portfolios	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
421	Aggregate Momentum Spillover Factor Predicts Stock Returns	6.54%	0.50	United states	Equity	CFDs, ETFs, Funds, Futures, Stocks	Monthly	Paid	—	Open
422	Headquarter Location Effect	7.89%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
423	Daily Momentum in Chinese Equities	6.52%	0.39	China	Equity	Stocks	Daily	Paid	—	Open
424	Monthly Reversal in Chinese Equities	1.67%	0.20	China	Equity	Stocks	Monthly	Paid	—	Open
425	Intraday Stock Market Predictability with Machine Learning	8.75%	0.56	United states	Equity	Stocks	Intraday	Paid	—	Open
426	MACD-V: Volatility Normalised Momentum	6.54%	0.50	Europe	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
427	Mercury Retrograde Astrology Trading Strategy in Chinese Market	5.71%	0.39	China	Equity	CFDs, ETFs, Futures	Daily	Paid	—	Open
428	Overnight-Intraday Reversal in Futures	3.36%	0.26	Global	Equity	CFDs, Futures	Intraday	Paid	—	Open
429	Military Expenditures and Performance of the Stock Markets	6.13%	0.39	Global	Equity	ETFs, Funds	Yearly	Paid	—	Open
430	Industry-adjusted Reversal	3.36%	0.26	Global	Equity	Stocks	Monthly	Paid	—	Open
431	Abnormal Overnight Earnings Return Factor in China	7.54%	0.58	China	Equity	Stocks	Daily	Paid	—	Open
432	Illiquid Bitcoin Options	37.74%	0.89	Global	Crypto	Crypto	Daily	Paid	—	Open
433	The 52-Week High Effect in India	7.89%	0.63	India	Equity	Stocks	Monthly	Paid	—	Open
434	Skewness Risk Premia and the Cross-Section of Currency Returns	3.30%	0.27	Global	Currency	CFDs, Forwards, Futures, Swaps	Monthly	Paid	—	Open
435	Hedging Momentum Crashes	1.85%	1.73	United states	Equity	Stocks	Monthly	Paid	—	Open
436	Cash Operating Profitability Predicts Earnings Announcement Returns	7.89%	0.63	United states	Equity	Stocks	Daily	Paid	—	Open
437	Stock Momentum Volatility Switching Strategy	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
438	Directional Momentum	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
439	Machine Forecast Disagreement	6.77%	0.74	United states	Equity	Stocks	Monthly	Paid	—	Open
440	News-Linked Momentum in China	6.52%	0.39	China	Equity	Stocks	Monthly	Paid	—	Open
441	Sparse Macroeconomic Risks and the Cross-Section of Stock Returns	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
442	Green Revenues Predict Stock Returns	7.35%	0.44	Global	Equity	Stocks	Yearly	Paid	—	Open
443	Volume Weighted Average Price (VWAP) as Precise Trend-Following Indicator for Day-Traders	8.09%	0.68	United states	Equity	Stocks	Intraday	Paid	—	Open
444	Anchoring Bias Factor in Chinese Stocks	6.52%	0.39	China	Equity	Stocks	Monthly	Paid	—	Open
445	Salient Theory Predicts US Stocks in the Cross Section	6.00%	0.63	United states	Equity	Stocks	Monthly	Paid	—	Open
446	Delta Hedged Short Straddle BTC Strategy	37.74%	0.89	Global	Crypto	Crypto	Intraday	Paid	—	Open
447	Why Do US Stocks Outperform EM and EAFE Regions?	8.79%	0.64	Global	Equity	ETFs, Funds	Monthly	Paid	—	Open
448	Harvesting Volatility Risk Premia and Crisis Alpha via ETFs	-17.05%	-0.26	United states	Bond, Commodity, Equity	ETFs	Daily	Paid	—	Open
449	Overnight Anomaly	6.00%	0.63	United states	Equity	ETFs, Funds, Futures, Stocks	Intraday	Paid	—	Open
450	Market Timing with Aggregate and Idiosyncratic Stock Volatilities	2.92%	0.39	Global	Equity	CFDs, ETFs, Funds, Futures	Quarterly	Paid	—	Open

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