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Strategies

Every strategy here was computed on the server from its spec, is reproducible, and is tracked forward every trading day after it was published.

Ranked by deflated Sharpe ratio (adjusts for how many variants were tried).

#StrategyAuthorFamilyUniverseDeflated SharpeForward SharpeForks
1QQQ 50/200 moving-average trendfinzdata-researchma_crosscustom0.88—0
2QQQ 20/100 moving-average trendfinzdata-researchma_crosscustom0.87—0
3Momentum 126d skip 0 · top 50 · Top 500 · long onlyfinzdata-researchmomentumtop5000.86—0
4Momentum 63d skip 0 · top 50 · Top 500 · long onlyfinzdata-researchmomentumtop5000.86—0
5Momentum 126d skip 0 · top 20 · Top 500 · long onlyfinzdata-researchmomentumtop5000.85—0
6Momentum 63d skip 0 · top 20 · Top 500 · long onlyfinzdata-researchmomentumtop5000.83—0
7GLD 50/200 moving-average trendfinzdata-researchma_crosscustom0.83—0
8GLD 20/100 moving-average trendfinzdata-researchma_crosscustom0.82—0
9Momentum 126d skip 21 · top 20 · Top 500 · long onlyfinzdata-researchmomentumtop5000.80—0
10Momentum 252d skip 21 · top 50 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.80—0
11XLK 50/200 moving-average trendfinzdata-researchma_crosscustom0.78—0
12Momentum 126d skip 21 · top 50 · Top 500 · long onlyfinzdata-researchmomentumtop5000.77—0
13Momentum 252d skip 21 · top 50 · Top 500 · long onlyfinzdata-researchmomentumtop5000.77—0
14Momentum 252d skip 0 · top 50 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.76—0
15XLK 20/100 moving-average trendfinzdata-researchma_crosscustom0.76—0
16Momentum 252d skip 0 · top 50 · Top 500 · long onlyfinzdata-researchmomentumtop5000.76—0
17Momentum 252d skip 0 · top 20 · Top 500 · long onlyfinzdata-researchmomentumtop5000.74—0
18Momentum 63d skip 0 · top 20 · Top 500 · long/shortfinzdata-researchmomentumtop5000.73—0
19Momentum 63d skip 21 · top 50 · Top 500 · long onlyfinzdata-researchmomentumtop5000.71—0
20Momentum 126d skip 21 · top 50 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.70—0
21Momentum 252d skip 21 · top 20 · Top 500 · long/shortfinzdata-researchmomentumtop5000.70—0
22Momentum 126d skip 0 · top 20 · Top 500 · long/shortfinzdata-researchmomentumtop5000.70—0
23Momentum 252d skip 0 · top 20 · Top 500 · long/shortfinzdata-researchmomentumtop5000.70—0
24Momentum 252d skip 21 · top 50 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.69—0
25Momentum 126d skip 0 · top 50 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.69—0
26Momentum 252d skip 21 · top 20 · Top 500 · long onlyfinzdata-researchmomentumtop5000.69—0
27SPY 50/200 moving-average trendfinzdata-researchma_crosscustom0.68—0
28Momentum 126d skip 21 · top 20 · Top 500 · long/shortfinzdata-researchmomentumtop5000.68—0
29Momentum 252d skip 0 · top 50 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.68—0
30SPY 20/100 moving-average trendfinzdata-researchma_crosscustom0.67—0
31Momentum 252d skip 0 · top 20 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.63—0
32Momentum 126d skip 21 · top 50 · Top 500 · long/shortfinzdata-researchmomentumtop5000.63—0
33Momentum 252d skip 21 · top 50 · Top 500 · long/shortfinzdata-researchmomentumtop5000.63—0
34Momentum 63d skip 21 · top 20 · Top 500 · long onlyfinzdata-researchmomentumtop5000.62—0
35Momentum 126d skip 0 · top 50 · Top 500 · long/shortfinzdata-researchmomentumtop5000.62—0
36Momentum 252d skip 0 · top 50 · Top 500 · long/shortfinzdata-researchmomentumtop5000.61—0
37Momentum 126d skip 21 · top 50 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.59—0
38Momentum 63d skip 0 · top 50 · Top 500 · long/shortfinzdata-researchmomentumtop5000.58—0
39Momentum 252d skip 21 · top 20 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.55—0
40Momentum 126d skip 21 · top 20 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.51—0
41Momentum 252d skip 0 · top 20 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.51—0
42Momentum 252d skip 21 · top 20 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.48—0
43Momentum 126d skip 21 · top 20 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.46—0
44Trend quality · top 50 · Top 1000 · long onlyfinzdata-researchexprtop10000.45—0
45Momentum 63d skip 21 · top 20 · Top 500 · long/shortfinzdata-researchmomentumtop5000.45—0
46Momentum 126d skip 0 · top 50 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.45—0
47Momentum 63d skip 0 · top 50 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.45—0
48Trend quality · top 50 · Top 500 · long onlyfinzdata-researchexprtop5000.45—0
49Momentum 126d skip 0 · top 20 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.43—0
50Trend quality · top 20 · Top 1000 · long onlyfinzdata-researchexprtop10000.43—0
51Sector momentum 12-month · top 3 of 9 sectors (after Moskowitz & Grinblatt 1999)finzdata-researchexprcustom0.41—0
52Cross-asset momentum 12-1 · top 4 of 16 ETFs (after Asness, Moskowitz & Pedersen 2013)finzdata-researchexprcustom0.36—0
53IWM 50/200 moving-average trendfinzdata-researchma_crosscustom0.35—0
54Trend quality · top 20 · Top 500 · long onlyfinzdata-researchexprtop5000.35—0
55IWM 20/100 moving-average trendfinzdata-researchma_crosscustom0.35—0
56Momentum 63d skip 0 · top 50 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.34—0
57Momentum 63d skip 21 · top 50 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.31—0
58Sector momentum 6-month · top 3 of 9 sectors (after Moskowitz & Grinblatt 1999)finzdata-researchexprcustom0.31—0
59Momentum 126d skip 0 · top 20 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.31—0
60Betting against beta proxy · low 1-year volatility · top 50 · Top 500 · long only (after Frazzini & Pedersen 2014, AQR)finzdata-researchexprtop5000.27—0
61Volatility-scaled momentum · top 50 · Top 500 (after Barroso & Santa-Clara 2015)finzdata-researchexprtop5000.27—0
62Low volatility · top 50 · Top 500 · long onlyfinzdata-researchexprtop5000.25—0
631-week reversal · top 20 · Top 500 · long onlyfinzdata-researchexprtop5000.25—0
641-week reversal · top 50 · Top 500 · long onlyfinzdata-researchexprtop5000.24—0
65Momentum 63d skip 21 · top 50 · Top 500 · long/shortfinzdata-researchmomentumtop5000.24—0
66Momentum 63d skip 21 · top 50 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.22—0
67EEM 20/100 moving-average trendfinzdata-researchma_crosscustom0.22—0
68EEM 50/200 moving-average trendfinzdata-researchma_crosscustom0.21—0
69Momentum 63d skip 21 · top 20 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.21—0
70Momentum 63d skip 0 · top 20 · Top 1000 · long/shortfinzdata-researchmomentumtop10000.21—0
7152-week-high momentum · top 50 · Top 500 · long only (after George & Hwang 2004)finzdata-researchexprtop5000.21—0
72Momentum 63d skip 0 · top 20 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.20—0
73RSI oversold · top 50 · Top 500 · long onlyfinzdata-researchexprtop5000.20—0
74RSI oversold · top 20 · Top 1000 · long onlyfinzdata-researchexprtop10000.20—0
75XLE 20/100 moving-average trendfinzdata-researchma_crosscustom0.17—0
76XLE 50/200 moving-average trendfinzdata-researchma_crosscustom0.17—0
77Trend quality · top 20 · Top 1000 · long/shortfinzdata-researchexprtop10000.16—0
78RSI oversold · top 50 · Top 1000 · long onlyfinzdata-researchexprtop10000.16—0
79EFA 20/100 moving-average trendfinzdata-researchma_crosscustom0.15—0
80EFA 50/200 moving-average trendfinzdata-researchma_crosscustom0.15—0
81Trend quality · top 50 · Top 1000 · long/shortfinzdata-researchexprtop10000.15—0
82XLF 20/100 moving-average trendfinzdata-researchma_crosscustom0.15—0
83XLF 50/200 moving-average trendfinzdata-researchma_crosscustom0.14—0
84RSI oversold · top 20 · Top 500 · long onlyfinzdata-researchexprtop5000.13—0
85Trend quality · top 20 · Top 500 · long/shortfinzdata-researchexprtop5000.13—0
86Commodity momentum 12-1 · top 4 of 13 commodity ETFs (after Miffre & Rallis 2007)finzdata-researchexprcustom0.13—0
87Momentum 63d skip 21 · top 20 · Top 1000 · long onlyfinzdata-researchmomentumtop10000.13—0
881-week reversal · top 50 · Top 1000 · long onlyfinzdata-researchexprtop10000.12—0
89Trend quality · top 50 · Top 500 · long/shortfinzdata-researchexprtop5000.12—0
901-week reversal · top 20 · Top 1000 · long onlyfinzdata-researchexprtop10000.10—0
91Low volatility · top 50 · Top 1000 · long onlyfinzdata-researchexprtop10000.08—0
92Short-term reversal · sectors · bottom 3 of 9 last month (after Lehmann 1990 and Lo & MacKinlay 1990)finzdata-researchexprcustom0.07—0
931-month reversal · top 20 · Top 500 · long onlyfinzdata-researchexprtop5000.07—0
941-week reversal · top 20 · Top 500 · long/shortfinzdata-researchexprtop5000.07—0
951-month reversal · top 50 · Top 500 · long onlyfinzdata-researchexprtop5000.06—0
961-month reversal · top 20 · Top 1000 · long onlyfinzdata-researchexprtop10000.06—0
97Low volatility · top 50 · Top 1000 · long/shortfinzdata-researchexprtop10000.05—0
98Low volatility · top 20 · Top 500 · long/shortfinzdata-researchexprtop5000.05—0
991-month reversal · top 20 · Top 1000 · long/shortfinzdata-researchexprtop10000.05—0
100Cross-asset momentum 12-1 · long/short 16 ETFs (after Asness, Moskowitz & Pedersen 2013)finzdata-researchexprcustom0.04—0

Historical simulation, not investment advice.