Strategies
111 strategies, sorted by verdict (live first, rejected last).
| verdict | name | asset | sharpe | maxDD | primary reason |
|---|---|---|---|---|---|
| marginal | Amihud Illiquidity Premium (US S&P 500) amihud-illiquidity-premium-us-sp500 | equity | +0.12 | -10.80 | regime_dependent |
| marginal | Betting Against Beta (JP All Stocks) betting-against-beta-jp-all | equity | +0.13 | -18.10 | regime_dependent |
| marginal | Calendar Effects (US S&P 500) calendar-effects-us-sp500 | equity | +0.23 | -14.40 | regime_dependent |
| marginal | Cross-Sectional Dispersion Trading (US S&P 500) dispersion-us-sp500 | equity | +0.14 | -30.10 | no_edge |
| marginal | Downside Beta (JP All Stocks) downside-beta-jp-all | equity | +0.39 | -11.70 | no_edge |
| marginal | Earnings Yield x Momentum (JP All Stocks) earnings-yield-momentum-jp-all | equity | +0.08 | -4.50 | regime_dependent |
| marginal | Forecast Revision (JP Growth Stocks) forecast-revision-jp-growth | equity | +0.24 | -7.30 | no_edge |
| marginal | FX Carry Trade (JPY Crosses) fx-carry-jpy-crosses | fx | +0.64 | -32.90 | no_edge |
| marginal | Garman-Klass Volatility Factor (JP All Stocks) garman-klass-vol-jp-all | equity | +0.10 | -21.00 | no_edge |
| marginal | Garman-Klass Volatility Factor (JP Growth Stocks) garman-klass-vol-jp-growth | equity | +0.19 | -21.20 | no_edge |
| marginal | Idiosyncratic Volatility (JP Growth Stocks) idiosyncratic-vol-jp-growth | equity | +0.06 | -20.50 | no_edge |
| marginal | Information Discreteness (US S&P 500) info-discreteness-us-sp500 | equity | +0.23 | -9.50 | no_edge |
| marginal | Liquidity Premium / Amihud Illiquidity (US S&P 500) liquidity-premium-us-sp500 | equity | +0.31 | -12.90 | no_edge |
| marginal | Low Volatility Anomaly (JP Growth Stocks) low-volatility-anomaly-jp-growth | equity | +0.15 | -23.60 | no_edge |
| marginal | Max Return / Lottery Effect (JP Growth Stocks) max-return-lottery-jp-growth | equity | +0.26 | -18.80 | regime_dependent |
| marginal | Cross-Sectional Momentum (US S&P 500) momentum-cross-sectional-us-sp500 | equity | +0.76 | -14.80 | no_edge |
| marginal | Momentum × Volume Interaction (US S&P 500) momentum-volume-us-sp500 | equity | +0.05 | -14.00 | regime_dependent |
| marginal | Multi-Factor Composite (JP Growth Stocks) multi-factor-jp-growth | equity | +0.23 | -21.60 | regime_dependent |
| marginal | Overnight vs Intraday Return (US S&P 500) overnight-intraday-us-sp500 | equity | +0.17 | -13.80 | regime_dependent |
| marginal | Post-Earnings Announcement Drift (JP All Stocks) pead-jp-all | equity | +0.96 | -39.00 | no_edge |
| marginal | Return Autocorrelation Factor (JP All Stocks) return-autocorrelation-jp-all | equity | +0.05 | -18.90 | no_edge |
| marginal | Risk Parity / Volatility Targeting Overlay (US S&P 500) risk-parity-us-sp500 | equity | +0.44 | -25.10 | no_edge |
| marginal | Sector Rotation / Sector Momentum (JP All Stocks) sector-rotation-jp-all | equity | +0.08 | -16.70 | no_edge |
| marginal | Short-Term Reversal (JP Growth Stocks) short-term-reversal-jp-growth | equity | +0.30 | -22.40 | no_edge |
| marginal | Trend Following / Donchian Breakout (US S&P 500) trend-following-us-sp500 | equity | +0.22 | -20.60 | regime_dependent |
| marginal | Turnover Factor (JP All Stocks) turnover-jp-all | equity | +0.12 | -15.80 | no_edge |
| marginal | Volatility Breakout (JP All Stocks) volatility-breakout-jp-all | equity | +0.16 | -14.50 | regime_dependent |
| marginal | Volatility Breakout (US S&P 500) volatility-breakout-us-sp500 | equity | +0.50 | -8.40 | no_edge |
| marginal | Volatility Ratio Reversal (JP Growth Stocks) volatility-ratio-reversal-jp-growth | equity | +0.26 | -10.90 | regime_dependent |
| marginal | Volume Anomaly (US S&P 500) volume-anomaly-us-sp500 | equity | +0.08 | -14.70 | no_edge |
| rejected | Amihud Illiquidity Premium (JP All Stocks) amihud-illiquidity-premium-jp-all | equity | -0.21 | -17.90 | regime_dependent |
| rejected | Amihud Illiquidity Premium (JP Growth Stocks) amihud-illiquidity-premium-jp-growth | equity | -0.96 | -26.20 | no_edge |
| rejected | Betting Against Beta (JP Growth Stocks) betting-against-beta-jp-growth | equity | -0.65 | -26.10 | no_edge |
| rejected | Betting Against Beta (US S&P 500) betting-against-beta-us-sp500 | equity | -1.20 | -59.00 | no_edge |
| rejected | Calendar Effects (JP All Stocks) calendar-effects-jp-all | equity | -0.71 | -30.20 | no_edge |
| rejected | Calendar Effects (JP Growth Stocks) calendar-effects-jp-growth | equity | -0.53 | -36.70 | no_edge |
| rejected | Cross-Sectional Dispersion Trading (JP All Stocks) dispersion-jp-all | equity | -0.16 | -31.30 | no_edge |
| rejected | Cross-Sectional Dispersion Trading (JP Growth Stocks) dispersion-jp-growth | equity | -0.16 | -33.90 | regime_dependent |
| rejected | Downside Beta (JP Growth Stocks) downside-beta-jp-growth | equity | -0.27 | -17.20 | regime_dependent |
| rejected | Downside Beta (US S&P 500) downside-beta-us-sp500 | equity | -1.25 | -52.30 | no_edge |
| rejected | Earnings Reversal (JP All Stocks) earnings-reversal-short-jp-all | equity | -3.15 | -57.00 | no_edge |
| rejected | Earnings Reversal (JP Growth Stocks) earnings-reversal-short-jp-growth | equity | -0.18 | -83.00 | regime_dependent |
| rejected | Earnings Yield (JP All Stocks) earnings-yield-jp-all | equity | +0.33 | -3.70 | no_edge |
| rejected | Earnings Yield (JP Growth Stocks) earnings-yield-jp-growth | equity | -0.03 | -8.40 | regime_dependent |
| rejected | Earnings Yield x Momentum (JP Growth Stocks) earnings-yield-momentum-jp-growth | equity | -0.15 | -8.50 | regime_dependent |
| rejected | Forecast Revision (JP All Stocks) forecast-revision-jp-all | equity | -0.49 | -11.30 | no_edge |
| rejected | Gap Reversal (JP All Stocks) gap-reversal-short-jp-all | equity | -0.75 | -4.50 | no_edge |
| rejected | Gap Reversal (JP Growth Stocks) gap-reversal-short-jp-growth | equity | -0.23 | -17.00 | regime_dependent |
| rejected | Gap Reversal (US S&P 500) gap-reversal-short-us-sp500 | equity | -0.58 | -5.40 | no_edge |
| rejected | Garman-Klass Volatility Factor (US S&P 500) garman-klass-vol-us-sp500 | equity | -0.83 | -52.50 | no_edge |
| rejected | 52-Week High Momentum (JP All Stocks) high52w-momentum-jp-all | equity | -0.57 | -26.30 | no_edge |
| rejected | 52-Week High Momentum (JP Growth Stocks) high52w-momentum-jp-growth | equity | -0.56 | -39.90 | no_edge |
| rejected | 52-Week High Momentum (US S&P 500) high52w-momentum-us-sp500 | equity | -0.44 | -31.60 | no_edge |
| rejected | Idiosyncratic Volatility (JP All Stocks) idiosyncratic-vol-jp-all | equity | -0.04 | -15.20 | regime_dependent |
| rejected | Idiosyncratic Volatility (US S&P 500) idiosyncratic-vol-us-sp500 | equity | -0.99 | -48.20 | no_edge |
| rejected | Information Discreteness (JP All Stocks) info-discreteness-jp-all | equity | +0.02 | -18.10 | no_edge |
| rejected | Information Discreteness (JP Growth Stocks) info-discreteness-jp-growth | equity | +0.02 | -16.80 | no_edge |
| rejected | Liquidity Premium / Amihud Illiquidity (JP All Stocks) liquidity-premium-jp-all | equity | -0.08 | -19.70 | regime_dependent |
| rejected | Liquidity Premium / Amihud Illiquidity (JP Growth Stocks) liquidity-premium-jp-growth | equity | -0.56 | -26.40 | no_edge |
| rejected | Low Volatility Anomaly (JP All Stocks) low-volatility-anomaly-jp-all | equity | -0.17 | -22.90 | regime_dependent |
| rejected | Low Volatility Anomaly (US S&P 500) low-volatility-anomaly-us-sp500 | equity | -1.00 | -58.90 | no_edge |
| rejected | Max Return / Lottery Effect (JP All Stocks) max-return-lottery-jp-all | equity | -0.39 | -27.90 | no_edge |
| rejected | Max Return / Lottery Effect (US S&P 500) max-return-lottery-us-sp500 | equity | -0.91 | -46.10 | no_edge |
| rejected | Mean Reversion (JP All Stocks) mean-reversion-jp-all | equity | -0.36 | -22.30 | no_edge |
| rejected | Mean Reversion (JP Growth Stocks) mean-reversion-jp-growth | equity | +0.03 | -15.20 | regime_dependent |
| rejected | Mean Reversion (US S&P 500) mean-reversion-us-sp500 | equity | -0.38 | -17.90 | no_edge |
| rejected | LightGBM Factor Model (JP All Stocks) ml-factor-lgbm-9f-jp-all | equity | -1.19 | -55.50 | no_edge |
| rejected | Cross-Sectional Momentum (JP All Stocks) momentum-cross-sectional-jp-all | equity | -0.33 | -23.20 | no_edge |
| rejected | Cross-Sectional Momentum (JP Growth Stocks) momentum-cross-sectional-jp-growth | equity | -0.46 | -29.50 | no_edge |
| rejected | Momentum × Volume Interaction (JP All Stocks) momentum-volume-jp-all | equity | -0.09 | -20.90 | no_edge |
| rejected | Momentum × Volume Interaction (JP Growth Stocks) momentum-volume-jp-growth | equity | -0.16 | -18.10 | no_edge |
| rejected | Multi-Factor Composite (JP All Stocks) multi-factor-jp-all | equity | -0.25 | -28.00 | regime_dependent |
| rejected | Multi-Factor Composite (US S&P 500) multi-factor-us-sp500 | equity | -0.85 | -39.10 | no_edge |
| rejected | Overnight vs Intraday Return (JP All Stocks) overnight-intraday-jp-all | equity | -0.11 | -20.00 | no_edge |
| rejected | Overnight vs Intraday Return (JP Growth Stocks) overnight-intraday-jp-growth | equity | -0.35 | -22.70 | no_edge |
| rejected | Post-Earnings Announcement Drift (JP Growth Stocks) pead-jp-growth | equity | -0.28 | -47.20 | regime_dependent |
| rejected | PEG Ratio Value (JP All Stocks) peg-ratio-value-jp-all | equity | +2.23 | 0.00 | signal_frequency |
| rejected | PEG Ratio Value (JP Growth Stocks) peg-ratio-value-jp-growth | equity | -0.57 | -4.60 | no_edge |
| rejected | Return Autocorrelation Factor (JP Growth Stocks) return-autocorrelation-jp-growth | equity | -0.40 | -22.80 | no_edge |
| rejected | Return Autocorrelation Factor (US S&P 500) return-autocorrelation-us-sp500 | equity | -0.57 | -16.10 | no_edge |
| rejected | Risk Parity / Volatility Targeting Overlay (JP All Stocks) risk-parity-jp-all | equity | -0.20 | -25.80 | no_edge |
| rejected | Risk Parity / Volatility Targeting Overlay (JP Growth Stocks) risk-parity-jp-growth | equity | -0.45 | -38.80 | no_edge |
| rejected | Sales Growth Rank (JP All Stocks) sales-growth-rank-jp-all | equity | -1.73 | -6.70 | signal_frequency |
| rejected | Sales Growth Rank (JP Growth Stocks) sales-growth-rank-jp-growth | equity | -0.17 | -7.00 | regime_dependent |
| rejected | Sector Rotation / Sector Momentum (JP Growth Stocks) sector-rotation-jp-growth | equity | -0.38 | -19.20 | no_edge |
| rejected | Short-Term Reversal (JP All Stocks) short-term-reversal-jp-all | equity | -0.66 | -35.00 | no_edge |
| rejected | Short-Term Reversal (US S&P 500) short-term-reversal-us-sp500 | equity | +0.01 | -24.70 | regime_dependent |
| rejected | Skewness Anomaly (JP All Stocks) skewness-anomaly-jp-all | equity | -0.56 | -28.40 | no_edge |
| rejected | Skewness Anomaly (JP Growth Stocks) skewness-anomaly-jp-growth | equity | -0.42 | -21.60 | no_edge |
| rejected | Skewness Anomaly (US S&P 500) skewness-anomaly-us-sp500 | equity | -0.69 | -19.80 | no_edge |
| rejected | Skewness Reversal (JP All Stocks) skewness-reversal-jp-all | equity | -0.65 | -23.00 | no_edge |
| rejected | Skewness Reversal (JP Growth Stocks) skewness-reversal-jp-growth | equity | -0.36 | -13.50 | no_edge |
| rejected | Skewness Reversal (US S&P 500) skewness-reversal-us-sp500 | equity | -1.09 | -18.50 | no_edge |
| rejected | Trend Following / Donchian Breakout (JP All Stocks) trend-following-jp-all | equity | +0.13 | -22.10 | regime_dependent |
| rejected | Trend Following / Donchian Breakout (JP Growth Stocks) trend-following-jp-growth | equity | -0.18 | -31.00 | regime_dependent |
| rejected | Time-Series Momentum (JP All Stocks) ts-momentum-jp-all | equity | -0.19 | -25.30 | no_edge |
| rejected | Time-Series Momentum (JP Growth Stocks) ts-momentum-jp-growth | equity | -0.51 | -12.40 | no_edge |
| rejected | Time-Series Momentum (US S&P 500) ts-momentum-us-sp500 | equity | -0.23 | -8.70 | no_edge |
| rejected | Turnover Factor (JP Growth Stocks) turnover-jp-growth | equity | -0.07 | -24.80 | regime_dependent |
| rejected | Turnover Factor (US S&P 500) turnover-us-sp500 | equity | -0.21 | -15.50 | regime_dependent |
| rejected | Vol-of-Vol Stability (JP All Stocks) vol-of-vol-stability-jp-all | equity | -0.11 | -11.90 | no_edge |
| rejected | Vol-of-Vol Stability (JP Growth Stocks) vol-of-vol-stability-jp-growth | equity | +0.04 | -12.30 | regime_dependent |
| rejected | Vol-of-Vol Stability (US S&P 500) vol-of-vol-stability-us-sp500 | equity | -0.26 | -9.30 | regime_dependent |
| rejected | Volatility Breakout (JP Growth Stocks) volatility-breakout-jp-growth | equity | -0.61 | -31.60 | no_edge |
| rejected | Volatility Ratio Reversal (JP All Stocks) volatility-ratio-reversal-jp-all | equity | -0.20 | -15.40 | no_edge |
| rejected | Volatility Ratio Reversal (US S&P 500) volatility-ratio-reversal-us-sp500 | equity | -0.44 | -10.90 | no_edge |
| rejected | Volume Anomaly (JP All Stocks) volume-anomaly-jp-all | equity | -0.24 | -23.20 | no_edge |
| rejected | Volume Anomaly (JP Growth Stocks) volume-anomaly-jp-growth | equity | -0.03 | -44.10 | regime_dependent |
| rejected | VPT Divergence (JP All Stocks) vpt-divergence-jp-all | equity | -0.06 | -13.20 | regime_dependent |
| rejected | VPT Divergence (JP Growth Stocks) vpt-divergence-jp-growth | equity | -0.94 | -27.20 | no_edge |
| rejected | VPT Divergence (US S&P 500) vpt-divergence-us-sp500 | equity | -0.07 | -7.40 | no_edge |