Quant strategy backtests
124 — Sorted by verdict (live first, rejected last). Figures are the median across the grid, not the best run.
| verdict | name | asset | sharpe | maxDD | primary reason |
|---|---|---|---|---|---|
| promising | LightGBM Factor Model (JP All Stocks) ml-factor-lgbm-9f-jp-all | equity | +2.27 | -28.50 | — |
| promising | Pairs Trading / Statistical Arbitrage (JP Growth Stocks) pair-trading-jp-growth | equity | +1.84 | -2.40 | — |
| promising | Pairs Trading / Statistical Arbitrage (US S&P 500) pair-trading-us-sp500 | equity | +1.67 | -1.50 | — |
| marginal | Amihud Illiquidity Premium (US S&P 500) amihud-illiquidity-premium-us-sp500 | equity | +0.07 | -10.80 | regime_dependent |
| marginal | Calendar Effects (US S&P 500) calendar-effects-us-sp500 | equity | +0.20 | -14.40 | regime_dependent |
| marginal | Cross-Sectional Dispersion Trading (US S&P 500) dispersion-us-sp500 | equity | +0.09 | -30.10 | no_edge |
| marginal | Earnings Yield (JP All Stocks) earnings-yield-jp-all | equity | +0.20 | -8.90 | no_edge |
| marginal | Earnings Yield x Momentum (JP All Stocks) earnings-yield-momentum-jp-all | equity | +0.25 | -7.30 | regime_dependent |
| marginal | Forecast Revision (JP Growth Stocks) forecast-revision-jp-growth | equity | +0.26 | -7.40 | regime_dependent |
| 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 | +0.59 | -14.80 | no_edge |
| marginal | Garman-Klass Volatility Factor (JP Growth Stocks) garman-klass-vol-jp-growth | equity | +0.24 | -21.80 | no_edge |
| marginal | Idiosyncratic Volatility (JP All Stocks) idiosyncratic-vol-jp-all | equity | +0.38 | -23.00 | no_edge |
| marginal | Idiosyncratic Volatility (JP Growth Stocks) idiosyncratic-vol-jp-growth | equity | +0.13 | -21.60 | no_edge |
| marginal | Information Discreteness (US S&P 500) info-discreteness-us-sp500 | equity | +0.08 | -10.30 | no_edge |
| marginal | Liquidity Premium / Amihud Illiquidity (US S&P 500) liquidity-premium-us-sp500 | equity | +0.27 | -13.30 | regime_dependent |
| marginal | Low Volatility Anomaly (JP All Stocks) low-volatility-anomaly-jp-all | equity | +0.38 | -23.00 | no_edge |
| marginal | Low Volatility Anomaly (JP Growth Stocks) low-volatility-anomaly-jp-growth | equity | +0.19 | -24.30 | no_edge |
| marginal | Max Return / Lottery Effect (JP Growth Stocks) max-return-lottery-jp-growth | equity | +0.23 | -19.90 | regime_dependent |
| marginal | LightGBM Factor Model 12f-quality (JP Growth Stocks) ml-factor-lgbm-12f-jp-growth | equity | +0.42 | -16.20 | no_edge |
| marginal | ML Factor 12f-Quality with Meta-Label Filter (JP Growth Stocks) ml-factor-lgbm-12f-meta-label-jp-growth | equity | +1.08 | -19.50 | no_edge |
| marginal | LightGBM Factor Model 13f-financial (JP Growth Stocks) ml-factor-lgbm-13f-jp-growth | equity | +0.42 | -16.20 | no_edge |
| marginal | LightGBM Factor Model 16f-all (JP Growth Stocks) ml-factor-lgbm-16f-jp-growth | equity | +0.42 | -16.20 | no_edge |
| marginal | LightGBM Factor Model (JP Growth Stocks) ml-factor-lgbm-9f-jp-growth | equity | +0.42 | -16.20 | no_edge |
| marginal | ML Factor with Meta-Label Filter (JP Growth Stocks) ml-factor-meta-label-jp-growth | equity | +0.66 | -30.60 | no_edge |
| marginal | ML Factor Regime-Gated 12f-quality (JP Growth Stocks) ml-factor-regime-gated-12f-jp-growth | equity | +0.50 | -12.10 | no_edge |
| marginal | ML Factor Regime-Gated 9f-base (JP Growth Stocks) ml-factor-regime-gated-9f-jp-growth | equity | +0.50 | -12.10 | no_edge |
| marginal | Cross-Sectional Momentum (US S&P 500) momentum-cross-sectional-us-sp500 | equity | +0.65 | -15.00 | no_edge |
| marginal | Multi-Factor Composite (JP Growth Stocks) multi-factor-jp-growth | equity | +0.22 | -23.00 | regime_dependent |
| marginal | Overnight vs Intraday Return (US S&P 500) overnight-intraday-us-sp500 | equity | +0.08 | -14.60 | regime_dependent |
| marginal | Post-Earnings Announcement Drift (JP All Stocks) pead-jp-all | equity | +0.11 | -35.20 | regime_dependent |
| marginal | Risk Parity / Volatility Targeting Overlay (US S&P 500) risk-parity-us-sp500 | equity | +0.34 | -25.10 | no_edge |
| marginal | Short-Term Reversal (JP Growth Stocks) short-term-reversal-jp-growth | equity | +0.33 | -23.30 | no_edge |
| marginal | Short-Term Reversal Regime-Gated (JP Growth Stocks) short-term-reversal-regime-gated-jp-growth | equity | +0.46 | -5.00 | no_edge |
| marginal | Short-Term Reversal (US S&P 500) short-term-reversal-us-sp500 | equity | +0.09 | -25.60 | regime_dependent |
| marginal | Trend Following / Donchian Breakout (US S&P 500) trend-following-us-sp500 | equity | +0.10 | -20.60 | no_edge |
| marginal | Vol-of-Vol Stability (JP All Stocks) vol-of-vol-stability-jp-all | equity | +0.25 | -10.00 | no_edge |
| marginal | Vol-of-Vol Stability (JP Growth Stocks) vol-of-vol-stability-jp-growth | equity | +0.09 | -13.10 | regime_dependent |
| marginal | Volatility Breakout (US S&P 500) volatility-breakout-us-sp500 | equity | +0.25 | -11.10 | no_edge |
| marginal | Volatility Ratio Reversal (JP Growth Stocks) volatility-ratio-reversal-jp-growth | equity | +0.12 | -12.40 | regime_dependent |
| marginal | Volume Anomaly (US S&P 500) volume-anomaly-us-sp500 | equity | +0.05 | -15.30 | no_edge |
| rejected | Amihud Illiquidity Premium (JP All Stocks) amihud-illiquidity-premium-jp-all | equity | -1.12 | -41.50 | no_edge |
| rejected | Amihud Illiquidity Premium (JP Growth Stocks) amihud-illiquidity-premium-jp-growth | equity | -0.87 | -27.60 | no_edge |
| rejected | Betting Against Beta (JP All Stocks) betting-against-beta-jp-all | equity | -0.90 | -49.20 | no_edge |
| rejected | Betting Against Beta (JP Growth Stocks) betting-against-beta-jp-growth | equity | -0.68 | -26.60 | no_edge |
| rejected | Betting Against Beta (US S&P 500) betting-against-beta-us-sp500 | equity | -1.20 | -59.10 | no_edge |
| rejected | Calendar Effects (JP All Stocks) calendar-effects-jp-all | equity | -0.43 | -24.20 | no_edge |
| rejected | Calendar Effects (JP Growth Stocks) calendar-effects-jp-growth | equity | -0.60 | -39.00 | no_edge |
| rejected | Cross-Sectional Dispersion Trading (JP All Stocks) dispersion-jp-all | equity | -0.19 | -35.30 | regime_dependent |
| rejected | Cross-Sectional Dispersion Trading (JP Growth Stocks) dispersion-jp-growth | equity | -0.25 | -34.70 | regime_dependent |
| rejected | Downside Beta (JP All Stocks) downside-beta-jp-all | equity | -0.65 | -34.00 | no_edge |
| rejected | Downside Beta (JP Growth Stocks) downside-beta-jp-growth | equity | -0.25 | -18.50 | regime_dependent |
| rejected | Downside Beta (US S&P 500) downside-beta-us-sp500 | equity | -1.15 | -52.40 | no_edge |
| rejected | Earnings Reversal (JP All Stocks) earnings-reversal-short-jp-all | equity | -0.79 | -83.40 | no_edge |
| rejected | Earnings Reversal (JP Growth Stocks) earnings-reversal-short-jp-growth | equity | -0.18 | -83.00 | regime_dependent |
| rejected | Earnings Yield (JP Growth Stocks) earnings-yield-jp-growth | equity | -0.27 | -12.50 | regime_dependent |
| rejected | Earnings Yield x Momentum (JP Growth Stocks) earnings-yield-momentum-jp-growth | equity | -0.07 | -9.30 | regime_dependent |
| rejected | Financial Quality Factor (JP Growth Stocks) financial-quality-jp-growth | equity | -0.72 | -3.30 | signal_frequency |
| rejected | Forecast Revision (JP All Stocks) forecast-revision-jp-all | equity | -0.01 | -8.70 | regime_dependent |
| rejected | Gap Reversal (JP All Stocks) gap-reversal-short-jp-all | equity | -0.74 | -4.60 | no_edge |
| rejected | Gap Reversal (JP Growth Stocks) gap-reversal-short-jp-growth | equity | -0.22 | -17.80 | regime_dependent |
| rejected | Gap Reversal (US S&P 500) gap-reversal-short-us-sp500 | equity | -0.41 | -5.70 | no_edge |
| rejected | Garman-Klass Volatility Factor (US S&P 500) garman-klass-vol-us-sp500 | equity | -0.78 | -50.10 | no_edge |
| rejected | 52-Week High Momentum (JP All Stocks) high52w-momentum-jp-all | equity | -0.23 | -25.60 | regime_dependent |
| rejected | 52-Week High Momentum (JP Growth Stocks) high52w-momentum-jp-growth | equity | -0.53 | -39.90 | no_edge |
| rejected | 52-Week High Momentum (US S&P 500) high52w-momentum-us-sp500 | equity | -0.48 | -31.90 | no_edge |
| rejected | Idiosyncratic Volatility (US S&P 500) idiosyncratic-vol-us-sp500 | equity | -0.89 | -48.20 | no_edge |
| rejected | Information Discreteness (JP All Stocks) info-discreteness-jp-all | equity | +0.02 | -14.40 | no_edge |
| rejected | Information Discreteness (JP Growth Stocks) info-discreteness-jp-growth | equity | +0.00 | -18.00 | no_edge |
| rejected | Liquidity Premium / Amihud Illiquidity (JP All Stocks) liquidity-premium-jp-all | equity | -0.99 | -50.30 | no_edge |
| rejected | Liquidity Premium / Amihud Illiquidity (JP Growth Stocks) liquidity-premium-jp-growth | equity | -0.56 | -28.80 | no_edge |
| rejected | Low Volatility Anomaly (US S&P 500) low-volatility-anomaly-us-sp500 | equity | -0.93 | -58.80 | no_edge |
| rejected | Max Return / Lottery Effect (JP All Stocks) max-return-lottery-jp-all | equity | -0.44 | -33.10 | no_edge |
| rejected | Max Return / Lottery Effect (US S&P 500) max-return-lottery-us-sp500 | equity | -0.76 | -46.40 | no_edge |
| rejected | Mean Reversion (JP All Stocks) mean-reversion-jp-all | equity | +0.01 | -17.40 | regime_dependent |
| rejected | Mean Reversion (JP Growth Stocks) mean-reversion-jp-growth | equity | -0.03 | -18.30 | regime_dependent |
| rejected | Mean Reversion (US S&P 500) mean-reversion-us-sp500 | equity | -0.25 | -18.10 | no_edge |
| rejected | Cross-Sectional Momentum (JP All Stocks) momentum-cross-sectional-jp-all | equity | -0.11 | -25.50 | no_edge |
| rejected | Cross-Sectional Momentum (JP Growth Stocks) momentum-cross-sectional-jp-growth | equity | -0.48 | -32.90 | no_edge |
| rejected | Momentum × Volume Interaction (JP All Stocks) momentum-volume-jp-all | equity | -0.01 | -18.70 | no_edge |
| rejected | Momentum × Volume Interaction (JP Growth Stocks) momentum-volume-jp-growth | equity | -0.21 | -21.30 | no_edge |
| rejected | Momentum × Volume Interaction (US S&P 500) momentum-volume-us-sp500 | equity | +0.01 | -14.20 | regime_dependent |
| rejected | Multi-Factor Composite (JP All Stocks) multi-factor-jp-all | equity | -0.37 | -36.40 | no_edge |
| rejected | Multi-Factor Composite (US S&P 500) multi-factor-us-sp500 | equity | -0.71 | -39.50 | no_edge |
| rejected | Overnight vs Intraday Return (JP All Stocks) overnight-intraday-jp-all | equity | -0.40 | -26.60 | no_edge |
| rejected | Overnight vs Intraday Return (JP Growth Stocks) overnight-intraday-jp-growth | equity | -0.40 | -24.50 | no_edge |
| rejected | Post-Earnings Announcement Drift (JP Growth Stocks) pead-jp-growth | equity | -0.09 | -41.10 | regime_dependent |
| rejected | PEG Ratio Value (JP All Stocks) peg-ratio-value-jp-all | equity | -0.41 | -4.80 | no_edge |
| rejected | PEG Ratio Value (JP Growth Stocks) peg-ratio-value-jp-growth | equity | -0.48 | -5.50 | no_edge |
| rejected | Best Component Portfolio (JP Growth Stocks) portfolio-best-components-jp-growth | equity | +1.43 | -6.50 | no_edge |
| rejected | Return Autocorrelation Factor (JP All Stocks) return-autocorrelation-jp-all | equity | -0.01 | -21.70 | no_edge |
| rejected | Return Autocorrelation Factor (JP Growth Stocks) return-autocorrelation-jp-growth | equity | -0.53 | -25.00 | no_edge |
| rejected | Return Autocorrelation Factor (US S&P 500) return-autocorrelation-us-sp500 | equity | -0.58 | -17.30 | no_edge |
| rejected | Risk Parity / Volatility Targeting Overlay (JP All Stocks) risk-parity-jp-all | equity | -0.32 | -40.30 | no_edge |
| rejected | Risk Parity / Volatility Targeting Overlay (JP Growth Stocks) risk-parity-jp-growth | equity | -0.44 | -39.50 | no_edge |
| rejected | Sales Growth Rank (JP All Stocks) sales-growth-rank-jp-all | equity | -0.23 | -8.10 | regime_dependent |
| rejected | Sales Growth Rank (JP Growth Stocks) sales-growth-rank-jp-growth | equity | -0.17 | -8.90 | regime_dependent |
| rejected | Sector Rotation / Sector Momentum (JP All Stocks) sector-rotation-jp-all | equity | -0.09 | -23.70 | no_edge |
| rejected | Sector Rotation / Sector Momentum (JP Growth Stocks) sector-rotation-jp-growth | equity | -0.54 | -21.90 | no_edge |
| rejected | Short-Term Reversal (JP All Stocks) short-term-reversal-jp-all | equity | -0.55 | -38.80 | no_edge |
| rejected | Skewness Anomaly (JP All Stocks) skewness-anomaly-jp-all | equity | -0.56 | -32.50 | no_edge |
| rejected | Skewness Anomaly (JP Growth Stocks) skewness-anomaly-jp-growth | equity | -0.33 | -21.70 | no_edge |
| rejected | Skewness Anomaly (US S&P 500) skewness-anomaly-us-sp500 | equity | -0.63 | -20.10 | no_edge |
| rejected | Skewness Reversal (JP All Stocks) skewness-reversal-jp-all | equity | -0.45 | -16.80 | no_edge |
| rejected | Skewness Reversal (JP Growth Stocks) skewness-reversal-jp-growth | equity | -0.33 | -13.50 | no_edge |
| rejected | Skewness Reversal (US S&P 500) skewness-reversal-us-sp500 | equity | -1.03 | -18.90 | no_edge |
| rejected | Trend Following / Donchian Breakout (JP All Stocks) trend-following-jp-all | equity | -0.31 | -28.10 | no_edge |
| rejected | Trend Following / Donchian Breakout (JP Growth Stocks) trend-following-jp-growth | equity | -0.16 | -31.00 | no_edge |
| rejected | Time-Series Momentum (JP All Stocks) ts-momentum-jp-all | equity | -0.31 | -25.30 | no_edge |
| rejected | Time-Series Momentum (JP Growth Stocks) ts-momentum-jp-growth | equity | -0.56 | -14.70 | no_edge |
| rejected | Time-Series Momentum (US S&P 500) ts-momentum-us-sp500 | equity | -0.31 | -9.30 | no_edge |
| rejected | Turnover Factor (JP All Stocks) turnover-jp-all | equity | -0.20 | -27.60 | no_edge |
| rejected | Turnover Factor (JP Growth Stocks) turnover-jp-growth | equity | -0.01 | -26.20 | regime_dependent |
| rejected | Turnover Factor (US S&P 500) turnover-us-sp500 | equity | -0.11 | -15.50 | regime_dependent |
| rejected | Vol-of-Vol Stability (US S&P 500) vol-of-vol-stability-us-sp500 | equity | -0.21 | -9.40 | regime_dependent |
| rejected | Volatility Breakout (JP All Stocks) volatility-breakout-jp-all | equity | -0.93 | -46.50 | no_edge |
| rejected | Volatility Breakout (JP Growth Stocks) volatility-breakout-jp-growth | equity | -0.55 | -32.90 | no_edge |
| rejected | Volatility Ratio Reversal (JP All Stocks) volatility-ratio-reversal-jp-all | equity | -0.01 | -10.50 | no_edge |
| rejected | Volatility Ratio Reversal (US S&P 500) volatility-ratio-reversal-us-sp500 | equity | -0.31 | -10.90 | no_edge |
| rejected | Volume Anomaly (JP All Stocks) volume-anomaly-jp-all | equity | -0.25 | -21.80 | no_edge |
| rejected | Volume Anomaly (JP Growth Stocks) volume-anomaly-jp-growth | equity | +0.00 | -45.20 | regime_dependent |
| rejected | VPT Divergence (JP All Stocks) vpt-divergence-jp-all | equity | -0.60 | -14.10 | no_edge |
| rejected | VPT Divergence (JP Growth Stocks) vpt-divergence-jp-growth | equity | -0.79 | -27.20 | no_edge |
| rejected | VPT Divergence (US S&P 500) vpt-divergence-us-sp500 | equity | -0.21 | -8.10 | no_edge |