EquitesLab Out-Of-Sample Test of F-Score and Equity Reversal Strategy Thursday, 7 June, 2018

We would again like to present a very interesting cooperation, this time with a guys from EquitiesLab.

They too started to analyze some of Quantpedia's suggested strategies. The first article (https://www.equitieslab.com/f-score-and-short-term-reversals/) analyzes a combination of a well-known fundamental Piotrovski's F-Score strategy with a Short-Term Reversal (see Combining Fundamental FSCORE and Equity Short-Term Reversals for details). Combined strategy shows nice outperformance since year 2000. A long-short strategy trails a strong S&P 500 performance during last few years, but it can be expected in such strong bull market. However, probably the most interesting feature is strategy's outperformance during crisis years like 2001, 2002, 2008 and 2011:

Strategy's performance

 


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