Screener

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Period: NbrInstruments: Markets:
Instruments: Complexity: Confidence:
Backtest: Performance: Volatility:
Keywords: Drawdown: Sharpe:
Free/Premium: QuantConnect: Papers:
NEW: Strategy can be used as a hedge/diversification for equity markets during downturns:
Period:
Markets:
Instruments:
Performance:
Keywords:
Free/Premium:
Crisis Hedge:
Total: 69       Premium: 0       Free: 69
IDTitlePeriod Of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
1Asset Class Trend FollowingMonthlyequities, bonds, commodities, REITs11.27%6.87%momentum, asset class picking, trendfollowing
2Asset Class Momentum - Rotational SystemMonthlyequities, bonds, commodities, REITs15.00%9.60%momentum, asset class picking, rotational system
3Sector Momentum - Rotational SystemMonthlyequities13.94%18.38%momentum, sector picking, rotational system
5FX Carry TradeMonthlycurrencies7.49%9.70%carry trade, FX anomaly, forex system
7Low Volatility Factor Effect in Stocks - Long-Only VersionMonthlyequities11.30%10.10%stock picking, volatility effect
8Currency Momentum FactorMonthlycurrencies6.48%10.00%momentum, FX anomaly, forex system
9Currency Value Factor - PPP StrategyQuarterlycurrencies7.80%9.06%value, FX anomaly, forex system
12Pairs Trading with StocksDailyequities11.16%5.85%pairs trading, equity long short, arbitrage
13Short Term Reversal in StocksWeeklyequities16.25%6.80%reversal, equity long short, stock picking
14Momentum Factor Effect in StocksMonthlyequities14.30%20.89%momentum, momentum in stocks, stock picking
15Momentum Factor Effect in Country Equity IndexesMonthlyequities17.70%momentum, rotational system, country picking
16Mean Reversion Effect in Country Equity Indexes3 Yearsequities6.40%reversal, rotational system, country picking
20Volatility Risk Premium EffectMonthlyequities26.00%19.00%volatility effect, volatility premium
21Momentum Effect in CommoditiesMonthlycommodities14.60%25.57%momentum, rotational system
22Term Structure Effect in CommoditiesMonthlycommodities11.73%23.84%rotational system, term spread
25Small Capitalization Stocks Premium AnomalyYearlyequities12.08%32.00%small cap, stock picking
26Value (Book-to-Market) FactorYearlyequities11.34%26.62%value, stock picking, financial statements effect
28Value and Momentum Factors across Asset ClassesMonthlyequities, bonds, REITs11.90%10.00%value, momentum, asset class picking
31Market Seasonality Effect in World Equity Indexes6 Monthsequities8.80%market timing, seasonality
33Post-Earnings Announcement EffectQuarterlyequities15.00%equity long short, earnings announcement, financial statements effect, stock picking