Tickfloor

Equity factors: 76 Backtests

Data last updated

Rules that tilt a stock portfolio toward a measurable trait, such as nearness to a 52-week high or low beta.

45 of 76 strategies finished ahead of the benchmark on the raw number, and 10 had an unadjusted p-value under 0.05. None cleared the correction for trying 1,774 tests in total (a q-value below 0.10), so no result here is a confirmed edge. Scored 2026-10-31, using data up to 2025-03-15.

Strategies here tested on crypto, ETFs, US stocks. See the full family index, the full method and every result, or download the raw registry (JSON).

Results

RuleMarketVs benchmarkSamplep-valueCorrected qReceipt
Double sort: bottom-half BTC-beta intersected with top-half 4-week momentum receipt
Source: c1022/redteam		crypto+59.8 pts/yr91 rebalances0.0250.764On-site receipt
Low beta to the equal-weight crypto index (ex self), bottom half, 70th-percentile hold buffer receipt
Source: c1022/redteam		crypto+48.8 pts/yr91 rebalances0.0030.456On-site receipt
Crypto low BTC-beta alts plus BTC, monthly receipt
Source: Frazzini & Pedersen 2014 JFE (betting against beta); Liu, Tsyvinski & Wu 2022 JF report no crypto beta premium		crypto+38.9 pts/yr91 rebalances0.0080.618On-site receipt
Full test: Low-Beta Crypto
r3-02 low-correlation sleeve refreshed monthly but gated weekly: cash whenever Fear & Greed <= 40 at a weekly decision receipt
Source: c1031/r4		crypto+35.9 pts/yr230 rebalances0.1731.000On-site receipt
r3-02 low-correlation sleeve in greed and neutral, cash in fear (Fear & Greed <= 40), monthly receipt
Source: c1031/r4		crypto+34.7 pts/yr56 rebalances0.1511.000On-site receipt
Crypto rank-weighted low BTC beta, monthly receipt
Source: Frazzini & Pedersen 2014 JFE (rank-weighted BAB construction)		crypto+31.8 pts/yr91 rebalances0.0020.445On-site receipt
Full test: Low-Beta Crypto
Low BTC-correlation picks (bottom half) sized by inverse realised volatility, monthly receipt
Source: c1023/r2		crypto+30.3 pts/yr91 rebalances0.0340.830On-site receipt
Low BTC-correlation sleeve, bottom half, with a 70th-percentile hold buffer, monthly receipt
Source: c1023/r2		crypto+26.5 pts/yr91 rebalances0.0550.887On-site receipt
Low correlation with BTC only (beta with the volatility ratio stripped out), rank-weighted receipt
Source: c1022/redteam		crypto+23.5 pts/yr91 rebalances0.0360.830On-site receipt
Low-BTC-correlation picks sized proportional to (1 - correlation), monthly (continuous tilt) receipt
Source: c1024/r3		crypto+23.1 pts/yr91 rebalances0.0370.830On-site receipt
Low BTC-correlation sleeve, bottom half, 70th-percentile hold buffer, sized by inverse realised volatility, monthly receipt
Source: c1024/r3		crypto+22.1 pts/yr91 rebalances0.0781.000On-site receipt
Core-satellite: 50% BTC fixed plus 50% in the rank-weighted low-BTC-correlation sleeve, monthly receipt
Source: c1024/r3		crypto+19.9 pts/yr91 rebalances0.0911.000On-site receipt
Survivorship test: c1023-r2-05's low-correlation sleeve with hold buffer on the 14 discovery coins listed on Binance before 2020-01-01 (list frozen here), monthly receipt
Source: c1024/r3		crypto+19.6 pts/yr91 rebalances0.1151.000On-site receipt
Low BTC-correlation sleeve with hold buffer and inverse-volatility sizing on the 14 frozen pre-2020 discovery coins, monthly receipt
Source: c1031/r4		crypto+18.1 pts/yr91 rebalances0.1171.000On-site receipt
Low correlation to the equal-weight alt index excluding BTC (leave-one-out), bottom half, 70th-percentile hold buffer, inverse-vol sizing, monthly receipt
Source: c1031/r4		crypto+17.9 pts/yr91 rebalances0.1191.000On-site receipt
Low BTC-beta picked only inside the high-volatility half receipt
Source: c1022/redteam		crypto+17.3 pts/yr91 rebalances0.1961.000On-site receipt
Rank-weighted low BTC-beta scaled by a BTC trend grid receipt
Source: c1022/redteam		crypto+16.1 pts/yr63 rebalances0.3071.000On-site receipt
Low BTC-correlation sleeve with an exponentially weighted correlation (60-day half-life), rank-weighted, monthly receipt
Source: c1023/r2		crypto+14.2 pts/yr91 rebalances0.1331.000On-site receipt
Value-at-risk premium on the 40 large caps: long the 10 names with the largest 5% daily loss over 250 days, monthly receipt
Source: c1031/r4		US stocks+10.6 pts/yr101 rebalances0.0410.856On-site receipt
Low BTC-correlation sleeve only while the EW alt index is below its 200-day SMA, BTC otherwise receipt
Source: c1023/r2		crypto+9.9 pts/yr91 rebalances0.3391.000On-site receipt
Double sort: bottom-half BTC correlation intersected with top-half 3-week momentum, monthly receipt
Source: c1023/r2		crypto+9.8 pts/yr91 rebalances0.3221.000On-site receipt
Intersection of top-half value-at-risk and top-half downside beta on the 40 large caps, 10-name book cap, monthly receipt
Source: c1031/r4		US stocks+8.7 pts/yr101 rebalances0.0831.000On-site receipt
Value-at-risk top quintile with a hold buffer (keep while within the top 40%), wide US stocks, monthly receipt
Source: c1031/r4		US stocks+7.4 pts/yr102 rebalances0.0650.952On-site receipt
High downside beta on the 40 large caps, 10-name book, monthly receipt
Source: c1024/r3		US stocks+7.2 pts/yr101 rebalances0.1251.000On-site receipt
Three-way intersection of top-half 12-1 momentum, top-half value-at-risk and top-half downside beta (wide US stocks), monthly receipt
Source: c1031/r4		US stocks+6.6 pts/yr102 rebalances0.0460.870On-site receipt
Intersection of top-half 12-1 momentum and top-half value-at-risk, equal weight (wide US stocks), monthly receipt
Source: c1031/r4		US stocks+6.4 pts/yr102 rebalances0.0290.829On-site receipt
Intersection of top-half 12-1 momentum and top-half value-at-risk on the 40 large caps, 10-name book cap, monthly receipt
Source: c1031/r4		US stocks+6.2 pts/yr101 rebalances0.1091.000On-site receipt
Industry momentum, long-only (static GICS-sector groups, top3) (wide US stocks) receipt
Source: none published (Tickfloor research-desk test)		US stocks+5.5 pts/yr97 rebalances0.1361.000On-site receipt
Downside beta top quintile with a hold buffer (keep while within the top 40%), wide US stocks, monthly receipt
Source: c1031/r4		US stocks+5.4 pts/yr102 rebalances0.1111.000On-site receipt
Cross-sectional 12-1 month momentum, long-only (wide US stocks) receipt
Source: Jegadeesh & Titman 1993 classic momentum factor; long-only rewrite of wide-equity-factors-xsec-momentum-12-1		US stocks+5.3 pts/yr90 rebalances0.1741.000On-site receipt
High downside beta (wide US stocks) receipt
Source: Ang, Chen & Xing 2006 RFS (downside risk)		US stocks+5.1 pts/yr102 rebalances0.1501.000On-site receipt
High downside beta sorted inside the high-volatility half only (wide US stocks), monthly receipt
Source: c1023/r2		US stocks+4.8 pts/yr102 rebalances0.1601.000On-site receipt
12-1 momentum sleeve paired 50/50 with the high-downside-beta sleeve (wide US stocks), monthly receipt
Source: c1023/r2		US stocks+3.7 pts/yr102 rebalances0.1141.000On-site receipt
Vol-scaled momentum among high-volatility, top-half dollar-volume names with the lookback decided by a 3/6/12-month vote (wide US stocks), monthly receipt
Source: c1031/r4		US stocks+2.9 pts/yr102 rebalances0.2201.000On-site receipt
High downside beta restricted to the top-half dollar-volume names (wide US stocks), monthly receipt
Source: c1024/r3		US stocks+2.8 pts/yr102 rebalances0.2221.000On-site receipt
High downside beta with the sleeve volatility matched to the EW universe, exposure check (wide US stocks), monthly receipt
Source: c1023/r2		US stocks+2.8 pts/yr102 rebalances0.1791.000On-site receipt
Intersection of top-half 12-1 momentum and top-half downside beta, equal weight (wide US stocks), monthly receipt
Source: c1024/r3		US stocks+2.7 pts/yr102 rebalances0.1871.000On-site receipt
Intersection of top-half 12-1 momentum and top-half downside beta on the 40 large caps, 10-name book cap, monthly receipt
Source: c1031/r4		US stocks+2.7 pts/yr101 rebalances0.3081.000On-site receipt
Intersection of top-half value-at-risk and top-half downside beta, equal weight (wide US stocks), monthly receipt
Source: c1031/r4		US stocks+2.6 pts/yr102 rebalances0.2161.000On-site receipt
Intersection of majority-vote momentum (top half at 2 of 3 horizons: 3-1, 6-1, 12-1) and top-half downside beta (wide US stocks), monthly receipt
Source: c1031/r4		US stocks+1.9 pts/yr102 rebalances0.2641.000On-site receipt
Market-state beta rotation, fully invested (wide US stocks) receipt
Source: Frazzini & Pedersen 2014 JFE (betting against beta); Cederburg & O'Doherty 2016 JF (conditional beta anomaly)		US stocks+1.7 pts/yr102 rebalances0.3611.000On-site receipt
Betting against correlation, long-only (wide US stocks) receipt
Source: Asness, Frazzini, Gormsen & Pedersen 2020 JFE 'Betting against correlation'		US stocks+1.2 pts/yr102 rebalances0.3661.000On-site receipt
Amihud Illiquidity receipt
Source: Amihud 2002		US stocks+0.7 pts/yr102 rebalances0.4041.000On-site receipt
Value-at-risk top quintile with the sleeve volatility matched to the EW universe, residual in cash, exposure check (e) as a hard gate (wide US stocks), monthly receipt
Source: c1031/r4		US stocks+0.6 pts/yr102 rebalances0.4041.000On-site receipt
Positive liquidity shocks (wide US stocks) receipt
Source: Bali, Peng, Shen & Tang 2014 RFS 'Liquidity shocks and stock market reactions' (positive liquidity shocks predict higher returns: underreaction); u/Potential_Web_4092, r/ASX_Bets 1wo5lrs (average daily volume should drive sizing)		US stocks+0.3 pts/yr102 rebalances0.4481.000On-site receipt
Short-term reversal (1-month), long-only (wide US stocks) receipt
Source: Jegadeesh 1990 short-term reversal; long-only rewrite of wide-equity-factors-short-term-reversal		US stocks−0.3 pts/yr101 rebalances1.0001.000On-site receipt
Residual momentum, long-only (single-factor market-model, 36m regress, t-12..t-2) (wide US stocks) receipt
Source: none published (Tickfloor research-desk test)		US stocks−0.5 pts/yr66 rebalances1.0001.000On-site receipt
High downside beta, sleeve volatility matched to the EW universe with the residual in cash, exposure check (e) as a hard gate (wide US stocks), monthly receipt
Source: c1024/r3		US stocks−0.7 pts/yr102 rebalances1.0001.000On-site receipt
Three-factor price composite: the 10 large caps with the best equal-weight z-score of 12-1 momentum, low volatility and 1-month reversal, monthly receipt
Source: c1031/stockxs		US stocks−0.9 pts/yr89 rebalances1.0001.000On-site receipt
Price delay (slow response to market news) (wide US stocks) receipt
Source: Hou & Moskowitz 2005 RFS (market frictions, price delay, and the cross-section of expected returns)		US stocks−1.2 pts/yr102 rebalances1.0001.000On-site receipt
GEM dual momentum (SPY/EFA/AGG, QQQ/DIA proxy) receipt
Source: Antonacci, Dual Momentum Investing (2014)		ETFs−2.7 pts/yr91 rebalances1.0001.000On-site receipt
Full test: Dual Momentum (GEM)
Crypto small size (lowest 30-session dollar volume), weekly receipt
Source: Liu, Tsyvinski & Wu 2022 JF (crypto size factor); dollar volume as the size proxy		crypto−3.1 pts/yr395 rebalances1.0001.000On-site receipt
Low Volume Coefficient of Variation receipt
Source: Chordia, Subrahmanyam & Anshuman 2001 (volume variability)		US stocks−3.6 pts/yr102 rebalances1.0001.000On-site receipt
Low idiosyncratic vol, long-only (single-factor market-model residual, 1m) (wide US stocks) receipt
Source: none published (Tickfloor research-desk test)		US stocks−6.0 pts/yr101 rebalances1.0001.000On-site receipt
Nearness to 52-week high, long-only (wide US stocks) receipt
Source: George & Hwang 2004 52-week high momentum; long-only rewrite of wide-equity-factors-52-week-high		US stocks−6.7 pts/yr90 rebalances1.0001.000On-site receipt
Full test: 52-Week High
Betting against beta, long-only (price-only proxy) (wide US stocks) receipt
Source: Frazzini & Pedersen 2014 BAB; long-only rewrite of wide-equity-factors-betting-against-beta		US stocks−7.1 pts/yr90 rebalances1.0001.000On-site receipt
Industry momentum (static GICS-sector groups, top3/bottom3) (wide US stocks) receipt
Source: none published (Tickfloor research-desk test)		US stocks−10.8 pts/yr97 rebalances1.0001.000On-site receipt
Same-calendar-month return seasonality, long-only (wide US stocks) receipt
Source: Heston & Sadka 2008 return seasonality; long-only rewrite of wide-equity-factors-heston-sadka-seasonality		US stocks−13.1 pts/yr41 rebalances1.0001.000On-site receipt
Residual momentum (single-factor market-model, 36m regress, t-12..t-2) (wide US stocks) receipt
Source: none published (Tickfloor research-desk test)		US stocks−13.3 pts/yr66 rebalances1.0001.000On-site receipt
Cross-sectional 12-1 month momentum (wide US stocks) receipt
Source: Jegadeesh & Titman 1993 classic momentum factor		US stocks−13.4 pts/yr90 rebalances1.0001.000On-site receipt
Cross-sectional 12-1 month momentum receipt
Source: Jegadeesh & Titman 1993 classic momentum factor		US stocks−14.1 pts/yr90 rebalances1.0001.000On-site receipt
Full test: 12-1 Month Momentum
Industry momentum (static GICS-sector groups, top3/bottom3) receipt
Source: none published (Tickfloor research-desk test)		US stocks−14.8 pts/yr97 rebalances1.0001.000On-site receipt
Same-calendar-month return seasonality (wide US stocks) receipt
Source: Heston & Sadka 2008 return seasonality		US stocks−15.6 pts/yr41 rebalances1.0001.000On-site receipt
Crypto value-at-risk sort, faithful port of the stock rule: 5% daily loss over 365 days, top third, monthly receipt
Source: c1031/r4		crypto−16.3 pts/yr91 rebalances1.0001.000On-site receipt
Short-term reversal (1-month) (wide US stocks) receipt
Source: Jegadeesh 1990 short-term reversal		US stocks−17.3 pts/yr101 rebalances1.0001.000On-site receipt
Residual momentum (single-factor market-model, 36m regress, t-12..t-2) receipt
Source: none published (Tickfloor research-desk test)		US stocks−18.5 pts/yr66 rebalances1.0001.000On-site receipt
Crypto intersection of the bottom half by BTC correlation and the top half by 180-day value-at-risk, monthly receipt
Source: c1031/r4		crypto−19.2 pts/yr91 rebalances1.0001.000On-site receipt
Same-calendar-month return seasonality receipt
Source: Heston & Sadka 2008 return seasonality		US stocks−20.5 pts/yr41 rebalances1.0001.000On-site receipt
Low idiosyncratic vol (single-factor market-model residual, 1m) (wide US stocks) receipt
Source: none published (Tickfloor research-desk test)		US stocks−21.0 pts/yr101 rebalances1.0001.000On-site receipt
Nearness to 52-week high (wide US stocks) receipt
Source: George & Hwang 2004 52-week high momentum		US stocks−21.4 pts/yr90 rebalances1.0001.000On-site receipt
Betting against beta (price-only proxy) (wide US stocks) receipt
Source: Frazzini & Pedersen 2014 BAB; beta vs equal-weight universe return (no FF factors available)		US stocks−21.4 pts/yr90 rebalances1.0001.000On-site receipt
Short-term reversal (1-month) receipt
Source: Jegadeesh 1990 short-term reversal		US stocks−23.0 pts/yr101 rebalances1.0001.000On-site receipt
Nearness to 52-week high receipt
Source: George & Hwang 2004 52-week high momentum		US stocks−24.4 pts/yr90 rebalances1.0001.000On-site receipt
Low idiosyncratic vol (single-factor market-model residual, 1m) receipt
Source: none published (Tickfloor research-desk test)		US stocks−25.4 pts/yr101 rebalances1.0001.000On-site receipt
Betting against beta (price-only proxy) receipt
Source: Frazzini & Pedersen 2014 BAB; beta vs equal-weight universe return (no FF factors available)		US stocks−28.7 pts/yr90 rebalances1.0001.000On-site receipt
Crypto BTC-beta timing by BTC 4-week trend receipt
Source: Cederburg & O'Doherty 2016 JF (conditional beta anomaly); Liu & Tsyvinski 2021 RFS; Liu, Tsyvinski & Wu 2022 JF		crypto−38.4 pts/yr395 rebalances1.0001.000On-site receipt
Full test: Low-Beta Crypto
  • Double sort: bottom-half BTC-beta intersected with top-half 4-week momentum

    crypto · +59.8 pts/yr · 91 rebalances · corrected q 0.764

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.025
    Corrected q
    0.764
  • Low beta to the equal-weight crypto index (ex self), bottom half, 70th-percentile hold buffer

    crypto · +48.8 pts/yr · 91 rebalances · corrected q 0.456

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.003
    Corrected q
    0.456
  • Crypto low BTC-beta alts plus BTC, monthly

    crypto · +38.9 pts/yr · 91 rebalances · corrected q 0.618

    Full test: Low-Beta Crypto

    Source, p-value and result file
    Source
    Frazzini & Pedersen 2014 JFE (betting against beta); Liu, Tsyvinski & Wu 2022 JF report no crypto beta premium
    p-value
    0.008
    Corrected q
    0.618
  • r3-02 low-correlation sleeve refreshed monthly but gated weekly: cash whenever Fear & Greed <= 40 at a weekly decision

    crypto · +35.9 pts/yr · 230 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.173
    Corrected q
    1.000
  • r3-02 low-correlation sleeve in greed and neutral, cash in fear (Fear & Greed <= 40), monthly

    crypto · +34.7 pts/yr · 56 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.151
    Corrected q
    1.000
  • Crypto rank-weighted low BTC beta, monthly

    crypto · +31.8 pts/yr · 91 rebalances · corrected q 0.445

    Full test: Low-Beta Crypto

    Source, p-value and result file
    Source
    Frazzini & Pedersen 2014 JFE (rank-weighted BAB construction)
    p-value
    0.002
    Corrected q
    0.445
  • Low BTC-correlation picks (bottom half) sized by inverse realised volatility, monthly

    crypto · +30.3 pts/yr · 91 rebalances · corrected q 0.830

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.034
    Corrected q
    0.830
  • Low BTC-correlation sleeve, bottom half, with a 70th-percentile hold buffer, monthly

    crypto · +26.5 pts/yr · 91 rebalances · corrected q 0.887

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.055
    Corrected q
    0.887
  • Low correlation with BTC only (beta with the volatility ratio stripped out), rank-weighted

    crypto · +23.5 pts/yr · 91 rebalances · corrected q 0.830

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.036
    Corrected q
    0.830
  • Low-BTC-correlation picks sized proportional to (1 - correlation), monthly (continuous tilt)

    crypto · +23.1 pts/yr · 91 rebalances · corrected q 0.830

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.037
    Corrected q
    0.830
  • Low BTC-correlation sleeve, bottom half, 70th-percentile hold buffer, sized by inverse realised volatility, monthly

    crypto · +22.1 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.078
    Corrected q
    1.000
  • Core-satellite: 50% BTC fixed plus 50% in the rank-weighted low-BTC-correlation sleeve, monthly

    crypto · +19.9 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.091
    Corrected q
    1.000
  • Survivorship test: c1023-r2-05's low-correlation sleeve with hold buffer on the 14 discovery coins listed on Binance before 2020-01-01 (list frozen here), monthly

    crypto · +19.6 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.115
    Corrected q
    1.000
  • Low BTC-correlation sleeve with hold buffer and inverse-volatility sizing on the 14 frozen pre-2020 discovery coins, monthly

    crypto · +18.1 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.117
    Corrected q
    1.000
  • Low correlation to the equal-weight alt index excluding BTC (leave-one-out), bottom half, 70th-percentile hold buffer, inverse-vol sizing, monthly

    crypto · +17.9 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.119
    Corrected q
    1.000
  • Low BTC-beta picked only inside the high-volatility half

    crypto · +17.3 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.196
    Corrected q
    1.000
  • Rank-weighted low BTC-beta scaled by a BTC trend grid

    crypto · +16.1 pts/yr · 63 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1022/redteam
    p-value
    0.307
    Corrected q
    1.000
  • Low BTC-correlation sleeve with an exponentially weighted correlation (60-day half-life), rank-weighted, monthly

    crypto · +14.2 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.133
    Corrected q
    1.000
  • Value-at-risk premium on the 40 large caps: long the 10 names with the largest 5% daily loss over 250 days, monthly

    US stocks · +10.6 pts/yr · 101 rebalances · corrected q 0.856

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.041
    Corrected q
    0.856
  • Low BTC-correlation sleeve only while the EW alt index is below its 200-day SMA, BTC otherwise

    crypto · +9.9 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.339
    Corrected q
    1.000
  • Double sort: bottom-half BTC correlation intersected with top-half 3-week momentum, monthly

    crypto · +9.8 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.322
    Corrected q
    1.000
  • Intersection of top-half value-at-risk and top-half downside beta on the 40 large caps, 10-name book cap, monthly

    US stocks · +8.7 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.083
    Corrected q
    1.000
  • Value-at-risk top quintile with a hold buffer (keep while within the top 40%), wide US stocks, monthly

    US stocks · +7.4 pts/yr · 102 rebalances · corrected q 0.952

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.065
    Corrected q
    0.952
  • High downside beta on the 40 large caps, 10-name book, monthly

    US stocks · +7.2 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.125
    Corrected q
    1.000
  • Three-way intersection of top-half 12-1 momentum, top-half value-at-risk and top-half downside beta (wide US stocks), monthly

    US stocks · +6.6 pts/yr · 102 rebalances · corrected q 0.870

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.046
    Corrected q
    0.870
  • Intersection of top-half 12-1 momentum and top-half value-at-risk, equal weight (wide US stocks), monthly

    US stocks · +6.4 pts/yr · 102 rebalances · corrected q 0.829

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.029
    Corrected q
    0.829
  • Intersection of top-half 12-1 momentum and top-half value-at-risk on the 40 large caps, 10-name book cap, monthly

    US stocks · +6.2 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.109
    Corrected q
    1.000
  • Industry momentum, long-only (static GICS-sector groups, top3) (wide US stocks)

    US stocks · +5.5 pts/yr · 97 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    0.136
    Corrected q
    1.000
  • Downside beta top quintile with a hold buffer (keep while within the top 40%), wide US stocks, monthly

    US stocks · +5.4 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.111
    Corrected q
    1.000
  • Cross-sectional 12-1 month momentum, long-only (wide US stocks)

    US stocks · +5.3 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh & Titman 1993 classic momentum factor; long-only rewrite of wide-equity-factors-xsec-momentum-12-1
    p-value
    0.174
    Corrected q
    1.000
  • High downside beta (wide US stocks)

    US stocks · +5.1 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Ang, Chen & Xing 2006 RFS (downside risk)
    p-value
    0.150
    Corrected q
    1.000
  • High downside beta sorted inside the high-volatility half only (wide US stocks), monthly

    US stocks · +4.8 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.160
    Corrected q
    1.000
  • 12-1 momentum sleeve paired 50/50 with the high-downside-beta sleeve (wide US stocks), monthly

    US stocks · +3.7 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.114
    Corrected q
    1.000
  • Vol-scaled momentum among high-volatility, top-half dollar-volume names with the lookback decided by a 3/6/12-month vote (wide US stocks), monthly

    US stocks · +2.9 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.220
    Corrected q
    1.000
  • High downside beta restricted to the top-half dollar-volume names (wide US stocks), monthly

    US stocks · +2.8 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.222
    Corrected q
    1.000
  • High downside beta with the sleeve volatility matched to the EW universe, exposure check (wide US stocks), monthly

    US stocks · +2.8 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1023/r2
    p-value
    0.179
    Corrected q
    1.000
  • Intersection of top-half 12-1 momentum and top-half downside beta, equal weight (wide US stocks), monthly

    US stocks · +2.7 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    0.187
    Corrected q
    1.000
  • Intersection of top-half 12-1 momentum and top-half downside beta on the 40 large caps, 10-name book cap, monthly

    US stocks · +2.7 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.308
    Corrected q
    1.000
  • Intersection of top-half value-at-risk and top-half downside beta, equal weight (wide US stocks), monthly

    US stocks · +2.6 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.216
    Corrected q
    1.000
  • Intersection of majority-vote momentum (top half at 2 of 3 horizons: 3-1, 6-1, 12-1) and top-half downside beta (wide US stocks), monthly

    US stocks · +1.9 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.264
    Corrected q
    1.000
  • Market-state beta rotation, fully invested (wide US stocks)

    US stocks · +1.7 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Frazzini & Pedersen 2014 JFE (betting against beta); Cederburg & O'Doherty 2016 JF (conditional beta anomaly)
    p-value
    0.361
    Corrected q
    1.000
  • Betting against correlation, long-only (wide US stocks)

    US stocks · +1.2 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Asness, Frazzini, Gormsen & Pedersen 2020 JFE 'Betting against correlation'
    p-value
    0.366
    Corrected q
    1.000
  • Amihud Illiquidity

    US stocks · +0.7 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Amihud 2002
    p-value
    0.404
    Corrected q
    1.000
  • Value-at-risk top quintile with the sleeve volatility matched to the EW universe, residual in cash, exposure check (e) as a hard gate (wide US stocks), monthly

    US stocks · +0.6 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    0.404
    Corrected q
    1.000
  • Positive liquidity shocks (wide US stocks)

    US stocks · +0.3 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Bali, Peng, Shen & Tang 2014 RFS 'Liquidity shocks and stock market reactions' (positive liquidity shocks predict higher returns: underreaction); u/Potential_Web_4092, r/ASX_Bets 1wo5lrs (average daily volume should drive sizing)
    p-value
    0.448
    Corrected q
    1.000
  • Short-term reversal (1-month), long-only (wide US stocks)

    US stocks · −0.3 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh 1990 short-term reversal; long-only rewrite of wide-equity-factors-short-term-reversal
    p-value
    1.000
    Corrected q
    1.000
  • Residual momentum, long-only (single-factor market-model, 36m regress, t-12..t-2) (wide US stocks)

    US stocks · −0.5 pts/yr · 66 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • High downside beta, sleeve volatility matched to the EW universe with the residual in cash, exposure check (e) as a hard gate (wide US stocks), monthly

    US stocks · −0.7 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1024/r3
    p-value
    1.000
    Corrected q
    1.000
  • Three-factor price composite: the 10 large caps with the best equal-weight z-score of 12-1 momentum, low volatility and 1-month reversal, monthly

    US stocks · −0.9 pts/yr · 89 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/stockxs
    p-value
    1.000
    Corrected q
    1.000
  • Price delay (slow response to market news) (wide US stocks)

    US stocks · −1.2 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Hou & Moskowitz 2005 RFS (market frictions, price delay, and the cross-section of expected returns)
    p-value
    1.000
    Corrected q
    1.000
  • GEM dual momentum (SPY/EFA/AGG, QQQ/DIA proxy)

    ETFs · −2.7 pts/yr · 91 rebalances · corrected q 1.000

    Full test: Dual Momentum (GEM)

    Source, p-value and result file
    Source
    Antonacci, Dual Momentum Investing (2014)
    p-value
    1.000
    Corrected q
    1.000
  • Crypto small size (lowest 30-session dollar volume), weekly

    crypto · −3.1 pts/yr · 395 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Liu, Tsyvinski & Wu 2022 JF (crypto size factor); dollar volume as the size proxy
    p-value
    1.000
    Corrected q
    1.000
  • Low Volume Coefficient of Variation

    US stocks · −3.6 pts/yr · 102 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Chordia, Subrahmanyam & Anshuman 2001 (volume variability)
    p-value
    1.000
    Corrected q
    1.000
  • Low idiosyncratic vol, long-only (single-factor market-model residual, 1m) (wide US stocks)

    US stocks · −6.0 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Nearness to 52-week high, long-only (wide US stocks)

    US stocks · −6.7 pts/yr · 90 rebalances · corrected q 1.000

    Full test: 52-Week High

    Source, p-value and result file
    Source
    George & Hwang 2004 52-week high momentum; long-only rewrite of wide-equity-factors-52-week-high
    p-value
    1.000
    Corrected q
    1.000
  • Betting against beta, long-only (price-only proxy) (wide US stocks)

    US stocks · −7.1 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Frazzini & Pedersen 2014 BAB; long-only rewrite of wide-equity-factors-betting-against-beta
    p-value
    1.000
    Corrected q
    1.000
  • Industry momentum (static GICS-sector groups, top3/bottom3) (wide US stocks)

    US stocks · −10.8 pts/yr · 97 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Same-calendar-month return seasonality, long-only (wide US stocks)

    US stocks · −13.1 pts/yr · 41 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Heston & Sadka 2008 return seasonality; long-only rewrite of wide-equity-factors-heston-sadka-seasonality
    p-value
    1.000
    Corrected q
    1.000
  • Residual momentum (single-factor market-model, 36m regress, t-12..t-2) (wide US stocks)

    US stocks · −13.3 pts/yr · 66 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Cross-sectional 12-1 month momentum (wide US stocks)

    US stocks · −13.4 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh & Titman 1993 classic momentum factor
    p-value
    1.000
    Corrected q
    1.000
  • Cross-sectional 12-1 month momentum

    US stocks · −14.1 pts/yr · 90 rebalances · corrected q 1.000

    Full test: 12-1 Month Momentum

    Source, p-value and result file
    Source
    Jegadeesh & Titman 1993 classic momentum factor
    p-value
    1.000
    Corrected q
    1.000
  • Industry momentum (static GICS-sector groups, top3/bottom3)

    US stocks · −14.8 pts/yr · 97 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Same-calendar-month return seasonality (wide US stocks)

    US stocks · −15.6 pts/yr · 41 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Heston & Sadka 2008 return seasonality
    p-value
    1.000
    Corrected q
    1.000
  • Crypto value-at-risk sort, faithful port of the stock rule: 5% daily loss over 365 days, top third, monthly

    crypto · −16.3 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    1.000
    Corrected q
    1.000
  • Short-term reversal (1-month) (wide US stocks)

    US stocks · −17.3 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh 1990 short-term reversal
    p-value
    1.000
    Corrected q
    1.000
  • Residual momentum (single-factor market-model, 36m regress, t-12..t-2)

    US stocks · −18.5 pts/yr · 66 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Crypto intersection of the bottom half by BTC correlation and the top half by 180-day value-at-risk, monthly

    crypto · −19.2 pts/yr · 91 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    c1031/r4
    p-value
    1.000
    Corrected q
    1.000
  • Same-calendar-month return seasonality

    US stocks · −20.5 pts/yr · 41 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Heston & Sadka 2008 return seasonality
    p-value
    1.000
    Corrected q
    1.000
  • Low idiosyncratic vol (single-factor market-model residual, 1m) (wide US stocks)

    US stocks · −21.0 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Nearness to 52-week high (wide US stocks)

    US stocks · −21.4 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    George & Hwang 2004 52-week high momentum
    p-value
    1.000
    Corrected q
    1.000
  • Betting against beta (price-only proxy) (wide US stocks)

    US stocks · −21.4 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Frazzini & Pedersen 2014 BAB; beta vs equal-weight universe return (no FF factors available)
    p-value
    1.000
    Corrected q
    1.000
  • Short-term reversal (1-month)

    US stocks · −23.0 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Jegadeesh 1990 short-term reversal
    p-value
    1.000
    Corrected q
    1.000
  • Nearness to 52-week high

    US stocks · −24.4 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    George & Hwang 2004 52-week high momentum
    p-value
    1.000
    Corrected q
    1.000
  • Low idiosyncratic vol (single-factor market-model residual, 1m)

    US stocks · −25.4 pts/yr · 101 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    none published (Tickfloor research-desk test)
    p-value
    1.000
    Corrected q
    1.000
  • Betting against beta (price-only proxy)

    US stocks · −28.7 pts/yr · 90 rebalances · corrected q 1.000

    Source, p-value and result file
    Source
    Frazzini & Pedersen 2014 BAB; beta vs equal-weight universe return (no FF factors available)
    p-value
    1.000
    Corrected q
    1.000
  • Crypto BTC-beta timing by BTC 4-week trend

    crypto · −38.4 pts/yr · 395 rebalances · corrected q 1.000

    Full test: Low-Beta Crypto

    Source, p-value and result file
    Source
    Cederburg & O'Doherty 2016 JF (conditional beta anomaly); Liu & Tsyvinski 2021 RFS; Liu, Tsyvinski & Wu 2022 JF
    p-value
    1.000
    Corrected q
    1.000
How to read these results

"Vs benchmark" is the strategy's annualized return minus an equal-weight benchmark, rebalanced daily, on the same assets and days. Strategies are charged trading costs; the benchmark pays none. Ahead is not a confirmed edge: the p-value is the unadjusted chance of a gap this large by luck, and the corrected q allows for how many strategies were tried, because testing hundreds of ideas throws up lucky winners. Every strategy saw only data up to the same cutoff date. The receipt is the frozen result file for that rule.

"Sample" is trades for rules that enter and exit a position, and rebalances for portfolio rules. A rebalance is a scheduled date on which a portfolio rule re-ranks and held at least one position. It is the sample size for portfolio rules. A holdings change is a rebalance where what the portfolio held, or its weights, differed from the previous one. Only these cost money to trade. The two are different counts and are never swapped. Definitions.

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