Other tested patterns: 64 Backtests
Data last updated
Tests that fit no other family, such as portfolio insurance and rebalancing bands.
12 of 64 strategies finished ahead of the benchmark on the raw number, and 3 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
| Rule | Market | Vs benchmark | Sample | p-value | Corrected q | Receipt |
|---|---|---|---|---|---|---|
| Volume-share dominance: BTC's share of market turnover rising = risk-off receipt Source: c1022/crypto | crypto | +50.6 pts/yr | 381 rebalances | 0.088 | 1.000 | On-site receipt |
| Equal-weight ensemble of the three crypto leader families, weekly receipt Source: c1022/redteam | crypto | +25.1 pts/yr | 395 rebalances | 0.036 | 0.830 | On-site receipt |
| VIX-level gate on a crypto trend receipt Source: c1022/crypto | crypto | +17.7 pts/yr | 1,228 trades | 0.294 | 1.000 | On-site receipt |
| Low nominal price crypto basket: long the 6 cheapest coins, weekly receipt Source: c1031/acad4 | crypto | +10.3 pts/yr | 352 rebalances | 0.372 | 1.000 | On-site receipt |
| High-low bid-ask spread estimator: long the most illiquid quintile by Corwin-Schultz spread receipt Source: c1022/acad | US stocks | +7.2 pts/yr | 101 rebalances | 0.028 | 0.814 | On-site receipt |
| QQQ plus whichever defensive asset is least correlated with it receipt Source: Ilmanen 2003 JFI; Campbell, Sunderam & Viceira 2017 Critical Finance Review (inflation bets or deflation hedges: time-varying hedges) | ETFs | +3.8 pts/yr | 239 rebalances | 0.022 | 0.744 | On-site receipt |
| Prospect-theory value: long the quintile with the lowest TK value of the past 60 monthly returns (Barberis-Mukherjee-Wang) receipt Source: c1023/acad2 | US stocks | +2.9 pts/yr | 40 rebalances | 0.270 | 1.000 | On-site receipt |
| Salience theory: long the quintile with the lowest salience-weighted past-month return (Cosemans-Frehen) receipt Source: c1023/acad2 | US stocks | +1.5 pts/yr | 101 rebalances | 0.293 | 1.000 | On-site receipt |
| Cross-asset risk breadth: how many risk assets are above their 200d receipt Source: c1022/macro | ETFs | +0.8 pts/yr | 1,053 rebalances | 0.330 | 1.000 | On-site receipt |
| Liquidity beta: long stocks whose returns rise most when aggregate illiquidity improves (Pastor-Stambaugh, price-volume proxy) receipt Source: c1022/acad | US stocks | +0.7 pts/yr | 76 rebalances | 0.451 | 1.000 | On-site receipt |
| Narrow leadership: BTC at a 50-day high while alt breadth is weak receipt Source: c1022/crypto | crypto | +0.5 pts/yr | 192 rebalances | 0.485 | 1.000 | On-site receipt |
| Sector beta rotation by VIX percentile (cyclicals when calm, defensives when stressed) receipt Source: c1022/macro | ETFs | +0.1 pts/yr | 443 rebalances | 0.450 | 1.000 | On-site receipt |
| Up/down capture ratio sectors: hold the 4 of 11 with the best 252-day up-capture over down-capture versus the sector average receipt Source: c1031/etfxs | ETFs | −0.1 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| 2s10s yield curve inversion/re-steepening equity timing receipt Source: FRED T10Y2Y; Estrella-Mishkin NY Fed 1996; Campbell Harvey inverted yield curve papers | ETFs | −0.3 pts/yr | 18 trades | 1.000 | 1.000 | On-site receipt |
| Does choosing ETFs with shorter drawdowns work? receipt Source: retail trading content: ETF time under water drawdown duration ranking | ETFs | −0.7 pts/yr | 236 rebalances | 1.000 | 1.000 | On-site receipt |
| Low-skewness commodity ETFs receipt Source: Fernandez-Perez, Frijns, Fuertes & Miffre 2018 JBF ('The skewness of commodity futures returns') | ETFs | −0.9 pts/yr | 230 rebalances | 1.000 | 1.000 | On-site receipt |
| 2s10s yield curve inversion/re-steepening equity timing (wide US stocks) receipt Source: FRED T10Y2Y; Estrella-Mishkin NY Fed 1996; Campbell Harvey inverted yield curve papers | US stocks | −1.2 pts/yr | 1,026 trades | 1.000 | 1.000 | On-site receipt |
| Average-correlation regime switch on sectors: momentum when correlation is low, low-volatility when it is high receipt Source: c1031/etfxs | ETFs | −2.1 pts/yr | 87 rebalances | 1.000 | 1.000 | On-site receipt |
| Does choosing ETFs by their return tail ratio work? receipt Source: retail trading content: tail ratio ETF selection 95th percentile 5th percentile | ETFs | −2.2 pts/yr | 236 rebalances | 1.000 | 1.000 | On-site receipt |
| Silver/gold ratio trend as the equity risk-on gate receipt Source: c1022/macro | ETFs | −2.4 pts/yr | 3,850 rebalances | 1.000 | 1.000 | On-site receipt |
| VIX risk-off ladder: equities, then IG credit, then Treasuries receipt Source: c1022/macro | ETFs | −2.5 pts/yr | 5,081 rebalances | 1.000 | 1.000 | On-site receipt |
| Downside-beta premium on sectors: hold the 4 of 11 with the highest beta in down-market days, monthly receipt Source: c1031/etfxs | ETFs | −2.5 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Does CPPI portfolio insurance work with QQQ and SHY? receipt Source: arxiv.org | ETFs | −2.9 pts/yr | 2,135 rebalances | 1.000 | 1.000 | On-site receipt |
| Size effect via dollar volume: long the smallest fifth by 63-day dollar volume, monthly (Banz) receipt Source: c1031/acad4 | US stocks | −3.2 pts/yr | 99 rebalances | 1.000 | 1.000 | On-site receipt |
| Commodities held while 3-month breakeven inflation is rising receipt Source: Gorton & Rouwenhorst 2006 FAJ (commodities hedge unexpected inflation); Bekaert & Wang 2010 Economic Policy (inflation risk and the inflation risk premium) | ETFs | −3.6 pts/yr | 393 trades | 1.000 | 1.000 | On-site receipt |
| Utilities beta rotation (XLU vs market, 4 weeks) receipt Source: Gayed & Bilello 2014 (Dow Award) 'An Intermarket Approach to Beta Rotation: The Strategy, Signal and Power of Utilities' | ETFs | −3.8 pts/yr | 439 rebalances | 1.000 | 1.000 | On-site receipt |
| Gold and Treasuries after a VIX spike (flight to safety) receipt Source: Baur & Lucey 2010 Financial Review (gold as a short-term safe haven); Baele, Bekaert, Inghelbrecht & Wei 2020 RFS ('Flights to safety') | ETFs | −3.8 pts/yr | 149 trades | 1.000 | 1.000 | On-site receipt |
| Crypto prospect-theory value: long the 6 coins with the lowest TK value of the past 52 weekly returns, weekly (Barberis-Mukherjee-Wang transfer) receipt Source: c1023/acad2 | crypto | −4.0 pts/yr | 324 rebalances | 1.000 | 1.000 | On-site receipt |
| Bond or real-asset hedge chosen by the stock-bond correlation sign receipt Source: Campbell, Pflueger & Viceira 2020 JPE; Ilmanen 2003 JFI (stock-bond correlations) | ETFs | −4.6 pts/yr | 99 rebalances | 1.000 | 1.000 | On-site receipt |
| Average sector correlation predicts market returns receipt Source: Pollet & Wilson 2010 JFE ('Average correlation and stock market returns') | ETFs | −4.9 pts/yr | 99 rebalances | 1.000 | 1.000 | On-site receipt |
| Volume trend: long stocks whose monthly volume has been declining over two years (Haugen-Baker) receipt Source: c1022/acad | US stocks | −5.1 pts/yr | 76 rebalances | 1.000 | 1.000 | On-site receipt |
| Real-yield x breakeven quadrant allocation receipt Source: Ilmanen 2011 'Expected Returns' (growth/inflation regimes); Bridgewater All Weather regime mapping | ETFs | −5.2 pts/yr | 102 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto price delay: long the 6 coins that react most slowly to the crypto market, weekly (Hou-Moskowitz) receipt Source: c1031/acad4 | crypto | −5.6 pts/yr | 339 rebalances | 1.000 | 1.000 | On-site receipt |
| Gold and long Treasuries while QQQ is 10% off its 1-year high receipt Source: Baur & McDermott 2010 JBF ('Is gold a safe haven? International evidence') | ETFs | −5.7 pts/yr | 443 rebalances | 1.000 | 1.000 | On-site receipt |
| Oil-beta stock tilt following the oil trend receipt Source: Driesprong, Jacobsen & Maat 2008 JFE; Narayan & Sharma 2011 JBF (firm returns, oil and oil-price sensitivity) | US stocks | −5.9 pts/yr | 390 rebalances | 1.000 | 1.000 | On-site receipt |
| Does 10% band rebalancing work for a four-asset ETF portfolio? receipt Source: retail trading content: permanent portfolio relative rebalance bands stocks gold bonds cash | ETFs | −6.3 pts/yr | 2,135 rebalances | 1.000 | 1.000 | On-site receipt |
| Frequency of positive daytime reversals receipt Source: Akbas, Boehmer, Jiang & Koch 2022 JFE ('Overnight returns, daytime reversals, and future stock returns') | US stocks | −6.4 pts/yr | 101 rebalances | 1.000 | 1.000 | On-site receipt |
| Credit leads equity: weekly HYG-vs-IEF relative return receipt Source: Kwan 1996 JFE (firm-specific information in stock and bond returns); Norden & Weber 2009 EFM (credit markets lead equity) | ETFs | −6.8 pts/yr | 442 rebalances | 1.000 | 1.000 | On-site receipt |
| Metals and commodities after a sharp weekly dollar drop receipt Source: Capie, Mills & Wood 2005 (gold and the dollar); Akram 2009 Energy Economics (commodity prices respond to dollar shocks with a lag) | ETFs | −7.5 pts/yr | 163 trades | 1.000 | 1.000 | On-site receipt |
| High-volume return premium on 13 equity ETFs: hold the 4 with the highest 5-day volume vs their 1-year average receipt Source: c1031/etfxs | ETFs | −7.5 pts/yr | 90 rebalances | 1.000 | 1.000 | On-site receipt |
| Leading industries (retail, real estate, materials, energy) time the market receipt Source: Hong, Torous & Valkanov 2007 JFE ('Do industries lead stock markets?') | ETFs | −7.7 pts/yr | 439 rebalances | 1.000 | 1.000 | On-site receipt |
| Rising oil predicts weak equities (Driesprong) receipt Source: Driesprong, Jacobsen & Maat 2008 JFE ('Striking oil: another puzzle?') | ETFs | −7.9 pts/yr | 101 rebalances | 1.000 | 1.000 | On-site receipt |
| Buy after a market illiquidity spike (Amihud time-series premium) receipt Source: Amihud 2002 J. Financial Markets (expected market illiquidity raises expected returns) | ETFs | −9.5 pts/yr | 63 trades | 1.000 | 1.000 | On-site receipt |
| Control: buy after a 2% down day, hold 5d (wide US stocks) receipt Source: none published (Tickfloor research-desk test) | US stocks | −9.6 pts/yr | 19,644 trades | 1.000 | 1.000 | On-site receipt |
| Control: buy after a 3% down day, hold 10d (wide US stocks) receipt Source: none published (Tickfloor research-desk test) | US stocks | −9.7 pts/yr | 8,839 trades | 1.000 | 1.000 | On-site receipt |
| Control: buy after a 1% down day, hold 3d (wide US stocks) receipt Source: none published (Tickfloor research-desk test) | US stocks | −9.8 pts/yr | 40,643 trades | 1.000 | 1.000 | On-site receipt |
| Control: buy after a 5% down day, hold 20d (wide US stocks) receipt Source: none published (Tickfloor research-desk test) | US stocks | −10.7 pts/yr | 2,792 trades | 1.000 | 1.000 | On-site receipt |
| TradingView Technical Rating 'Strong Buy' receipt Source: c1022/retail | US stocks | −13.0 pts/yr | 2,397 trades | 1.000 | 1.000 | On-site receipt |
| Negative-skewness premium: avoid positively skewed (lottery-like) coins receipt Source: c1022/crypto | crypto | −16.8 pts/yr | 88 rebalances | 1.000 | 1.000 | On-site receipt |
| BTC-only when alts herd with BTC, trending alts otherwise receipt Source: Bouri, Gupta & Roubaud 2019 FRL (herding in cryptocurrencies); Koutmos 2018 Econ. Letters (return and volatility spillovers) | crypto | −16.8 pts/yr | 395 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto illiquidity premium: long the 6 coins with the highest 30-day Amihud price impact, weekly (Zhang-Li; Amihud) receipt Source: c1024/acad3 | crypto | −18.9 pts/yr | 374 rebalances | 1.000 | 1.000 | On-site receipt |
| Crypto salience: long the 6 coins with the lowest salience-weighted past-3-week return, weekly (Cosemans-Frehen transfer) receipt Source: c1023/acad2 | crypto | −26.5 pts/yr | 374 rebalances | 1.000 | 1.000 | On-site receipt |
| Time-under-water regime: cash after 60 days without a 100-day high receipt Source: c1022/crypto | crypto | −28.7 pts/yr | 165 trades | 1.000 | 1.000 | On-site receipt |
| Alt-beta regime: alts only when they amplify BTC receipt Source: c1022/crypto | crypto | −42.4 pts/yr | 395 rebalances | 1.000 | 1.000 | On-site receipt |
| Trend-strength regime by R-squared of the log-price fit: trend-follow when linear, fade when not receipt Source: c1022/crypto | crypto | −42.8 pts/yr | 886 trades | 1.000 | 1.000 | On-site receipt |
| Hammer / shooting star at support-resistance receipt Source: Instagram/YouTube 'pin bar' and 'hammer candle' trading content | crypto | −63.3 pts/yr | 117 trades | 1.000 | 1.000 | On-site receipt Full test: Support and Resistance |
| Crypto held during bull steepening with falling real yields (easing impulse) receipt Source: Karau 2023 J. Int. Money & Finance ('Monetary policy and Bitcoin'); yield-curve easing-impulse literature (Estrella & Mishkin 1998) | crypto | −64.7 pts/yr | 160 trades | 1.000 | 1.000 | On-site receipt |
| Hurst-exponent regime switch (persistence vs anti-persistence) receipt Source: c1022/crypto | crypto | −76.5 pts/yr | 2,578 trades | 1.000 | 1.000 | On-site receipt |
| Open-interest trough inside a price uptrend (deleveraged trend has room) receipt Source: c1022/crypto | crypto | −83.4 pts/yr | 61 trades | 1.000 | 1.000 | On-site receipt |
| Coiled leverage: open interest builds on a flat price, trade the 24h breakout receipt Source: Kaiko / Glassnode derivatives research on OI build-ups before volatility expansions; Brunnermeier & Pedersen 2009 (crowded positions unwind) | crypto | −83.9 pts/yr | 282 trades | 1.000 | 1.000 | On-site receipt |
| Crypto long after a 1-week jump in US breakeven inflation receipt Source: Choi & Shin 2022 Finance Research Letters ('Is Bitcoin an inflation hedge?': BTC rises after inflation-expectation shocks) | crypto | −89.2 pts/yr | 294 trades | 1.000 | 1.000 | On-site receipt |
| Variance-ratio regime switch (trend when VR>1.1, fade when VR<0.9) receipt Source: Lo & MacKinlay 1988 RFS (variance-ratio test); Charfeddine & Maouchi 2019 (time-varying efficiency of crypto) | crypto | −92.4 pts/yr | 5,561 trades | 1.000 | 1.000 | On-site receipt |
| Parkinson-vol regime switch on hourly bars: breakout when quiet, fade when loud receipt Source: c1022/crypto | crypto | −106.0 pts/yr | 13,690 trades | 1.000 | 1.000 | On-site receipt |
| Hourly return autocorrelation regime: momentum when positive, reversal when negative receipt Source: c1022/crypto | crypto | −124.2 pts/yr | 9,830 trades | 1.000 | 1.000 | On-site receipt |
- Volume-share dominance: BTC's share of market turnover rising = risk-off
crypto · +50.6 pts/yr · 381 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 0.088
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Equal-weight ensemble of the three crypto leader families, weekly
crypto · +25.1 pts/yr · 395 rebalances · corrected q 0.830
Source, p-value and result file
- Source
- c1022/redteam
- p-value
- 0.036
- Corrected q
- 0.830
- Receipt
- On-site receipt
- VIX-level gate on a crypto trend
crypto · +17.7 pts/yr · 1,228 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 0.294
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low nominal price crypto basket: long the 6 cheapest coins, weekly
crypto · +10.3 pts/yr · 352 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/acad4
- p-value
- 0.372
- Corrected q
- 1.000
- Receipt
- On-site receipt
- High-low bid-ask spread estimator: long the most illiquid quintile by Corwin-Schultz spread
US stocks · +7.2 pts/yr · 101 rebalances · corrected q 0.814
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 0.028
- Corrected q
- 0.814
- Receipt
- On-site receipt
- QQQ plus whichever defensive asset is least correlated with it
ETFs · +3.8 pts/yr · 239 rebalances · corrected q 0.744
Source, p-value and result file
- Source
- Ilmanen 2003 JFI; Campbell, Sunderam & Viceira 2017 Critical Finance Review (inflation bets or deflation hedges: time-varying hedges)
- p-value
- 0.022
- Corrected q
- 0.744
- Receipt
- On-site receipt
- Prospect-theory value: long the quintile with the lowest TK value of the past 60 monthly returns (Barberis-Mukherjee-Wang)
US stocks · +2.9 pts/yr · 40 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 0.270
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Salience theory: long the quintile with the lowest salience-weighted past-month return (Cosemans-Frehen)
US stocks · +1.5 pts/yr · 101 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 0.293
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Cross-asset risk breadth: how many risk assets are above their 200d
ETFs · +0.8 pts/yr · 1,053 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 0.330
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Liquidity beta: long stocks whose returns rise most when aggregate illiquidity improves (Pastor-Stambaugh, price-volume proxy)
US stocks · +0.7 pts/yr · 76 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 0.451
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Narrow leadership: BTC at a 50-day high while alt breadth is weak
crypto · +0.5 pts/yr · 192 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 0.485
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Sector beta rotation by VIX percentile (cyclicals when calm, defensives when stressed)
ETFs · +0.1 pts/yr · 443 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 0.450
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Up/down capture ratio sectors: hold the 4 of 11 with the best 252-day up-capture over down-capture versus the sector average
ETFs · −0.1 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/etfxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 2s10s yield curve inversion/re-steepening equity timing
ETFs · −0.3 pts/yr · 18 trades · corrected q 1.000
Source, p-value and result file
- Source
- FRED T10Y2Y; Estrella-Mishkin NY Fed 1996; Campbell Harvey inverted yield curve papers
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Does choosing ETFs with shorter drawdowns work?
ETFs · −0.7 pts/yr · 236 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- retail trading content: ETF time under water drawdown duration ranking
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Low-skewness commodity ETFs
ETFs · −0.9 pts/yr · 230 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Fernandez-Perez, Frijns, Fuertes & Miffre 2018 JBF ('The skewness of commodity futures returns')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- 2s10s yield curve inversion/re-steepening equity timing (wide US stocks)
US stocks · −1.2 pts/yr · 1,026 trades · corrected q 1.000
Source, p-value and result file
- Source
- FRED T10Y2Y; Estrella-Mishkin NY Fed 1996; Campbell Harvey inverted yield curve papers
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Average-correlation regime switch on sectors: momentum when correlation is low, low-volatility when it is high
ETFs · −2.1 pts/yr · 87 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/etfxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Does choosing ETFs by their return tail ratio work?
ETFs · −2.2 pts/yr · 236 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- retail trading content: tail ratio ETF selection 95th percentile 5th percentile
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Silver/gold ratio trend as the equity risk-on gate
ETFs · −2.4 pts/yr · 3,850 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- VIX risk-off ladder: equities, then IG credit, then Treasuries
ETFs · −2.5 pts/yr · 5,081 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/macro
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Downside-beta premium on sectors: hold the 4 of 11 with the highest beta in down-market days, monthly
ETFs · −2.5 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/etfxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Does CPPI portfolio insurance work with QQQ and SHY?
ETFs · −2.9 pts/yr · 2,135 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- arxiv.org
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Size effect via dollar volume: long the smallest fifth by 63-day dollar volume, monthly (Banz)
US stocks · −3.2 pts/yr · 99 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/acad4
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Commodities held while 3-month breakeven inflation is rising
ETFs · −3.6 pts/yr · 393 trades · corrected q 1.000
Source, p-value and result file
- Source
- Gorton & Rouwenhorst 2006 FAJ (commodities hedge unexpected inflation); Bekaert & Wang 2010 Economic Policy (inflation risk and the inflation risk premium)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Utilities beta rotation (XLU vs market, 4 weeks)
ETFs · −3.8 pts/yr · 439 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Gayed & Bilello 2014 (Dow Award) 'An Intermarket Approach to Beta Rotation: The Strategy, Signal and Power of Utilities'
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Gold and Treasuries after a VIX spike (flight to safety)
ETFs · −3.8 pts/yr · 149 trades · corrected q 1.000
Source, p-value and result file
- Source
- Baur & Lucey 2010 Financial Review (gold as a short-term safe haven); Baele, Bekaert, Inghelbrecht & Wei 2020 RFS ('Flights to safety')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto prospect-theory value: long the 6 coins with the lowest TK value of the past 52 weekly returns, weekly (Barberis-Mukherjee-Wang transfer)
crypto · −4.0 pts/yr · 324 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Bond or real-asset hedge chosen by the stock-bond correlation sign
ETFs · −4.6 pts/yr · 99 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Campbell, Pflueger & Viceira 2020 JPE; Ilmanen 2003 JFI (stock-bond correlations)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Average sector correlation predicts market returns
ETFs · −4.9 pts/yr · 99 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Pollet & Wilson 2010 JFE ('Average correlation and stock market returns')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Volume trend: long stocks whose monthly volume has been declining over two years (Haugen-Baker)
US stocks · −5.1 pts/yr · 76 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/acad
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Real-yield x breakeven quadrant allocation
ETFs · −5.2 pts/yr · 102 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Ilmanen 2011 'Expected Returns' (growth/inflation regimes); Bridgewater All Weather regime mapping
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto price delay: long the 6 coins that react most slowly to the crypto market, weekly (Hou-Moskowitz)
crypto · −5.6 pts/yr · 339 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/acad4
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Gold and long Treasuries while QQQ is 10% off its 1-year high
ETFs · −5.7 pts/yr · 443 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Baur & McDermott 2010 JBF ('Is gold a safe haven? International evidence')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Oil-beta stock tilt following the oil trend
US stocks · −5.9 pts/yr · 390 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Driesprong, Jacobsen & Maat 2008 JFE; Narayan & Sharma 2011 JBF (firm returns, oil and oil-price sensitivity)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Does 10% band rebalancing work for a four-asset ETF portfolio?
ETFs · −6.3 pts/yr · 2,135 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- retail trading content: permanent portfolio relative rebalance bands stocks gold bonds cash
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Frequency of positive daytime reversals
US stocks · −6.4 pts/yr · 101 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Akbas, Boehmer, Jiang & Koch 2022 JFE ('Overnight returns, daytime reversals, and future stock returns')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Credit leads equity: weekly HYG-vs-IEF relative return
ETFs · −6.8 pts/yr · 442 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Kwan 1996 JFE (firm-specific information in stock and bond returns); Norden & Weber 2009 EFM (credit markets lead equity)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Metals and commodities after a sharp weekly dollar drop
ETFs · −7.5 pts/yr · 163 trades · corrected q 1.000
Source, p-value and result file
- Source
- Capie, Mills & Wood 2005 (gold and the dollar); Akram 2009 Energy Economics (commodity prices respond to dollar shocks with a lag)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- High-volume return premium on 13 equity ETFs: hold the 4 with the highest 5-day volume vs their 1-year average
ETFs · −7.5 pts/yr · 90 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1031/etfxs
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Leading industries (retail, real estate, materials, energy) time the market
ETFs · −7.7 pts/yr · 439 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Hong, Torous & Valkanov 2007 JFE ('Do industries lead stock markets?')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Rising oil predicts weak equities (Driesprong)
ETFs · −7.9 pts/yr · 101 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Driesprong, Jacobsen & Maat 2008 JFE ('Striking oil: another puzzle?')
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Buy after a market illiquidity spike (Amihud time-series premium)
ETFs · −9.5 pts/yr · 63 trades · corrected q 1.000
Source, p-value and result file
- Source
- Amihud 2002 J. Financial Markets (expected market illiquidity raises expected returns)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Control: buy after a 2% down day, hold 5d (wide US stocks)
US stocks · −9.6 pts/yr · 19,644 trades · 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
- Receipt
- On-site receipt
- Control: buy after a 3% down day, hold 10d (wide US stocks)
US stocks · −9.7 pts/yr · 8,839 trades · 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
- Receipt
- On-site receipt
- Control: buy after a 1% down day, hold 3d (wide US stocks)
US stocks · −9.8 pts/yr · 40,643 trades · 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
- Receipt
- On-site receipt
- Control: buy after a 5% down day, hold 20d (wide US stocks)
US stocks · −10.7 pts/yr · 2,792 trades · 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
- Receipt
- On-site receipt
- TradingView Technical Rating 'Strong Buy'
US stocks · −13.0 pts/yr · 2,397 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/retail
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Negative-skewness premium: avoid positively skewed (lottery-like) coins
crypto · −16.8 pts/yr · 88 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- BTC-only when alts herd with BTC, trending alts otherwise
crypto · −16.8 pts/yr · 395 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- Bouri, Gupta & Roubaud 2019 FRL (herding in cryptocurrencies); Koutmos 2018 Econ. Letters (return and volatility spillovers)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto illiquidity premium: long the 6 coins with the highest 30-day Amihud price impact, weekly (Zhang-Li; Amihud)
crypto · −18.9 pts/yr · 374 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1024/acad3
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto salience: long the 6 coins with the lowest salience-weighted past-3-week return, weekly (Cosemans-Frehen transfer)
crypto · −26.5 pts/yr · 374 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1023/acad2
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Time-under-water regime: cash after 60 days without a 100-day high
crypto · −28.7 pts/yr · 165 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Alt-beta regime: alts only when they amplify BTC
crypto · −42.4 pts/yr · 395 rebalances · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Trend-strength regime by R-squared of the log-price fit: trend-follow when linear, fade when not
crypto · −42.8 pts/yr · 886 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Hammer / shooting star at support-resistance
crypto · −63.3 pts/yr · 117 trades · corrected q 1.000
Full test: Support and Resistance
Source, p-value and result file
- Source
- Instagram/YouTube 'pin bar' and 'hammer candle' trading content
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto held during bull steepening with falling real yields (easing impulse)
crypto · −64.7 pts/yr · 160 trades · corrected q 1.000
Source, p-value and result file
- Source
- Karau 2023 J. Int. Money & Finance ('Monetary policy and Bitcoin'); yield-curve easing-impulse literature (Estrella & Mishkin 1998)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Hurst-exponent regime switch (persistence vs anti-persistence)
crypto · −76.5 pts/yr · 2,578 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Open-interest trough inside a price uptrend (deleveraged trend has room)
crypto · −83.4 pts/yr · 61 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Coiled leverage: open interest builds on a flat price, trade the 24h breakout
crypto · −83.9 pts/yr · 282 trades · corrected q 1.000
Source, p-value and result file
- Source
- Kaiko / Glassnode derivatives research on OI build-ups before volatility expansions; Brunnermeier & Pedersen 2009 (crowded positions unwind)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Crypto long after a 1-week jump in US breakeven inflation
crypto · −89.2 pts/yr · 294 trades · corrected q 1.000
Source, p-value and result file
- Source
- Choi & Shin 2022 Finance Research Letters ('Is Bitcoin an inflation hedge?': BTC rises after inflation-expectation shocks)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Variance-ratio regime switch (trend when VR>1.1, fade when VR<0.9)
crypto · −92.4 pts/yr · 5,561 trades · corrected q 1.000
Source, p-value and result file
- Source
- Lo & MacKinlay 1988 RFS (variance-ratio test); Charfeddine & Maouchi 2019 (time-varying efficiency of crypto)
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Parkinson-vol regime switch on hourly bars: breakout when quiet, fade when loud
crypto · −106.0 pts/yr · 13,690 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
- Hourly return autocorrelation regime: momentum when positive, reversal when negative
crypto · −124.2 pts/yr · 9,830 trades · corrected q 1.000
Source, p-value and result file
- Source
- c1022/crypto
- p-value
- 1.000
- Corrected q
- 1.000
- Receipt
- On-site receipt
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.