Eleven published quant strategies, from slow seasonal drifts to cost-sensitive overnight trades

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Ideas for quantitative trading strategies

A research shortlist of 11 published strategy variants from 6 independent hosts — academic journals, SSRN, NBER and practitioner research — scanned on 2026-09-06. Two rows are closely related implementations of the same broad trend / time-series-momentum idea and are nested under one family below. This is a menu of hypotheses to test, not investment advice; published returns are historical and may not remain attainable.

The strategy research landscape

futures, FX & indices single stocks country / multi-region equity source states a severe caveat (costs, shorting, decay) bubble ring dotted = holding horizon not stated in source

Findings

Trend / time-series momentum is the best-replicated family: profitable on average since 1985 across nearly all futures and forwards, and positive for every one of 58 contracts over 25+ years — aqr.com, aqr.com

Classic pairs trading earned about 11% annualized excess return on top pairs over 1962–2002, but the source itself flags short-selling and transaction costs as the binding constraint — academic.oup.com

Overnight drift's headline 38% per annum with a Sharpe near 3 explicitly ignores transaction costs — the most fragile number on this page — papers.ssrn.com

The slow end is friendlier to independent researchers: a walk-forward blend of four seasonal anomalies produced 9.10% a year at 5.2% volatility (Sharpe 0.84), and PEAD delivered 2.6–9.37% abnormal return per quarter — papers.ssrn.com, papers.ssrn.com

Statistical arbitrage's Sharpe of 1.51 comes from a 2003–2007 sample — an older regime, so treat it as a decayed benchmark rather than a live expectation — tandfonline.com

Backtest hypotheses, one per idea

Read the caveats before the returns

All evidence is historical or hypothetical; publication and data-mining bias mean live results are usually weaker.
Overnight drift's return is quoted before transaction costs; high-turnover ideas (stat-arb, overnight, weekly timing) are the most execution-sensitive.
Long-short designs (pairs, accruals, PEAD, value+momentum) depend on shorting: loanable shares, borrow fees, squeezes and financing all bite.
Pairs-trading profitability was documented on 1962–2002 data; the source's own caveats point to decay once costs and shorting frictions are applied.
Regimes decay: momentum crashes, and time-series momentum partially reverses beyond one year.
An empty horizon or caveat cell means the extracted source did not state one — not that no risk exists.

The full shortlist

Idea	Universe	Horizon (as stated)	Published evidence	Main caveat (as stated)	Source

Method: 11 published strategy variants extracted from 6 independent hosts, scanned 2026-09-06; one source URL per row. "Published evidence" quotes each paper's own headline result over its own historical sample — units and periods differ by row and are not comparable. Execution-sensitivity ordering on the chart is editorial, guided by each source's stated horizon and caveats. Prototype rules are shortened for space; blank cells mean the source did not state a value.

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