The Prosper Academy · Strategy Library
50 Classic Trading Strategies, Tested Honestly
These are classic, published strategies from the open-source QuantJourney library (Apache-2.0) — moving-average crossovers, RSI dip-buying, momentum rotation, pairs trading, risk parity, and walk-forward testing. Simple rules anyone can understand, run through a backtester and published for anyone to check.
We show every published backtest — including the losers. Several of these strategies lost money in their published tests, and many more made money so slowly that cash would have been better on a risk-adjusted basis. That is the point of this page: a famous rule is not the same thing as a profitable one, and the numbers below do not hide it.
The numbers on this page are published backtest results by QuantJourney, reproduced with attribution. Backtests are hypothetical — they are not live trading results and they do not guarantee future returns.
The free sample is a spreadsheet excerpt. The full workbook covers all 50 strategies with their rules, metrics, and verdicts in one file.
All 50 strategies
Orders strategies trade through explicit order types. Weights strategies set target portfolio weights and rebalance. Walk-forward entries are validation and optimization workflows — they publish diagnostics, not a portfolio backtest. Filter by type, then open any card for the full metrics and the plain-English rules.
Market SMA Crossover
Trend following · Equity ETFs
- Return
- +127.0%
- CAGR
- +3.33%
- Sharpe
- 0.21
- Max DD
- -16.4%
Verdict: Modest
See the full test →
Market RSI Reversion
Mean reversion · Equity ETFs
- Return
- +29.1%
- CAGR
- +1.03%
- Sharpe
- -0.17
- Max DD
- -16.0%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Limit RSI Dip Buyer
Mean reversion · Equity ETFs
- Return
- +94.7%
- CAGR
- +2.70%
- Sharpe
- 0.14
- Max DD
- -19.1%
Verdict: Modest
See the full test →
Limit Trend Pullback
Trend following · Equity ETFs
- Return
- +56.8%
- CAGR
- +1.82%
- Sharpe
- -0.04
- Max DD
- -6.8%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Stop Breakout Entry
Breakout · Equity ETFs
- Return
- +41.4%
- CAGR
- +1.40%
- Sharpe
- -0.19
- Max DD
- -10.5%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Protective Stop Loss
Trend following · Equity ETFs
- Return
- +60.1%
- CAGR
- +1.90%
- Sharpe
- 0.00
- Max DD
- -16.2%
Verdict: Modest
See the full test →
Stop-Limit Breakout
Breakout · Equity ETFs
- Return
- +56.2%
- CAGR
- +1.80%
- Sharpe
- -0.05
- Max DD
- -6.4%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Stop-Limit Protection
Trend following · Equity ETFs
- Return
- +63.6%
- CAGR
- +1.99%
- Sharpe
- 0.02
- Max DD
- -14.2%
Verdict: Modest
See the full test →
Trailing Stop Trend
Trend following · Equity ETFs
- Return
- +30.0%
- CAGR
- +1.06%
- Sharpe
- -0.33
- Max DD
- -7.0%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
RSI + Trailing Stop
Mean reversion · Equity ETFs
- Return
- -12.2%
- CAGR
- -0.52%
- Sharpe
- -0.41
- Max DD
- -39.0%
Verdict: Lost money in backtest
See the full test →
Trailing Stop-Limit
Trend following · Equity ETFs
- Return
- +28.1%
- CAGR
- +1.00%
- Sharpe
- -0.38
- Max DD
- -6.2%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Bracket Trend
Trend following · Equity ETFs
- Return
- +29.4%
- CAGR
- +1.04%
- Sharpe
- -0.38
- Max DD
- -6.8%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Bracket RSI Reversion
Mean reversion · Equity ETFs
- Return
- +8.5%
- CAGR
- +0.33%
- Sharpe
- -0.43
- Max DD
- -11.6%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
OCO Dip or Breakout
Breakout / Mean reversion · Equity ETFs
- Return
- +45.5%
- CAGR
- +1.51%
- Sharpe
- -0.08
- Max DD
- -13.2%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Intraday 5m Bracket Reversion
Mean reversion · Equity ETFs
- Return
- +1.1%
- CAGR
- —
- Sharpe
- —
- Max DD
- -1.3%
Verdict: Modest
See the full test →
Intraday 30m Stop Breakout
Breakout · Equity ETFs
- Return
- -13.9%
- CAGR
- —
- Sharpe
- —
- Max DD
- -14.8%
Verdict: Lost money in backtest
See the full test →
Monthly Rotation (orders)
Momentum · Multi-asset
- Return
- +381.0%
- CAGR
- +8.62%
- Sharpe
- 0.53
- Max DD
- -28.2%
Verdict: Held up
See the full test →
Signal-Change Rotation (orders)
Trend following · Equity ETFs
- Return
- +130.0%
- CAGR
- +3.38%
- Sharpe
- 0.22
- Max DD
- -16.3%
Verdict: Modest
See the full test →
FX Momentum with Standard Lots
Momentum · FX
- Return
- -14.2%
- CAGR
- -0.95%
- Sharpe
- -0.71
- Max DD
- -15.3%
Verdict: Lost money in backtest
See the full test →
Futures Donchian Contracts
Breakout / Trend following · Futures
- Return
- +35.5%
- CAGR
- +4.67%
- Sharpe
- 0.30
- Max DD
- -16.7%
Verdict: Held up
See the full test →
Daily SMA Trend
Trend following · Equity ETFs
- Return
- +537.0%
- CAGR
- +7.38%
- Sharpe
- 0.45
- Max DD
- -34.7%
Verdict: Held up
See the full test →
Monthly ETF Trend + Drift
Trend following · Multi-asset
- Return
- +138.0%
- CAGR
- +4.66%
- Sharpe
- 0.31
- Max DD
- -19.4%
Verdict: Held up
See the full test →
Weekly RSI Reversion
Mean reversion · Equity ETFs
- Return
- +373.0%
- CAGR
- +6.16%
- Sharpe
- 0.34
- Max DD
- -49.2%
Verdict: Held up
See the full test →
Quarterly Dual Momentum
Momentum · Multi-asset
- Return
- +64.6%
- CAGR
- +2.66%
- Sharpe
- 0.12
- Max DD
- -42.8%
Verdict: Modest
See the full test →
Monthly Inverse Volatility
Risk-based sizing · Multi-asset
- Return
- +174.0%
- CAGR
- +5.45%
- Sharpe
- 0.45
- Max DD
- -20.4%
Verdict: Held up
See the full test →
Signal-Change Defensive Rotation
Trend following · Multi-asset
- Return
- +132.0%
- CAGR
- +4.54%
- Sharpe
- 0.26
- Max DD
- -24.6%
Verdict: Modest
See the full test →
Intraday RSI 15m
Mean reversion · Equity ETFs
- Return
- +2.6%
- CAGR
- —
- Sharpe
- —
- Max DD
- -1.1%
Verdict: Modest
See the full test →
Intraday EMA Scalp 1m
Trend following · Equity ETFs
- Return
- -0.2%
- CAGR
- —
- Sharpe
- —
- Max DD
- -0.2%
Verdict: Lost money in backtest
See the full test →
Intraday SMA Trend 1h
Trend following · Equity ETFs
- Return
- +1.5%
- CAGR
- —
- Sharpe
- —
- Max DD
- -3.5%
Verdict: Modest
See the full test →
Monthly + Circuit Breaker
Trend following / Risk-based sizing · Multi-asset
- Return
- +14.2%
- CAGR
- +0.70%
- Sharpe
- -0.45
- Max DD
- -10.6%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Quarterly TE + Cost Gate
Momentum · Multi-asset
- Return
- +266.0%
- CAGR
- +7.07%
- Sharpe
- 0.44
- Max DD
- -25.5%
Verdict: Held up
See the full test →
Daily Partial Drift
Momentum · Equity ETFs
- Return
- +269.0%
- CAGR
- +5.15%
- Sharpe
- 0.30
- Max DD
- -36.8%
Verdict: Held up
See the full test →
Pairs Trading (Ratio Z-Score)
Mean reversion · Market neutral · Stocks
- Return
- +48.8%
- CAGR
- +1.54%
- Sharpe
- -0.05
- Max DD
- -23.6%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Pairs Trading (Hedge Ratio)
Mean reversion · Market neutral · Equity ETFs
- Return
- +12.4%
- CAGR
- +0.45%
- Sharpe
- -0.30
- Max DD
- -14.3%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Cross-Sectional Momentum (L/S)
Momentum · Market neutral · Equity ETFs
- Return
- +1.3%
- CAGR
- +0.05%
- Sharpe
- -0.24
- Max DD
- -25.4%
Verdict: Made money, but cash did better risk-adjusted (negative Sharpe)
See the full test →
Cross-Sectional Reversal (L/S)
Mean reversion · Market neutral · Equity ETFs
- Return
- -1.7%
- CAGR
- -0.07%
- Sharpe
- -0.24
- Max DD
- -33.7%
Verdict: Lost money in backtest
See the full test →
Vol-Targeted Trend
Trend following / Risk-based sizing · Multi-asset
- Return
- +169.0%
- CAGR
- +5.35%
- Sharpe
- 0.36
- Max DD
- -28.9%
Verdict: Held up
See the full test →
Vol-Targeted Momentum
Momentum / Risk-based sizing · Multi-asset
- Return
- +621.0%
- CAGR
- +10.96%
- Sharpe
- 0.57
- Max DD
- -41.2%
Verdict: Held up
See the full test →
Risk Parity (Multi-Asset ERC)
Risk-based sizing · Multi-asset
- Return
- +84.5%
- CAGR
- +3.28%
- Sharpe
- 0.16
- Max DD
- -35.6%
Verdict: Modest
See the full test →
Risk Parity + Position Cap
Risk-based sizing · Equity ETFs
- Return
- +677.0%
- CAGR
- +8.21%
- Sharpe
- 0.45
- Max DD
- -47.9%
Verdict: Held up
See the full test →
Bollinger Band Reversion
Mean reversion · Equity ETFs
- Return
- +487.0%
- CAGR
- +7.04%
- Sharpe
- 0.42
- Max DD
- -35.2%
Verdict: Held up
See the full test →
MACD Trend
Trend following · Equity ETFs
- Return
- +186.0%
- CAGR
- +4.13%
- Sharpe
- 0.22
- Max DD
- -35.6%
Verdict: Modest
See the full test →
FX Time-Series Momentum
Momentum · FX
- Return
- -27.3%
- CAGR
- -1.97%
- Sharpe
- -0.59
- Max DD
- -29.4%
Verdict: Lost money in backtest
See the full test →
FX Cross-Sectional Momentum
Momentum · Market neutral · FX
- Return
- -34.1%
- CAGR
- -2.58%
- Sharpe
- -1.00
- Max DD
- -41.4%
Verdict: Lost money in backtest
See the full test →
Continuous Futures Trend Proxy
Trend following · Futures
- Return
- +46.3%
- CAGR
- +5.88%
- Sharpe
- 0.62
- Max DD
- -9.7%
Verdict: Held up
See the full test →
Rolling Walk-Forward
Validation workflow · Equity ETFs
- Return
- —
- CAGR
- —
- Sharpe
- —
- Max DD
- —
Verdict: Workflow example — no portfolio backtest published
See the full test →
Expanding Walk-Forward
Validation workflow · Equity ETFs
- Return
- —
- CAGR
- —
- Sharpe
- —
- Max DD
- —
Verdict: Workflow example — no portfolio backtest published
See the full test →
Anchored + Pre-OOS Purging
Validation workflow · Equity ETFs
- Return
- —
- CAGR
- —
- Sharpe
- —
- Max DD
- —
Verdict: Workflow example — no portfolio backtest published
See the full test →
Grid Search
Optimization workflow · Equity ETFs
- Return
- —
- CAGR
- —
- Sharpe
- —
- Max DD
- —
Verdict: Workflow example — no portfolio backtest published
See the full test →
Optuna TPE + Walk-Forward
Optimization workflow · Equity ETFs
- Return
- —
- CAGR
- —
- Sharpe
- —
- Max DD
- —
Verdict: Workflow example — no portfolio backtest published
See the full test →
— means no figure was published for that strategy. Walk-forward entries and some intraday entries are workflow or ungraded examples: they publish diagnostics rather than a graded portfolio backtest, so several metrics are not published for them.
The workbook
Take all 50 tests with you
The full workbook puts every strategy in one spreadsheet: the plain-English rules, return, CAGR, Sharpe ratio, worst drawdown, win rate, profit factor, risk grade, and our honest verdict — losers included, exactly as published.
Where these numbers come from
Strategies and published results: the QuantJourney open-source library (Apache-2.0), via quants.md. Published backtest results by QuantJourney (Apache-2.0), via quants.md, retrieved 2026-10-31. Results generated 11 Jul 2026; data source yfinance via QuantJourney API; $100,000 starting capital per run. Risk grades on this site are a simple shorthand we apply to those published figures — based mainly on the Sharpe ratio, adjusted down for very deep drawdowns — so one strategy can be compared with another at a glance. A grade is a summary of a past backtest, not a rating of what a strategy will do next.
Educational content only — not financial advice. Backtest results are hypothetical, are based on historical data, and do not represent actual trading or guarantee future performance. Nothing on this page is a recommendation to buy, sell, or hold any security. Markets involve risk, including loss of capital.