Here's one list:

https://www.quantopian.com/posts/trading-strategy-ideas-thread

I read through this book rather quickly awhile back, and I'm inclined to have another look:

Systematic Trading: A unique new method for designing trading and investing systems

The author also spoke at QuantCon:

"Trading Strategies that are Designed, Not Fitted" by Robert Carver from QuantCon NYC 2017

Thanks a lot!

This list has been curated by Q (maybe time for an update?).

Perhaps also study up on Efficient Market Hypothesis, as well as Behavioural Economics/Finance.

Thanks,
I already looked on the Efficiency hypothesis, which I think does not make sense. If the market is 100% efficient, how can someone generate some sharp ratio?
In a 100% efficient market only ultra high frequency should work as the market would compensate immediately (or with a very very small delay) any hedge. Is there any book/articles that focus on why the market is "close" to efficiency but not 100% efficient?
Does what I said make sense or its just rambling from a theorist mind?

One has to figure it’s the big players in the market that create broad inefficiencies for hedge funds. Pension funds, ETFs, mutual funds, etc. can’t be perfect.

Yeah, I agree. My own belief is that the market is very efficient in the long term, but in the shorter (sometimes medium even) term it may over react, or under- (slow to) react to information that 'should' be priced in. This is where one can find alpha.

EMH (at least the strong form) I believe also assumes that all people are always rational, and that they always act rational, that everyone is aware (and act accordingly) on all publicly available information, that there's no 'hidden' (sometimes in plain sight) information in public data, and that the only incentive for buying or selling a stock is to make money. The Freakonomics book series I believe demonstrated that not everyone acts rationally all the time, and that there are other incentives in an economy other than what may seem obvious.

Just my SEK 2. :)

The 2008-2009 downturn may be a good example. Individual investors were no doubt driven by fear-uncertainty-doubt and I bet that institutions did some “irrational” things in the market to stay true to their prospectuses/policies.

Robert J. Shiller's article From Efficient Markets Theory to Behavioral Finance is pretty good reading material with couple examples about anomalies in markets.

I may circle back to Trading Expected Factor Flows. One explanation of the Quantopian risk factors (sector and style) is that other hedge funds already know how to trade them, and so Quantopian has no edge in including them in its portfolio. And one can find numerous retail ETF/mutual fund/whatever that focus on each of the Quantopian risk factors. So, one way to come up with ideas would be to go through the vast universe of advertised "engineered" investment vehicles, exclude the ones already covered by the Quantopian risk factors, and focus on the rest. Then, study the investment policies and consider how a strategy could be developed.

If anything, the exercise could be entertaining. A search on "niche ETFs" revealed that one can invest in SPDR SSGA Gender Diversity Index ETF (SHE). Heck with a bumper sticker...buy SHE and put your money where you mouth is!