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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
113January BarometerMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1857-200815210.38%16.8% Weakmarket timing, seasonality0.38
83Pre-Holiday EffectDaily1equitiesCFDs, ETFs, funds, futuresSimple strategy1896-20021076.39%  Strongmarket timing, seasonality 
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77Betting Against Beta Factor in StocksMonthly1000equitiesstocksComplex strategy1926-2009848.86%11.5% Moderately Strongbeta factor, equity long short, stock picking0.42
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136Residual Momentum FactorMonthly200equitiesstocksComplex strategy1926-2009849.18%15.27% Strongequity long short, momentum, momentum in stocks, stock picking0.34
41Turn of the Month in Equity IndexesDaily1equitiesCFDs, ETFs, funds, futures, optionsSimple strategy1926-2005807.2%6.9% Strongmarket timing, seasonality1.04
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14Momentum Factor Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%Strongmomentum, momentum in stocks, stock picking0.49
25Small Capitalization Stocks Premium AnomalyYearly1000equitiesstocksComplex strategy1927-20108412%32%-92%Moderately Strongsmall cap, stock picking 
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26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfinancial statements effect, stock picking, value0.28
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The Encyclopedia of Quantitative Trading Strategies

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