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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
113January BarometerequitiesCFDs, ETFs, funds, futuresSimple strategy1857-200815210.38%16.8% 0.38
83Pre-Holiday EffectequitiesCFDs, ETFs, funds, futuresSimple strategy1896-20021076.39%   
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136Residual Momentum FactorequitiesstocksComplex strategy1926-2009849.18%15.27% 0.34
41Turn of the Month in Equity IndexesequitiesCFDs, ETFs, funds, futures, optionsSimple strategy1926-2005807.2%6.9% 1.04
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77Betting Against Beta Factor in StocksequitiesstocksComplex strategy1926-2009848.86%11.5% 0.42
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26Value (Book-to-Market) FactorequitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%0.28
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The Encyclopedia of Quantitative Trading Strategies

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