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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityIndicative PerformanceConfidence in AnomalyKeywords
1Asset Class Trend-FollowingMonthly6bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy11.27%Strongasset class picking, momentum, trendfollowing
2Asset Class Momentum – Rotational SystemMonthly5bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy15%Strongasset class picking, momentum, rotational system
3Sector Momentum – Rotational SystemMonthly10equitiesETFs, funds, stocksSimple strategy13.94%Strongmomentum, rotational system, sector picking
5FX Carry TradeMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy7.49%Strongcarry trade, forex system, FX anomaly
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8Currency Momentum FactorMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy6.48%Strongforex system, FX anomaly, momentum
9Currency Value Factor – PPP StrategyQuarterly10currenciesCFDs, forwards, futures, swapsSimple strategy8%Strongforex system, FX anomaly, value
15Momentum Factor Effect in Country Equity IndexesMonthly5equitiesETFs, fundsSimple strategy17.7%Strongcountry picking, momentum, rotational system
16Mean Reversion Effect in Country Equity Indexes3 Years8equitiesETFs, fundsSimple strategy6.4%Strongcountry picking, reversal, rotational system
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21Momentum Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy14.6%Strongmomentum, rotational system
22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy11.73%Strongrotational system, term spread
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28Value and Momentum Factors across Asset ClassesMonthly6bonds, equities, REITsETFs, funds, futuresSimple strategy11.9%Strongasset class picking, momentum, value
31Market Seasonality Effect in World Equity Indexes6 Months1equitiesCFDs, ETFs, funds, futuresSimple strategy8.8%Weakmarket timing, seasonality
41Turn of the Month in Equity IndexesDaily1equitiesCFDs, ETFs, funds, futures, optionsSimple strategy7.2%Strongmarket timing, seasonality
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44Paired SwitchingQuarterly2bonds, equitiesETFs, funds, stocksSimple strategy11.3%Moderately Strongasset class picking, fund picking, market timing, momentum, rotational system
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The Encyclopedia of Quantitative Trading Strategies

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