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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
1Asset Class Trend-Followingbonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%1.06
2Asset Class Momentum – Rotational Systembonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%1.15
3Sector Momentum – Rotational SystemequitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%0.54
5FX Carry TradecurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.49%9.7%-34.55%0.77
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8Currency Momentum FactorcurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%0.65
9Currency Value Factor – PPP StrategycurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010228%9%-18%1
15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%   
16Mean Reversion Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1969-1995276.4%   
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21Momentum Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%0.57
22Term Structure Effect in CommoditiescommoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%0.49
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28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% 0.79
31Market Seasonality Effect in World Equity IndexesequitiesCFDs, ETFs, funds, futuresSimple strategy1970-2003348.8%0%0% 
41Turn of the Month in Equity IndexesequitiesCFDs, ETFs, funds, futures, optionsSimple strategy1926-2005807.2%6.9% 1.04
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44Paired Switchingbonds, equitiesETFs, funds, stocksSimple strategy1991-20112111.3%9.3%0%0.78
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The Encyclopedia of Quantitative Trading Strategies

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