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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
173Quantpedia Premium (Buy Premium account to see this strategy)             
388Quantpedia Premium (Buy Premium account to see this strategy)             
345Quantpedia Premium (Buy Premium account to see this strategy)             
338Quantpedia Premium (Buy Premium account to see this strategy)             
337Quantpedia Premium (Buy Premium account to see this strategy)             
336Quantpedia Premium (Buy Premium account to see this strategy)             
335Quantpedia Premium (Buy Premium account to see this strategy)             
326Quantpedia Premium (Buy Premium account to see this strategy)             
281Skewness Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%Strongvolatility effect0.79
280Quantpedia Premium (Buy Premium account to see this strategy)             
257Quantpedia Premium (Buy Premium account to see this strategy)             
237Dispersion TradingMonthly21equitiesoptionsVery complex strategy1996-20071215.39%13.86% Strongvolatility effect, volatility premium0.82
204Quantpedia Premium (Buy Premium account to see this strategy)             
198Exploiting Term Structure of VIX FuturesDaily2equitiesfuturesComplex strategy2007-2011519.67%  Strongvolatility effect, volatility premium 
135Quantpedia Premium (Buy Premium account to see this strategy)             
20Volatility Risk Premium EffectMonthly4equitiesfutures, options, swapsModerately complex strategy1986-19951026%19% Strongvolatility effect, volatility premium1.16
380Quantpedia Premium (Buy Premium account to see this strategy)             
370Quantpedia Premium (Buy Premium account to see this strategy)             
387Quantpedia Premium (Buy Premium account to see this strategy)             
383Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 373 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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