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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
25Small Capitalization Stocks Premium AnomalyYearly1000equitiesstocksComplex strategy1927-20108412%32%-92%Moderately Strongsmall cap, stock picking 
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfinancial statements effect, stock picking, value0.28
14Momentum Factor Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%Strongmomentum, momentum in stocks, stock picking0.49
3Sector Momentum – Rotational SystemMonthly10equitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%Strongmomentum, rotational system, sector picking0.54
326Quantpedia Premium (Buy Premium account to see this strategy)             
22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%Strongrotational system, term spread0.49
244Quantpedia Premium (Buy Premium account to see this strategy)             
331Quantpedia Premium (Buy Premium account to see this strategy)             
151Quantpedia Premium (Buy Premium account to see this strategy)             
23Quantpedia Premium (Buy Premium account to see this strategy)             
429Quantpedia Premium (Buy Premium account to see this strategy)             
241Quantpedia Premium (Buy Premium account to see this strategy)             
344Quantpedia Premium (Buy Premium account to see this strategy)             
5FX Carry TradeMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.49%9.7%-34.55%Strongcarry trade, forex system, FX anomaly0.77
137Quantpedia Premium (Buy Premium account to see this strategy)             
206Quantpedia Premium (Buy Premium account to see this strategy)             
405Quantpedia Premium (Buy Premium account to see this strategy)             
240Quantpedia Premium (Buy Premium account to see this strategy)             
32Quantpedia Premium (Buy Premium account to see this strategy)             
281Skewness Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%Strongvolatility effect0.79
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The Encyclopedia of Quantitative Trading Strategies

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