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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
25Small Capitalization Stocks Premium AnomalyequitiesstocksComplex strategy1927-20108412%32%-92% 
26Value (Book-to-Market) FactorequitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%0.28
14Momentum Factor Effect in StocksequitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%0.49
3Sector Momentum – Rotational SystemequitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%0.54
326Quantpedia Premium (Buy Premium account to see this strategy)         
22Term Structure Effect in CommoditiescommoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%0.49
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)         
447Quantpedia 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)         
450Quantpedia Premium (Buy Premium account to see this strategy)         
452Quantpedia Premium (Buy Premium account to see this strategy)         
344Quantpedia Premium (Buy Premium account to see this strategy)         
451Quantpedia Premium (Buy Premium account to see this strategy)         
5FX Carry TradecurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.49%9.7%-34.55%0.77
137Quantpedia Premium (Buy Premium account to see this strategy)         
206Quantpedia Premium (Buy Premium account to see this strategy)         
We've found 69 Free and 383 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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