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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)         
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 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)         
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 CommoditiescommoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%0.79
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The Encyclopedia of Quantitative Trading Strategies

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