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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
38Accrual AnomalyequitiesstocksComplex strategy1966-2003387.5%10.26% 0.34
70Quantpedia Premium (Buy Premium account to see this strategy)         
102Option-Expiration Week EffectequitiesCFDs, ETFs, futures, stocksSimple strategy1988-2010239.3%8.7% 0.61
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166Quantpedia Premium (Buy Premium account to see this strategy)         
198Exploiting Term Structure of VIX FuturesequitiesfuturesComplex strategy2007-2011519.67%   
230Quantpedia Premium (Buy Premium account to see this strategy)         
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358Quantpedia Premium (Buy Premium account to see this strategy)         
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422Quantpedia Premium (Buy Premium account to see this strategy)         
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49Quantpedia Premium (Buy Premium account to see this strategy)         
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113January BarometerequitiesCFDs, ETFs, funds, futuresSimple strategy1857-200815210.38%16.8% 0.38
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177Quantpedia Premium (Buy Premium account to see this strategy)         
209Quantpedia Premium (Buy Premium account to see this strategy)         
273Quantpedia Premium (Buy Premium account to see this strategy)         
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The Encyclopedia of Quantitative Trading Strategies

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