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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
102Option-Expiration Week EffectWeekly1equitiesCFDs, ETFs, futures, stocksSimple strategy1988-2010239.3%8.7% Strongmarket timing, seasonality, stock picking0.61
113January BarometerMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1857-200815210.38%16.8% Weakmarket timing, seasonality0.38
284Quantpedia Premium (Buy Premium account to see this strategy)             
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338Quantpedia Premium (Buy Premium account to see this strategy)             
114January Effect in StocksMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1947-20076112.7%  Moderately Strongseasonality, stock picking 
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83Pre-Holiday EffectDaily1equitiesCFDs, ETFs, funds, futuresSimple strategy1896-20021076.39%  Strongmarket timing, seasonality 
179Quantpedia Premium (Buy Premium account to see this strategy)             
211Quantpedia Premium (Buy Premium account to see this strategy)             
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The Encyclopedia of Quantitative Trading Strategies

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