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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
307Reversal During Earnings-AnnouncementsequitiesstocksComplex strategy1996-20111663.52%12.29% 4.84
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The Encyclopedia of Quantitative Trading Strategies

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