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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
426Quantpedia Premium (Buy Premium account to see this strategy)             
428Quantpedia Premium (Buy Premium account to see this strategy)             
427Quantpedia Premium (Buy Premium account to see this strategy)             
12512 Month Cycle in Cross-Section of Stocks ReturnsMonthly1000equitiesstocksComplex strategy1965-2002388.6%12.2%0%Strongequity long short, factor investing, seasonality, smart beta, stock picking0.38
413Quantpedia Premium (Buy Premium account to see this strategy)             
8852-Weeks High Effect in StocksMonthly1000equitiesstocksComplex strategy1963-20094711.75%11%0%Strongequity long short, factor investing, smart beta, stock picking0.7
436Quantpedia Premium (Buy Premium account to see this strategy)             
325Quantpedia Premium (Buy Premium account to see this strategy)             
178Quantpedia Premium (Buy Premium account to see this strategy)             
299Quantpedia Premium (Buy Premium account to see this strategy)             
112Quantpedia Premium (Buy Premium account to see this strategy)             
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.5%10.26%0%Strongaccruals effect, equity long short, factor investing, financial statements effect, smart beta, stock picking0.34
127Quantpedia Premium (Buy Premium account to see this strategy)             
109Quantpedia Premium (Buy Premium account to see this strategy)             
400Quantpedia Premium (Buy Premium account to see this strategy)             
397Quantpedia Premium (Buy Premium account to see this strategy)             
216Quantpedia Premium (Buy Premium account to see this strategy)             
210Quantpedia Premium (Buy Premium account to see this strategy)             
186Quantpedia Premium (Buy Premium account to see this strategy)             
194Quantpedia 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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