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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
16Reversal Effect in International Equity ETFs3 Years8equitiesETFs, fundsSimple strategy1969-1995276.4%0%0%Strongcountry picking, factor investing, reversal, rotational system, smart beta 
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198Exploiting Term Structure of VIX FuturesDaily2equitiesfuturesComplex strategy2007-2011519.67%0%0%Strongvolatility effect, volatility premium 
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114January Effect in StocksMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1947-20076112.7%0%0%Moderately Strongseasonality, stock picking 
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83Pre-Holiday EffectDaily1equitiesCFDs, ETFs, funds, futuresSimple strategy1896-20021076.39%0%0%Strongmarket timing, seasonality 
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The Encyclopedia of Quantitative Trading Strategies

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