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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
1Asset Class Trend-Followingbonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%1.06
2Momentum Asset Allocation Strategybonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%1.15
3Sector Momentum – Rotational SystemequitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%0.54
4Quantpedia Premium (Buy Premium account to see this strategy)         
5FX Carry TradecurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.49%9.7%-34.55%0.77
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7Low Volatility Factor Effect in Stocks – Long-Only VersionequitiesstocksComplex strategy1986-20062111.3%10.1%0%0.72
8Currency Momentum FactorcurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%0.65
9Currency Value Factor – PPP StrategycurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.8%9.06%-17.88%0.86
10Quantpedia Premium (Buy Premium account to see this strategy)         
11Quantpedia Premium (Buy Premium account to see this strategy)         
12Pairs Trading with StocksequitiesstocksComplex strategy1962-20024111.16%5.85%0%1.22
13Short Term Reversal Effect in StocksequitiesstocksComplex strategy1990-20092016.25%6.8%0%1.8
14Momentum Factor Effect in StocksequitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%0.49
15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%0%0% 
16Reversal Effect in International Equity ETFsequitiesETFs, fundsSimple strategy1969-1995276.4%0%0% 
17Quantpedia Premium (Buy Premium account to see this strategy)         
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19Quantpedia Premium (Buy Premium account to see this strategy)         
20Volatility Risk Premium Effectequitiesfutures, options, swapsModerately complex strategy1986-19951026%19%0%1.16
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The Encyclopedia of Quantitative Trading Strategies

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