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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
1Asset Class Trend-FollowingMonthly6bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%Strongasset class picking, momentum, trendfollowing1.06
2Asset Class Momentum – Rotational SystemMonthly5bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%Strongasset class picking, momentum, rotational system1.15
3Sector Momentum – Rotational SystemMonthly10equitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%Strongmomentum, rotational system, sector picking0.54
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5FX Carry TradeMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.49%9.7%-34.55%Strongcarry trade, forex system, FX anomaly0.77
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7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthly50equitiesstocksComplex strategy1986-20062111.3%10.1% Strongstock picking, volatility effect0.72
8Currency Momentum FactorMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%Strongforex system, FX anomaly, momentum0.65
9Currency Value Factor – PPP StrategyQuarterly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010228%9%-18%Strongforex system, FX anomaly, value1
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12Pairs Trading with StocksDaily40equitiesstocksComplex strategy1962-20024111.16%5.85% Strongarbitrage, equity long short, pairs trading1.22
13Short Term Reversal in StocksWeekly20equitiesstocksComplex strategy1990-20092016.25%6.8% Strongequity long short, reversal, stock picking1.8
14Momentum Factor Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%Strongmomentum, momentum in stocks, stock picking0.49
15Momentum Factor Effect in Country Equity IndexesMonthly5equitiesETFs, fundsSimple strategy1968-20094217.7%  Strongcountry picking, momentum, rotational system 
16Mean Reversion Effect in Country Equity Indexes3 Years8equitiesETFs, fundsSimple strategy1969-1995276.4%  Strongcountry picking, reversal, rotational system 
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20Volatility Risk Premium EffectMonthly4equitiesfutures, options, swapsModerately complex strategy1986-19951026%19% Strongvolatility effect, volatility premium1.16
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The Encyclopedia of Quantitative Trading Strategies

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