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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
82Quantpedia Premium (Buy Premium account to see this strategy)             
83Pre-Holiday EffectDaily1equitiesCFDs, ETFs, funds, futuresSimple strategy1896-20021076.39%0%0%Strongmarket timing, seasonality 
85Momentum in Mutual Fund ReturnsQuarterly10equitiesfundsSimple strategy1973-20043219%19.5%0%Strongfund picking, momentum0.77
86Quantpedia Premium (Buy Premium account to see this strategy)             
87Quantpedia 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
89Quantpedia Premium (Buy Premium account to see this strategy)             
90Quantpedia Premium (Buy Premium account to see this strategy)             
91Momentum Factor and Style Rotation EffectMonthly6equitiesETFsSimple strategy1972-2005349.25%16.01%0%Strongmomentum, rotational system, style picking0.33
92Quantpedia Premium (Buy Premium account to see this strategy)             
93Quantpedia Premium (Buy Premium account to see this strategy)             
94Quantpedia Premium (Buy Premium account to see this strategy)             
95Quantpedia Premium (Buy Premium account to see this strategy)             
96Crude Oil Predicts Equity ReturnsMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1988-20031611.9%9.8%0%Strongmarket timing0.81
97Quantpedia Premium (Buy Premium account to see this strategy)             
98Quantpedia Premium (Buy Premium account to see this strategy)             
101Quantpedia Premium (Buy Premium account to see this strategy)             
102Option-Expiration Week EffectWeekly1equitiesCFDs, ETFs, futures, stocksSimple strategy1988-2010239.3%8.7%0%Strongmarket timing, seasonality, stock picking0.61
104Quantpedia Premium (Buy Premium account to see this strategy)             
106Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 402 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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