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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
272Quantpedia Premium (Buy Premium account to see this strategy)             
336Quantpedia Premium (Buy Premium account to see this strategy)             
337Quantpedia Premium (Buy Premium account to see this strategy)             
7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthly50equitiesstocksComplex strategy1986-20062111.3%10.1%0%Strongfactor investing, smart beta, stock picking, volatility effect0.72
466Quantpedia Premium (Buy Premium account to see this strategy)             
457Quantpedia Premium (Buy Premium account to see this strategy)             
74Quantpedia Premium (Buy Premium account to see this strategy)             
234Quantpedia Premium (Buy Premium account to see this strategy)             
75Federal Open Market Committee Meeting Effect in StocksDaily1equitiesCFDs, ETFs, funds, futuresSimple strategy1980-2000216.19%0%0%Strongmarket timing, seasonality 
65Quantpedia Premium (Buy Premium account to see this strategy)             
44Paired SwitchingQuarterly2bonds, equitiesETFs, funds, stocksSimple strategy1991-20112111.3%9.3%0%Moderately Strongasset class picking, fund picking, market timing, momentum, rotational system0.78
300Quantpedia Premium (Buy Premium account to see this strategy)             
28Value and Momentum Factors across Asset ClassesMonthly6bonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%Strongasset class picking, factor investing, momentum, smart beta, value0.79
157Quantpedia Premium (Buy Premium account to see this strategy)             
8Currency Momentum FactorMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%Strongfactor investing, forex system, FX anomaly, momentum, smart beta0.65
9Currency Value Factor – PPP StrategyQuarterly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.8%9.06%-17.88%Strongfactor investing, forex system, FX anomaly, smart beta, value0.86
297Quantpedia Premium (Buy Premium account to see this strategy)             
361Quantpedia Premium (Buy Premium account to see this strategy)             
63Quantpedia Premium (Buy Premium account to see this strategy)             
440Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 397 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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