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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
248Quantpedia Premium (Buy Premium account to see this strategy)             
247Quantpedia Premium (Buy Premium account to see this strategy)             
246Quantpedia Premium (Buy Premium account to see this strategy)             
245Quantpedia Premium (Buy Premium account to see this strategy)             
244Quantpedia Premium (Buy Premium account to see this strategy)             
243Quantpedia Premium (Buy Premium account to see this strategy)             
242Quantpedia Premium (Buy Premium account to see this strategy)             
241Quantpedia Premium (Buy Premium account to see this strategy)             
240Quantpedia Premium (Buy Premium account to see this strategy)             
239Quantpedia Premium (Buy Premium account to see this strategy)             
238Reversal in Post-Earnings Announcement DriftDaily4equitiesstocksComplex strategy1996-20101540.32%0%0%Moderately Strongearnings announcement, equity long short, factor investing, financial statements effect, smart beta, stock picking 
237Dispersion TradingMonthly21equitiesoptionsVery complex strategy1996-20071215.39%13.86%0%Strongfactor investing, smart beta, volatility effect, volatility premium0.82
236Quantpedia Premium (Buy Premium account to see this strategy)             
235Quantpedia Premium (Buy Premium account to see this strategy)             
234Quantpedia Premium (Buy Premium account to see this strategy)             
233Quantpedia Premium (Buy Premium account to see this strategy)             
232Quantpedia Premium (Buy Premium account to see this strategy)             
231Quantpedia Premium (Buy Premium account to see this strategy)             
230Quantpedia Premium (Buy Premium account to see this strategy)             
229Earnings Quality FactorYearly1000equitiesstocksComplex strategy1988-2012257.95%5.91%0%Strongequity long short, factor investing, financial statements effect, smart beta, stock picking0.67
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The Encyclopedia of Quantitative Trading Strategies

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