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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
114January Effect in StocksMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1947-20076112.7%0%0%Moderately Strongseasonality, stock picking 
115Quantpedia Premium (Buy Premium account to see this strategy)             
116Quantpedia Premium (Buy Premium account to see this strategy)             
117Quantpedia Premium (Buy Premium account to see this strategy)             
118Time Series Momentum EffectMonthly58bonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094516.21%11.73%0%Strongfactor investing, momentum, smart beta1.04
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122Momentum Factor Combined with Asset Growth EffectMonthly1000equitiesstocksComplex strategy1964-20064323%20.3%0%Strongequity long short, factor investing, financial statements effect, momentum, momentum in stocks, smart beta, stock picking0.94
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124Quantpedia Premium (Buy Premium account to see this strategy)             
12512 Month Cycle in Cross-Section of Stocks ReturnsMonthly1000equitiesstocksComplex strategy1965-2002388.6%12.2%0%Strongequity long short, factor investing, seasonality, smart beta, stock picking0.38
126Quantpedia Premium (Buy Premium account to see this strategy)             
127Quantpedia Premium (Buy Premium account to see this strategy)             
128Quantpedia Premium (Buy Premium account to see this strategy)             
130Quantpedia Premium (Buy Premium account to see this strategy)             
133Quantpedia Premium (Buy Premium account to see this strategy)             
134Quantpedia Premium (Buy Premium account to see this strategy)             
136Residual Momentum FactorMonthly200equitiesstocksComplex strategy1926-2009849.18%15.27%0%Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking0.34
137Quantpedia Premium (Buy Premium account to see this strategy)             
138Quantpedia Premium (Buy Premium account to see this strategy)             
139Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 383 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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