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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
166Quantpedia 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
50FED ModelMonthly2bonds, equitiesETFs, funds, futuresModerately complex strategy1959-20034511%10%0%Moderately Strongasset class picking, market timing0.7
8Currency Momentum FactorMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%Strongfactor investing, forex system, FX anomaly, momentum, smart beta0.65
72Quantpedia Premium (Buy Premium account to see this strategy)             
320Quantpedia Premium (Buy Premium account to see this strategy)             
384Quantpedia Premium (Buy Premium account to see this strategy)             
342Quantpedia Premium (Buy Premium account to see this strategy)             
55Pairs Trading with Country ETFsDaily22equitiesETFsModerately complex strategy1996-20091420.6%10%0%Strongarbitrage, equity long short, pairs trading1.66
311Quantpedia Premium (Buy Premium account to see this strategy)             
314Quantpedia Premium (Buy Premium account to see this strategy)             
450Quantpedia 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
281Skewness Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%Strongfactor investing, smart beta, volatility effect0.79
302Quantpedia Premium (Buy Premium account to see this strategy)             
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.5%10.26%0%Strongaccruals effect, equity long short, factor investing, financial statements effect, smart beta, stock picking0.34
30Quantpedia Premium (Buy Premium account to see this strategy)             
327Quantpedia Premium (Buy Premium account to see this strategy)             
87Quantpedia Premium (Buy Premium account to see this strategy)             
325Quantpedia 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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