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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
12512 Month Cycle in Cross-Section of Stocks ReturnsequitiesstocksModerately complex strategy1965-2002388.6%12.2% 0.38
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129Dollar Carry TradecurrenciesCFDs, forwards, futures, swapsSimple strategy1983-2009275.6%8.53% 0.66
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136Residual Momentum FactorequitiesstocksComplex strategy1926-2009849.18%15.27% 0.34
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140Ramadan EffectequitiesETFs, fundsSimple strategy1989-2007196.7%   
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144Trend-following Effect in StocksequitiesstocksComplex strategy1983-20042219.3%15.6%-20.8%1.24
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    The Encyclopedia of Quantitative Trading Strategies

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