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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
441Quantpedia Premium (Buy Premium account to see this strategy)             
138Quantpedia Premium (Buy Premium account to see this strategy)             
12Pairs Trading with StocksDaily40equitiesstocksComplex strategy1962-20024111.16%5.85%0%Strongarbitrage, equity long short, pairs trading1.22
359Quantpedia Premium (Buy Premium account to see this strategy)             
1Asset Class Trend-FollowingMonthly6bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%Strongasset class picking, momentum, trend-following1.06
93Quantpedia 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
7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthly50equitiesstocksComplex strategy1986-20062111.3%10.1%0%Strongfactor investing, smart beta, stock picking, volatility effect0.72
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfactor investing, fundamental analysis, smart beta, stock picking, value0.28
398Quantpedia Premium (Buy Premium account to see this strategy)             
315Quantpedia Premium (Buy Premium account to see this strategy)             
232Quantpedia Premium (Buy Premium account to see this strategy)             
111Quantpedia Premium (Buy Premium account to see this strategy)             
340Quantpedia Premium (Buy Premium account to see this strategy)             
287Quantpedia Premium (Buy Premium account to see this strategy)             
127Quantpedia Premium (Buy Premium account to see this strategy)             
22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%Strongfactor investing, rotational system, smart beta, term spread0.49
86Quantpedia Premium (Buy Premium account to see this strategy)             
8852-Weeks High Effect in StocksMonthly1000equitiesstocksComplex strategy1963-20094711.75%11%0%Strongequity long short, factor investing, smart beta, stock picking0.7
132Quantpedia Premium (Buy Premium account to see this strategy)             
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The Encyclopedia of Quantitative Trading Strategies

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