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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
221Quantpedia Premium (Buy Premium account to see this strategy)             
222Quantpedia Premium (Buy Premium account to see this strategy)             
223Quantpedia Premium (Buy Premium account to see this strategy)             
224Quantpedia Premium (Buy Premium account to see this strategy)             
225Quantpedia Premium (Buy Premium account to see this strategy)             
226Quantpedia Premium (Buy Premium account to see this strategy)             
227Quantpedia Premium (Buy Premium account to see this strategy)             
228Quantpedia 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
230Quantpedia Premium (Buy Premium account to see this strategy)             
231Quantpedia Premium (Buy Premium account to see this strategy)             
232Quantpedia Premium (Buy Premium account to see this strategy)             
233Quantpedia Premium (Buy Premium account to see this strategy)             
234Quantpedia Premium (Buy Premium account to see this strategy)             
235Quantpedia Premium (Buy Premium account to see this strategy)             
236Quantpedia Premium (Buy Premium account to see this strategy)             
237Dispersion TradingMonthly21equitiesoptionsVery complex strategy1996-20071215.39%13.86%0%Strongfactor investing, smart beta, volatility effect, volatility premium0.82
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 
239Quantpedia Premium (Buy Premium account to see this strategy)             
240Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 379 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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