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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
425Quantpedia Premium (Buy Premium account to see this strategy)             
436Quantpedia Premium (Buy Premium account to see this strategy)             
95Quantpedia Premium (Buy Premium account to see this strategy)             
235Quantpedia Premium (Buy Premium account to see this strategy)             
150Quantpedia Premium (Buy Premium account to see this strategy)             
282Quantpedia Premium (Buy Premium account to see this strategy)             
37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy1980-20052631.19%0%0%Strongfactor investing, fundamental analysis, smart beta, stock picking, value 
454Quantpedia Premium (Buy Premium account to see this strategy)             
39Quantpedia Premium (Buy Premium account to see this strategy)             
18Quantpedia Premium (Buy Premium account to see this strategy)             
371Quantpedia Premium (Buy Premium account to see this strategy)             
21Momentum Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%Strongfactor investing, momentum, rotational system, smart beta0.57
277Quantpedia Premium (Buy Premium account to see this strategy)             
309Quantpedia Premium (Buy Premium account to see this strategy)             
128Quantpedia 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
23Quantpedia Premium (Buy Premium account to see this strategy)             
184Quantpedia Premium (Buy Premium account to see this strategy)             
153Quantpedia Premium (Buy Premium account to see this strategy)             
271Earnings Announcements Combined with Stock RepurchasesDaily100equitiesstocksModerately complex strategy1987-20132725.2%11.11%0%Strongearnings announcement, factor investing, fundamental analysis, smart beta, stock picking, trading earnings2.27
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The Encyclopedia of Quantitative Trading Strategies

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