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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
323Quantpedia Premium (Buy Premium account to see this strategy)             
174Quantpedia Premium (Buy Premium account to see this strategy)             
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367Quantpedia Premium (Buy Premium account to see this strategy)             
229Earnings Quality FactorYearly1000equitiesstocksComplex strategy1988-2012257.95%5.91%0%Strongequity long short, factor investing, fundamental analysis, smart beta, stock picking0.67
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)             
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 
16Reversal Effect in International Equity ETFs3 Years8equitiesETFs, fundsSimple strategy1969-1995276.4%0%0%Strongcountry picking, factor investing, reversal, rotational system, smart beta 
81Quantpedia Premium (Buy Premium account to see this strategy)             
82Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 392 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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