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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%0.79
50FED Modelbonds, equitiesETFs, funds, futuresModerately complex strategy1959-20034511%10%0%0.7
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468Quantpedia Premium (Buy Premium account to see this strategy)         
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384Quantpedia Premium (Buy Premium account to see this strategy)         
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450Quantpedia Premium (Buy Premium account to see this strategy)         
7Low Volatility Factor Effect in Stocks – Long-Only VersionequitiesstocksComplex strategy1986-20062111.3%10.1%0%0.72
453Quantpedia Premium (Buy Premium account to see this strategy)         
504Quantpedia Premium (Buy Premium account to see this strategy)         
281Skewness Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%0.79
227Quantpedia Premium (Buy Premium account to see this strategy)         
8Currency Momentum FactorcurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2009217.61%10.22%-23.89%0.3
38Accrual AnomalyequitiesstocksComplex strategy1966-2003387.5%10.26%0%0.34
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327Quantpedia Premium (Buy Premium account to see this strategy)         
87Quantpedia Premium (Buy Premium account to see this strategy)         
325Quantpedia Premium (Buy Premium account to see this strategy)         
We've found 74 Free and 464 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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