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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
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
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)             
221Quantpedia Premium (Buy Premium account to see this strategy)             
149Quantpedia Premium (Buy Premium account to see this strategy)             
288Quantpedia Premium (Buy Premium account to see this strategy)             
129Dollar Carry TradeMonthly10notcurrenciesCFDs, forwards, futures, swapsSimple strategy1983-2009275.6%8.53%0%Strongcarry trade, forex system, FX anomaly0.66
281Skewness Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%Strongfactor investing, smart beta, volatility effect0.79
245Quantpedia Premium (Buy Premium account to see this strategy)             
172Quantpedia Premium (Buy Premium account to see this strategy)             
439Quantpedia Premium (Buy Premium account to see this strategy)             
152Momentum Factor Effect in REITsMonthly50REITsstocksSimple strategy1980-2008299.51%0%0%Moderately Strongfactor investing, momentum, smart beta, stock picking 
423Quantpedia Premium (Buy Premium account to see this strategy)             
61Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 397 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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