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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
191Quantpedia Premium (Buy Premium account to see this strategy)             
192Quantpedia Premium (Buy Premium account to see this strategy)             
194Quantpedia Premium (Buy Premium account to see this strategy)             
195Quantpedia Premium (Buy Premium account to see this strategy)             
196Quantpedia Premium (Buy Premium account to see this strategy)             
197Quantpedia Premium (Buy Premium account to see this strategy)             
198Exploiting Term Structure of VIX FuturesDaily2equitiesfuturesComplex strategy2007-2011519.67%0%0%Strongvolatility effect, volatility premium 
199ROA Effect within StocksMonthly1000equitiesstocksComplex strategy1972-20063512.15%13.36%0%Strongequity long short, factor investing, financial statements effect, smart beta, stock picking0.61
200Quantpedia Premium (Buy Premium account to see this strategy)             
201Quantpedia Premium (Buy Premium account to see this strategy)             
202Quantpedia Premium (Buy Premium account to see this strategy)             
203Quantpedia Premium (Buy Premium account to see this strategy)             
205Quantpedia Premium (Buy Premium account to see this strategy)             
207Value Factor Effect within CountriesYearly10equitiesETFsModerately complex strategy1980-20113214.7%26.1%-17.8%Strongcountry picking, factor investing, rotational system, smart beta, value0.56
208Quantpedia Premium (Buy Premium account to see this strategy)             
209Quantpedia Premium (Buy Premium account to see this strategy)             
210Quantpedia Premium (Buy Premium account to see this strategy)             
211Quantpedia Premium (Buy Premium account to see this strategy)             
212Quantpedia Premium (Buy Premium account to see this strategy)             
213Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 389 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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