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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
345Quantpedia Premium (Buy Premium account to see this strategy)             
381Quantpedia Premium (Buy Premium account to see this strategy)             
153Quantpedia Premium (Buy Premium account to see this strategy)             
167Quantpedia Premium (Buy Premium account to see this strategy)             
407Quantpedia Premium (Buy Premium account to see this strategy)             
187Quantpedia Premium (Buy Premium account to see this strategy)             
74Quantpedia Premium (Buy Premium account to see this strategy)             
199ROA Effect within StocksMonthly1000equitiesstocksComplex strategy1972-20063512.15%13.36%0%Strongequity long short, factor investing, fundamental analysis, smart beta, stock picking0.61
393Quantpedia Premium (Buy Premium account to see this strategy)             
254Quantpedia Premium (Buy Premium account to see this strategy)             
369Quantpedia Premium (Buy Premium account to see this strategy)             
403Quantpedia Premium (Buy Premium account to see this strategy)             
237Dispersion TradingMonthly21equitiesoptionsVery complex strategy1996-20071215.39%13.86%0%Strongfactor investing, smart beta, volatility effect, volatility premium0.82
287Quantpedia Premium (Buy Premium account to see this strategy)             
63Quantpedia Premium (Buy Premium account to see this strategy)             
168Quantpedia Premium (Buy Premium account to see this strategy)             
447Quantpedia Premium (Buy Premium account to see this strategy)             
396Quantpedia Premium (Buy Premium account to see this strategy)             
52Asset Growth EffectYearly1000equitiesstocksComplex strategy1968-20063920.84%14.07%0%Strongequity long short, factor investing, fundamental analysis, smart beta, stock picking1.2
354Quantpedia 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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