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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
118Time Series Momentum Effectbonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094516.21%11.73%0%1.04
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12512 Month Cycle in Cross-Section of Stocks ReturnsequitiesstocksComplex strategy1965-2002388.6%12.2%0%0.38
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307Reversal During Earnings-AnnouncementsequitiesstocksComplex strategy1996-20111663.52%12.29%0%4.84
351Quantpedia Premium (Buy Premium account to see this strategy)         
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We've found 71 Free and 443 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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