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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
214Quantpedia Premium (Buy Premium account to see this strategy)             
213Quantpedia Premium (Buy Premium account to see this strategy)             
212Quantpedia Premium (Buy Premium account to see this strategy)             
211Quantpedia Premium (Buy Premium account to see this strategy)             
210Quantpedia Premium (Buy Premium account to see this strategy)             
209Quantpedia Premium (Buy Premium account to see this strategy)             
208Quantpedia Premium (Buy Premium account to see this strategy)             
207Value Factor – CAPE Effect within CountriesYearly10equitiesETFsModerately complex strategy1980-20113214.7%26.1%-17.8%Strongcountry picking, factor investing, rotational system, smart beta, value0.56
206Quantpedia Premium (Buy Premium account to see this strategy)             
205Quantpedia Premium (Buy Premium account to see this strategy)             
204Quantpedia Premium (Buy Premium account to see this strategy)             
203Quantpedia Premium (Buy Premium account to see this strategy)             
202Quantpedia Premium (Buy Premium account to see this strategy)             
201Quantpedia Premium (Buy Premium account to see this strategy)             
200Quantpedia 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
198Exploiting Term Structure of VIX FuturesDaily2equitiesfuturesComplex strategy2007-2011519.67%0%0%Strongvolatility effect, volatility premium 
197Quantpedia Premium (Buy Premium account to see this strategy)             
196Quantpedia Premium (Buy Premium account to see this strategy)             
195Quantpedia Premium (Buy Premium account to see this strategy)             
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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