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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
2Momentum Asset Allocation StrategyMonthly5bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%Strongasset class picking, momentum, rotational system1.15
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237Dispersion TradingMonthly21equitiesoptionsVery complex strategy1996-20071215.39%13.86%0%Strongfactor investing, smart beta, volatility effect, volatility premium0.82
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144Trend-following Effect in StocksDaily1000equitiesstocksComplex strategy1983-20042215.5%15.6%-29.3%Strongmomentum, momentum in stocks, stock picking, trend-following0.74
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290Consistent Momentum Strategy6 Months1000equitiesstocksComplex strategy1980-20113216.08%25.33%0%Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking0.48
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The Encyclopedia of Quantitative Trading Strategies

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