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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
279Quantpedia Premium (Buy Premium account to see this strategy)             
362Quantpedia Premium (Buy Premium account to see this strategy)             
445Quantpedia Premium (Buy Premium account to see this strategy)             
7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthly50equitiesstocksComplex strategy1986-20062111.3%10.1%0%Strongfactor investing, smart beta, stock picking, volatility effect0.72
11Quantpedia Premium (Buy Premium account to see this strategy)             
13Short Term Reversal in StocksWeekly20equitiesstocksComplex strategy1990-20092016.25%6.8%0%Strongequity long short, factor investing, reversal, smart beta, stock picking1.8
18Quantpedia Premium (Buy Premium account to see this strategy)             
25Small Capitalization Stocks Premium AnomalyYearly1000equitiesstocksComplex strategy1927-20108412%32%-92%Moderately Strongsmall cap, stock picking 
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfactor investing, financial statements effect, smart beta, stock picking, value0.28
33Post-Earnings Announcement EffectQuarterly1000equitiesstocksComplex strategy1987-20041815%0%0%Strongearnings announcement, equity long short, factor investing, financial statements effect, smart beta, stock picking 
34Quantpedia Premium (Buy Premium account to see this strategy)             
35Quantpedia Premium (Buy Premium account to see this strategy)             
36Net Payout Yield EffectYearly1000equitiesstocksComplex strategy1984-20032022.13%0%0%Strongfactor investing, financial statements effect, smart beta, stock picking, value 
37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy1980-20052631.19%0%0%Strongfactor investing, financial statements effect, smart beta, stock picking, value 
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.5%10.26%0%Strongaccruals effect, equity long short, factor investing, financial statements effect, smart beta, stock picking0.34
42Alpha Cloning – Following 13F FillingsQuarterly100equitiesstocksModerately complex strategy1991-20051520.21%0%0%Strongalternative data, stock picking 
45Short Interest Effect – Long-Short VersionMonthly1000equitiesstocksComplex strategy1988-20051819.7%17.14%0%Moderately Strongequity long short, factor investing, smart beta, stock picking0.92
46Short Interest Effect – Long Only versionMonthly230equitiesstocksComplex strategy1988-20051826.8%0%0%Strongfactor investing, smart beta, stock picking 
49Quantpedia Premium (Buy Premium account to see this strategy)             
52Asset Growth EffectYearly1000equitiesstocksComplex strategy1968-20063920.84%14.07%0%Strongequity long short, factor investing, financial statements effect, smart beta, stock picking1.2
We've found 69 Free and 379 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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