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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
166Quantpedia Premium (Buy Premium account to see this strategy)             
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1Asset Class Trend-FollowingMonthly6bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%Strongasset class picking, momentum, trendfollowing1.06
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2Asset Class Momentum – Rotational SystemMonthly5bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%Strongasset class picking, momentum, rotational system1.15
258Quantpedia Premium (Buy Premium account to see this strategy)             
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38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.5%10.26%0%Strongaccruals effect, equity long short, factor investing, financial statements effect, smart beta, stock picking0.34
316Quantpedia Premium (Buy Premium account to see this strategy)             
12512 Month Cycle in Cross-Section of Stocks ReturnsMonthly1000equitiesstocksComplex strategy1965-2002388.6%12.2%0%Strongequity long short, factor investing, seasonality, smart beta, stock picking0.38
43Quantpedia Premium (Buy Premium account to see this strategy)             
399Quantpedia Premium (Buy Premium account to see this strategy)             
293Quantpedia Premium (Buy Premium account to see this strategy)             
263Quantpedia Premium (Buy Premium account to see this strategy)             
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52Asset Growth EffectYearly1000equitiesstocksComplex strategy1968-20063920.84%14.07%0%Strongequity long short, factor investing, financial statements effect, smart beta, stock picking1.2
32Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 383 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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