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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
401Quantpedia Premium (Buy Premium account to see this strategy)             
31Market Seasonality Effect in World Equity Indexes6 Months1equitiesCFDs, ETFs, funds, futuresSimple strategy1970-2003348.8%0%0%Weakmarket timing, seasonality 
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199ROA Effect within StocksMonthly1000equitiesstocksComplex strategy1972-20063512.15%13.36%0%Strongequity long short, factor investing, fundamental analysis, smart beta, stock picking0.61
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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, trend-following1.06
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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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399Quantpedia Premium (Buy Premium account to see this strategy)             
293Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 390 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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