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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
128Quantpedia Premium (Buy Premium account to see this strategy)             
127Quantpedia Premium (Buy Premium account to see this strategy)             
126Quantpedia 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
124Quantpedia Premium (Buy Premium account to see this strategy)             
123Quantpedia Premium (Buy Premium account to see this strategy)             
122Momentum Factor Combined with Asset Growth EffectMonthly1000equitiesstocksComplex strategy1964-20064323%20.3%0%Strongequity long short, factor investing, financial statements effect, momentum, momentum in stocks, smart beta, stock picking0.94
121Quantpedia Premium (Buy Premium account to see this strategy)             
120Quantpedia Premium (Buy Premium account to see this strategy)             
119Quantpedia Premium (Buy Premium account to see this strategy)             
118Time Series Momentum EffectMonthly58bonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094516.21%11.73%0%Strongfactor investing, momentum, smart beta1.04
117Quantpedia Premium (Buy Premium account to see this strategy)             
116Quantpedia Premium (Buy Premium account to see this strategy)             
115Quantpedia Premium (Buy Premium account to see this strategy)             
114January Effect in StocksMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1947-20076112.7%0%0%Moderately Strongseasonality, stock picking 
113January BarometerMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1857-200815210.38%16.8%0%Weakmarket timing, seasonality0.38
112Quantpedia Premium (Buy Premium account to see this strategy)             
111Quantpedia Premium (Buy Premium account to see this strategy)             
110Quantpedia Premium (Buy Premium account to see this strategy)             
109Quantpedia Premium (Buy Premium account to see this strategy)             
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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