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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
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
62Quantpedia Premium (Buy Premium account to see this strategy)             
65Quantpedia Premium (Buy Premium account to see this strategy)             
70Quantpedia Premium (Buy Premium account to see this strategy)             
74Quantpedia Premium (Buy Premium account to see this strategy)             
77Betting Against Beta Factor in StocksMonthly1000equitiesstocksComplex strategy1926-2009848.86%11.5%0%Moderately Strongbeta factor, equity long short, factor investing, smart beta, stock picking0.42
80Earnings Announcement PremiumMonthly1000equitiesstocksComplex strategy1973-20043218.36%16.12%0%Strongearnings announcement, equity long short, factor investing, smart beta, stock picking0.89
8852-Weeks High Effect in StocksMonthly1000equitiesstocksComplex strategy1963-20094711.75%11%0%Strongequity long short, factor investing, smart beta, stock picking0.7
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95Quantpedia Premium (Buy Premium account to see this strategy)             
97Quantpedia Premium (Buy Premium account to see this strategy)             
106Quantpedia Premium (Buy Premium account to see this strategy)             
108Soccer Clubs’ Stocks ArbitrageDaily20equitiesstocksModerately complex strategy2000-2006742%50%0%Moderately Strongalternative data, arbitrage, reversal, short selling, stock picking0.76
109Quantpedia Premium (Buy Premium account to see this strategy)             
115Quantpedia Premium (Buy Premium account to see this strategy)             
116Quantpedia Premium (Buy Premium account to see this strategy)             
117Quantpedia 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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