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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
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
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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)             
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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
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The Encyclopedia of Quantitative Trading Strategies

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