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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
12512 Month Cycle in Cross-Section of Stocks ReturnsequitiesstocksComplex strategy1965-2002388.6%12.2%0%0.38
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7Low Volatility Factor Effect in Stocks – Long-Only VersionequitiesstocksComplex strategy1986-20062111.3%10.1%0%0.72
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13Short Term Reversal Effect in StocksequitiesstocksComplex strategy1990-20092016.25%6.8%0%1.8
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The Encyclopedia of Quantitative Trading Strategies

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