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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
26Value (Book-to-Market) FactorequitiesstocksComplex strategy1926-2014893.6%12.02% 0.3
25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex strategy1926-2017926.1%25.6% 0.24
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13Short Term Reversal Effect in StocksequitiesstocksComplex strategy1990-20092016.25%14.94% 1.09
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7Low Volatility Factor Effect in StocksequitiesstocksComplex strategy1986-20062111.3%10.1% 0.72
664Return Asymmetry Effect in Commodity FuturescommoditiesfuturesModerately complex strategy1991-2021314.36%7.53%-29.03%0.58
701Rebalancing Premium in CryptocurrenciescryptoscryptosSimple strategy2018-202137.65%2.62%-1.94%2.93
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279Upgrade your subscription to see this strategy         
134Upgrade your subscription to see this strategy         
We've found 82 Free, 108 Prime and 804 Premium strategies.Upgrade subscription to unlock more

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    The Encyclopedia of Quantitative Trading Strategies

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