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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
441Quantpedia Premium (Buy Premium account to see this strategy)             
111Quantpedia Premium (Buy Premium account to see this strategy)             
363Quantpedia Premium (Buy Premium account to see this strategy)             
141Quantpedia Premium (Buy Premium account to see this strategy)             
3Sector Momentum – Rotational SystemMonthly10equitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%Strongmomentum, rotational system, sector picking0.54
65Quantpedia Premium (Buy Premium account to see this strategy)             
204Quantpedia Premium (Buy Premium account to see this strategy)             
336Quantpedia Premium (Buy Premium account to see this strategy)             
78Betting Against Beta Factor in Country Equity IndexesMonthly13equitiesETFs, futuresSimple strategy1980-2009309.77%18.46%0%Strongbeta factor, country picking, equity long short, factor investing, smart beta0.31
346Quantpedia Premium (Buy Premium account to see this strategy)             
372Quantpedia Premium (Buy Premium account to see this strategy)             
147Quantpedia Premium (Buy Premium account to see this strategy)             
242Quantpedia Premium (Buy Premium account to see this strategy)             
171Quantpedia Premium (Buy Premium account to see this strategy)             
89Quantpedia Premium (Buy Premium account to see this strategy)             
326Quantpedia Premium (Buy Premium account to see this strategy)             
20Volatility Risk Premium EffectMonthly4equitiesfutures, options, swapsModerately complex strategy1986-19951026%19%0%Strongfactor investing, smart beta, volatility effect, volatility premium1.16
217Quantpedia Premium (Buy Premium account to see this strategy)             
155Momentum and Reversal Combined with Volatility Effect in StocksMonthly1000equitiesstocksComplex strategy1964-20094616.46%19.22%0%Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking, volatility effect0.65
312Quantpedia 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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