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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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7Low Volatility Factor Effect in StocksequitiesstocksComplex strategy1986-20062111.3%10.1% 0.72
148Upgrade your subscription to see this strategy         
267Upgrade your subscription to see this strategy         
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% 0.79
277Upgrade your subscription to see this strategy         
623Upgrade your subscription to see this strategy         
693Upgrade your subscription to see this strategy         
782Upgrade your subscription to see this strategy         
281Skewness Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%0.79
94Upgrade your subscription to see this strategy         
524Upgrade your subscription to see this strategy         
53Upgrade your subscription to see this strategy         
33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%   
101Upgrade your subscription to see this strategy         
271Earnings Announcements Combined with Stock RepurchasesequitiesstocksModerately complex strategy1987-20132725.2%11.11% 2.27
530Upgrade your subscription to see this strategy         
63Upgrade your subscription to see this strategy         
87Upgrade your subscription to see this strategy         

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    The Encyclopedia of Quantitative Trading Strategies

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