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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
154Quantpedia Premium (Buy Premium account to see this strategy)             
153Quantpedia Premium (Buy Premium account to see this strategy)             
152Momentum Factor Effect in REITsMonthly50REITsstocksSimple strategy1980-2008299.51%0%0%Moderately Strongfactor investing, momentum, smart beta, stock picking 
151Quantpedia Premium (Buy Premium account to see this strategy)             
150Quantpedia Premium (Buy Premium account to see this strategy)             
149Quantpedia Premium (Buy Premium account to see this strategy)             
148Quantpedia Premium (Buy Premium account to see this strategy)             
147Quantpedia Premium (Buy Premium account to see this strategy)             
146Quantpedia Premium (Buy Premium account to see this strategy)             
145Quantpedia Premium (Buy Premium account to see this strategy)             
144Trend-following Effect in StocksDaily1000equitiesstocksComplex strategy1983-20042215.5%15.6%-29.3%Strongmomentum, momentum in stocks, stock picking, trend-following0.74
143Quantpedia Premium (Buy Premium account to see this strategy)             
142Quantpedia Premium (Buy Premium account to see this strategy)             
141Quantpedia Premium (Buy Premium account to see this strategy)             
140Ramadan EffectMonthly14equitiesETFs, fundsSimple strategy1989-2007196.7%0%0%Strongmarket timing, seasonality 
139Quantpedia Premium (Buy Premium account to see this strategy)             
138Quantpedia Premium (Buy Premium account to see this strategy)             
137Quantpedia Premium (Buy Premium account to see this strategy)             
136Residual Momentum FactorMonthly200equitiesstocksComplex strategy1926-2009849.18%15.27%0%Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking0.34
135Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 443 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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