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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
445Quantpedia Premium (Buy Premium account to see this strategy)         
7Low Volatility Factor Effect in Stocks – Long-Only VersionequitiesstocksComplex strategy1986-20062111.3%10.1%0%0.72
11Quantpedia Premium (Buy Premium account to see this strategy)         
13Short Term Reversal Effect in StocksequitiesstocksComplex strategy1990-20092016.25%14.94%0%1.09
18Quantpedia Premium (Buy Premium account to see this strategy)         
25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex strategy1926-2017926.1%25.6%0%0.24
26Value (Book-to-Market) FactorequitiesstocksComplex strategy1926-2014893.6%12.02%0%0.3
33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%0%0% 
34Quantpedia Premium (Buy Premium account to see this strategy)         
35Quantpedia Premium (Buy Premium account to see this strategy)         
36Net Payout Yield EffectequitiesstocksComplex strategy1984-20032022.13%0%0% 
37Net Current Asset Value EffectequitiesstocksModerately complex strategy1980-20052631.19%0%0% 
38Accrual AnomalyequitiesstocksComplex strategy1966-2003387.5%10.26%0%0.34
42Alpha Cloning – Following 13F FillingsequitiesstocksModerately complex strategy1991-20051520.21%0%0% 
45Short Interest Effect – Long-Short VersionequitiesstocksComplex strategy1988-20051819.7%17.14%0%0.92
46Short Interest Effect – Long Only versionequitiesstocksComplex strategy1988-20051826.8%0%0% 
49Quantpedia Premium (Buy Premium account to see this strategy)         
52Asset Growth EffectequitiesstocksComplex strategy1968-20063920.84%14.07%0%1.2
62Quantpedia Premium (Buy Premium account to see this strategy)         
65Quantpedia Premium (Buy Premium account to see this strategy)         
We've found 74 Free and 464 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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