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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
118Time Series Momentum Effectbonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094516.21%11.73%0%1.04
41Turn of the Month in Equity IndexesequitiesCFDs, ETFs, funds, futures, optionsSimple strategy1926-2005807.2%6.9%0%1.04
291Quantpedia Premium (Buy Premium account to see this strategy)         
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326Quantpedia Premium (Buy Premium account to see this strategy)         
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1Asset Class Trend-Followingbonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%1.06
115Quantpedia Premium (Buy Premium account to see this strategy)         
433Quantpedia Premium (Buy Premium account to see this strategy)         
444Quantpedia Premium (Buy Premium account to see this strategy)         
263Quantpedia Premium (Buy Premium account to see this strategy)         
124Quantpedia Premium (Buy Premium account to see this strategy)         
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380Quantpedia Premium (Buy Premium account to see this strategy)         
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2Asset Class Momentum – Rotational Systembonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%1.15
20Volatility Risk Premium Effectequitiesfutures, options, swapsModerately complex strategy1986-19951026%19%0%1.16
334Quantpedia Premium (Buy Premium account to see this strategy)         
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The Encyclopedia of Quantitative Trading Strategies

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