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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
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)             
390Quantpedia Premium (Buy Premium account to see this strategy)             
135Quantpedia Premium (Buy Premium account to see this strategy)             
206Quantpedia Premium (Buy Premium account to see this strategy)             
424Quantpedia Premium (Buy Premium account to see this strategy)             
279Quantpedia Premium (Buy Premium account to see this strategy)             
359Quantpedia Premium (Buy Premium account to see this strategy)             
85Momentum in Mutual Fund ReturnsQuarterly10equitiesfundsSimple strategy1973-20043219%19.5%0%Strongfund picking, momentum0.77
145Quantpedia Premium (Buy Premium account to see this strategy)             
370Quantpedia Premium (Buy Premium account to see this strategy)             
420Quantpedia Premium (Buy Premium account to see this strategy)             
285Quantpedia Premium (Buy Premium account to see this strategy)             
19Quantpedia Premium (Buy Premium account to see this strategy)             
404Quantpedia Premium (Buy Premium account to see this strategy)             
151Quantpedia Premium (Buy Premium account to see this strategy)             
368Quantpedia Premium (Buy Premium account to see this strategy)             
122Momentum Factor Combined with Asset Growth EffectMonthly1000equitiesstocksComplex strategy1964-20064323%20.3%0%Strongequity long short, factor investing, financial statements effect, momentum, momentum in stocks, smart beta, stock picking0.94
We've found 69 Free and 383 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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