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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
346Quantpedia Premium (Buy Premium account to see this strategy)             
372Quantpedia Premium (Buy Premium account to see this strategy)             
147Quantpedia Premium (Buy Premium account to see this strategy)             
242Quantpedia Premium (Buy Premium account to see this strategy)             
171Quantpedia Premium (Buy Premium account to see this strategy)             
89Quantpedia Premium (Buy Premium account to see this strategy)             
326Quantpedia Premium (Buy Premium account to see this strategy)             
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)             
We've found 69 Free and 392 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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