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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
501Quantpedia Premium (Buy Premium account to see this strategy)             
502Quantpedia Premium (Buy Premium account to see this strategy)             
503Quantpedia Premium (Buy Premium account to see this strategy)             
504Quantpedia Premium (Buy Premium account to see this strategy)             
505Quantpedia Premium (Buy Premium account to see this strategy)             
21Momentum Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%Strongfactor investing, momentum, rotational system, smart beta0.57
22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%Strongfactor investing, rotational system, smart beta, term spread0.49
23Quantpedia Premium (Buy Premium account to see this strategy)             
43Quantpedia Premium (Buy Premium account to see this strategy)             
56Quantpedia Premium (Buy Premium account to see this strategy)             
59Quantpedia Premium (Buy Premium account to see this strategy)             
73Quantpedia Premium (Buy Premium account to see this strategy)             
100Trading WTI/BRENT SpreadDaily2commoditiesfuturesSimple strategy1995-20041039.4%21.65%-13.45%Moderately Strongarbitrage, pairs trading, spread trading1.64
105Quantpedia Premium (Buy Premium account to see this strategy)             
110Quantpedia Premium (Buy Premium account to see this strategy)             
111Quantpedia Premium (Buy Premium account to see this strategy)             
132Quantpedia Premium (Buy Premium account to see this strategy)             
135Quantpedia Premium (Buy Premium account to see this strategy)             
142Quantpedia Premium (Buy Premium account to see this strategy)             
146Quantpedia 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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