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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%Strongfactor investing, rotational system, smart beta, term spread0.49
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100Trading WTI/BRENT SpreadDaily2commoditiesfuturesSimple strategy1995-20041039.4%21.65%-13.45%Moderately Strongarbitrage, pairs trading, spread trading1.64
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