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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
22Term Structure Effect in CommoditiescommoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%0.49
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100Trading WTI/BRENT SpreadcommoditiesfuturesSimple strategy1995-20041039.4%21.65%-13.45%1.64
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The Encyclopedia of Quantitative Trading Strategies

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