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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
100Trading WTI/BRENT SpreadcommoditiesfuturesSimple strategy1995-20041039.4%21.65%-13.45%1.64
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281Skewness Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%0.79
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The Encyclopedia of Quantitative Trading Strategies

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