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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
21Momentum Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57% 0.57
22Term Structure Effect in CommoditiescommoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%0.49
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25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex strategy1926-2017926.1%25.6% 0.24
26Value (Book-to-Market) FactorequitiesstocksComplex strategy1926-2014893.6%12.02% 0.3
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28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% 0.79
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31Market Seasonality Effect in World Equity IndexesequitiesCFDs, ETFs, funds, futuresSimple strategy1970-2003348.8%   
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33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%   
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36Net Payout Yield EffectequitiesstocksComplex strategy1984-20032022.13%   
37Net Current Asset Value EffectequitiesstocksModerately complex strategy1980-20052631.19%   
38Accrual AnomalyequitiesstocksComplex strategy1966-2003387.5%10.26% 0.34
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    The Encyclopedia of Quantitative Trading Strategies

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