Get Trading & Strategy Ideas Browse more than 400 attractive trading systems together with hundreds of related academic papers.

We've found 70 Free and 376 Premium strategiesUpgrade to unlock Premium
IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
21Momentum Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57% Strongmomentum, rotational system0.57
22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%Strongrotational system, term spread0.49
23Quantpedia Premium (Buy Premium account to see this strategy)             
24Quantpedia Premium (Buy Premium account to see this strategy)             
25Small Capitalization Stocks Premium AnomalyYearly1000equitiesstocksComplex strategy1927-20108412%32%-92%Moderately Strongsmall cap, stock picking 
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfinancial statements effect, stock picking, value0.28
27Quantpedia Premium (Buy Premium account to see this strategy)             
28Value and Momentum Factors across Asset ClassesMonthly6bonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% Strongasset class picking, momentum, value0.79
29Quantpedia Premium (Buy Premium account to see this strategy)             
30Quantpedia Premium (Buy Premium account to see this strategy)             
31Market Seasonality Effect in World Equity Indexes6 Months1equitiesCFDs, ETFs, funds, futuresSimple strategy1970-2003348.8%0%0%Weakmarket timing, seasonality 
32Quantpedia Premium (Buy Premium account to see this strategy)             
33Post-Earnings Announcement EffectQuarterly1000equitiesstocksComplex strategy1987-20041815%  Strongearnings announcement, equity long short, financial statements effect, stock picking 
34Quantpedia Premium (Buy Premium account to see this strategy)             
35Quantpedia Premium (Buy Premium account to see this strategy)             
36Net Payout Yield EffectYearly1000equitiesstocksComplex strategy1984-20032022.13%  Strongfinancial statements effect, stock picking, value 
37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy1980-20052631.19%  Strongfinancial statements effect, stock picking, value 
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.5%10.26% Strongaccruals effect, equity long short, financial statements effect, stock picking0.34
39Quantpedia Premium (Buy Premium account to see this strategy)             
40Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 70 Free and 376 Premium strategiesUpgrade to unlock Premium

Subscribe for Newsletter

Be first to know, when we publish new content


logo
The Encyclopedia of Quantitative Trading Strategies

Log in