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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%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 strategy1927-20108412%32%-92% 
26Value (Book-to-Market) FactorequitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%0.28
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28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%0.79
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31Market Seasonality Effect in World Equity IndexesequitiesCFDs, ETFs, funds, futuresSimple strategy1970-2003348.8%0%0% 
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33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%0%0% 
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36Net Payout Yield EffectequitiesstocksComplex strategy1984-20032022.13%0%0% 
37Net Current Asset Value EffectequitiesstocksModerately complex strategy1980-20052631.19%0%0% 
38Accrual AnomalyequitiesstocksComplex strategy1966-2003387.5%10.26%0%0.34
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The Encyclopedia of Quantitative Trading Strategies

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