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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
134Quantpedia Premium (Buy Premium account to see this strategy)             
133Quantpedia Premium (Buy Premium account to see this strategy)             
132Quantpedia Premium (Buy Premium account to see this strategy)             
131Quantpedia Premium (Buy Premium account to see this strategy)             
130Quantpedia Premium (Buy Premium account to see this strategy)             
129Dollar Carry TradeMonthly10notcurrenciesCFDs, forwards, futures, swapsSimple strategy1983-2009275.6%8.53%0%Strongcarry trade, forex system, FX anomaly0.66
128Quantpedia Premium (Buy Premium account to see this strategy)             
127Quantpedia Premium (Buy Premium account to see this strategy)             
126Quantpedia Premium (Buy Premium account to see this strategy)             
12512 Month Cycle in Cross-Section of Stocks ReturnsMonthly1000equitiesstocksComplex strategy1965-2002388.6%12.2%0%Strongequity long short, factor investing, seasonality, smart beta, stock picking0.38
124Quantpedia Premium (Buy Premium account to see this strategy)             
123Quantpedia Premium (Buy Premium account to see this strategy)             
122Momentum Factor Combined with Asset Growth EffectMonthly1000equitiesstocksComplex strategy1964-20064323%20.3%0%Strongequity long short, factor investing, fundamental analysis, momentum, momentum in stocks, smart beta, stock picking0.94
121Quantpedia Premium (Buy Premium account to see this strategy)             
120Quantpedia Premium (Buy Premium account to see this strategy)             
119Quantpedia Premium (Buy Premium account to see this strategy)             
118Time Series Momentum EffectMonthly58bonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094516.21%11.73%0%Strongfactor investing, momentum, smart beta1.04
117Quantpedia Premium (Buy Premium account to see this strategy)             
116Quantpedia Premium (Buy Premium account to see this strategy)             
115Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 443 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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