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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
196Quantpedia Premium (Buy Premium account to see this strategy)             
199ROA Effect within StocksMonthly1000equitiesstocksComplex strategy1972-20063512.15%13.36%0%Strongequity long short, factor investing, fundamental analysis, smart beta, stock picking0.61
201Quantpedia Premium (Buy Premium account to see this strategy)             
202Quantpedia Premium (Buy Premium account to see this strategy)             
203Quantpedia Premium (Buy Premium account to see this strategy)             
208Quantpedia Premium (Buy Premium account to see this strategy)             
209Quantpedia Premium (Buy Premium account to see this strategy)             
217Quantpedia Premium (Buy Premium account to see this strategy)             
218Quantpedia Premium (Buy Premium account to see this strategy)             
223Quantpedia Premium (Buy Premium account to see this strategy)             
224Quantpedia Premium (Buy Premium account to see this strategy)             
226Quantpedia Premium (Buy Premium account to see this strategy)             
228Quantpedia Premium (Buy Premium account to see this strategy)             
229Earnings Quality FactorYearly1000equitiesstocksComplex strategy1988-2012257.95%5.91%0%Strongequity long short, factor investing, fundamental analysis, smart beta, stock picking0.67
232Quantpedia Premium (Buy Premium account to see this strategy)             
238Reversal in Post-Earnings Announcement DriftDaily4equitiesstocksComplex strategy1996-20101540.32%0%0%Moderately Strongearnings announcement, equity long short, factor investing, fundamental analysis, smart beta, stock picking 
239Quantpedia Premium (Buy Premium account to see this strategy)             
245Quantpedia Premium (Buy Premium account to see this strategy)             
246Quantpedia Premium (Buy Premium account to see this strategy)             
265Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 395 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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