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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
49Quantpedia Premium (Buy Premium account to see this strategy)             
48Quantpedia Premium (Buy Premium account to see this strategy)             
47Quantpedia Premium (Buy Premium account to see this strategy)             
46Short Interest Effect – Long Only versionMonthly230equitiesstocksComplex strategy1988-20051826.8%0%0%Strongfactor investing, smart beta, stock picking 
45Short Interest Effect – Long-Short VersionMonthly1000equitiesstocksComplex strategy1988-20051819.7%17.14%0%Moderately Strongequity long short, factor investing, smart beta, stock picking0.92
44Paired SwitchingQuarterly2bonds, equitiesETFs, funds, stocksSimple strategy1991-20112111.3%9.3%0%Moderately Strongasset class picking, fund picking, market timing, momentum, rotational system0.78
43Quantpedia Premium (Buy Premium account to see this strategy)             
42Alpha Cloning – Following 13F FillingsQuarterly100equitiesstocksModerately complex strategy1991-20051520.21%0%0%Strongalternative data, stock picking 
41Turn of the Month in Equity IndexesDaily1equitiesCFDs, ETFs, funds, futures, optionsSimple strategy1926-2005807.2%6.9%0%Strongmarket timing, seasonality1.04
40Quantpedia Premium (Buy Premium account to see this strategy)             
39Quantpedia Premium (Buy Premium account to see this strategy)             
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.5%10.26%0%Strongaccruals effect, equity long short, factor investing, financial statements effect, smart beta, stock picking0.34
37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy1980-20052631.19%0%0%Strongfactor investing, financial statements effect, smart beta, stock picking, value 
36Net Payout Yield EffectYearly1000equitiesstocksComplex strategy1984-20032022.13%0%0%Strongfactor investing, financial statements effect, smart beta, stock picking, value 
35Quantpedia Premium (Buy Premium account to see this strategy)             
34Quantpedia Premium (Buy Premium account to see this strategy)             
33Post-Earnings Announcement EffectQuarterly1000equitiesstocksComplex strategy1987-20041815%0%0%Strongearnings announcement, equity long short, factor investing, financial statements effect, smart beta, stock picking 
32Quantpedia 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 
30Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 380 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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