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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
41Turn of the Month in Equity IndexesequitiesCFDs, ETFs, funds, futures, optionsSimple strategy1926-2005807.2%6.9%0%1.04
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38Accrual AnomalyequitiesstocksComplex strategy1966-2003387.5%10.26%0%0.34
37Net Current Asset Value EffectequitiesstocksModerately complex strategy1980-20052631.19%0%0% 
36Net Payout Yield EffectequitiesstocksComplex strategy1984-20032022.13%0%0% 
35Quantpedia Premium (Buy Premium account to see this strategy)         
34Quantpedia Premium (Buy Premium account to see this strategy)         
33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%0%0% 
32Quantpedia Premium (Buy Premium account to see this strategy)         
31Market Seasonality Effect in World Equity IndexesequitiesCFDs, ETFs, funds, futuresSimple strategy1970-2003348.8%0%0% 
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29Quantpedia Premium (Buy Premium account to see this strategy)         
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%0.79
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26Value (Book-to-Market) FactorequitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%0.28
25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex strategy1927-20108412%32%-92% 
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22Term Structure Effect in CommoditiescommoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%0.49
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The Encyclopedia of Quantitative Trading Strategies

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