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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
28Value and Momentum Factors across Asset ClassesMonthly6bonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%Strongasset class picking, factor investing, momentum, smart beta, value0.79
27Quantpedia Premium (Buy Premium account to see this strategy)             
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfactor investing, financial statements effect, smart beta, stock picking, value0.28
25Small Capitalization Stocks Premium AnomalyYearly1000equitiesstocksComplex strategy1927-20108412%32%-92%Moderately Strongsmall cap, stock picking 
24Quantpedia Premium (Buy Premium account to see this strategy)             
23Quantpedia Premium (Buy Premium account to see this strategy)             
22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%Strongfactor investing, rotational system, smart beta, term spread0.49
21Momentum Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%Strongfactor investing, momentum, rotational system, smart beta0.57
20Volatility Risk Premium EffectMonthly4equitiesfutures, options, swapsModerately complex strategy1986-19951026%19%0%Strongfactor investing, smart beta, volatility effect, volatility premium1.16
19Quantpedia Premium (Buy Premium account to see this strategy)             
18Quantpedia Premium (Buy Premium account to see this strategy)             
17Quantpedia Premium (Buy Premium account to see this strategy)             
16Mean Reversion Effect in Country Equity Indexes3 Years8equitiesETFs, fundsSimple strategy1969-1995276.4%0%0%Strongcountry picking, factor investing, reversal, rotational system, smart beta 
15Momentum Factor Effect in Country Equity IndexesMonthly5equitiesETFs, fundsSimple strategy1968-20094217.7%0%0%Strongcountry picking, factor investing, momentum, rotational system, smart beta 
14Momentum Factor Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%Strongfactor investing, momentum, momentum in stocks, smart beta, stock picking0.49
13Short Term Reversal in StocksWeekly20equitiesstocksComplex strategy1990-20092016.25%6.8%0%Strongequity long short, factor investing, reversal, smart beta, stock picking1.8
12Pairs Trading with StocksDaily40equitiesstocksComplex strategy1962-20024111.16%5.85%0%Strongarbitrage, equity long short, pairs trading1.22
11Quantpedia Premium (Buy Premium account to see this strategy)             
10Quantpedia Premium (Buy Premium account to see this strategy)             
9Currency Value Factor – PPP StrategyQuarterly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.8%9.06%-17.88%Strongfactor investing, forex system, FX anomaly, smart beta, value0.86
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The Encyclopedia of Quantitative Trading Strategies

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