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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%0.79
27Quantpedia Premium (Buy Premium account to see this strategy)         
26Value (Book-to-Market) FactorequitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%0.28
25Small Capitalization Stocks Premium AnomalyequitiesstocksComplex strategy1927-20108412%32%-92% 
24Quantpedia Premium (Buy Premium account to see this strategy)         
23Quantpedia Premium (Buy Premium account to see this strategy)         
22Term Structure Effect in CommoditiescommoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%0.49
21Momentum Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%0.57
20Volatility Risk Premium Effectequitiesfutures, options, swapsModerately complex strategy1986-19951026%19%0%1.16
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 IndexesequitiesETFs, fundsSimple strategy1969-1995276.4%0%0% 
15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%0%0% 
14Momentum Factor Effect in StocksequitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%0.49
13Short Term Reversal in StocksequitiesstocksComplex strategy1990-20092016.25%6.8%0%1.8
12Pairs Trading with StocksequitiesstocksComplex strategy1962-20024111.16%5.85%0%1.22
11Quantpedia Premium (Buy Premium account to see this strategy)         
10Quantpedia Premium (Buy Premium account to see this strategy)         
9Currency Value Factor – PPP StrategycurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.8%9.06%-17.88%0.86
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The Encyclopedia of Quantitative Trading Strategies

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