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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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353Quantpedia Premium (Buy Premium account to see this strategy)         
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26Value (Book-to-Market) FactorequitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%0.28
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%0.79
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207Value Factor Effect within CountriesequitiesETFsModerately complex strategy1980-20113214.7%26.1%-17.8%0.56
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We've found 69 Free and 383 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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