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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
137Quantpedia Premium (Buy Premium account to see this strategy)             
340Quantpedia Premium (Buy Premium account to see this strategy)             
248Quantpedia Premium (Buy Premium account to see this strategy)             
176Quantpedia Premium (Buy Premium account to see this strategy)             
290Consistent Momentum Strategy6 Months1000equitiesstocksComplex strategy1980-20113216.08%25.33%0%Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking0.48
21Momentum Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%Strongfactor investing, momentum, rotational system, smart beta0.57
266Quantpedia Premium (Buy Premium account to see this strategy)             
107Quantpedia Premium (Buy Premium account to see this strategy)             
207Value Factor – CAPE Effect within CountriesYearly10equitiesETFsModerately complex strategy1980-20113214.7%26.1%-17.8%Strongcountry picking, factor investing, rotational system, smart beta, value0.56
26Value (Book-to-Market) FactorYearly1000equitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%Strongfactor investing, fundamental analysis, smart beta, stock picking, value0.28
344Quantpedia Premium (Buy Premium account to see this strategy)             
246Quantpedia Premium (Buy Premium account to see this strategy)             
23Quantpedia Premium (Buy Premium account to see this strategy)             
386Quantpedia Premium (Buy Premium account to see this strategy)             
375Quantpedia Premium (Buy Premium account to see this strategy)             
388Quantpedia Premium (Buy Premium account to see this strategy)             
117Quantpedia Premium (Buy Premium account to see this strategy)             
213Quantpedia Premium (Buy Premium account to see this strategy)             
299Quantpedia Premium (Buy Premium account to see this strategy)             
361Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 395 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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