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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
463Quantpedia Premium (Buy Premium account to see this strategy)             
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22Term Structure Effect in CommoditiesMonthly10commoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%Strongfactor investing, rotational system, smart beta, term spread0.49
177Quantpedia Premium (Buy Premium account to see this strategy)             
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399Quantpedia Premium (Buy Premium account to see this strategy)             
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476Quantpedia Premium (Buy Premium account to see this strategy)             
340Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 414 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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