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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%0%0% 
32Quantpedia Premium (Buy Premium account to see this strategy)         
31Market Seasonality Effect in World Equity IndexesequitiesCFDs, ETFs, funds, futuresSimple strategy1970-2003348.8%0%0% 
30Quantpedia Premium (Buy Premium account to see this strategy)         
29Quantpedia Premium (Buy Premium account to see this strategy)         
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
25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex 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)         
16Reversal Effect in International Equity ETFsequitiesETFs, 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
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The Encyclopedia of Quantitative Trading Strategies

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