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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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
13Short Term Reversal Effect 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
8Currency Momentum FactorcurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%0.65
7Low Volatility Factor Effect in Stocks – Long-Only VersionequitiesstocksComplex strategy1986-20062111.3%10.1%0%0.72
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The Encyclopedia of Quantitative Trading Strategies

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