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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
370Quantpedia Premium (Buy Premium account to see this strategy)             
380Quantpedia Premium (Buy Premium account to see this strategy)             
20Volatility Risk Premium EffectMonthly4equitiesfutures, options, swapsModerately complex strategy1986-19951026%19%0%Strongfactor investing, smart beta, volatility effect, volatility premium1.16
135Quantpedia Premium (Buy Premium account to see this strategy)             
198Exploiting Term Structure of VIX FuturesDaily2equitiesfuturesComplex strategy2007-2011519.67%0%0%Strongvolatility effect, volatility premium 
204Quantpedia Premium (Buy Premium account to see this strategy)             
237Dispersion TradingMonthly21equitiesoptionsVery complex strategy1996-20071215.39%13.86%0%Strongfactor investing, smart beta, volatility effect, volatility premium0.82
257Quantpedia Premium (Buy Premium account to see this strategy)             
280Quantpedia Premium (Buy Premium account to see this strategy)             
281Skewness Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%Strongfactor investing, smart beta, volatility effect0.79
326Quantpedia Premium (Buy Premium account to see this strategy)             
335Quantpedia Premium (Buy Premium account to see this strategy)             
336Quantpedia Premium (Buy Premium account to see this strategy)             
337Quantpedia Premium (Buy Premium account to see this strategy)             
338Quantpedia Premium (Buy Premium account to see this strategy)             
345Quantpedia Premium (Buy Premium account to see this strategy)             
388Quantpedia Premium (Buy Premium account to see this strategy)             
173Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 389 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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