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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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238Reversal in Post-Earnings Announcement DriftequitiesstocksComplex strategy1996-20101540.32%   
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229Earnings Quality FactorequitiesstocksComplex strategy1988-2012257.95%5.91% 0.67
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199ROA Effect within StocksequitiesstocksComplex strategy1972-20063512.15%13.36% 0.61
198Exploiting Term Structure of VIX FuturesequitiesfuturesComplex strategy2007-2011519.67%   
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    The Encyclopedia of Quantitative Trading Strategies

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