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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
60Quantpedia Premium (Buy Premium account to see this strategy)             
63Quantpedia Premium (Buy Premium account to see this strategy)             
193Quantpedia Premium (Buy Premium account to see this strategy)             
227Quantpedia Premium (Buy Premium account to see this strategy)             
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387Quantpedia Premium (Buy Premium account to see this strategy)             
494Quantpedia Premium (Buy Premium account to see this strategy)             
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380Quantpedia Premium (Buy Premium account to see this strategy)             
504Quantpedia 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)             
We've found 71 Free and 443 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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