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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
170Quantpedia Premium (Buy Premium account to see this strategy)         
353Quantpedia Premium (Buy Premium account to see this strategy)         
416Quantpedia Premium (Buy Premium account to see this strategy)         
357Quantpedia Premium (Buy Premium account to see this strategy)         
496Quantpedia Premium (Buy Premium account to see this strategy)         
233Quantpedia Premium (Buy Premium account to see this strategy)         
405Quantpedia Premium (Buy Premium account to see this strategy)         
26Value (Book-to-Market) FactorequitiesstocksComplex strategy1927-20108411.34%26.62%-81.98%0.28
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%0.79
95Quantpedia Premium (Buy Premium account to see this strategy)         
159Quantpedia Premium (Buy Premium account to see this strategy)         
247Quantpedia Premium (Buy Premium account to see this strategy)         
207Value Factor – CAPE Effect within CountriesequitiesETFsModerately complex strategy1980-20113214.7%26.1%-17.8%0.56
444Quantpedia Premium (Buy Premium account to see this strategy)         
380Quantpedia Premium (Buy Premium account to see this strategy)         
504Quantpedia Premium (Buy Premium account to see this strategy)         
498Quantpedia Premium (Buy Premium account to see this strategy)         
203Quantpedia Premium (Buy Premium account to see this strategy)         
370Quantpedia Premium (Buy Premium account to see this strategy)         
148Quantpedia 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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