Get Trading & Strategy Ideas Browse more than 400 attractive trading systems together with hundreds of related academic papers.

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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
14Momentum Factor Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%Strongfactor investing, momentum, momentum in stocks, smart beta, stock picking0.49
13Short Term Reversal Effect in StocksWeekly20equitiesstocksComplex strategy1990-20092016.25%6.8%0%Strongequity long short, factor investing, reversal, smart beta, stock picking1.8
12Pairs Trading with StocksDaily40equitiesstocksComplex strategy1962-20024111.16%5.85%0%Strongarbitrage, equity long short, pairs trading1.22
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9Currency Value Factor – PPP StrategyQuarterly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.8%9.06%-17.88%Strongfactor investing, forex system, FX anomaly, smart beta, value0.86
8Currency Momentum FactorMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%Strongfactor investing, forex system, FX anomaly, momentum, smart beta0.65
7Low Volatility Factor Effect in Stocks – Long-Only VersionMonthly50equitiesstocksComplex strategy1986-20062111.3%10.1%0%Strongfactor investing, smart beta, stock picking, volatility effect0.72
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5FX Carry TradeMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.49%9.7%-34.55%Strongcarry trade, factor investing, forex system, FX anomaly, smart beta0.77
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3Sector Momentum – Rotational SystemMonthly10equitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%Strongmomentum, rotational system, sector picking0.54
2Momentum Asset Allocation StrategyMonthly5bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%Strongasset class picking, momentum, rotational system1.15
1Asset Class Trend-FollowingMonthly6bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%Strongasset class picking, momentum, trend-following1.06
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The Encyclopedia of Quantitative Trading Strategies

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