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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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100Trading WTI/BRENT SpreadcommoditiesfuturesSimple strategy1995-2004109.92%11.27%-5.58%0.88
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    The Encyclopedia of Quantitative Trading Strategies

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