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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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46Short Interest Effect – Long Only versionequitiesstocksComplex strategy1988-20051826.8%   
38Accrual AnomalyequitiesstocksComplex strategy1966-2003387.5%10.26% 0.34
36Net Payout Yield EffectequitiesstocksComplex strategy1984-20032022.13%   
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33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%   
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26Value (Book-to-Market) FactorequitiesstocksComplex strategy1926-2014893.6%12.02% 0.3
25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex strategy1926-2017926.1%25.6% 0.24
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We've found 82 Free, 108 Prime and 804 Premium strategies.Upgrade subscription to unlock more

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    The Encyclopedia of Quantitative Trading Strategies

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