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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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162Momentum Effect in Stocks in Small PortfoliosequitiesstocksSimple strategy1988-20061932%   
155Momentum and Reversal Combined with Volatility Effect in StocksequitiesstocksComplex strategy1964-20094616.46%19.22% 0.65
152Momentum Factor Effect in REITsREITsstocksSimple strategy1980-2008299.51%   
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144Trend-following Effect in StocksequitiesstocksComplex strategy1983-20042219.3%15.6%-20.8%1.24
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136Residual Momentum FactorequitiesstocksComplex strategy1926-2009849.18%15.27% 0.34
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    The Encyclopedia of Quantitative Trading Strategies

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