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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
122Momentum Factor Combined with Asset Growth EffectequitiesstocksComplex strategy1968-20063916.77%13.84% 1.21
118Time Series Momentum Effectbonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094520.7%15.74% 1.31
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91Momentum Factor and Style Rotation EffectequitiesETFsSimple strategy1972-2005349.25%16.01% 0.33
85Momentum in Mutual Fund ReturnsequitiesfundsSimple strategy1973-20043219%19.5% 0.77
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67Industry Momentum – Riding Industry BubblesequitiesETFs, fundsModerately complex strategy1936-20067118%   
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44Paired Switchingbonds, equitiesETFs, funds, stocksSimple strategy1991-20112111.3%9.3% 0.78
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28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% 0.79
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    The Encyclopedia of Quantitative Trading Strategies

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