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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
12512 Month Cycle in Cross-Section of Stocks ReturnsequitiesstocksModerately complex strategy1965-2002388.6%12.2% 0.38
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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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114January Effect in StocksequitiesCFDs, ETFs, funds, futuresSimple strategy1947-20076112.7%   
113January BarometerequitiesCFDs, ETFs, funds, futuresSimple strategy1857-200815210.38%16.8% 0.38
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96Crude Oil Predicts Equity ReturnsequitiesCFDs, ETFs, funds, futuresSimple strategy1988-20031611.9%9.8% 0.81
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91Momentum Factor and Style Rotation EffectequitiesETFsSimple strategy1972-2005349.25%16.01% 0.33
8852-Weeks High Effect in StocksequitiesstocksComplex strategy1963-20094711.75%11% 0.7
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We've found 82 Free, 108 Prime and 811 Premium strategies.Upgrade subscription to unlock more

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    The Encyclopedia of Quantitative Trading Strategies

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