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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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16Reversal Effect in International Equity ETFsequitiesETFs, fundsSimple strategy1969-1995276.4%   
15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%   
14Momentum Factor Effect in StocksequitiesstocksComplex strategy1927-2013878.3%16.6% 0.5
13Short Term Reversal Effect in StocksequitiesstocksComplex strategy1990-20092016.25%14.94% 1.09
12Pairs Trading with StocksequitiesstocksComplex strategy1962-20024111.16%5.85% 1.22
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7Low Volatility Factor Effect in StocksequitiesstocksComplex strategy1986-20062111.3%10.1% 0.72
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3Sector Momentum – Rotational SystemequitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%0.54
2Momentum Asset Allocation Strategybonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093714.49%11%39.84%0.78
1Asset Class Trend-Followingbonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%1.06
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888Upgrade your subscription to see this strategy         
870Upgrade your subscription to see this strategy         
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    The Encyclopedia of Quantitative Trading Strategies

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