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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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207Value Factor – CAPE Effect within CountriesequitiesETFsModerately complex strategy1980-20113214.7%26.1%-17.8%0.56
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199ROA Effect within StocksequitiesstocksComplex strategy1972-20063512.15%13.36% 0.61
198Exploiting Term Structure of VIX FuturesequitiesfuturesComplex strategy2007-2011519.67%   
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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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