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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%   
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31Market Seasonality Effect in World Equity IndexesequitiesCFDs, ETFs, funds, futuresSimple strategy1970-2003348.8%   
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29Upgrade your subscription to see this strategy         
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% 0.79
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26Value (Book-to-Market) FactorequitiesstocksComplex strategy1926-2014893.6%12.02% 0.3
25Size Factor – Small Capitalization Stocks PremiumequitiesstocksComplex strategy1926-2017926.1%25.6% 0.24
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22Term Structure Effect in CommoditiescommoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%0.49
21Momentum Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57% 0.57
20Volatility Risk Premium Effectequitiesfutures, options, swapsModerately complex strategy1986-19951026%19% 1.16
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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%   
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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