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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
96Crude Oil Predicts Equity ReturnsMonthly1equitiesCFDs, ETFs, funds, futuresSimple strategy1988-20031611.9%9.8%0%Strongmarket timing0.81
389Quantpedia Premium (Buy Premium account to see this strategy)             
8Currency Momentum FactorMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%Strongfactor investing, forex system, FX anomaly, momentum, smart beta0.65
311Quantpedia Premium (Buy Premium account to see this strategy)             
9Currency Value Factor – PPP StrategyQuarterly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010227.8%9.06%-17.88%Strongfactor investing, forex system, FX anomaly, smart beta, value0.86
394Quantpedia Premium (Buy Premium account to see this strategy)             
366Quantpedia Premium (Buy Premium account to see this strategy)             
265Quantpedia Premium (Buy Premium account to see this strategy)             
232Quantpedia Premium (Buy Premium account to see this strategy)             
197Quantpedia Premium (Buy Premium account to see this strategy)             
165Quantpedia Premium (Buy Premium account to see this strategy)             
237Dispersion TradingMonthly21equitiesoptionsVery complex strategy1996-20071215.39%13.86%0%Strongfactor investing, smart beta, volatility effect, volatility premium0.82
202Quantpedia Premium (Buy Premium account to see this strategy)             
19Quantpedia Premium (Buy Premium account to see this strategy)             
264Quantpedia Premium (Buy Premium account to see this strategy)             
129Dollar Carry TradeMonthly10notcurrenciesCFDs, forwards, futures, swapsSimple strategy1983-2009275.6%8.53%0%Strongcarry trade, forex system, FX anomaly0.66
182Quantpedia Premium (Buy Premium account to see this strategy)             
132Quantpedia Premium (Buy Premium account to see this strategy)             
344Quantpedia Premium (Buy Premium account to see this strategy)             
369Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 383 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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