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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
80Earnings Announcement PremiumMonthly1000equitiesstocksComplex strategy1973-20043218.36%16.12%0%Strongearnings announcement, equity long short, factor investing, smart beta, stock picking0.89
333Quantpedia Premium (Buy Premium account to see this strategy)             
271Earnings Announcements Combined with Stock RepurchasesDaily100equitiesstocksModerately complex strategy1987-20132725.2%11.11%0%Strongearnings announcement, factor investing, financial statements effect, smart beta, stock picking, trading earnings2.27
229Earnings Quality FactorYearly1000equitiesstocksComplex strategy1988-2012257.95%5.91%0%Strongequity long short, factor investing, financial statements effect, smart beta, stock picking0.67
421Quantpedia Premium (Buy Premium account to see this strategy)             
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151Quantpedia Premium (Buy Premium account to see this strategy)             
263Quantpedia Premium (Buy Premium account to see this strategy)             
196Quantpedia Premium (Buy Premium account to see this strategy)             
350Quantpedia Premium (Buy Premium account to see this strategy)             
79Quantpedia Premium (Buy Premium account to see this strategy)             
386Quantpedia Premium (Buy Premium account to see this strategy)             
65Quantpedia Premium (Buy Premium account to see this strategy)             
134Quantpedia Premium (Buy Premium account to see this strategy)             
354Quantpedia Premium (Buy Premium account to see this strategy)             
339Quantpedia Premium (Buy Premium account to see this strategy)             
268Quantpedia Premium (Buy Premium account to see this strategy)             
169Quantpedia Premium (Buy Premium account to see this strategy)             
198Exploiting Term Structure of VIX FuturesDaily2equitiesfuturesComplex strategy2007-2011519.67%0%0%Strongvolatility effect, volatility premium 
50FED ModelMonthly2bonds, equitiesETFs, funds, futuresModerately complex strategy1959-20034511%10%0%Moderately Strongasset class picking, market timing0.7
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The Encyclopedia of Quantitative Trading Strategies

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