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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
380Quantpedia Premium (Buy Premium account to see this strategy)             
292Quantpedia Premium (Buy Premium account to see this strategy)             
281Skewness Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1987-2014288.01%10.2%-29.73%Strongfactor investing, smart beta, volatility effect0.79
262Quantpedia Premium (Buy Premium account to see this strategy)             
445Quantpedia Premium (Buy Premium account to see this strategy)             
99Quantpedia Premium (Buy Premium account to see this strategy)             
434Quantpedia Premium (Buy Premium account to see this strategy)             
265Quantpedia Premium (Buy Premium account to see this strategy)             
110Quantpedia Premium (Buy Premium account to see this strategy)             
286Quantpedia Premium (Buy Premium account to see this strategy)             
320Quantpedia Premium (Buy Premium account to see this strategy)             
505Quantpedia Premium (Buy Premium account to see this strategy)             
296Quantpedia Premium (Buy Premium account to see this strategy)             
421Quantpedia Premium (Buy Premium account to see this strategy)             
231Quantpedia Premium (Buy Premium account to see this strategy)             
12512 Month Cycle in Cross-Section of Stocks ReturnsMonthly1000equitiesstocksComplex strategy1965-2002388.6%12.2%0%Strongequity long short, factor investing, seasonality, smart beta, stock picking0.38
447Quantpedia Premium (Buy Premium account to see this strategy)             
363Quantpedia Premium (Buy Premium account to see this strategy)             
329Quantpedia Premium (Buy Premium account to see this strategy)             
338Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 71 Free and 434 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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