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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
347Quantpedia Premium (Buy Premium account to see this strategy)             
348Quantpedia Premium (Buy Premium account to see this strategy)             
349Quantpedia Premium (Buy Premium account to see this strategy)             
356Quantpedia Premium (Buy Premium account to see this strategy)             
365Quantpedia Premium (Buy Premium account to see this strategy)             
366Quantpedia Premium (Buy Premium account to see this strategy)             
374Quantpedia Premium (Buy Premium account to see this strategy)             
392Quantpedia Premium (Buy Premium account to see this strategy)             
407Quantpedia Premium (Buy Premium account to see this strategy)             
411Quantpedia Premium (Buy Premium account to see this strategy)             
416Quantpedia Premium (Buy Premium account to see this strategy)             
419Payday AnomalyDaily1equitiesCFDs, ETFs, futuresSimple strategy1980-2010312.57%4.31%0%Strongmarket timing, seasonality0.6
441Quantpedia Premium (Buy Premium account to see this strategy)             
442Quantpedia Premium (Buy Premium account to see this strategy)             
444Quantpedia Premium (Buy Premium account to see this strategy)             
1Asset Class Trend-FollowingMonthly6bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%Strongasset class picking, momentum, trendfollowing1.06
2Asset Class Momentum – Rotational SystemMonthly5bonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%Strongasset class picking, momentum, rotational system1.15
3Sector Momentum – Rotational SystemMonthly10equitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%Strongmomentum, rotational system, sector picking0.54
8Currency Momentum FactorMonthly10currenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%Strongfactor investing, forex system, FX anomaly, momentum, smart beta0.65
14Momentum Factor Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%Strongfactor investing, momentum, momentum in stocks, smart beta, stock picking0.49
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The Encyclopedia of Quantitative Trading Strategies

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