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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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12Pairs Trading with StocksequitiesstocksComplex strategy1962-20024111.16%5.85% 1.22
13Short Term Reversal Effect in StocksequitiesstocksComplex strategy1990-20092016.25%14.94% 1.09
14Momentum Factor Effect in StocksequitiesstocksComplex strategy1927-2013878.3%16.6% 0.5
15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%   
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20Volatility Risk Premium Effectequitiesfutures, options, swapsModerately complex strategy1986-19951026%19% 1.16
21Momentum Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57% 0.57
22Term Structure Effect in CommoditiescommoditiesfuturesSimple strategy1979-20042611.73%23.84%-57.53%0.49
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26Value (Book-to-Market) FactorequitiesstocksComplex strategy1926-2014893.6%12.02% 0.3
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28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% 0.79
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33Post-Earnings Announcement EffectequitiesstocksComplex strategy1987-20041815%   
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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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