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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
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
15Momentum Factor Effect in Country Equity IndexesMonthly5equitiesETFs, fundsSimple strategy1968-20094217.7%0%0%Strongcountry picking, factor investing, momentum, rotational system, smart beta 
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21Momentum Effect in CommoditiesMonthly10commoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%Strongfactor investing, momentum, rotational system, smart beta0.57
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28Value and Momentum Factors across Asset ClassesMonthly6bonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%Strongasset class picking, factor investing, momentum, smart beta, value0.79
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44Paired SwitchingQuarterly2bonds, equitiesETFs, funds, stocksSimple strategy1991-20112111.3%9.3%0%Moderately Strongasset class picking, fund picking, market timing, momentum, rotational system0.78
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67Riding Industry BubblesMonthly5equitiesETFs, fundsModerately complex strategy1936-20067118%0%0%Strongfactor investing, momentum, rotational system, sector picking, smart beta 
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We've found 69 Free and 386 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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