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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
1Asset Class Trend-Followingbonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%1.06
2Asset Class Momentum – Rotational Systembonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093715%9.6%-12.95%1.15
3Sector Momentum – Rotational SystemequitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%0.54
8Currency Momentum FactorcurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2010226.48%10%-21.63%0.65
14Momentum Factor Effect in StocksequitiesstocksComplex strategy1927-20108414.3%20.89%-77.46%0.49
15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%0%0% 
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21Momentum Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%0.57
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28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%0.79
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44Paired Switchingbonds, equitiesETFs, funds, stocksSimple strategy1991-20112111.3%9.3%0%0.78
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67Riding Industry BubblesequitiesETFs, fundsModerately complex strategy1936-20067118%0%0% 
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The Encyclopedia of Quantitative Trading Strategies

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