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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
442Quantpedia Premium (Buy Premium account to see this strategy)         
444Quantpedia Premium (Buy Premium account to see this strategy)         
458Quantpedia Premium (Buy Premium account to see this strategy)         
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489Quantpedia Premium (Buy Premium account to see this strategy)         
491Quantpedia Premium (Buy Premium account to see this strategy)         
1Asset Class Trend-Followingbonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%1.06
2Momentum Asset Allocation Strategybonds, 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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The Encyclopedia of Quantitative Trading Strategies

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