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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
37Net Current Asset Value EffectYearly100equitiesstocksModerately complex strategy1980-20052631.19%0%0%Strongfactor investing, fundamental analysis, smart beta, stock picking, value 
38Accrual AnomalyYearly1000equitiesstocksComplex strategy1966-2003387.5%10.26%0%Strongaccruals effect, equity long short, factor investing, fundamental analysis, smart beta, stock picking0.34
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40Quantpedia Premium (Buy Premium account to see this strategy)             
41Turn of the Month in Equity IndexesDaily1equitiesCFDs, ETFs, funds, futures, optionsSimple strategy1926-2005807.2%6.9%0%Strongmarket timing, seasonality1.04
42Alpha Cloning – Following 13F FillingsQuarterly100equitiesstocksModerately complex strategy1991-20051520.21%0%0%Strongalternative data, stock picking 
44Paired SwitchingQuarterly2bonds, equitiesETFs, funds, stocksSimple strategy1991-20112111.3%9.3%0%Moderately Strongasset class picking, fund picking, market timing, momentum, rotational system0.78
45Short Interest Effect – Long-Short VersionMonthly1000equitiesstocksComplex strategy1988-20051819.7%17.14%0%Moderately Strongequity long short, factor investing, smart beta, stock picking0.92
46Short Interest Effect – Long Only versionMonthly230equitiesstocksComplex strategy1988-20051826.8%0%0%Strongfactor investing, smart beta, stock picking 
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50FED ModelMonthly2bonds, equitiesETFs, funds, futuresModerately complex strategy1959-20034511%10%0%Moderately Strongasset class picking, market timing0.7
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52Asset Growth EffectYearly1000equitiesstocksComplex strategy1968-20063920.84%14.07%0%Strongequity long short, factor investing, fundamental analysis, smart beta, stock picking1.2
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54Quantpedia Premium (Buy Premium account to see this strategy)             
55Pairs Trading with Country ETFsDaily22equitiesETFsModerately complex strategy1996-20091420.6%10%0%Strongarbitrage, equity long short, pairs trading1.66
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61Quantpedia Premium (Buy Premium account to see this strategy)             
62Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 392 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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