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IDTitle of StrategyPeriod of RebalancingNumber of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence in AnomalyKeywordsSharpe Ratio
112Quantpedia Premium (Buy Premium account to see this strategy)             
118Time Series Momentum EffectMonthly58bonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094516.21%11.73%0%Strongfactor investing, momentum, smart beta1.04
122Momentum Factor Combined with Asset Growth EffectMonthly1000equitiesstocksComplex strategy1964-20064323%20.3%0%Strongequity long short, factor investing, financial statements effect, momentum, momentum in stocks, smart beta, stock picking0.94
124Quantpedia Premium (Buy Premium account to see this strategy)             
136Residual Momentum FactorMonthly200equitiesstocksComplex strategy1926-2009849.18%15.27%0%Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking0.34
137Quantpedia Premium (Buy Premium account to see this strategy)             
143Quantpedia Premium (Buy Premium account to see this strategy)             
144Trend-Following Effect in StocksDaily1000equitiesstocksComplex strategy1983-20042215.5%15.6%-29.3%Strongmomentum, momentum in stocks, stock picking, trendfollowing0.74
146Quantpedia Premium (Buy Premium account to see this strategy)             
152Momentum Factor Effect in REITsMonthly50REITsstocksSimple strategy1980-2008299.51%0%0%Moderately Strongfactor investing, momentum, smart beta, stock picking 
155Momentum and Reversal Combined with Volatility Effect in StocksMonthly1000equitiesstocksComplex strategy1964-20094616.46%19.22%0%Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking, volatility effect0.65
162Momentum Effect in Stocks in Small PortfoliosYearly20equitiesstocksSimple strategy1988-20061932%0%0%Moderately Strongequity long short, factor investing, momentum, momentum in stocks, smart beta, stock picking 
166Quantpedia Premium (Buy Premium account to see this strategy)             
167Quantpedia Premium (Buy Premium account to see this strategy)             
171Quantpedia Premium (Buy Premium account to see this strategy)             
183Quantpedia Premium (Buy Premium account to see this strategy)             
197Quantpedia Premium (Buy Premium account to see this strategy)             
200Quantpedia Premium (Buy Premium account to see this strategy)             
205Quantpedia Premium (Buy Premium account to see this strategy)             
206Quantpedia Premium (Buy Premium account to see this strategy)             
We've found 69 Free and 379 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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