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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
512Quantpedia Premium (Buy Premium account to see this strategy)         
513Quantpedia Premium (Buy Premium account to see this strategy)         
529Quantpedia Premium (Buy Premium account to see this strategy)         
531Quantpedia Premium (Buy Premium account to see this strategy)         
533Quantpedia Premium (Buy Premium account to see this strategy)         
536Quantpedia Premium (Buy Premium account to see this strategy)         
543Quantpedia Premium (Buy Premium account to see this strategy)         
546Quantpedia 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 strategy1973-20093714.49%11%39.84%0.78
3Sector Momentum – Rotational SystemequitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%0.54
8Currency Momentum FactorcurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2009217.61%10.22%-23.89%0.3
14Momentum Factor Effect in StocksequitiesstocksComplex strategy1927-2013878.3%16.6%0%0.5
15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%0%0% 
17Quantpedia Premium (Buy Premium account to see this strategy)         
21Momentum Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57%0%0.57
23Quantpedia Premium (Buy Premium account to see this strategy)         
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10%0%0.79
32Quantpedia Premium (Buy Premium account to see this strategy)         
44Paired Switchingbonds, equitiesETFs, funds, stocksSimple strategy1991-20112111.3%9.3%0%0.78
We've found 74 Free and 474 Premium strategiesUpgrade to unlock Premium

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The Encyclopedia of Quantitative Trading Strategies

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