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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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
51Quantpedia Premium (Buy Premium account to see this strategy)         
54Quantpedia Premium (Buy Premium account to see this strategy)         
66Quantpedia Premium (Buy Premium account to see this strategy)         
67Industry Momentum – Riding Industry BubblesequitiesETFs, fundsModerately complex strategy1936-20067118%0%0% 
68Quantpedia Premium (Buy Premium account to see this strategy)         
69Quantpedia Premium (Buy Premium account to see this strategy)         
72Quantpedia Premium (Buy Premium account to see this strategy)         
81Quantpedia Premium (Buy Premium account to see this strategy)         
82Quantpedia Premium (Buy Premium account to see this strategy)         
85Momentum in Mutual Fund ReturnsequitiesfundsSimple strategy1973-20043219%19.5%0%0.77
91Momentum Factor and Style Rotation EffectequitiesETFsSimple strategy1972-2005349.25%16.01%0%0.33
92Quantpedia Premium (Buy Premium account to see this strategy)         
98Quantpedia Premium (Buy Premium account to see this strategy)         
112Quantpedia Premium (Buy Premium account to see this strategy)         
118Time Series Momentum Effectbonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094516.21%11.73%0%1.04
122Momentum Factor Combined with Asset Growth EffectequitiesstocksComplex strategy1964-20064323%20.3%0%0.94
124Quantpedia Premium (Buy Premium account to see this strategy)         
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The Encyclopedia of Quantitative Trading Strategies

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