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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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)         
136Residual Momentum FactorequitiesstocksComplex strategy1926-2009849.18%15.27%0%0.34
137Quantpedia Premium (Buy Premium account to see this strategy)         
143Quantpedia Premium (Buy Premium account to see this strategy)         
144Trend-Following Effect in StocksequitiesstocksComplex strategy1983-20042215.5%15.6%-29.3%0.74
146Quantpedia Premium (Buy Premium account to see this strategy)         
152Momentum Factor Effect in REITsREITsstocksSimple strategy1980-2008299.51%0%0% 
155Momentum and Reversal Combined with Volatility Effect in StocksequitiesstocksComplex strategy1964-20094616.46%19.22%0%0.65
162Momentum Effect in Stocks in Small PortfoliosequitiesstocksSimple strategy1988-20061932%0%0% 
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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