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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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)         
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)         
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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