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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
8Currency Momentum FactorcurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2009217.61%10.22%-23.89%0.3
9Currency Value Factor – PPP StrategycurrenciesCFDs, forwards, futures, swapsSimple strategy1989-2009217.82%9.33%-26.4%0.36
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12Pairs Trading with StocksequitiesstocksComplex strategy1962-20024111.16%5.85% 1.22
13Short Term Reversal Effect in StocksequitiesstocksComplex strategy1990-20092016.25%14.94% 1.09
21Momentum Effect in CommoditiescommoditiesCFDs, futuresSimple strategy1979-20042614.6%25.57% 0.57
28Value and Momentum Factors across Asset Classesbonds, equities, REITsETFs, funds, futuresSimple strategy1986-20072211.9%10% 0.79
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108Soccer Clubs’ Stocks ArbitrageequitiesstocksModerately complex strategy2000-2006742%50% 0.76
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118Time Series Momentum Effectbonds, commodities, currencies, equitiesCFDs, futuresModerately complex strategy1965-20094520.7%15.74% 1.31
122Momentum Factor Combined with Asset Growth EffectequitiesstocksComplex strategy1968-20063916.77%13.84% 1.21
136Residual Momentum FactorequitiesstocksComplex strategy1926-2009849.18%15.27% 0.34
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    The Encyclopedia of Quantitative Trading Strategies

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