# Screener

Period: | NbrInstruments: | Markets: | |||
---|---|---|---|---|---|

Instruments: | Complexity: | Confidence: | |||

Backtest: | Performance: | Volatility: | |||

Keywords: | Drawdown: | Sharpe: |

Period: | NbrInstruments: | Markets: | |||
---|---|---|---|---|---|

Instruments: | Complexity: | Confidence: | |||

Backtest: | Performance: | Volatility: | |||

Keywords: | Drawdown: | Sharpe: |

ID | Title | Period Of Rebalancing | Number Of Instruments | Markets Traded | Instruments Available | Complexity | Backtest Period Source | Backtest Length | Indicative Performance | Volatility | Maximum Drawdown | Confidence In Anomaly | Keywords | Sharpe Ratio |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|

1 | Asset Class Trend Following | Monthly | 6 | equities, bonds, commodities, REITs | ETFs, funds, futures, CFDs | Simple strategy | 1973-2008 | 36 | 11.27% | 6.87% | -9.53% | Strong | momentum, asset class picking, trendfollowing | 1.06 |

2 | Asset Class Momentum - Rotational System | Monthly | 5 | equities, bonds, commodities, REITs | ETFs, funds, futures, CFDs | Simple strategy | 1973-2009 | 37 | 15.00% | 9.60% | -12.95% | Strong | momentum, asset class picking, rotational system | 1.15 |

3 | Sector Momentum - Rotational System | Monthly | 10 | equities | ETFs, stocks, funds | Simple strategy | 1928-2009 | 82 | 13.94% | 18.38% | -71.29% | Strong | momentum, sector picking, rotational system | 0.54 |

4 | Sign up to see this strategy | - | 0 | - | - | - | - | 0 | 0.00% | 0.00% | 0.00% | - | - | 0.00 |

5 | FX Carry Trade | Monthly | 10 | currencies | futures, forwards, swaps, CFDs | Simple strategy | 1989-2010 | 22 | 7.49% | 9.70% | -34.55% | Strong | carry trade, FX anomaly, forex system | 0.77 |

6 | Sign up to see this strategy | - | 0 | - | - | - | - | 0 | 0.00% | 0.00% | 0.00% | - | - | 0.00 |

7 | Volatility Effect in Stocks - Long-Only Version | Monthly | 50 | equities | stocks | Complex strategy | 1986-2006 | 21 | 11.30% | 10.10% | Strong | stock picking, volatility effect | 0.72 | |

8 | FX Momentum | Monthly | 10 | currencies | futures, forwards, swaps, CFDs | Simple strategy | 1989-2010 | 22 | 6.48% | 10.00% | -21.63% | Strong | momentum, FX anomaly, forex system | 0.65 |

9 | FX Value - PPP Strategy | Quarterly | 10 | currencies | futures, forwards, swaps, CFDs | Simple strategy | 1989-2010 | 22 | 7.80% | 9.06% | -17.88% | Strong | value, FX anomaly, forex system | 0.86 |

10 | Sign up to see this strategy | - | 0 | - | - | - | - | 0 | 0.00% | 0.00% | 0.00% | - | - | 0.00 |

11 | Sign up to see this strategy | - | 0 | - | - | - | - | 0 | 0.00% | 0.00% | 0.00% | - | - | 0.00 |

12 | Pairs Trading with Stocks | Daily | 40 | equities | stocks | Complex strategy | 1962-2002 | 41 | 11.16% | 5.85% | Strong | pairs trading, equity long short, arbitrage | 1.22 | |

13 | Short Term Reversal in Stocks | Weekly | 20 | equities | stocks | Complex strategy | 1990-2009 | 20 | 16.25% | 6.80% | Strong | reversal, equity long short, stock picking | 1.80 | |

14 | Momentum Effect in Stocks | Monthly | 1000 | equities | stocks | Complex strategy | 1927-2010 | 84 | 14.30% | 20.89% | -77.46% | Strong | momentum, momentum in stocks, stock picking | 0.49 |

15 | Momentum Effect in Country Equity Indexes | Monthly | 5 | equities | ETFs, funds | Simple strategy | 1968-2009 | 42 | 17.70% | Strong | momentum, rotational system, country picking | |||

16 | Mean Reversion Effect in Country Equity Indexes | 3 Years | 8 | equities | ETFs, funds | Simple strategy | 1969-1995 | 27 | 6.40% | Strong | reversal, rotational system, country picking | |||

17 | Sign up to see this strategy | - | 0 | - | - | - | - | 0 | 0.00% | 0.00% | 0.00% | - | - | 0.00 |

18 | 52-Weeks High Effect in Stocks | Monthly | 1000 | equities | stocks | Complex strategy | 1963-2009 | 47 | 11.75% | 11.00% | Strong | stock picking, equity long short | 0.70 | |

19 | Sign up to see this strategy | - | 0 | - | - | - | - | 0 | 0.00% | 0.00% | 0.00% | - | - | 0.00 |

20 | Volatility Risk Premium Effect | Monthly | 4 | options | options, swaps, futures | Moderately complex strategy | 1986-1995 | 10 | 26.00% | 19.00% | Strong | volatility effect, volatility premium | 1.16 |