Screener

Period: NbrInstruments: Markets:
Instruments: Complexity: Confidence:
Backtest: Performance: Volatility:
Keywords: Drawdown: Sharpe:
Total: 350       Premium: 285       Free: 65
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IDTitlePeriod Of RebalancingNumber Of InstrumentsMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownConfidence In AnomalyKeywordsSharpe Ratio
1Asset Class Trend FollowingMonthly6equities, bonds, commodities, REITsETFs, funds, futures, CFDsSimple strategy1973-20083611.27%6.87%-9.53%Strongmomentum, asset class picking, trendfollowing1.06
2Asset Class Momentum - Rotational SystemMonthly5equities, bonds, commodities, REITsETFs, funds, futures, CFDsSimple strategy1973-20093715.00%9.60%-12.95%Strongmomentum, asset class picking, rotational system1.15
3Sector Momentum - Rotational SystemMonthly10equitiesETFs, stocks, fundsSimple strategy1928-20098213.94%18.38%-71.29%Strongmomentum, sector picking, rotational system0.54
4Sign up to see this strategy-0----00.00%0.00%0.00%--0.00
5FX Carry TradeMonthly10currenciesfutures, forwards, swaps, CFDsSimple strategy1989-2010227.49%9.70%-34.55%Strongcarry trade, FX anomaly, forex system0.77
6Sign up to see this strategy-0----00.00%0.00%0.00%--0.00
7Volatility Effect in Stocks - Long-Only VersionMonthly50equitiesstocksComplex strategy1986-20062111.30%10.10%Strongstock picking, volatility effect0.72
8FX MomentumMonthly10currenciesfutures, forwards, swaps, CFDsSimple strategy1989-2010226.48%10.00%-21.63%Strongmomentum, FX anomaly, forex system0.65
9FX Value - PPP StrategyQuarterly10currenciesfutures, forwards, swaps, CFDsSimple strategy1989-2010227.80%9.06%-17.88%Strongvalue, FX anomaly, forex system0.86
10Sign up to see this strategy-0----00.00%0.00%0.00%--0.00
11Sign up to see this strategy-0----00.00%0.00%0.00%--0.00
12Pairs Trading with StocksDaily40equitiesstocksComplex strategy1962-20024111.16%5.85%Strongpairs trading, equity long short, arbitrage1.22
13Short Term Reversal in StocksWeekly20equitiesstocksComplex strategy1990-20092016.25%6.80%Strongreversal, equity long short, stock picking1.80
14Momentum Effect in StocksMonthly1000equitiesstocksComplex strategy1927-20108414.30%20.89%-77.46%Strongmomentum, momentum in stocks, stock picking0.49
15Momentum Effect in Country Equity IndexesMonthly5equitiesETFs, fundsSimple strategy1968-20094217.70%Strongmomentum, rotational system, country picking
16Mean Reversion Effect in Country Equity Indexes3 Years8equitiesETFs, fundsSimple strategy1969-1995276.40%Strongreversal, rotational system, country picking
17Sign up to see this strategy-0----00.00%0.00%0.00%--0.00
1852-Weeks High Effect in StocksMonthly1000equitiesstocksComplex strategy1963-20094711.75%11.00%Strongstock picking, equity long short0.70
19Sign up to see this strategy-0----00.00%0.00%0.00%--0.00
20Volatility Risk Premium EffectMonthly4optionsoptions, swaps, futuresModerately complex strategy1986-19951026.00%19.00%Strongvolatility effect, volatility premium1.16