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IDTitle of StrategyPeriod of RebalancingMarkets TradedIndicative PerformanceVolatilityKeywords
61Quantpedia Premium (Buy Premium account to see this strategy)     
66Quantpedia Premium (Buy Premium account to see this strategy)     
71Short Term Reversal with FuturesWeeklybonds, commodities, currencies, equities29.64%31.4%asset class picking, factor investing, reversal, smart beta
73Quantpedia Premium (Buy Premium account to see this strategy)     
75Federal Open Market Committee Meeting Effect in StocksDailyequities6.19%0%market timing, seasonality
77Betting Against Beta Factor in StocksMonthlyequities8.86%11.5%beta factor, equity long short, factor investing, smart beta, stock picking
78Betting Against Beta Factor in Country Equity IndexesMonthlyequities9.77%18.46%beta factor, country picking, equity long short, factor investing, smart beta
79Quantpedia Premium (Buy Premium account to see this strategy)     
83Pre-Holiday EffectDailyequities6.39%0%market timing, seasonality
86Quantpedia Premium (Buy Premium account to see this strategy)     
91Momentum Factor and Style Rotation EffectMonthlyequities9.25%16.01%momentum, rotational system, style picking
92Quantpedia Premium (Buy Premium account to see this strategy)     
93Quantpedia Premium (Buy Premium account to see this strategy)     
96Crude Oil Predicts Equity ReturnsMonthlyequities11.9%9.8%market timing
100Trading WTI/BRENT SpreadDailycommodities39.4%21.65%arbitrage, pairs trading, spread trading
102Option-Expiration Week EffectWeeklyequities9.3%8.7%market timing, seasonality, stock picking
103Quantpedia Premium (Buy Premium account to see this strategy)     
105Quantpedia Premium (Buy Premium account to see this strategy)     
112Quantpedia Premium (Buy Premium account to see this strategy)     
113January BarometerMonthlyequities10.38%16.8%market timing, seasonality
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The Encyclopedia of Quantitative Trading Strategies

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