Strategy lab
Every strategy from 151 Trading Strategies and all 101 Formulaic Alphas as formulas you can edit and backtest on ten years of daily stocks, ETFs, futures, forex and crypto data. Free, in your browser.
5.2Fixed incomeBacktest
Bullets
Concentrate the whole bond portfolio at one maturity, chosen from a view on rates: long maturities if rates are expected to fall, short ones if they may rise.
Note. Bonds are constant-maturity Treasuries priced from daily yields (carry + duration + convexity).
Edit anything; the result updates as you type. Lines like window = 20 become sliders.
AssetsLoading…
Hypothetical backtests on daily closes with no slippage unless you add costs. Survivorship bias applies: the stock list is today’s large caps. For learning, not investment advice. Data: Yahoo Finance via yfinance.
- Source
- 151 Trading Strategies
- Section
- 5.2 · Fixed income
- Asset class
- Fixed income
- In the lab
- Full backtest
Bullets (5.2)
Concentrate the whole bond portfolio at one maturity, chosen from a view on rates: long maturities if rates are expected to fall, short ones if they may rise.
Key equation
Lab formula
is("10Y")Bonds are constant-maturity Treasuries priced from daily yields (carry + duration + convexity).
How the backtest works
The formula is evaluated for every asset on every day. Its values become positions at that day’s close, using the portfolio rule you pick, and earn the next day’s close-to-close return. Costs are charged in basis points on the amount traded. Everything runs in your browser on daily data from Yahoo Finance, adjusted for splits and dividends.
More in Fixed income
- 5.3 Barbells
- 5.4 Ladders
- 5.5 Bond immunisation
- 5.6 Dollar-duration-neutral butterfly
- 5.7 Fifty-fifty butterfly
- 5.8 Regression-weighted butterfly
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.