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.
10.2FuturesReference
Calendar spread
Buy a near-month future and sell a deferred one (a bull spread), or the reverse, to bet on supply and demand while reducing exposure to the overall price level.
Why there is no chart
Prices for several contract months of the same commodity.
The lab runs on daily prices for stocks, ETFs, indexes, futures, currencies, crypto and Treasury yields. This strategy from 151 Trading Strategies depends on data outside that set, so it is explained and formalised here rather than backtested.
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
- 10.2 · Futures
- Asset class
- Futures
- In the lab
- Explained, not backtested
Calendar spread (10.2)
Buy a near-month future and sell a deferred one (a bull spread), or the reverse, to bet on supply and demand while reducing exposure to the overall price level.
Data it needs
Prices for several contract months of the same commodity.
More in Futures
- 10.1 Hedging risk with futures
- 10.1.1 Cross-hedging
- 10.1.2 Interest rate risk hedging
- 10.3 Contrarian trading (mean reversion)
- 10.3.1 Contrarian trading – market activity
- 10.4 Trend following (momentum)
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.