Strategy lab / 151 Trading Strategies

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.

Options58

Stocks21

Exchange-traded funds8

Fixed income15

Indexes5

Volatility7

Foreign exchange6

Commodities6

Futures7

Structured assets6

Convertibles2

Tax arbitrage3

Miscellaneous assets4

Distressed assets7

Real estate8

Cash5

Cryptocurrencies2

Global macro4

Infrastructure1

5.11Fixed incomeBacktestProxy

Carry factor

A bond’s carry is what it earns if the yield curve stays put: its yield plus the gain from rolling down the curve. Buy high-carry bonds and sell low-carry ones.

In the paper

C (t, t + Δ t, T) = R (t, T) Δ t + C_{roll} (t, t + Δ t, T)

Proxy. Bonds are constant-maturity Treasuries priced from daily yields (carry + duration + convexity). Carry is approximated by excess yield per unit duration across four Treasury tenors; the paper ranks a cross-section of bonds.

Formula

Edit anything; the result updates as you type. Lines like window = 20 become sliders.

Market

AssetsLoading…

Period

PortfolioEqual weights in the top and bottom fraction of assets.Each leg25%RebalanceCosts0 bp

Loading market data and running the strategy…

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: 5.11 · Fixed income
Asset class: Fixed income
In the lab: Full backtest

Carry factor (5.11)

A bond’s carry is what it earns if the yield curve stays put: its yield plus the gain from rolling down the curve. Buy high-carry bonds and sell low-carry ones.

Key equation

C (t, t + Δ t, T) = R (t, T) Δ t + C_{roll} (t, t + Δ t, T)

Lab formula

// Excess yield over the 3-month bill per year of duration
(yield - of("3M", yield)) / duration

Bonds are constant-maturity Treasuries priced from daily yields (carry + duration + convexity). Carry is approximated by excess yield per unit duration across four Treasury tenors; the paper ranks a cross-section of bonds.

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

Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.