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.
11.6Structured assetsReference
CDOs – curve trades
Flatteners and steepeners on the credit spread curve: buy protection at one maturity and sell it at another.
Why there is no chart
Tranche spreads at several maturities.
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
- 11.6 · Structured assets
- Asset class
- Structured credit
- In the lab
- Explained, not backtested
CDOs – curve trades (11.6)
Flatteners and steepeners on the credit spread curve: buy protection at one maturity and sell it at another.
Data it needs
Tranche spreads at several maturities.
More in Structured assets
- 11.2 Carry, equity tranche – index hedging
- 11.3 Carry, senior/mezzanine – index hedging
- 11.4 Carry – tranche hedging
- 11.5 Carry – CDS hedging
- 11.7 Mortgage-backed security trading
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.