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.
12.2ConvertiblesReference
Convertible option-adjusted spread
Between two convertibles from the same issuer, buy the one with the higher option-adjusted spread and short the one with the lower.
Why there is no chart
Convertible prices, terms and a credit curve.
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
- 12.2 · Convertibles
- Asset class
- Convertibles
- In the lab
- Explained, not backtested
Convertible option-adjusted spread (12.2)
Between two convertibles from the same issuer, buy the one with the higher option-adjusted spread and short the one with the lower.
Key equation
Data it needs
Convertible prices, terms and a credit curve.
More in Convertibles
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.