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

8.3Foreign exchangeReference

Dollar carry trade

Go long all foreign currencies against the dollar when the average forward discount is positive, and short them all when it is negative.

In the paper

\overset{ˉ}{D} (t, T) = \frac{1}{N} i \sum D_{i} (t, T)

Why there is no chart

Forward FX rates or interest rates for each currency.

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: 8.3 · Foreign exchange
Asset class: Forex
In the lab: Explained, not backtested

Dollar carry trade (8.3)

Go long all foreign currencies against the dollar when the average forward discount is positive, and short them all when it is negative.

Key equation

\overset{ˉ}{D} (t, T) = \frac{1}{N} i \sum D_{i} (t, T)

Data it needs

Forward FX rates or interest rates for each currency.

More in Foreign exchange

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