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.
19.4Global macroReference
Global fixed-income strategy
Rank government bonds across countries on factors such as growth, inflation, real rates, value and momentum, buying the top and selling the bottom.
Why there is no chart
International government bond yields and macro factors.
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
- 19.4 · Global macro
- Asset class
- Macro
- In the lab
- Explained, not backtested
Global fixed-income strategy (19.4)
Rank government bonds across countries on factors such as growth, inflation, real rates, value and momentum, buying the top and selling the bottom.
Data it needs
International government bond yields and macro factors.
More in Global macro
- 19.2 Fundamental macro momentum
- 19.3 Global macro inflation hedge
- 19.5 Trading on economic announcements
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.