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.
10.1FuturesReference
Hedging risk with futures
Lock in a future purchase or sale price by taking the opposite position in futures today, as a grain buyer might buy soybean futures.
Why there is no chart
A specific exposure to hedge; this is risk management rather than a return strategy.
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
- 10.1 · Futures
- Asset class
- Futures
- In the lab
- Explained, not backtested
Hedging risk with futures (10.1)
Lock in a future purchase or sale price by taking the opposite position in futures today, as a grain buyer might buy soybean futures.
Data it needs
A specific exposure to hedge; this is risk management rather than a return strategy.
More in Futures
- 10.1.1 Cross-hedging
- 10.1.2 Interest rate risk hedging
- 10.2 Calendar spread
- 10.3 Contrarian trading (mean reversion)
- 10.3.1 Contrarian trading – market activity
- 10.4 Trend following (momentum)
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.