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

7.3.1VolatilityReference

Hedging short VXX with VIX futures

The two-ETN carry trade with the hedge built directly from a basket of mid-term VIX futures, weighted to minimise tracking error.

In the paper

w_{i} = σ_{X} j \sum C_{ij}^{- 1} ρ_{j} σ_{j}

Why there is no chart

Individual VIX futures contracts by maturity.

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: 7.3.1 · Volatility
Asset class: Volatility
In the lab: Explained, not backtested

Hedging short VXX with VIX futures (7.3.1)

The two-ETN carry trade with the hedge built directly from a basket of mid-term VIX futures, weighted to minimise tracking error.

Key equation

w_{i} = σ_{X} j \sum C_{ij}^{- 1} ρ_{j} σ_{j}

Data it needs

Individual VIX futures contracts by maturity.

More in Volatility

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