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

10.1.2FuturesReference

Interest rate risk hedging

Hedge a bond’s interest-rate exposure with interest-rate futures, sizing the hedge with the conversion factor or the ratio of dollar durations.

In the paper

h_{D} = β \frac{D _{B}}{D _{F}}

Why there is no chart

Bond and Treasury futures prices with their durations.

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: 10.1.2 · Futures
Asset class: Futures
In the lab: Explained, not backtested

Interest rate risk hedging (10.1.2)

Hedge a bond’s interest-rate exposure with interest-rate futures, sizing the hedge with the conversion factor or the ratio of dollar durations.

Key equation

h_{D} = β \frac{D _{B}}{D _{F}}

Data it needs

Bond and Treasury futures prices with their durations.

More in Futures

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