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.
5.4Fixed incomeBacktest
Ladders
Spread money equally across many maturities and roll the shortest into the longest as they mature, diversifying interest-rate and reinvestment risk.
Note. Bonds are constant-maturity Treasuries priced from daily yields (carry + duration + convexity). Only four rungs are available.
Edit anything; the result updates as you type. Lines like window = 20 become sliders.
AssetsLoading…
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
- 5.4 · Fixed income
- Asset class
- Fixed income
- In the lab
- Full backtest
Ladders (5.4)
Spread money equally across many maturities and roll the shortest into the longest as they mature, diversifying interest-rate and reinvestment risk.
Key equation
Lab formula
0.25 + 0 * closeBonds are constant-maturity Treasuries priced from daily yields (carry + duration + convexity). Only four rungs are available.
How the backtest works
The formula is evaluated for every asset on every day. Its values become positions at that day’s close, using the portfolio rule you pick, and earn the next day’s close-to-close return. Costs are charged in basis points on the amount traded. Everything runs in your browser on daily data from Yahoo Finance, adjusted for splits and dividends.
More in Fixed income
- 5.2 Bullets
- 5.3 Barbells
- 5.5 Bond immunisation
- 5.6 Dollar-duration-neutral butterfly
- 5.7 Fifty-fifty butterfly
- 5.8 Regression-weighted butterfly
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.