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

3.4StocksBacktest

Low-volatility anomaly

Less volatile stocks have historically delivered better risk-adjusted returns than riskier ones. Buy the calmest stocks and short the most volatile.

In the paper

σ_{i}^{2} = \frac{1}{T - 1} t \sum (R_{i} (t) - \overset{ˉ}{R}_{i})^{2}

Formula

Edit anything; the result updates as you type. Lines like window = 20 become sliders.

window126

Market

AssetsLoading…

Period

PortfolioEqual weights in the top and bottom fraction of assets.Each leg20%RebalanceCosts0 bp

Loading market data and running the strategy…

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: 3.4 · Stocks
Asset class: Stocks
In the lab: Full backtest

Low-volatility anomaly (3.4)

Less volatile stocks have historically delivered better risk-adjusted returns than riskier ones. Buy the calmest stocks and short the most volatile.

Key equation

σ_{i}^{2} = \frac{1}{T - 1} t \sum (R_{i} (t) - \overset{ˉ}{R}_{i})^{2}

Lab formula

// Six months of daily volatility; low volatility ranks high
window = 126
-stddev(returns, window)

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 Stocks

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