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.
3.19StocksReference
Market making
Quote a bid and an ask and earn the spread from uninformed order flow, while trying not to be run over by informed traders. Speed and short-horizon signals decide who wins.
Why there is no chart
Tick-level order book data.
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
- 3.19 · Stocks
- Asset class
- Stocks
- In the lab
- Explained, not backtested
Market making (3.19)
Quote a bid and an ask and earn the spread from uninformed order flow, while trying not to be run over by informed traders. Speed and short-horizon signals decide who wins.
Data it needs
Tick-level order book data.
More in Stocks
- 3.1 Price momentum
- 3.2 Earnings momentum
- 3.3 Value
- 3.4 Low-volatility anomaly
- 3.5 Implied volatility
- 3.6 Multifactor portfolio
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.