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

16.2Real estateBacktest

Mixed-asset diversification with real estate

Real estate has had low correlation with stocks and bonds, so adding it to a traditional portfolio can improve the risk-adjusted return. Listed REITs are the accessible version.

In the paper

R (t_{1}, t_{2}) = \frac{P ( t _{2} ) - P ( t _{1} ) + C ( t _{1} , t _{2} )}{P ( t _{1} )}

Note. REITs trade like stocks and are more correlated with equities than direct property.

Formula

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

stocks0.5bonds0.3real_estate0.2

Market

AssetsLoading…

Period

PortfolioUse the formula’s values as portfolio weights directly.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: 16.2 · Real estate
Asset class: Real estate
In the lab: Full backtest

Mixed-asset diversification with real estate (16.2)

Real estate has had low correlation with stocks and bonds, so adding it to a traditional portfolio can improve the risk-adjusted return. Listed REITs are the accessible version.

Key equation

R (t_{1}, t_{2}) = \frac{P ( t _{2} ) - P ( t _{1} ) + C ( t _{1} , t _{2} )}{P ( t _{1} )}

Lab formula

stocks = 0.5
bonds = 0.3
real_estate = 0.2
stocks * is("SPY") + bonds * is("IEF") + real_estate * is("VNQ")

REITs trade like stocks and are more correlated with equities than direct property.

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 Real estate

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