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

8.1Foreign exchangeBacktest

Moving averages with HP filter

FX rates are noisy, so smooth out the high-frequency wiggles first (the Hodrick–Prescott filter in the paper), then trade the crossover of two moving averages of the smoothed series.

In the paper

S^{*} min t \sum (S (t) - S^{*} (t))^{2} + λ t \sum (S^{*} (t + 1) - 2 S^{*} (t) + S^{*} (t - 1))^{2}

Note. The HP filter looks ahead, so the lab uses a causal double-exponential smoother instead. Positive means long the quoted pair as written (e.g. long USD/JPY).

Formula

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

…ooth = trend(close, 20…0) sign(sma(smooth, 5…h, 5) - sma(smooth, 20

Market

AssetsLoading…

Period

PortfolioSignal clipped to −1…1 per asset, equal capital per asset.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: 8.1 · Foreign exchange
Asset class: Forex
In the lab: Full backtest

Moving averages with HP filter (8.1)

FX rates are noisy, so smooth out the high-frequency wiggles first (the Hodrick–Prescott filter in the paper), then trade the crossover of two moving averages of the smoothed series.

Key equation

S^{*} min t \sum (S (t) - S^{*} (t))^{2} + λ t \sum (S^{*} (t + 1) - 2 S^{*} (t) + S^{*} (t - 1))^{2}

Lab formula

smooth = trend(close, 20)
sign(sma(smooth, 5) - sma(smooth, 20))

The HP filter looks ahead, so the lab uses a causal double-exponential smoother instead. Positive means long the quoted pair as written (e.g. long USD/JPY).

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 Foreign exchange

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