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

3.6StocksBacktestProxy

Multifactor portfolio

Blend several factors so that their weaknesses offset, for example momentum and value, which tend to be negatively correlated. The simplest blend averages each stock’s demeaned rank on every factor.

In the paper

s_{i} = \frac{1}{F} A = 1 \sum F (rank (f_{A i}) - \frac{1}{N} j \sum rank (f_{A j}))

Proxy. The value leg uses three-year reversal as a price-only stand-in for book-to-price.

Formula

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

…= rank(delay(close, 21… 21) / delay(close, 252…nk(-stddev(returns, 126…rank(-(delay(close, 21… 21) / delay(close, 756…w_vol + reversal) / 3

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

Multifactor portfolio (3.6)

Key equation

s_{i} = \frac{1}{F} A = 1 \sum F (rank (f_{A i}) - \frac{1}{N} j \sum rank (f_{A j}))

Lab formula

// Equal-weighted average of three factor ranks
momentum = rank(delay(close, 21) / delay(close, 252))
low_vol = rank(-stddev(returns, 126))
reversal = rank(-(delay(close, 21) / delay(close, 756)))
(momentum + low_vol + reversal) / 3

The value leg uses three-year reversal as a price-only stand-in for book-to-price.

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.