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

4.3Exchange-traded fundsBacktest

R-squared

Funds whose returns are poorly explained by the market (low R²) show more “selectivity”. Favour ETFs with high alpha and low R².

In the paper

R^{2} = 1 - \frac{SS _{res}}{SS _{tot}}

Note. Single-factor R² against SPY; the paper uses four factors.

Formula

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

…ation(returns, mkt, 252…eturns, mkt, 252) ^ 2…_beta(returns, mkt, 252…turns - beta * mkt, 252

Market

AssetsLoading…

Period

PortfolioEqual weights in the top fraction of assets.Hold top25%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: 4.3 · Exchange-traded funds
Asset class: ETFs
In the lab: Full backtest

R-squared (4.3)

Funds whose returns are poorly explained by the market (low R²) show more “selectivity”. Favour ETFs with high alpha and low R².

Key equation

R^{2} = 1 - \frac{SS _{res}}{SS _{tot}}

Lab formula

mkt = of("SPY", returns)
r2 = correlation(returns, mkt, 252) ^ 2
beta = ts_beta(returns, mkt, 252)
excess = ts_mean(returns - beta * mkt, 252)
score = rank(excess) - rank(r2)
(1 - is("SPY")) * score - is("SPY") * 1000

Single-factor R² against SPY; the paper uses four factors.

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 Exchange-traded funds

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