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.
17.4CashReference
Repurchase agreement (repo)
Borrow cash against securities collateral for a fixed term and rate, or lend cash in a reverse repo.
Why there is no chart
Repo rates.
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
- 17.4 · Cash
- Asset class
- Cash
- In the lab
- Explained, not backtested
Repurchase agreement (repo) (17.4)
Borrow cash against securities collateral for a fixed term and rate, or lend cash in a reverse repo.
Data it needs
Repo rates.
More in Cash
- 17.2 Money laundering – the dark side of cash
- 17.3 Liquidity management
- 17.5 Pawnbroking
- 17.6 Loan sharking
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.