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

5.12Fixed incomeBacktest

Rolling down the yield curve

On an upward-sloping curve a bond gains value as it ages into a lower-yield maturity. Hold the maturity in the steepest part of the curve and roll it regularly.

In the paper

C_{roll} \approx - ModD (t, T) [R (t, T - Δ t) - R (t, T)]

Note. Bonds are constant-maturity Treasuries priced from daily yields (carry + duration + convexity).

Formula

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

… of("3M", yield)) / 4.75… of("5Y", yield)) / 5…of("10Y", yield)) / 20

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: 5.12 · Fixed income
Asset class: Fixed income
In the lab: Full backtest

Rolling down the yield curve (5.12)

On an upward-sloping curve a bond gains value as it ages into a lower-yield maturity. Hold the maturity in the steepest part of the curve and roll it regularly.

Key equation

C_{roll} \approx - ModD (t, T) [R (t, T - Δ t) - R (t, T)]

Lab formula

// Roll-down ≈ duration × slope of the segment the bond rolls into
s5 = (of("5Y", yield) - of("3M", yield)) / 4.75
s10 = (of("10Y", yield) - of("5Y", yield)) / 5
s30 = (of("30Y", yield) - of("10Y", yield)) / 20
roll = (is("5Y") * s5 + is("10Y") * s10 + is("30Y") * s30) * duration
top(roll, 1)

Bonds are constant-maturity Treasuries priced from daily yields (carry + duration + convexity).

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 Fixed income

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