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.
3.11StocksBacktest
Single moving average
Go long when the price is above its moving average and short when below. Each stock is traded on its own, with no comparison across stocks.
Edit anything; the result updates as you type. Lines like window = 20 become sliders.
AssetsLoading…
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
- 3.11 · Stocks
- Asset class
- Stocks
- In the lab
- Full backtest
Single moving average (3.11)
Go long when the price is above its moving average and short when below. Each stock is traded on its own, with no comparison across stocks.
Key equation
Lab formula
length = 50
sign(close - sma(close, length))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
- 3.1 Price momentum
- 3.2 Earnings momentum
- 3.3 Value
- 3.4 Low-volatility anomaly
- 3.5 Implied volatility
- 3.6 Multifactor portfolio
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.