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

9.5CommoditiesBacktest

Skewness premium

Commodities whose returns have been most positively skewed (lottery-like) tend to underperform. Buy the most negatively skewed and short the most positively skewed.

In the paper

S_{i} = \frac{\frac{1}{T} \sum _{s} ( R _{i s} - R ˉ _{i} ) ^{3}}{σ _{i}^{3}}

Note. Uses front-month continuous futures, which jump at contract rolls.

Formula

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

window252

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: 9.5 · Commodities
Asset class: Commodities
In the lab: Full backtest

Skewness premium (9.5)

Commodities whose returns have been most positively skewed (lottery-like) tend to underperform. Buy the most negatively skewed and short the most positively skewed.

Key equation

S_{i} = \frac{\frac{1}{T} \sum _{s} ( R _{i s} - R ˉ _{i} ) ^{3}}{σ _{i}^{3}}

Lab formula

window = 252
-ts_skew(returns, window)

Uses front-month continuous futures, which jump at contract rolls.

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 Commodities

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