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

5.15Fixed incomeReference

Swap-spread arbitrage

Receive fixed on a swap and short a Treasury of the same maturity (or the reverse) to bet on the gap between the swap rate and the Treasury yield versus floating funding rates.

In the paper

C (t) = \pm [r_{swap} - Y_{Treasury} + r (t) - L (t)]

Why there is no chart

Swap rates, Treasury yields, repo and LIBOR/SOFR 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: 5.15 · Fixed income
Asset class: Fixed income
In the lab: Explained, not backtested

Swap-spread arbitrage (5.15)

Receive fixed on a swap and short a Treasury of the same maturity (or the reverse) to bet on the gap between the swap rate and the Treasury yield versus floating funding rates.

Key equation

C (t) = \pm [r_{swap} - Y_{Treasury} + r (t) - L (t)]

Data it needs

Swap rates, Treasury yields, repo and LIBOR/SOFR rates.

More in Fixed income

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