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

10.4FuturesBacktest

Trend following (momentum)

Go long futures that rose over the past year and short those that fell, sizing each by 1/volatility so every contract contributes similar risk.

In the paper

w_{i} = γ \frac{η _{i}}{σ _{i}}, η_{i} = sign (R_{i})

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.

lookback252

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: 10.4 · Futures
Asset class: Futures
In the lab: Full backtest

Trend following (momentum) (10.4)

Go long futures that rose over the past year and short those that fell, sizing each by 1/volatility so every contract contributes similar risk.

Key equation

w_{i} = γ \frac{η _{i}}{σ _{i}}, η_{i} = sign (R_{i})

Lab formula

lookback = 252
r = close / delay(close, lookback) - 1
scale(sign(r) / stddev(returns, 63))

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 Futures

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