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.
3.3StocksBacktestProxy
Value
Buy cheap stocks and short expensive ones, where cheapness is book value relative to price. Our version uses long-term price reversal, a price-only stand-in: stocks that fell most over three years tend to be the cheap ones.
Proxy. Book-to-price needs balance-sheet data. Long-term reversal is related to value but is not the same signal.
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
- 3.3 · Stocks
- Asset class
- Stocks
- In the lab
- Full backtest
Value (3.3)
Buy cheap stocks and short expensive ones, where cheapness is book value relative to price. Our version uses long-term price reversal, a price-only stand-in: stocks that fell most over three years tend to be the cheap ones.
Key equation
Lab formula
// Proxy: three-year reversal, skipping the latest month
lookback = 756
-(delay(close, 21) / delay(close, lookback) - 1)Book-to-price needs balance-sheet data. Long-term reversal is related to value but is not the same signal.
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
- 3.4 Low-volatility anomaly
- 3.5 Implied volatility
- 3.6 Multifactor portfolio
- 3.7 Residual momentum
Source: Kakushadze, Z. and Serur, J. A. (2018). 151 Trading Strategies. Palgrave Macmillan. SSRN 3247865. Summaries are our own.