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

5.10Fixed incomeReference

Value factor

Compare each bond’s credit spread with the spread predicted from its rating and maturity, and buy the bonds that pay the most for their risk.

In the paper

S_{i} = r \sum β_{r} I_{i r} + γ T_{i} + ϵ_{i}, V_{i} = ln (S_{i} / S_{i}^{*})

Why there is no chart

Corporate bond spreads, ratings and maturities.

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: 5.10 · Fixed income
Asset class: Fixed income
In the lab: Explained, not backtested

Value factor (5.10)

Compare each bond’s credit spread with the spread predicted from its rating and maturity, and buy the bonds that pay the most for their risk.

Key equation

S_{i} = r \sum β_{r} I_{i r} + γ T_{i} + ϵ_{i}, V_{i} = ln (S_{i} / S_{i}^{*})

Data it needs

Corporate bond spreads, ratings and maturities.

More in Fixed income

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