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

7.2VolatilityBacktestProxy

VIX futures basis trading

VIX futures drift towards spot VIX. When the curve is in contango, futures tend to fall, so short them; in backwardation, buy them.

In the paper

D = \frac{P _{U X 1} - P _{V I X}}{T}

Proxy. The basis uses VIX3M versus VIX instead of the front futures contract, and VIXY stands in for the futures. The paper also hedges with S&P 500 futures.

Formula

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

…- 1 view = (basis > 0.05

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: 7.2 · Volatility
Asset class: Volatility
In the lab: Full backtest

VIX futures basis trading (7.2)

VIX futures drift towards spot VIX. When the curve is in contango, futures tend to fall, so short them; in backwardation, buy them.

Key equation

D = \frac{P _{U X 1} - P _{V I X}}{T}

Lab formula

// Term structure from VIX3M versus VIX; trade the short-term VIX futures ETF
basis = of("^VIX3M", close) / of("^VIX", close) - 1
view = (basis > 0.05) ? -1 : ((basis < 0) ? 1 : 0)
view * is("VIXY")

The basis uses VIX3M versus VIX instead of the front futures contract, and VIXY stands in for the futures. The paper also hedges with S&P 500 futures.

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 Volatility

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