LeadLag
Login

LeadLag

Calendar rebalance between SPY and TLT: on a set trading day each month, compare month-to-date performance; if the spread exceeds your threshold, buy the underperformer (stock or options). Exit at month-end.

Strategy

Each month, on a chosen trading day (e.g. the 14th), SPY and TLT returns since the first trading day of the month are compared. If the absolute difference exceeds your threshold, you open a position in the underperformer. You can trade the underperformer as stock or as options (single leg or spread). Positions are closed on the last trading day of the month.

Use Run Backtest to test parameters. View results in Saved Backtests and the Backtest Analyzer. Subscribe to run live; active strategies appear under My LeadLag.

Run backtest

Run a backtest

Set date range, capital, trigger rules, and instrument. Results appear in Saved Backtests; open one in the Analyzer to subscribe.

Recommended parameters

14
0%
40%
STOCK or options
Main parameters
%

Saved Backtests

View all your LeadLag backtests. Click View Details to open in the Analyzer.

  • Loading backtests...

Backtest Analyzer

Go to Saved Backtests to select a test

My LeadLag

Strategies you’ve subscribed to from the Backtest Analyzer appear here.

  • No strategies yet.

Trade History

Trades from your LeadLag strategies. View all in Trade Journal

No trade history yet.