10.1
Hedging with Futures
PYTHON PLUGIN
Futures
Hedging
Description
Strategy 10.1: Basis convergence trade between spot and futures
Strategy Logic
Strategy 10.1: Basis convergence hedging.
Trade based on the basis = spot - futures. When the basis is abnormally
wide (relative to historical mean/std), trade to capture convergence:
- Basis too high (spot expensive vs futures): sell spot / buy futures
- Basis too low (spot cheap vs futures): buy spot / sell futures
Expects DataFrames with 'close' (spot) and 'futures' columns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| basis_lookback | 63 | int |
| z_entry | 1.5 | float |
| z_exit | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 6.0% |
| Max Drawdown Pct | 10.0% |