10.1.1
Cross-Hedging
PYTHON PLUGIN
Futures
Hedging
Description
Strategy 10.1.1: Cross-hedge basis divergence with correlated futures
Strategy Logic
Strategy 10.1.1: Cross-hedging with correlated futures.
Compute optimal hedge ratio via OLS regression of spot returns on futures
returns. Signal when the basis between the two diverges from its
historical mean by more than a z-score threshold.
Expects DataFrames with 'close' (spot) and a 'hedge_futures' column for
the correlated futures contract, or two separate symbols in data dict.
The param 'hedge_pair' maps symbol -> hedge symbol.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| regression_lookback | 126 | int |
| z_entry | 2.0 | float |
| z_exit | 0.5 | float |
| hedge_pairs | {} | dict |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 12.0% |