10.1.2
Interest Rate Hedging
PYTHON PLUGIN
Futures
Hedging
Description
Strategy 10.1.2: Duration-adjusted basis trade on interest-rate futures
Strategy Logic
Strategy 10.1.2: Duration-based interest rate hedging.
Hedge ratio h = beta * (DB / DF) where DB and DF are the dollar
durations of the portfolio and futures contract respectively.
Signal when the duration-adjusted basis deviates from its historical
mean. Expects 'close', 'duration' (modified duration), and 'futures'
columns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 63 | int |
| z_entry | 1.5 | float |
| z_exit | 0.5 | float |
| default_duration_bond | 7.0 | float |
| default_duration_futures | 6.0 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 4.0% |
| Max Drawdown Pct | 8.0% |