10.2
Calendar Spread
PYTHON PLUGIN
Futures
Relative Value
Description
Strategy 10.2: Calendar spread mean-reversion on near vs deferred futures
Strategy Logic
Strategy 10.2: Calendar (time) spread.
Spread = near-month price - deferred-month price. When the spread
widens beyond a threshold (near premium grows) -> sell signal (bear
spread: sell near, buy deferred). When the spread narrows or inverts
-> buy signal (bull spread: buy near, sell deferred).
Expects 'close' (near-month) and 'close_2' (deferred-month).
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| spread_lookback | 63 | int |
| z_entry | 1.5 | float |
| z_exit | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 6.0% |
| Max Drawdown Pct | 10.0% |