10.3
Contrarian Trading
PYTHON PLUGIN
Futures
Mean Reversion
Description
Strategy 10.3: Cross-sectional contrarian weights on futures
Strategy Logic
Strategy 10.3: Cross-sectional contrarian (mean-reversion).
Market index return Rm = (1/N) * sum(Ri).
Weights wi = -gamma * (Ri - Rm), normalised so sum(|wi|) = 1.
Automatically dollar-neutral. Buy losers, sell winners.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 5 | int |
| gamma | 1.0 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 6.0% |
| Stop Loss Pct | 4.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 12.0% |