10.3.1
Contrarian Market Activity
PYTHON PLUGIN
Futures
Mean Reversion
Description
Strategy 10.3.1: Volume/OI-filtered contrarian on futures
Strategy Logic
Strategy 10.3.1: Enhanced contrarian with volume/open-interest filters.
Volume factor: vi = ln(Vi / Vi_0) (current vs baseline volume).
Open-interest factor: ui = ln(Ui / Ui_0).
1. Take upper half by volume factor (high-activity contracts).
2. Within that subset, take lower half by OI factor (declining OI).
3. Apply contrarian weights to the resulting subset.
Expects 'close', 'volume', and optionally 'open_interest' columns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 5 | int |
| gamma | 1.0 | float |
| vol_baseline | 20 | int |
| oi_baseline | 20 | int |
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% |