10.4
Trend Following
PYTHON PLUGIN
Futures
Momentum
Description
Strategy 10.4: Volatility-adjusted trend-following on futures
Strategy Logic
Strategy 10.4: Trend-following / momentum on futures.
Weights wi = gamma * sign(Ri) / sigma_i, normalised so sum(|wi|) = 1.
Optional tanh smoothing: eta_i = tanh(Ri / kappa).
Made dollar-neutral by demeaning weights.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_lookback | 63 | int |
| vol_lookback | 63 | int |
| gamma | 1.0 | float |
| use_tanh | True | float |
| kappa | 0.05 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |