15.3.1
Distress Risk Management
PYTHON PLUGIN
Distressed
Anomaly
Description
Strategy 15.3.1: Vol-targeted distress risk puzzle
Strategy Logic
Strategy 15.3.1: Enhanced Distress Risk Puzzle with volatility targeting.
HMD* = (sigma_target / sigma_hat) * HMD
sigma_hat = realised volatility over the prior year. Allocate 100%
only when sigma_hat == sigma_target. Scale down when vol is high;
optionally leverage when vol is low.
This wraps DistressRiskPuzzle logic and adjusts signal strengths.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| sigma_target | 0.15 | float |
| vol_lookback | 252 | int |
| long_quantile | 0.1 | float |
| short_quantile | 0.9 | float |
| max_leverage | 2.0 | float |
| debt_weight | 0.4 | float |
| vol_weight | 0.4 | float |
| profit_weight | 0.2 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 8.0% |
| Take Profit Pct | 15.0% |
| Max Drawdown Pct | 15.0% |