17.3
Liquidity Management
PYTHON PLUGIN
Cash
Management
Description
Strategy 17.3: Vol-targeting cash allocation for liquidity
Strategy Logic
Strategy 17.3: Liquidity Management.
Optimally allocate cash to meet liquidity demands using vol-targeting.
Increase cash allocation (buy short-term instruments such as T-bills)
when realised volatility rises relative to a target level, and reduce
cash when markets are calm.
cash_pct = min(vol_current / vol_target, 1.0)
Expects data keys to represent short-term instrument proxies (e.g.
T-bill ETFs). A key named 'VIX' may be provided for implied vol;
otherwise realised vol is computed from close prices.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| vol_lookback | 21 | int |
| vol_target | 0.15 | float |
| buy_threshold | 0.6 | float |
| sell_threshold | 0.3 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 30.0% |
| Stop Loss Pct | 1.0% |
| Take Profit Pct | 2.0% |
| Max Drawdown Pct | 3.0% |