17.4
Repurchase Agreement
PYTHON PLUGIN
Cash
Lending
Description
Strategy 17.4: REPO rate vs risk-free rate spread trading
Strategy Logic
Strategy 17.4: Repurchase Agreement.
Lend cash via repo when the repo rate exceeds the risk-free rate by a
threshold (profitable secured lending). Borrow via reverse repo when
the repo rate is below the market funding cost.
Expects data DataFrames to contain 'repo_rate' and 'risk_free_rate'
columns. If absent, proxy rates are estimated from short-duration
bond ETF yields (close price changes).
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| spread_threshold | 0.0025 | float |
| lookback | 10 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 50.0% |
| Stop Loss Pct | 0.5% |
| Take Profit Pct | 1.0% |
| Max Drawdown Pct | 2.0% |