19.3
Global Macro Inflation Hedge
PYTHON PLUGIN
Global Macro
Hedging
Description
Strategy 19.3: Commodity allocation based on HI-CI inflation spread
Strategy Logic
Strategy 19.3: Inflation Hedge via Commodity Allocation.
Commodity allocation is proportional to the spread between headline
inflation (HI) and core inflation (CI):
CA = max(0, min((HI_YoY - CI_YoY) / HI_YoY, 1))
Buy commodity basket (ETFs/futures) when CA > 0, with signal strength
proportional to CA.
Expects DataFrames to optionally contain 'headline_inflation' and
'core_inflation' columns. If absent, uses commodity price momentum
as a proxy: rising commodity prices relative to equity prices suggest
inflationary pressure.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| inflation_lookback | 252 | int |
| momentum_lookback | 63 | int |
| ca_threshold | 0.05 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 15.0% |
| Stop Loss Pct | 6.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 12.0% |