19.4
Global Fixed-Income Strategy
PYTHON PLUGIN
Global Macro
Relative Value
Description
Strategy 19.4: Multi-factor cross-sectional bond ranking
Strategy Logic
Strategy 19.4: Cross-sectional Government Bond Multi-factor.
Rank country-bond ETFs/proxies using multiple factors:
- Value: deviation from long-run yield (SMA ratio)
- Momentum: medium-term price momentum (ROC)
- Term spread: proxy via (long SMA - short SMA) / short SMA
- Volatility: lower vol preferred (inverse vol score)
Buy bonds in top quantile, sell bottom quantile. Multi-factor
portfolio construction with equal-weighted z-scores.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| momentum_period | 126 | int |
| value_period | 252 | int |
| vol_period | 63 | int |
| term_long_period | 200 | int |
| term_short_period | 50 | int |
| long_quantile | 0.75 | float |
| short_quantile | 0.25 | float |
| min_assets | 4 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 12.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 6.0% |
| Max Drawdown Pct | 8.0% |