3.4
Low-Volatility Anomaly
PYTHON PLUGIN
Stocks
Anomaly
Description
Strategy 3.4: Long low-vol stocks, short high-vol stocks
Strategy Logic
Strategy 3.4: Low Volatility Anomaly.
Go long low-volatility stocks, short high-volatility stocks.
Rank by rolling 252-day standard deviation of returns.
Exploits the empirical anomaly that low-vol stocks deliver
higher risk-adjusted returns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| vol_lookback | 252 | int |
| long_quantile | 0.2 | float |
| short_quantile | 0.8 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 6.0% |
| Max Drawdown Pct | 10.0% |