4.2
Alpha Rotation
PYTHON PLUGIN
Etf
Alpha
Description
Strategy 4.2: Rank ETFs by alpha (excess return over benchmark), go long high alpha
Strategy Logic
Strategy 4.2: Alpha Rotation.
Rank ETFs by alpha -- excess return over benchmark after adjusting for
beta. alpha = R_etf - beta * R_benchmark. Go long the highest-alpha
ETFs.
Expects one symbol in data to match ``benchmark_symbol``; the rest are
candidates.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 63 | int |
| benchmark_symbol | SPY | str |
| top_n | 3 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |