4.3
R-Squared
PYTHON PLUGIN
Etf
Anomaly
Description
Strategy 4.3: Trade low R-squared ETFs for idiosyncratic alpha
Strategy Logic
Strategy 4.3: R-Squared Strategy.
Trade ETFs with low R-squared to their benchmark -- high idiosyncratic
risk implies potential alpha. Go long low-R^2 ETFs that have positive
recent returns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 63 | int |
| benchmark_symbol | SPY | str |
| r2_threshold | 0.3 | float |
| top_n | 5 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |