4.5
Leveraged ETFs
PYTHON PLUGIN
Etf
Arbitrage
Description
Strategy 4.5: Short both bull & bear leveraged ETFs to capture volatility decay
Strategy Logic
Strategy 4.5: Leveraged ETF Volatility Decay.
Exploit the negative drag of daily-reset leverage. Short both the bull
and bear leveraged ETFs and profit from volatility decay over time.
Expects pairs like (SPXL, SPXS) provided in the symbols list.
The strategy shorts both legs equally.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| vol_lookback | 21 | int |
| min_vol | 0.15 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 10.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 20.0% |