5.10
Value Factor
PYTHON PLUGIN
Fixed Income
Factor
Description
Strategy 5.10: Long high-spread (cheap) bonds, short low-spread (expensive)
Strategy Logic
Strategy 5.10: Value Factor in Fixed Income.
Go long cheap bonds (high yield-spread), short expensive bonds (low
yield-spread). The yield spread is the bond yield minus a risk-free
reference rate.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| top_n | 3 | int |
| bottom_n | 3 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 5.0% |
| Max Drawdown Pct | 8.0% |