5.11
Carry Factor
PYTHON PLUGIN
Fixed Income
Carry
Description
Strategy 5.11: Long high-carry bonds (yield minus financing rate)
Strategy Logic
Strategy 5.11: Carry Factor.
Go long bonds with high carry (bond yield minus financing/repo rate).
Carry = yield - financing_rate.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| top_n | 3 | int |
| financing_rate | 0.05 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 4.0% |
| Max Drawdown Pct | 8.0% |