5.12
Rolling Down Yield Curve
PYTHON PLUGIN
Fixed Income
Carry
Description
Strategy 5.12: Buy bonds on steep parts of the curve for roll-down return
Strategy Logic
Strategy 5.12: Rolling Down the Yield Curve.
Buy bonds positioned on the steeper part of the curve so that as they
age (roll down), they benefit from the decline in yield.
Roll-down profit approximation = duration * (yield_current - yield_shorter).
Requires ``yield`` and ``duration`` columns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| min_rolldown | 0.002 | float |
| top_n | 3 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 4.0% |
| Max Drawdown Pct | 6.0% |