5.13
Yield Curve Spread
PYTHON PLUGIN
Fixed Income
Relative Value
Description
Strategy 5.13: Flattener/steepener trades based on yield curve spread z-score
Strategy Logic
Strategy 5.13: Yield Curve Spread (Flatteners / Steepeners).
If the yield spread (long yield - short yield) is high relative to
history, bet on flattening (long short-term, short long-term).
If low, bet on steepening (opposite).
Expects at least two symbols with ``yield`` column.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 252 | int |
| entry_z | 1.5 | float |
| short_term_symbol | SHY | str |
| long_term_symbol | TLT | str |
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% |