5.15
Swap-Spread Arbitrage
PYTHON PLUGIN
Fixed Income
Arbitrage
Description
Strategy 5.15: Trade swap spread vs treasury spread deviations
Strategy Logic
Strategy 5.15: Swap Spread Arbitrage.
Trade the swap spread (swap rate - treasury yield).
If the swap spread widens beyond its historical norm, short the spread
(receive fixed in swap, short treasury). If it narrows, go long.
Expects ``swap_rate`` and ``treasury_yield`` columns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 60 | int |
| entry_z | 2.0 | float |
| exit_z | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 3.0% |
| Take Profit Pct | 5.0% |
| Max Drawdown Pct | 10.0% |