5.2
Bullets
PYTHON PLUGIN
Fixed Income
Portfolio
Description
Strategy 5.2: Concentrate portfolio at single maturity point on yield curve
Strategy Logic
Strategy 5.2: Bullet Portfolio.
Concentrate the entire bond portfolio at a single maturity point on the
yield curve. The strategy selects bonds whose maturity is closest to
the target maturity and goes long.
Each DataFrame in ``data`` is expected to carry a ``maturity_years``
column (or the value is provided via params).
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| target_maturity | 5.0 | float |
| maturity_tolerance | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 20.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 3.0% |
| Max Drawdown Pct | 5.0% |