5.3
Barbells
PYTHON PLUGIN
Fixed Income
Portfolio
Description
Strategy 5.3: Barbell -- invest at short and long ends of yield curve
Strategy Logic
Strategy 5.3: Barbell Portfolio.
Invest at the short end and long end of the yield curve, skipping the
middle. Go long bonds with maturity <= short_max OR >= long_min.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| short_max_maturity | 2.0 | float |
| long_min_maturity | 20.0 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 15.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 3.0% |
| Max Drawdown Pct | 5.0% |