5.6
Dollar-Duration-Neutral Butterfly
PYTHON PLUGIN
Fixed Income
Relative Value
Description
Strategy 5.6: Dollar-duration-neutral butterfly (long wings, short body)
Strategy Logic
Strategy 5.6: Dollar-Duration-Neutral Butterfly.
Long the wings (short-term and long-term bonds), short the body
(intermediate bond). Weights are set so that the dollar-duration of the
portfolio is zero.
Expects exactly 3 symbols ordered: [short, middle, long].
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 15.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 4.0% |
| Max Drawdown Pct | 6.0% |