5.8
Regression-Weighted Butterfly
PYTHON PLUGIN
Fixed Income
Relative Value
Description
Strategy 5.8: Regression-based butterfly weights
Strategy Logic
Strategy 5.8: Regression-Weighted Butterfly.
Use regression-based weights for the butterfly spread. Regress the
middle-maturity yield changes on short and long yield changes to obtain
hedge-ratio weights.
Expects 3 symbols [short, middle, long] with a ``yield`` column.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 60 | int |
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% |