5.8.1
Maturity-Weighted Butterfly
PYTHON PLUGIN
Fixed Income
Relative Value
Description
Strategy 5.8.1: Butterfly with maturity-ratio weights
Strategy Logic
Strategy 5.8.1: Maturity-Weighted Butterfly.
Butterfly spread with weights based on maturity ratios.
w_s = (M_l - M_m) / (M_l - M_s), w_l = (M_m - M_s) / (M_l - M_s).
Expects 3 symbols [short, middle, long] with ``maturity_years``.
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% |