5.9
Low-Risk Factor
PYTHON PLUGIN
Fixed Income
Factor
Description
Strategy 5.9: Long low-duration bonds, short high-duration bonds
Strategy Logic
Strategy 5.9: Low Risk Factor.
Go long low-duration bonds, short high-duration bonds. Duration is the
risk measure; the strategy harvests the empirical observation that
low-risk bonds tend to outperform on a risk-adjusted basis.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| top_n | 3 | int |
| bottom_n | 3 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 2.0% |
| Take Profit Pct | 4.0% |
| Max Drawdown Pct | 8.0% |