6.2
Cash-and-Carry Arbitrage
PYTHON PLUGIN
Indexes
Arbitrage
Description
Strategy 6.2: Cash-and-carry arbitrage between futures and spot
Strategy Logic
Strategy 6.2: Cash-and-Carry Arbitrage.
If futures price > spot + carry cost, sell the futures and buy the spot.
If futures price < spot + carry cost, buy the futures and sell the spot.
Expects ``futures_price`` and ``spot_price`` columns, plus
``carry_cost`` (annualised, e.g. risk-free rate).
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| carry_cost_annual | 0.05 | float |
| days_to_expiry | 30 | int |
| min_basis_pct | 0.002 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 15.0% |
| Stop Loss Pct | 1.0% |
| Take Profit Pct | 2.0% |
| Max Drawdown Pct | 5.0% |