6.3.1
Dispersion Trading Subset
PYTHON PLUGIN
Indexes
Volatility
Description
Strategy 6.3.1: Dispersion trade using top-N liquid components
Strategy Logic
Strategy 6.3.1: Dispersion Trading with Subset of Components.
Same as dispersion trading but uses only a subset of the most-liquid or
highest-weight components instead of the full index. Selects the top-N
components by average volume.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| index_symbol | SPX | str |
| vol_lookback | 21 | int |
| dispersion_threshold | 0.02 | float |
| n_components | 10 | int |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 12.0% |