6.4
Intraday ETF Arbitrage
PYTHON PLUGIN
Indexes
Arbitrage
Description
Strategy 6.4: Arbitrage between index ETFs tracking the same index
Strategy Logic
Strategy 6.4: Intraday Arbitrage.
Arbitrage between index ETFs that track the same underlying index.
When the price ratio between two ETFs deviates from its mean, trade
the convergence.
Expects at least two ETF symbols tracking the same index.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 20 | int |
| entry_z | 2.0 | float |
| exit_z | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 15.0% |
| Stop Loss Pct | 1.0% |
| Take Profit Pct | 0.5% |
| Max Drawdown Pct | 3.0% |