7.2
VIX Futures Basis Trading
PYTHON PLUGIN
Volatility
Basis
Description
Strategy 7.2: Trade VIX futures on extreme basis (contango/backwardation)
Strategy Logic
Strategy 7.2: VIX Futures Basis Trading.
Trade VIX futures when the basis (futures price - spot VIX) is extreme.
Large contango => short futures (expect roll-down).
Large backwardation => long futures (expect mean-reversion up).
Expects ``vix_spot`` and ``vix_futures`` columns, OR two symbols where
one is tagged as spot.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| lookback | 60 | int |
| entry_z | 1.5 | float |
| exit_z | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 10.0% |
| Take Profit Pct | 15.0% |
| Max Drawdown Pct | 20.0% |