7.3
Volatility Carry
PYTHON PLUGIN
Volatility
Carry
Description
Strategy 7.3: Short VXX to capture contango decay / vol carry
Strategy Logic
Strategy 7.3: Volatility Carry (Short VXX).
Systematically short VXX (short-term VIX futures ETN) to capture the
contango roll yield (volatility carry). Position size is inversely
proportional to realised vol for risk management.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| vol_lookback | 21 | int |
| max_vol_threshold | 0.8 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 5.0% |
| Stop Loss Pct | 15.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 25.0% |