7.6
Variance Swap Trading
PYTHON PLUGIN
Volatility
Swaps
Description
Strategy 7.6: Short variance when implied > historical, long when opposite
Strategy Logic
Strategy 7.6: Variance Swap Trading.
Trade variance swaps. Short variance (sell the swap) when implied
variance exceeds historical variance. Long variance when the opposite
holds.
Variance = vol^2.
Expects ``implied_vol`` column; realised vol is computed from close
prices.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| vol_lookback | 21 | int |
| lookback | 60 | int |
| entry_z | 1.5 | float |
| exit_z | 0.5 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 6.0% |
| Stop Loss Pct | 10.0% |
| Take Profit Pct | 8.0% |
| Max Drawdown Pct | 15.0% |