9.1
Roll Yields
PYTHON PLUGIN
Commodities
Carry
Description
Strategy 9.1: Roll yield long backwardation / short contango
Strategy Logic
Strategy 9.1: Roll yield based on term structure.
Compute phi = P1 / P2 (front-month / second-month futures price).
Phi > 1 = backwardation (buy), phi < 1 = contango (sell).
Build a zero-cost portfolio: long commodities with higher phi,
short those with lower phi.
Expects DataFrames with 'close' (front-month price) and 'close_2'
(second-month price). Falls back to 'front' and 'deferred' columns.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| long_quantile | 0.7 | float |
| short_quantile | 0.3 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 8.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |