9.2
Hedging Pressure
PYTHON PLUGIN
Commodities
Positioning
Description
Strategy 9.2: CFTC COT hedging-pressure strategy
Strategy Logic
Strategy 9.2: Hedging pressure using CFTC Commitments of Traders data.
Hedging pressure HP = long contracts / total contracts.
High speculator HP = backwardation indicator.
1. Take the upper half by speculators' HP; within that, buy the bottom
quintile by hedgers' HP.
2. Take the lower half by speculators' HP; within that, sell the top
quintile by hedgers' HP.
Expects DataFrames with columns: 'spec_long', 'spec_short', 'hedge_long',
'hedge_short'.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| spec_median_split | 0.5 | float |
| hedge_quintile_buy | 0.2 | float |
| hedge_quintile_sell | 0.8 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 6.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |