9.3
Portfolio Diversification
PYTHON PLUGIN
Commodities
Portfolio
Description
Strategy 9.3: Adjust commodity exposure based on monetary policy signals
Strategy Logic
Strategy 9.3: Active commodity exposure based on monetary policy.
Increase commodity exposure when the Fed discount rate increases
(positive correlation), decrease when it decreases.
Expects DataFrames with 'close' for commodity prices.
Also looks for a 'discount_rate' column or a separate key
'__fed_rate__' in data for the Fed funds / discount rate series.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| rate_lookback | 63 | int |
| rate_key | __fed_rate__ | str |
| rate_column | discount_rate | str |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 10.0% |
| Stop Loss Pct | 5.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 15.0% |