9.4
Commodity Value
PYTHON PLUGIN
Commodities
Value
Description
Strategy 9.4: Value long-short across commodities (5-year price ratio)
Strategy Logic
Strategy 9.4: Value strategy for commodities.
Value = P(5 years ago) / P(current). High value => underpriced (buy),
low value => overpriced (sell). Build zero-cost portfolio: buy top
tercile by value, sell bottom tercile. Rebalance monthly.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| value_lookback | 1260 | int |
| long_quantile | 0.67 | float |
| short_quantile | 0.33 | 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% |