9.5
Skewness Premium
PYTHON PLUGIN
Commodities
Premium
Description
Strategy 9.5: Commodity skewness premium long-short
Strategy Logic
Strategy 9.5: Skewness premium in commodities.
Negative correlation between historical return skewness and future returns.
Buy the bottom quintile by skewness (most negatively skewed), sell the
top quintile (most positively skewed). Zero-cost portfolio.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| skew_lookback | 252 | int |
| long_quantile | 0.2 | float |
| short_quantile | 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% |