Maybe it's the dynamic optimization at work? My losses are also larger, in both prod and paper(where I have 2x more instruments), in prod maybe 5%?, and I haven't put dynamic optimization even in paper yet.. At least with DO you have much lower concentration in each particular instrument, and I had -12 V2TX yesterday, and a bulk of my losses seems to be coming from V2TX and MXP in which I also had a lot.. Though, who knows, just one instance doesn't prove much I guess..
You guys are lucky! I was down about 10% today, about the same as my biggest single daily loss in backtests. Still up about 26% on the year (down about 5% on the month), so not complaining too much. In fact, it was a good test of my trader psychology. I placed my trades and didn't tinker with my system, so I'm happy in that respect.
I am running my futures trading system at an elevated risk and volatility level. Thus it was a seriously bad day. I calculate the daily account volatility: this day represented an -11 sigma event. Anyway, as the futures system is a (smaller) part of my overall setup am I not surprised by large volatility in this account. Overall my investments dropped to where they were about one month ago. Just keep on breathing, things will climb back up out of the valley.
Final score was -2.1% I had unusually large price movements flagged across the energy complex and vstoxx GAT
It does appear the DO portfolio has helped in reducing the daily loss relative to those like us still trading a static portfolio. Reading between the lines from GAT's latest response, and apologies if I am stating the bleeding obvious, I wonder if the risk allocation to commodities and vol is therefore lower for the DO portfolio relative to the static portfolio? The point being that when you go from 30 to 110 markets, the bulk of those will be financials...
-8.55% for the day -7.86% for the week Running at 32% volatility daily at -4.3 sigma, but weekly only at -1.8 sigma. So far the worst daily loss but from weekly returns perspective I had worse weeks before.
Here's last nights risk report. It reflects the rise in risk but obviously not any trading the system has done as a results Code: ======================================== Risk per strategy, annualised percentage ======================================== risk dynamic_TF_carry 33.4 ==================================================================================================================================================================================================================================================================== Instrument risk ==================================================================================================================================================================================================================================================================== daily_price_stdev annual_price_stdev price daily_perc_stdev annual_perc_stdev point_size_base contract_exposure daily_risk_per_contract annual_risk_per_contract position capital exposure_held_perc_capital annual_risk_perc_capital VIX 0.42 6.64 22.40 1.85 29.65 749.87 16797.02 311.31 4981.03 -1.0 374273.77 -4.49 -1.33 JPY 0.00 0.00 0.01 0.37 5.99 9373336.23 82785.31 309.91 4958.61 -1.0 374273.77 -22.12 -1.32 GBP 0.01 0.10 1.33 0.45 7.24 46866.68 62473.29 282.58 4521.22 -1.0 374273.77 -16.69 -1.21 BRE 0.00 0.03 0.18 0.96 15.35 74986.69 13422.62 128.81 2061.01 -1.0 374273.77 -3.59 -0.55 MXP 0.00 0.01 0.05 0.69 11.11 374933.45 17126.96 118.94 1903.08 -1.0 374273.77 -4.58 -0.51 DOW 188.09 3009.51 34641.00 0.54 8.69 0.37 12988.07 70.52 1128.36 1.0 374273.77 3.47 0.30 BITCOIN 2084.21 33347.29 59165.00 3.52 56.36 0.07 4436.59 156.29 2500.60 1.0 374273.77 1.19 0.67 EU-UTILS 3.78 60.54 383.90 0.99 15.77 42.42 16286.54 160.51 2568.21 1.0 374273.77 4.35 0.69 NIKKEI400 264.22 4227.60 17255.00 1.53 24.50 0.66 11431.48 175.05 2800.79 1.0 374273.77 3.05 0.75 CORN 5.04 80.63 557.75 0.90 14.46 37.49 20911.91 188.95 3023.26 1.0 374273.77 5.59 0.81 EDOLLAR 0.06 0.89 98.33 0.06 0.90 1874.67 184336.03 103.90 1662.47 2.0 374273.77 98.50 0.89 KR3 0.19 3.02 108.93 0.17 2.78 628.39 68450.36 118.75 1900.01 2.0 374273.77 36.58 1.02 SP500_micro 23.32 373.10 4579.00 0.51 8.15 3.75 17168.20 87.43 1398.88 3.0 374273.77 13.76 1.12 EU-RETAIL 6.41 102.52 434.40 1.48 23.60 42.42 18428.95 271.83 4349.34 1.0 374273.77 4.92 1.16 US10 0.39 6.27 129.05 0.30 4.86 749.87 96767.98 293.68 4698.95 1.0 374273.77 25.85 1.26 US5 0.23 3.66 120.39 0.19 3.04 749.87 90276.94 171.72 2747.56 2.0 374273.77 48.24 1.47 LEANHOG 1.16 18.59 81.60 1.42 22.78 299.95 24475.66 348.54 5576.58 1.0 374273.77 6.54 1.49 WHEAT 9.42 150.76 841.25 1.12 17.92 37.49 31541.28 353.28 5652.55 1.0 374273.77 8.43 1.51 NASDAQ_micro 126.25 2020.00 16044.75 0.79 12.59 1.50 24062.85 189.34 3029.46 2.0 374273.77 12.86 1.62 SOYBEAN 10.18 162.85 1240.00 0.82 13.13 37.49 46491.75 381.60 6105.65 1.0 374273.77 12.42 1.63 DAX 178.62 2857.87 15247.00 1.17 18.74 0.85 12936.75 151.55 2424.84 3.0 374273.77 10.37 1.94 REDWHEAT 12.21 195.35 872.50 1.40 22.39 37.49 32712.94 457.76 7324.16 1.0 374273.77 8.74 1.96 EUROSTX 55.13 882.13 4076.00 1.35 21.64 8.48 34583.97 467.79 7484.71 1.0 374273.77 9.24 2.00 EU-TECH 11.47 183.46 781.30 1.47 23.48 42.42 33145.80 486.43 7782.96 1.0 374273.77 8.86 2.08 R1000 9.31 148.97 1591.50 0.59 9.36 37.49 59670.66 349.09 5585.47 2.0 374273.77 31.89 2.98 CAC 86.06 1376.91 6744.50 1.28 20.42 8.48 57225.61 730.17 11682.80 1.0 374273.77 15.29 3.12 SMI 100.55 1608.81 12090.00 0.83 13.31 8.13 98279.24 817.37 13077.99 1.0 374273.77 26.26 3.49 EU-AUTO 11.34 181.50 638.30 1.78 28.43 42.42 27079.18 481.24 7699.87 2.0 374273.77 14.47 4.11 GASOILINE 0.04 0.66 2.25 1.83 29.22 31494.41 70988.40 1296.46 20743.34 1.0 374273.77 18.97 5.54 AEX 7.67 122.70 783.05 0.98 15.67 169.70 132880.16 1301.34 20821.49 1.0 374273.77 35.50 5.56 HEATOIL 0.04 0.67 2.38 1.77 28.26 31494.41 74937.80 1323.52 21176.37 1.0 374273.77 20.02 5.66 SP400 20.09 321.48 2761.40 0.73 11.64 74.99 207068.25 1506.67 24106.75 1.0 374273.77 55.33 6.44 Sum of abs(notional exposure % capital) 592.1 Sum of abs(annualised risk % capital) 66.2 Net sum of annualised risk % capital 56.3 That 33% risk is a big jump on the previous days estimate of around 26%. Here's the orders that the system generated last night for execution on monday: Code: (Order ID:31726) Type best for dynamic_TF_carry DOW, qty [1], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31727) Type best for dynamic_TF_carry NIKKEI400, qty [-1], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31728) Type best for dynamic_TF_carry EU-AUTO, qty [-1], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31729) Type best for dynamic_TF_carry EU-OIL, qty [1], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31730) Type best for dynamic_TF_carry HEATOIL, qty [-1], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31731) Type best for dynamic_TF_carry NASDAQ_micro, qty [-2], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31732) Type best for dynamic_TF_carry FTSECHINAA, qty [-1], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31733) Type best for dynamic_TF_carry EUROSTX, qty [-1], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31734) Type best for dynamic_TF_carry EU-RETAIL, qty [-1], fill [0]@ price, None Parent:no parent Children:no_children (Order ID:31735) Type best for dynamic_TF_carry DAX, qty [-3], fill [0]@ price, None Parent:no parent Children:no_children Here's something that *might* answer the question, was I saved by DO? It's the strategy report from the 25th November, so not reflecting yesterday's prices yet Code: Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AEX 1607.40 0.63 1007.44 0.84 848.76 5991.34 7.06 18.30 12.92 ALUMINIUM 673.38 1.86 1255.68 0.75 933.02 5991.34 6.42 3.96 2.54 AUD 719.20 0.57 407.11 0.75 304.53 5991.34 19.67 -6.86 -13.49 BBCOMM 103.60 0.93 95.99 0.75 71.80 5991.34 83.44 18.15 151.45 BITCOIN 56.64 2.93 165.69 0.75 123.94 5991.34 48.34 14.37 69.45 BOBL 1350.90 0.17 235.19 0.84 198.15 5991.34 30.24 4.47 13.52 BONO 1584.00 0.37 584.48 0.84 492.42 5991.34 12.17 5.16 6.27 BRE 178.70 1.30 232.20 0.75 173.69 5991.34 34.49 -3.14 -10.82 BRENT-LAST 803.40 1.62 1304.90 0.75 976.10 5991.34 6.14 8.74 5.37 BTP 1501.60 0.48 726.22 0.84 611.84 5991.34 9.79 -0.42 -0.41 BTP3 1137.20 0.11 129.33 0.84 108.96 5991.34 54.99 6.11 33.61 BUND 1706.70 0.34 576.39 0.84 485.61 5991.34 12.34 -3.32 -4.10 BUXL 2110.60 0.77 1628.38 0.84 1371.89 5991.34 4.37 6.19 2.70 CAC 703.05 0.63 445.72 0.84 375.51 5991.34 15.96 18.70 29.84 CAD 788.80 0.40 315.07 0.75 235.68 5991.34 25.42 -5.22 -13.26 CHEESE 349.40 1.47 513.44 0.75 384.07 5991.34 15.60 -2.73 -4.26 CHF 1336.62 0.42 559.54 0.75 418.55 5991.34 14.31 -11.25 -16.10 CNH 6421.50 0.20 1298.87 0.12 151.95 5991.34 39.43 -17.66 -69.63 COPPER 1112.50 1.36 1508.25 0.75 1128.21 5991.34 5.31 3.24 1.72 CORN 279.25 0.96 266.71 0.75 199.51 5991.34 30.03 17.72 53.22 CRUDE_W_mini 388.75 1.68 654.34 0.75 489.46 5991.34 12.24 19.66 24.06 DAX 158.84 0.59 93.27 0.84 78.58 5991.34 76.25 18.20 138.73 DJSTX-SMALL 198.15 0.67 133.40 0.84 112.39 5991.34 53.31 16.93 90.26 DOW 178.54 0.50 90.14 0.75 67.42 5991.34 88.86 11.63 103.31 EDOLLAR 2453.62 0.06 141.93 0.75 106.17 5991.34 56.43 1.47 8.32 ETHEREUM 2133.62 3.83 8164.44 0.75 6107.22 5991.34 0.98 5.53 0.54 EU-AUTO 339.75 1.08 366.49 0.84 308.76 5991.34 19.40 20.00 38.81 EU-BANKS 49.98 1.70 84.83 0.84 71.47 5991.34 83.84 20.00 167.67 EU-BASIC 287.85 1.41 405.81 0.84 341.89 5991.34 17.52 4.23 7.42 EU-CHEM 668.35 0.69 457.96 0.84 385.83 5991.34 15.53 8.93 13.87 EU-CONSTRUCTION 312.25 0.73 228.39 0.84 192.42 5991.34 31.14 11.76 36.61 EU-DIV30 193.40 0.83 160.41 0.84 135.14 5991.34 44.33 14.76 65.46 EU-FOOD 419.55 0.61 256.09 0.84 215.75 5991.34 27.77 7.98 22.15 EU-HEALTH 519.75 0.77 401.56 0.84 338.31 5991.34 17.71 12.08 21.39 EU-INSURE 159.05 0.77 121.97 0.84 102.76 5991.34 58.31 10.51 61.27 EU-OIL 139.40 1.32 183.58 0.84 154.66 5991.34 38.74 15.50 60.03 EU-RETAIL 227.90 0.97 222.12 0.84 187.13 5991.34 32.02 5.01 16.05 EU-TECH 400.60 1.20 480.92 0.84 405.17 5991.34 14.79 16.92 25.02 EU-TRAVEL 116.10 1.28 148.91 0.84 125.45 5991.34 47.76 10.23 48.85 EU-UTILS 194.20 0.80 155.78 0.84 131.24 5991.34 45.65 11.29 51.55 EUR 1400.00 0.47 660.88 0.75 494.36 5991.34 12.12 -18.78 -22.76 EURO600 239.85 0.56 135.14 0.84 113.86 5991.34 52.62 19.66 103.47 EUROSTX 427.80 0.69 296.26 0.84 249.59 5991.34 24.00 19.83 47.59 FEEDCOW 839.62 0.85 716.90 0.75 536.26 5991.34 11.17 -3.16 -3.53 FTSECHINAA 157.03 1.07 168.61 0.75 126.13 5991.34 47.50 1.34 6.38 FTSECHINAH 354.60 1.81 641.15 0.75 479.60 5991.34 12.49 0.56 0.69 FTSEINDO 165.25 0.97 160.46 0.75 120.03 5991.34 49.91 8.28 41.31 FTSETAIWAN 618.90 0.85 524.37 0.75 392.24 5991.34 15.27 10.55 16.12 GAS-LAST 506.00 3.90 1974.68 0.75 1477.12 5991.34 4.06 -0.66 -0.27 GASOILINE 945.04 1.71 1619.32 0.75 1211.29 5991.34 4.95 17.74 8.77 GAS_US_mini 129.12 3.93 507.09 0.75 379.31 5991.34 15.80 -2.96 -4.67 GBP 832.62 0.51 426.88 0.75 319.32 5991.34 18.76 -12.75 -23.92 GBPEUR 1050.62 0.40 421.52 1.00 421.52 5991.34 14.21 -15.08 -21.43 GOLD_micro 178.42 0.83 147.35 0.75 110.22 5991.34 54.36 5.64 30.64 HEATOIL 1000.31 1.62 1620.27 0.75 1212.01 5991.34 4.94 8.18 4.04 INR 667.75 0.29 190.54 0.75 142.53 5991.34 42.04 14.28 60.01 IRON 104.50 3.42 357.65 0.75 267.53 5991.34 22.39 5.97 13.38 JGB 1515200.00 0.09 132029.49 0.01 858.87 5991.34 6.98 -1.60 -1.12 JPY 1082.62 0.46 501.22 0.75 374.93 5991.34 15.98 -17.15 -27.40 KOSDAQ 149520.00 1.33 198230.20 0.00 125.19 5991.34 47.86 5.08 24.29 KOSPI 988750.00 0.89 884086.78 0.00 558.32 5991.34 10.73 -1.49 -1.60 KR10 1228300.00 0.37 455853.80 0.00 287.88 5991.34 20.81 -4.15 -8.63 KR3 1083800.00 0.12 132950.86 0.00 83.96 5991.34 71.36 0.18 1.25 KRWUSD 1056.50 0.36 381.40 0.75 284.19 5991.34 21.08 -7.77 -16.38 LEANHOG 337.40 1.31 442.04 0.75 330.66 5991.34 18.12 8.01 14.51 LIVECOW 563.50 0.64 358.03 0.75 267.81 5991.34 22.37 0.55 1.24 LUMBER 866.25 2.30 1989.34 0.75 1488.08 5991.34 4.03 7.13 2.87 MILK 379.00 1.16 438.25 0.75 327.83 5991.34 18.28 5.06 9.25 MILKDRY 659.89 0.81 533.59 0.75 399.14 5991.34 15.01 13.37 20.07 MSCIASIA 729.70 0.98 713.74 0.75 533.90 5991.34 11.22 -2.57 -2.89 MSCISING 363.35 0.73 266.25 0.55 145.83 5991.34 41.08 9.01 37.02 MUMMY 11400.00 1.59 18173.46 0.01 118.22 5991.34 50.68 9.37 47.47 MXP 232.55 0.79 184.79 0.75 138.23 5991.34 43.34 -2.29 -9.94 NASDAQ_micro 326.03 0.62 202.99 0.75 151.84 5991.34 39.46 17.45 68.86 NIFTY 348.17 0.73 255.72 0.75 191.28 5991.34 31.32 3.17 9.94 NIKKEI 29375.00 0.89 26046.87 0.01 169.44 5991.34 35.36 8.84 31.25 NIKKEI400 18255.00 0.87 15875.68 0.01 103.27 5991.34 58.01 11.18 64.84 NOK 2228.80 0.76 1697.70 0.75 1269.93 5991.34 4.72 -1.12 -0.53 NZD 686.60 0.66 455.19 0.75 340.49 5991.34 17.60 -1.36 -2.39 OAT 1664.00 0.36 599.63 0.84 505.19 5991.34 11.86 1.03 1.22 OATIES 373.12 1.36 508.06 0.75 380.04 5991.34 15.76 20.00 31.53 PALLAD 1845.50 2.21 4081.26 0.75 3052.89 5991.34 1.96 -1.87 -0.37 PLAT 487.35 1.90 927.15 0.75 693.54 5991.34 8.64 -0.01 -0.01 R1000 812.55 0.61 497.96 0.75 372.49 5991.34 16.08 13.31 21.41 REDWHEAT 438.38 1.28 561.19 0.75 419.79 5991.34 14.27 16.35 23.34 RICE 293.50 0.87 254.95 0.75 190.71 5991.34 31.42 10.02 31.48 RUR 332.12 1.05 348.69 0.75 260.83 5991.34 22.97 8.86 20.34 RUSSELL 116.20 0.91 106.13 0.75 79.39 5991.34 75.47 9.19 69.35 SEK 2189.60 0.67 1467.78 0.75 1097.94 5991.34 5.46 -8.97 -4.90 SGD 1368.65 0.25 340.21 0.55 186.34 5991.34 32.15 -0.35 -1.14 SHATZ 1121.90 0.05 52.79 0.84 44.47 5991.34 134.72 -0.69 -9.30 SILVER 234.75 1.43 336.77 0.75 251.92 5991.34 23.78 2.99 7.10 SMI 1238.50 0.56 692.87 0.80 555.80 5991.34 10.78 20.00 21.56 SOYBEAN 624.00 0.85 529.59 0.75 396.15 5991.34 15.12 7.84 11.86 SOYMEAL 348.90 1.40 487.57 0.75 364.72 5991.34 16.43 3.16 5.19 SOYOIL 360.96 1.16 418.40 0.75 312.98 5991.34 19.14 11.10 21.25 SP400 2868.00 0.63 1807.89 0.75 1352.35 5991.34 4.43 17.10 7.58 SP500_micro 234.51 0.45 106.63 0.75 79.76 5991.34 75.11 20.00 150.23 TOPIX 20242.50 0.82 16684.89 0.01 108.54 5991.34 55.20 11.13 61.45 US-DISCRETE 2119.80 0.74 1571.53 0.75 1175.55 5991.34 5.10 13.51 6.89 US-REALESTATE 430.40 0.75 321.79 0.75 240.71 5991.34 24.89 20.00 49.78 US10 1298.44 0.30 392.80 0.75 293.82 5991.34 20.39 0.10 0.20 US10U 1441.72 0.40 573.80 0.75 429.21 5991.34 13.96 -1.86 -2.60 US2 2189.38 0.06 136.88 0.75 102.39 5991.34 58.51 10.24 59.93 US20 1585.62 0.57 901.14 0.75 674.08 5991.34 8.89 1.53 1.36 US3 2284.69 0.09 208.08 0.75 155.65 5991.34 38.49 6.15 23.66 US30 1940.94 0.87 1692.03 0.75 1265.68 5991.34 4.73 0.25 0.12 US5 1210.00 0.19 231.50 0.75 173.17 5991.34 34.60 0.29 1.00 USIRS10 1001.41 0.49 491.19 0.75 367.42 5991.34 16.31 -17.24 -28.11 USIRS5 988.44 0.22 221.16 0.75 165.43 5991.34 36.22 -3.42 -12.39 V2X 22.80 2.09 47.69 0.84 40.17 5991.34 149.13 -15.78 -235.34 VIX 225.50 2.16 486.22 0.75 363.70 5991.34 16.47 -20.00 -32.95 WHEAT 421.12 1.09 460.92 0.75 344.78 5991.34 17.38 15.07 26.19 YENEUR 161612.50 0.50 80351.50 0.01 522.70 5991.34 11.46 -5.71 -6.55 Code: dynamic_TF_carry CNH False False -0.77 6 0 0.20 0.00 -0.15 0.0 0.81 -0.81 0.00 0.00 0 dynamic_TF_carry GBP False False -0.93 6 -1 0.16 -0.16 -0.15 0.0 0.98 -0.98 -0.16 -0.16 -1 dynamic_TF_carry USIRS10 False False -0.67 5 0 0.20 0.00 -0.13 0.0 0.98 -0.98 0.00 0.00 0 dynamic_TF_carry JGB False False -0.05 1 0 2.57 0.00 -0.13 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry GBPEUR False False -0.40 4 0 0.27 0.00 -0.11 0.0 1.12 -1.12 0.00 0.00 0 dynamic_TF_carry SHATZ False True -0.35 4 0 0.25 0.00 -0.09 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry KOSPI_mini False True -2.13 26 0 0.03 0.00 -0.07 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry KRWUSD False True -0.36 5 0 0.21 0.00 -0.07 0.0 0.96 -0.96 0.00 0.00 0 dynamic_TF_carry JPY False False -0.31 5 -1 0.21 -0.21 -0.07 0.0 1.06 -1.06 -0.21 -0.21 -1 dynamic_TF_carry USIRS5 False True -0.30 6 0 0.19 0.00 -0.06 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry VIX False False -1.19 6 -1 0.04 -0.04 -0.05 0.0 0.26 -0.26 -0.04 -0.04 -1 dynamic_TF_carry CHF False False -0.18 4 0 0.26 0.00 -0.05 0.0 1.18 -1.18 0.00 0.00 0 dynamic_TF_carry EUR False False -0.17 4 0 0.27 0.00 -0.05 0.0 0.62 -0.62 0.00 0.00 0 dynamic_TF_carry YENEUR False False -0.16 4 0 0.27 0.00 -0.04 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry V2X False True -8.47 48 0 0.00 0.00 -0.04 0.0 1.10 -1.10 0.00 0.00 0 dynamic_TF_carry KR10 False False -0.22 5 0 0.20 0.00 -0.04 0.0 1.01 -1.01 0.00 0.00 0 dynamic_TF_carry US10U False False -0.11 4 0 0.28 0.00 -0.03 0.0 1.13 -1.13 0.00 0.00 0 dynamic_TF_carry BUND False False -0.06 3 0 0.37 0.00 -0.02 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry SEK False False -0.04 3 0 0.43 0.00 -0.02 0.0 1.29 -1.29 0.00 0.00 0 dynamic_TF_carry FEEDCOW False False -0.05 6 0 0.16 0.00 -0.01 0.0 0.20 -0.20 0.00 0.00 0 dynamic_TF_carry CAD False False -0.06 7 0 0.15 0.00 -0.01 0.0 0.35 -0.35 0.00 0.00 0 dynamic_TF_carry CHEESE False True -0.08 12 0 0.07 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry KOSPI False False -0.03 5 0 0.16 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry MSCIASIA False True -0.04 9999999 0 0.14 0.00 -0.01 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry NZD False False -0.00 8 0 0.13 0.00 -0.00 0.0 1.07 -1.07 0.00 0.00 0 dynamic_TF_carry US10 False False 0.00 4 1 0.25 0.25 0.00 0.0 0.83 -0.83 0.25 0.25 1 dynamic_TF_carry PALLAD False False -0.00 1 0 0.36 0.00 -0.00 0.0 0.36 -0.36 0.00 0.00 0 dynamic_TF_carry GOLD_micro False False 0.11 27 0 0.03 0.00 0.00 0.0 0.94 -0.94 0.00 0.00 0 dynamic_TF_carry FTSECHINAH False False 0.01 9 0 0.07 0.00 0.00 0.0 0.99 -0.99 0.00 0.00 0 dynamic_TF_carry AUD False False -0.02 7 0 0.14 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry US30 False False 0.00 3 0 0.38 0.00 0.00 0.0 1.14 -1.14 0.00 0.00 0 dynamic_TF_carry MXP False False -0.07 21 0 0.05 0.00 -0.00 0.0 0.96 -0.96 0.00 0.00 0 dynamic_TF_carry PLAT False False -0.00 4 0 0.10 0.00 -0.00 0.0 1.29 -1.29 0.00 0.00 0 dynamic_TF_carry BTP False False -0.01 3 0 0.33 0.00 -0.00 0.0 0.99 -0.99 0.00 0.00 0 dynamic_TF_carry BRE False False -0.07 22 -1 0.03 -0.03 -0.00 0.0 0.85 -0.85 -0.03 -0.03 -1 dynamic_TF_carry NIFTY False False 0.03 15 0 0.07 0.00 0.00 0.0 1.02 -1.02 0.00 0.00 0 dynamic_TF_carry IRON False False 0.14 7 0 0.02 0.00 0.00 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry GAS_US_mini False False -0.13 6 0 0.03 0.00 -0.00 0.0 0.15 -0.15 0.00 0.00 0 dynamic_TF_carry GAS-LAST False False -0.01 2 0 0.10 0.00 -0.00 0.0 1.10 -1.10 0.00 0.00 0 dynamic_TF_carry NOK False True -0.01 3 0 0.44 0.00 -0.00 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry RUR False False 0.06 15 0 0.06 0.00 0.00 0.0 0.97 -0.97 0.00 0.00 0 dynamic_TF_carry LIVECOW False False 0.02 10 -1 0.11 -0.11 0.00 0.0 1.00 -1.00 -0.11 -0.11 -1 dynamic_TF_carry FTSECHINAA False False 0.03 20 0 0.03 0.00 0.00 0.0 1.18 -1.18 0.00 0.00 0 dynamic_TF_carry SGD False True -0.02 9999999 0 0.20 0.00 -0.00 0.0 0.18 -0.18 0.00 0.00 0 dynamic_TF_carry COPPER False False 0.01 3 0 0.22 0.00 0.00 0.0 0.65 -0.65 0.00 0.00 0 dynamic_TF_carry US5 False False 0.02 5 2 0.24 0.47 0.00 0.0 2.57 -2.57 0.47 0.47 2 dynamic_TF_carry SILVER False False 0.03 10 0 0.05 0.00 0.00 0.0 1.08 -1.08 0.00 0.00 0 dynamic_TF_carry KOSDAQ False False 0.21 28 1 0.02 0.02 0.01 0.0 0.40 -0.40 0.02 0.02 1 dynamic_TF_carry ALUMINIUM False True 0.05 9999999 0 0.13 0.00 0.01 0.0 1.02 -1.02 0.00 0.00 0 dynamic_TF_carry ETHEREUM False False 0.02 1 0 0.42 0.00 0.01 0.0 0.42 -0.42 0.00 0.00 0 dynamic_TF_carry MILK False True 0.18 12 0 0.07 0.00 0.01 0.0 1.11 -1.11 0.00 0.00 0 dynamic_TF_carry OAT False False 0.02 3 0 0.36 0.00 0.01 0.0 1.09 -1.09 0.00 0.00 0 dynamic_TF_carry BITCOIN False False 0.50 16 1 0.01 0.01 0.01 0.0 0.00 0.00 0.01 0.01 1 dynamic_TF_carry MUMMY False False 0.76 18 0 0.02 0.00 0.01 0.0 0.78 -0.78 0.00 0.00 0 dynamic_TF_carry DJSTX-SMALL False True 0.35 19 0 0.04 0.00 0.01 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry MSCISING False False 0.10 17 0 0.05 0.00 0.01 0.0 0.63 -0.63 0.00 0.00 0 dynamic_TF_carry HEATOIL False False 0.05 4 1 0.20 0.20 0.01 0.0 0.00 0.00 0.20 0.20 1 dynamic_TF_carry KR3 False False 0.03 6 2 0.18 0.36 0.01 0.0 1.07 -1.07 0.36 0.36 2 dynamic_TF_carry SOYMEAL False False 0.12 12 0 0.07 0.00 0.01 0.0 0.82 -0.82 0.00 0.00 0 dynamic_TF_carry SOYOIL False False 0.32 7 0 0.07 0.00 0.02 0.0 0.49 -0.49 0.00 0.00 0 dynamic_TF_carry EU-BASIC False False 0.25 8 0 0.06 0.00 0.02 0.0 0.50 -0.50 0.00 0.00 0 dynamic_TF_carry LEANHOG False False 0.32 6 1 0.07 0.07 0.02 0.0 1.39 -1.39 0.07 0.07 1 dynamic_TF_carry CRUDE_W_mini False False 0.30 8 0 0.08 0.00 0.02 0.0 0.61 -0.61 0.00 0.00 0 dynamic_TF_carry AEX False False 0.05 3 1 0.35 0.35 0.02 0.0 1.06 -1.06 0.35 0.35 1 dynamic_TF_carry EU-RETAIL False False 0.70 15 1 0.05 0.05 0.03 0.0 0.75 -0.75 0.05 0.05 1 dynamic_TF_carry EU-CHEM False True 0.17 7 0 0.15 0.00 0.03 0.0 0.60 -0.60 0.00 0.00 0 dynamic_TF_carry US20 False False 0.09 4 0 0.31 0.00 0.03 0.0 1.24 -1.24 0.00 0.00 0 dynamic_TF_carry NIKKEI False False 0.51 12 1 0.05 0.05 0.03 0.0 0.60 -0.60 0.05 0.05 1 dynamic_TF_carry TOPIX False False 1.01 20 0 0.03 0.00 0.03 0.0 0.69 -0.69 0.00 0.00 0 dynamic_TF_carry EU-CONSTRUCTION False True 0.39 9999999 0 0.07 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry FTSEINDO False True 0.78 9999999 0 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry FTSETAIWAN False False 0.25 7 0 0.12 0.00 0.03 0.0 1.44 -1.44 0.00 0.00 0 dynamic_TF_carry RUSSELL False False 1.40 29 0 0.02 0.00 0.03 0.0 0.66 -0.66 0.00 0.00 0 dynamic_TF_carry BUXL False False 0.07 3 0 0.46 0.00 0.03 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry SOYBEAN False False 0.27 9 1 0.12 0.12 0.03 0.0 0.61 -0.61 0.12 0.12 1 dynamic_TF_carry RICE False True 0.52 19 0 0.06 0.00 0.03 0.0 0.77 -0.77 0.00 0.00 0 dynamic_TF_carry LUMBER False True 0.18 9999999 0 0.17 0.00 0.03 0.0 0.69 -0.69 0.00 0.00 0 dynamic_TF_carry EU-DIV30 False True 0.86 20 0 0.04 0.00 0.04 0.0 0.58 -0.58 0.00 0.00 0 dynamic_TF_carry INR False True 0.27 8 0 0.13 0.00 0.04 0.0 1.34 -1.34 0.00 0.00 0 dynamic_TF_carry EURO600 False False 0.73 19 0 0.05 0.00 0.04 0.0 1.00 -1.00 0.00 0.00 0 dynamic_TF_carry GASOILINE False False 0.20 4 1 0.18 0.18 0.04 0.0 0.00 0.00 0.18 0.18 1 dynamic_TF_carry EU-TECH False False 0.51 6 1 0.09 0.09 0.04 0.0 0.53 -0.53 0.09 0.09 1 dynamic_TF_carry CORN False False 0.80 13 1 0.05 0.05 0.04 0.0 0.71 -0.71 0.05 0.05 1 dynamic_TF_carry BRENT-LAST False False 0.27 4 0 0.16 0.00 0.04 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry EU-INSURE False True 1.39 23 0 0.03 0.00 0.05 0.0 0.14 -0.14 0.00 0.00 0 dynamic_TF_carry NIKKEI400 False False 2.03 21 0 0.03 0.00 0.06 0.0 0.65 -0.65 0.00 0.00 0 dynamic_TF_carry EUROSTX False False 0.62 9 1 0.09 0.09 0.06 0.0 0.84 -0.84 0.09 0.09 1 dynamic_TF_carry OATIES False True 0.76 9 0 0.07 0.00 0.06 0.0 1.10 -1.10 0.00 0.00 0 dynamic_TF_carry BONO False False 0.18 3 0 0.35 0.00 0.06 0.0 1.04 -1.04 0.00 0.00 0 dynamic_TF_carry CAC False False 0.39 6 1 0.15 0.15 0.06 0.0 0.92 -0.92 0.15 0.15 1 dynamic_TF_carry EU-OIL False False 1.98 19 0 0.03 0.00 0.06 0.0 0.58 -0.58 0.00 0.00 0 dynamic_TF_carry REDWHEAT False False 0.83 7 1 0.09 0.09 0.07 0.0 0.98 -0.98 0.09 0.09 1 dynamic_TF_carry EU-BANKS False True 6.09 45 0 0.01 0.00 0.07 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry EU-UTILS False False 1.71 19 0 0.04 0.00 0.07 0.0 0.81 -0.81 0.00 0.00 0 dynamic_TF_carry DOW False False 2.42 27 0 0.03 0.00 0.08 0.0 0.94 -0.94 0.00 0.00 0 dynamic_TF_carry WHEAT False False 0.93 7 1 0.08 0.08 0.08 0.0 0.00 0.00 0.08 0.08 1 dynamic_TF_carry MILKDRY False True 0.65 9999999 0 0.13 0.00 0.08 0.0 1.05 -1.05 0.00 0.00 0 dynamic_TF_carry EU-HEALTH False True 0.71 9 0 0.11 0.00 0.08 0.0 1.10 -1.10 0.00 0.00 0 dynamic_TF_carry SP400 False False 0.18 2 1 0.56 0.56 0.10 0.0 1.12 -1.12 0.56 0.56 1 dynamic_TF_carry EU-TRAVEL False True 4.09 18 0 0.03 0.00 0.10 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry NASDAQ_micro False False 1.66 15 1 0.06 0.06 0.11 0.0 0.88 -0.88 0.06 0.06 1 dynamic_TF_carry US-DISCRETE True False 0.32 9999999 0 0.41 0.00 0.13 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry BTP3 False False 0.56 4 0 0.25 0.00 0.14 0.0 1.10 -1.10 0.00 0.00 0 dynamic_TF_carry EDOLLAR False False 0.29 3 2 0.48 0.96 0.14 0.0 0.38 -0.38 0.96 0.96 2 dynamic_TF_carry EU-FOOD False True 1.68 12 0 0.09 0.00 0.15 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry BOBL False False 0.51 4 0 0.30 0.00 0.15 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry R1000 False False 0.99 7 1 0.16 0.16 0.16 0.0 1.18 -1.18 0.16 0.16 1 dynamic_TF_carry EU-AUTO False False 2.22 9 2 0.07 0.15 0.17 0.0 0.67 -0.67 0.15 0.15 2 dynamic_TF_carry SP500_micro False False 3.62 22 2 0.05 0.09 0.17 0.0 1.01 -1.01 0.09 0.09 2 dynamic_TF_carry DAX False False 5.04 24 3 0.03 0.10 0.18 0.0 0.46 -0.46 0.10 0.10 3 dynamic_TF_carry BBCOMM False True 9.20 38 0 0.02 0.00 0.19 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry US3 False False 0.49 3 0 0.45 0.00 0.22 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry US-REALESTATE True False 2.91 9 0 0.08 0.00 0.25 0.0 0.00 0.00 0.00 0.00 0 dynamic_TF_carry SMI False False 0.99 5 1 0.26 0.26 0.26 0.0 0.74 -0.74 0.26 0.26 1 dynamic_TF_carry US2 False False 7.29 3 0 0.43 0.00 3.12 0.0 1.28 -1.28 0.00 0.00 0 GAT
Robert, if I recall correctly, almost half of your futures allocation is to relative value? I suppose that part doesn't get hit that much by these shocks and therefore the impact on your portfolio was not as large as opposed to those that do trend following and carry mainly?
Here's my forecast weights (before adjustments for different costs). Everything with a * is relative value. Code: avg_weights = dict( assettrend2= 0.015, assettrend4= 0.015, assettrend16= 0.03, assettrend32= 0.03, assettrend64= 0.03, assettrend8= 0.03, relmomentum10= 0.02, * relmomentum20= 0.02, * relmomentum40= 0.04,* relmomentum80= 0.04,* breakout10= 0.01, breakout20= 0.01, breakout40= 0.02, breakout80= 0.02, breakout160= 0.03, breakout320= 0.03, momentum4= 0.005, momentum8= 0.015, momentum16= 0.02, #3.3 momentum32= 0.03, momentum64= 0.03, normmom2= 0.01, normmom4= 0.01, normmom8= 0.02, normmom16= 0.02, #5.1 normmom32= 0.02, normmom64= 0.03, skewabs180= 0.02, skewabs365= 0.02, skewrv180= 0.02,* skewrv365= 0.02,* carry10= 0.03, carry125= 0.03, carry30= 0.03, carry60= 0.03, relcarry= 0.06,* mrinasset160= 0.04,* mrwrings4= 0.04,* accel16= 0.02, accel32= 0.02, accel64= 0.02 ) Total is 30% RV, so might have helped a bit. (I decided to row back from fitting these on a per instrument basis and they're now just simple handcrafted weights as you can see) As I've said before, next months blog post will be a complete description of my current system GAT