@Kernfusion to me it sounds that you have to do quite some analysis work in order to get just one forecast contributor (i.e. carry). I'm too lazy to do all this work and have therefore removed carry altogether, for all instruments.
The system made some profits this morning, Rob published a new blog-post (https://qoppac.blogspot.com/2022/02/exogenous-risk-overlay-take-two.html) - Life is good!
Was a good January - though not for people with big equity allocations. Code: Total p&l is 4.000% ==================================== P&L by instrument for all strategies ==================================== codes pandl 0 AEX -1.8 1 VIX -0.7 2 DOW -0.5 3 SP500_micro -0.3 4 GAS_US_mini -0.3 5 NASDAQ_micro -0.3 6 GOLD_micro -0.2 7 V2X -0.1 8 JPY -0.1 9 CAD -0.1 10 EU-DIV30 -0.1 11 DAX -0.1 12 EU-BASIC -0.1 ..... 17 BITCOIN 0.1 18 KR10 0.1 19 KOSDAQ 0.1 20 MUMMY 0.2 21 EU-AUTO 0.2 22 SOYOIL 0.2 23 CAC 0.2 24 IRON 0.4 25 CORN 0.4 26 CRUDE_W_mini 0.6 27 COPPER 0.6 28 SOYBEAN 1.0 29 GASOILINE 2.2 30 HEATOIL 2.3 ================== P&L by asset class ================== codes pandl 0 Equity -2.54 1 Vol -0.80 2 FX -0.20 3 Bond 0.08 4 Sector 0.12 5 Metals 0.84 6 Ags 1.58 7 OilGas 4.76
Risk Code: Total risk across all strategies, annualised percentage 13.5 ======================================== Risk per strategy, annualised percentage ======================================== risk dynamic_TF_carry 13.5 ==================================================================================================================================================================================================================================================================== 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 0.86 13.73 24.25 3.54 56.61 737.22 17877.48 632.47 10119.58 -1.0 363996.22 -4.91 -2.78 V2X 0.91 14.55 24.45 3.72 59.52 83.27 2035.94 75.74 1211.85 -4.0 363996.22 -2.24 -1.33 JPY 0.00 0.00 0.01 0.38 6.00 9215196.97 80577.68 302.23 4835.72 -1.0 363996.22 -22.14 -1.33 KR10 0.38 6.03 120.61 0.31 5.00 613.45 73988.44 231.29 3700.59 -1.0 363996.22 -20.33 -1.02 RUSSELL 32.93 526.95 2022.70 1.63 26.05 3.69 7455.83 121.40 1942.37 -1.0 363996.22 -2.05 -0.53 BITCOIN 1462.06 23392.91 37425.00 3.91 62.51 0.07 2759.03 107.79 1724.56 -1.0 363996.22 -0.76 -0.47 GOLD_micro 15.55 248.85 1808.70 0.86 13.76 7.37 13334.02 114.66 1834.54 1.0 363996.22 3.66 0.50 EU-DIV30 18.35 293.56 1970.00 0.93 14.90 8.33 16404.12 152.78 2444.48 1.0 363996.22 4.51 0.67 CORN 4.89 78.27 570.50 0.86 13.72 36.86 21029.08 180.32 2885.08 2.0 363996.22 11.55 1.59 SOYOIL 0.87 13.95 65.98 1.32 21.15 442.33 29184.90 385.77 6172.30 1.0 363996.22 8.02 1.70 SOYBEAN 10.79 172.56 1390.25 0.78 12.41 36.86 51245.71 397.54 6360.72 1.0 363996.22 14.08 1.75 CRUDE_W_mini 1.18 18.82 86.25 1.36 21.82 368.61 31792.43 433.50 6935.97 1.0 363996.22 8.73 1.91 EU-BASIC 12.04 192.60 626.40 1.92 30.75 41.63 26080.05 501.17 8018.66 1.0 363996.22 7.16 2.20 IRON 3.66 58.51 141.20 2.59 41.44 73.72 10409.49 269.60 4313.58 2.0 363996.22 5.72 2.37 HEATOIL 0.03 0.50 2.61 1.20 19.15 30963.06 80785.72 966.73 15467.60 1.0 363996.22 22.19 4.25 GASOILINE 0.03 0.52 2.67 1.22 19.47 30963.06 82823.09 1007.93 16126.95 1.0 363996.22 22.75 4.43 Sum of abs(notional exposure % capital) 160.8 Sum of abs(annualised risk % capital) 28.8 Net sum of annualised risk % capital 13.9 ===================================================================================================================================================== Correlations ===================================================================================================================================================== BITCOIN CORN CRUDE_W_mini EU-BASIC EU-DIV30 GASOILINE GOLD_micro HEATOIL IRON JPY KR10 RUSSELL SOYBEAN SOYOIL V2X VIX BITCOIN 1.00 0.13 0.15 0.21 0.12 0.14 0.10 0.14 -0.01 0.06 0.04 0.19 0.08 0.02 -0.08 -0.05 CORN 0.13 1.00 0.14 0.15 0.14 0.11 0.05 0.13 0.12 0.04 -0.05 0.09 0.43 0.28 0.03 0.04 CRUDE_W_mini 0.15 0.14 1.00 0.29 0.15 0.43 0.10 0.47 0.15 -0.05 -0.01 0.27 0.15 0.21 -0.19 -0.18 EU-BASIC 0.21 0.15 0.29 1.00 0.25 0.26 0.14 0.27 0.22 -0.02 -0.03 0.26 0.21 0.17 -0.20 -0.18 EU-DIV30 0.12 0.14 0.15 0.25 1.00 0.13 0.07 0.13 0.09 -0.09 -0.07 0.25 0.14 0.12 -0.17 -0.16 GASOILINE 0.14 0.11 0.43 0.26 0.13 1.00 0.05 0.46 0.16 0.01 0.00 0.29 0.15 0.21 -0.14 -0.16 GOLD_micro 0.10 0.05 0.10 0.14 0.07 0.05 1.00 0.08 -0.04 0.22 0.13 0.04 0.09 0.08 -0.04 -0.03 HEATOIL 0.14 0.13 0.47 0.27 0.13 0.46 0.08 1.00 0.18 -0.06 -0.04 0.26 0.16 0.23 -0.15 -0.15 IRON -0.01 0.12 0.15 0.22 0.09 0.16 -0.04 0.18 1.00 -0.09 -0.08 0.06 0.21 0.21 0.11 0.09 JPY 0.06 0.04 -0.05 -0.02 -0.09 0.01 0.22 -0.06 -0.09 1.00 0.12 -0.02 0.03 0.03 0.10 0.12 KR10 0.04 -0.05 -0.01 -0.03 -0.07 0.00 0.13 -0.04 -0.08 0.12 1.00 0.03 -0.05 -0.09 0.09 0.11 RUSSELL 0.19 0.09 0.27 0.26 0.25 0.29 0.04 0.26 0.06 -0.02 0.03 1.00 0.10 0.12 -0.26 -0.28 SOYBEAN 0.08 0.43 0.15 0.21 0.14 0.15 0.09 0.16 0.21 0.03 -0.05 0.10 1.00 0.36 0.02 0.04 SOYOIL 0.02 0.28 0.21 0.17 0.12 0.21 0.08 0.23 0.21 0.03 -0.09 0.12 0.36 1.00 0.02 0.04 V2X -0.08 0.03 -0.19 -0.20 -0.17 -0.14 -0.04 -0.15 0.11 0.10 0.09 -0.26 0.02 0.02 1.00 0.49 VIX -0.05 0.04 -0.18 -0.18 -0.16 -0.16 -0.03 -0.15 0.09 0.12 0.11 -0.28 0.04 0.04 0.49 1.00
Nice. By way of comparision non-DO portfolio, 38 instruments: Jan 22 + 3.3% Asset Class Breakdown BM* 0.06 BONDS -0.78 CRYPTO 0.05 ENERGY 2.66 EQUITIES -1.64 FX 0.13 PM* -0.58 SOFTS 3.47 STIR 0.10 VOL -0.19 *BM = Base Metals; PM = Precious Metals