Configuring a Multi-Rule, Volatility-Targeted Systematic Trading Portfolio
Code pysystemtrade
Summary
This configuration describes a multi-asset systematic trading framework that combines rules for breakouts, relative and absolute momentum, moving-average trends, carry, acceleration, and skew-related factors. The rules use multiple horizons and include parameters for volatility estimation, forecast scaling, signal attenuation, and a cap on forecast strength. Portfolio-level settings include a volatility target, instrument weights, a multiplier, and risk overlays that constrain portfolio risk and leverage.
The file is implementation configuration rather than an explanation of a strategy's rationale or a report of its results. It supplies parameter values and names the configured rule families, but does not document the historical sample, execution assumptions, transaction costs, instrument universe construction, or performance. The excerpt is also incomplete, so the full instrument allocations and system behavior cannot be reconstructed from it. It can teach how a diversified rules-based system is assembled and controlled, while providing no evidence that these settings are robust or profitable.
Key ideas
- The configuration combines breakout, trend, momentum, carry, acceleration, and factor-based trading rules across several horizons.
- Volatility estimation and forecast scaling are used to standardize or control rule signals.
- Portfolio settings specify a volatility target, instrument weights, and risk limits.
- The document provides parameters rather than an explanation of their derivation or empirical validation.
- The excerpt is incomplete and omits important details about data, execution, costs, and performance.
Tags
Full text
# config.yaml
```yaml
#YAML
# start_date: 2000-01-19
use_forecast_weight_estimates: False
use_forecast_div_mult_estimates: False
use_instrument_weight_estimates: False
use_instrument_div_mult_estimates: True
use_forecast_scale_estimates: False
#
#
#
#
#
#
#
# Raw data
#
#
# Trading rules
#
volatility_calculation:
func: "sysquant.estimators.vol.mixed_vol_calc"
days: 35
min_periods: 10
vol_abs_min: 0.0000000001
slow_vol_years: 20
proportion_of_slow_vol: 0.35
backfill: True
#
use_attenuation:
- 'breakout10'
- 'breakout20'
- 'breakout40'
- 'breakout80'
- 'breakout160'
- 'breakout320'
- 'relmomentum10'
- 'relmomentum20'
- 'relmomentum40'
- 'relmomentum80'
- 'mrinasset1000'
- 'assettrend2'
- 'assettrend4'
- 'assettrend8'
- 'assettrend16'
- 'assettrend32'
- 'assettrend64'
- 'normmom2'
- 'normmom4'
- 'normmom8'
- 'normmom16'
- 'normmom32'
- 'normmom64'
- 'momentum4'
- 'momentum8'
- 'momentum16'
- 'momentum32'
- 'momentum64'
#
trading_rules:
breakout10:
function: systems.provided.rules.breakout.breakout
data:
- "rawdata.get_daily_prices"
other_args:
lookback: 10
breakout20:
function: systems.provided.rules.breakout.breakout
data:
- "rawdata.get_daily_prices"
other_args:
lookback: 20
breakout40:
function: systems.provided.rules.breakout.breakout
data:
- "rawdata.get_daily_prices"
other_args:
lookback: 40
breakout80:
function: systems.provided.rules.breakout.breakout
data:
- "rawdata.get_daily_prices"
other_args:
lookback: 80
breakout160:
function: systems.provided.rules.breakout.breakout
data:
- "rawdata.get_daily_prices"
other_args:
lookback: 160
breakout320:
function: systems.provided.rules.breakout.breakout
data:
- "rawdata.get_daily_prices"
other_args:
lookback: 320
relmomentum10:
function: systems.provided.rules.rel_mom.relative_momentum
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
- "rawdata.normalised_price_for_asset_class"
other_args:
horizon: 10
relmomentum20:
function: systems.provided.rules.rel_mom.relative_momentum
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
- "rawdata.normalised_price_for_asset_class"
other_args:
horizon: 20
relmomentum40:
function: systems.provided.rules.rel_mom.relative_momentum
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
- "rawdata.normalised_price_for_asset_class"
other_args:
horizon: 40
relmomentum80:
function: systems.provided.rules.rel_mom.relative_momentum
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
- "rawdata.normalised_price_for_asset_class"
other_args:
horizon: 80
mrinasset1000:
function: systems.provided.rules.cs_mr.cross_sectional_mean_reversion
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
- "rawdata.normalised_price_for_asset_class"
other_args:
horizon: 1000
carry10:
function: systems.provided.rules.carry.carry
data:
- "rawdata.raw_carry"
other_args:
smooth_days: 10
carry30:
function: systems.provided.rules.carry.carry
data:
- "rawdata.raw_carry"
other_args:
smooth_days: 30
carry60:
function: systems.provided.rules.carry.carry
data:
- "rawdata.raw_carry"
other_args:
smooth_days: 60
carry125:
function: systems.provided.rules.carry.carry
data:
- "rawdata.raw_carry"
other_args:
smooth_days: 125
assettrend2:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.normalised_price_for_asset_class"
other_args:
Lfast: 2
Lslow: 8
assettrend4:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.normalised_price_for_asset_class"
other_args:
Lfast: 4
Lslow: 16
assettrend8:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.normalised_price_for_asset_class"
other_args:
Lfast: 8
Lslow: 32
assettrend16:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.normalised_price_for_asset_class"
other_args:
Lfast: 16
Lslow: 64
assettrend32:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.normalised_price_for_asset_class"
other_args:
Lfast: 32
Lslow: 128
assettrend64:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.normalised_price_for_asset_class"
other_args:
Lfast: 64
Lslow: 256
normmom2:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
other_args:
Lfast: 2
Lslow: 8
normmom4:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
other_args:
Lfast: 4
Lslow: 16
normmom8:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
other_args:
Lfast: 8
Lslow: 32
normmom16:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
other_args:
Lfast: 16
Lslow: 64
normmom32:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
other_args:
Lfast: 32
Lslow: 128
normmom64:
function: systems.provided.rules.ewmac.ewmac_calc_vol
data:
- "rawdata.get_cumulative_daily_vol_normalised_returns"
other_args:
Lfast: 64
Lslow: 256
momentum4:
function: systems.provided.rules.ewmac.ewmac
data:
- "rawdata.get_daily_prices"
- "rawdata.daily_returns_volatility"
other_args:
Lfast: 4
Lslow: 16
momentum8:
function: systems.provided.rules.ewmac.ewmac
data:
- "rawdata.get_daily_prices"
- "rawdata.daily_returns_volatility"
other_args:
Lfast: 8
Lslow: 32
momentum16:
function: systems.provided.rules.ewmac.ewmac
data:
- "rawdata.get_daily_prices"
- "rawdata.daily_returns_volatility"
other_args:
Lfast: 16
Lslow: 64
momentum32:
function: systems.provided.rules.ewmac.ewmac
data:
- "rawdata.get_daily_prices"
- "rawdata.daily_returns_volatility"
other_args:
Lfast: 32
Lslow: 128
momentum64:
function: systems.provided.rules.ewmac.ewmac
data:
- "rawdata.get_daily_prices"
- "rawdata.daily_returns_volatility"
other_args:
Lfast: 64
Lslow: 256
relcarry:
function: systems.provided.rules.carry.relative_carry
data:
- "rawdata.smoothed_carry"
- "rawdata.median_carry_for_asset_class"
skewabs365:
function: systems.provided.rules.factors.factor_trading_rule
data:
- 'rawdata.get_demeanded_factor_value'
other_args:
smooth: 90
_factor_name: 'neg_skew'
_demean_method: 'historic_average_factor_value_all_assets'
_lookback_days: 365
skewabs180:
function: systems.provided.rules.factors.factor_trading_rule
data:
- 'rawdata.get_demeanded_factor_value'
other_args:
smooth: 45
_factor_name: 'neg_skew'
_demean_method: 'historic_average_factor_value_all_assets'
_lookback_days: 180
skewrv365:
function: systems.provided.rules.factors.factor_trading_rule
data:
- 'rawdata.get_demeanded_factor_value'
other_args:
smooth: 90
_factor_name: 'neg_skew'
_demean_method: 'average_factor_value_in_asset_class_for_instrument'
_lookback_days: 365
skewrv180:
function: systems.provided.rules.factors.factor_trading_rule
data:
- 'rawdata.get_demeanded_factor_value'
other_args:
smooth: 45
_factor_name: 'neg_skew'
_demean_method: 'average_factor_value_in_asset_class_for_instrument'
_lookback_days: 180
accel16:
function: systems.provided.rules.accel.accel
data:
- "rawdata.get_daily_prices"
- "rawdata.daily_returns_volatility"
other_args:
Lfast: 16
accel32:
function: systems.provided.rules.accel.accel
data:
- "rawdata.get_daily_prices"
- "rawdata.daily_returns_volatility"
other_args:
Lfast: 32
accel64:
function: systems.provided.rules.accel.accel
data:
- "rawdata.get_daily_prices"
- "rawdata.daily_returns_volatility"
other_args:
Lfast: 64
#
forecast_cap: 20.0
#
forecast_scalars:
accel16: 7.8170710605387095
accel32: 5.563487137713779
accel64: 3.896720541225276
assettrend16: 3.549452858682833
assettrend2: 10.846520114531351
assettrend32: 2.3449234496490723
assettrend4: 7.572334583056326
assettrend64: 1.5465144366886119
assettrend8: 5.190470936448635
breakout10: 0.6031025130185256
breakout160: 0.7388310187414805
breakout20: 0.6742627921625178
breakout320: 0.7366197028421859
breakout40: 0.7036929411910525
breakout80: 0.726260784624834
carry10: 27.815707053556984
carry125: 29.366474500729886
carry30: 28.384062881349813
carry60: 28.40072429176199
momentum16: 4.104172020369661
momentum32: 2.786994330124792
momentum4: 8.539940954709955
momentum64: 1.9093945630747895
momentum8: 5.949404365193165
mrinasset1000: 653.253194
normmom16: 4.116536590599602
normmom2: 12.388305650778637
normmom32: 2.758872936017786
normmom4: 8.614429965006694
normmom64: 1.8706800701120874
normmom8: 5.979138542342214
relcarry: 49.44179741391023
relmomentum10: 61.24026078373817
relmomentum20: 86.50746400987076
relmomentum40: 117.77937298659975
relmomentum80: 159.87802982511536
skewabs180: 4.590246757939031
skewabs365: 2.351483885205172
skewrv180: 5.244752769697409
skewrv365: 3.002222097593425
#
# forecast combination
#
# Capital correction
#
percentage_vol_target: 25.0
notional_trading_capital: 500000
base_currency: "USD"
#
# Portfolio creation
#
instrument_div_multiplier: 2.75
risk_overlay:
max_risk_fraction_normal_risk: 1.75
max_risk_fraction_stdev_risk: 4.0
max_risk_limit_sum_abs_risk: 4.0
max_risk_leverage: 20.0
instrument_weights:
AEX: 0.00673
ALUMINIUM: 0.0114
AUD: 0.00509
AUDJPY: 0.00533
BB3M: 0.0048
BBCOMM: 0.0126
BITCOIN: 0.0144
BOBL: 0.00346
BONO: 0.00666
BOVESPA: 0.00515
BRE: 0.00509
BRENT-LAST: 0.0183
BTP: 0.00486
BTP3: 0.00486
BUND: 0.00346
BUTTER: 0.0042
BUXL: 0.00346
CAC: 0.00673
CAD: 0.00509
CH10: 0.00666
CHEESE: 0.0042
CHF: 0.00509
CHFJPY: 0.00533
CLP: 0.00509
CNH: 0.00509
COPPER-micro: 0.0114
CORN: 0.0112
COTTON: 0.0102
CRUDE_W: 0.0183
CZK: 0.00509
DAX: 0.00673
DJSTX-SMALL: 0.00251
DOW: 0.0124
EPRA-EUROPE: 0.000598
ETHANOL: 0.0122
ETHEREUM: 0.0144
EU-AUTO: 0.000598
EU-BANKS: 0.000598
EU-BASIC: 0.000598
EU-CHEM: 0.000598
EU-CONSTRUCTION: 0.000598
EU-DIV30: 0.00302
EU-DJ-TELECOM: 0.000598
EU-DJ-UTIL: 0.000598
EU-FOOD: 0.000598
EU-HEALTH: 0.000598
EU-HOUSE: 0.000598
EU-INSURE: 0.000598
EU-MEDIA: 0.000598
EU-MID: 0.00503
EU-OIL: 0.000598
EU-REALESTATE: 0.000598
EU-RETAIL: 0.000598
EU-TECH: 0.000598
EU-TRAVEL: 0.000598
EURAUD: 0.00533
EURCAD: 0.00533
EURCHF: 0.00533
EURIBOR: 0.00666
EURO600: 0.00302
EUROSTX: 0.00302
EUROSTX-LARGE: 0.00302
EUROSTX-SMALL: 0.00251
EUROSTX200-LARGE: 0.00302
EUR_micro: 0.00509
FED: 0.0048
FEEDCOW: 0.0116
FTSECHINAA: 0.00356
FTSECHINAH: 0.00356
FTSEINDO: 0.00515
FTSETAIWAN: 0.00515
FTSEVIET: 0.00475
GAS-LAST: 0.0122
GAS-PEN: 0.0122
GASOILINE: 0.0122
GAS_US_mini: 0.0122
GBP: 0.00509
GBPCHF: 0.00533
GBPEUR: 0.00533
GBPJPY: 0.00533
GICS: 0.0126
GOLD_micro: 0.0114
HEATOIL: 0.0122
HOUSE-US: 0.000393
INR: 0.00509
IRON: 0.0114
IRS: 0.00509
JGB-SGX-mini: 0.0224
JP-REALESTATE: 0.00359
JPY: 0.00509
KOSDAQ: 0.00356
KOSPI_mini: 0.00356
KR10: 0.0112
KR3: 0.0112
KRWUSD_mini: 0.00509
LEANHOG: 0.0116
LIVECOW: 0.0116
LUMBER-new: 0.0144
MILK: 0.0042
MILKDRY: 0.0042
MILKWET: 0.0042
MSCIASIA: 0.00823
MSCISING: 0.00561
MSCIWORLD: 0.0132
MUMMY: 0.00359
MXP: 0.00509
NASDAQ_micro: 0.0124
NIFTY: 0.00515
NIKKEI: 0.00359
NIKKEI400: 0.00359
NOK: 0.00509
NZD: 0.00509
OAT: 0.00666
OATIES: 0.0112
OMX: 0.00673
PALLAD: 0.0114
PLAT: 0.0114
PLN: 0.00509
R1000: 0.0124
REDWHEAT: 0.0057
RICE: 0.0112
RUBBER: 0.0102
RUR: 0.00509
RUSSELL: 0.000393
SEK: 0.00509
SGD: 0.00509
SGX: 0.00561
SHATZ: 0.00346
SILVER: 0.0114
SMI: 0.00399
SMI-MID: 0.00399
SOFR: 0.0064
SOYBEAN_mini: 0.005
SOYMEAL: 0.005
SOYOIL: 0.005
SP400: 0.000393
SP500_micro: 0.0124
STEEL: 0.0114
SWISSLEAD: 0.00399
TOPIX: 0.00359
TWD: 0.00509
US-DISCRETE: 0.000393
US-ENERGY: 0.000393
US-FINANCE: 0.000393
US-HEALTH: 0.000393
US-INDUSTRY: 0.000393
US-MATERIAL: 0.000393
US-PROPERTY: 0.000393
US-REALESTATE: 0.000393
US-STAPLES: 0.000393
US-TECH: 0.000393
US-UTILS: 0.000393
US10: 0.00352
US10U: 0.00352
US2: 0.00512
US20: 0.00512
US3: 0.00512
US30: 0.00512
US5: 0.00512
USIRS10: 0.004
USIRS2ERIS: 0.004
USIRS5: 0.004
USIRS5ERIS: 0.004
V2X: 0.0175
VIX: 0.0175
VNKI: 0.015
WHEAT: 0.0057
WHEY: 0.0042
YENEUR: 0.00533
ZAR: 0.00509
forecast_weights:
AEX:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
ALUMINIUM:
accel16: 0.0
accel32: 0.0
accel64: 0.038
assettrend16: 0.025
assettrend2: 0.0
assettrend32: 0.025
assettrend4: 0.0
assettrend64: 0.025
assettrend8: 0.025
breakout10: 0.0
breakout160: 0.063
breakout20: 0.0
breakout320: 0.063
breakout40: 0.0
breakout80: 0.051
carry10: 0.032
carry125: 0.038
carry30: 0.032
carry60: 0.038
momentum16: 0.025
momentum32: 0.038
momentum4: 0.0
momentum64: 0.038
momentum8: 0.0
mrinasset1000: 0.063
normmom16: 0.025
normmom2: 0.0
normmom32: 0.025
normmom4: 0.0
normmom64: 0.025
normmom8: 0.025
relcarry: 0.063
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.038
relmomentum80: 0.051
skewabs180: 0.032
skewabs365: 0.032
skewrv180: 0.032
skewrv365: 0.032
AUD:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
AUDJPY:
accel16: 0.031
accel32: 0.031
accel64: 0.031
assettrend16: 0.021
assettrend2: 0.01
assettrend32: 0.021
assettrend4: 0.01
assettrend64: 0.021
assettrend8: 0.021
breakout10: 0.0
breakout160: 0.052
breakout20: 0.01
breakout320: 0.052
breakout40: 0.041
breakout80: 0.041
carry10: 0.026
carry125: 0.031
carry30: 0.026
carry60: 0.031
momentum16: 0.021
momentum32: 0.031
momentum4: 0.0
momentum64: 0.031
momentum8: 0.016
mrinasset1000: 0.052
normmom16: 0.021
normmom2: 0.0
normmom32: 0.021
normmom4: 0.01
normmom64: 0.021
normmom8: 0.021
relcarry: 0.052
relmomentum10: 0.0
relmomentum20: 0.021
relmomentum40: 0.031
relmomentum80: 0.041
skewabs180: 0.026
skewabs365: 0.026
skewrv180: 0.026
skewrv365: 0.026
BB3M:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
BBCOMM:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.029
assettrend2: 0.0
assettrend32: 0.029
assettrend4: 0.0
assettrend64: 0.029
assettrend8: 0.029
breakout10: 0.0
breakout160: 0.072
breakout20: 0.0
breakout320: 0.072
breakout40: 0.0
breakout80: 0.058
carry10: 0.036
carry125: 0.043
carry30: 0.036
carry60: 0.043
momentum16: 0.0
momentum32: 0.043
momentum4: 0.0
momentum64: 0.043
momentum8: 0.0
mrinasset1000: 0.072
normmom16: 0.029
normmom2: 0.0
normmom32: 0.029
normmom4: 0.0
normmom64: 0.029
normmom8: 0.0
relcarry: 0.072
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.058
skewabs180: 0.036
skewabs365: 0.036
skewrv180: 0.036
skewrv365: 0.036
BITCOIN:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.032
assettrend2: 0.0
assettrend32: 0.032
assettrend4: 0.0
assettrend64: 0.032
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.079
breakout20: 0.0
breakout320: 0.079
breakout40: 0.0
breakout80: 0.0
carry10: 0.04
carry125: 0.048
carry30: 0.04
carry60: 0.048
momentum16: 0.0
momentum32: 0.048
momentum4: 0.0
momentum64: 0.048
momentum8: 0.0
mrinasset1000: 0.079
normmom16: 0.032
normmom2: 0.0
normmom32: 0.032
normmom4: 0.0
normmom64: 0.032
normmom8: 0.0
relcarry: 0.079
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.063
skewabs180: 0.04
skewabs365: 0.04
skewrv180: 0.04
skewrv365: 0.04
BOBL:
accel16: 0.031
accel32: 0.031
accel64: 0.031
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.0
breakout160: 0.051
breakout20: 0.01
breakout320: 0.051
breakout40: 0.041
breakout80: 0.041
carry10: 0.026
carry125: 0.031
carry30: 0.026
carry60: 0.031
momentum16: 0.02
momentum32: 0.031
momentum4: 0.005
momentum64: 0.031
momentum8: 0.015
mrinasset1000: 0.051
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.051
relmomentum10: 0.0
relmomentum20: 0.02
relmomentum40: 0.031
relmomentum80: 0.041
skewabs180: 0.026
skewabs365: 0.026
skewrv180: 0.026
skewrv365: 0.026
BONO:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
BOVESPA:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.032
assettrend2: 0.0
assettrend32: 0.032
assettrend4: 0.0
assettrend64: 0.032
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.079
breakout20: 0.0
breakout320: 0.079
breakout40: 0.0
breakout80: 0.0
carry10: 0.04
carry125: 0.048
carry30: 0.04
carry60: 0.048
momentum16: 0.0
momentum32: 0.048
momentum4: 0.0
momentum64: 0.048
momentum8: 0.0
mrinasset1000: 0.079
normmom16: 0.032
normmom2: 0.0
normmom32: 0.032
normmom4: 0.0
normmom64: 0.032
normmom8: 0.0
relcarry: 0.079
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.063
skewabs180: 0.04
skewabs365: 0.04
skewrv180: 0.04
skewrv365: 0.04
BRE:
accel16: 0.032
accel32: 0.032
accel64: 0.032
assettrend16: 0.021
assettrend2: 0.0
assettrend32: 0.021
assettrend4: 0.011
assettrend64: 0.021
assettrend8: 0.021
breakout10: 0.0
breakout160: 0.053
breakout20: 0.0
breakout320: 0.053
breakout40: 0.042
breakout80: 0.042
carry10: 0.026
carry125: 0.032
carry30: 0.026
carry60: 0.032
momentum16: 0.021
momentum32: 0.032
momentum4: 0.0
momentum64: 0.032
momentum8: 0.016
mrinasset1000: 0.053
normmom16: 0.021
normmom2: 0.0
normmom32: 0.021
normmom4: 0.011
normmom64: 0.021
normmom8: 0.021
relcarry: 0.053
relmomentum10: 0.0
relmomentum20: 0.021
relmomentum40: 0.032
relmomentum80: 0.042
skewabs180: 0.026
skewabs365: 0.026
skewrv180: 0.026
skewrv365: 0.026
BRENT-LAST:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
BTP:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
BTP3:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.056
breakout20: 0.0
breakout320: 0.056
breakout40: 0.045
breakout80: 0.045
carry10: 0.028
carry125: 0.034
carry30: 0.028
carry60: 0.034
momentum16: 0.022
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.017
mrinasset1000: 0.056
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.056
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.045
skewabs180: 0.028
skewabs365: 0.028
skewrv180: 0.028
skewrv365: 0.028
BUND:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
BUTTER:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
BUXL:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
CAC:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
CAD:
accel16: 0.031
accel32: 0.031
accel64: 0.031
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.0
breakout160: 0.051
breakout20: 0.01
breakout320: 0.051
breakout40: 0.041
breakout80: 0.041
carry10: 0.026
carry125: 0.031
carry30: 0.026
carry60: 0.031
momentum16: 0.02
momentum32: 0.031
momentum4: 0.005
momentum64: 0.031
momentum8: 0.015
mrinasset1000: 0.051
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.051
relmomentum10: 0.0
relmomentum20: 0.02
relmomentum40: 0.031
relmomentum80: 0.041
skewabs180: 0.026
skewabs365: 0.026
skewrv180: 0.026
skewrv365: 0.026
CH10:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
CHEESE:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
CHF:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.0
breakout160: 0.051
breakout20: 0.01
breakout320: 0.051
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.051
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.051
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
CHFJPY:
accel16: 0.032
accel32: 0.032
accel64: 0.032
assettrend16: 0.021
assettrend2: 0.0
assettrend32: 0.021
assettrend4: 0.011
assettrend64: 0.021
assettrend8: 0.021
breakout10: 0.0
breakout160: 0.053
breakout20: 0.0
breakout320: 0.053
breakout40: 0.042
breakout80: 0.042
carry10: 0.026
carry125: 0.032
carry30: 0.026
carry60: 0.032
momentum16: 0.021
momentum32: 0.032
momentum4: 0.0
momentum64: 0.032
momentum8: 0.016
mrinasset1000: 0.053
normmom16: 0.021
normmom2: 0.0
normmom32: 0.021
normmom4: 0.011
normmom64: 0.021
normmom8: 0.021
relcarry: 0.053
relmomentum10: 0.0
relmomentum20: 0.021
relmomentum40: 0.032
relmomentum80: 0.042
skewabs180: 0.026
skewabs365: 0.026
skewrv180: 0.026
skewrv365: 0.026
CLP:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
CNH:
accel16: 0.031
accel32: 0.031
accel64: 0.031
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.0
breakout160: 0.051
breakout20: 0.01
breakout320: 0.051
breakout40: 0.041
breakout80: 0.041
carry10: 0.026
carry125: 0.031
carry30: 0.026
carry60: 0.031
momentum16: 0.02
momentum32: 0.031
momentum4: 0.005
momentum64: 0.031
momentum8: 0.015
mrinasset1000: 0.051
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.051
relmomentum10: 0.0
relmomentum20: 0.02
relmomentum40: 0.031
relmomentum80: 0.041
skewabs180: 0.026
skewabs365: 0.026
skewrv180: 0.026
skewrv365: 0.026
COPPER-micro:
accel16: 0.031
accel32: 0.031
accel64: 0.031
assettrend16: 0.021
assettrend2: 0.01
assettrend32: 0.021
assettrend4: 0.01
assettrend64: 0.021
assettrend8: 0.021
breakout10: 0.0
breakout160: 0.052
breakout20: 0.01
breakout320: 0.052
breakout40: 0.041
breakout80: 0.041
carry10: 0.026
carry125: 0.031
carry30: 0.026
carry60: 0.031
momentum16: 0.021
momentum32: 0.031
momentum4: 0.0
momentum64: 0.031
momentum8: 0.016
mrinasset1000: 0.052
normmom16: 0.021
normmom2: 0.0
normmom32: 0.021
normmom4: 0.01
normmom64: 0.021
normmom8: 0.021
relcarry: 0.052
relmomentum10: 0.0
relmomentum20: 0.021
relmomentum40: 0.031
relmomentum80: 0.041
skewabs180: 0.026
skewabs365: 0.026
skewrv180: 0.026
skewrv365: 0.026
CORN:
accel16: 0.032
accel32: 0.032
accel64: 0.032
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.054
breakout20: 0.0
breakout320: 0.054
breakout40: 0.043
breakout80: 0.043
carry10: 0.027
carry125: 0.032
carry30: 0.027
carry60: 0.032
momentum16: 0.022
momentum32: 0.032
momentum4: 0.0
momentum64: 0.032
momentum8: 0.016
mrinasset1000: 0.054
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.054
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.032
relmomentum80: 0.043
skewabs180: 0.027
skewabs365: 0.027
skewrv180: 0.027
skewrv365: 0.027
COTTON:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
CRUDE_W:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
CZK:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
DAX:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.0
breakout160: 0.051
breakout20: 0.01
breakout320: 0.051
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.051
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.051
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
DJSTX-SMALL:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.028
assettrend2: 0.0
assettrend32: 0.028
assettrend4: 0.0
assettrend64: 0.028
assettrend8: 0.028
breakout10: 0.0
breakout160: 0.07
breakout20: 0.0
breakout320: 0.07
breakout40: 0.0
breakout80: 0.056
carry10: 0.035
carry125: 0.042
carry30: 0.035
carry60: 0.042
momentum16: 0.0
momentum32: 0.042
momentum4: 0.0
momentum64: 0.042
momentum8: 0.0
mrinasset1000: 0.07
normmom16: 0.028
normmom2: 0.0
normmom32: 0.028
normmom4: 0.0
normmom64: 0.028
normmom8: 0.028
relcarry: 0.07
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.056
skewabs180: 0.035
skewabs365: 0.035
skewrv180: 0.035
skewrv365: 0.035
DOW:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.01
breakout160: 0.05
breakout20: 0.01
breakout320: 0.05
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.05
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.05
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
EPRA-EUROPE:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
ETHANOL:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.0
assettrend2: 0.0
assettrend32: 0.0
assettrend4: 0.0
assettrend64: 0.1
assettrend8: 0.0
breakout10: 0.0
breakout160: 0.0
breakout20: 0.0
breakout320: 0.25
breakout40: 0.0
breakout80: 0.0
carry10: 0.0
carry125: 0.15
carry30: 0.0
carry60: 0.0
momentum16: 0.0
momentum32: 0.0
momentum4: 0.0
momentum64: 0.15
momentum8: 0.0
mrinasset1000: 0.25
normmom16: 0.0
normmom2: 0.0
normmom32: 0.0
normmom4: 0.0
normmom64: 0.1
normmom8: 0.0
relcarry: 0.0
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.0
skewabs180: 0.0
skewabs365: 0.0
skewrv180: 0.0
skewrv365: 0.0
ETHEREUM:
accel16: 0.03
accel32: 0.03
accel64: 0.03
assettrend16: 0.02
assettrend2: 0.01
assettrend32: 0.02
assettrend4: 0.01
assettrend64: 0.02
assettrend8: 0.02
breakout10: 0.0
breakout160: 0.051
breakout20: 0.01
breakout320: 0.051
breakout40: 0.04
breakout80: 0.04
carry10: 0.025
carry125: 0.03
carry30: 0.025
carry60: 0.03
momentum16: 0.02
momentum32: 0.03
momentum4: 0.005
momentum64: 0.03
momentum8: 0.015
mrinasset1000: 0.051
normmom16: 0.02
normmom2: 0.01
normmom32: 0.02
normmom4: 0.01
normmom64: 0.02
normmom8: 0.02
relcarry: 0.051
relmomentum10: 0.01
relmomentum20: 0.02
relmomentum40: 0.03
relmomentum80: 0.04
skewabs180: 0.025
skewabs365: 0.025
skewrv180: 0.025
skewrv365: 0.025
EU-AUTO:
accel16: 0.032
accel32: 0.032
accel64: 0.032
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.054
breakout20: 0.0
breakout320: 0.054
breakout40: 0.043
breakout80: 0.043
carry10: 0.027
carry125: 0.032
carry30: 0.027
carry60: 0.032
momentum16: 0.022
momentum32: 0.032
momentum4: 0.0
momentum64: 0.032
momentum8: 0.016
mrinasset1000: 0.054
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.054
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.032
relmomentum80: 0.043
skewabs180: 0.027
skewabs365: 0.027
skewrv180: 0.027
skewrv365: 0.027
EU-BANKS:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.023
assettrend2: 0.0
assettrend32: 0.023
assettrend4: 0.011
assettrend64: 0.023
assettrend8: 0.023
breakout10: 0.0
breakout160: 0.057
breakout20: 0.0
breakout320: 0.057
breakout40: 0.045
breakout80: 0.045
carry10: 0.028
carry125: 0.034
carry30: 0.028
carry60: 0.034
momentum16: 0.023
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.0
mrinasset1000: 0.057
normmom16: 0.023
normmom2: 0.0
normmom32: 0.023
normmom4: 0.011
normmom64: 0.023
normmom8: 0.023
relcarry: 0.057
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.045
skewabs180: 0.028
skewabs365: 0.028
skewrv180: 0.028
skewrv365: 0.028
EU-BASIC:
accel16: 0.032
accel32: 0.032
accel64: 0.032
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.054
breakout20: 0.0
breakout320: 0.054
breakout40: 0.043
breakout80: 0.043
carry10: 0.027
carry125: 0.032
carry30: 0.027
carry60: 0.032
momentum16: 0.022
momentum32: 0.032
momentum4: 0.0
momentum64: 0.032
momentum8: 0.016
mrinasset1000: 0.054
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.054
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.032
relmomentum80: 0.043
skewabs180: 0.027
skewabs365: 0.027
skewrv180: 0.027
skewrv365: 0.027
EU-CHEM:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.056
breakout20: 0.0
breakout320: 0.056
breakout40: 0.045
breakout80: 0.045
carry10: 0.028
carry125: 0.034
carry30: 0.028
carry60: 0.034
momentum16: 0.022
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.017
mrinasset1000: 0.056
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.056
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.045
skewabs180: 0.028
skewabs365: 0.028
skewrv180: 0.028
skewrv365: 0.028
EU-CONSTRUCTION:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.023
assettrend2: 0.0
assettrend32: 0.023
assettrend4: 0.011
assettrend64: 0.023
assettrend8: 0.023
breakout10: 0.0
breakout160: 0.057
breakout20: 0.0
breakout320: 0.057
breakout40: 0.045
breakout80: 0.045
carry10: 0.028
carry125: 0.034
carry30: 0.028
carry60: 0.034
momentum16: 0.023
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.0
mrinasset1000: 0.057
normmom16: 0.023
normmom2: 0.0
normmom32: 0.023
normmom4: 0.011
normmom64: 0.023
normmom8: 0.023
relcarry: 0.057
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.045
skewabs180: 0.028
skewabs365: 0.028
skewrv180: 0.028
skewrv365: 0.028
EU-DIV30:
accel16: 0.0
accel32: 0.037
accel64: 0.037
assettrend16: 0.024
assettrend2: 0.0
assettrend32: 0.024
assettrend4: 0.0
assettrend64: 0.024
assettrend8: 0.024
breakout10: 0.0
breakout160: 0.061
breakout20: 0.0
breakout320: 0.061
breakout40: 0.0
breakout80: 0.049
carry10: 0.03
carry125: 0.037
carry30: 0.03
carry60: 0.037
momentum16: 0.024
momentum32: 0.037
momentum4: 0.0
momentum64: 0.037
momentum8: 0.0
mrinasset1000: 0.061
normmom16: 0.024
normmom2: 0.0
normmom32: 0.024
normmom4: 0.0
normmom64: 0.024
normmom8: 0.024
relcarry: 0.061
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.037
relmomentum80: 0.049
skewabs180: 0.03
skewabs365: 0.03
skewrv180: 0.03
skewrv365: 0.03
EU-DJ-TELECOM:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.028
assettrend2: 0.0
assettrend32: 0.028
assettrend4: 0.0
assettrend64: 0.028
assettrend8: 0.028
breakout10: 0.0
breakout160: 0.07
breakout20: 0.0
breakout320: 0.07
breakout40: 0.0
breakout80: 0.056
carry10: 0.035
carry125: 0.042
carry30: 0.035
carry60: 0.042
momentum16: 0.0
momentum32: 0.042
momentum4: 0.0
momentum64: 0.042
momentum8: 0.0
mrinasset1000: 0.07
normmom16: 0.028
normmom2: 0.0
normmom32: 0.028
normmom4: 0.0
normmom64: 0.028
normmom8: 0.028
relcarry: 0.07
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.056
skewabs180: 0.035
skewabs365: 0.035
skewrv180: 0.035
skewrv365: 0.035
EU-DJ-UTIL:
accel16: 0.0
accel32: 0.0
accel64: 0.039
assettrend16: 0.026
assettrend2: 0.0
assettrend32: 0.026
assettrend4: 0.0
assettrend64: 0.026
assettrend8: 0.026
breakout10: 0.0
breakout160: 0.066
breakout20: 0.0
breakout320: 0.066
breakout40: 0.0
breakout80: 0.053
carry10: 0.033
carry125: 0.039
carry30: 0.033
carry60: 0.039
momentum16: 0.026
momentum32: 0.039
momentum4: 0.0
momentum64: 0.039
momentum8: 0.0
mrinasset1000: 0.066
normmom16: 0.026
normmom2: 0.0
normmom32: 0.026
normmom4: 0.0
normmom64: 0.026
normmom8: 0.026
relcarry: 0.066
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.053
skewabs180: 0.033
skewabs365: 0.033
skewrv180: 0.033
skewrv365: 0.033
EU-FOOD:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.023
assettrend2: 0.0
assettrend32: 0.023
assettrend4: 0.011
assettrend64: 0.023
assettrend8: 0.023
breakout10: 0.0
breakout160: 0.057
breakout20: 0.0
breakout320: 0.057
breakout40: 0.046
breakout80: 0.046
carry10: 0.029
carry125: 0.034
carry30: 0.029
carry60: 0.034
momentum16: 0.023
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.0
mrinasset1000: 0.057
normmom16: 0.023
normmom2: 0.0
normmom32: 0.023
normmom4: 0.0
normmom64: 0.023
normmom8: 0.023
relcarry: 0.057
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.046
skewabs180: 0.029
skewabs365: 0.029
skewrv180: 0.029
skewrv365: 0.029
EU-HEALTH:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.023
assettrend2: 0.0
assettrend32: 0.023
assettrend4: 0.011
assettrend64: 0.023
assettrend8: 0.023
breakout10: 0.0
breakout160: 0.057
breakout20: 0.0
breakout320: 0.057
breakout40: 0.046
breakout80: 0.046
carry10: 0.029
carry125: 0.034
carry30: 0.029
carry60: 0.034
momentum16: 0.023
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.0
mrinasset1000: 0.057
normmom16: 0.023
normmom2: 0.0
normmom32: 0.023
normmom4: 0.0
normmom64: 0.023
normmom8: 0.023
relcarry: 0.057
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.046
skewabs180: 0.029
skewabs365: 0.029
skewrv180: 0.029
skewrv365: 0.029
EU-HOUSE:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.056
breakout20: 0.0
breakout320: 0.056
breakout40: 0.045
breakout80: 0.045
carry10: 0.028
carry125: 0.034
carry30: 0.028
carry60: 0.034
momentum16: 0.022
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.017
mrinasset1000: 0.056
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.056
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.045
skewabs180: 0.028
skewabs365: 0.028
skewrv180: 0.028
skewrv365: 0.028
EU-INSURE:
accel16: 0.0
accel32: 0.037
accel64: 0.037
assettrend16: 0.024
assettrend2: 0.0
assettrend32: 0.024
assettrend4: 0.0
assettrend64: 0.024
assettrend8: 0.024
breakout10: 0.0
breakout160: 0.061
breakout20: 0.0
breakout320: 0.061
breakout40: 0.0
breakout80: 0.049
carry10: 0.03
carry125: 0.037
carry30: 0.03
carry60: 0.037
momentum16: 0.024
momentum32: 0.037
momentum4: 0.0
momentum64: 0.037
momentum8: 0.0
mrinasset1000: 0.061
normmom16: 0.024
normmom2: 0.0
normmom32: 0.024
normmom4: 0.0
normmom64: 0.024
normmom8: 0.024
relcarry: 0.061
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.037
relmomentum80: 0.049
skewabs180: 0.03
skewabs365: 0.03
skewrv180: 0.03
skewrv365: 0.03
EU-MEDIA:
accel16: 0.0
accel32: 0.0
accel64: 0.038
assettrend16: 0.025
assettrend2: 0.0
assettrend32: 0.025
assettrend4: 0.0
assettrend64: 0.025
assettrend8: 0.025
breakout10: 0.0
breakout160: 0.063
breakout20: 0.0
breakout320: 0.063
breakout40: 0.0
breakout80: 0.051
carry10: 0.032
carry125: 0.038
carry30: 0.032
carry60: 0.038
momentum16: 0.025
momentum32: 0.038
momentum4: 0.0
momentum64: 0.038
momentum8: 0.0
mrinasset1000: 0.063
normmom16: 0.025
normmom2: 0.0
normmom32: 0.025
normmom4: 0.0
normmom64: 0.025
normmom8: 0.025
relcarry: 0.063
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.038
relmomentum80: 0.051
skewabs180: 0.032
skewabs365: 0.032
skewrv180: 0.032
skewrv365: 0.032
EU-MID:
accel16: 0.0
accel32: 0.037
accel64: 0.037
assettrend16: 0.024
assettrend2: 0.0
assettrend32: 0.024
assettrend4: 0.0
assettrend64: 0.024
assettrend8: 0.024
breakout10: 0.0
breakout160: 0.061
breakout20: 0.0
breakout320: 0.061
breakout40: 0.0
breakout80: 0.049
carry10: 0.03
carry125: 0.037
carry30: 0.03
carry60: 0.037
momentum16: 0.024
momentum32: 0.037
momentum4: 0.0
momentum64: 0.037
momentum8: 0.0
mrinasset1000: 0.061
normmom16: 0.024
normmom2: 0.0
normmom32: 0.024
normmom4: 0.0
normmom64: 0.024
normmom8: 0.024
relcarry: 0.061
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.037
relmomentum80: 0.049
skewabs180: 0.03
skewabs365: 0.03
skewrv180: 0.03
skewrv365: 0.03
EU-OIL:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.056
breakout20: 0.0
breakout320: 0.056
breakout40: 0.045
breakout80: 0.045
carry10: 0.028
carry125: 0.034
carry30: 0.028
carry60: 0.034
momentum16: 0.022
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.017
mrinasset1000: 0.056
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.056
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.045
skewabs180: 0.028
skewabs365: 0.028
skewrv180: 0.028
skewrv365: 0.028
EU-REALESTATE:
accel16: 0.0
accel32: 0.0
accel64: 0.039
assettrend16: 0.026
assettrend2: 0.0
assettrend32: 0.026
assettrend4: 0.0
assettrend64: 0.026
assettrend8: 0.026
breakout10: 0.0
breakout160: 0.066
breakout20: 0.0
breakout320: 0.066
breakout40: 0.0
breakout80: 0.053
carry10: 0.033
carry125: 0.039
carry30: 0.033
carry60: 0.039
momentum16: 0.026
momentum32: 0.039
momentum4: 0.0
momentum64: 0.039
momentum8: 0.0
mrinasset1000: 0.066
normmom16: 0.026
normmom2: 0.0
normmom32: 0.026
normmom4: 0.0
normmom64: 0.026
normmom8: 0.026
relcarry: 0.066
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.0
relmomentum80: 0.053
skewabs180: 0.033
skewabs365: 0.033
skewrv180: 0.033
skewrv365: 0.033
EU-RETAIL:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.056
breakout20: 0.0
breakout320: 0.056
breakout40: 0.045
breakout80: 0.045
carry10: 0.028
carry125: 0.034
carry30: 0.028
carry60: 0.034
momentum16: 0.022
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.017
mrinasset1000: 0.056
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.056
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.045
skewabs180: 0.028
skewabs365: 0.028
skewrv180: 0.028
skewrv365: 0.028
EU-TECH:
accel16: 0.0
accel32: 0.034
accel64: 0.034
assettrend16: 0.022
assettrend2: 0.0
assettrend32: 0.022
assettrend4: 0.011
assettrend64: 0.022
assettrend8: 0.022
breakout10: 0.0
breakout160: 0.056
breakout20: 0.0
breakout320: 0.056
breakout40: 0.045
breakout80: 0.045
carry10: 0.028
carry125: 0.034
carry30: 0.028
carry60: 0.034
momentum16: 0.022
momentum32: 0.034
momentum4: 0.0
momentum64: 0.034
momentum8: 0.017
mrinasset1000: 0.056
normmom16: 0.022
normmom2: 0.0
normmom32: 0.022
normmom4: 0.011
normmom64: 0.022
normmom8: 0.022
relcarry: 0.056
relmomentum10: 0.0
relmomentum20: 0.0
relmomentum40: 0.034
relmomentum80: 0.045
skewabs180: 0.028
skewabs365: 0.028
skewrv180: 0.028
skewrv365: 0.028
EU-TRAVEL:
accel16: 0.0
accel32: 0.0
accel64: 0.0
assettrend16: 0.028
assettrend2: 0.0
assettrend32: 0.028
assettrendShown in full with attribution under the source's licence. Licence: GPL-3.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.