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Strategy report for fsb_static_strategy_v5_1 backtest timestamp 20231027_213041 produced at 2023-10-27 22:36:55.713226
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Risk overlay
Config arg not supplied
Percentage vol target 25.0
Normal risk 25.4 Shocked risk 52.9
Sum abs risk 60.9 Leverage 4.76
Risk scalar 1.00
Vol target calculation {'base_currency': 'GBP', 'percentage_vol_target': 25.0, 'notional_trading_capital': 36912.94, 'annual_cash_vol_target': 9228.235, 'daily_cash_vol_target': 576.7646875}
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Vol calculation
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Daily return vol Price Daily % vol annual % vol
BRENT_W_fsb 167.1696 8988.00 1.8599 29.7587
BUND_fsb 59.8441 12886.00 0.4644 7.4306
COPPER_fsb 384.7963 36395.00 1.0573 16.9164
DX_fsb 39.1317 10638.00 0.3678 5.8856
GAS_US_fsb 101.3751 3465.00 2.9257 46.8110
LEANHOG_fsb 131.6971 7042.50 1.8700 29.9205
NASDAQ_fsb 134.6506 14233.75 0.9460 15.1359
NZD_fsb 38.8580 5813.00 0.6685 10.6955
PALLAD_fsb 20.3103 1129.50 1.7982 28.7707
SMI_fsb 81.1774 10288.00 0.7890 12.6248
SOYOIL_fsb 87.3580 5223.00 1.6726 26.7610
SUGAR11_fsb 37.9799 2737.00 1.3876 22.2023
US10_fsb 44.6229 10643.75 0.4192 6.7078
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Subsystem position
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Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position
BRENT_W_fsb 89.88 1.86 167.17 1.0 167.17 576.76 3.45 12.41 4.28
BUND_fsb 64.43 0.46 29.92 1.0 29.92 576.76 19.28 -5.76 -11.10
COPPER_fsb 36.40 1.06 38.48 1.0 38.48 576.76 14.99 -9.04 -13.55
DX_fsb 53.19 0.37 19.57 1.0 19.57 576.76 29.48 12.58 37.08
GAS_US_fsb 17.32 2.93 50.69 1.0 50.69 576.76 11.38 -14.64 -16.66
LEANHOG_fsb 7.04 1.87 13.17 1.0 13.17 576.76 43.79 1.13 4.97
NASDAQ_fsb 71.17 0.95 67.33 1.0 67.33 576.76 8.57 -11.99 -10.27
NZD_fsb 58.13 0.67 38.86 1.0 38.86 576.76 14.84 -8.48 -12.58
PALLAD_fsb 22.59 1.80 40.62 1.0 40.62 576.76 14.20 -13.72 -19.49
SMI_fsb 51.44 0.79 40.59 1.0 40.59 576.76 14.21 -10.90 -15.49
SOYOIL_fsb 52.23 1.67 87.36 1.0 87.36 576.76 6.60 5.12 3.38
SUGAR11_fsb 54.74 1.39 75.96 1.0 75.96 576.76 7.59 19.09 14.49
US10_fsb 53.22 0.42 22.31 1.0 22.31 576.76 25.85 -18.86 -48.75
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Portfolio positions
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subsystem_position instr weight IDM Notional position
BRENT_W_fsb 4.280 0.082 2.17 0.761
BUND_fsb -11.102 0.082 2.17 -1.973
COPPER_fsb -13.547 0.082 2.17 -2.407
DX_fsb 37.077 0.082 2.17 6.588
GAS_US_fsb -16.656 0.082 2.17 -2.959
LEANHOG_fsb 4.965 0.060 2.17 0.651
NASDAQ_fsb -10.275 0.082 2.17 -1.826
NZD_fsb -12.582 0.082 2.17 -2.235
PALLAD_fsb -19.486 0.082 2.17 -3.462
SMI_fsb -15.490 0.082 2.17 -2.752
SOYOIL_fsb 3.383 0.060 2.17 0.444
SUGAR11_fsb 14.493 0.060 2.17 1.900
US10_fsb -48.746 0.082 2.17 -8.661
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Position diags
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BRENT_W_fsb 0.61
BUND_fsb 3.42
COPPER_fsb 2.66
DX_fsb 5.24
GAS_US_fsb 2.02
LEANHOG_fsb 5.74
NASDAQ_fsb 1.52
NZD_fsb 2.64
PALLAD_fsb 2.52
SMI_fsb 2.52
SOYOIL_fsb 0.87
SUGAR11_fsb 1.00
US10_fsb 4.59
dtype: float64
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Positions vs buffers
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Notional position Lower buffer Upper buffer Position at timestamp Current position
BRENT_W_fsb 0.8 0.7 0.8 0.8 0.8
BUND_fsb -2.0 -2.2 -1.5 -2.1 -2.1
COPPER_fsb -2.4 -2.5 -2.0 -2.9 -2.9
DX_fsb 6.6 5.7 6.7 6.4 6.4
GAS_US_fsb -3.0 -3.0 -2.6 -3.3 -3.3
LEANHOG_fsb 0.7 0.1 1.1 0.5 0.5
NASDAQ_fsb -1.8 -1.9 -1.6 -1.1 -1.1
NZD_fsb -2.2 -2.3 -1.8 -1.9 -1.9
PALLAD_fsb -3.5 -3.5 -3.0 -2.1 -2.1
SMI_fsb -2.8 -2.8 -2.3 -2.2 -2.2
SOYOIL_fsb 0.4 0.3 0.5 1.2 1.2
SUGAR11_fsb 1.9 1.7 1.9 NaN 0.0
US10_fsb -8.7 -8.5 -7.7 -9.6 -9.6
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Forecast weights
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carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8
BRENT_W_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
BUND_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
COPPER_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
DX_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
GAS_US_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
LEANHOG_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
NASDAQ_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
NZD_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
PALLAD_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
SMI_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
SOYOIL_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
SUGAR11_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
US10_fsb 10.0 10.0 10.0 10.0 12.0 12.0 12.0 12.0 12.0
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Weighted forecasts
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carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8
BRENT_W_fsb 1.7 1.0 1.5 1.2 0.9 1.1 -0.1 0.8 0.3
BUND_fsb -0.2 0.6 -0.0 0.2 -1.0 -1.2 0.1 -1.7 -0.5
COPPER_fsb -0.6 -0.3 -0.5 -0.4 -1.3 -1.2 0.1 -1.0 -0.8
DX_fsb 0.7 0.6 0.7 0.6 1.7 1.6 0.6 1.0 1.0
GAS_US_fsb -2.0 -2.0 -2.0 -2.0 0.3 -0.4 0.2 -2.1 0.2
LEANHOG_fsb -1.8 0.8 1.5 1.9 -0.6 0.1 -0.2 0.0 -1.0
NASDAQ_fsb -1.0 -0.9 -1.1 -1.0 -1.1 0.2 -2.4 1.2 -2.0
NZD_fsb -0.0 0.0 -0.0 0.0 -1.1 -1.1 -1.3 -1.0 -1.2
PALLAD_fsb -0.2 -0.3 -0.3 -0.3 -1.6 -2.1 -0.7 -2.4 -1.4
SMI_fsb 0.5 0.2 0.2 0.1 -1.9 -1.1 -2.4 -0.5 -2.4
SOYOIL_fsb 1.6 2.0 2.0 2.0 -1.5 0.2 -1.7 1.1 -2.2
SUGAR11_fsb 2.0 1.6 2.0 1.5 1.1 1.4 0.6 1.8 0.9
US10_fsb -0.6 -0.7 -0.7 -0.8 -2.4 -2.4 -0.9 -2.3 -1.8
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Unweighted forecasts
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carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8
BRENT_W_fsb 16.9 10.3 15.4 11.9 7.2 9.1 -0.9 6.4 2.3
BUND_fsb -2.3 5.7 -0.2 2.3 -8.7 -10.4 0.6 -13.9 -4.5
COPPER_fsb -5.9 -3.0 -5.0 -4.1 -10.9 -10.4 0.5 -8.1 -6.7
DX_fsb 7.0 5.8 6.9 6.4 14.0 13.0 5.1 8.0 8.4
GAS_US_fsb -20.0 -20.0 -20.0 -20.0 2.7 -3.3 1.3 -17.6 1.7
LEANHOG_fsb -17.7 7.9 14.7 19.2 -4.9 0.9 -1.5 0.1 -8.3
NASDAQ_fsb -10.2 -9.1 -10.5 -10.2 -9.1 2.1 -20.0 9.8 -16.6
NZD_fsb -0.3 0.2 -0.2 0.0 -9.0 -9.0 -10.9 -8.2 -10.0
PALLAD_fsb -2.5 -2.6 -2.6 -2.7 -13.6 -17.2 -5.8 -20.0 -11.4
SMI_fsb 4.6 1.6 2.3 1.1 -16.0 -9.2 -20.0 -3.8 -20.0
SOYOIL_fsb 16.3 20.0 20.0 20.0 -12.4 1.5 -14.3 8.9 -18.5
SUGAR11_fsb 20.0 15.9 19.6 14.9 9.3 11.8 4.6 15.3 7.1
US10_fsb -5.9 -7.4 -7.5 -8.0 -19.7 -20.0 -7.4 -19.2 -15.2
End of report for fsb_static_strategy_v5_1