id stringlengths 20 20 | template stringclasses 6
values | complexity int64 1 3 | split stringclasses 1
value | market_regime stringclasses 1
value | asset_class stringclasses 1
value | assets listlengths 1 4 | decision_date timestamp[s]date 2015-02-05 00:00:00 2022-12-28 00:00:00 | context_summary stringlengths 52 153 | question stringlengths 245 9.63k | answer stringlengths 2 63 | answer_numeric float64 -3.07 9.2 | explanation stringlengths 100 240 | metadata unknown |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
T5_all_20211220_0919 | T5 | 3 | train | sideways | all | [
"MTUM",
"ETH-USD",
"PDBC",
"VCIT"
] | 2021-12-20T00:00:00 | 4-asset optimization. Max-Sharpe: -1.528. Portfolio: return=-102.33%, vol=69.57%. Weights: w_MTUM=0.0000, w_ETH-USD=1.0000, w_PDBC=0.0000, w_VCIT=0.0000. | Assets: MTUM, ETH-USD, PDBC, VCIT
Annualized mean returns: MTUM:-0.3355, ETH-USD:-1.0233, PDBC:-0.3257, VCIT:0.0411
Covariance matrix (annualized):
[[0.040665, 0.048679, 0.019305, -0.002019], [0.048679, 0.483959, 0.026027, -0.006287], [0.019305, 0.026027, 0.034921, -0.002075], [-0.002019, -0.006287, -0.002075, 0.002121... | w_MTUM=0.0000, w_ETH-USD=1.0000, w_PDBC=0.0000, w_VCIT=0.0000 | -1.528442 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.0000, w_ETH-USD=1.0000, w_PDBC=0.0000, w_VCIT=0.0000
Portfolio annualized return: -102.33%, volatility: 69.57%
Sharpe ratio: (-1.0233 - 0.0400) / 0.6957 = -1.5284 | {
"weights": {
"MTUM": 0,
"ETH-USD": 1,
"PDBC": 0,
"VCIT": 0
},
"sharpe_ratio": -1.5284,
"portfolio_return": -1.023294,
"portfolio_vol": 0.695672,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190923_0924 | T5 | 3 | train | sideways | all | [
"XLI",
"ADA-USD",
"STIP",
"HAUZ"
] | 2019-09-23T00:00:00 | 4-asset optimization. Max-Sharpe: -0.451. Portfolio: return=-4.76%, vol=19.43%. Weights: w_XLI=1.0000, w_ADA-USD=0.0000, w_STIP=0.0000, w_HAUZ=0.0000. | Assets: XLI, ADA-USD, STIP, HAUZ
Annualized mean returns: XLI:-0.0476, ADA-USD:-1.9505, STIP:0.0178, HAUZ:-0.0511
Covariance matrix (annualized):
[[0.037758, 0.000452, -0.000767, 0.015604], [0.000452, 0.335923, -0.001229, 0.005187], [-0.000767, -0.001229, 0.000287, 5.3e-05], [0.015604, 0.005187, 5.3e-05, 0.013557]]
Ris... | w_XLI=1.0000, w_ADA-USD=0.0000, w_STIP=0.0000, w_HAUZ=0.0000 | -0.4506 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=1.0000, w_ADA-USD=0.0000, w_STIP=0.0000, w_HAUZ=0.0000
Portfolio annualized return: -4.76%, volatility: 19.43%
Sharpe ratio: (-0.0476 - 0.0400) / 0.1943 = -0.4506 | {
"weights": {
"XLI": 1,
"ADA-USD": 0,
"STIP": 0,
"HAUZ": 0
},
"sharpe_ratio": -0.4506,
"portfolio_return": -0.047557999999999996,
"portfolio_vol": 0.194315,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190925_0927 | T5 | 3 | train | sideways | all | [
"XLI",
"MATIC-USD",
"SCHH",
"TLH"
] | 2019-09-25T00:00:00 | 4-asset optimization. Max-Sharpe: 3.894. Portfolio: return=31.96%, vol=7.18%. Weights: w_XLI=0.0077, w_MATIC-USD=0.0000, w_SCHH=0.4034, w_TLH=0.5889. | Assets: XLI, MATIC-USD, SCHH, TLH
Annualized mean returns: XLI:-0.0686, MATIC-USD:-0.7115, SCHH:0.2670, TLH:0.3606
Covariance matrix (annualized):
[[0.03792, 0.012819, 0.015884, -0.014777], [0.012819, 1.697238, 0.006275, -0.001497], [0.015884, 0.006275, 0.015064, -0.003421], [-0.014777, -0.001497, -0.003421, 0.012574]]... | w_XLI=0.0077, w_MATIC-USD=0.0000, w_SCHH=0.4034, w_TLH=0.5889 | 3.894279 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=0.0077, w_MATIC-USD=0.0000, w_SCHH=0.4034, w_TLH=0.5889
Portfolio annualized return: 31.96%, volatility: 7.18%
Sharpe ratio: (0.3196 - 0.0400) / 0.0718 = 3.8943 | {
"weights": {
"XLI": 0.0077,
"MATIC-USD": 0,
"SCHH": 0.40340000000000004,
"TLH": 0.5889
},
"sharpe_ratio": 3.8943000000000003,
"portfolio_return": 0.319567,
"portfolio_vol": 0.07178899999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20211231_0934 | T5 | 3 | train | sideways | all | [
"EEM",
"BTC-USD",
"BIL",
"WEAT"
] | 2021-12-31T00:00:00 | 4-asset optimization. Max-Sharpe: -0.174. Portfolio: return=-0.59%, vol=26.39%. Weights: w_EEM=0.0000, w_BTC-USD=0.0000, w_BIL=0.0000, w_WEAT=1.0000. | Assets: EEM, BTC-USD, BIL, WEAT
Annualized mean returns: EEM:-0.1311, BTC-USD:-2.2608, BIL:-0.0013, WEAT:-0.0059
Covariance matrix (annualized):
[[0.023105, 0.042626, 7.6e-05, 0.008908], [0.042626, 0.25999, 8.5e-05, 0.01056], [7.6e-05, 8.5e-05, 2e-06, -3e-06], [0.008908, 0.01056, -3e-06, 0.069659]]
Risk-free rate: 4.00... | w_EEM=0.0000, w_BTC-USD=0.0000, w_BIL=0.0000, w_WEAT=1.0000 | -0.173918 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EEM=0.0000, w_BTC-USD=0.0000, w_BIL=0.0000, w_WEAT=1.0000
Portfolio annualized return: -0.59%, volatility: 26.39%
Sharpe ratio: (-0.0059 - 0.0400) / 0.2639 = -0.1739 | {
"weights": {
"EEM": 0,
"BTC-USD": 0,
"BIL": 0,
"WEAT": 1
},
"sharpe_ratio": -0.1739,
"portfolio_return": -0.005902,
"portfolio_vol": 0.26393099999999997,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220704_0937 | T5 | 3 | train | sideways | all | [
"EWJ",
"BTC-USD",
"DBC",
"IYR"
] | 2022-07-04T00:00:00 | 4-asset optimization. Max-Sharpe: -1.713. Portfolio: return=-43.06%, vol=27.47%. Weights: w_EWJ=0.0000, w_BTC-USD=0.0000, w_DBC=0.0000, w_IYR=1.0000. | Assets: EWJ, BTC-USD, DBC, IYR
Annualized mean returns: EWJ:-0.5076, BTC-USD:-4.5380, DBC:-0.1963, IYR:-0.4306
Covariance matrix (annualized):
[[0.039087, 0.086596, 0.016314, 0.043193], [0.086596, 0.430088, 0.016606, 0.103834], [0.016314, 0.016606, 0.047726, 0.015393], [0.043193, 0.103834, 0.015393, 0.075465]]
Risk-fre... | w_EWJ=0.0000, w_BTC-USD=0.0000, w_DBC=0.0000, w_IYR=1.0000 | -1.713157 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.0000, w_BTC-USD=0.0000, w_DBC=0.0000, w_IYR=1.0000
Portfolio annualized return: -43.06%, volatility: 27.47%
Sharpe ratio: (-0.4306 - 0.0400) / 0.2747 = -1.7132 | {
"weights": {
"EWJ": 0,
"BTC-USD": 0,
"DBC": 0,
"IYR": 1
},
"sharpe_ratio": -1.7132,
"portfolio_return": -0.430619,
"portfolio_vol": 0.274709,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220131_0942 | T5 | 3 | train | sideways | all | [
"VEA",
"MATIC-USD",
"TLT",
"DBC"
] | 2022-01-31T00:00:00 | 4-asset optimization. Max-Sharpe: 6.367. Portfolio: return=92.94%, vol=13.97%. Weights: w_VEA=0.0000, w_MATIC-USD=0.0000, w_TLT=0.0000, w_DBC=1.0000. | Assets: VEA, MATIC-USD, TLT, DBC
Annualized mean returns: VEA:-0.0475, MATIC-USD:-0.1547, TLT:-0.3517, DBC:0.9294
Covariance matrix (annualized):
[[0.018736, 0.093443, -0.006203, 0.012596], [0.093443, 1.271873, -0.029452, 0.088095], [-0.006203, -0.029452, 0.02233, -0.007204], [0.012596, 0.088095, -0.007204, 0.019516]]
... | w_VEA=0.0000, w_MATIC-USD=0.0000, w_TLT=0.0000, w_DBC=1.0000 | 6.366592 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VEA=0.0000, w_MATIC-USD=0.0000, w_TLT=0.0000, w_DBC=1.0000
Portfolio annualized return: 92.94%, volatility: 13.97%
Sharpe ratio: (0.9294 - 0.0400) / 0.1397 = 6.3666 | {
"weights": {
"VEA": 0,
"MATIC-USD": 0,
"TLT": 0,
"DBC": 1
},
"sharpe_ratio": 6.3666,
"portfolio_return": 0.9294209999999999,
"portfolio_vol": 0.139701,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181018_0945 | T5 | 3 | train | sideways | all | [
"IVV",
"BNB-USD",
"CORN",
"LQD"
] | 2018-10-18T00:00:00 | 4-asset optimization. Max-Sharpe: 0.561. Portfolio: return=39.94%, vol=64.11%. Weights: w_IVV=0.0000, w_BNB-USD=1.0000, w_CORN=0.0000, w_LQD=0.0000. | Assets: IVV, BNB-USD, CORN, LQD
Annualized mean returns: IVV:-0.0683, BNB-USD:0.3994, CORN:-0.0662, LQD:-0.1268
Covariance matrix (annualized):
[[0.016697, 0.022629, -0.000164, 0.000716], [0.022629, 0.41103, 0.012229, -0.002969], [-0.000164, 0.012229, 0.027414, 0.000706], [0.000716, -0.002969, 0.000706, 0.001634]]
Risk... | w_IVV=0.0000, w_BNB-USD=1.0000, w_CORN=0.0000, w_LQD=0.0000 | 0.560586 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.0000, w_BNB-USD=1.0000, w_CORN=0.0000, w_LQD=0.0000
Portfolio annualized return: 39.94%, volatility: 64.11%
Sharpe ratio: (0.3994 - 0.0400) / 0.6411 = 0.5606 | {
"weights": {
"IVV": 0,
"BNB-USD": 1,
"CORN": 0,
"LQD": 0
},
"sharpe_ratio": 0.5606,
"portfolio_return": 0.39940000000000003,
"portfolio_vol": 0.641116,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220725_0949 | T5 | 3 | train | sideways | all | [
"EFA",
"ADA-USD",
"SCHP",
"BIL"
] | 2022-07-25T00:00:00 | 4-asset optimization. Max-Sharpe: -1.034. Portfolio: return=-86.60%, vol=87.62%. Weights: w_EFA=0.0000, w_ADA-USD=1.0000, w_SCHP=0.0000, w_BIL=0.0000. | Assets: EFA, ADA-USD, SCHP, BIL
Annualized mean returns: EFA:-0.3886, ADA-USD:-0.8660, SCHP:-0.0357, BIL:0.0059
Covariance matrix (annualized):
[[0.048483, 0.095952, 0.00649, -9e-06], [0.095952, 0.7678, 0.002715, -5.5e-05], [0.00649, 0.002715, 0.006599, 9e-06], [-9e-06, -5.5e-05, 9e-06, 5e-06]]
Risk-free rate: 4.00%
Co... | w_EFA=0.0000, w_ADA-USD=1.0000, w_SCHP=0.0000, w_BIL=0.0000 | -1.033958 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=0.0000, w_ADA-USD=1.0000, w_SCHP=0.0000, w_BIL=0.0000
Portfolio annualized return: -86.60%, volatility: 87.62%
Sharpe ratio: (-0.8660 - 0.0400) / 0.8762 = -1.0340 | {
"weights": {
"EFA": 0,
"ADA-USD": 1,
"SCHP": 0,
"BIL": 0
},
"sharpe_ratio": -1.034,
"portfolio_return": -0.8659969999999999,
"portfolio_vol": 0.876242,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181128_0951 | T5 | 3 | train | sideways | all | [
"FXI",
"XRP-USD",
"PALL",
"INDS"
] | 2018-11-28T00:00:00 | 4-asset optimization. Max-Sharpe: 2.337. Portfolio: return=34.83%, vol=13.19%. Weights: w_FXI=0.0000, w_XRP-USD=0.0000, w_PALL=0.5156, w_INDS=0.4844. | Assets: FXI, XRP-USD, PALL, INDS
Annualized mean returns: FXI:-0.2385, XRP-USD:-1.7464, PALL:0.4804, INDS:0.2077
Covariance matrix (annualized):
[[0.086974, 0.071083, 0.024845, -0.003536], [0.071083, 0.716494, 0.004411, 0.035688], [0.024845, 0.004411, 0.057726, -0.010117], [-0.003536, 0.035688, -0.010117, 0.030314]]
Ri... | w_FXI=0.0000, w_XRP-USD=0.0000, w_PALL=0.5156, w_INDS=0.4844 | 2.336575 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_FXI=0.0000, w_XRP-USD=0.0000, w_PALL=0.5156, w_INDS=0.4844
Portfolio annualized return: 34.83%, volatility: 13.19%
Sharpe ratio: (0.3483 - 0.0400) / 0.1319 = 2.3366 | {
"weights": {
"FXI": 0,
"XRP-USD": 0,
"PALL": 0.5156000000000001,
"INDS": 0.4844
},
"sharpe_ratio": 2.3366,
"portfolio_return": 0.348269,
"portfolio_vol": 0.131932,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220630_0955 | T5 | 3 | train | sideways | all | [
"XLV",
"LINK-USD",
"DBB",
"IEF"
] | 2022-06-30T00:00:00 | 4-asset optimization. Max-Sharpe: -0.453. Portfolio: return=-6.28%, vol=22.67%. Weights: w_XLV=1.0000, w_LINK-USD=0.0000, w_DBB=0.0000, w_IEF=0.0000. | Assets: XLV, LINK-USD, DBB, IEF
Annualized mean returns: XLV:-0.0628, LINK-USD:-3.8513, DBB:-1.1185, IEF:-0.0335
Covariance matrix (annualized):
[[0.05138, 0.128042, 0.029985, 0.006259], [0.128042, 1.436845, 0.079059, -0.006326], [0.029985, 0.079059, 0.064159, 0.004374], [0.006259, -0.006326, 0.004374, 0.010222]]
Risk-... | w_XLV=1.0000, w_LINK-USD=0.0000, w_DBB=0.0000, w_IEF=0.0000 | -0.453354 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLV=1.0000, w_LINK-USD=0.0000, w_DBB=0.0000, w_IEF=0.0000
Portfolio annualized return: -6.28%, volatility: 22.67%
Sharpe ratio: (-0.0628 - 0.0400) / 0.2267 = -0.4534 | {
"weights": {
"XLV": 1,
"LINK-USD": 0,
"DBB": 0,
"IEF": 0
},
"sharpe_ratio": -0.4534,
"portfolio_return": -0.062762,
"portfolio_vol": 0.22667199999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190822_0958 | T5 | 3 | train | sideways | all | [
"MTUM",
"LINK-USD",
"BNO",
"SCHP"
] | 2019-08-22T00:00:00 | 4-asset optimization. Max-Sharpe: 2.736. Portfolio: return=12.74%, vol=3.19%. Weights: w_MTUM=0.0493, w_LINK-USD=0.0079, w_BNO=0.0000, w_SCHP=0.9428. | Assets: MTUM, LINK-USD, BNO, SCHP
Annualized mean returns: MTUM:0.0549, LINK-USD:1.0795, BNO:-0.3136, SCHP:0.1232
Covariance matrix (annualized):
[[0.027224, -0.008193, 0.015071, -0.001169], [-0.008193, 1.217882, -0.021205, 0.003048], [0.015071, -0.021205, 0.09257, -0.004341], [-0.001169, 0.003048, -0.004341, 0.001065]... | w_MTUM=0.0493, w_LINK-USD=0.0079, w_BNO=0.0000, w_SCHP=0.9428 | 2.736131 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_MTUM=0.0493, w_LINK-USD=0.0079, w_BNO=0.0000, w_SCHP=0.9428
Portfolio annualized return: 12.74%, volatility: 3.19%
Sharpe ratio: (0.1274 - 0.0400) / 0.0319 = 2.7361 | {
"weights": {
"MTUM": 0.049300000000000004,
"LINK-USD": 0.0079,
"BNO": 0,
"SCHP": 0.9428000000000001
},
"sharpe_ratio": 2.7361,
"portfolio_return": 0.127388,
"portfolio_vol": 0.031938,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210129_0966 | T5 | 3 | train | sideways | all | [
"QQQ",
"ADA-USD",
"VCIT",
"WEAT"
] | 2021-01-29T00:00:00 | 4-asset optimization. Max-Sharpe: 3.414. Portfolio: return=49.66%, vol=13.37%. Weights: w_QQQ=0.6880, w_ADA-USD=0.0547, w_VCIT=0.0000, w_WEAT=0.2573. | Assets: QQQ, ADA-USD, VCIT, WEAT
Annualized mean returns: QQQ:0.4534, ADA-USD:1.9794, VCIT:-0.0044, WEAT:0.2972
Covariance matrix (annualized):
[[0.027201, -0.01423, 0.001003, -0.006767], [-0.01423, 1.775062, -0.000802, -0.043788], [0.001003, -0.000802, 0.000634, 0.001309], [-0.006767, -0.043788, 0.001309, 0.066539]]
R... | w_QQQ=0.6880, w_ADA-USD=0.0547, w_VCIT=0.0000, w_WEAT=0.2573 | 3.414228 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QQQ=0.6880, w_ADA-USD=0.0547, w_VCIT=0.0000, w_WEAT=0.2573
Portfolio annualized return: 49.66%, volatility: 13.37%
Sharpe ratio: (0.4966 - 0.0400) / 0.1337 = 3.4142 | {
"weights": {
"QQQ": 0.6880000000000001,
"ADA-USD": 0.054700000000000006,
"VCIT": 0,
"WEAT": 0.25730000000000003
},
"sharpe_ratio": 3.4142,
"portfolio_return": 0.49663199999999996,
"portfolio_vol": 0.133744,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 302... |
T5_all_20170927_0968 | T5 | 3 | train | sideways | all | [
"XLE",
"BTC-USD",
"BNDX",
"XHB"
] | 2017-09-27T00:00:00 | 4-asset optimization. Max-Sharpe: 3.351. Portfolio: return=32.89%, vol=8.62%. Weights: w_XLE=0.3790, w_BTC-USD=0.0925, w_BNDX=0.5107, w_XHB=0.0179. | Assets: XLE, BTC-USD, BNDX, XHB
Annualized mean returns: XLE:0.2329, BTC-USD:2.3515, BNDX:0.0416, XHB:0.1105
Covariance matrix (annualized):
[[0.012821, 0.003922, -0.000576, 0.002], [0.003922, 0.621975, 0.000516, 0.010984], [-0.000576, 0.000516, 0.000428, -0.000444], [0.002, 0.010984, -0.000444, 0.01493]]
Risk-free rat... | w_XLE=0.3790, w_BTC-USD=0.0925, w_BNDX=0.5107, w_XHB=0.0179 | 3.351309 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.3790, w_BTC-USD=0.0925, w_BNDX=0.5107, w_XHB=0.0179
Portfolio annualized return: 32.89%, volatility: 8.62%
Sharpe ratio: (0.3289 - 0.0400) / 0.0862 = 3.3513 | {
"weights": {
"XLE": 0.379,
"BTC-USD": 0.0925,
"BNDX": 0.5107,
"XHB": 0.0179
},
"sharpe_ratio": 3.3513,
"portfolio_return": 0.32893,
"portfolio_vol": 0.086214,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210408_0971 | T5 | 3 | train | sideways | all | [
"^VIX",
"SOL-USD",
"ICSH",
"JNK"
] | 2021-04-08T00:00:00 | 4-asset optimization. Max-Sharpe: 4.511. Portfolio: return=694.30%, vol=153.02%. Weights: w_^VIX=0.0000, w_SOL-USD=1.0000, w_ICSH=0.0000, w_JNK=0.0000. | Assets: ^VIX, SOL-USD, ICSH, JNK
Annualized mean returns: ^VIX:-1.5232, SOL-USD:6.9430, ICSH:0.0037, JNK:0.0281
Covariance matrix (annualized):
[[1.507714, -0.487888, -0.001451, -0.045977], [-0.487888, 2.341639, 0.001495, 0.030733], [-0.001451, 0.001495, 1.2e-05, 5e-05], [-0.045977, 0.030733, 5e-05, 0.002964]]
Risk-fre... | w_^VIX=0.0000, w_SOL-USD=1.0000, w_ICSH=0.0000, w_JNK=0.0000 | 4.511081 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_^VIX=0.0000, w_SOL-USD=1.0000, w_ICSH=0.0000, w_JNK=0.0000
Portfolio annualized return: 694.30%, volatility: 153.02%
Sharpe ratio: (6.9430 - 0.0400) / 1.5302 = 4.5111 | {
"weights": {
"^VIX": 0,
"SOL-USD": 1,
"ICSH": 0,
"JNK": 0
},
"sharpe_ratio": 4.5111,
"portfolio_return": 6.943042,
"portfolio_vol": 1.530241,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221027_0973 | T5 | 3 | train | sideways | all | [
"USMV",
"DOT-USD",
"REZ",
"ICSH"
] | 2022-10-27T00:00:00 | 4-asset optimization. Max-Sharpe: 0.252. Portfolio: return=16.97%, vol=51.49%. Weights: w_USMV=0.0000, w_DOT-USD=1.0000, w_REZ=0.0000, w_ICSH=0.0000. | Assets: USMV, DOT-USD, REZ, ICSH
Annualized mean returns: USMV:-0.2032, DOT-USD:0.1697, REZ:-1.0332, ICSH:0.0048
Covariance matrix (annualized):
[[0.041972, 0.040442, 0.043835, 0.000495], [0.040442, 0.26509, 0.041341, 0.001089], [0.043835, 0.041341, 0.074037, 0.000591], [0.000495, 0.001089, 0.000591, 2.6e-05]]
Risk-fre... | w_USMV=0.0000, w_DOT-USD=1.0000, w_REZ=0.0000, w_ICSH=0.0000 | 0.251859 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_USMV=0.0000, w_DOT-USD=1.0000, w_REZ=0.0000, w_ICSH=0.0000
Portfolio annualized return: 16.97%, volatility: 51.49%
Sharpe ratio: (0.1697 - 0.0400) / 0.5149 = 0.2519 | {
"weights": {
"USMV": 0,
"DOT-USD": 1,
"REZ": 0,
"ICSH": 0
},
"sharpe_ratio": 0.2519,
"portfolio_return": 0.169674,
"portfolio_vol": 0.514869,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210224_0979 | T5 | 3 | train | sideways | all | [
"XLB",
"BNB-USD",
"TLT",
"UNG"
] | 2021-02-24T00:00:00 | 4-asset optimization. Max-Sharpe: 6.734. Portfolio: return=651.13%, vol=96.09%. Weights: w_XLB=0.1983, w_BNB-USD=0.5653, w_TLT=0.0000, w_UNG=0.2364. | Assets: XLB, BNB-USD, TLT, UNG
Annualized mean returns: XLB:0.3052, BNB-USD:10.9694, TLT:-0.6570, UNG:1.0549
Covariance matrix (annualized):
[[0.037659, 0.051258, -0.009361, 0.005895], [0.051258, 2.691392, 0.013436, 0.117589], [-0.009361, 0.013436, 0.011995, 0.009317], [0.005895, 0.117589, 0.009317, 0.326524]]
Risk-fre... | w_XLB=0.1983, w_BNB-USD=0.5653, w_TLT=0.0000, w_UNG=0.2364 | 6.734406 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLB=0.1983, w_BNB-USD=0.5653, w_TLT=0.0000, w_UNG=0.2364
Portfolio annualized return: 651.13%, volatility: 96.09%
Sharpe ratio: (6.5113 - 0.0400) / 0.9609 = 6.7344 | {
"weights": {
"XLB": 0.1983,
"BNB-USD": 0.5653,
"TLT": 0,
"UNG": 0.2364
},
"sharpe_ratio": 6.7344,
"portfolio_return": 6.511336,
"portfolio_vol": 0.9609359999999999,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20201218_0981 | T5 | 3 | train | sideways | all | [
"ACWI",
"ETH-USD",
"SCHH",
"TLT"
] | 2020-12-18T00:00:00 | 4-asset optimization. Max-Sharpe: 4.562. Portfolio: return=88.97%, vol=18.63%. Weights: w_ACWI=0.8029, w_ETH-USD=0.1971, w_SCHH=0.0000, w_TLT=0.0000. | Assets: ACWI, ETH-USD, SCHH, TLT
Annualized mean returns: ACWI:0.5800, ETH-USD:2.1515, SCHH:0.3934, TLT:-0.1412
Covariance matrix (annualized):
[[0.02676, 0.002849, 0.025049, -0.00414], [0.002849, 0.425818, -0.014615, 0.004148], [0.025049, -0.014615, 0.039985, -0.010924], [-0.00414, 0.004148, -0.010924, 0.019487]]
Risk... | w_ACWI=0.8029, w_ETH-USD=0.1971, w_SCHH=0.0000, w_TLT=0.0000 | 4.561926 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_ACWI=0.8029, w_ETH-USD=0.1971, w_SCHH=0.0000, w_TLT=0.0000
Portfolio annualized return: 88.97%, volatility: 18.63%
Sharpe ratio: (0.8897 - 0.0400) / 0.1863 = 4.5619 | {
"weights": {
"ACWI": 0.8029000000000001,
"ETH-USD": 0.1971,
"SCHH": 0,
"TLT": 0
},
"sharpe_ratio": 4.5619,
"portfolio_return": 0.8897200000000001,
"portfolio_vol": 0.18626299999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210414_0983 | T5 | 3 | train | sideways | all | [
"ACWI",
"BTC-USD",
"PDBC",
"ITB"
] | 2021-04-14T00:00:00 | 4-asset optimization. Max-Sharpe: 2.792. Portfolio: return=66.63%, vol=22.43%. Weights: w_ACWI=0.0000, w_BTC-USD=0.1907, w_PDBC=0.4663, w_ITB=0.3430. | Assets: ACWI, BTC-USD, PDBC, ITB
Annualized mean returns: ACWI:0.1346, BTC-USD:1.2922, PDBC:0.3758, ITB:0.7133
Covariance matrix (annualized):
[[0.02285, 0.047829, 0.008176, 0.032123], [0.047829, 0.435812, 0.004682, 0.044689], [0.008176, 0.004682, 0.048323, 0.010365], [0.032123, 0.044689, 0.010365, 0.118788]]
Risk-free... | w_ACWI=0.0000, w_BTC-USD=0.1907, w_PDBC=0.4663, w_ITB=0.3430 | 2.791854 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_ACWI=0.0000, w_BTC-USD=0.1907, w_PDBC=0.4663, w_ITB=0.3430
Portfolio annualized return: 66.63%, volatility: 22.43%
Sharpe ratio: (0.6663 - 0.0400) / 0.2243 = 2.7919 | {
"weights": {
"ACWI": 0,
"BTC-USD": 0.1907,
"PDBC": 0.46630000000000005,
"ITB": 0.343
},
"sharpe_ratio": 2.7919,
"portfolio_return": 0.666318,
"portfolio_vol": 0.22433699999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210120_0984 | T5 | 3 | train | sideways | all | [
"XLRE",
"XRP-USD",
"CORN",
"SGOV"
] | 2021-01-20T00:00:00 | 4-asset optimization. Max-Sharpe: 5.579. Portfolio: return=94.19%, vol=16.17%. Weights: w_XLRE=0.0000, w_XRP-USD=0.0147, w_CORN=0.9853, w_SGOV=0.0000. | Assets: XLRE, XRP-USD, CORN, SGOV
Annualized mean returns: XLRE:-0.0672, XRP-USD:2.3689, CORN:0.9206, SGOV:0.0004
Covariance matrix (annualized):
[[0.028973, -0.006153, 5e-05, 3e-06], [-0.006153, 3.616786, 0.014431, 0.000442], [5e-05, 0.014431, 0.025682, 2.6e-05], [3e-06, 0.000442, 2.6e-05, 0.0]]
Risk-free rate: 4.00%
... | w_XLRE=0.0000, w_XRP-USD=0.0147, w_CORN=0.9853, w_SGOV=0.0000 | 5.57893 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLRE=0.0000, w_XRP-USD=0.0147, w_CORN=0.9853, w_SGOV=0.0000
Portfolio annualized return: 94.19%, volatility: 16.17%
Sharpe ratio: (0.9419 - 0.0400) / 0.1617 = 5.5789 | {
"weights": {
"XLRE": 0,
"XRP-USD": 0.014700000000000001,
"CORN": 0.9853000000000001,
"SGOV": 0
},
"sharpe_ratio": 5.5789,
"portfolio_return": 0.941894,
"portfolio_vol": 0.161661,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210820_0985 | T5 | 3 | train | sideways | all | [
"EWJ",
"BNB-USD",
"SGOV",
"BNDX"
] | 2021-08-20T00:00:00 | 4-asset optimization. Max-Sharpe: 3.622. Portfolio: return=10.92%, vol=1.91%. Weights: w_EWJ=0.0137, w_BNB-USD=0.0074, w_SGOV=0.0000, w_BNDX=0.9789. | Assets: EWJ, BNB-USD, SGOV, BNDX
Annualized mean returns: EWJ:-0.0572, BNB-USD:1.0572, SGOV:0.0005, BNDX:0.1044
Covariance matrix (annualized):
[[0.01798, -0.004668, 1.6e-05, -0.00074], [-0.004668, 0.680476, -2.6e-05, 0.000415], [1.6e-05, -2.6e-05, 1e-06, -3e-06], [-0.00074, 0.000415, -3e-06, 0.000354]]
Risk-free rate:... | w_EWJ=0.0137, w_BNB-USD=0.0074, w_SGOV=0.0000, w_BNDX=0.9789 | 3.621765 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.0137, w_BNB-USD=0.0074, w_SGOV=0.0000, w_BNDX=0.9789
Portfolio annualized return: 10.92%, volatility: 1.91%
Sharpe ratio: (0.1092 - 0.0400) / 0.0191 = 3.6218 | {
"weights": {
"EWJ": 0.0137,
"BNB-USD": 0.0074,
"SGOV": 0,
"BNDX": 0.9789
},
"sharpe_ratio": 3.6218,
"portfolio_return": 0.109207,
"portfolio_vol": 0.019108999999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200610_0986 | T5 | 3 | train | sideways | all | [
"EEM",
"ETH-USD",
"CPER",
"BIL"
] | 2020-06-10T00:00:00 | 4-asset optimization. Max-Sharpe: 4.643. Portfolio: return=129.77%, vol=27.09%. Weights: w_EEM=0.0986, w_ETH-USD=0.3514, w_CPER=0.5500, w_BIL=0.0000. | Assets: EEM, ETH-USD, CPER, BIL
Annualized mean returns: EEM:0.8698, ETH-USD:2.3093, CPER:0.7281, BIL:0.0009
Covariance matrix (annualized):
[[0.074832, 0.042286, 0.047594, 6.7e-05], [0.042286, 0.350169, 0.009426, -0.000254], [0.047594, 0.009426, 0.058433, 3.3e-05], [6.7e-05, -0.000254, 3.3e-05, 3e-06]]
Risk-free rate:... | w_EEM=0.0986, w_ETH-USD=0.3514, w_CPER=0.5500, w_BIL=0.0000 | 4.64286 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EEM=0.0986, w_ETH-USD=0.3514, w_CPER=0.5500, w_BIL=0.0000
Portfolio annualized return: 129.77%, volatility: 27.09%
Sharpe ratio: (1.2977 - 0.0400) / 0.2709 = 4.6429 | {
"weights": {
"EEM": 0.09860000000000001,
"ETH-USD": 0.3514,
"CPER": 0.55,
"BIL": 0
},
"sharpe_ratio": 4.6429,
"portfolio_return": 1.297663,
"portfolio_vol": 0.270881,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20181009_0987 | T5 | 3 | train | sideways | all | [
"QUAL",
"ETH-USD",
"DBB",
"ICSH"
] | 2018-10-09T00:00:00 | 4-asset optimization. Max-Sharpe: 1.784. Portfolio: return=15.87%, vol=6.65%. Weights: w_QUAL=1.0000, w_ETH-USD=0.0000, w_DBB=0.0000, w_ICSH=0.0000. | Assets: QUAL, ETH-USD, DBB, ICSH
Annualized mean returns: QUAL:0.1587, ETH-USD:-1.4509, DBB:0.0946, ICSH:0.0239
Covariance matrix (annualized):
[[0.004421, 0.025782, 0.006116, -2.1e-05], [0.025782, 0.87606, 0.026579, -0.000903], [0.006116, 0.026579, 0.042145, -6.3e-05], [-2.1e-05, -0.000903, -6.3e-05, 1.4e-05]]
Risk-fr... | w_QUAL=1.0000, w_ETH-USD=0.0000, w_DBB=0.0000, w_ICSH=0.0000 | 1.78442 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QUAL=1.0000, w_ETH-USD=0.0000, w_DBB=0.0000, w_ICSH=0.0000
Portfolio annualized return: 15.87%, volatility: 6.65%
Sharpe ratio: (0.1587 - 0.0400) / 0.0665 = 1.7844 | {
"weights": {
"QUAL": 1,
"ETH-USD": 0,
"DBB": 0,
"ICSH": 0
},
"sharpe_ratio": 1.7844,
"portfolio_return": 0.158652,
"portfolio_vol": 0.066493,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20180117_0988 | T5 | 3 | train | sideways | all | [
"XLU",
"BTC-USD",
"ITB",
"UNG"
] | 2018-01-17T00:00:00 | 4-asset optimization. Max-Sharpe: 4.043. Portfolio: return=71.41%, vol=16.67%. Weights: w_XLU=0.0000, w_BTC-USD=0.0578, w_ITB=0.9422, w_UNG=0.0000. | Assets: XLU, BTC-USD, ITB, UNG
Annualized mean returns: XLU:-0.6476, BTC-USD:1.7048, ITB:0.6532, UNG:-0.1560
Covariance matrix (annualized):
[[0.011839, 0.003189, 0.003052, 0.009215], [0.003189, 1.167609, 0.0012, -0.147319], [0.003052, 0.0012, 0.026771, 0.016673], [0.009215, -0.147319, 0.016673, 0.22386]]
Risk-free rat... | w_XLU=0.0000, w_BTC-USD=0.0578, w_ITB=0.9422, w_UNG=0.0000 | 4.042769 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLU=0.0000, w_BTC-USD=0.0578, w_ITB=0.9422, w_UNG=0.0000
Portfolio annualized return: 71.41%, volatility: 16.67%
Sharpe ratio: (0.7141 - 0.0400) / 0.1667 = 4.0428 | {
"weights": {
"XLU": 0,
"BTC-USD": 0.057800000000000004,
"ITB": 0.9422,
"UNG": 0
},
"sharpe_ratio": 4.0428,
"portfolio_return": 0.714065,
"portfolio_vol": 0.166734,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210304_0989 | T5 | 3 | train | sideways | all | [
"XLK",
"DOT-USD",
"BIL",
"INDS"
] | 2021-03-04T00:00:00 | 4-asset optimization. Max-Sharpe: 4.385. Portfolio: return=656.84%, vol=148.87%. Weights: w_XLK=0.0000, w_DOT-USD=1.0000, w_BIL=0.0000, w_INDS=0.0000. | Assets: XLK, DOT-USD, BIL, INDS
Annualized mean returns: XLK:-0.0284, DOT-USD:6.5684, BIL:-0.0007, INDS:-0.0473
Covariance matrix (annualized):
[[0.055467, 0.055565, -7.1e-05, 0.025867], [0.055565, 2.216275, 0.000157, 0.063283], [-7.1e-05, 0.000157, 2e-06, -4.8e-05], [0.025867, 0.063283, -4.8e-05, 0.03377]]
Risk-free r... | w_XLK=0.0000, w_DOT-USD=1.0000, w_BIL=0.0000, w_INDS=0.0000 | 4.385246 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLK=0.0000, w_DOT-USD=1.0000, w_BIL=0.0000, w_INDS=0.0000
Portfolio annualized return: 656.84%, volatility: 148.87%
Sharpe ratio: (6.5684 - 0.0400) / 1.4887 = 4.3852 | {
"weights": {
"XLK": 0,
"DOT-USD": 1,
"BIL": 0,
"INDS": 0
},
"sharpe_ratio": 4.3852,
"portfolio_return": 6.5683869999999995,
"portfolio_vol": 1.488716,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210412_0990 | T5 | 3 | train | sideways | all | [
"VTI",
"BTC-USD",
"LQD",
"GLD"
] | 2021-04-12T00:00:00 | 4-asset optimization. Max-Sharpe: 2.004. Portfolio: return=67.01%, vol=31.44%. Weights: w_VTI=0.6142, w_BTC-USD=0.3858, w_LQD=0.0000, w_GLD=0.0000. | Assets: VTI, BTC-USD, LQD, GLD
Annualized mean returns: VTI:0.2672, BTC-USD:1.3114, LQD:-0.1809, GLD:-0.3411
Covariance matrix (annualized):
[[0.028126, 0.047606, 0.006153, 0.01111], [0.047606, 0.441074, 0.003856, 0.002126], [0.006153, 0.003856, 0.007523, 0.003577], [0.01111, 0.002126, 0.003577, 0.023519]]
Risk-free ra... | w_VTI=0.6142, w_BTC-USD=0.3858, w_LQD=0.0000, w_GLD=0.0000 | 2.004339 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_VTI=0.6142, w_BTC-USD=0.3858, w_LQD=0.0000, w_GLD=0.0000
Portfolio annualized return: 67.01%, volatility: 31.44%
Sharpe ratio: (0.6701 - 0.0400) / 0.3144 = 2.0043 | {
"weights": {
"VTI": 0.6142000000000001,
"BTC-USD": 0.38580000000000003,
"LQD": 0,
"GLD": 0
},
"sharpe_ratio": 2.0043,
"portfolio_return": 0.6700849999999999,
"portfolio_vol": 0.314361,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20200429_0991 | T5 | 3 | train | sideways | all | [
"XLI",
"LINK-USD",
"IEF",
"XHB"
] | 2020-04-29T00:00:00 | 4-asset optimization. Max-Sharpe: 5.256. Portfolio: return=90.87%, vol=16.53%. Weights: w_XLI=0.0000, w_LINK-USD=0.1294, w_IEF=0.8706, w_XHB=0.0000. | Assets: XLI, LINK-USD, IEF, XHB
Annualized mean returns: XLI:-0.3056, LINK-USD:5.3464, IEF:0.2490, XHB:0.3785
Covariance matrix (annualized):
[[0.173536, 0.190925, -0.021463, 0.216645], [0.190925, 1.394481, -0.015614, 0.314462], [-0.021463, -0.015614, 0.009872, -0.023777], [0.216645, 0.314462, -0.023777, 0.317565]]
Ris... | w_XLI=0.0000, w_LINK-USD=0.1294, w_IEF=0.8706, w_XHB=0.0000 | 5.255837 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLI=0.0000, w_LINK-USD=0.1294, w_IEF=0.8706, w_XHB=0.0000
Portfolio annualized return: 90.87%, volatility: 16.53%
Sharpe ratio: (0.9087 - 0.0400) / 0.1653 = 5.2558 | {
"weights": {
"XLI": 0,
"LINK-USD": 0.12940000000000002,
"IEF": 0.8706,
"XHB": 0
},
"sharpe_ratio": 5.2558,
"portfolio_return": 0.9087139999999999,
"portfolio_vol": 0.165286,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220331_0992 | T5 | 3 | train | sideways | all | [
"QQQ",
"LINK-USD",
"MORT",
"ICSH"
] | 2022-03-31T00:00:00 | 4-asset optimization. Max-Sharpe: 1.395. Portfolio: return=110.48%, vol=76.34%. Weights: w_QQQ=0.0163, w_LINK-USD=0.9837, w_MORT=0.0000, w_ICSH=0.0000. | Assets: QQQ, LINK-USD, MORT, ICSH
Annualized mean returns: QQQ:0.2490, LINK-USD:1.1190, MORT:-0.0074, ICSH:-0.0225
Covariance matrix (annualized):
[[0.108346, 0.114481, 0.04994, 0.000485], [0.114481, 0.598506, 0.046551, 0.000503], [0.04994, 0.046551, 0.042036, 0.000291], [0.000485, 0.000503, 0.000291, 3.7e-05]]
Risk-fr... | w_QQQ=0.0163, w_LINK-USD=0.9837, w_MORT=0.0000, w_ICSH=0.0000 | 1.394749 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_QQQ=0.0163, w_LINK-USD=0.9837, w_MORT=0.0000, w_ICSH=0.0000
Portfolio annualized return: 110.48%, volatility: 76.34%
Sharpe ratio: (1.1048 - 0.0400) / 0.7634 = 1.3947 | {
"weights": {
"QQQ": 0.016300000000000002,
"LINK-USD": 0.9837,
"MORT": 0,
"ICSH": 0
},
"sharpe_ratio": 1.3947,
"portfolio_return": 1.104794,
"portfolio_vol": 0.76343,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220610_0993 | T5 | 3 | train | sideways | all | [
"EFA",
"AVAX-USD",
"ICSH",
"IYR"
] | 2022-06-10T00:00:00 | 4-asset optimization. Max-Sharpe: -2.070. Portfolio: return=-41.39%, vol=21.93%. Weights: w_EFA=1.0000, w_AVAX-USD=0.0000, w_ICSH=0.0000, w_IYR=0.0000. | Assets: EFA, AVAX-USD, ICSH, IYR
Annualized mean returns: EFA:-0.4139, AVAX-USD:-7.1298, ICSH:0.0049, IYR:-0.7165
Covariance matrix (annualized):
[[0.048098, 0.123504, 0.000106, 0.045789], [0.123504, 1.218981, -0.000269, 0.097662], [0.000106, -0.000269, 3.5e-05, 0.000374], [0.045789, 0.097662, 0.000374, 0.066521]]
Risk... | w_EFA=1.0000, w_AVAX-USD=0.0000, w_ICSH=0.0000, w_IYR=0.0000 | -2.069591 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EFA=1.0000, w_AVAX-USD=0.0000, w_ICSH=0.0000, w_IYR=0.0000
Portfolio annualized return: -41.39%, volatility: 21.93%
Sharpe ratio: (-0.4139 - 0.0400) / 0.2193 = -2.0696 | {
"weights": {
"EFA": 1,
"AVAX-USD": 0,
"ICSH": 0,
"IYR": 0
},
"sharpe_ratio": -2.0696,
"portfolio_return": -0.413888,
"portfolio_vol": 0.21931299999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20220913_0994 | T5 | 3 | train | sideways | all | [
"EWJ",
"XRP-USD",
"BIL",
"WEAT"
] | 2022-09-13T00:00:00 | 4-asset optimization. Max-Sharpe: 1.666. Portfolio: return=48.89%, vol=26.94%. Weights: w_EWJ=0.1803, w_XRP-USD=0.1873, w_BIL=0.0000, w_WEAT=0.6324. | Assets: EWJ, XRP-USD, BIL, WEAT
Annualized mean returns: EWJ:0.0907, XRP-USD:0.4519, BIL:0.0179, WEAT:0.6134
Covariance matrix (annualized):
[[0.031834, 0.044501, 2.1e-05, -0.009306], [0.044501, 0.240296, 8.8e-05, 0.021424], [2.1e-05, 8.8e-05, 5e-06, -0.000251], [-0.009306, 0.021424, -0.000251, 0.142879]]
Risk-free rat... | w_EWJ=0.1803, w_XRP-USD=0.1873, w_BIL=0.0000, w_WEAT=0.6324 | 1.666401 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EWJ=0.1803, w_XRP-USD=0.1873, w_BIL=0.0000, w_WEAT=0.6324
Portfolio annualized return: 48.89%, volatility: 26.94%
Sharpe ratio: (0.4889 - 0.0400) / 0.2694 = 1.6664 | {
"weights": {
"EWJ": 0.18030000000000002,
"XRP-USD": 0.18730000000000002,
"BIL": 0,
"WEAT": 0.6324000000000001
},
"sharpe_ratio": 1.6663999999999999,
"portfolio_return": 0.488869,
"portfolio_vol": 0.26936499999999997,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_c... |
T5_all_20181114_0995 | T5 | 3 | train | sideways | all | [
"IVV",
"LINK-USD",
"ICSH",
"IEF"
] | 2018-11-14T00:00:00 | 4-asset optimization. Max-Sharpe: 5.180. Portfolio: return=470.83%, vol=90.12%. Weights: w_IVV=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_IEF=0.0000. | Assets: IVV, LINK-USD, ICSH, IEF
Annualized mean returns: IVV:-0.3719, LINK-USD:4.7083, ICSH:0.0205, IEF:-0.0318
Covariance matrix (annualized):
[[0.035651, 0.047762, 2e-05, -0.003663], [0.047762, 0.812195, -6.6e-05, -0.007517], [2e-05, -6.6e-05, 1.3e-05, 1.8e-05], [-0.003663, -0.007517, 1.8e-05, 0.00173]]
Risk-free ra... | w_IVV=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_IEF=0.0000 | 5.180025 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_IVV=0.0000, w_LINK-USD=1.0000, w_ICSH=0.0000, w_IEF=0.0000
Portfolio annualized return: 470.83%, volatility: 90.12%
Sharpe ratio: (4.7083 - 0.0400) / 0.9012 = 5.1800 | {
"weights": {
"IVV": 0,
"LINK-USD": 1,
"ICSH": 0,
"IEF": 0
},
"sharpe_ratio": 5.18,
"portfolio_return": 4.708334,
"portfolio_vol": 0.901218,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20190425_0996 | T5 | 3 | train | sideways | all | [
"XLF",
"XRP-USD",
"GLD",
"LQD"
] | 2019-04-25T00:00:00 | 4-asset optimization. Max-Sharpe: 5.846. Portfolio: return=19.55%, vol=2.66%. Weights: w_XLF=0.1648, w_XRP-USD=0.0057, w_GLD=0.0000, w_LQD=0.8295. | Assets: XLF, XRP-USD, GLD, LQD
Annualized mean returns: XLF:0.2400, XRP-USD:0.4199, GLD:-0.2409, LQD:0.1851
Covariance matrix (annualized):
[[0.021552, 0.003635, -0.004998, -0.003209], [0.003635, 0.299, 0.004595, -0.000694], [-0.004998, 0.004595, 0.00906, 0.001607], [-0.003209, -0.000694, 0.001607, 0.001438]]
Risk-free... | w_XLF=0.1648, w_XRP-USD=0.0057, w_GLD=0.0000, w_LQD=0.8295 | 5.84574 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.1648, w_XRP-USD=0.0057, w_GLD=0.0000, w_LQD=0.8295
Portfolio annualized return: 19.55%, volatility: 2.66%
Sharpe ratio: (0.1955 - 0.0400) / 0.0266 = 5.8457 | {
"weights": {
"XLF": 0.1648,
"XRP-USD": 0.0057,
"GLD": 0,
"LQD": 0.8295
},
"sharpe_ratio": 5.8457,
"portfolio_return": 0.19545,
"portfolio_vol": 0.026591999999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 2897
} |
T5_all_20200818_0997 | T5 | 3 | train | sideways | all | [
"XLE",
"XRP-USD",
"SGOV",
"SHY"
] | 2020-08-18T00:00:00 | 4-asset optimization. Max-Sharpe: 4.539. Portfolio: return=231.48%, vol=50.11%. Weights: w_XLE=0.0000, w_XRP-USD=1.0000, w_SGOV=0.0000, w_SHY=0.0000. | Assets: XLE, XRP-USD, SGOV, SHY
Annualized mean returns: XLE:-0.2882, XRP-USD:2.3148, SGOV:0.0011, SHY:0.0057
Covariance matrix (annualized):
[[0.118827, 0.01706, 1.1e-05, -0.000248], [0.01706, 0.251139, -2.3e-05, -0.000161], [1.1e-05, -2.3e-05, 0.0, 1e-06], [-0.000248, -0.000161, 1e-06, 1.2e-05]]
Risk-free rate: 4.00%... | w_XLE=0.0000, w_XRP-USD=1.0000, w_SGOV=0.0000, w_SHY=0.0000 | 4.539345 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLE=0.0000, w_XRP-USD=1.0000, w_SGOV=0.0000, w_SHY=0.0000
Portfolio annualized return: 231.48%, volatility: 50.11%
Sharpe ratio: (2.3148 - 0.0400) / 0.5011 = 4.5393 | {
"weights": {
"XLE": 0,
"XRP-USD": 1,
"SGOV": 0,
"SHY": 0
},
"sharpe_ratio": 4.5393,
"portfolio_return": 2.314838,
"portfolio_vol": 0.501138,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20221228_0998 | T5 | 3 | train | sideways | all | [
"EEM",
"BTC-USD",
"VNQ",
"CSHI"
] | 2022-12-28T00:00:00 | 4-asset optimization. Max-Sharpe: 3.186. Portfolio: return=71.63%, vol=21.23%. Weights: w_EEM=1.0000, w_BTC-USD=0.0000, w_VNQ=0.0000, w_CSHI=0.0000. | Assets: EEM, BTC-USD, VNQ, CSHI
Annualized mean returns: EEM:0.7163, BTC-USD:-0.6555, VNQ:-0.1627, CSHI:0.0404
Covariance matrix (annualized):
[[0.045069, 0.063696, 0.026985, 0.000286], [0.063696, 0.347921, 0.060783, 0.00044], [0.026985, 0.060783, 0.044041, 0.000482], [0.000286, 0.00044, 0.000482, 4.8e-05]]
Risk-free r... | w_EEM=1.0000, w_BTC-USD=0.0000, w_VNQ=0.0000, w_CSHI=0.0000 | 3.185505 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_EEM=1.0000, w_BTC-USD=0.0000, w_VNQ=0.0000, w_CSHI=0.0000
Portfolio annualized return: 71.63%, volatility: 21.23%
Sharpe ratio: (0.7163 - 0.0400) / 0.2123 = 3.1855 | {
"weights": {
"EEM": 1,
"BTC-USD": 0,
"VNQ": 0,
"CSHI": 0
},
"sharpe_ratio": 3.1855,
"portfolio_return": 0.716268,
"portfolio_vol": 0.21229499999999998,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T5_all_20210303_0999 | T5 | 3 | train | sideways | all | [
"XLF",
"ADA-USD",
"SGOV",
"LQD"
] | 2021-03-03T00:00:00 | 4-asset optimization. Max-Sharpe: 5.768. Portfolio: return=287.07%, vol=49.08%. Weights: w_XLF=0.7012, w_ADA-USD=0.2988, w_SGOV=0.0000, w_LQD=0.0000. | Assets: XLF, ADA-USD, SGOV, LQD
Annualized mean returns: XLF:0.7045, ADA-USD:7.9536, SGOV:0.0013, LQD:-0.2468
Covariance matrix (annualized):
[[0.051433, 0.068539, 1e-05, -0.001534], [0.068539, 2.092659, -1.6e-05, 0.011554], [1e-05, -1.6e-05, 0.0, 1.6e-05], [-0.001534, 0.011554, 1.6e-05, 0.005146]]
Risk-free rate: 4.00... | w_XLF=0.7012, w_ADA-USD=0.2988, w_SGOV=0.0000, w_LQD=0.0000 | 5.767718 | Solved max-Sharpe via SLSQP numerical optimization.
Optimal weights: w_XLF=0.7012, w_ADA-USD=0.2988, w_SGOV=0.0000, w_LQD=0.0000
Portfolio annualized return: 287.07%, volatility: 49.08%
Sharpe ratio: (2.8707 - 0.0400) / 0.4908 = 5.7677 | {
"weights": {
"XLF": 0.7012,
"ADA-USD": 0.2988,
"SGOV": 0,
"LQD": 0
},
"sharpe_ratio": 5.7677,
"portfolio_return": 2.870665,
"portfolio_vol": 0.49077699999999996,
"n_assets": 4,
"optimizer_success": true,
"has_text": true,
"text_chars": 3020
} |
T6_all_20210218_0007 | T6 | 3 | train | sideways | all | [
"USMV",
"LINK-USD",
"HAUZ",
"SGOV"
] | 2021-02-18T00:00:00 | Max weight deviation: 0.0248, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
USMV: current=0.2492, target=0.2500
LINK-USD: current=0.2401, target=0.2500
HAUZ: current=0.2359, target=0.2500
SGOV: current=0.2748, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this por... | no | 0 | Maximum absolute deviation: 0.0248.
Rebalancing threshold: 0.0500.
0.0248 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0495, transaction cost = 0.000050 (negligible vs. drift). | {
"current_weights": {
"USMV": 0.2492,
"LINK-USD": 0.2401,
"HAUZ": 0.2359,
"SGOV": 0.2748
},
"target_weights": {
"USMV": 0.25,
"LINK-USD": 0.25,
"HAUZ": 0.25,
"SGOV": 0.25
},
"max_deviation": 0.024800000000000003,
"total_turnover": 0.049525,
"transaction_cost": 0.00005,
"... |
T6_all_20180727_0014 | T6 | 3 | train | sideways | all | [
"XLRE",
"LINK-USD",
"SHY",
"ITB"
] | 2018-07-27T00:00:00 | Max weight deviation: 0.0287, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLRE: current=0.2996, target=0.2500
LINK-USD: current=0.2620, target=0.2500
SHY: current=0.1850, target=0.2500
ITB: current=0.2534, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; buy 0.0650 of SHY | 1 | Maximum absolute deviation: 0.0287.
Rebalancing threshold: 0.0500.
0.0287 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0574, transaction cost = 0.000057 (negligible vs. drift). | {
"current_weights": {
"XLRE": 0.29960000000000003,
"LINK-USD": 0.262,
"SHY": 0.185,
"ITB": 0.2534
},
"target_weights": {
"XLRE": 0.25,
"LINK-USD": 0.25,
"SHY": 0.25,
"ITB": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.057428,
"transaction_cost": 0.000056999999999999... |
T6_all_20211130_0021 | T6 | 3 | train | sideways | all | [
"USMV",
"BTC-USD",
"ICSH",
"DBA"
] | 2021-11-30T00:00:00 | Max weight deviation: 0.0201, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
USMV: current=0.2299, target=0.2500
BTC-USD: current=0.2628, target=0.2500
ICSH: current=0.2511, target=0.2500
DBA: current=0.2561, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0201.
Rebalancing threshold: 0.0500.
0.0201 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0401, transaction cost = 0.000040 (negligible vs. drift). | {
"current_weights": {
"USMV": 0.22990000000000002,
"BTC-USD": 0.26280000000000003,
"ICSH": 0.2511,
"DBA": 0.2561
},
"target_weights": {
"USMV": 0.25,
"BTC-USD": 0.25,
"ICSH": 0.25,
"DBA": 0.25
},
"max_deviation": 0.0201,
"total_turnover": 0.040126999999999996,
"transaction... |
T6_all_20221006_0023 | T6 | 3 | train | sideways | all | [
"XLF",
"SOL-USD",
"CSHI",
"IYR"
] | 2022-10-06T00:00:00 | Max weight deviation: 0.0125, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLF: current=0.2620, target=0.2500
SOL-USD: current=0.2546, target=0.2500
CSHI: current=0.2375, target=0.2500
IYR: current=0.2459, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0125.
Rebalancing threshold: 0.0500.
0.0125 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0333, transaction cost = 0.000033 (negligible vs. drift). | {
"current_weights": {
"XLF": 0.262,
"SOL-USD": 0.2546,
"CSHI": 0.23750000000000002,
"IYR": 0.2459
},
"target_weights": {
"XLF": 0.25,
"SOL-USD": 0.25,
"CSHI": 0.25,
"IYR": 0.25
},
"max_deviation": 0.0125,
"total_turnover": 0.033317,
"transaction_cost": 0.000032999999999999... |
T6_all_20211029_0028 | T6 | 3 | train | sideways | all | [
"XLV",
"LINK-USD",
"TLT",
"USO"
] | 2021-10-29T00:00:00 | Max weight deviation: 0.0355, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLV: current=0.1850, target=0.2500
LINK-USD: current=0.2515, target=0.2500
TLT: current=0.2901, target=0.2500
USO: current=0.2734, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; buy 0.0650 of XLV | 1 | Maximum absolute deviation: 0.0355.
Rebalancing threshold: 0.0500.
0.0355 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0709, transaction cost = 0.000071 (negligible vs. drift). | {
"current_weights": {
"XLV": 0.185,
"LINK-USD": 0.2515,
"TLT": 0.2901,
"USO": 0.27340000000000003
},
"target_weights": {
"XLV": 0.25,
"LINK-USD": 0.25,
"TLT": 0.25,
"USO": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.070936,
"transaction_cost": 0.0000709999999999999... |
T6_all_20201021_0062 | T6 | 3 | train | sideways | all | [
"VLUE",
"ETH-USD",
"ICSH",
"IAU"
] | 2020-10-21T00:00:00 | Max weight deviation: 0.0139, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
VLUE: current=0.2033, target=0.2500
ETH-USD: current=0.2010, target=0.2500
ICSH: current=0.3151, target=0.2500
IAU: current=0.2805, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; sell 0.0651 of ICSH | 1 | Maximum absolute deviation: 0.0139.
Rebalancing threshold: 0.0500.
0.0139 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0409, transaction cost = 0.000041 (negligible vs. drift). | {
"current_weights": {
"VLUE": 0.2033,
"ETH-USD": 0.201,
"ICSH": 0.3151,
"IAU": 0.2805
},
"target_weights": {
"VLUE": 0.25,
"ETH-USD": 0.25,
"ICSH": 0.25,
"IAU": 0.25
},
"max_deviation": 0.065147,
"total_turnover": 0.040940000000000004,
"transaction_cost": 0.000041,
"thre... |
T6_all_20211022_0065 | T6 | 3 | train | sideways | all | [
"MTUM",
"ADA-USD",
"EMB",
"SGOV"
] | 2021-10-22T00:00:00 | Max weight deviation: 0.0546, threshold: 0.05. Decision: yes (rebalance). | Portfolio holdings (current vs. target weights):
MTUM: current=0.2407, target=0.2500
ADA-USD: current=0.2569, target=0.2500
EMB: current=0.2800, target=0.2500
SGOV: current=0.2225, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0546.
Rebalancing threshold: 0.0500.
0.0546 > 0.0500 → decision: 'yes'.
If rebalanced: total turnover = 0.1343, transaction cost = 0.000134 (negligible vs. drift). | {
"current_weights": {
"MTUM": 0.24070000000000003,
"ADA-USD": 0.2569,
"EMB": 0.28,
"SGOV": 0.2225
},
"target_weights": {
"MTUM": 0.25,
"ADA-USD": 0.25,
"EMB": 0.25,
"SGOV": 0.25
},
"max_deviation": 0.03,
"total_turnover": 0.134259,
"transaction_cost": 0.000134,
"threshol... |
T6_all_20160822_0074 | T6 | 3 | train | sideways | all | [
"XLY",
"BTC-USD",
"PPLT",
"HYG"
] | 2016-08-22T00:00:00 | Max weight deviation: 0.0235, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLY: current=0.2539, target=0.2500
BTC-USD: current=0.3037, target=0.2500
PPLT: current=0.1850, target=0.2500
HYG: current=0.2575, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; buy 0.0650 of PPLT | 1 | Maximum absolute deviation: 0.0235.
Rebalancing threshold: 0.0500.
0.0235 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0470, transaction cost = 0.000047 (negligible vs. drift). | {
"current_weights": {
"XLY": 0.2539,
"BTC-USD": 0.3037,
"PPLT": 0.185,
"HYG": 0.2575
},
"target_weights": {
"XLY": 0.25,
"BTC-USD": 0.25,
"PPLT": 0.25,
"HYG": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.047006,
"transaction_cost": 0.000047,
"threshold": 0.05,
"... |
T6_all_20220707_0076 | T6 | 3 | train | sideways | all | [
"IVV",
"MATIC-USD",
"LQD",
"SLV"
] | 2022-07-07T00:00:00 | Max weight deviation: 0.0376, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
IVV: current=0.2097, target=0.2500
MATIC-USD: current=0.2362, target=0.2500
LQD: current=0.3150, target=0.2500
SLV: current=0.2391, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; sell 0.0650 of LQD | 1 | Maximum absolute deviation: 0.0376.
Rebalancing threshold: 0.0500.
0.0376 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0752, transaction cost = 0.000075 (negligible vs. drift). | {
"current_weights": {
"IVV": 0.2097,
"MATIC-USD": 0.23620000000000002,
"LQD": 0.315,
"SLV": 0.2391
},
"target_weights": {
"IVV": 0.25,
"MATIC-USD": 0.25,
"LQD": 0.25,
"SLV": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.075237,
"transaction_cost": 0.000075,
"thresh... |
T6_all_20180829_0078 | T6 | 3 | train | sideways | all | [
"XLE",
"BTC-USD",
"DBA",
"ICSH"
] | 2018-08-29T00:00:00 | Max weight deviation: 0.0469, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLE: current=0.1850, target=0.2500
BTC-USD: current=0.2901, target=0.2500
DBA: current=0.2688, target=0.2500
ICSH: current=0.2561, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; buy 0.0650 of XLE | 1 | Maximum absolute deviation: 0.0469.
Rebalancing threshold: 0.0500.
0.0469 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0938, transaction cost = 0.000094 (negligible vs. drift). | {
"current_weights": {
"XLE": 0.185,
"BTC-USD": 0.2901,
"DBA": 0.26880000000000004,
"ICSH": 0.2561
},
"target_weights": {
"XLE": 0.25,
"BTC-USD": 0.25,
"DBA": 0.25,
"ICSH": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.093844,
"transaction_cost": 0.000094,
"threshol... |
T6_all_20210914_0081 | T6 | 3 | train | sideways | all | [
"^VIX",
"ADA-USD",
"CPER",
"VNQ"
] | 2021-09-14T00:00:00 | Max weight deviation: 0.0444, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
^VIX: current=0.2876, target=0.2500
ADA-USD: current=0.2412, target=0.2500
CPER: current=0.2056, target=0.2500
VNQ: current=0.2656, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0444.
Rebalancing threshold: 0.0500.
0.0444 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.1064, transaction cost = 0.000106 (negligible vs. drift). | {
"current_weights": {
"^VIX": 0.2876,
"ADA-USD": 0.2412,
"CPER": 0.2056,
"VNQ": 0.2656
},
"target_weights": {
"^VIX": 0.25,
"ADA-USD": 0.25,
"CPER": 0.25,
"VNQ": 0.25
},
"max_deviation": 0.0444,
"total_turnover": 0.106386,
"transaction_cost": 0.000106,
"threshold": 0.05,... |
T6_all_20160816_0086 | T6 | 3 | train | sideways | all | [
"FXI",
"BTC-USD",
"BIL",
"JNK"
] | 2016-08-16T00:00:00 | Max weight deviation: 0.0246, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
FXI: current=0.2323, target=0.2500
BTC-USD: current=0.2133, target=0.2500
BIL: current=0.3150, target=0.2500
JNK: current=0.2394, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | yes; sell 0.0650 of BIL | 1 | Maximum absolute deviation: 0.0246.
Rebalancing threshold: 0.0500.
0.0246 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0493, transaction cost = 0.000049 (negligible vs. drift). | {
"current_weights": {
"FXI": 0.2323,
"BTC-USD": 0.21330000000000002,
"BIL": 0.315,
"JNK": 0.2394
},
"target_weights": {
"FXI": 0.25,
"BTC-USD": 0.25,
"BIL": 0.25,
"JNK": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.049297,
"transaction_cost": 0.000049,
"threshold"... |
T6_all_20191203_0089 | T6 | 3 | train | sideways | all | [
"IWM",
"ETH-USD",
"UNG",
"BIL"
] | 2019-12-03T00:00:00 | Max weight deviation: 0.0315, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
IWM: current=0.2626, target=0.2500
ETH-USD: current=0.2552, target=0.2500
UNG: current=0.2637, target=0.2500
BIL: current=0.2185, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | no | 0 | Maximum absolute deviation: 0.0315.
Rebalancing threshold: 0.0500.
0.0315 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0631, transaction cost = 0.000063 (negligible vs. drift). | {
"current_weights": {
"IWM": 0.2626,
"ETH-USD": 0.25520000000000004,
"UNG": 0.2637,
"BIL": 0.2185
},
"target_weights": {
"IWM": 0.25,
"ETH-USD": 0.25,
"UNG": 0.25,
"BIL": 0.25
},
"max_deviation": 0.0315,
"total_turnover": 0.063091,
"transaction_cost": 0.000063,
"threshol... |
T6_all_20190826_0095 | T6 | 3 | train | sideways | all | [
"QQQ",
"ADA-USD",
"HYG",
"REZ"
] | 2019-08-26T00:00:00 | Max weight deviation: 0.0147, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
QQQ: current=0.2466, target=0.2500
ADA-USD: current=0.2480, target=0.2500
HYG: current=0.2647, target=0.2500
REZ: current=0.2408, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | no | 0 | Maximum absolute deviation: 0.0147.
Rebalancing threshold: 0.0500.
0.0147 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0295, transaction cost = 0.000029 (negligible vs. drift). | {
"current_weights": {
"QQQ": 0.2466,
"ADA-USD": 0.248,
"HYG": 0.2647,
"REZ": 0.24080000000000001
},
"target_weights": {
"QQQ": 0.25,
"ADA-USD": 0.25,
"HYG": 0.25,
"REZ": 0.25
},
"max_deviation": 0.014700000000000001,
"total_turnover": 0.029460000000000004,
"transaction_cos... |
T6_all_20211015_0103 | T6 | 3 | train | sideways | all | [
"XLK",
"ETH-USD",
"PPLT",
"SGOV"
] | 2021-10-15T00:00:00 | Max weight deviation: 0.0233, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLK: current=0.2267, target=0.2500
ETH-USD: current=0.2581, target=0.2500
PPLT: current=0.2487, target=0.2500
SGOV: current=0.2666, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0233.
Rebalancing threshold: 0.0500.
0.0233 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0493, transaction cost = 0.000049 (negligible vs. drift). | {
"current_weights": {
"XLK": 0.2267,
"ETH-USD": 0.2581,
"PPLT": 0.2487,
"SGOV": 0.2666
},
"target_weights": {
"XLK": 0.25,
"ETH-USD": 0.25,
"PPLT": 0.25,
"SGOV": 0.25
},
"max_deviation": 0.0233,
"total_turnover": 0.049283999999999994,
"transaction_cost": 0.000049,
"thres... |
T6_all_20190117_0119 | T6 | 3 | train | sideways | all | [
"EFA",
"XRP-USD",
"BIL",
"IGOV"
] | 2019-01-17T00:00:00 | Max weight deviation: 0.0270, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EFA: current=0.2590, target=0.2500
XRP-USD: current=0.2712, target=0.2500
BIL: current=0.2469, target=0.2500
IGOV: current=0.2230, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0270.
Rebalancing threshold: 0.0500.
0.0270 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0603, transaction cost = 0.000060 (negligible vs. drift). | {
"current_weights": {
"EFA": 0.259,
"XRP-USD": 0.2712,
"BIL": 0.2469,
"IGOV": 0.223
},
"target_weights": {
"EFA": 0.25,
"XRP-USD": 0.25,
"BIL": 0.25,
"IGOV": 0.25
},
"max_deviation": 0.027,
"total_turnover": 0.060275999999999996,
"transaction_cost": 0.00006000000000000001,... |
T6_all_20190201_0135 | T6 | 3 | train | sideways | all | [
"XLF",
"XRP-USD",
"CORN",
"REZ"
] | 2019-02-01T00:00:00 | Max weight deviation: 0.0085, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLF: current=0.2475, target=0.2500
XRP-USD: current=0.2415, target=0.2500
CORN: current=0.2570, target=0.2500
REZ: current=0.2541, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0085.
Rebalancing threshold: 0.0500.
0.0085 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0221, transaction cost = 0.000022 (negligible vs. drift). | {
"current_weights": {
"XLF": 0.24750000000000003,
"XRP-USD": 0.24150000000000002,
"CORN": 0.257,
"REZ": 0.2541
},
"target_weights": {
"XLF": 0.25,
"XRP-USD": 0.25,
"CORN": 0.25,
"REZ": 0.25
},
"max_deviation": 0.0085,
"total_turnover": 0.022076,
"transaction_cost": 0.00002... |
T6_all_20220114_0139 | T6 | 3 | train | sideways | all | [
"IVV",
"AVAX-USD",
"JNK",
"UNG"
] | 2022-01-14T00:00:00 | Max weight deviation: 0.0228, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
IVV: current=0.2361, target=0.2500
AVAX-USD: current=0.2728, target=0.2500
JNK: current=0.2468, target=0.2500
UNG: current=0.2443, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0228.
Rebalancing threshold: 0.0500.
0.0228 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0456, transaction cost = 0.000046 (negligible vs. drift). | {
"current_weights": {
"IVV": 0.2361,
"AVAX-USD": 0.2728,
"JNK": 0.24680000000000002,
"UNG": 0.24430000000000002
},
"target_weights": {
"IVV": 0.25,
"AVAX-USD": 0.25,
"JNK": 0.25,
"UNG": 0.25
},
"max_deviation": 0.0228,
"total_turnover": 0.045644,
"transaction_cost": 0.0000... |
T6_all_20221202_0146 | T6 | 3 | train | sideways | all | [
"XLE",
"LINK-USD",
"WEAT",
"LQD"
] | 2022-12-02T00:00:00 | Max weight deviation: 0.0386, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLE: current=0.1850, target=0.2500
LINK-USD: current=0.2119, target=0.2500
WEAT: current=0.3076, target=0.2500
LQD: current=0.2955, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; buy 0.0650 of XLE | 1 | Maximum absolute deviation: 0.0386.
Rebalancing threshold: 0.0500.
0.0386 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.1223, transaction cost = 0.000122 (negligible vs. drift). | {
"current_weights": {
"XLE": 0.185,
"LINK-USD": 0.2119,
"WEAT": 0.30760000000000004,
"LQD": 0.29550000000000004
},
"target_weights": {
"XLE": 0.25,
"LINK-USD": 0.25,
"WEAT": 0.25,
"LQD": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.122347,
"transaction_cost": 0.0001... |
T6_all_20210420_0148 | T6 | 3 | train | sideways | all | [
"XLI",
"BTC-USD",
"TIP",
"IYR"
] | 2021-04-20T00:00:00 | Max weight deviation: 0.0255, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLI: current=0.2393, target=0.2500
BTC-USD: current=0.2653, target=0.2500
TIP: current=0.1850, target=0.2500
IYR: current=0.3104, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | yes; buy 0.0650 of TIP | 1 | Maximum absolute deviation: 0.0255.
Rebalancing threshold: 0.0500.
0.0255 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0594, transaction cost = 0.000059 (negligible vs. drift). | {
"current_weights": {
"XLI": 0.2393,
"BTC-USD": 0.26530000000000004,
"TIP": 0.185,
"IYR": 0.3104
},
"target_weights": {
"XLI": 0.25,
"BTC-USD": 0.25,
"TIP": 0.25,
"IYR": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.059405,
"transaction_cost": 0.000059,
"threshold"... |
T6_all_20210430_0151 | T6 | 3 | train | sideways | all | [
"EWJ",
"ADA-USD",
"VNQI",
"BNDX"
] | 2021-04-30T00:00:00 | Max weight deviation: 0.0155, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EWJ: current=0.2632, target=0.2500
ADA-USD: current=0.2560, target=0.2500
VNQI: current=0.2345, target=0.2500
BNDX: current=0.2462, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0155.
Rebalancing threshold: 0.0500.
0.0155 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0385, transaction cost = 0.000039 (negligible vs. drift). | {
"current_weights": {
"EWJ": 0.2632,
"ADA-USD": 0.256,
"VNQI": 0.23450000000000001,
"BNDX": 0.2462
},
"target_weights": {
"EWJ": 0.25,
"ADA-USD": 0.25,
"VNQI": 0.25,
"BNDX": 0.25
},
"max_deviation": 0.0155,
"total_turnover": 0.038505,
"transaction_cost": 0.000039,
"thres... |
T6_all_20221124_0155 | T6 | 3 | train | sideways | all | [
"IVV",
"AVAX-USD",
"CSHI",
"HYG"
] | 2022-11-24T00:00:00 | Max weight deviation: 0.0223, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
IVV: current=0.2330, target=0.2500
AVAX-USD: current=0.2694, target=0.2500
CSHI: current=0.2277, target=0.2500
HYG: current=0.2699, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0223.
Rebalancing threshold: 0.0500.
0.0223 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0786, transaction cost = 0.000079 (negligible vs. drift). | {
"current_weights": {
"IVV": 0.233,
"AVAX-USD": 0.26940000000000003,
"CSHI": 0.2277,
"HYG": 0.26990000000000003
},
"target_weights": {
"IVV": 0.25,
"AVAX-USD": 0.25,
"CSHI": 0.25,
"HYG": 0.25
},
"max_deviation": 0.0223,
"total_turnover": 0.078611,
"transaction_cost": 0.000... |
T6_all_20221107_0158 | T6 | 3 | train | sideways | all | [
"FXI",
"AVAX-USD",
"IAU",
"XHB"
] | 2022-11-07T00:00:00 | Max weight deviation: 0.0238, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
FXI: current=0.2495, target=0.2500
AVAX-USD: current=0.2396, target=0.2500
IAU: current=0.1959, target=0.2500
XHB: current=0.3150, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; sell 0.0650 of XHB | 1 | Maximum absolute deviation: 0.0238.
Rebalancing threshold: 0.0500.
0.0238 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0477, transaction cost = 0.000048 (negligible vs. drift). | {
"current_weights": {
"FXI": 0.2495,
"AVAX-USD": 0.2396,
"IAU": 0.19590000000000002,
"XHB": 0.315
},
"target_weights": {
"FXI": 0.25,
"AVAX-USD": 0.25,
"IAU": 0.25,
"XHB": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.047666,
"transaction_cost": 0.000048,
"threshol... |
T6_all_20220628_0162 | T6 | 3 | train | sideways | all | [
"XLV",
"BNB-USD",
"IGOV",
"BIL"
] | 2022-06-28T00:00:00 | Max weight deviation: 0.0398, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLV: current=0.2362, target=0.2500
BNB-USD: current=0.2799, target=0.2500
IGOV: current=0.2989, target=0.2500
BIL: current=0.1850, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; buy 0.0650 of BIL | 1 | Maximum absolute deviation: 0.0398.
Rebalancing threshold: 0.0500.
0.0398 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0965, transaction cost = 0.000096 (negligible vs. drift). | {
"current_weights": {
"XLV": 0.23620000000000002,
"BNB-USD": 0.27990000000000004,
"IGOV": 0.2989,
"BIL": 0.185
},
"target_weights": {
"XLV": 0.25,
"BNB-USD": 0.25,
"IGOV": 0.25,
"BIL": 0.25
},
"max_deviation": 0.06497,
"total_turnover": 0.09647299999999999,
"transaction_co... |
T6_all_20201027_0165 | T6 | 3 | train | sideways | all | [
"QUAL",
"AVAX-USD",
"INDS",
"DBB"
] | 2020-10-27T00:00:00 | Max weight deviation: 0.0251, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
QUAL: current=0.2427, target=0.2500
AVAX-USD: current=0.2613, target=0.2500
INDS: current=0.2711, target=0.2500
DBB: current=0.2249, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this port... | no | 0 | Maximum absolute deviation: 0.0251.
Rebalancing threshold: 0.0500.
0.0251 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0649, transaction cost = 0.000065 (negligible vs. drift). | {
"current_weights": {
"QUAL": 0.2427,
"AVAX-USD": 0.26130000000000003,
"INDS": 0.2711,
"DBB": 0.22490000000000002
},
"target_weights": {
"QUAL": 0.25,
"AVAX-USD": 0.25,
"INDS": 0.25,
"DBB": 0.25
},
"max_deviation": 0.0251,
"total_turnover": 0.064901,
"transaction_cost": 0.... |
T6_all_20190809_0177 | T6 | 3 | train | sideways | all | [
"USMV",
"BNB-USD",
"BIL",
"INDS"
] | 2019-08-09T00:00:00 | Max weight deviation: 0.0352, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
USMV: current=0.2506, target=0.2500
BNB-USD: current=0.2617, target=0.2500
BIL: current=0.2148, target=0.2500
INDS: current=0.2729, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0352.
Rebalancing threshold: 0.0500.
0.0352 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0705, transaction cost = 0.000070 (negligible vs. drift). | {
"current_weights": {
"USMV": 0.2506,
"BNB-USD": 0.2617,
"BIL": 0.21480000000000002,
"INDS": 0.27290000000000003
},
"target_weights": {
"USMV": 0.25,
"BNB-USD": 0.25,
"BIL": 0.25,
"INDS": 0.25
},
"max_deviation": 0.0352,
"total_turnover": 0.07045000000000001,
"transaction_... |
T6_all_20200128_0182 | T6 | 3 | train | sideways | all | [
"EWJ",
"LINK-USD",
"MORT",
"CPER"
] | 2020-01-28T00:00:00 | Max weight deviation: 0.0313, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EWJ: current=0.1850, target=0.2500
LINK-USD: current=0.2458, target=0.2500
MORT: current=0.2793, target=0.2500
CPER: current=0.2899, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this port... | yes; buy 0.0650 of EWJ | 1 | Maximum absolute deviation: 0.0313.
Rebalancing threshold: 0.0500.
0.0313 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0666, transaction cost = 0.000067 (negligible vs. drift). | {
"current_weights": {
"EWJ": 0.185,
"LINK-USD": 0.24580000000000002,
"MORT": 0.2793,
"CPER": 0.2899
},
"target_weights": {
"EWJ": 0.25,
"LINK-USD": 0.25,
"MORT": 0.25,
"CPER": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.06659000000000001,
"transaction_cost": 0.0000... |
T6_all_20180914_0198 | T6 | 3 | train | sideways | all | [
"XLE",
"BTC-USD",
"REZ",
"PDBC"
] | 2018-09-14T00:00:00 | Max weight deviation: 0.0254, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLE: current=0.2618, target=0.2500
BTC-USD: current=0.2278, target=0.2500
REZ: current=0.3151, target=0.2500
PDBC: current=0.1953, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; sell 0.0651 of REZ | 1 | Maximum absolute deviation: 0.0254.
Rebalancing threshold: 0.0500.
0.0254 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0601, transaction cost = 0.000060 (negligible vs. drift). | {
"current_weights": {
"XLE": 0.26180000000000003,
"BTC-USD": 0.2278,
"REZ": 0.3151,
"PDBC": 0.1953
},
"target_weights": {
"XLE": 0.25,
"BTC-USD": 0.25,
"REZ": 0.25,
"PDBC": 0.25
},
"max_deviation": 0.065081,
"total_turnover": 0.060132,
"transaction_cost": 0.000060000000000... |
T6_all_20220425_0199 | T6 | 3 | train | sideways | all | [
"XLU",
"BNB-USD",
"WEAT",
"TLT"
] | 2022-04-25T00:00:00 | Max weight deviation: 0.0164, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLU: current=0.2515, target=0.2500
BNB-USD: current=0.2336, target=0.2500
WEAT: current=0.2632, target=0.2500
TLT: current=0.2517, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0164.
Rebalancing threshold: 0.0500.
0.0164 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0329, transaction cost = 0.000033 (negligible vs. drift). | {
"current_weights": {
"XLU": 0.2515,
"BNB-USD": 0.2336,
"WEAT": 0.2632,
"TLT": 0.25170000000000003
},
"target_weights": {
"XLU": 0.25,
"BNB-USD": 0.25,
"WEAT": 0.25,
"TLT": 0.25
},
"max_deviation": 0.0164,
"total_turnover": 0.03289,
"transaction_cost": 0.000032999999999999... |
T6_all_20160318_0202 | T6 | 3 | train | sideways | all | [
"EFA",
"BTC-USD",
"BIL",
"GLD"
] | 2016-03-18T00:00:00 | Max weight deviation: 0.0406, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EFA: current=0.3149, target=0.2500
BTC-USD: current=0.2378, target=0.2500
BIL: current=0.1986, target=0.2500
GLD: current=0.2487, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | yes; sell 0.0649 of EFA | 1 | Maximum absolute deviation: 0.0406.
Rebalancing threshold: 0.0500.
0.0406 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0811, transaction cost = 0.000081 (negligible vs. drift). | {
"current_weights": {
"EFA": 0.3149,
"BTC-USD": 0.2378,
"BIL": 0.1986,
"GLD": 0.2487
},
"target_weights": {
"EFA": 0.25,
"BTC-USD": 0.25,
"BIL": 0.25,
"GLD": 0.25
},
"max_deviation": 0.06495000000000001,
"total_turnover": 0.081117,
"transaction_cost": 0.0000809999999999999... |
T6_all_20200206_0205 | T6 | 3 | train | sideways | all | [
"MTUM",
"ADA-USD",
"SLV",
"TLT"
] | 2020-02-06T00:00:00 | Max weight deviation: 0.0362, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
MTUM: current=0.2416, target=0.2500
ADA-USD: current=0.2862, target=0.2500
SLV: current=0.2358, target=0.2500
TLT: current=0.2364, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0362.
Rebalancing threshold: 0.0500.
0.0362 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0724, transaction cost = 0.000072 (negligible vs. drift). | {
"current_weights": {
"MTUM": 0.2416,
"ADA-USD": 0.2862,
"SLV": 0.2358,
"TLT": 0.2364
},
"target_weights": {
"MTUM": 0.25,
"ADA-USD": 0.25,
"SLV": 0.25,
"TLT": 0.25
},
"max_deviation": 0.0362,
"total_turnover": 0.072391,
"transaction_cost": 0.000072,
"threshold": 0.05,
... |
T6_all_20220810_0209 | T6 | 3 | train | sideways | all | [
"XLE",
"DOT-USD",
"SGOV",
"DBB"
] | 2022-08-10T00:00:00 | Max weight deviation: 0.0465, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLE: current=0.2340, target=0.2500
DOT-USD: current=0.2035, target=0.2500
SGOV: current=0.2678, target=0.2500
DBB: current=0.2947, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0465.
Rebalancing threshold: 0.0500.
0.0465 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.1250, transaction cost = 0.000125 (negligible vs. drift). | {
"current_weights": {
"XLE": 0.234,
"DOT-USD": 0.20350000000000001,
"SGOV": 0.26780000000000004,
"DBB": 0.2947
},
"target_weights": {
"XLE": 0.25,
"DOT-USD": 0.25,
"SGOV": 0.25,
"DBB": 0.25
},
"max_deviation": 0.0465,
"total_turnover": 0.124967,
"transaction_cost": 0.00012... |
T6_all_20200311_0214 | T6 | 3 | train | sideways | all | [
"XLU",
"BNB-USD",
"SOYB",
"BIL"
] | 2020-03-11T00:00:00 | Max weight deviation: 0.0101, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLU: current=0.1901, target=0.2500
BNB-USD: current=0.3066, target=0.2500
SOYB: current=0.1882, target=0.2500
BIL: current=0.3150, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; sell 0.0650 of BIL | 1 | Maximum absolute deviation: 0.0101.
Rebalancing threshold: 0.0500.
0.0101 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0377, transaction cost = 0.000038 (negligible vs. drift). | {
"current_weights": {
"XLU": 0.19010000000000002,
"BNB-USD": 0.30660000000000004,
"SOYB": 0.1882,
"BIL": 0.315
},
"target_weights": {
"XLU": 0.25,
"BNB-USD": 0.25,
"SOYB": 0.25,
"BIL": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.037705999999999996,
"transaction_cos... |
T6_all_20150312_0222 | T6 | 3 | train | sideways | all | [
"XLY",
"BTC-USD",
"IGOV",
"SLV"
] | 2015-03-12T00:00:00 | Max weight deviation: 0.0300, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLY: current=0.2130, target=0.2500
BTC-USD: current=0.2465, target=0.2500
IGOV: current=0.3150, target=0.2500
SLV: current=0.2255, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; sell 0.0650 of IGOV | 1 | Maximum absolute deviation: 0.0300.
Rebalancing threshold: 0.0500.
0.0300 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0600, transaction cost = 0.000060 (negligible vs. drift). | {
"current_weights": {
"XLY": 0.213,
"BTC-USD": 0.24650000000000002,
"IGOV": 0.315,
"SLV": 0.2255
},
"target_weights": {
"XLY": 0.25,
"BTC-USD": 0.25,
"IGOV": 0.25,
"SLV": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.059979,
"transaction_cost": 0.00006000000000000001... |
T6_all_20201020_0225 | T6 | 3 | train | sideways | all | [
"EWJ",
"LINK-USD",
"ITB",
"TIP"
] | 2020-10-20T00:00:00 | Max weight deviation: 0.0162, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EWJ: current=0.2631, target=0.2500
LINK-USD: current=0.2338, target=0.2500
ITB: current=0.2560, target=0.2500
TIP: current=0.2471, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0162.
Rebalancing threshold: 0.0500.
0.0162 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0382, transaction cost = 0.000038 (negligible vs. drift). | {
"current_weights": {
"EWJ": 0.2631,
"LINK-USD": 0.2338,
"ITB": 0.256,
"TIP": 0.24710000000000001
},
"target_weights": {
"EWJ": 0.25,
"LINK-USD": 0.25,
"ITB": 0.25,
"TIP": 0.25
},
"max_deviation": 0.0162,
"total_turnover": 0.038245999999999995,
"transaction_cost": 0.000037... |
T6_all_20220930_0231 | T6 | 3 | train | sideways | all | [
"XLK",
"BTC-USD",
"SGOV",
"ITB"
] | 2022-09-30T00:00:00 | Max weight deviation: 0.0385, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLK: current=0.2242, target=0.2500
BTC-USD: current=0.2885, target=0.2500
SGOV: current=0.2444, target=0.2500
ITB: current=0.2428, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0385.
Rebalancing threshold: 0.0500.
0.0385 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0771, transaction cost = 0.000077 (negligible vs. drift). | {
"current_weights": {
"XLK": 0.2242,
"BTC-USD": 0.28850000000000003,
"SGOV": 0.2444,
"ITB": 0.24280000000000002
},
"target_weights": {
"XLK": 0.25,
"BTC-USD": 0.25,
"SGOV": 0.25,
"ITB": 0.25
},
"max_deviation": 0.0385,
"total_turnover": 0.077087,
"transaction_cost": 0.0000... |
T6_all_20190920_0238 | T6 | 3 | train | sideways | all | [
"XLI",
"ETH-USD",
"LQD",
"SLV"
] | 2019-09-20T00:00:00 | Max weight deviation: 0.0120, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLI: current=0.1850, target=0.2500
ETH-USD: current=0.2484, target=0.2500
LQD: current=0.2516, target=0.2500
SLV: current=0.3150, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | yes; buy 0.0650 of XLI | 1 | Maximum absolute deviation: 0.0120.
Rebalancing threshold: 0.0500.
0.0120 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0246, transaction cost = 0.000025 (negligible vs. drift). | {
"current_weights": {
"XLI": 0.185,
"ETH-USD": 0.2484,
"LQD": 0.2516,
"SLV": 0.315
},
"target_weights": {
"XLI": 0.25,
"ETH-USD": 0.25,
"LQD": 0.25,
"SLV": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.024614999999999998,
"transaction_cost": 0.000024999999999999998,
... |
T6_all_20190902_0241 | T6 | 3 | train | sideways | all | [
"XLF",
"ADA-USD",
"BIL",
"PDBC"
] | 2019-09-02T00:00:00 | Max weight deviation: 0.0181, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLF: current=0.2406, target=0.2500
ADA-USD: current=0.2391, target=0.2500
BIL: current=0.2522, target=0.2500
PDBC: current=0.2681, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0181.
Rebalancing threshold: 0.0500.
0.0181 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0406, transaction cost = 0.000041 (negligible vs. drift). | {
"current_weights": {
"XLF": 0.2406,
"ADA-USD": 0.2391,
"BIL": 0.25220000000000004,
"PDBC": 0.2681
},
"target_weights": {
"XLF": 0.25,
"ADA-USD": 0.25,
"BIL": 0.25,
"PDBC": 0.25
},
"max_deviation": 0.0181,
"total_turnover": 0.04061,
"transaction_cost": 0.000041,
"thresho... |
T6_all_20200828_0243 | T6 | 3 | train | sideways | all | [
"XLV",
"BTC-USD",
"VNQ",
"SCHP"
] | 2020-08-28T00:00:00 | Max weight deviation: 0.0241, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLV: current=0.2440, target=0.2500
BTC-USD: current=0.2741, target=0.2500
VNQ: current=0.2486, target=0.2500
SCHP: current=0.2333, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0241.
Rebalancing threshold: 0.0500.
0.0241 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0482, transaction cost = 0.000048 (negligible vs. drift). | {
"current_weights": {
"XLV": 0.244,
"BTC-USD": 0.2741,
"VNQ": 0.24860000000000002,
"SCHP": 0.2333
},
"target_weights": {
"XLV": 0.25,
"BTC-USD": 0.25,
"VNQ": 0.25,
"SCHP": 0.25
},
"max_deviation": 0.0241,
"total_turnover": 0.048181999999999996,
"transaction_cost": 0.000048... |
T6_all_20160824_0246 | T6 | 3 | train | sideways | all | [
"XLU",
"BTC-USD",
"VCIT",
"BNO"
] | 2016-08-24T00:00:00 | Max weight deviation: 0.0160, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLU: current=0.1915, target=0.2500
BTC-USD: current=0.2338, target=0.2500
VCIT: current=0.2598, target=0.2500
BNO: current=0.3150, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; sell 0.0650 of BNO | 1 | Maximum absolute deviation: 0.0160.
Rebalancing threshold: 0.0500.
0.0160 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0367, transaction cost = 0.000037 (negligible vs. drift). | {
"current_weights": {
"XLU": 0.1915,
"BTC-USD": 0.2338,
"VCIT": 0.25980000000000003,
"BNO": 0.315
},
"target_weights": {
"XLU": 0.25,
"BTC-USD": 0.25,
"VCIT": 0.25,
"BNO": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.036731,
"transaction_cost": 0.000037,
"threshol... |
T6_all_20210729_0250 | T6 | 3 | train | sideways | all | [
"XLE",
"SOL-USD",
"PDBC",
"VCIT"
] | 2021-07-29T00:00:00 | Max weight deviation: 0.0062, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLE: current=0.3077, target=0.2500
SOL-USD: current=0.2311, target=0.2500
PDBC: current=0.2762, target=0.2500
VCIT: current=0.1850, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; buy 0.0650 of VCIT | 1 | Maximum absolute deviation: 0.0062.
Rebalancing threshold: 0.0500.
0.0062 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0161, transaction cost = 0.000016 (negligible vs. drift). | {
"current_weights": {
"XLE": 0.30770000000000003,
"SOL-USD": 0.2311,
"PDBC": 0.2762,
"VCIT": 0.185
},
"target_weights": {
"XLE": 0.25,
"SOL-USD": 0.25,
"PDBC": 0.25,
"VCIT": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.01607,
"transaction_cost": 0.000016,
"thresho... |
T6_all_20191011_0253 | T6 | 3 | train | sideways | all | [
"XLB",
"LINK-USD",
"STIP",
"PDBC"
] | 2019-10-11T00:00:00 | Max weight deviation: 0.0262, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLB: current=0.2361, target=0.2500
LINK-USD: current=0.2316, target=0.2500
STIP: current=0.2561, target=0.2500
PDBC: current=0.2762, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this port... | no | 0 | Maximum absolute deviation: 0.0262.
Rebalancing threshold: 0.0500.
0.0262 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0647, transaction cost = 0.000065 (negligible vs. drift). | {
"current_weights": {
"XLB": 0.2361,
"LINK-USD": 0.2316,
"STIP": 0.2561,
"PDBC": 0.2762
},
"target_weights": {
"XLB": 0.25,
"LINK-USD": 0.25,
"STIP": 0.25,
"PDBC": 0.25
},
"max_deviation": 0.0262,
"total_turnover": 0.064681,
"transaction_cost": 0.000065,
"threshold": 0.0... |
T6_all_20191202_0259 | T6 | 3 | train | sideways | all | [
"EEM",
"ETH-USD",
"JNK",
"ICSH"
] | 2019-12-02T00:00:00 | Max weight deviation: 0.0259, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EEM: current=0.2293, target=0.2500
ETH-USD: current=0.2759, target=0.2500
JNK: current=0.2582, target=0.2500
ICSH: current=0.2366, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0259.
Rebalancing threshold: 0.0500.
0.0259 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0682, transaction cost = 0.000068 (negligible vs. drift). | {
"current_weights": {
"EEM": 0.2293,
"ETH-USD": 0.27590000000000003,
"JNK": 0.2582,
"ICSH": 0.2366
},
"target_weights": {
"EEM": 0.25,
"ETH-USD": 0.25,
"JNK": 0.25,
"ICSH": 0.25
},
"max_deviation": 0.025900000000000003,
"total_turnover": 0.06823499999999999,
"transaction_c... |
T6_all_20220720_0260 | T6 | 3 | train | sideways | all | [
"XLI",
"DOT-USD",
"VNQI",
"USO"
] | 2022-07-20T00:00:00 | Max weight deviation: 0.0236, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLI: current=0.1905, target=0.2500
DOT-USD: current=0.2456, target=0.2500
VNQI: current=0.2489, target=0.2500
USO: current=0.3150, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; sell 0.0650 of USO | 1 | Maximum absolute deviation: 0.0236.
Rebalancing threshold: 0.0500.
0.0236 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0472, transaction cost = 0.000047 (negligible vs. drift). | {
"current_weights": {
"XLI": 0.1905,
"DOT-USD": 0.2456,
"VNQI": 0.2489,
"USO": 0.315
},
"target_weights": {
"XLI": 0.25,
"DOT-USD": 0.25,
"VNQI": 0.25,
"USO": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.047235,
"transaction_cost": 0.000047,
"threshold": 0.05,
"... |
T6_all_20200306_0265 | T6 | 3 | train | sideways | all | [
"XLU",
"ETH-USD",
"PPLT",
"STIP"
] | 2020-03-06T00:00:00 | Max weight deviation: 0.0201, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLU: current=0.2486, target=0.2500
ETH-USD: current=0.2301, target=0.2500
PPLT: current=0.2512, target=0.2500
STIP: current=0.2701, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0201.
Rebalancing threshold: 0.0500.
0.0201 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0426, transaction cost = 0.000043 (negligible vs. drift). | {
"current_weights": {
"XLU": 0.24860000000000002,
"ETH-USD": 0.2301,
"PPLT": 0.25120000000000003,
"STIP": 0.2701
},
"target_weights": {
"XLU": 0.25,
"ETH-USD": 0.25,
"PPLT": 0.25,
"STIP": 0.25
},
"max_deviation": 0.0201,
"total_turnover": 0.042587,
"transaction_cost": 0.00... |
T6_all_20200409_0266 | T6 | 3 | train | sideways | all | [
"USMV",
"XRP-USD",
"PDBC",
"STIP"
] | 2020-04-09T00:00:00 | Max weight deviation: 0.0216, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
USMV: current=0.3149, target=0.2500
XRP-USD: current=0.2797, target=0.2500
PDBC: current=0.2009, target=0.2500
STIP: current=0.2045, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this port... | yes; sell 0.0649 of USMV | 1 | Maximum absolute deviation: 0.0216.
Rebalancing threshold: 0.0500.
0.0216 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0630, transaction cost = 0.000063 (negligible vs. drift). | {
"current_weights": {
"USMV": 0.3149,
"XRP-USD": 0.2797,
"PDBC": 0.20090000000000002,
"STIP": 0.20450000000000002
},
"target_weights": {
"USMV": 0.25,
"XRP-USD": 0.25,
"PDBC": 0.25,
"STIP": 0.25
},
"max_deviation": 0.06490499999999999,
"total_turnover": 0.062956,
"transact... |
T6_all_20180130_0281 | T6 | 3 | train | sideways | all | [
"EWJ",
"ETH-USD",
"ITB",
"VCIT"
] | 2018-01-30T00:00:00 | Max weight deviation: 0.0137, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EWJ: current=0.2560, target=0.2500
ETH-USD: current=0.2363, target=0.2500
ITB: current=0.2549, target=0.2500
VCIT: current=0.2527, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0137.
Rebalancing threshold: 0.0500.
0.0137 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0273, transaction cost = 0.000027 (negligible vs. drift). | {
"current_weights": {
"EWJ": 0.256,
"ETH-USD": 0.2363,
"ITB": 0.2549,
"VCIT": 0.25270000000000004
},
"target_weights": {
"EWJ": 0.25,
"ETH-USD": 0.25,
"ITB": 0.25,
"VCIT": 0.25
},
"max_deviation": 0.0137,
"total_turnover": 0.027341999999999998,
"transaction_cost": 0.000027... |
T6_all_20190606_0286 | T6 | 3 | train | sideways | all | [
"XLRE",
"XRP-USD",
"SHY",
"PPLT"
] | 2019-06-06T00:00:00 | Max weight deviation: 0.0276, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLRE: current=0.1850, target=0.2500
XRP-USD: current=0.2385, target=0.2500
SHY: current=0.2865, target=0.2500
PPLT: current=0.2900, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; buy 0.0650 of XLRE | 1 | Maximum absolute deviation: 0.0276.
Rebalancing threshold: 0.0500.
0.0276 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0650, transaction cost = 0.000065 (negligible vs. drift). | {
"current_weights": {
"XLRE": 0.185,
"XRP-USD": 0.23850000000000002,
"SHY": 0.28650000000000003,
"PPLT": 0.29
},
"target_weights": {
"XLRE": 0.25,
"XRP-USD": 0.25,
"SHY": 0.25,
"PPLT": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.064999,
"transaction_cost": 0.000065... |
T6_all_20220328_0290 | T6 | 3 | train | sideways | all | [
"IVV",
"DOT-USD",
"HYG",
"DBB"
] | 2022-03-28T00:00:00 | Max weight deviation: 0.0278, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
IVV: current=0.2930, target=0.2500
DOT-USD: current=0.1850, target=0.2500
HYG: current=0.2100, target=0.2500
DBB: current=0.3120, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | yes; buy 0.0650 of DOT-USD | 1 | Maximum absolute deviation: 0.0278.
Rebalancing threshold: 0.0500.
0.0278 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0899, transaction cost = 0.000090 (negligible vs. drift). | {
"current_weights": {
"IVV": 0.293,
"DOT-USD": 0.185,
"HYG": 0.21,
"DBB": 0.312
},
"target_weights": {
"IVV": 0.25,
"DOT-USD": 0.25,
"HYG": 0.25,
"DBB": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.089874,
"transaction_cost": 0.00009,
"threshold": 0.05,
"should_... |
T6_all_20210720_0292 | T6 | 3 | train | sideways | all | [
"VTI",
"AVAX-USD",
"REZ",
"IGOV"
] | 2021-07-20T00:00:00 | Max weight deviation: 0.0265, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
VTI: current=0.2907, target=0.2500
AVAX-USD: current=0.1850, target=0.2500
REZ: current=0.2669, target=0.2500
IGOV: current=0.2574, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; buy 0.0650 of AVAX-USD | 1 | Maximum absolute deviation: 0.0265.
Rebalancing threshold: 0.0500.
0.0265 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0529, transaction cost = 0.000053 (negligible vs. drift). | {
"current_weights": {
"VTI": 0.2907,
"AVAX-USD": 0.185,
"REZ": 0.2669,
"IGOV": 0.2574
},
"target_weights": {
"VTI": 0.25,
"AVAX-USD": 0.25,
"REZ": 0.25,
"IGOV": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.05294,
"transaction_cost": 0.000053,
"threshold": 0.05,
... |
T6_all_20210215_0294 | T6 | 3 | train | sideways | all | [
"VLUE",
"ETH-USD",
"MORT",
"SHV"
] | 2021-02-15T00:00:00 | Max weight deviation: 0.0188, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
VLUE: current=0.3149, target=0.2500
ETH-USD: current=0.1908, target=0.2500
MORT: current=0.2751, target=0.2500
SHV: current=0.2192, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; sell 0.0649 of VLUE | 1 | Maximum absolute deviation: 0.0188.
Rebalancing threshold: 0.0500.
0.0188 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0520, transaction cost = 0.000052 (negligible vs. drift). | {
"current_weights": {
"VLUE": 0.3149,
"ETH-USD": 0.1908,
"MORT": 0.2751,
"SHV": 0.2192
},
"target_weights": {
"VLUE": 0.25,
"ETH-USD": 0.25,
"MORT": 0.25,
"SHV": 0.25
},
"max_deviation": 0.06489099999999999,
"total_turnover": 0.052038999999999995,
"transaction_cost": 0.000... |
T6_all_20220607_0301 | T6 | 3 | train | sideways | all | [
"XLP",
"ADA-USD",
"PDBC",
"IEF"
] | 2022-06-07T00:00:00 | Max weight deviation: 0.0165, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLP: current=0.2335, target=0.2500
ADA-USD: current=0.2507, target=0.2500
PDBC: current=0.2556, target=0.2500
IEF: current=0.2602, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0165.
Rebalancing threshold: 0.0500.
0.0165 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0330, transaction cost = 0.000033 (negligible vs. drift). | {
"current_weights": {
"XLP": 0.2335,
"ADA-USD": 0.25070000000000003,
"PDBC": 0.2556,
"IEF": 0.2602
},
"target_weights": {
"XLP": 0.25,
"ADA-USD": 0.25,
"PDBC": 0.25,
"IEF": 0.25
},
"max_deviation": 0.0165,
"total_turnover": 0.033003,
"transaction_cost": 0.00003299999999999... |
T6_all_20220902_0303 | T6 | 3 | train | sideways | all | [
"IVV",
"MATIC-USD",
"SLV",
"TLH"
] | 2022-09-02T00:00:00 | Max weight deviation: 0.0383, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
IVV: current=0.2883, target=0.2500
MATIC-USD: current=0.2216, target=0.2500
SLV: current=0.2395, target=0.2500
TLH: current=0.2507, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0383.
Rebalancing threshold: 0.0500.
0.0383 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0780, transaction cost = 0.000078 (negligible vs. drift). | {
"current_weights": {
"IVV": 0.2883,
"MATIC-USD": 0.22160000000000002,
"SLV": 0.23950000000000002,
"TLH": 0.25070000000000003
},
"target_weights": {
"IVV": 0.25,
"MATIC-USD": 0.25,
"SLV": 0.25,
"TLH": 0.25
},
"max_deviation": 0.0383,
"total_turnover": 0.07795099999999999,
... |
T6_all_20210817_0306 | T6 | 3 | train | sideways | all | [
"MTUM",
"AVAX-USD",
"REZ",
"BIL"
] | 2021-08-17T00:00:00 | Max weight deviation: 0.0293, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
MTUM: current=0.2489, target=0.2500
AVAX-USD: current=0.1850, target=0.2500
REZ: current=0.2986, target=0.2500
BIL: current=0.2675, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; buy 0.0650 of AVAX-USD | 1 | Maximum absolute deviation: 0.0293.
Rebalancing threshold: 0.0500.
0.0293 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0595, transaction cost = 0.000060 (negligible vs. drift). | {
"current_weights": {
"MTUM": 0.2489,
"AVAX-USD": 0.185,
"REZ": 0.29860000000000003,
"BIL": 0.2675
},
"target_weights": {
"MTUM": 0.25,
"AVAX-USD": 0.25,
"REZ": 0.25,
"BIL": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.059525999999999996,
"transaction_cost": 0.00006... |
T6_all_20201002_0310 | T6 | 3 | train | sideways | all | [
"XLP",
"XRP-USD",
"IGOV",
"GLD"
] | 2020-10-02T00:00:00 | Max weight deviation: 0.0244, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLP: current=0.3046, target=0.2500
XRP-USD: current=0.1850, target=0.2500
IGOV: current=0.2814, target=0.2500
GLD: current=0.2290, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; buy 0.0650 of XRP-USD | 1 | Maximum absolute deviation: 0.0244.
Rebalancing threshold: 0.0500.
0.0244 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0646, transaction cost = 0.000065 (negligible vs. drift). | {
"current_weights": {
"XLP": 0.30460000000000004,
"XRP-USD": 0.185,
"IGOV": 0.28140000000000004,
"GLD": 0.229
},
"target_weights": {
"XLP": 0.25,
"XRP-USD": 0.25,
"IGOV": 0.25,
"GLD": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.06460199999999999,
"transaction_cost"... |
T6_all_20220412_0312 | T6 | 3 | train | sideways | all | [
"VLUE",
"BTC-USD",
"REZ",
"SGOV"
] | 2022-04-12T00:00:00 | Max weight deviation: 0.0596, threshold: 0.05. Decision: yes (rebalance). | Portfolio holdings (current vs. target weights):
VLUE: current=0.2370, target=0.2500
BTC-USD: current=0.2258, target=0.2500
REZ: current=0.2275, target=0.2500
SGOV: current=0.3096, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; sell 0.0596 of SGOV | 1 | Maximum absolute deviation: 0.0596.
Rebalancing threshold: 0.0500.
0.0596 > 0.0500 → decision: 'yes'.
If rebalanced: total turnover = 0.1193, transaction cost = 0.000119 (negligible vs. drift). | {
"current_weights": {
"VLUE": 0.23700000000000002,
"BTC-USD": 0.2258,
"REZ": 0.2275,
"SGOV": 0.30960000000000004
},
"target_weights": {
"VLUE": 0.25,
"BTC-USD": 0.25,
"REZ": 0.25,
"SGOV": 0.25
},
"max_deviation": 0.0596,
"total_turnover": 0.11926,
"transaction_cost": 0.000... |
T6_all_20211101_0314 | T6 | 3 | train | sideways | all | [
"EEM",
"BNB-USD",
"SGOV",
"REZ"
] | 2021-11-01T00:00:00 | Max weight deviation: 0.0168, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EEM: current=0.3146, target=0.2500
BNB-USD: current=0.2341, target=0.2500
SGOV: current=0.1850, target=0.2500
REZ: current=0.2662, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; buy 0.0650 of SGOV | 1 | Maximum absolute deviation: 0.0168.
Rebalancing threshold: 0.0500.
0.0168 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0418, transaction cost = 0.000042 (negligible vs. drift). | {
"current_weights": {
"EEM": 0.3146,
"BNB-USD": 0.2341,
"SGOV": 0.185,
"REZ": 0.2662
},
"target_weights": {
"EEM": 0.25,
"BNB-USD": 0.25,
"SGOV": 0.25,
"REZ": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.041812999999999996,
"transaction_cost": 0.000042,
"threshold... |
T6_all_20200916_0317 | T6 | 3 | train | sideways | all | [
"XLF",
"ETH-USD",
"IAU",
"MORT"
] | 2020-09-16T00:00:00 | Max weight deviation: 0.0336, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
XLF: current=0.2534, target=0.2500
ETH-USD: current=0.2698, target=0.2500
IAU: current=0.2603, target=0.2500
MORT: current=0.2164, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | no | 0 | Maximum absolute deviation: 0.0336.
Rebalancing threshold: 0.0500.
0.0336 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0672, transaction cost = 0.000067 (negligible vs. drift). | {
"current_weights": {
"XLF": 0.2534,
"ETH-USD": 0.26980000000000004,
"IAU": 0.26030000000000003,
"MORT": 0.2164
},
"target_weights": {
"XLF": 0.25,
"ETH-USD": 0.25,
"IAU": 0.25,
"MORT": 0.25
},
"max_deviation": 0.033600000000000005,
"total_turnover": 0.067199,
"transaction... |
T6_all_20201113_0322 | T6 | 3 | train | sideways | all | [
"VTI",
"ADA-USD",
"SCHH",
"ICSH"
] | 2020-11-13T00:00:00 | Max weight deviation: 0.0370, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
VTI: current=0.3150, target=0.2500
ADA-USD: current=0.2807, target=0.2500
SCHH: current=0.2122, target=0.2500
ICSH: current=0.1920, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | yes; sell 0.0650 of VTI | 1 | Maximum absolute deviation: 0.0370.
Rebalancing threshold: 0.0500.
0.0370 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.1090, transaction cost = 0.000109 (negligible vs. drift). | {
"current_weights": {
"VTI": 0.315,
"ADA-USD": 0.2807,
"SCHH": 0.2122,
"ICSH": 0.192
},
"target_weights": {
"VTI": 0.25,
"ADA-USD": 0.25,
"SCHH": 0.25,
"ICSH": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.10897899999999999,
"transaction_cost": 0.00010899999999999999... |
T6_all_20200630_0325 | T6 | 3 | train | sideways | all | [
"EFA",
"LINK-USD",
"ICSH",
"REZ"
] | 2020-06-30T00:00:00 | Max weight deviation: 0.0100, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EFA: current=0.2425, target=0.2500
LINK-USD: current=0.2402, target=0.2500
ICSH: current=0.2573, target=0.2500
REZ: current=0.2600, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0100.
Rebalancing threshold: 0.0500.
0.0100 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0347, transaction cost = 0.000035 (negligible vs. drift). | {
"current_weights": {
"EFA": 0.24250000000000002,
"LINK-USD": 0.24020000000000002,
"ICSH": 0.25730000000000003,
"REZ": 0.26
},
"target_weights": {
"EFA": 0.25,
"LINK-USD": 0.25,
"ICSH": 0.25,
"REZ": 0.25
},
"max_deviation": 0.01,
"total_turnover": 0.034697,
"transaction_co... |
T6_all_20190114_0327 | T6 | 3 | train | sideways | all | [
"EFA",
"ETH-USD",
"CPER",
"ICSH"
] | 2019-01-14T00:00:00 | Max weight deviation: 0.0490, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
EFA: current=0.2086, target=0.2500
ETH-USD: current=0.2990, target=0.2500
CPER: current=0.2573, target=0.2500
ICSH: current=0.2352, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0490.
Rebalancing threshold: 0.0500.
0.0490 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.1126, transaction cost = 0.000113 (negligible vs. drift). | {
"current_weights": {
"EFA": 0.2086,
"ETH-USD": 0.299,
"CPER": 0.25730000000000003,
"ICSH": 0.23520000000000002
},
"target_weights": {
"EFA": 0.25,
"ETH-USD": 0.25,
"CPER": 0.25,
"ICSH": 0.25
},
"max_deviation": 0.049,
"total_turnover": 0.11258699999999999,
"transaction_co... |
T6_all_20210104_0329 | T6 | 3 | train | sideways | all | [
"IWM",
"XRP-USD",
"ITB",
"TIP"
] | 2021-01-04T00:00:00 | Max weight deviation: 0.0199, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
IWM: current=0.2406, target=0.2500
XRP-USD: current=0.2512, target=0.2500
ITB: current=0.2699, target=0.2500
TIP: current=0.2383, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | no | 0 | Maximum absolute deviation: 0.0199.
Rebalancing threshold: 0.0500.
0.0199 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0422, transaction cost = 0.000042 (negligible vs. drift). | {
"current_weights": {
"IWM": 0.2406,
"XRP-USD": 0.25120000000000003,
"ITB": 0.26990000000000003,
"TIP": 0.2383
},
"target_weights": {
"IWM": 0.25,
"XRP-USD": 0.25,
"ITB": 0.25,
"TIP": 0.25
},
"max_deviation": 0.0199,
"total_turnover": 0.042168,
"transaction_cost": 0.000042... |
T6_all_20150506_0335 | T6 | 3 | train | sideways | all | [
"QUAL",
"BTC-USD",
"DBA",
"VNQI"
] | 2015-05-06T00:00:00 | Max weight deviation: 0.0119, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
QUAL: current=0.2435, target=0.2500
BTC-USD: current=0.2476, target=0.2500
DBA: current=0.2470, target=0.2500
VNQI: current=0.2619, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portf... | no | 0 | Maximum absolute deviation: 0.0119.
Rebalancing threshold: 0.0500.
0.0119 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0238, transaction cost = 0.000024 (negligible vs. drift). | {
"current_weights": {
"QUAL": 0.24350000000000002,
"BTC-USD": 0.24760000000000001,
"DBA": 0.247,
"VNQI": 0.2619
},
"target_weights": {
"QUAL": 0.25,
"BTC-USD": 0.25,
"DBA": 0.25,
"VNQI": 0.25
},
"max_deviation": 0.0119,
"total_turnover": 0.023755,
"transaction_cost": 0.000... |
T6_all_20200310_0336 | T6 | 3 | train | sideways | all | [
"^VIX",
"BTC-USD",
"EMB",
"SLV"
] | 2020-03-10T00:00:00 | Max weight deviation: 0.0153, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
^VIX: current=0.2296, target=0.2500
BTC-USD: current=0.2814, target=0.2500
EMB: current=0.1850, target=0.2500
SLV: current=0.3040, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfo... | yes; buy 0.0650 of EMB | 1 | Maximum absolute deviation: 0.0153.
Rebalancing threshold: 0.0500.
0.0153 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0402, transaction cost = 0.000040 (negligible vs. drift). | {
"current_weights": {
"^VIX": 0.2296,
"BTC-USD": 0.28140000000000004,
"EMB": 0.185,
"SLV": 0.304
},
"target_weights": {
"^VIX": 0.25,
"BTC-USD": 0.25,
"EMB": 0.25,
"SLV": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.040247,
"transaction_cost": 0.00004,
"threshold"... |
T6_all_20191127_0338 | T6 | 3 | train | sideways | all | [
"QQQ",
"ETH-USD",
"TLH",
"SLV"
] | 2019-11-27T00:00:00 | Max weight deviation: 0.0266, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
QQQ: current=0.3013, target=0.2500
ETH-USD: current=0.1850, target=0.2500
TLH: current=0.2564, target=0.2500
SLV: current=0.2573, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | yes; buy 0.0650 of ETH-USD | 1 | Maximum absolute deviation: 0.0266.
Rebalancing threshold: 0.0500.
0.0266 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0532, transaction cost = 0.000053 (negligible vs. drift). | {
"current_weights": {
"QQQ": 0.3013,
"ETH-USD": 0.185,
"TLH": 0.2564,
"SLV": 0.25730000000000003
},
"target_weights": {
"QQQ": 0.25,
"ETH-USD": 0.25,
"TLH": 0.25,
"SLV": 0.25
},
"max_deviation": 0.065,
"total_turnover": 0.053210999999999994,
"transaction_cost": 0.000053,
... |
T6_all_20220729_0343 | T6 | 3 | train | sideways | all | [
"QQQ",
"SOL-USD",
"DBB",
"EMB"
] | 2022-07-29T00:00:00 | Max weight deviation: 0.0183, threshold: 0.05. Decision: no (rebalance). | Portfolio holdings (current vs. target weights):
QQQ: current=0.2552, target=0.2500
SOL-USD: current=0.2317, target=0.2500
DBB: current=0.2637, target=0.2500
EMB: current=0.2493, target=0.2500
Rebalancing threshold: 5.00%
Transaction cost (round-trip): 0.10%
Market regime: sideways
Part A: Should this portfol... | no | 0 | Maximum absolute deviation: 0.0183.
Rebalancing threshold: 0.0500.
0.0183 <= 0.0500 → decision: 'no'.
If rebalanced: total turnover = 0.0379, transaction cost = 0.000038 (negligible vs. drift). | {
"current_weights": {
"QQQ": 0.25520000000000004,
"SOL-USD": 0.23170000000000002,
"DBB": 0.2637,
"EMB": 0.24930000000000002
},
"target_weights": {
"QQQ": 0.25,
"SOL-USD": 0.25,
"DBB": 0.25,
"EMB": 0.25
},
"max_deviation": 0.0183,
"total_turnover": 0.037859,
"transaction_co... |
Subsets and Splits
No community queries yet
The top public SQL queries from the community will appear here once available.