subdir => EGPaper
prefix => trading_portfolio
shortName => EGPaper
simDir => /mnt/signal/simulation/EGPaper
auditDir => /mnt/signal/simulation/EGPaper/audit
navFile => /mnt/signal/simulation/EGPaper/trading_portfolio_nav.plz4
spreadsheetKey => 17cfuMCTCx2M24LaX9BRjjIEeFbYS4-QjoKskvXNRgAs
startTD => 2040-08-28
endTD => 2040-08-27
gamma => 35
adaptiveGamma => False
adaptiveGammaTargetRisk => 0.1
adaptiveGammaTolerance => 0.25
tau => 40
adaptiveTau => False
adaptiveTauHorizon => 90
adaptiveTauMultiplier => 1.0
pulsatingTau => False
pulsatingTauME => 12
targetSR => None
targetSRMinRisk => 0.09
targetSRMaxRisk => 0.11
stratName => strat_asia_v1
startingNAV => 16000000
staticNAV => True
rebalIntervalWD => 1
applyExchangeHolidays => True
splitLongShort => True
splitLongShortStartDate => 2023-02-01
splitLongShortCostlessTransition => False
bcostLookback => 16
maxShortUtilization => 1.0
HAUM => None
hypotheticalAUM => None
pbList => ['GS']
transition => False
transitionInit => 0.2
transitionStep => 0.2
optimalTransition => False
minShortAvailM => 0
trimOverborrows => True
rebalConfig =>
configName => Simulation
stratName => strat_asia_v1
maxLeverage => 4.0
minNetExposure => -0.05
maxNetExposure => 0.4
minBetaAdjNet => -0.01
maxBetaAdjNet => 0.01
gamma => 35
adaptiveGamma => False
adaptiveGammaTargetRisk => 0.1
adaptiveGammaTolerance => 0.25
tau => 40
targetSR => None
targetSRMinRisk => 0.09
targetSRMaxRisk => 0.11
maxRisk => 0.11
offDiagRisk => True
splitLongShort => True
splitLongShortStartDate => 2023-02-01
maxShortUtilization => 1.0
pbList => ['GS']
bcostMultiplierName => trading_bcost_multiplier
HAUM => False
hypotheticalAUM => 100000000
bcostLookback => 16
univwtThreshold => 0.25
holdingThreshold => 0.0001
rmodelName => risk_model
tmodelName => tcost_model
impactCostScale => 1.0
alphaName => alpha
tradeUniverseName => trading_universe_EG_5M_dxy_adj
themeBoundName => trading_alpha_theme_exposure_bounds
fcostName => trading_long_financing_cost
bcostName => trading_bcost_backfilled
defaultFCost => 0.005
defaultBCost => 0.15
longBoundName => trading_position_bounds_long
shortBoundName => trading_position_bounds_short
defaultLongBound => 2.5e-05
defaultShortBound => 2.5e-05
liquidityName => adv_usdm_60D_median_dxy_adj
defaultLiquidityUSDM => 1.0
maxLiquidityBoundLong => 0.03
maxLiquidityBoundShort => 0.03
applyShortBan => True
applyExchangeHolidays => True
advName => adv_usdm_60D_median_dxy_adj
maxAdvProp => 0.01
countryBoundName => trading_country_bounds_frame_expanded
industryBoundName => trading_industry_bounds_frame
sizeBoundName => trading_size_bounds_frame_expanded
targetTolerance => 0.0001
toleranceRange => [0.0007, 0.001, 0.002, 0.003, 0.004, 0.005]
minShortAvailM => 0
shrinkfcov => True
tightCountry => False
holdingThreshold => 0.0001
applyPostOptTrimming => True
solver => ECOS
maxIter => 20000
cycleIter => 5000
memo => (vs EG001) tau=40, gamma=35, maxRisk=0.1, maxLeverage=4.0
bcostMaskName => None
executionPrice => vwap
hedgeFX => True
maxVolParticipation => 0.25
initialPortfolio => optimal
noTradeDates => []