Fully automated futures trading

[Kernfusion]

Same here, also long one V2TX as of this morning.
Heads up, Rob will say for sure, but I think DO only generates a position in the direction of the unrounded position, so if that's -0.5, if I understood correctly, you shouldn't be long.

From https://qoppac.blogspot.com/2021/10/mr-greedy-and-tale-of-minimum-tracking.html :

hmm, you're right, checking the code\logs..

 

[Kernfusion]

hmm, you're right, checking the code\logs..

ok, my bad, misread the number from my own graph , the actual numbers are VIX: -0.09; V2TX: +0.13; v2tx turned positive at around 3:15AM today.
But good catch, it didn't cross my mind that it shouldn't actually happen..

 

[globalarbtrader]

ok, my bad, misread the number from my own graph , the actual numbers are VIX: -0.09; V2TX: +0.13; v2tx turned positive at around 3:15AM today.
But good catch, it didn't cross my mind that it shouldn't actually happen..

Phew, moment of panic there on my part...

Rob

 

[cholo]

Hi all, was someone trading E-micro USD/JPY Futures? The IB symbol was MJY. It seems that it has vanished from IB few days ago!
I see that there is another micro (M6J) based on USDJPY instead of JPYUSD (seems illiquid). Probably I should switch to the standard JPY contract.
Am I missing something?
Thanks!

 

[younggotti]

Mjy was delisted. I switched to m6j too, even if it looks less liquid so far

 

[globalarbtrader]

Dynamic optimisation is now live

I've also set up a system for publishing my reports: https://github.com/robcarver17/reports

Suggestions for stuff that go in there are welcome.

GAT

Update on this mini project: Added a lot more reports to this, and also seems to be updating properly.

Rob

 

[globalarbtrader]

Update on this mini project: Added a lot more reports to this, and also seems to be updating properly.

Rob

.... This is also a much better way than emailing these reports to myself every day (starting to get spammy, although I will probably keep emailing a few key reports) or viewing the output files on my trading server (slightly more hassle to view them).

Rob

 

[globalarbtrader]

I think you basically want to limit your exposure per instrument in risk units, but calculated in contract terms as a limit for the DO, knowing about integers.

You don't really want 25% of your risk in one instrument basically. So how I'd calculate this is work out the $ risk per contract (multiplier * % ann standard deviation * price * FX), and work out some maximum % risk concentration in one instrument (would depend on capital, but maybe 10% is a sensible limit; I rarely have more than 5% looking at past risk reports) and multiply by capital to get a max $ risk.

So for example if I take Heating oil, I think the current $ risk is $78K per contract, if I use 10% of $500k = $50k as my maximum risk per instrument, then the maximum position is 50/78, which rounds down to zero. On the other hand take the Buxl (long german bond) current risk is $32k, so maximum position is 50/32 = 1.6 which rounds down to a single contract.

So I'd put in position limits of 1 contract (Buxl) and 0 contracts (heating oil). Like the other position limits they would need updating occasionally as risk changes.

Looking at this, this is actually quite a nice and sensible thing to do. Effectively the issue with DO, especially for small account sizes, is it can lump you with risk concentration since that isn't part of the utility function of the optimiser and effectively DO throws away the diversification inherent in a large portfolio.

It will mean there are a few instruments you will never take positions in, but I think that is better than waking up on day long a contract of Ethereum (annual risk $100k) just because the DO thinks that is a good idea.

Rob

Note the maths in the original post was wrong, as it doesn't account for the risk target of 25%, plus if I use a 15% maximum concentration risk it should have been:

"So for example if I take Heating oil, I think the current $ risk is $78K per contract, if I use 15% of $500k * 25% = $18.75k as my maximum risk per instrument, then the maximum position is 12.5/78, which rounds down to zero. On the other hand take the Buxl (long german bond) current risk is $32k, so maximum position is 12.5/32 = which rounds down to zero"

I implemented this today. Below is the super verbose output of a process that automatically updates all my position limits (split into 2+ posts because of the ET character limit)

Let's just have a look at a couple of examples. Here's BUXL, which I mentioned above (note values are in pounds ignore the spurious mention of dollars):

Standard position = 1.59 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 30392.13
Max position with leverage = 2.47 (2) = Max exposure / Notional per contract = 387387 / 157032
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.48 (0) = Risk budget / CCy risk per contract = 14527.0 / 30392.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BUXL is 0.0, minimum of 1.6 (risk), 2.0 (leverage), and 0.0 (concentration)
Update limit for BUXL from 0.0 to 0

My most conservative position limit is (i) 1.59, what I'd expect to get with a forecast of 20 basically, (ii) 2.47 rounded down to 2.0 which is the maximum position I would have on otherwise my leverage ratio just on this position would be greater than 100%, (iii) 0.48 rounded down to 0 which is the maximum position to avoid having more than 15% of my risk budget in this one instrument. The third of these is the new change I have implemented.



Here is Eurodollar:

Standard position = 20.99 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2307.46
Max position with leverage = 2.10 (2) = Max exposure / Notional per contract = 387387 / 184666
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.30 (6) = Risk budget / CCy risk per contract = 14527.0 / 2307.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EDOLLAR is 2.1, minimum of 21.0 (risk), 2.0 (leverage), and 6.0 (concentration)
Update limit for EDOLLAR from 2.0 to 2

I could happily take a very large position in Eurodollar as it is very low risk, but obviously I don't really want to do that because the notional is quite high so I'd have too much leverage on - this is the limiting factor.

Interestingly a lot of my position limits were quite large without the new concentration limit, so it does have an effect and certainly helps me sleep at night.

best
Rob

. interactive_controls
/home/rob/.local/lib/python3.8/site-packages/arctic/_util.py:6: FutureWarning: pandas.util.testing is deprecated. Use the functions in the public API at pandas.testing instead.
  from pandas.util.testing import assert_frame_equal
/home/rob/.local/lib/python3.8/site-packages/arctic/store/_pandas_ndarray_store.py:6: FutureWarning: The Panel class is removed from pandas. Accessing it from the top-level namespace will also be removed in the next version
  from pandas import DataFrame, Series, Panel


sysproduction.interactive_controls.interactive_controls:
None



Arguments:
[]


0: Trade limits
1: Position limits
2: Trade control (override)
3: Broker client IDS
4: Process control and monitoring
5: Update configuration


Your choice? <RETURN for EXIT> 1
10: View position limits
11: Change position limit for instrument
12: Change position limit for instrument & strategy
13: Auto populate position limits


Your choice? <RETURN for Back> 13
Enter parameters to estimate typical position sizes
Notional risk target (% per year, 0.25 = 25%%) <RETURN for default 0.25>
Approximate IDM <RETURN for default 2.5>
Notional instrument weight (go large for safety!) <RETURN for default 0.1>
Maximum Leverage per instrument (notional exposure*# contracts / capital) <RETURN for default 1.0>
Maximum proportion of risk in a single instrument (0.1 = 10%%) <RETURN for default 0.15>
Standard position = 1.59 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 30411.28
Max position with leverage = 3.24 (3) = Max exposure / Notional per contract = 387387 / 119619
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.48 (0) = Risk budget / CCy risk per contract = 14527.0 / 30411.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for AEX is 0.0, minimum of 1.6 (risk), 3.2 (leverage), and 0.0 (concentration)
Update limit for AEX from 0.0 to 0
Standard position = 2.13 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 22750.33
Max position with leverage = 5.85 (5) = Max exposure / Notional per contract = 387387 / 66276
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.64 (0) = Risk budget / CCy risk per contract = 14527.0 / 22750.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for ALUMINIUM is 0.0, minimum of 2.1 (risk), 5.8 (leverage), and 0.0 (concentration)
Update limit for ALUMINIUM from 0.0 to 0
Standard position = 8.14 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5951.01
Max position with leverage = 6.82 (6) = Max exposure / Notional per contract = 387387 / 56806
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.44 (2) = Risk budget / CCy risk per contract = 14527.0 / 5951.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for AUD is 2.0, minimum of 8.1 (risk), 6.8 (leverage), and 2.0 (concentration)
Update limit for AUD from 2.0 to 2
Standard position = 17.64 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2745.01
Max position with leverage = 39.65 (39) = Max exposure / Notional per contract = 387387 / 9771
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 5.29 (5) = Risk budget / CCy risk per contract = 14527.0 / 2745.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BBCOMM is 5.0, minimum of 17.6 (risk), 39.6 (leverage), and 5.0 (concentration)
Update limit for BBCOMM from 5.0 to 5
Standard position = 7.62 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6352.33
Max position with leverage = 11.43 (11) = Max exposure / Notional per contract = 387387 / 33894
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.29 (2) = Risk budget / CCy risk per contract = 14527.0 / 6352.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BEL20 is 2.0, minimum of 7.6 (risk), 11.4 (leverage), and 2.0 (concentration)
Update limit for BEL20 from 2.0 to 2
Standard position = 21.39 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2264.35
Max position with leverage = 121.19 (121) = Max exposure / Notional per contract = 387387 / 3196
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.42 (6) = Risk budget / CCy risk per contract = 14527.0 / 2264.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BITCOIN is 6.0, minimum of 21.4 (risk), 121.2 (leverage), and 6.0 (concentration)
Update limit for BITCOIN from 6.0 to 6
Standard position = 8.95 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5408.32
Max position with leverage = 3.58 (3) = Max exposure / Notional per contract = 387387 / 108350
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.69 (2) = Risk budget / CCy risk per contract = 14527.0 / 5408.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BOBL is 2.0, minimum of 9.0 (risk), 3.6 (leverage), and 2.0 (concentration)
Update limit for BOBL from 2.0 to 2
Standard position = 4.66 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 10398.06
Max position with leverage = 3.10 (3) = Max exposure / Notional per contract = 387387 / 124816
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.40 (1) = Risk budget / CCy risk per contract = 14527.0 / 10398.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BONO is 1.0, minimum of 4.7 (risk), 3.1 (leverage), and 1.0 (concentration)
Update limit for BONO from 1.0 to 1
Standard position = 2.33 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 20823.03
Max position with leverage = 4.34 (4) = Max exposure / Notional per contract = 387387 / 89356
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.70 (0) = Risk budget / CCy risk per contract = 14527.0 / 20823.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BOVESPA is 0.0, minimum of 2.3 (risk), 4.3 (leverage), and 0.0 (concentration)
Update limit for BOVESPA from 0.0 to 0
Standard position = 19.81 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2444.77
Max position with leverage = 25.09 (25) = Max exposure / Notional per contract = 387387 / 15441
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 5.94 (5) = Risk budget / CCy risk per contract = 14527.0 / 2444.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BRE is 5.0, minimum of 19.8 (risk), 25.1 (leverage), and 5.0 (concentration)
Update limit for BRE from 5.0 to 5
Standard position = 1.06 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 45712.79
Max position with leverage = 4.53 (4) = Max exposure / Notional per contract = 387387 / 85455
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.32 (0) = Risk budget / CCy risk per contract = 14527.0 / 45712.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BRENT-LAST is 0.0, minimum of 1.1 (risk), 4.5 (leverage), and 0.0 (concentration)
Update limit for BRENT-LAST from 0.0 to 0
Standard position = 3.95 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 12247.81
Max position with leverage = 3.34 (3) = Max exposure / Notional per contract = 387387 / 115896
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.19 (1) = Risk budget / CCy risk per contract = 14527.0 / 12247.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BTP is 1.0, minimum of 4.0 (risk), 3.3 (leverage), and 1.0 (concentration)
Update limit for BTP from 1.0 to 1
Standard position = 22.70 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2133.53
Max position with leverage = 4.18 (4) = Max exposure / Notional per contract = 387387 / 92767
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.81 (6) = Risk budget / CCy risk per contract = 14527.0 / 2133.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BTP3 is 4.2, minimum of 22.7 (risk), 4.2 (leverage), and 6.0 (concentration)
Update limit for BTP3 from 4.0 to 4
Standard position = 4.20 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 11536.78
Max position with leverage = 2.90 (2) = Max exposure / Notional per contract = 387387 / 133428
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.26 (1) = Risk budget / CCy risk per contract = 14527.0 / 11536.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BUND is 1.0, minimum of 4.2 (risk), 2.9 (leverage), and 1.0 (concentration)
Update limit for BUND from 1.0 to 1
Standard position = 5.81 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 8337.06
Max position with leverage = 9.26 (9) = Max exposure / Notional per contract = 387387 / 41857
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.74 (1) = Risk budget / CCy risk per contract = 14527.0 / 8337.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BUTTER is 1.0, minimum of 5.8 (risk), 9.3 (leverage), and 1.0 (concentration)
Update limit for BUTTER from 1.0 to 1
Standard position = 1.59 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 30392.13
Max position with leverage = 2.47 (2) = Max exposure / Notional per contract = 387387 / 157032
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.48 (0) = Risk budget / CCy risk per contract = 14527.0 / 30392.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for BUXL is 0.0, minimum of 1.6 (risk), 2.5 (leverage), and 0.0 (concentration)
Update limit for BUXL from 0.0 to 0
Standard position = 3.12 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 15518.53
Max position with leverage = 7.10 (7) = Max exposure / Notional per contract = 387387 / 54562
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.94 (0) = Risk budget / CCy risk per contract = 14527.0 / 15518.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CAC is 0.0, minimum of 3.1 (risk), 7.1 (leverage), and 0.0 (concentration)
Update limit for CAC from 0.0 to 0
Standard position = 11.76 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4116.95
Max position with leverage = 6.43 (6) = Max exposure / Notional per contract = 387387 / 60223
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.53 (3) = Risk budget / CCy risk per contract = 14527.0 / 4117.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CAD is 3.0, minimum of 11.8 (risk), 6.4 (leverage), and 3.0 (concentration)
Update limit for CAD from 3.0 to 3
Standard position = 7.38 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6561.58
Max position with leverage = 3.07 (3) = Max exposure / Notional per contract = 387387 / 126283
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.21 (2) = Risk budget / CCy risk per contract = 14527.0 / 6561.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CH10 is 2.0, minimum of 7.4 (risk), 3.1 (leverage), and 2.0 (concentration)
Update limit for CH10 from 2.0 to 2
Standard position = 5.58 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 8673.67
Max position with leverage = 10.82 (10) = Max exposure / Notional per contract = 387387 / 35802
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.67 (1) = Risk budget / CCy risk per contract = 14527.0 / 8673.7
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CHEESE is 1.0, minimum of 5.6 (risk), 10.8 (leverage), and 1.0 (concentration)
Update limit for CHEESE from 1.0 to 1
Standard position = 7.16 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6761.81
Max position with leverage = 3.80 (3) = Max exposure / Notional per contract = 387387 / 102012
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.15 (2) = Risk budget / CCy risk per contract = 14527.0 / 6761.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CHF is 2.0, minimum of 7.2 (risk), 3.8 (leverage), and 2.0 (concentration)
Update limit for CHF from 2.0 to 2
Standard position = 6.83 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7090.82
Max position with leverage = 8.14 (8) = Max exposure / Notional per contract = 387387 / 47609
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.05 (2) = Risk budget / CCy risk per contract = 14527.0 / 7090.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CLP is 2.0, minimum of 6.8 (risk), 8.1 (leverage), and 2.0 (concentration)
Update limit for CLP from 2.0 to 2
Standard position = 19.05 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2542.21
Max position with leverage = 5.10 (5) = Max exposure / Notional per contract = 387387 / 75954
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 5.71 (5) = Risk budget / CCy risk per contract = 14527.0 / 2542.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CNH is 5.0, minimum of 19.0 (risk), 5.1 (leverage), and 5.0 (concentration)
Update limit for CNH from 5.0 to 5
Standard position = 15.79 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3067.68
Max position with leverage = 6.53 (6) = Max exposure / Notional per contract = 387387 / 59345
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 4.74 (4) = Risk budget / CCy risk per contract = 14527.0 / 3067.7
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CNH-onshore is 4.0, minimum of 15.8 (risk), 6.5 (leverage), and 4.0 (concentration)
Update limit for CNH-onshore from 4.0 to 4
Standard position = 2.34 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 20663.53
Max position with leverage = 4.29 (4) = Max exposure / Notional per contract = 387387 / 90384
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.70 (0) = Risk budget / CCy risk per contract = 14527.0 / 20663.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for COPPER is 0.0, minimum of 2.3 (risk), 4.3 (leverage), and 0.0 (concentration)
Update limit for COPPER from 0.0 to 0
Standard position = 4.58 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 10561.60
Max position with leverage = 8.60 (8) = Max exposure / Notional per contract = 387387 / 45036
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.38 (1) = Risk budget / CCy risk per contract = 14527.0 / 10561.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for COPPER-mini is 1.0, minimum of 4.6 (risk), 8.6 (leverage), and 1.0 (concentration)
Update limit for COPPER-mini from 1.0 to 1
Standard position = 8.17 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5924.83
Max position with leverage = 15.23 (15) = Max exposure / Notional per contract = 387387 / 25432
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.45 (2) = Risk budget / CCy risk per contract = 14527.0 / 5924.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CORN is 2.0, minimum of 8.2 (risk), 15.2 (leverage), and 2.0 (concentration)
Update limit for CORN from 2.0 to 2
Standard position = 4.06 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 11916.94
Max position with leverage = 7.87 (7) = Max exposure / Notional per contract = 387387 / 49203
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.22 (1) = Risk budget / CCy risk per contract = 14527.0 / 11916.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for COTTON is 1.0, minimum of 4.1 (risk), 7.9 (leverage), and 1.0 (concentration)
Update limit for COTTON from 1.0 to 1
Standard position = 1.64 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 29608.45
Max position with leverage = 5.39 (5) = Max exposure / Notional per contract = 387387 / 71929
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.49 (0) = Risk budget / CCy risk per contract = 14527.0 / 29608.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CRUDE_W is 0.0, minimum of 1.6 (risk), 5.4 (leverage), and 0.0 (concentration)
Update limit for CRUDE_W from 0.0 to 0
Standard position = 2.12 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 22873.64
Max position with leverage = 9.18 (9) = Max exposure / Notional per contract = 387387 / 42197
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.64 (0) = Risk budget / CCy risk per contract = 14527.0 / 22873.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CRUDE_W_mini is 0.0, minimum of 2.1 (risk), 9.2 (leverage), and 0.0 (concentration)
Update limit for CRUDE_W_mini from 0.0 to 0
Standard position = 2.81 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 17214.19
Max position with leverage = 2.89 (2) = Max exposure / Notional per contract = 387387 / 133948
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.84 (0) = Risk budget / CCy risk per contract = 14527.0 / 17214.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for CZK is 0.0, minimum of 2.8 (risk), 2.9 (leverage), and 0.0 (concentration)
Update limit for CZK from 0.0 to 0
Standard position = 13.46 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3597.05
Max position with leverage = 32.66 (32) = Max exposure / Notional per contract = 387387 / 11859
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 4.04 (4) = Risk budget / CCy risk per contract = 14527.0 / 3597.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for DAX is 4.0, minimum of 13.5 (risk), 32.7 (leverage), and 4.0 (concentration)
Update limit for DAX from 4.0 to 4
Standard position = 12.19 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3973.16
Max position with leverage = 26.56 (26) = Max exposure / Notional per contract = 387387 / 14584
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.66 (3) = Risk budget / CCy risk per contract = 14527.0 / 3973.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for DJSTX-SMALL is 3.0, minimum of 12.2 (risk), 26.6 (leverage), and 3.0 (concentration)
Update limit for DJSTX-SMALL from 3.0 to 3
Standard position = 20.74 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2334.33
Max position with leverage = 29.79 (29) = Max exposure / Notional per contract = 387387 / 13004
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.22 (6) = Risk budget / CCy risk per contract = 14527.0 / 2334.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for DOW is 6.0, minimum of 20.7 (risk), 29.8 (leverage), and 6.0 (concentration)
Update limit for DOW from 6.0 to 6
Standard position = 20.99 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2307.46
Max position with leverage = 2.10 (2) = Max exposure / Notional per contract = 387387 / 184666
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.30 (6) = Risk budget / CCy risk per contract = 14527.0 / 2307.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EDOLLAR is 2.1, minimum of 21.0 (risk), 2.1 (leverage), and 6.0 (concentration)
Update limit for EDOLLAR from 2.0 to 2
Standard position = 21.66 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2235.36
Max position with leverage = 8.17 (8) = Max exposure / Notional per contract = 387387 / 47413
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.50 (6) = Risk budget / CCy risk per contract = 14527.0 / 2235.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for ETHANOL is 6.0, minimum of 21.7 (risk), 8.2 (leverage), and 6.0 (concentration)
Update limit for ETHANOL from 6.0 to 6
Standard position = 260.38 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 185.97
Max position with leverage = 1716.89 (1716) = Max exposure / Notional per contract = 387387 / 226
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 78.11 (78) = Risk budget / CCy risk per contract = 14527.0 / 186.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for ETHER-micro is 78.0, minimum of 260.4 (risk), 1716.9 (leverage), and 78.0 (concentration)
Update limit for ETHER-micro from 78.0 to 78
Standard position = 0.54 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 90298.42
Max position with leverage = 3.43 (3) = Max exposure / Notional per contract = 387387 / 112968
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.16 (0) = Risk budget / CCy risk per contract = 14527.0 / 90298.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for ETHEREUM is 0.0, minimum of 0.5 (risk), 3.4 (leverage), and 0.0 (concentration)
Update limit for ETHEREUM from 0.0 to 0
Standard position = 4.81 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 10072.86
Max position with leverage = 17.26 (17) = Max exposure / Notional per contract = 387387 / 22442
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.44 (1) = Risk budget / CCy risk per contract = 14527.0 / 10072.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-AUTO is 1.0, minimum of 4.8 (risk), 17.3 (leverage), and 1.0 (concentration)
Update limit for EU-AUTO from 1.0 to 1
Standard position = 27.74 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 1745.89
Max position with leverage = 106.98 (106) = Max exposure / Notional per contract = 387387 / 3621
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 8.32 (8) = Risk budget / CCy risk per contract = 14527.0 / 1745.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-BANKS is 8.0, minimum of 27.7 (risk), 107.0 (leverage), and 8.0 (concentration)
Update limit for EU-BANKS from 8.0 to 8
Standard position = 5.97 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 8117.39
Max position with leverage = 13.19 (13) = Max exposure / Notional per contract = 387387 / 29359
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.79 (1) = Risk budget / CCy risk per contract = 14527.0 / 8117.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-BASIC is 1.0, minimum of 6.0 (risk), 13.2 (leverage), and 1.0 (concentration)
Update limit for EU-BASIC from 1.0 to 1
Standard position = 3.55 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 13629.31
Max position with leverage = 7.67 (7) = Max exposure / Notional per contract = 387387 / 50498
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.07 (1) = Risk budget / CCy risk per contract = 14527.0 / 13629.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-CHEM is 1.0, minimum of 3.6 (risk), 7.7 (leverage), and 1.0 (concentration)
Update limit for EU-CHEM from 1.0 to 1
Standard position = 7.33 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6609.43
Max position with leverage = 16.40 (16) = Max exposure / Notional per contract = 387387 / 23621
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.20 (2) = Risk budget / CCy risk per contract = 14527.0 / 6609.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-CONSTRUCTION is 2.0, minimum of 7.3 (risk), 16.4 (leverage), and 2.0 (concentration)
Update limit for EU-CONSTRUCTION from 2.0 to 2
Standard position = 10.89 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4448.46
Max position with leverage = 27.55 (27) = Max exposure / Notional per contract = 387387 / 14063
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.27 (3) = Risk budget / CCy risk per contract = 14527.0 / 4448.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-DIV30 is 3.0, minimum of 10.9 (risk), 27.5 (leverage), and 3.0 (concentration)
Update limit for EU-DIV30 from 3.0 to 3
Standard position = 14.78 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3275.67
Max position with leverage = 31.57 (31) = Max exposure / Notional per contract = 387387 / 12273
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 4.43 (4) = Risk budget / CCy risk per contract = 14527.0 / 3275.7
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-DJ-OIL is 4.0, minimum of 14.8 (risk), 31.6 (leverage), and 4.0 (concentration)
Update limit for EU-DJ-OIL from 4.0 to 4
Standard position = 4.03 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 12001.68
Max position with leverage = 11.45 (11) = Max exposure / Notional per contract = 387387 / 33828
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.21 (1) = Risk budget / CCy risk per contract = 14527.0 / 12001.7
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-DJ-TECH is 1.0, minimum of 4.0 (risk), 11.5 (leverage), and 1.0 (concentration)
Update limit for EU-DJ-TECH from 1.0 to 1
Standard position = 19.91 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2432.12
Max position with leverage = 33.77 (33) = Max exposure / Notional per contract = 387387 / 11473
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 5.97 (5) = Risk budget / CCy risk per contract = 14527.0 / 2432.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-DJ-TELECOM is 5.0, minimum of 19.9 (risk), 33.8 (leverage), and 5.0 (concentration)
Update limit for EU-DJ-TELECOM from 5.0 to 5
Standard position = 11.60 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4172.75
Max position with leverage = 27.10 (27) = Max exposure / Notional per contract = 387387 / 14296
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.48 (3) = Risk budget / CCy risk per contract = 14527.0 / 4172.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-DJ-UTIL is 3.0, minimum of 11.6 (risk), 27.1 (leverage), and 3.0 (concentration)
Update limit for EU-DJ-UTIL from 3.0 to 3
Standard position = 7.00 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6914.60
Max position with leverage = 11.79 (11) = Max exposure / Notional per contract = 387387 / 32857
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.10 (2) = Risk budget / CCy risk per contract = 14527.0 / 6914.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-FOOD is 2.0, minimum of 7.0 (risk), 11.8 (leverage), and 2.0 (concentration)
Update limit for EU-FOOD from 2.0 to 2
Standard position = 6.84 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7078.29
Max position with leverage = 8.96 (8) = Max exposure / Notional per contract = 387387 / 43235
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.05 (2) = Risk budget / CCy risk per contract = 14527.0 / 7078.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-HEALTH is 2.0, minimum of 6.8 (risk), 9.0 (leverage), and 2.0 (concentration)
Update limit for EU-HEALTH from 2.0 to 2
Standard position = 4.38 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 11052.86
Max position with leverage = 9.84 (9) = Max exposure / Notional per contract = 387387 / 39350
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.31 (1) = Risk budget / CCy risk per contract = 14527.0 / 11052.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-HOUSE is 1.0, minimum of 4.4 (risk), 9.8 (leverage), and 1.0 (concentration)
Update limit for EU-HOUSE from 1.0 to 1
Standard position = 12.95 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3740.07
Max position with leverage = 30.12 (30) = Max exposure / Notional per contract = 387387 / 12860
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.88 (3) = Risk budget / CCy risk per contract = 14527.0 / 3740.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-INSURE is 3.0, minimum of 12.9 (risk), 30.1 (leverage), and 3.0 (concentration)
Update limit for EU-INSURE from 3.0 to 3
Standard position = 12.08 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4010.19
Max position with leverage = 26.79 (26) = Max exposure / Notional per contract = 387387 / 14459
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.62 (3) = Risk budget / CCy risk per contract = 14527.0 / 4010.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-MEDIA is 3.0, minimum of 12.1 (risk), 26.8 (leverage), and 3.0 (concentration)
Update limit for EU-MEDIA from 3.0 to 3
Standard position = 9.03 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5360.25
Max position with leverage = 17.85 (17) = Max exposure / Notional per contract = 387387 / 21701
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.71 (2) = Risk budget / CCy risk per contract = 14527.0 / 5360.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-MID is 2.0, minimum of 9.0 (risk), 17.9 (leverage), and 2.0 (concentration)
Update limit for EU-MID from 2.0 to 2
Standard position = 12.83 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3772.82
Max position with leverage = 29.82 (29) = Max exposure / Notional per contract = 387387 / 12993
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.85 (3) = Risk budget / CCy risk per contract = 14527.0 / 3772.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-OIL is 3.0, minimum of 12.8 (risk), 29.8 (leverage), and 3.0 (concentration)
Update limit for EU-OIL from 3.0 to 3
Standard position = 24.93 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 1942.06
Max position with leverage = 52.53 (52) = Max exposure / Notional per contract = 387387 / 7375
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 7.48 (7) = Risk budget / CCy risk per contract = 14527.0 / 1942.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-REALESTATE is 7.0, minimum of 24.9 (risk), 52.5 (leverage), and 7.0 (concentration)
Update limit for EU-REALESTATE from 7.0 to 7
Standard position = 10.23 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4733.98
Max position with leverage = 27.76 (27) = Max exposure / Notional per contract = 387387 / 13955
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.07 (3) = Risk budget / CCy risk per contract = 14527.0 / 4734.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-RETAIL is 3.0, minimum of 10.2 (risk), 27.8 (leverage), and 3.0 (concentration)
Update limit for EU-RETAIL from 3.0 to 3
Standard position = 5.12 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 9466.09
Max position with leverage = 13.97 (13) = Max exposure / Notional per contract = 387387 / 27735
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.53 (1) = Risk budget / CCy risk per contract = 14527.0 / 9466.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-TECH is 1.0, minimum of 5.1 (risk), 14.0 (leverage), and 1.0 (concentration)
Update limit for EU-TECH from 1.0 to 1
Standard position = 12.41 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3901.35
Max position with leverage = 44.70 (44) = Max exposure / Notional per contract = 387387 / 8666
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.72 (3) = Risk budget / CCy risk per contract = 14527.0 / 3901.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-TRAVEL is 3.0, minimum of 12.4 (risk), 44.7 (leverage), and 3.0 (concentration)
Update limit for EU-TRAVEL from 3.0 to 3
Standard position = 12.38 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3909.85
Max position with leverage = 25.29 (25) = Max exposure / Notional per contract = 387387 / 15317
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.72 (3) = Risk budget / CCy risk per contract = 14527.0 / 3909.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EU-UTILS is 3.0, minimum of 12.4 (risk), 25.3 (leverage), and 3.0 (concentration)
Update limit for EU-UTILS from 3.0 to 3
Standard position = 5.43 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 8912.59
Max position with leverage = 3.71 (3) = Max exposure / Notional per contract = 387387 / 104481
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.63 (1) = Risk budget / CCy risk per contract = 14527.0 / 8912.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EUR is 1.0, minimum of 5.4 (risk), 3.7 (leverage), and 1.0 (concentration)
Update limit for EUR from 1.0 to 1
Standard position = 5.61 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 8636.09
Max position with leverage = 3.73 (3) = Max exposure / Notional per contract = 387387 / 103936
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.68 (1) = Risk budget / CCy risk per contract = 14527.0 / 8636.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EURCHF is 1.0, minimum of 5.6 (risk), 3.7 (leverage), and 1.0 (concentration)
Update limit for EURCHF from 1.0 to 1
Standard position = 22.58 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2144.11
Max position with leverage = 1.88 (1) = Max exposure / Notional per contract = 387387 / 206014
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.78 (6) = Risk budget / CCy risk per contract = 14527.0 / 2144.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EURIBOR is 1.9, minimum of 22.6 (risk), 1.9 (leverage), and 6.0 (concentration)
Update limit for EURIBOR from 1.0 to 1
Standard position = 11.11 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4357.62
Max position with leverage = 20.92 (20) = Max exposure / Notional per contract = 387387 / 18519
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.33 (3) = Risk budget / CCy risk per contract = 14527.0 / 4357.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EURO600 is 3.0, minimum of 11.1 (risk), 20.9 (leverage), and 3.0 (concentration)
Update limit for EURO600 from 3.0 to 3
Standard position = 5.11 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 9483.24
Max position with leverage = 12.32 (12) = Max exposure / Notional per contract = 387387 / 31450
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.53 (1) = Risk budget / CCy risk per contract = 14527.0 / 9483.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EUROSTX is 1.0, minimum of 5.1 (risk), 12.3 (leverage), and 1.0 (concentration)
Update limit for EUROSTX from 1.0 to 1
Standard position = 9.19 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5268.58
Max position with leverage = 21.92 (21) = Max exposure / Notional per contract = 387387 / 17674
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.76 (2) = Risk budget / CCy risk per contract = 14527.0 / 5268.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EUROSTX-LARGE is 2.0, minimum of 9.2 (risk), 21.9 (leverage), and 2.0 (concentration)
Update limit for EUROSTX-LARGE from 2.0 to 2
Standard position = 14.06 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3444.65
Max position with leverage = 27.90 (27) = Max exposure / Notional per contract = 387387 / 13884
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 4.22 (4) = Risk budget / CCy risk per contract = 14527.0 / 3444.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EUROSTX-SMALL is 4.0, minimum of 14.1 (risk), 27.9 (leverage), and 4.0 (concentration)
Update limit for EUROSTX-SMALL from 4.0 to 4
Standard position = 11.04 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4384.93
Max position with leverage = 20.69 (20) = Max exposure / Notional per contract = 387387 / 18723
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.31 (3) = Risk budget / CCy risk per contract = 14527.0 / 4384.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for EUROSTX200-LARGE is 3.0, minimum of 11.0 (risk), 20.7 (leverage), and 3.0 (concentration)
Update limit for EUROSTX200-LARGE from 3.0 to 3
Standard position = 4.95 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 9791.47
Max position with leverage = 5.71 (5) = Max exposure / Notional per contract = 387387 / 67819
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.48 (1) = Risk budget / CCy risk per contract = 14527.0 / 9791.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for FEEDCOW is 1.0, minimum of 4.9 (risk), 5.7 (leverage), and 1.0 (concentration)
Update limit for FEEDCOW from 1.0 to 1
Standard position = 12.71 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3810.27
Max position with leverage = 37.19 (37) = Max exposure / Notional per contract = 387387 / 10417
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.81 (3) = Risk budget / CCy risk per contract = 14527.0 / 3810.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for FTSECHINAA is 3.0, minimum of 12.7 (risk), 37.2 (leverage), and 3.0 (concentration)
Update limit for FTSECHINAA from 3.0 to 3
Standard position = 3.32 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 14596.55
Max position with leverage = 17.11 (17) = Max exposure / Notional per contract = 387387 / 22643
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.00 (0) = Risk budget / CCy risk per contract = 14527.0 / 14596.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for FTSECHINAH is 0.0, minimum of 3.3 (risk), 17.1 (leverage), and 0.0 (concentration)
Update limit for FTSECHINAH from 0.0 to 0
Standard position = 21.14 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2290.69
Max position with leverage = 29.37 (29) = Max exposure / Notional per contract = 387387 / 13189
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.34 (6) = Risk budget / CCy risk per contract = 14527.0 / 2290.7
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for FTSEINDO is 6.0, minimum of 21.1 (risk), 29.4 (leverage), and 6.0 (concentration)
Update limit for FTSEINDO from 6.0 to 6
Standard position = 5.30 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 9139.18
Max position with leverage = 8.29 (8) = Max exposure / Notional per contract = 387387 / 46739
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.59 (1) = Risk budget / CCy risk per contract = 14527.0 / 9139.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for FTSETAIWAN is 1.0, minimum of 5.3 (risk), 8.3 (leverage), and 1.0 (concentration)
Update limit for FTSETAIWAN from 1.0 to 1
Standard position = 3.02 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 16019.27
Max position with leverage = 9.64 (9) = Max exposure / Notional per contract = 387387 / 40177
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.91 (0) = Risk budget / CCy risk per contract = 14527.0 / 16019.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for GAS-LAST is 0.0, minimum of 3.0 (risk), 9.6 (leverage), and 0.0 (concentration)
Update limit for GAS-LAST from 0.0 to 0
Standard position = 0.98 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 49532.35
Max position with leverage = 3.74 (3) = Max exposure / Notional per contract = 387387 / 103445
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.29 (0) = Risk budget / CCy risk per contract = 14527.0 / 49532.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for GASOILINE is 0.0, minimum of 1.0 (risk), 3.7 (leverage), and 0.0 (concentration)
Update limit for GASOILINE from 0.0 to 0
Standard position = 3.15 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 15384.11
Max position with leverage = 9.66 (9) = Max exposure / Notional per contract = 387387 / 40086
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.94 (0) = Risk budget / CCy risk per contract = 14527.0 / 15384.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for GAS_US is 0.0, minimum of 3.1 (risk), 9.7 (leverage), and 0.0 (concentration)
Update limit for GAS_US from 0.0 to 0
Standard position = 12.36 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3917.44
Max position with leverage = 38.70 (38) = Max exposure / Notional per contract = 387387 / 10010
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.71 (3) = Risk budget / CCy risk per contract = 14527.0 / 3917.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for GAS_US_mini is 3.0, minimum of 12.4 (risk), 38.7 (leverage), and 3.0 (concentration)
Update limit for GAS_US_mini from 3.0 to 3
Standard position = 9.88 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4899.38
Max position with leverage = 6.20 (6) = Max exposure / Notional per contract = 387387 / 62449
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.97 (2) = Risk budget / CCy risk per contract = 14527.0 / 4899.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for GBP is 2.0, minimum of 9.9 (risk), 6.2 (leverage), and 2.0 (concentration)
Update limit for GBP from 2.0 to 2
Standard position = 7.08 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6835.26
Max position with leverage = 3.70 (3) = Max exposure / Notional per contract = 387387 / 104569
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.13 (2) = Risk budget / CCy risk per contract = 14527.0 / 6835.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for GBPEUR is 2.0, minimum of 7.1 (risk), 3.7 (leverage), and 2.0 (concentration)
Update limit for GBPEUR from 2.0 to 2
Standard position = 1.77 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 27390.44
Max position with leverage = 2.63 (2) = Max exposure / Notional per contract = 387387 / 147135
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.53 (0) = Risk budget / CCy risk per contract = 14527.0 / 27390.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for GOLD is 0.0, minimum of 1.8 (risk), 2.6 (leverage), and 0.0 (concentration)
Update limit for GOLD from 0.0 to 0
Standard position = 17.43 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2778.78
Max position with leverage = 26.32 (26) = Max exposure / Notional per contract = 387387 / 14717
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 5.23 (5) = Risk budget / CCy risk per contract = 14527.0 / 2778.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for GOLD_micro is 5.0, minimum of 17.4 (risk), 26.3 (leverage), and 5.0 (concentration)
Update limit for GOLD_micro from 5.0 to 5
Standard position = 0.72 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 67636.50
Max position with leverage = 3.60 (3) = Max exposure / Notional per contract = 387387 / 107673
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.21 (0) = Risk budget / CCy risk per contract = 14527.0 / 67636.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for HEATOIL is 0.0, minimum of 0.7 (risk), 3.6 (leverage), and 0.0 (concentration)
Update limit for HEATOIL from 0.0 to 0
Standard position = 14.96 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3237.94
Max position with leverage = 7.87 (7) = Max exposure / Notional per contract = 387387 / 49199
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 4.49 (4) = Risk budget / CCy risk per contract = 14527.0 / 3237.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for INR is 4.0, minimum of 15.0 (risk), 7.9 (leverage), and 4.0 (concentration)
Update limit for INR from 4.0 to 4
Standard position = 7.70 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6286.29
Max position with leverage = 34.05 (34) = Max exposure / Notional per contract = 387387 / 11376
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.31 (2) = Risk budget / CCy risk per contract = 14527.0 / 6286.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for IRON is 2.0, minimum of 7.7 (risk), 34.1 (leverage), and 2.0 (concentration)
Update limit for IRON from 2.0 to 2
Standard position = 2.45 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 19790.14
Max position with leverage = 1.64 (1) = Max exposure / Notional per contract = 387387 / 235738
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.73 (0) = Risk budget / CCy risk per contract = 14527.0 / 19790.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for IRS is 0.0, minimum of 2.4 (risk), 1.6 (leverage), and 0.0 (concentration)
Update limit for IRS from 0.0 to 0
Standard position = 3.22 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 15030.15
Max position with leverage = 0.41 (0) = Max exposure / Notional per contract = 387387 / 936356
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.97 (0) = Risk budget / CCy risk per contract = 14527.0 / 15030.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for JGB is 0.0, minimum of 3.2 (risk), 0.4 (leverage), and 0.0 (concentration)
Update limit for JGB from 0.0 to 0
Standard position = 25.83 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 1874.64
Max position with leverage = 4.14 (4) = Max exposure / Notional per contract = 387387 / 93629
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 7.75 (7) = Risk budget / CCy risk per contract = 14527.0 / 1874.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for JGB-SGX-mini is 4.1, minimum of 25.8 (risk), 4.1 (leverage), and 7.0 (concentration)
Update limit for JGB-SGX-mini from 4.0 to 4
Standard position = 21.23 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2280.58
Max position with leverage = 31.70 (31) = Max exposure / Notional per contract = 387387 / 12220
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.37 (6) = Risk budget / CCy risk per contract = 14527.0 / 2280.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for JP-REALESTATE is 6.0, minimum of 21.2 (risk), 31.7 (leverage), and 6.0 (concentration)
Update limit for JP-REALESTATE from 6.0 to 6
Standard position = 9.64 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5021.87
Max position with leverage = 4.95 (4) = Max exposure / Notional per contract = 387387 / 78278
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.89 (2) = Risk budget / CCy risk per contract = 14527.0 / 5021.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for JPY is 2.0, minimum of 9.6 (risk), 4.9 (leverage), and 2.0 (concentration)
Update limit for JPY from 2.0 to 2

 

[globalarbtrader]

Standard position = 21.60 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2242.05
Max position with leverage = 47.14 (47) = Max exposure / Notional per contract = 387387 / 8218
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.48 (6) = Risk budget / CCy risk per contract = 14527.0 / 2242.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for KOSDAQ is 6.0, minimum of 21.6 (risk), 47.1 (leverage), and 6.0 (concentration)
Update limit for KOSDAQ from 6.0 to 6
Standard position = 4.50 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 10771.88
Max position with leverage = 6.81 (6) = Max exposure / Notional per contract = 387387 / 56922
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.35 (1) = Risk budget / CCy risk per contract = 14527.0 / 10771.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for KOSPI is 1.0, minimum of 4.5 (risk), 6.8 (leverage), and 1.0 (concentration)
Update limit for KOSPI from 1.0 to 1
Standard position = 22.71 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2132.54
Max position with leverage = 34.04 (34) = Max exposure / Notional per contract = 387387 / 11382
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.81 (6) = Risk budget / CCy risk per contract = 14527.0 / 2132.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for KOSPI_mini is 6.0, minimum of 22.7 (risk), 34.0 (leverage), and 6.0 (concentration)
Update limit for KOSPI_mini from 6.0 to 6
Standard position = 14.17 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3417.78
Max position with leverage = 5.23 (5) = Max exposure / Notional per contract = 387387 / 74073
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 4.25 (4) = Risk budget / CCy risk per contract = 14527.0 / 3417.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for KR10 is 4.0, minimum of 14.2 (risk), 5.2 (leverage), and 4.0 (concentration)
Update limit for KR10 from 4.0 to 4
Standard position = 35.50 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 1363.85
Max position with leverage = 5.80 (5) = Max exposure / Notional per contract = 387387 / 66838
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 10.65 (10) = Risk budget / CCy risk per contract = 14527.0 / 1363.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for KR3 is 5.8, minimum of 35.5 (risk), 5.8 (leverage), and 10.0 (concentration)
Update limit for KR3 from 5.0 to 5
Standard position = 7.38 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6557.16
Max position with leverage = 4.98 (4) = Max exposure / Notional per contract = 387387 / 77772
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.22 (2) = Risk budget / CCy risk per contract = 14527.0 / 6557.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for KRWUSD is 2.0, minimum of 7.4 (risk), 5.0 (leverage), and 2.0 (concentration)
Update limit for KRWUSD from 2.0 to 2
Standard position = 5.30 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 9130.68
Max position with leverage = 10.42 (10) = Max exposure / Notional per contract = 387387 / 37187
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.59 (1) = Risk budget / CCy risk per contract = 14527.0 / 9130.7
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for LEANHOG is 1.0, minimum of 5.3 (risk), 10.4 (leverage), and 1.0 (concentration)
Update limit for LEANHOG from 1.0 to 1
Standard position = 8.58 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5647.01
Max position with leverage = 9.41 (9) = Max exposure / Notional per contract = 387387 / 41160
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.57 (2) = Risk budget / CCy risk per contract = 14527.0 / 5647.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for LIVECOW is 2.0, minimum of 8.6 (risk), 9.4 (leverage), and 2.0 (concentration)
Update limit for LIVECOW from 2.0 to 2
Standard position = 1.02 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 47322.49
Max position with leverage = 5.27 (5) = Max exposure / Notional per contract = 387387 / 73518
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.31 (0) = Risk budget / CCy risk per contract = 14527.0 / 47322.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for LUMBER is 0.0, minimum of 1.0 (risk), 5.3 (leverage), and 0.0 (concentration)
Update limit for LUMBER from 0.0 to 0
Standard position = 2.03 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 23799.00
Max position with leverage = 2.69 (2) = Max exposure / Notional per contract = 387387 / 143939
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.61 (0) = Risk budget / CCy risk per contract = 14527.0 / 23799.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for MID-DAX is 0.0, minimum of 2.0 (risk), 2.7 (leverage), and 0.0 (concentration)
Update limit for MID-DAX from 0.0 to 0
Standard position = 6.57 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7371.05
Max position with leverage = 10.24 (10) = Max exposure / Notional per contract = 387387 / 37845
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.97 (1) = Risk budget / CCy risk per contract = 14527.0 / 7371.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for MILK is 1.0, minimum of 6.6 (risk), 10.2 (leverage), and 1.0 (concentration)
Update limit for MILK from 1.0 to 1
Standard position = 6.63 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7299.43
Max position with leverage = 6.28 (6) = Max exposure / Notional per contract = 387387 / 61670
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.99 (1) = Risk budget / CCy risk per contract = 14527.0 / 7299.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for MILKDRY is 1.0, minimum of 6.6 (risk), 6.3 (leverage), and 1.0 (concentration)
Update limit for MILKDRY from 1.0 to 1
Standard position = 9.68 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5002.65
Max position with leverage = 10.15 (10) = Max exposure / Notional per contract = 387387 / 38148
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.90 (2) = Risk budget / CCy risk per contract = 14527.0 / 5002.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for MILKWET is 2.0, minimum of 9.7 (risk), 10.2 (leverage), and 2.0 (concentration)
Update limit for MILKWET from 2.0 to 2
Standard position = 3.00 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 16137.94
Max position with leverage = 7.83 (7) = Max exposure / Notional per contract = 387387 / 49471
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.90 (0) = Risk budget / CCy risk per contract = 14527.0 / 16137.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for MSCIASIA is 0.0, minimum of 3.0 (risk), 7.8 (leverage), and 0.0 (concentration)
Update limit for MSCIASIA from 0.0 to 0
Standard position = 11.03 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4391.27
Max position with leverage = 20.89 (20) = Max exposure / Notional per contract = 387387 / 18540
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.31 (3) = Risk budget / CCy risk per contract = 14527.0 / 4391.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for MSCISING is 3.0, minimum of 11.0 (risk), 20.9 (leverage), and 3.0 (concentration)
Update limit for MSCISING from 3.0 to 3
Standard position = 19.82 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2443.00
Max position with leverage = 83.71 (83) = Max exposure / Notional per contract = 387387 / 4628
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 5.95 (5) = Risk budget / CCy risk per contract = 14527.0 / 2443.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for MUMMY is 5.0, minimum of 19.8 (risk), 83.7 (leverage), and 5.0 (concentration)
Update limit for MUMMY from 5.0 to 5
Standard position = 22.25 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2175.98
Max position with leverage = 20.98 (20) = Max exposure / Notional per contract = 387387 / 18465
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.68 (6) = Risk budget / CCy risk per contract = 14527.0 / 2176.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for MXP is 6.0, minimum of 22.3 (risk), 21.0 (leverage), and 6.0 (concentration)
Update limit for MXP from 6.0 to 6
Standard position = 0.76 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 63533.99
Max position with leverage = 1.76 (1) = Max exposure / Notional per contract = 387387 / 219571
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.23 (0) = Risk budget / CCy risk per contract = 14527.0 / 63534.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for NASDAQ is 0.0, minimum of 0.8 (risk), 1.8 (leverage), and 0.0 (concentration)
Update limit for NASDAQ from 0.0 to 0
Standard position = 7.62 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6356.15
Max position with leverage = 17.65 (17) = Max exposure / Notional per contract = 387387 / 21953
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.29 (2) = Risk budget / CCy risk per contract = 14527.0 / 6356.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for NASDAQ_micro is 2.0, minimum of 7.6 (risk), 17.6 (leverage), and 2.0 (concentration)
Update limit for NASDAQ_micro from 2.0 to 2
Standard position = 8.53 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5674.86
Max position with leverage = 14.87 (14) = Max exposure / Notional per contract = 387387 / 26055
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.56 (2) = Risk budget / CCy risk per contract = 14527.0 / 5674.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for NIFTY is 2.0, minimum of 8.5 (risk), 14.9 (leverage), and 2.0 (concentration)
Update limit for NIFTY from 2.0 to 2
Standard position = 12.83 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3773.90
Max position with leverage = 22.58 (22) = Max exposure / Notional per contract = 387387 / 17160
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.85 (3) = Risk budget / CCy risk per contract = 14527.0 / 3773.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for NIKKEI is 3.0, minimum of 12.8 (risk), 22.6 (leverage), and 3.0 (concentration)
Update limit for NIKKEI from 3.0 to 3
Standard position = 21.45 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2256.99
Max position with leverage = 35.42 (35) = Max exposure / Notional per contract = 387387 / 10938
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.44 (6) = Risk budget / CCy risk per contract = 14527.0 / 2257.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for NIKKEI400 is 6.0, minimum of 21.5 (risk), 35.4 (leverage), and 6.0 (concentration)
Update limit for NIKKEI400 from 6.0 to 6
Standard position = 2.29 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 21144.28
Max position with leverage = 2.22 (2) = Max exposure / Notional per contract = 387387 / 174209
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.69 (0) = Risk budget / CCy risk per contract = 14527.0 / 21144.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for NOK is 0.0, minimum of 2.3 (risk), 2.2 (leverage), and 0.0 (concentration)
Update limit for NOK from 0.0 to 0
Standard position = 9.76 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4962.07
Max position with leverage = 7.34 (7) = Max exposure / Notional per contract = 387387 / 52756
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.93 (2) = Risk budget / CCy risk per contract = 14527.0 / 4962.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for NZD is 2.0, minimum of 9.8 (risk), 7.3 (leverage), and 2.0 (concentration)
Update limit for NZD from 2.0 to 2
Standard position = 4.63 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 10453.55
Max position with leverage = 3.05 (3) = Max exposure / Notional per contract = 387387 / 126998
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.39 (1) = Risk budget / CCy risk per contract = 14527.0 / 10453.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for OAT is 1.0, minimum of 4.6 (risk), 3.1 (leverage), and 1.0 (concentration)
Update limit for OAT from 1.0 to 1
Standard position = 6.24 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7759.83
Max position with leverage = 15.19 (15) = Max exposure / Notional per contract = 387387 / 25508
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.87 (1) = Risk budget / CCy risk per contract = 14527.0 / 7759.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for OATIES is 1.0, minimum of 6.2 (risk), 15.2 (leverage), and 1.0 (concentration)
Update limit for OATIES from 1.0 to 1
Standard position = 4.10 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 11796.41
Max position with leverage = 9.77 (9) = Max exposure / Notional per contract = 387387 / 39668
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.23 (1) = Risk budget / CCy risk per contract = 14527.0 / 11796.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for OMX is 1.0, minimum of 4.1 (risk), 9.8 (leverage), and 1.0 (concentration)
Update limit for OMX from 1.0 to 1
Standard position = 0.41 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 116811.40
Max position with leverage = 2.02 (2) = Max exposure / Notional per contract = 387387 / 192102
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.12 (0) = Risk budget / CCy risk per contract = 14527.0 / 116811.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for PALLAD is 0.0, minimum of 0.4 (risk), 2.0 (leverage), and 0.0 (concentration)
Update limit for PALLAD from 0.0 to 0
Standard position = 3.24 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 14950.46
Max position with leverage = 9.95 (9) = Max exposure / Notional per contract = 387387 / 38920
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.97 (0) = Risk budget / CCy risk per contract = 14527.0 / 14950.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for PLAT is 0.0, minimum of 3.2 (risk), 10.0 (leverage), and 0.0 (concentration)
Update limit for PLAT from 0.0 to 0
Standard position = 5.01 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 9670.18
Max position with leverage = 6.30 (6) = Max exposure / Notional per contract = 387387 / 61476
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.50 (1) = Risk budget / CCy risk per contract = 14527.0 / 9670.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for R1000 is 1.0, minimum of 5.0 (risk), 6.3 (leverage), and 1.0 (concentration)
Update limit for R1000 from 1.0 to 1
Standard position = 2.36 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 20513.88
Max position with leverage = 9.26 (9) = Max exposure / Notional per contract = 387387 / 41819
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.71 (0) = Risk budget / CCy risk per contract = 14527.0 / 20513.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for REDWHEAT is 0.0, minimum of 2.4 (risk), 9.3 (leverage), and 0.0 (concentration)
Update limit for REDWHEAT from 0.0 to 0
Standard position = 10.09 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4797.19
Max position with leverage = 15.75 (15) = Max exposure / Notional per contract = 387387 / 24592
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.03 (3) = Risk budget / CCy risk per contract = 14527.0 / 4797.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for RICE is 3.0, minimum of 10.1 (risk), 15.8 (leverage), and 3.0 (concentration)
Update limit for RICE from 3.0 to 3
Standard position = 3.45 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 14026.45
Max position with leverage = 21.17 (21) = Max exposure / Notional per contract = 387387 / 18298
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.04 (1) = Risk budget / CCy risk per contract = 14527.0 / 14026.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for RUR is 1.0, minimum of 3.5 (risk), 21.2 (leverage), and 1.0 (concentration)
Update limit for RUR from 1.0 to 1
Standard position = 23.53 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2057.82
Max position with leverage = 49.83 (49) = Max exposure / Notional per contract = 387387 / 7774
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 7.06 (7) = Risk budget / CCy risk per contract = 14527.0 / 2057.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for RUSSELL is 7.0, minimum of 23.5 (risk), 49.8 (leverage), and 7.0 (concentration)
Update limit for RUSSELL from 7.0 to 7
Standard position = 2.04 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 23781.31
Max position with leverage = 2.41 (2) = Max exposure / Notional per contract = 387387 / 160721
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.61 (0) = Risk budget / CCy risk per contract = 14527.0 / 23781.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SEK is 0.0, minimum of 2.0 (risk), 2.4 (leverage), and 0.0 (concentration)
Update limit for SEK from 0.0 to 0
Standard position = 15.23 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3179.24
Max position with leverage = 5.11 (5) = Max exposure / Notional per contract = 387387 / 75746
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 4.57 (4) = Risk budget / CCy risk per contract = 14527.0 / 3179.2
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SGD is 4.0, minimum of 15.2 (risk), 5.1 (leverage), and 4.0 (concentration)
Update limit for SGD from 4.0 to 4
Standard position = 18.77 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2579.47
Max position with leverage = 20.63 (20) = Max exposure / Notional per contract = 387387 / 18780
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 5.63 (5) = Risk budget / CCy risk per contract = 14527.0 / 2579.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SGX is 5.0, minimum of 18.8 (risk), 20.6 (leverage), and 5.0 (concentration)
Update limit for SGX from 5.0 to 5
Standard position = 30.67 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 1578.97
Max position with leverage = 4.18 (4) = Max exposure / Notional per contract = 387387 / 92567
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 9.20 (9) = Risk budget / CCy risk per contract = 14527.0 / 1579.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SHATZ is 4.2, minimum of 30.7 (risk), 4.2 (leverage), and 9.0 (concentration)
Update limit for SHATZ from 4.0 to 4
Standard position = 8.40 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5765.75
Max position with leverage = 20.19 (20) = Max exposure / Notional per contract = 387387 / 19184
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.52 (2) = Risk budget / CCy risk per contract = 14527.0 / 5765.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SILVER is 2.0, minimum of 8.4 (risk), 20.2 (leverage), and 2.0 (concentration)
Update limit for SILVER from 2.0 to 2
Standard position = 2.45 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 19781.42
Max position with leverage = 4.01 (4) = Max exposure / Notional per contract = 387387 / 96663
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.73 (0) = Risk budget / CCy risk per contract = 14527.0 / 19781.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SMI is 0.0, minimum of 2.4 (risk), 4.0 (leverage), and 0.0 (concentration)
Update limit for SMI from 0.0 to 0
Standard position = 6.66 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7266.86
Max position with leverage = 15.87 (15) = Max exposure / Notional per contract = 387387 / 24405
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.00 (1) = Risk budget / CCy risk per contract = 14527.0 / 7266.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SMI-MID is 1.0, minimum of 6.7 (risk), 15.9 (leverage), and 1.0 (concentration)
Update limit for SMI-MID from 1.0 to 1
Standard position = 5.52 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 8777.79
Max position with leverage = 6.78 (6) = Max exposure / Notional per contract = 387387 / 57099
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.65 (1) = Risk budget / CCy risk per contract = 14527.0 / 8777.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SOYBEAN is 1.0, minimum of 5.5 (risk), 6.8 (leverage), and 1.0 (concentration)
Update limit for SOYBEAN from 1.0 to 1
Standard position = 6.76 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7163.12
Max position with leverage = 10.71 (10) = Max exposure / Notional per contract = 387387 / 36172
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.03 (2) = Risk budget / CCy risk per contract = 14527.0 / 7163.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SOYMEAL is 2.0, minimum of 6.8 (risk), 10.7 (leverage), and 2.0 (concentration)
Update limit for SOYMEAL from 2.0 to 2
Standard position = 5.63 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 8598.96
Max position with leverage = 11.68 (11) = Max exposure / Notional per contract = 387387 / 33171
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.69 (1) = Risk budget / CCy risk per contract = 14527.0 / 8599.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SOYOIL is 1.0, minimum of 5.6 (risk), 11.7 (leverage), and 1.0 (concentration)
Update limit for SOYOIL from 1.0 to 1
Standard position = 0.98 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 49352.59
Max position with leverage = 1.92 (1) = Max exposure / Notional per contract = 387387 / 201344
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.29 (0) = Risk budget / CCy risk per contract = 14527.0 / 49352.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SP400 is 0.0, minimum of 1.0 (risk), 1.9 (leverage), and 0.0 (concentration)
Update limit for SP400 from 0.0 to 0
Standard position = 1.40 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 34566.01
Max position with leverage = 2.30 (2) = Max exposure / Notional per contract = 387387 / 168572
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.42 (0) = Risk budget / CCy risk per contract = 14527.0 / 34566.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SP500 is 0.0, minimum of 1.4 (risk), 2.3 (leverage), and 0.0 (concentration)
Update limit for SP500 from 0.0 to 0
Standard position = 14.02 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 3454.01
Max position with leverage = 22.99 (22) = Max exposure / Notional per contract = 387387 / 16853
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 4.21 (4) = Risk budget / CCy risk per contract = 14527.0 / 3454.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for SP500_micro is 4.0, minimum of 14.0 (risk), 23.0 (leverage), and 4.0 (concentration)
Update limit for SP500_micro from 4.0 to 4
Standard position = 20.16 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2402.45
Max position with leverage = 32.04 (32) = Max exposure / Notional per contract = 387387 / 12090
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 6.05 (6) = Risk budget / CCy risk per contract = 14527.0 / 2402.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for TOPIX is 6.0, minimum of 20.2 (risk), 32.0 (leverage), and 6.0 (concentration)
Update limit for TOPIX from 6.0 to 6
Standard position = 1.20 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 40491.55
Max position with leverage = 2.78 (2) = Max exposure / Notional per contract = 387387 / 139422
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.36 (0) = Risk budget / CCy risk per contract = 14527.0 / 40491.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-DISCRETE is 0.0, minimum of 1.2 (risk), 2.8 (leverage), and 0.0 (concentration)
Update limit for US-DISCRETE from 0.0 to 0
Standard position = 2.70 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 17937.27
Max position with leverage = 6.37 (6) = Max exposure / Notional per contract = 387387 / 60802
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.81 (0) = Risk budget / CCy risk per contract = 14527.0 / 17937.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-ENERGY is 0.0, minimum of 2.7 (risk), 6.4 (leverage), and 0.0 (concentration)
Update limit for US-ENERGY from 0.0 to 0
Standard position = 2.12 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 22856.41
Max position with leverage = 4.29 (4) = Max exposure / Notional per contract = 387387 / 90204
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.64 (0) = Risk budget / CCy risk per contract = 14527.0 / 22856.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-FINANCE is 0.0, minimum of 2.1 (risk), 4.3 (leverage), and 0.0 (concentration)
Update limit for US-FINANCE from 0.0 to 0
Standard position = 2.82 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 17175.43
Max position with leverage = 3.78 (3) = Max exposure / Notional per contract = 387387 / 102409
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.85 (0) = Risk budget / CCy risk per contract = 14527.0 / 17175.4
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-HEALTH is 0.0, minimum of 2.8 (risk), 3.8 (leverage), and 0.0 (concentration)
Update limit for US-HEALTH from 0.0 to 0
Standard position = 3.38 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 14331.54
Max position with leverage = 4.97 (4) = Max exposure / Notional per contract = 387387 / 77901
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.01 (1) = Risk budget / CCy risk per contract = 14527.0 / 14331.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-INDUSTRY is 1.0, minimum of 3.4 (risk), 5.0 (leverage), and 1.0 (concentration)
Update limit for US-INDUSTRY from 1.0 to 1
Standard position = 3.37 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 14372.64
Max position with leverage = 5.59 (5) = Max exposure / Notional per contract = 387387 / 69249
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.01 (1) = Risk budget / CCy risk per contract = 14527.0 / 14372.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-MATERIAL is 1.0, minimum of 3.4 (risk), 5.6 (leverage), and 1.0 (concentration)
Update limit for US-MATERIAL from 1.0 to 1
Standard position = 6.19 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7820.57
Max position with leverage = 9.08 (9) = Max exposure / Notional per contract = 387387 / 42661
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.86 (1) = Risk budget / CCy risk per contract = 14527.0 / 7820.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-PROPERTY is 1.0, minimum of 6.2 (risk), 9.1 (leverage), and 1.0 (concentration)
Update limit for US-PROPERTY from 1.0 to 1
Standard position = 8.19 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 5910.04
Max position with leverage = 12.67 (12) = Max exposure / Notional per contract = 387387 / 30571
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.46 (2) = Risk budget / CCy risk per contract = 14527.0 / 5910.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-REALESTATE is 2.0, minimum of 8.2 (risk), 12.7 (leverage), and 2.0 (concentration)
Update limit for US-REALESTATE from 2.0 to 2
Standard position = 5.34 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 9074.07
Max position with leverage = 6.90 (6) = Max exposure / Notional per contract = 387387 / 56177
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.60 (1) = Risk budget / CCy risk per contract = 14527.0 / 9074.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-STAPLES is 1.0, minimum of 5.3 (risk), 6.9 (leverage), and 1.0 (concentration)
Update limit for US-STAPLES from 1.0 to 1
Standard position = 1.42 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 33993.09
Max position with leverage = 3.29 (3) = Max exposure / Notional per contract = 387387 / 117600
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.43 (0) = Risk budget / CCy risk per contract = 14527.0 / 33993.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-TECH is 0.0, minimum of 1.4 (risk), 3.3 (leverage), and 0.0 (concentration)
Update limit for US-TECH from 0.0 to 0
Standard position = 5.52 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 8765.73
Max position with leverage = 7.15 (7) = Max exposure / Notional per contract = 387387 / 54164
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.66 (1) = Risk budget / CCy risk per contract = 14527.0 / 8765.7
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US-UTILS is 1.0, minimum of 5.5 (risk), 7.2 (leverage), and 1.0 (concentration)
Update limit for US-UTILS from 1.0 to 1
Standard position = 7.36 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 6578.73
Max position with leverage = 4.15 (4) = Max exposure / Notional per contract = 387387 / 93312
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.21 (2) = Risk budget / CCy risk per contract = 14527.0 / 6578.7
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US10 is 2.0, minimum of 7.4 (risk), 4.2 (leverage), and 2.0 (concentration)
Update limit for US10 from 2.0 to 2
Standard position = 4.81 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 10071.08
Max position with leverage = 3.77 (3) = Max exposure / Notional per contract = 387387 / 102773
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.44 (1) = Risk budget / CCy risk per contract = 14527.0 / 10071.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US10U is 1.0, minimum of 4.8 (risk), 3.8 (leverage), and 1.0 (concentration)
Update limit for US10U from 1.0 to 1
Standard position = 16.77 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 2887.50
Max position with leverage = 2.41 (2) = Max exposure / Notional per contract = 387387 / 160795
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 5.03 (5) = Risk budget / CCy risk per contract = 14527.0 / 2887.5
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US2 is 2.4, minimum of 16.8 (risk), 2.4 (leverage), and 5.0 (concentration)
Update limit for US2 from 2.0 to 2
Standard position = 3.26 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 14848.33
Max position with leverage = 3.41 (3) = Max exposure / Notional per contract = 387387 / 113607
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.98 (0) = Risk budget / CCy risk per contract = 14527.0 / 14848.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US20 is 0.0, minimum of 3.3 (risk), 3.4 (leverage), and 0.0 (concentration)
Update limit for US20 from 0.0 to 0
Standard position = 9.83 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4926.76
Max position with leverage = 2.34 (2) = Max exposure / Notional per contract = 387387 / 165798
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 2.95 (2) = Risk budget / CCy risk per contract = 14527.0 / 4926.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US3 is 2.0, minimum of 9.8 (risk), 2.3 (leverage), and 2.0 (concentration)
Update limit for US3 from 2.0 to 2
Standard position = 1.91 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 25331.11
Max position with leverage = 2.90 (2) = Max exposure / Notional per contract = 387387 / 133570
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.57 (0) = Risk budget / CCy risk per contract = 14527.0 / 25331.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US30 is 0.0, minimum of 1.9 (risk), 2.9 (leverage), and 0.0 (concentration)
Update limit for US30 from 0.0 to 0
Standard position = 11.67 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4147.95
Max position with leverage = 4.44 (4) = Max exposure / Notional per contract = 387387 / 87216
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.50 (3) = Risk budget / CCy risk per contract = 14527.0 / 4147.9
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for US5 is 3.0, minimum of 11.7 (risk), 4.4 (leverage), and 3.0 (concentration)
Update limit for US5 from 3.0 to 3
Standard position = 6.12 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 7916.12
Max position with leverage = 5.60 (5) = Max exposure / Notional per contract = 387387 / 69209
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.84 (1) = Risk budget / CCy risk per contract = 14527.0 / 7916.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for USIRS10 is 1.0, minimum of 6.1 (risk), 5.6 (leverage), and 1.0 (concentration)
Update limit for USIRS10 from 1.0 to 1
Standard position = 11.89 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4070.98
Max position with leverage = 5.50 (5) = Max exposure / Notional per contract = 387387 / 70398
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.57 (3) = Risk budget / CCy risk per contract = 14527.0 / 4071.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for USIRS5 is 3.0, minimum of 11.9 (risk), 5.5 (leverage), and 3.0 (concentration)
Update limit for USIRS5 from 3.0 to 3
Standard position = 11.59 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 4177.99
Max position with leverage = 5.39 (5) = Max exposure / Notional per contract = 387387 / 71811
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 3.48 (3) = Risk budget / CCy risk per contract = 14527.0 / 4178.0
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for USIRS5ERIS is 3.0, minimum of 11.6 (risk), 5.4 (leverage), and 3.0 (concentration)
Update limit for USIRS5ERIS from 3.0 to 3
Standard position = 35.21 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 1375.30
Max position with leverage = 162.91 (162) = Max exposure / Notional per contract = 387387 / 2378
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 10.56 (10) = Risk budget / CCy risk per contract = 14527.0 / 1375.3
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for V2X is 10.0, minimum of 35.2 (risk), 162.9 (leverage), and 10.0 (concentration)
Update limit for V2X from 10.0 to 10
Standard position = 4.55 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 10653.07
Max position with leverage = 19.42 (19) = Max exposure / Notional per contract = 387387 / 19944
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.36 (1) = Risk budget / CCy risk per contract = 14527.0 / 10653.1
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for VIX is 1.0, minimum of 4.5 (risk), 19.4 (leverage), and 1.0 (concentration)
Update limit for VIX from 1.0 to 1
Standard position = 67.46 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 717.77
Max position with leverage = 252.84 (252) = Max exposure / Notional per contract = 387387 / 1532
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 20.24 (20) = Risk budget / CCy risk per contract = 14527.0 / 717.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for VNKI is 20.0, minimum of 67.5 (risk), 252.8 (leverage), and 20.0 (concentration)
Update limit for VNKI from 20.0 to 20
Standard position = 2.78 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 17408.84
Max position with leverage = 9.91 (9) = Max exposure / Notional per contract = 387387 / 39075
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 0.83 (0) = Risk budget / CCy risk per contract = 14527.0 / 17408.8
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for WHEAT is 0.0, minimum of 2.8 (risk), 9.9 (leverage), and 0.0 (concentration)
Update limit for WHEAT from 0.0 to 0
Standard position = 4.74 = (Max / Average forecast) * Capital * IDM * instrument weight * risk target / Annual cash risk per contract
                  = (2.0) * 387387 * 2.50 * 0.100 * 0.250 / 10212.65
Max position with leverage = 3.71 (3) = Max exposure / Notional per contract = 387387 / 104334
(Max exposure = Capital * Maximum leverage = 387387 * 1.00
Max position exposure limit = 1.42 (1) = Risk budget / CCy risk per contract = 14527.0 / 10212.6
(Risk budget = Dollar risk capital * max proportion of risk = 96847 * 0.150)
(Dollar risk capital = Capital * Risk target = 387387 * 0.250
Standardised position for YENEUR is 1.0, minimum of 4.7 (risk), 3.7 (leverage), and 1.0 (concentration)
Update limit for YENEUR from 1.0 to 1

 

[totumpower]

Hey Rob – I have been following you for a while now through via this forum, your website and am a big fan of Systematic Trading (am yet to get my hands on your other books but will do so soon!).

While the application of systematic trading has mostly been limited to my personal accounts, I was looking to understand how the concept of volatility targeting could be converted for the typical measures of risk and capital allocation commonly used in institutional settings (i.e. a trader gets a max VaR limit to utilise – not an amount of capital to play around with).

Using the example in chapter 10 of Systematic Trading, we had an investor with a $1mm annualised cash volatility target or a daily cash volatility target of $62.5k (converting to dollars for simplicity). Crude oil had a block value of $750 and a price volatility of 1.33% giving crude oil an instrument volatility of $997.50. This resutled in a volatility scalar of 62.66 contracts. With the forecast from the example, we’d be looking to have a position of -6 times 62.66 divided by 10 = -37 contracts.

What I am having trouble figuring out is what this investor’s position be if he were trading based on a $100k VaR (let’s assume this is a daily VaR) and not based on a daily cash volatility target?

Any help or guidance on this would be greatly appreciated.