|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 2 ms
|-----------------------------------------------------------------|
|---------------------------------------------------------------------------||
| OPTIMAL MEASURES IMPACT EXPONENT DEPENDENCE ||
|---------------------------------------------------------------------------||
| L -> R: ||
| - Temporary Market Impact Exponent ||
| - Principal Discount ||
| - Gross Profit Expectation ||
| - Gross Profit Standard Deviation ||
| - Gross Returns Expectation ||
| - Gross Returns Standard Deviation ||
| - Information Ratio ||
| - Optimal Information Ratio ||
| - Optimal Information Ratio Horizon ||
|---------------------------------------------------------------------------||
| 0.20 | 0.37 | -22500 | 086603 | 07500 | 38730 | -0.1162 | 0.0006 | 243.00 ||
| 0.25 | 0.34 | -19155 | 092406 | 08169 | 41325 | -0.0927 | 0.0018 | 078.46 ||
| 0.30 | 0.31 | -16155 | 096677 | 08769 | 43235 | -0.0747 | 0.0037 | 037.44 ||
| 0.35 | 0.28 | -13480 | 099840 | 09304 | 44650 | -0.0604 | 0.0061 | 022.28 ||
| 0.40 | 0.26 | -11102 | 102179 | 09780 | 45696 | -0.0486 | 0.0088 | 015.20 ||
| 0.45 | 0.24 | -08987 | 103894 | 10203 | 46463 | -0.0387 | 0.0116 | 011.34 ||
| 0.50 | 0.22 | -07104 | 105129 | 10579 | 47015 | -0.0302 | 0.0143 | 009.00 ||
| 0.55 | 0.20 | -05425 | 105990 | 10915 | 47400 | -0.0229 | 0.0169 | 007.47 ||
| 0.60 | 0.19 | -03924 | 106557 | 11215 | 47654 | -0.0165 | 0.0194 | 006.41 ||
| 0.65 | 0.18 | -02578 | 106892 | 11484 | 47804 | -0.0108 | 0.0216 | 005.63 ||
| 0.70 | 0.16 | -01369 | 107044 | 11726 | 47872 | -0.0057 | 0.0236 | 005.05 ||
| 0.75 | 0.15 | -00280 | 107050 | 11944 | 47874 | -0.0012 | 0.0254 | 004.60 ||
| 0.80 | 0.14 | 00705 | 106939 | 12141 | 47825 | 0.0029 | 0.0270 | 004.24 ||
| 0.85 | 0.13 | 01597 | 106735 | 12319 | 47733 | 0.0067 | 0.0284 | 003.95 ||
| 0.90 | 0.13 | 02408 | 106457 | 12482 | 47609 | 0.0101 | 0.0297 | 003.71 ||
| 0.95 | 0.12 | 03146 | 106120 | 12629 | 47458 | 0.0133 | 0.0308 | 003.51 ||
| 1.00 | 0.11 | 03820 | 105737 | 12764 | 47287 | 0.0162 | 0.0318 | 003.33 ||
| 1.10 | 0.10 | 05002 | 104870 | 13000 | 46899 | 0.0213 | 0.0334 | 003.06 ||
| 1.20 | 0.09 | 06001 | 103917 | 13200 | 46473 | 0.0258 | 0.0346 | 002.85 ||
| 1.35 | 0.08 | 07231 | 102408 | 13446 | 45798 | 0.0316 | 0.0359 | 002.61 ||
| 1.50 | 0.07 | 08216 | 100879 | 13643 | 45114 | 0.0364 | 0.0366 | 002.43 ||
|---------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-------------------------------------------------------------------------||
| OPTIMAL MEASURES INFORMATION RATIO DEPENDENCE ||
|-------------------------------------------------------------------------||
| L -> R: ||
| - Information Ratio Hurdle ||
| - Principal Discount ||
| - Gross Profit Expectation ||
| - Gross Profit Standard Deviation ||
| - Gross Returns Expectation ||
| - Gross Returns Standard Deviation ||
| - Information Ratio ||
| - Optimal Information Ratio ||
| - Optimal Information Ratio Horizon ||
|-------------------------------------------------------------------------||
| 0.01 | 0.08 |-02771 | 105737 | 06173 | 47287 |-0.0117 | 0.0100 | 5.9460 ||
| 0.02 | 0.12 | 00712 | 105737 | 09656 | 47287 | 0.0030 | 0.0200 | 4.2045 ||
| 0.03 | 0.15 | 03384 | 105737 | 12329 | 47287 | 0.0143 | 0.0300 | 3.4329 ||
| 0.04 | 0.17 | 05638 | 105737 | 14582 | 47287 | 0.0238 | 0.0400 | 2.9730 ||
| 0.05 | 0.19 | 07623 | 105737 | 16567 | 47287 | 0.0322 | 0.0500 | 2.6591 ||
| 0.07 | 0.22 | 11068 | 105737 | 20012 | 47287 | 0.0468 | 0.0700 | 2.2474 ||
| 0.09 | 0.25 | 14047 | 105737 | 22991 | 47287 | 0.0594 | 0.0900 | 1.9820 ||
| 0.11 | 0.28 | 16709 | 105737 | 25653 | 47287 | 0.0707 | 0.1100 | 1.7928 ||
| 0.13 | 0.30 | 19139 | 105737 | 28083 | 47287 | 0.0809 | 0.1300 | 1.6491 ||
| 0.15 | 0.33 | 21387 | 105737 | 30332 | 47287 | 0.0905 | 0.1500 | 1.5353 ||
| 0.18 | 0.36 | 24496 | 105737 | 33440 | 47287 | 0.1036 | 0.1800 | 1.4015 ||
| 0.21 | 0.39 | 27354 | 105737 | 36299 | 47287 | 0.1157 | 0.2100 | 1.2975 ||
| 0.24 | 0.41 | 30015 | 105737 | 38959 | 47287 | 0.1269 | 0.2400 | 1.2137 ||
| 0.28 | 0.44 | 33316 | 105737 | 42260 | 47287 | 0.1409 | 0.2800 | 1.1237 ||
| 0.32 | 0.48 | 36388 | 105737 | 45332 | 47287 | 0.1539 | 0.3200 | 1.0511 ||
| 0.36 | 0.50 | 39273 | 105737 | 48218 | 47287 | 0.1661 | 0.3600 | 0.9910 ||
| 0.40 | 0.53 | 42003 | 105737 | 50947 | 47287 | 0.1776 | 0.4000 | 0.9402 ||
| 0.45 | 0.56 | 45229 | 105737 | 54173 | 47287 | 0.1913 | 0.4500 | 0.8864 ||
| 0.50 | 0.59 | 48280 | 105737 | 57224 | 47287 | 0.2042 | 0.5000 | 0.8409 ||
| 0.55 | 0.62 | 51182 | 105737 | 60126 | 47287 | 0.2165 | 0.5500 | 0.8018 ||
| 0.60 | 0.65 | 53955 | 105737 | 62899 | 47287 | 0.2282 | 0.6000 | 0.7676 ||
| 0.66 | 0.68 | 57134 | 105737 | 66079 | 47287 | 0.2416 | 0.6600 | 0.7319 ||
| 0.72 | 0.71 | 60172 | 105737 | 69116 | 47287 | 0.2545 | 0.7200 | 0.7007 ||
| 0.78 | 0.74 | 63086 | 105737 | 72030 | 47287 | 0.2668 | 0.7800 | 0.6733 ||
| 0.84 | 0.77 | 65889 | 105737 | 74833 | 47287 | 0.2787 | 0.8400 | 0.6488 ||
| 0.91 | 0.80 | 69036 | 105737 | 77980 | 47287 | 0.2920 | 0.9100 | 0.6233 ||
| 0.98 | 0.83 | 72064 | 105737 | 81008 | 47287 | 0.3048 | 0.9800 | 0.6006 ||
| 1.05 | 0.86 | 74986 | 105737 | 83930 | 47287 | 0.3172 | 1.0500 | 0.5803 ||
| 1.12 | 0.89 | 77812 | 105737 | 86756 | 47287 | 0.3291 | 1.1200 | 0.5618 ||
| 1.20 | 0.92 | 80935 | 105737 | 89880 | 47287 | 0.3423 | 1.2000 | 0.5428 ||
| 1.28 | 0.95 | 83956 | 105737 | 92901 | 47287 | 0.3551 | 1.2800 | 0.5256 ||
| 1.36 | 0.98 | 86884 | 105737 | 95828 | 47287 | 0.3675 | 1.3600 | 0.5099 ||
| 1.44 | 1.01 | 89727 | 105737 | 98672 | 47287 | 0.3795 | 1.4400 | 0.4955 ||
|-------------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------||
| Optimal Market Parameters Horizon Dependence ||
|-----------------------------------------------------||
| 0.500 | 0.810 | 2.000 | 1.000 | 0.000 | -2.000 ||
| 1.000 | 1.000 | 1.000 | 1.000 | 0.000 | -1.000 ||
| 1.500 | 1.089 | 0.667 | 1.000 | 0.000 | -0.667 ||
| 2.000 | 1.134 | 0.500 | 1.000 | 0.000 | -0.500 ||
| 2.500 | 1.157 | 0.400 | 1.000 | 0.000 | -0.400 ||
| 3.000 | 1.170 | 0.333 | 1.000 | 0.000 | -0.333 ||
| 3.500 | 1.175 | 0.286 | 1.000 | 0.000 | -0.286 ||
| 4.000 | 1.178 | 0.250 | 1.000 | 0.000 | -0.250 ||
| 4.500 | 1.178 | 0.222 | 1.000 | 0.000 | -0.222 ||
| 5.000 | 1.176 | 0.200 | 1.000 | 0.000 | -0.200 ||
| 5.500 | 1.174 | 0.182 | 1.000 | 0.000 | -0.182 ||
| 6.000 | 1.171 | 0.167 | 1.000 | 0.000 | -0.167 ||
| 6.500 | 1.168 | 0.154 | 1.000 | 0.000 | -0.154 ||
| 7.000 | 1.165 | 0.143 | 1.000 | 0.000 | -0.143 ||
| 7.500 | 1.162 | 0.133 | 1.000 | 0.000 | -0.133 ||
| 8.000 | 1.158 | 0.125 | 1.000 | 0.000 | -0.125 ||
| 8.500 | 1.155 | 0.118 | 1.000 | 0.000 | -0.118 ||
| 9.000 | 1.152 | 0.111 | 1.000 | 0.000 | -0.111 ||
| 9.500 | 1.149 | 0.105 | 1.000 | 0.000 | -0.105 ||
|-----------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 16 ms
|-----------------------------------------------------------------|
|------------------------------------------------------------------||
| OPTIMAL MEASURES PRINCIPAL DISCOUNT DEPENDENCE ||
|------------------------------------------------------------------||
| L -> R: ||
| - Principal Discount ||
| - Gross Profit Expectation ||
| - Gross Profit Standard Deviation ||
| - Gross Returns Expectation ||
| - Gross Returns Standard Deviation ||
| - Information Ratio ||
| - Optimal Information Ratio ||
| - Optimal Information Ratio Horizon ||
|------------------------------------------------------------------||
| 0.12 | 00820 | 105737 | 09764 | 47287 | 0.0035 | 0.0204 | 4.1667 ||
| 0.13 | 01820 | 105737 | 10764 | 47287 | 0.0077 | 0.0239 | 3.8462 ||
| 0.14 | 02820 | 105737 | 11764 | 47287 | 0.0119 | 0.0277 | 3.5714 ||
| 0.15 | 03820 | 105737 | 12764 | 47287 | 0.0162 | 0.0318 | 3.3333 ||
| 0.16 | 04820 | 105737 | 13764 | 47287 | 0.0204 | 0.0362 | 3.1250 ||
| 0.18 | 06820 | 105737 | 15764 | 47287 | 0.0288 | 0.0458 | 2.7778 ||
| 0.21 | 09820 | 105737 | 18764 | 47287 | 0.0415 | 0.0624 | 2.3810 ||
| 0.24 | 12820 | 105737 | 21764 | 47287 | 0.0542 | 0.0815 | 2.0833 ||
| 0.27 | 15820 | 105737 | 24764 | 47287 | 0.0669 | 0.1031 | 1.8519 ||
| 0.30 | 18820 | 105737 | 27764 | 47287 | 0.0796 | 0.1273 | 1.6667 ||
| 0.33 | 21820 | 105737 | 30764 | 47287 | 0.0923 | 0.1540 | 1.5152 ||
| 0.36 | 24820 | 105737 | 33764 | 47287 | 0.1050 | 0.1833 | 1.3889 ||
| 0.39 | 27820 | 105737 | 36764 | 47287 | 0.1177 | 0.2151 | 1.2821 ||
| 0.42 | 30820 | 105737 | 39764 | 47287 | 0.1304 | 0.2495 | 1.1905 ||
| 0.45 | 33820 | 105737 | 42764 | 47287 | 0.1430 | 0.2864 | 1.1111 ||
| 0.50 | 38820 | 105737 | 47764 | 47287 | 0.1642 | 0.3536 | 1.0000 ||
| 0.55 | 43820 | 105737 | 52764 | 47287 | 0.1853 | 0.4278 | 0.9091 ||
| 0.60 | 48820 | 105737 | 57764 | 47287 | 0.2065 | 0.5091 | 0.8333 ||
| 0.66 | 54820 | 105737 | 63764 | 47287 | 0.2319 | 0.6160 | 0.7576 ||
| 0.72 | 60820 | 105737 | 69764 | 47287 | 0.2572 | 0.7331 | 0.6944 ||
| 0.78 | 66820 | 105737 | 75764 | 47287 | 0.2826 | 0.8604 | 0.6410 ||
| 0.84 | 72820 | 105737 | 81764 | 47287 | 0.3080 | 0.9979 | 0.5952 ||
| 0.91 | 79820 | 105737 | 88764 | 47287 | 0.3376 | 1.1711 | 0.5495 ||
| 0.98 | 86820 | 105737 | 95764 | 47287 | 0.3672 | 1.3582 | 0.5102 ||
|------------------------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|-----------------------------------------------------||
| Optimal Market Parameters Horizon Dependence ||
|-----------------------------------------------------||
| 0.500 | 0.810 | 2.000 | 1.000 | 0.000 | -2.000 ||
| 1.000 | 1.000 | 1.000 | 1.000 | 0.000 | -1.000 ||
| 2.000 | 1.134 | 0.500 | 1.000 | 0.000 | -0.500 ||
|-----------------------------------------------------||
|-----------------------------------------------------||
| 0.500 | 0.810 | 2.000 | 1.000 | 0.000 | -2.000 ||
| 1.000 | 1.000 | 1.000 | 1.000 | 0.000 | -1.000 ||
| 2.000 | 1.134 | 0.500 | 1.000 | 0.000 | -0.500 ||
|-----------------------------------------------------||
|-----------------------------------------------------||
| Optimal Market Parameters Information Ratio ||
|-----------------------------------------------------||
| 0.500 | 1.063 | -2.000 | -1.000 | -1.000 | 3.000 ||
| 1.000 | 0.707 | -1.000 | -1.000 | -1.000 | 2.000 ||
| 2.000 | 0.449 | -0.500 | -1.000 | -1.000 | 1.500 ||
|-----------------------------------------------------||
|-----------------------------------------------------||
| 0.500 | 1.063 | -2.000 | -1.000 | -1.000 | 3.000 ||
| 1.000 | 0.707 | -1.000 | -1.000 | -1.000 | 2.000 ||
| 2.000 | 0.449 | -0.500 | -1.000 | -1.000 | 1.500 ||
|-----------------------------------------------------||
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:35:06 EST 2020
| Setup Time => Mon Jan 27 00:35:06 EST 2020
| Setup Duration => 1 ms
|-----------------------------------------------------------------|
|----------------------------------||
| IBM ATHL 2005 Optimal Trajectory ||
|----------------------------------||
| L -> R: ||
| - Execution Time Node ||
| - Holdings Remaining ||
| - Trade List Amount ||
| - Holdings (%) ||
|----------------------------------||
| 0.50 | 79963 | -09459 | 80.0% ||
| 0.75 | 71504 | -08458 | 71.5% ||
| 1.00 | 63941 | -07564 | 63.9% ||
| 1.25 | 57177 | -06764 | 57.2% ||
| 1.50 | 51129 | -06048 | 51.1% ||
| 1.75 | 45720 | -05408 | 45.7% ||
| 2.00 | 40884 | -04836 | 40.9% ||
| 2.25 | 36559 | -04325 | 36.6% ||
| 2.50 | 32692 | -03867 | 32.7% ||
| 2.75 | 29234 | -03458 | 29.2% ||
| 3.00 | 26142 | -03092 | 26.1% ||
| 3.25 | 23376 | -02765 | 23.4% ||
| 3.50 | 20904 | -02473 | 20.9% ||
| 3.75 | 18692 | -02211 | 18.7% ||
| 4.00 | 16715 | -01977 | 16.7% ||
| 4.25 | 14947 | -01768 | 14.9% ||
| 4.50 | 13366 | -01581 | 13.4% ||
| 4.75 | 11952 | -01414 | 12.0% ||
| 5.00 | 10688 | -01264 | 10.7% ||
|----------------------------------||
|-----------------------------------------------------------------------||
| IBM ATHL 2005 Optimal Trajectory Transaction Cost Measures ||
|-----------------------------------------------------------------------||
| Transaction Cost Expectation ( X 10^-03) : 00011.18 ||
| Transaction Cost Variance ( X 10^-06) : 11180.34 ||
| Characteristic Time : 00002.24 ||
| Efficient Frontier Hyperboloid Boundary Value ( X 10^-12) : 00125.00 ||
| Break-even Principal Discount (cents per unit) : 00011.18 ||
| Gross Profit Expectation : 03819.66 ||
| Gross Profit Variance ( X 10^-06) : 11180.34 ||
| Gross Returns Expectation : 12763.93 ||
| Gross Returns Variance ( X 10^-06) : 02236.07 ||
| Information Ratio ( X 10^+03) : 00016.16 ||
| Optimal Information Ratio ( X 10^+03) : 00031.82 ||
| Optimal Information Ratio Horizon : 00003.33 ||
|-----------------------------------------------------------------------||