1. A method of lowering the computational overhead involved in computer implemented systems that perform money management of systematic multi-strategy hedge funds, wherein a data representation is deployed that comprises instances of a software object implementing a particular systematic trading strategy, there being multiple such instances (\u2018strategy instances\u2019), each corresponding to a different trading strategy, with a strategy instance being paired with a tradable instrument; the method comprising the steps of:
(a) each strategy instance providing an estimate of its returns;
(b) using Bayesian inference to assess predefined characteristics of each estimate;
(c) allocating capital to specific strategy instanceinstrument pairings depending on the estimated returns and the associated characteristics.
2. The method of claim 1 in which the predefined characteristics relate to the reliability of the estimates.
3. The method of claim 1 further comprising the steps of determining separately
(a) capital allocation for a strategy instanceinstrument pairing and (b) trade sizing for that pairing.
4. The method of claim 1 in which each strategy instance provides the estimate of returns in the format of a Gaussian model.
5. The method of claim 4 in which Bayesian inference is used to regression fit the Gaussian models.
6. The method of claim 1 in which time is split into timesteps, the duration of the smallest being determined by the most frequent strategy, with all estimates being updated on each timestep.
7. The method of claim 6 in which a specified input data vector for each timestep is mapped onto a trade duration-return codomain.
8. The method of claim 6 where the trading strategy instance can specify the domain for the function.
9. The method of claim 5 where the strategy instance specifies the functional form for the BayesianGaussian inference through specification of a covariance function.
10. The method of claim 9 where hyperparameters of each functional form are optimized against the data to find the most probable parameters \u03b8MP.
11. The method of claim 9 where multiple models for a single strategy instance are ranked against one another using an evidence maximization approach.
12. The method of claim 11 where only the most probable model is used.
13. The method of claim 11 where all models are used, being first weighted by probability and then summed.
14. The method of claim 1 where the strategy instance provides explicitly parameterized models that are not Gaussian.
15. The method of claim 1 where the Bayesian inference results in a PDF (probability density function) for trade frequency and another for trade duration-return.
16. The method of claim 15 where the PDF for trade frequency is computed using Bayesian inference utilising a Poisson distribution prior.
17. The method of claim 15 where the duration-return and trade frequency PDFs are combined, with the use of a separate estimate of the underlying parameters, given, the triggering of a trading signal, to create a long-run return-per-unit-time PDF.
18. The method of claim 17 including the step of creating a compound predictive model, where the long-run PDF is supplemented by a cross-strategy covariance estimate.
19. The method of claim 18 where the cross-strategy covariance estimate is derived through a factor-analysis of the returns of simulation, combined with an historical simulation for evolution of those factors.
20. The method of claim 17 including the step of performance of capital allocation by a routine, which is provided by the long-run PDF and strategy covariance estimates.
21. The method of claim 20 where this routine is a mean-variance optimizer.
22. The method of claim 20 where the routine utilizes Monte Carlo or queuing theory.
23. The method of claim 20 where the user explicitly provides their own model.
24. The method of claim 1 where capital allocation can be executed according to one of a number of paradigms, including conservative feasible execution, symmetric feasible execution, pre-emptive execution against costs or full pre-emptive execution.
25. The method of claim 1 where trade sizing is performed against the particular output of a current prediction function and the predicted performance for a particular trade is then mapped against the expected long-run performance, to create a relative leverage to use.
26. The method of claim 25 in which the mapping is done by comparing means or modes of the duration-normalized return (specific trade->long run), and then scaling appropriately.
27. The method of claim 25 in which probability density weighting is used.
28. The method of claim 27 in which input data is automatically pruned to the latest n-points to keep the matrix inversion required feasible.
29. The method of claim 28 in which an approximate matrix inversion approach is utilised to allow longer windows of analysis.
30. The method of claim 28 in which a comparison of the chosen, \u03b8MP parameterized model against a \u2018null\u2019 model is utilised, over a number of datapoints which is itself set through Bayesian optimization but which will be small relative to the longer window.
31. The method of claim 30 where a transition from a non-null model to the null model causes the longer window to be restarted at that point.
32. The method of claim 1 including the step of using an outer control loop to provide a final constraint to the capital allocation.
33. The method of claim 32 where the control loop operates through the computation of VaR (value at risk).
34. The method of claim 32 where the constraint is fed back as a global multiplier to the size of a single \u2018unit\u2019 of allocation, applying equally to all strategies.
35. The method of claim 34 where any changes through this process are implemented pre-emptively.
The claims below are in addition to those above.
All refrences to claim(s) which appear below refer to the numbering after this setence.
1. An exercise device comprising:
a vertical support tube;
a base section operatively attached at a bottom end of the vertical support tube, the base section further comprising:
a base brace attachable to the vertical support tube;
a base mounting plate attachable to the base brace; and
a leg operatively attached to the base mounting plate, the leg being at least partially rotatable about a leg mounting bolt connected to the base mounting plate;
a middle section removably attachable to the vertical support tube, the middle section being movable about the vertical support tube, the middle section further comprising:
a middle brace adjustably positionable about the vertical support tube;
a middle mounting plate attached to the middle brace;
a front bar operatively attached to the middle mounting plate, the front bar being at least partially rotatable about a front bar mounting bolt connected to the middle mounting plate; and
an arm support operatively attached to the middle mounting plate, the arm support being at least partially rotatable about an arm support mounting bolt connected to the middle mounting plate; and
an upper section attachable to a top end of the vertical support tube, the upper section further comprising an upper handle;
wherein the leg, the front bar, and the arm support are rotatable to at least a down position and an up position.
2. The device of claim 1, further comprising a back support section attachable to the vertical support tube, the back support section further comprising a back support pad; wherein the back support section is movable about the vertical support tube between the base section and the upper section.
3. The device of claim 2, wherein the back support section further comprises:
a back support portion securable to the vertical mounting tube;
a back support mounting bracket attached to the back support portion; and
a back support pad mounting bracket connectable to the back support mounting bracket via a back support pivot bolt, the back support pad mounting bracket being pivotal about the back support pivot bolt to orient the attached back support pad.
4. The device of claim 1:
wherein the base portion further comprises a base mounting bracket comprising:
a leg mounting hole,
a leg pin up receiver, and
a leg pin down receiver;
wherein the leg further comprises a leg pin;
wherein the leg is at least partially rotatable about the leg mounting bolt passed through the base mounting bracket, the base mounting plate, and the leg;
wherein the leg is selectively positionable in the up position by engaging the leg pin up receiver with the leg pin; and
wherein the leg is selectively positionable in the down position by engaging the leg pin down receiver with the leg pin.
5. The device of claim 1:
wherein the middle portion further comprises a middle mounting bracket comprising:
a front bar mounting hole,
a front bar pin up receiver, and
a front bar pin down receiver;
wherein the front bar further comprises a front bar pin;
wherein the front bar is at least partially rotatable about the front bar mounting bolt passed through the middle mounting bracket, the middle mounting plate, and the front bar;
wherein the front bar is selectively positionable in the up position by engaging the front bar pin up receiver with the front bar pin; and
wherein the front bar is selectively positionable in the down position by engaging the front bar pin down receiver with the front bar pin.
6. The device of claim 1:
wherein the middle portion further comprises a middle mounting bracket comprising:
an arm support mounting hole,
an arm support pin up receiver, and
an arm support pin down receiver;
wherein the arm support further comprises an arm support pin;
wherein the arm support is at least partially rotatable about the arm support mounting bolt passed through the middle mounting bracket, the middle mounting plate, and the arm support;
wherein the arm support is selectively positionable in the up position by engaging the arm support pin up receiver with the arm support pin; and
wherein the arm support is selectively positionable in the down position by engaging the arm support pin down receiver with the arm support pin.
7. The device of claim 1:
wherein the upper section comprises an upper support tube extending from a first upper support tube end to a second upper support tube end;
wherein the upper support tube comprises an upper support tube bend between the first upper support tube end and the second upper support tube end;
wherein the first upper support tube end is approximately orthogonal to the second upper support tube end;
wherein the first upper support tube end of the upper support tube is attachable to the vertical support tube.
8. The device of claim 7:
wherein the upper handle is attachable to the second upper support tube end of the upper support tube;
wherein the upper handle extends from an upper handle support end to an upper handle distal end;
wherein the upper handle is bent between the upper handle support end and the upper handle distal end; and
wherein the upper handle support end is approximately orthogonal to the upper handle distal end.
9. The device of claim 1, wherein the upper handle comprises a first side upper handle and a second side upper handle.
10. The device of claim 1, wherein the vertical support tube is an approximately square tube.
11. The device of claim 1, wherein the upper handle further comprises a grip.
12. The device of claim 1, further comprising:
bar orientation holes provided by the front bar; and
a bar handle comprising a bar orientation pin receivable by the bar orientation hole;
wherein the bar handle is insertable into the front bar;
wherein the bar handle is rotatably oriented with respect to the front bar;
wherein the bar orientation pin is aligned with the bar orientation hole corresponding to an orientation.
13. The device of claim 1, wherein the arm support further comprises:
an arm pad mountable to the arm support; and
an arm support handle approximately orthogonally mounted to the arm support.
14. An exercise device comprising:
a vertical support tube;
a base section operatively attached at a bottom end of the vertical support tube, the base section further comprising:
a base brace attachable to the vertical support tube,
a base mounting plate attachable to the base brace, and
a leg operatively attached to the base mounting plate, the leg being at least partially rotatable about a leg mounting bolt connected to the base mounting plate;
a middle section removably attachable to the vertical support tube, the middle section being movable about the vertical support tube, the middle section further comprising:
a middle brace adjustably positionable about the vertical support tube;
a middle mounting plate attached to the middle brace;
a front bar operatively attached to the middle mounting plate, the front bar being at least partially rotatable about a front bar mounting bolt connected to the middle mounting plate, the front bar further comprising bar orientation holes, wherein a bar handle comprising a bar orientation pin is receivable by the bar orientation hole, and wherein the bar handle is rotatably oriented with respect to the front bar such that the bar orientation pin is aligned with the bar orientation hole corresponding to an orientation; and
an arm support operatively attached to the middle mounting plate, the arm support being at least partially rotatable about an arm support mounting bolt connected to the middle mounting plate, the arm support further comprising:
an arm pad mountable to the arm support; and
an arm support handle approximately orthogonally mounted to the arm support;
an upper section attachable to a top end of the vertical support tube, the upper section further comprising an upper handle; and
a back support section attachable to the vertical support tube, the back support section further comprising a back support pad, wherein the back support section is movable about the vertical support tube between the base section and the upper section, the back support section further comprising:
a back support portion securable to the vertical mounting tube;
a back support mounting bracket attached to the back support portion; and
a back support pad mounting bracket connectable to the back support mounting bracket via a back support pivot bolt, the back support pad mounting bracket being pivotal about the back support pivot bolt to orient the attached back support pad,
wherein the leg, the front bar, and the arm support are rotatable to at least a down position and an up position.
15. The device of claim 14:
wherein the base portion further comprises a base mounting bracket comprising:
a leg mounting hole,
a leg pin up receiver, and
a leg pin down receiver;
wherein the leg further comprises a leg pin;
wherein the leg is at least partially rotatable about the leg mounting bolt passed through the base mounting bracket, the base mounting plate, and the leg;
wherein the leg is selectively positionable in the up position by engaging the leg pin up receiver with the leg pin; and
wherein the leg is selectively positionable in the down position by engaging the leg pin down receiver with the leg pin.
16. The device of claim 14:
wherein the middle portion further comprises a middle mounting bracket comprising:
a front bar mounting hole,
a front bar pin up receiver, and
a front bar pin down receiver;
wherein the front bar further comprises a front bar pin;
wherein the front bar is at least partially rotatable about the front bar mounting bolt passed through the middle mounting bracket, the middle mounting plate, and the front bar;
wherein the front bar is selectively positionable in the up position by engaging the front bar pin up receiver with the front bar pin;
wherein the front bar is selectively positionable in the down position by engaging the front bar pin down receiver with the front bar pin;
wherein the middle portion further comprises a middle mounting bracket comprising:
an arm support mounting hole,
an arm support pin up receiver, and
an arm support pin down receiver;
wherein the arm support further comprises an arm support pin;
wherein the arm support is at least partially rotatable about the arm support mounting bolt passed through the middle mounting bracket, the middle mounting plate, and the arm support;
wherein the arm support is selectively positionable in the up position by engaging the arm support pin up receiver with the arm support pin; and
wherein the arm support is selectively positionable in the down position by engaging the arm support pin down receiver with the arm support pin.
17. The device of claim 14:
wherein the upper section comprises an upper support tube extending from a first upper support tube end to a second upper support tube end;
wherein the upper support tube comprises an upper support tube bend between the first upper support tube end and the second upper support tube end;
wherein the first upper support tube end is approximately orthogonal to the second upper support tube end;
wherein the first upper support tube end of the upper support tube is attachable to the vertical support tube;
wherein the upper handle is attachable to the second upper support tube end of the upper support tube;
wherein the upper handle extends from an upper handle support end to an upper handle distal end;
wherein the upper handle is bent between the upper handle support end and the upper handle distal end; and
wherein the upper handle support end is approximately orthogonal to the upper handle distal end.
18. An exercise device comprising:
a vertical support tube;
a base section operatively attached at a bottom end of the vertical support tube, the base section further comprising:
a base brace attachable to the vertical support tube,
a base mounting plate attachable to the base brace,
a leg operatively attached to the base mounting plate, the leg being at least partially rotatable about a leg mounting bolt connected to the base mounting plate;
a leg mounting hole,
a leg pin up receiver, and
a leg pin down receiver,
wherein the leg further comprises a leg pin,
wherein the leg mounting bolt is passed through the base mounting bracket, the base mounting plate, and the leg,
wherein the leg is selectively positionable in an up position by engaging the leg pin up receiver with the leg pin, and
wherein the leg is selectively positionable in a down position by engaging the leg pin down receiver with the leg pin;
a middle section removably attachable to the vertical support tube, the middle section being movable about the vertical support tube, the middle section further comprising:
a middle brace adjustably positionable about the vertical support tube,
a middle mounting plate attached to the middle brace,
a front bar operatively attached to the middle mounting plate, the front bar being at least partially rotatable about a front bar mounting bolt connected to the middle mounting plate,
a front bar mounting hole,
a front bar pin up receiver, and
a front bar pin down receiver, and
an arm support operatively attached to the middle mounting plate, the arm support being at least partially rotatable about an arm support mounting bolt connected to the middle mounting plate;
an arm support mounting hole,
an arm support pin up receiver, and
an arm support pin down receiver,
wherein the arm support further comprises an arm support pin,
wherein the front bar further comprises a front bar pin,
wherein the front bar mounting bolt is passed through the middle mounting bracket, the middle mounting plate, and the front bar,
wherein the front bar is selectively positionable in an up position by engaging the front bar pin up receiver with the front bar pin,
wherein the front bar is selectively positionable in a down position by engaging the front bar pin down receiver with the front bar pin,
wherein the arm support mounting bolt is passed through the middle mounting bracket, the middle mounting plate, and the arm support,
wherein the arm support is selectively positionable in an up position by engaging the arm support pin up receiver with the arm support pin, and
wherein the arm support is selectively positionable in a down position by engaging the arm support pin down receiver with the arm support pin; and
an upper section attachable to a top end of the vertical support tube, the upper section further comprising an upper handle.
19. The device of claim 18:
wherein the upper section comprises an upper support tube extending from a first upper support tube end to a second upper support tube end;
wherein the upper support tube comprises an upper support tube bend between the first upper support tube end and the second upper support tube end;
wherein the first upper support tube end is approximately orthogonal to the second upper support tube end;
wherein the first upper support tube end of the upper support tube is attachable to the vertical support tube;
wherein the upper handle is attachable to the second upper support tube end of the upper support tube;
wherein the upper handle extends from an upper handle support end to an upper handle distal end;
wherein the upper handle is bent between the upper handle support end and the upper handle distal end; and
wherein the upper handle support end is approximately orthogonal to the upper handle distal end.
20. The device of claim 18, further comprising:
bar orientation holes provided by the front bar;
a bar handle comprising a bar orientation pin receivable by the bar orientation hole;
an arm pad mountable to the arm support; and
an arm support handle approximately orthogonally mounted to the arm support;
wherein the bar handle is insertable into the front bar;
wherein the bar handle is rotatably oriented with respect to the front bar;
wherein the bar orientation pin is aligned with the bar orientation hole corresponding to an orientation.