ECO (Efficient Crashes Optimizer)
is described in Kreuser & Sornette, 2018. It is designed to identify signatures in the price data indicating a crash or rally and to estimate its probability, size, and timing. It is one of two components of the AugurMax strategy.
In the following table we illustrate some of the output from the model. This output was generated on 1 June 2019. Actual returns will be computed on 1 July 2019 for the month of June. The data is that used in our AugurMax portfolio as provided in the investible universe.
Information on ECO can be found at QuantMinds. More details on the analysis using the information in the following table is available in the New QuantMinds Article. The values used from ECO are fed into the RisKontroller dynamic stochastic optimizer to obtain AugurMax allocations.