Changes to Playground and Sandbox portfolio.
The above chart shows the EUP Playground performance
As of (2025-08-26), the internal weighting of the contributing strategies to Playground will be modified again. This change will rebalance the weighting of each strategy at the begining of each week. The weighting scheme is simply the strategy’s return devided by (1 - negative deviation of returns). The return is based over the last year of trading. For strategies incurring heavier negative deviations in their returns, they will be minized or elinated from trading for the coming week. This weighting is inspired by Sortino’s Ratio.
A similar process will be applied to the Sandbox portfolio.