Periodic Parameter Adjustment
Relying on aggregate data and user input, X-Margin determines reasonable upper and lower thresholds of the scoring curves, and the slopes of the curves that determine each individual factor score. The current parameters are listed below, and will be adjusted periodically over time.
Where a High Ratio is Good, X-Margin calculates the score according to the below formula, where Weight is the point total of a specific metric.
LOG(((Ratio * (-1)) + Upper Limit + 1, Upper Limit + 1) ^ Slope) * Weight
Where a High Ratio is Bad, X-Margin calculates the score according to the below formula.
MIN(MAX(LOG(Ratio, Upper Limit) ^ Slope, 1)) * Weight
| Factor | Ratio | High Ratio | Upper Limit | Lower Limit | Slope |
|---|---|---|---|---|---|
Portfolio Leverage | Liability / Portfolio Equity | Bad | 8 - 12 | 0 | 1 |
Portfolio Equity | Portfolio Equity | Good | 500 (millions) | 7 (millions) | 2 |
SPAN Risk | SPAN / Assets | Bad | 0.1 | 0 | 1 |
Directional Risk | ABS Delta / Assets | Bad | 1 | 0 | 1 |
Gross Risk | Gross Leverage / Assets | Bad | 3 | 0.5 | 1 |
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