#####################################################
# this file defines how to configure qsld to plot
#####################################################
#
# the key is symbol-period
#
# by default, start.date is 1950-01-01, end.date is 2015-12-31
# this is defined in ecd.data.arr API default
# you can override it
#
# default:
#   ts.on = days, drop = 0, mu.add = 0, breaks = 200
#
spx-1d:
  symbol: spx
  period: 1d
  ts.on:  days
  lag:    1
  drop:   1
  t:      1/252
  nu0:    6.92
  theta:  1.17
  convo:  2
  beta.a: -1.31 # annualized beta
  mu.add: 0
  breaks: 200

spx-2d:
  symbol: spx
  period: 2d
  ts.on:  days
  lag:    2
  drop:   1
  t:      2/252
  nu0:    9.0
  theta:  0.96
  convo:  2
  beta.a: -1.72
  mu.add: 0
  breaks: 200

spx-3d:
  symbol: spx
  period: 3d
  ts.on:  days
  lag:    3
  drop:   2
  t:      3/252
  nu0:    8.9
  theta:  0.91
  convo:  3
  beta.a: -1.65
  mu.add: 0
  breaks: 200

spx-4d:
  symbol: spx
  period: 4d
  ts.on:  days
  lag:    4
  drop:   2
  t:      4/252
  nu0:    9.4
  theta:  0.86
  convo:  3
  beta.a: -1.6
  mu.add: 0
  breaks: 200

spx-5d:
  symbol: spx
  period: 5d
  ts.on:  days
  lag:    5
  drop:   2
  t:      5/252
  nu0:    9.2
  theta:  0.84
  convo:  3
  beta.a: -2.02
  mu.add: 0
  breaks: 200

spx-2w:
  symbol: spx
  period: 2w
  ts.on:  days
  lag:    10
  drop:   1
  t:      2/52
  nu0:    9.5
  theta:  0.8
  convo:  3
  beta.a: -2.4
  mu.add: 0
  breaks: 200

spx-3w:
  symbol: spx
  period: 3w
  ts.on:  days
  lag:    15
  drop:   1
  t:      3/52
  nu0:    9.9
  theta:  0.78
  convo:  3
  beta.a: -1.73
  mu.add: 0
  breaks: 200

spx-1m:
  symbol: spx
  period: 1m
  ts.on:  days
  lag:    21
  drop:   0
  t:      1/12
  nu0:    9.37
  theta:  0.81
  convo:  3
  beta.a: -1.69
  mu.add: 0
  breaks: 100

spx-6w:
  symbol: spx
  period: 6w
  ts.on:  days
  lag:    31
  drop:   0
  t:      6/52
  nu0:    9.7
  theta:  0.81
  convo:  4
  beta.a: -1.73
  mu.add: 0
  breaks: 100

spx-2m:
  symbol: spx
  period: 2m
  ts.on:  days
  lag:    42
  drop:   0
  t:      2/12
  nu0:    9.8
  theta:  0.73
  convo:  4
  beta.a: -1.48
  mu.add: 0
  breaks: 100

spx-3m:
  symbol: spx
  period: 3m
  ts.on:  days
  lag:    63
  drop:   0
  t:      3/12
  nu0:    9.54
  theta:  0.75
  convo:  4
  beta.a: -1.06
  mu.add: 0
  breaks: 50

spx-4m:
  symbol: spx
  period: 4m
  ts.on:  days
  lag:    83
  drop:   0
  t:      4/12
  nu0:    9.04
  theta:  0.77
  convo:  5
  beta.a: -0.80
  mu.add: 0
  breaks: 50

spx-5m:
  symbol: spx
  period: 5m
  ts.on:  days
  lag:    104
  drop:   0
  t:      5/12
  nu0:    7.64
  theta:  1.01
  convo:  5
  beta.a: -0.69
  mu.add: 0
  breaks: 50

spx-6m:
  symbol: spx
  period: 6m
  ts.on:  days
  lag:    125
  drop:   0
  t:      6/12
  nu0:    7.04
  theta:  1.16
  convo:  5
  beta.a: -0.53
  mu.add: 0
  breaks: 50

spx-7m:
  symbol: spx
  period: 7m
  ts.on:  days
  lag:    146
  drop:   0
  t:      7/12
  nu0:    7.66
  theta:  1.11
  convo:  5
  beta.a: -0.40
  mu.add: 0
  breaks: 50

spx-8m:
  symbol: spx
  period: 8m
  ts.on:  days
  lag:    167
  drop:   0
  t:      8/12
  nu0:    7.77
  theta:  1.09
  convo:  6
  beta.a: -0.30
  mu.add: 0
  breaks: 50

spx-9m:
  symbol: spx
  period: 9m
  ts.on:  days
  lag:    188
  drop:   0
  t:      0.75
  nu0:    8.3
  theta:  0.97
  convo:  6
  beta.a: -0.36
  mu.add: 0
  breaks: 50

spx-10m:
  symbol: spx
  period: 10m
  ts.on:  days
  lag:    208
  drop:   0
  t:      10/12
  nu0:    8.04
  theta:  1.02
  convo:  6
  beta.a: -0.39
  mu.add: 0
  breaks: 50

spx-11m:
  symbol: spx
  period: 11m
  ts.on:  days
  lag:    229
  drop:   0
  t:      11/12
  nu0:    7.54
  theta:  1.06
  convo:  7
  beta.a: -0.36
  mu.add: 0
  breaks: 40

spx-12m:
  symbol: spx
  period: 12m
  ts.on:  days
  lag:    252
  drop:   0
  t:      1
  nu0:    9.85
  theta:  0.76
  convo:  7
  beta.a: -0.69
  mu.add: 0
  breaks: 40

spx-13m:
  symbol: spx
  period: 13m
  ts.on:  days
  lag:    271
  drop:   0
  t:      13/12
  nu0:    9.5
  theta:  0.82
  convo:  7
  beta.a: -0.57
  mu.add: 0
  breaks: 40

spx-14m:
  symbol: spx
  period: 14m
  ts.on:  days
  lag:    292
  drop:   0
  t:      14/12
  nu0:    9.63
  theta:  0.82
  convo:  7
  beta.a: -0.59
  mu.add: 0
  breaks: 40

#############################################################

dji-1d:
  symbol: dji
  period: 1d
  ts.on:  days
  lag:    1
  drop:   1
  t:      1/252
  nu0:    6.92
  theta:  1.21
  convo:  2
  beta.a: -1.11 # annualized beta
  mu.add: 0
  breaks: 200
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-2d:
  symbol: dji
  period: 2d
  ts.on:  days
  lag:    2
  drop:   1
  t:      2/252
  nu0:    8.92
  theta:  1.01
  convo:  3
  beta.a: -1.61 # annualized beta
  mu.add: 0
  breaks: 200
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-3d:
  symbol: dji
  period: 3d
  ts.on:  days
  lag:    3
  drop:   1
  t:      3/252
  nu0:    8.92
  theta:  1.01
  convo:  3
  beta.a: -1.61 # annualized beta
  mu.add: 0
  breaks: 200
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-1w:
  symbol: dji
  period: 1w
  ts.on:  days
  lag:    5
  drop:   2 # one more drop for skewness
  t:      1/52
  nu0:    8.52
  theta:  1.11
  convo:  3
  beta.a: -1.51 # annualized beta
  mu.add: 0
  breaks: 200
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-1m:
  symbol: dji
  period: 1m
  ts.on:  days
  lag:    21
  drop:   7
  t:      1/12
  nu0:    8.72
  theta:  1.01
  convo:  4
  beta.a: -1.31 # annualized beta
  mu.add: 0
  breaks: 200
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-6w:
  symbol: dji
  period: 6w
  ts.on:  days
  lag:    31
  drop:   7
  t:      6/52
  nu0:    8.72
  theta:  1.01
  convo:  4
  beta.a: -1.31 # annualized beta
  mu.add: 0
  breaks: 200
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-2m:
  symbol: dji
  period: 2m
  ts.on:  days
  lag:    42
  drop:   7
  t:      2/12
  nu0:    8.72
  theta:  1.01
  convo:  4
  beta.a: -1.31 # annualized beta
  mu.add: 0
  breaks: 200
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-3m:
  symbol: dji
  period: 3m
  ts.on:  days
  lag:    62
  drop:   0
  t:      1/4
  nu0:    9.52
  theta:  0.91
  convo:  5
  beta.a: -0.91 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-4m:
  symbol: dji
  period: 4m
  ts.on:  days
  lag:    83
  drop:   0
  t:      4/12
  nu0:    9.52
  theta:  0.91
  convo:  6
  beta.a: -0.91 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-5m:
  symbol: dji
  period: 5m
  ts.on:  days
  lag:    104
  drop:   0
  t:      5/12
  nu0:    9.52
  theta:  0.91
  convo:  6
  beta.a: -0.91 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-6m:
  symbol: dji
  period: 6m
  ts.on:  days
  lag:    125
  drop:   0
  t:      1/2
  nu0:    8.92
  theta:  1.01
  convo:  6
  beta.a: -0.41 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-7m:
  symbol: dji
  period: 7m
  ts.on:  days
  lag:    146
  drop:   0
  t:      7/12
  nu0:    8.92
  theta:  1.01
  convo:  7
  beta.a: -0.41 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-8m:
  symbol: dji
  period: 8m
  ts.on:  days
  lag:    167
  drop:   0
  t:      8/12
  nu0:    9.62
  theta:  1.01
  convo:  8
  beta.a: -0.34 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-9m:
  symbol: dji
  period: 9m
  ts.on:  days
  lag:    187
  drop:   0
  t:      3/4
  nu0:    9.62
  theta:  1.01
  convo:  8
  beta.a: -0.34 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-10m:
  symbol: dji
  period: 10m
  ts.on:  days
  lag:    208
  drop:   0
  t:      10/12
  nu0:    9.62
  theta:  1.01
  convo:  8
  beta.a: -0.34 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-11m:
  symbol: dji
  period: 11m
  ts.on:  days
  lag:    229
  drop:   0
  t:      11/12
  nu0:    9.62
  theta:  1.01
  convo:  9
  beta.a: -0.34 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-12m:
  symbol: dji
  period: 12m
  ts.on:  days
  lag:    252
  drop:   0
  t:      1
  nu0:    9.62
  theta:  0.95
  convo:  10
  beta.a: -0.26 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-13m:
  symbol: dji
  period: 13m
  ts.on:  days
  lag:    271
  drop:   0
  t:      13/12
  nu0:    9.62
  theta:  0.95
  convo:  11
  beta.a: -0.26 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

dji-14m:
  symbol: dji
  period: 14m
  ts.on:  days
  lag:    292
  drop:   0
  t:      14/12
  nu0:    9.62
  theta:  0.95
  convo:  11
  beta.a: -0.26 # annualized beta
  mu.add: 0
  breaks: 100
  start.date: 1928-10-01
  end.date: 2015-12-31

#############################################################

gold-1d:
  symbol: gold
  period: 1d
  ts.on:  days
  lag:    1
  drop:   2
  t:      1/252
  nu0:    4.82
  theta:  2.21
  convo:  2
  beta.a: 0.25 # annualized beta
  mu.add: 0
  breaks: 200

gold-2d:
  symbol: gold
  period: 2d
  ts.on:  days
  lag:    2
  drop:   2
  t:      2/252
  nu0:    4.80
  theta:  2.16
  convo:  2
  beta.a: 1.15 # annualized beta
  mu.add: 0
  breaks: 200

gold-3d:
  symbol: gold
  period: 3d
  ts.on:  days
  lag:    3
  drop:   2
  t:      3/252
  nu0:    5.70
  theta:  2.06
  convo:  2
  beta.a: 1.15 # annualized beta
  mu.add: 0
  breaks: 200

gold-4d:
  symbol: gold
  period: 4d
  ts.on:  days
  lag:    4
  drop:   2
  t:      4/252
  nu0:    7.80
  theta:  1.76
  convo:  2
  beta.a: 0.65 # annualized beta
  mu.add: 0
  breaks: 150

gold-5d:
  symbol: gold
  period: 5d
  ts.on:  days
  lag:    5
  drop:   2
  t:      5/252
  nu0:    7.70
  theta:  1.76
  convo:  2
  beta.a: 0.77 # annualized beta
  mu.add: 0
  breaks: 150

gold-2w:
  symbol: gold
  period: 2w
  ts.on:  days
  lag:    10
  drop:   2
  t:      2/52
  nu0:    6.70
  theta:  1.91
  convo:  3
  beta.a: 0.75 # annualized beta
  mu.add: 0
  breaks: 150

gold-3w:
  symbol: gold
  period: 3w
  ts.on:  days
  lag:    15
  drop:   1
  t:      3/52
  nu0:    6.91
  theta:  1.91
  convo:  3
  beta.a: 0.91 # annualized beta
  mu.add: 0
  breaks: 150

gold-1m:
  symbol: gold
  period: 1m
  ts.on:  days
  lag:    21
  drop:   0
  t:      1/12
  nu0:    7.12
  theta:  1.91
  convo:  3
  beta.a: 0.89 # annualized beta
  mu.add: 0
  breaks: 150

gold-6w:
  symbol: gold
  period: 6w
  ts.on:  days
  lag:    31
  drop:   0
  t:      6/52
  nu0:    7.56
  theta:  1.95
  convo:  3
  beta.a: 0.89 # annualized beta
  mu.add: 0
  breaks: 150

gold-2m:
  symbol: gold
  period: 2m
  ts.on:  days
  lag:    42
  drop:   0
  t:      2/12
  nu0:    7.16
  theta:  1.94
  convo:  3
  beta.a: 0.82 # annualized beta
  mu.add: 0
  breaks: 150

gold-3m:
  symbol: gold
  period: 3m
  ts.on:  days
  lag:    63
  drop:   0
  t:      1/4
  nu0:    6.71
  theta:  2.04
  convo:  4
  beta.a: 0.69 # annualized beta
  mu.add: 0
  breaks: 150

gold-4m:
  symbol: gold
  period: 4m
  ts.on:  days
  lag:    83
  drop:   0
  t:      4/12
  nu0:    7.11
  theta:  1.94
  convo:  4
  beta.a: 0.69 # annualized beta
  mu.add: 0
  breaks: 150

gold-5m:
  symbol: gold
  period: 5m
  ts.on:  days
  lag:    104
  drop:   0
  t:      5/12
  nu0:    7.81
  theta:  1.78
  convo:  4
  beta.a: 0.59 # annualized beta
  mu.add: 0
  breaks: 150

gold-6m:
  symbol: gold
  period: 6m
  ts.on:  days
  lag:    125
  drop:   0
  t:      2/4
  nu0:    8.61
  theta:  1.84
  convo:  4
  beta.a: 0.61 # annualized beta
  mu.add: 0
  breaks: 150

gold-7m:
  symbol: gold
  period: 7m
  ts.on:  days
  lag:    146
  drop:   0
  t:      7/12
  nu0:    9.01
  theta:  1.74
  convo:  5
  beta.a: 0.51 # annualized beta
  mu.add: 0
  breaks: 150

gold-8m:
  symbol: gold
  period: 8m
  ts.on:  days
  lag:    167
  drop:   0
  t:      8/12
  nu0:    9.01
  theta:  1.74
  convo:  5
  beta.a: 0.41 # annualized beta
  mu.add: 0
  breaks: 100

gold-9m:
  symbol: gold
  period: 9m
  ts.on:  days
  lag:    188
  drop:   0
  t:      3/4
  nu0:    8.91
  theta:  1.74
  convo:  5
  beta.a: 0.31 # annualized beta
  mu.add: 0
  breaks: 100

gold-10m:
  symbol: gold
  period: 10m
  ts.on:  days
  lag:    208
  drop:   0
  t:      10/12
  nu0:    9.41
  theta:  1.84
  convo:  5
  beta.a: 0.31 # annualized beta
  mu.add: 0
  breaks: 100

gold-11m:
  symbol: gold
  period: 11m
  ts.on:  days
  lag:    229
  drop:   0
  t:      11/12
  nu0:    10.51
  theta:  1.69
  convo:  6
  beta.a: 0.34 # annualized beta
  mu.add: 0
  breaks: 100

gold-12m:
  symbol: gold
  period: 12m
  ts.on:  days
  lag:    252
  drop:   0
  t:      1
  nu0:    11.51
  theta:  1.54
  convo:  6
  beta.a: 0.39 # annualized beta
  mu.add: 0
  breaks: 100

gold-13m:
  symbol: gold
  period: 13m
  ts.on:  days
  lag:    271
  drop:   0
  t:      13/12
  nu0:    11.51
  theta:  1.63
  convo:  6
  beta.a: 0.37 # annualized beta
  mu.add: 0
  breaks: 100

gold-14m:
  symbol: gold
  period: 14m
  ts.on:  days
  lag:    292
  drop:   0
  t:      14/12
  nu0:    11.91
  theta:  1.70
  convo:  6
  beta.a: 0.39 # annualized beta
  mu.add: 0
  breaks: 100

#############################################################

wti-1d:
  symbol: wti
  period: 1d
  ts.on:  days
  lag:    1
  drop:   1
  t:      1/252
  nu0:    16.22
  theta:  3.42
  convo:  3
  beta.a: -0.98 # annualized beta
  mu.add: 0
  breaks: 100

wti-1m:
  symbol: wti
  period: 1m
  ts.on:  days
  lag:    21
  drop:   0
  t:      1/12
  nu0:    18.52
  theta:  2.75
  convo:  10
  beta.a: -0.35 # annualized beta
  mu.add: 0
  breaks: 80

#############################################################

r10y-1d:
  symbol: r10y
  period: 1d
  ts.on:  days
  lag:    1
  drop:   0
  t:      1/252
  nu0:    2.22
  theta:  2.17
  convo:  3
  beta.a: -1.21 # annualized beta
  mu.add: 0
  breaks: 150

#############################################################
