PCA analysis of Futures returns for fun and profit, part deux

In my previous post I discussed what would happen if you did the crazy thing of doing a PCA on the whole universe of futures across assets, rather than just within US equities or bonds like The Man would want you to. In this post I explore how we could do something useful with them. There is some messy code here , to run all of it you'll need psystemtrade , but you can exploit big chunks with your…