******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221021_204302 produced at 2022-10-21 21:34:53.038151 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 US10U False False 0.04 -0.08 -0.26 0.0 37743239.64 -37743239.64 -0.08 -0.04 -6.92 999999999 -2 -1 caleb_strategy_v1 JPY False False 0.03 -0.11 -0.19 0.0 27582033.36 -27582033.36 -0.11 -0.14 -6.87 999999999 -4 -5 caleb_strategy_v1 US20 False False 0.04 -0.08 -0.14 0.0 39198660.92 -39198660.92 -0.08 -0.08 -3.50 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.03 -0.24 -0.14 0.0 34942967.94 -34942967.94 -0.24 -0.24 -4.04 999999999 -7 -7 caleb_strategy_v1 CHF False False 0.04 -0.04 -0.13 0.0 41442992.54 -41442992.54 -0.04 -0.04 -3.07 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.04 -0.21 -0.13 0.0 41183793.84 -41183793.84 -0.21 -0.29 -3.08 999999999 -5 -7 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 36138676.24 -36138676.24 0.00 0.00 -3.33 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.08 0.0 20064448.13 -20064448.13 -0.04 -0.04 -4.10 999999999 -2 -2 caleb_strategy_v1 VIX False False 0.01 0.00 -0.07 0.0 9824865.10 -9824865.10 0.00 -0.01 -7.44 999999999 0 -1 caleb_strategy_v1 BUXL False False 0.04 -0.04 -0.07 0.0 43587582.86 -43587582.86 -0.04 -0.04 -1.71 999999999 -1 -1 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.06 0.0 29651508.71 -29651508.71 -0.06 -0.06 -1.98 999999999 -2 -2 caleb_strategy_v1 EUR False False 0.04 -0.08 -0.05 0.0 40729167.55 -40729167.55 -0.08 -0.08 -1.18 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 25752161.48 -25752161.48 0.00 -0.03 -2.04 999999999 0 -1 caleb_strategy_v1 CAD False False 0.02 -0.05 -0.04 0.0 24107947.89 -24107947.89 -0.05 -0.05 -1.51 999999999 -2 -2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.03 0.0 21002500.58 -21002500.58 0.00 0.00 -1.33 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 5460781.81 -5460781.81 -0.01 -0.01 -6.30 999999999 -2 -2 caleb_strategy_v1 NASDAQ False False 0.07 -0.07 -0.03 0.0 74476427.19 -74476427.19 -0.07 0.00 -0.40 999999999 -1 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 2871592.48 -2871592.48 -0.01 -0.02 -8.23 999999999 -2 -7 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 76196190.01 -76196190.01 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14568612.79 -14568612.79 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 18942076.61 -18942076.61 0.00 0.00 -0.68 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7603161.94 -7603161.94 0.00 0.00 -0.73 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 18932202.37 -18932202.37 0.00 -0.02 -0.58 999999999 0 -1 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 61849747.54 -61849747.54 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5107942.43 -5107942.43 0.00 -0.03 -2.19 999999999 0 -6 caleb_strategy_v1 DAX False False 0.00 0.00 -0.01 0.0 4124897.23 -4124897.23 0.00 0.00 -2.21 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.00 0.0 66289039.60 -66289039.60 0.00 0.00 -0.04 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15568379.21 -15568379.21 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 9777962.48 -9777962.48 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 13066906.02 -13066906.02 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4204459.15 -4204459.15 0.00 0.00 0.63 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 23321711.83 -23321711.83 0.00 0.00 0.10 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 -0.00 0.0 18313218.39 -18313218.39 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 -0.00 0.0 11239484.47 -11239484.47 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 628495.14 -628495.14 0.00 0.00 7.84 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6592698.43 -6592698.43 0.00 0.00 -0.01 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 28569456.99 -28569456.99 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.00 0.01 0.0 23262054.98 -23262054.98 0.00 0.02 0.24 999999999 0 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 13116935.48 -13116935.48 0.00 0.01 0.77 999999999 0 1 caleb_strategy_v1 CRUDE_W False False 0.02 0.02 0.01 0.0 24679007.89 -24679007.89 0.02 0.02 0.59 999999999 1 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 15490208.17 -15490208.17 0.00 0.00 0.52 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.00 0.01 0.0 10265091.47 -10265091.47 0.00 0.02 0.63 999999999 0 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15387351.55 -15387351.55 0.00 0.00 0.57 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 6771882.90 -6771882.90 0.00 0.01 2.42 999999999 0 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.02 0.0 8169284.82 -8169284.82 0.00 0.00 2.77 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 0.03 0.0 33137344.52 -33137344.52 0.00 0.00 0.98 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.03 0.0 41680022.96 -41680022.96 0.00 0.00 0.68 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.07 0.03 0.0 35445872.73 -35445872.73 0.07 0.07 0.86 999999999 2 2 caleb_strategy_v1 HEATOIL False False 0.05 0.09 0.04 0.0 47421612.22 -47421612.22 0.09 0.09 0.88 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 32922349.48 -32922349.48 0.00 0.00 1.27 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.05 0.05 0.0 13208436.74 -13208436.74 0.05 0.07 3.64 999999999 4 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 22352802.39 -22352802.39 0.02 0.02 3.28 999999999 1 1 caleb_strategy_v1 LEANHOG False False 0.01 0.02 0.07 0.0 11895163.31 -11895163.31 0.02 0.04 5.83 999999999 2 3 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.07 0.0 5686228.07 -5686228.07 0.00 0.06 12.33 999999999 0 11 caleb_strategy_v1 BUND False False 0.04 0.00 0.13 0.0 43581149.27 -43581149.27 0.00 0.00 2.98 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.15 0.33 0.0 38144764.40 -38144764.40 0.15 0.15 8.55 999999999 4 4 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 11.5 Shocked risk 20.7 Sum abs risk 40.8 Leverage 2.76 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3038209.65, 'annual_cash_vol_target': 759552.4125, 'daily_cash_vol_target': 47472.02578125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0059 0.6381 0.9267 14.8278 BITCOIN 688.7718 19095.0000 3.6071 57.7133 BOBL 0.3946 118.5800 0.3328 5.3246 BTP 0.9684 110.1900 0.8788 14.0615 BUND 0.8298 135.4800 0.6125 9.7993 BUXL 2.2258 135.5000 1.6427 26.2825 CAC 69.6113 5693.0000 1.2228 19.5640 CAD 0.0048 0.7324 0.6517 10.4265 CANOLA 8.6924 880.6000 0.9871 15.7935 CHF 0.0064 1.0073 0.6402 10.2435 COCOA 33.7326 2310.0000 1.4603 23.3646 COFFEE 0.0368 1.8895 1.9491 31.1860 COPPER 0.0521 3.4720 1.5019 24.0299 CORN 6.2077 623.7500 0.9952 15.9235 COTTON2 0.0216 0.7940 2.7172 43.4752 CRUDE_W 1.7717 74.9800 2.3629 37.8065 DAX 148.7657 12823.0000 1.1601 18.5624 DOW 375.9076 31038.0000 1.2111 19.3779 EUR 0.0072 0.9900 0.7284 11.6548 EUROSTX 42.2005 3494.0000 1.2078 19.3248 FEEDCOW 1.4363 180.1750 0.7972 12.7548 FTSE100 62.9071 6996.0000 0.8992 14.3870 GASOIL 25.6611 1000.2500 2.5655 41.0476 GASOILINE 0.0530 2.3971 2.2124 35.3991 GAS_US 0.2128 5.7520 3.6987 59.1798 GBP 0.0113 1.1308 1.0009 16.0138 GOLD_micro 15.8118 1659.1000 0.9530 15.2485 HEATOIL 0.0733 3.4304 2.1381 34.2099 JPY 0.0000 0.0067 0.6096 9.7530 LEANHOG 1.4725 90.3500 1.6298 26.0761 LIVECOW 0.9119 152.4000 0.5984 9.5738 MXP 0.0003 0.0496 0.6606 10.5694 NASDAQ 187.9979 11313.7500 1.6617 26.5868 NIKKEI 285.3658 25975.0000 1.0986 17.5779 NZD 0.0055 0.5755 0.9637 15.4191 OAT 0.8217 129.5700 0.6341 10.1463 OJ 0.0366 1.9805 1.8456 29.5290 PALLAD 49.0921 2014.0000 2.4375 39.0007 PLAT 18.1766 935.0000 1.9440 31.1044 REDWHEAT 17.8871 946.0000 1.8908 30.2531 ROBUSTA 26.1118 2003.0000 1.3036 20.8582 RUSSELL 28.9662 1744.9000 1.6601 26.5608 SILVER-mini 0.4273 18.8250 2.2700 36.3195 SOYBEAN 12.9887 1358.2500 0.9563 15.3005 SOYMEAL 5.5543 401.3000 1.3841 22.1452 SOYOIL 0.9774 66.4200 1.4716 23.5449 SP400 35.5818 2315.0000 1.5370 24.5921 SP500 53.3825 3758.2500 1.4204 22.7265 SUGAR11 0.0022 0.1837 1.2136 19.4181 US10 0.5462 109.7969 0.4974 7.9589 US10U 0.7422 114.6719 0.6473 10.3561 US20 1.0027 119.0938 0.8420 13.4715 US30 1.4612 125.1250 1.1678 18.6851 US5 0.3664 106.1641 0.3452 5.5227 VIX 0.6282 29.8500 2.1044 33.6709 WHEAT 15.1399 885.2500 1.7102 27.3638 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 638.10 0.93 591.35 1.00 591.35 47472.03 80.28 -10.40 -83.46 BITCOIN 19.10 3.61 68.88 1.00 68.88 47472.03 689.23 4.83 332.92 BOBL 1185.80 0.33 394.62 0.98 386.15 47472.03 122.94 9.64 118.55 BTP 1101.90 0.88 968.40 0.98 947.62 47472.03 50.10 8.46 42.38 BUND 1354.80 0.61 829.75 0.98 811.95 47472.03 58.47 7.06 41.25 BUXL 1355.00 1.64 2225.80 0.98 2178.04 47472.03 21.80 -9.37 -20.42 CAC 569.30 1.22 696.11 0.98 681.77 47472.03 69.63 -1.09 -7.62 CAD 732.45 0.65 477.30 1.00 477.30 47472.03 99.46 -8.51 -84.62 CANOLA 176.12 0.99 173.85 0.73 126.30 47472.03 375.88 1.83 68.87 CHF 1259.13 0.64 806.12 1.00 806.12 47472.03 58.89 -13.95 -82.13 COCOA 231.00 1.46 337.33 1.00 337.33 47472.03 140.73 -2.40 -33.73 COFFEE 708.56 1.95 1381.08 1.00 1381.08 47472.03 34.37 2.28 7.85 COPPER 868.00 1.50 1303.62 1.00 1303.62 47472.03 36.42 2.44 8.88 CORN 311.88 1.00 310.38 1.00 310.38 47472.03 152.95 4.59 70.26 COTTON2 397.00 2.72 1078.73 1.00 1078.73 47472.03 44.01 -4.32 -19.03 CRUDE_W 749.80 2.36 1771.70 1.00 1771.70 47472.03 26.79 1.65 4.43 DAX 128.23 1.16 148.77 0.98 145.57 47472.03 326.10 -1.25 -40.75 DOW 155.19 1.21 187.95 1.00 187.95 47472.03 252.57 -3.04 -76.88 EUR 1237.44 0.73 901.38 1.00 901.38 47472.03 52.67 -5.98 -31.47 EUROSTX 349.40 1.21 422.01 0.98 412.95 47472.03 114.96 -0.49 -5.59 FEEDCOW 900.88 0.80 718.15 1.00 718.15 47472.03 66.10 -11.15 -73.69 FTSE100 699.60 0.90 629.07 1.12 706.99 47472.03 67.15 -2.94 -19.77 GASOIL 1000.25 2.57 2566.11 1.00 2566.11 47472.03 18.50 9.64 17.84 GASOILINE 1006.78 2.21 2227.45 1.00 2227.45 47472.03 21.31 11.20 23.87 GAS_US 575.20 3.70 2127.51 1.00 2127.51 47472.03 22.31 -17.35 -38.71 GBP 706.75 1.00 707.36 1.00 707.36 47472.03 67.11 2.01 13.49 GOLD_micro 165.91 0.95 158.12 1.00 158.12 47472.03 300.23 -9.38 -281.48 HEATOIL 1440.77 2.14 3080.53 1.00 3080.53 47472.03 15.41 8.03 12.37 JPY 838.00 0.61 510.81 1.00 510.81 47472.03 92.93 -11.42 -106.12 LEANHOG 361.40 1.63 588.99 1.00 588.99 47472.03 80.60 15.49 124.85 LIVECOW 609.60 0.60 364.76 1.00 364.76 47472.03 130.14 -11.72 -152.57 MXP 248.20 0.66 163.96 1.00 163.96 47472.03 289.54 7.82 226.41 NASDAQ 2262.75 1.66 3759.96 1.00 3759.96 47472.03 12.63 -5.85 -7.39 NIKKEI 25975.00 1.10 28536.58 0.01 197.63 47472.03 240.20 2.70 64.90 NZD 575.50 0.96 554.61 1.00 554.61 47472.03 85.60 -4.95 -42.38 OAT 1295.70 0.63 821.66 0.98 804.03 47472.03 59.04 5.70 33.67 OJ 297.08 1.85 548.27 1.00 548.27 47472.03 86.58 1.16 10.02 PALLAD 2014.00 2.44 4909.21 1.00 4909.21 47472.03 9.67 -1.81 -1.75 PLAT 467.50 1.94 908.83 1.00 908.83 47472.03 52.23 4.50 23.53 REDWHEAT 473.00 1.89 894.36 1.00 894.36 47472.03 53.08 -7.12 -37.82 ROBUSTA 200.30 1.30 261.12 1.00 261.12 47472.03 181.80 -0.05 -0.83 RUSSELL 87.24 1.66 144.83 1.00 144.83 47472.03 327.77 -4.85 -158.85 SILVER-mini 470.62 2.27 1068.30 1.00 1068.30 47472.03 44.44 5.26 23.36 SOYBEAN 679.12 0.96 649.44 1.00 649.44 47472.03 73.10 7.61 55.64 SOYMEAL 401.30 1.38 555.43 1.00 555.43 47472.03 85.47 7.23 61.81 SOYOIL 398.52 1.47 586.44 1.00 586.44 47472.03 80.95 10.30 83.36 SP400 2315.00 1.54 3558.18 1.00 3558.18 47472.03 13.34 -4.56 -6.08 SP500 1879.12 1.42 2669.13 1.00 2669.13 47472.03 17.79 -4.51 -8.01 SUGAR11 205.74 1.21 249.70 1.00 249.70 47472.03 190.12 9.38 178.35 US10 1097.97 0.50 546.17 1.00 546.17 47472.03 86.92 -9.99 -86.87 US10U 1146.72 0.65 742.22 1.00 742.22 47472.03 63.96 -7.42 -47.46 US20 1190.94 0.84 1002.73 1.00 1002.73 47472.03 47.34 -10.02 -47.44 US30 1251.25 1.17 1461.23 1.00 1461.23 47472.03 32.49 -11.30 -36.71 US5 1061.64 0.35 366.44 1.00 366.44 47472.03 129.55 -8.12 -105.22 VIX 298.50 2.10 628.17 1.00 628.17 47472.03 75.57 -5.23 -39.50 WHEAT 442.62 1.71 756.99 1.00 756.99 47472.03 62.71 -10.47 -65.63 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -83.462 0.006 2.5 -1.334 BITCOIN 332.920 0.009 2.5 7.844 BOBL 118.545 0.029 2.5 8.554 BTP 42.381 0.008 2.5 0.856 BUND 41.250 0.029 2.5 2.976 BUXL -20.422 0.034 2.5 -1.714 CAC -7.622 0.011 2.5 -0.214 CAD -84.622 0.007 2.5 -1.511 CANOLA 68.871 0.004 2.5 0.632 CHF -82.130 0.015 2.5 -3.074 COCOA -33.734 0.009 2.5 -0.735 COFFEE 7.846 0.005 2.5 0.102 COPPER 8.877 0.011 2.5 0.243 CORN 70.260 0.004 2.5 0.634 COTTON2 -19.033 0.006 2.5 -0.287 CRUDE_W 4.430 0.053 2.5 0.585 DAX -40.751 0.022 2.5 -2.213 DOW -76.880 0.011 2.5 -2.191 EUR -31.471 0.015 2.5 -1.178 EUROSTX -5.591 0.011 2.5 -0.157 FEEDCOW -73.687 0.011 2.5 -1.980 FTSE100 -19.768 0.041 2.5 -2.038 GASOIL 17.842 0.029 2.5 1.273 GASOILINE 23.874 0.016 2.5 0.980 GAS_US -38.710 0.006 2.5 -0.583 GBP 13.494 0.007 2.5 0.241 GOLD_micro -281.476 0.009 2.5 -6.298 HEATOIL 12.368 0.029 2.5 0.882 JPY -106.120 0.026 2.5 -6.869 LEANHOG 124.849 0.019 2.5 5.833 LIVECOW -152.570 0.011 2.5 -4.100 MXP 226.412 0.005 2.5 2.772 NASDAQ -7.388 0.022 2.5 -0.401 NIKKEI 64.896 0.076 2.5 12.326 NZD -42.377 0.006 2.5 -0.677 OAT 33.668 0.008 2.5 0.680 OJ 10.018 0.007 2.5 0.175 PALLAD -1.749 0.010 2.5 -0.042 PLAT 23.531 0.010 2.5 0.566 REDWHEAT -37.816 0.002 2.5 -0.202 ROBUSTA -0.825 0.005 2.5 -0.011 RUSSELL -158.848 0.021 2.5 -8.228 SILVER-mini 23.358 0.009 2.5 0.523 SOYBEAN 55.639 0.024 2.5 3.281 SOYMEAL 61.810 0.024 2.5 3.644 SOYOIL 83.356 0.004 2.5 0.765 SP400 -6.080 0.021 2.5 -0.315 SP500 -8.013 0.011 2.5 -0.228 SUGAR11 178.346 0.005 2.5 2.420 US10 -86.871 0.015 2.5 -3.333 US10U -47.461 0.058 2.5 -6.915 US20 -47.444 0.029 2.5 -3.497 US30 -36.712 0.034 2.5 -3.082 US5 -105.223 0.015 2.5 -4.037 VIX -39.505 0.075 2.5 -7.445 WHEAT -65.628 0.002 2.5 -0.350 ==================== Position diags ==================== AUD 1.28 BITCOIN 16.24 BOBL 8.87 BTP 1.01 BUND 4.22 BUXL 1.83 CAC 1.96 CAD 1.78 CANOLA 3.45 CHF 2.20 COCOA 3.07 COFFEE 0.45 COPPER 1.00 CORN 1.38 COTTON2 0.66 CRUDE_W 3.54 DAX 17.71 DOW 7.20 EUR 1.97 EUROSTX 3.23 FEEDCOW 1.78 FTSE100 6.92 GASOIL 1.32 GASOILINE 0.88 GAS_US 0.34 GBP 1.20 GOLD_micro 6.72 HEATOIL 1.10 JPY 6.02 LEANHOG 3.77 LIVECOW 3.50 MXP 3.54 NASDAQ 0.69 NIKKEI 45.62 NZD 1.37 OAT 1.19 OJ 1.51 PALLAD 0.23 PLAT 1.26 REDWHEAT 0.28 ROBUSTA 2.36 RUSSELL 16.98 SILVER-mini 0.99 SOYBEAN 4.31 SOYMEAL 5.04 SOYOIL 0.74 SP400 0.69 SP500 0.51 SUGAR11 2.58 US10 3.33 US10U 9.32 US20 3.49 US30 2.73 US5 4.97 VIX 14.24 WHEAT 0.33 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.5 -1.2 NaN 0 BITCOIN 7.8 7.1 8.6 NaN 0 BOBL 8.6 7.7 9.4 4.0 4 BTP 0.9 0.8 0.9 2.0 2 BUND 3.0 2.7 3.3 NaN 0 BUXL -1.7 -1.9 -1.5 -1.0 -1 CAC -0.2 -0.2 -0.2 NaN 0 CAD -1.5 -1.7 -1.4 -2.0 -2 CANOLA 0.6 0.6 0.7 NaN 0 CHF -3.1 -3.4 -2.8 -1.0 -1 COCOA -0.7 -0.8 -0.7 NaN 0 COFFEE 0.1 0.1 0.1 NaN 0 COPPER 0.2 0.2 0.3 NaN 0 CORN 0.6 0.6 0.7 NaN 0 COTTON2 -0.3 -0.3 -0.3 NaN 0 CRUDE_W 0.6 0.5 0.6 1.0 1 DAX -2.2 -2.4 -2.0 NaN 0 DOW -2.2 -2.4 -2.0 NaN 0 EUR -1.2 -1.3 -1.1 -2.0 -2 EUROSTX -0.2 -0.2 -0.1 NaN 0 FEEDCOW -2.0 -2.2 -1.8 -2.0 -2 FTSE100 -2.0 -2.2 -1.8 NaN 0 GASOIL 1.3 1.1 1.4 NaN 0 GASOILINE 1.0 0.9 1.1 NaN 0 GAS_US -0.6 -0.6 -0.5 NaN 0 GBP 0.2 0.2 0.3 NaN 0 GOLD_micro -6.3 -6.9 -5.7 -2.0 -2 HEATOIL 0.9 0.8 1.0 2.0 2 JPY -6.9 -7.6 -6.2 -4.0 -4 LEANHOG 5.8 5.2 6.4 2.0 2 LIVECOW -4.1 -4.5 -3.7 -2.0 -2 MXP 2.8 2.5 3.0 NaN 0 NASDAQ -0.4 -0.4 -0.4 -1.0 -1 NIKKEI 12.3 11.1 13.6 NaN 0 NZD -0.7 -0.7 -0.6 NaN 0 OAT 0.7 0.6 0.7 NaN 0 OJ 0.2 0.2 0.2 NaN 0 PALLAD -0.0 -0.0 -0.0 NaN 0 PLAT 0.6 0.5 0.6 NaN 0 REDWHEAT -0.2 -0.2 -0.2 NaN 0 ROBUSTA -0.0 -0.0 -0.0 NaN 0 RUSSELL -8.2 -9.1 -7.4 -2.0 -2 SILVER-mini 0.5 0.5 0.6 NaN 0 SOYBEAN 3.3 3.0 3.6 1.0 1 SOYMEAL 3.6 3.3 4.0 4.0 4 SOYOIL 0.8 0.7 0.8 NaN 0 SP400 -0.3 -0.3 -0.3 NaN 0 SP500 -0.2 -0.3 -0.2 NaN 0 SUGAR11 2.4 2.2 2.7 NaN 0 US10 -3.3 -3.7 -3.0 NaN 0 US10U -6.9 -7.6 -6.2 -2.0 -2 US20 -3.5 -3.8 -3.1 -2.0 -2 US30 -3.1 -3.4 -2.8 -5.0 -5 US5 -4.0 -4.4 -3.6 -7.0 -7 VIX -7.4 -8.2 -6.7 NaN 0 WHEAT -0.4 -0.4 -0.3 NaN 0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -0.1 -0.3 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -1.2 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.0 BITCOIN 0.0 0.1 -0.2 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.3 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 4.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.1 0.1 0.1 0.0 BOBL 0.1 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 1.6 0.7 0.4 0.4 -0.2 -0.2 -0.0 -0.2 -0.0 1.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 0.0 0.2 -0.0 -0.0 BTP 0.0 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 1.6 0.5 0.4 0.4 -0.2 -0.2 -0.0 -0.2 -0.0 1.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 2.3 0.3 0.2 0.1 -0.0 BUND 0.0 -0.3 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.4 1.2 0.7 0.4 0.4 -0.2 -0.2 -0.0 -0.3 -0.0 1.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 0.0 0.1 -0.1 -0.0 BUXL -0.1 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.4 0.6 -0.2 0.1 -0.0 -0.2 -0.2 -0.0 -0.3 -0.0 0.8 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.2 -0.1 -0.2 -0.1 0.0 CAC -0.2 -0.3 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.1 -0.0 -0.2 -0.1 -0.2 -0.1 -0.2 0.1 0.2 0.1 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 1.2 0.0 0.1 -0.0 0.0 CAD 0.0 -0.2 -0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -0.1 -0.0 -0.0 -0.0 -0.2 -0.2 -0.0 -0.1 -0.0 -1.2 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.2 0.0 -0.0 -0.1 -0.1 CANOLA 0.0 0.1 -0.3 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.2 0.0 0.0 0.0 0.0 -0.3 0.4 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.7 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 0.2 0.2 0.1 CHF -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -0.8 -0.4 -0.2 -0.2 -0.2 -0.2 -0.0 -0.1 -0.0 -0.4 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -2.1 -0.1 -0.1 0.1 0.1 COCOA 0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.3 0.0 -0.3 -0.0 -0.1 0.1 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 2.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.4 -0.1 0.3 0.0 0.1 COFFEE -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 1.0 0.2 0.2 0.2 -0.2 -0.1 -0.0 0.0 -0.0 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.4 -0.3 -0.0 COPPER 0.1 0.1 -0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.2 0.1 0.0 0.0 0.0 -0.1 -0.2 -0.0 -0.2 -0.0 2.5 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.3 0.3 0.0 -0.1 -0.1 CORN 0.0 0.3 0.2 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 0.0 0.0 0.1 0.0 0.3 1.2 0.5 0.2 0.2 0.1 0.1 -0.0 0.2 0.0 -3.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 1.0 0.0 0.2 0.3 0.3 COTTON2 -0.0 -0.2 -0.9 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.1 0.4 0.7 0.2 0.3 -0.0 -0.1 -0.0 0.0 -0.0 -3.8 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.0 -0.3 -0.6 -0.3 CRUDE_W 0.2 -0.1 -0.3 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.0 -0.2 0.0 0.1 0.0 -0.1 0.5 0.6 0.2 0.3 -0.0 -0.0 0.0 0.1 0.0 1.6 -0.0 -0.0 -0.0 0.0 0.0 0.1 0.0 -2.7 0.0 0.1 0.1 0.2 DAX 0.2 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.2 0.0 0.6 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.1 0.3 0.3 -0.0 DOW 0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 0.0 -0.2 -0.0 -0.2 -0.3 -0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.3 0.3 0.0 0.1 EUR 0.1 0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -0.5 -0.3 -0.2 -0.2 -0.2 -0.3 0.0 -0.3 -0.0 1.4 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -1.4 0.1 0.3 0.3 -0.1 EUROSTX 0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.2 -0.0 0.1 0.0 0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.8 0.0 0.2 0.2 0.1 FEEDCOW -0.0 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.7 -0.8 -0.3 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 0.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -2.7 0.0 0.0 -0.3 0.1 FTSE100 -0.1 -0.3 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 -0.0 0.1 -0.1 -0.3 -0.1 0.2 -0.0 0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.8 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.9 -0.2 -0.1 0.2 0.1 GASOIL 0.2 -0.1 -0.3 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.1 0.2 0.0 0.3 0.0 0.1 1.7 0.9 0.4 0.4 0.1 0.1 0.0 0.2 0.0 -0.6 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.4 0.2 0.2 GASOILINE 0.2 -0.1 -0.3 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.0 -0.1 0.0 0.1 0.0 -0.2 1.7 0.9 0.4 0.4 -0.1 -0.0 0.0 0.1 0.0 0.3 -0.0 -0.0 -0.0 0.0 0.0 0.1 0.0 1.7 0.0 0.1 0.1 0.1 GAS_US -0.2 -0.3 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.2 -1.6 -0.4 -0.4 -0.3 -0.2 -0.1 -0.0 0.1 -0.0 -1.2 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.3 -0.4 -0.2 0.3 GBP 0.2 0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 0.0 -0.4 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.2 -0.2 0.0 -0.2 -0.0 2.7 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.1 0.3 -0.0 -0.2 GOLD_micro 0.1 -0.0 -0.2 -0.1 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.4 -0.0 -0.3 -0.0 -0.3 -0.8 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -1.4 -0.1 -0.1 -0.2 -0.2 HEATOIL 0.3 -0.2 -0.4 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.0 0.1 0.0 0.3 0.0 0.0 1.7 0.9 0.5 0.5 0.1 0.1 0.0 0.2 0.0 -1.5 -0.0 0.0 -0.0 0.1 0.0 0.2 0.0 0.4 0.0 0.3 0.1 0.3 JPY -0.2 -0.3 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 -0.1 -0.4 -0.1 -0.4 -1.1 -0.4 -0.3 -0.2 -0.2 -0.2 -0.0 -0.3 -0.0 2.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -1.8 -0.2 -0.2 -0.1 -0.1 LEANHOG 0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.2 0.0 -0.0 0.0 0.0 1.6 0.8 0.4 0.4 0.0 -0.0 0.0 0.0 0.0 1.1 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 2.7 0.1 0.3 0.0 0.1 LIVECOW 0.0 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -1.6 -0.8 -0.4 -0.4 0.0 0.0 0.0 -0.0 0.0 -0.4 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.8 0.0 0.4 0.0 0.3 MXP 0.0 0.0 0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.0 0.3 0.0 0.3 0.0 0.3 1.3 0.8 0.3 0.4 0.1 0.1 0.0 0.1 0.0 -3.6 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 2.2 0.0 0.4 0.3 0.3 NASDAQ -0.0 -0.3 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.3 -0.0 -0.3 -0.1 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.2 -0.0 0.9 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.4 -0.1 -0.1 -0.1 -0.0 NIKKEI -0.2 -0.2 0.1 -0.1 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 0.4 0.4 0.2 0.2 -0.1 -0.0 -0.0 0.0 -0.0 -1.8 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 2.6 0.1 0.2 0.1 0.1 NZD 0.0 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 0.0 -0.4 -0.0 -0.3 -0.1 0.0 -0.0 0.0 -0.2 -0.2 0.0 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.5 0.0 0.0 -0.1 -0.1 OAT -0.0 -0.3 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 1.4 0.4 0.3 0.3 -0.2 -0.2 -0.0 -0.2 -0.0 1.8 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 1.7 0.0 0.0 -0.1 -0.0 OJ 0.0 0.3 0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.4 0.4 0.3 0.3 0.1 0.1 0.0 0.1 0.0 -5.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.4 0.0 0.5 0.3 0.3 PALLAD -0.1 0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 0.2 0.3 PLAT 0.1 0.2 0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.3 0.0 0.1 0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 1.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.0 0.2 0.2 0.1 REDWHEAT 0.0 0.3 -0.2 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.0 0.1 0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -2.2 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -1.8 0.0 0.2 0.3 0.1 ROBUSTA -0.2 -0.2 0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.1 -0.0 0.7 0.2 0.1 0.1 -0.1 0.0 -0.0 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.4 -0.3 0.2 RUSSELL 0.1 -0.2 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.1 0.1 0.2 SILVER-mini 0.1 0.3 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 4.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.2 -0.2 SOYBEAN -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.0 0.1 1.0 0.8 0.4 0.4 -0.0 -0.0 -0.0 0.1 -0.0 -2.2 -0.0 0.0 0.0 0.1 -0.0 0.1 -0.0 2.7 0.0 0.1 0.1 0.2 SOYMEAL -0.1 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.0 0.0 1.1 0.6 0.3 0.3 -0.0 0.0 0.0 0.1 -0.0 -1.2 -0.0 0.0 0.0 0.1 0.0 0.1 -0.0 1.9 0.2 -0.0 0.1 0.3 SOYOIL 0.1 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 0.1 0.0 0.2 1.6 0.8 0.4 0.4 0.0 0.0 0.0 0.1 0.0 -2.6 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 2.7 0.1 0.4 0.2 0.2 SP400 0.1 -0.2 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.2 0.0 -0.2 -0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -1.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.2 SP500 0.0 -0.3 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 0.7 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.3 -0.0 -0.0 -0.0 0.0 SUGAR11 0.2 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 1.6 0.5 0.4 0.4 0.1 -0.0 0.0 -0.0 0.0 -0.8 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 1.7 0.0 0.4 0.2 0.2 US10 -0.1 -0.3 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -0.3 0.1 -0.1 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -0.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.7 0.0 -0.0 -0.0 -0.1 US10U -0.1 -0.3 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -0.0 -0.3 -0.1 -0.4 -0.0 0.3 0.0 0.1 -0.2 -0.2 -0.0 -0.3 -0.0 -0.8 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 -0.1 -0.0 -0.0 US20 -0.2 -0.3 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 0.1 0.1 0.0 0.0 -0.2 -0.2 -0.0 -0.3 -0.0 -1.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.4 -0.0 -0.1 -0.0 -0.0 US30 -0.2 -0.3 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -0.1 -0.4 -0.1 -0.4 -0.1 0.0 -0.0 0.0 -0.2 -0.2 -0.0 -0.3 -0.0 -0.6 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.9 -0.1 -0.3 0.1 0.0 US5 -0.1 -0.3 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -0.4 0.2 -0.1 0.0 -0.2 -0.2 -0.0 -0.3 -0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.3 0.0 0.0 -0.0 -0.1 VIX 0.2 0.3 -0.6 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.3 0.9 -1.6 -0.5 -0.7 0.0 -0.1 0.0 -0.1 0.0 NaN -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 NaN NaN NaN NaN NaN WHEAT 0.0 0.2 -0.2 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.1 0.0 0.0 -0.2 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 0.0 -2.2 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -2.4 0.0 0.2 0.3 0.0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -9.2 -18.1 -8.7 -4.9 1.1 -4.7 -1.2 -4.2 -3.7 8.5 -15.0 -6.9 -13.7 -13.4 -14.7 -2.6 -1.4 -2.0 -1.7 -20.0 -20.0 -8.1 -14.4 -20.0 -10.4 -0.0 -5.9 1.8 -5.0 -1.9 -3.7 -5.0 -0.1 -5.9 -11.4 -6.1 -1.8 BITCOIN 4.6 4.1 -13.6 -3.2 1.3 -2.7 -2.2 -1.2 -3.0 -6.7 -16.0 -5.6 -15.5 -9.2 -12.3 0.3 -1.6 -0.2 -0.7 -11.7 -20.0 -2.4 -20.0 -4.5 19.8 -0.0 -3.5 -1.0 -6.6 -1.0 -6.3 -1.6 0.0 10.4 3.6 6.8 0.9 BOBL 6.1 -20.0 -15.7 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -9.6 -13.5 -13.2 -11.8 -14.8 -14.3 20.0 15.8 20.0 20.0 -20.0 -20.0 -15.8 -20.0 -20.0 9.5 -0.0 -5.8 -2.0 -6.5 -2.7 -7.0 -4.3 20.0 10.5 17.9 -2.7 -2.2 BTP 0.4 -15.8 -9.2 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -0.8 -13.8 -11.1 -12.9 -13.9 -13.6 20.0 12.3 18.6 16.5 -20.0 -20.0 -10.0 -20.0 -19.9 10.6 -0.0 -6.0 -0.9 -7.2 -2.1 -8.1 -4.4 17.1 20.0 7.4 7.4 -0.2 BUND 0.5 -20.0 -11.2 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -13.6 -14.0 -14.4 -12.5 -15.6 -15.0 14.6 16.9 16.2 16.9 -20.0 -20.0 -18.1 -20.0 -20.0 9.1 -0.0 -5.9 -2.2 -6.1 -2.9 -6.2 -4.7 20.0 5.6 5.3 -7.7 -1.3 BUXL -12.2 -19.5 0.1 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -12.3 -14.4 -13.7 -12.9 -15.1 -14.7 6.9 -5.9 5.6 -1.7 -20.0 -20.0 -20.0 -20.0 -20.0 6.3 -0.0 -6.0 -2.9 -5.7 -3.9 -5.4 -5.5 -16.5 -6.3 -10.2 -6.4 3.4 CAC -18.2 -18.7 -2.1 -4.0 -5.4 -2.4 -6.7 -1.5 -6.1 -12.8 -8.4 -15.1 -6.5 -14.9 -9.4 1.2 5.5 2.3 3.9 -16.8 -9.1 -20.0 -3.7 -20.0 0.1 -0.0 -4.6 -5.3 -2.6 -7.2 -1.3 -6.9 9.3 3.1 6.1 -0.7 2.2 CAD 3.4 -15.8 -11.8 -4.9 1.1 -4.7 -1.2 -4.2 -3.7 10.5 -14.1 -4.4 -13.5 -12.7 -14.1 -1.8 -0.4 -1.2 -0.8 -20.0 -17.8 -2.9 -11.6 -15.1 -8.4 -0.0 -5.7 1.9 -5.1 -0.8 -3.6 -4.0 1.6 3.3 -1.1 -5.8 -6.7 CANOLA 20.0 7.6 -18.7 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 11.6 -10.4 12.9 0.3 13.7 2.3 -4.5 10.6 -4.2 1.8 3.4 -11.8 11.4 -0.5 14.8 3.3 -0.0 3.4 3.6 -0.1 3.8 2.1 5.2 -0.3 15.3 20.0 20.0 9.4 CHF -11.6 -6.4 1.6 -4.9 1.1 -4.7 -1.2 -4.2 -3.7 -1.2 -11.9 -12.1 -11.0 -14.0 -12.9 -12.2 -10.7 -12.1 -11.7 -15.2 -12.4 -10.8 -11.3 -15.9 -3.3 -0.0 -5.5 -1.0 -5.2 -3.5 -5.6 -5.4 -16.7 -9.2 -6.6 9.6 9.7 COCOA 5.9 0.6 -2.7 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 -10.9 -11.9 0.7 -12.2 -0.3 -4.2 1.3 -4.2 -0.1 -2.2 -4.5 -8.4 -5.3 -10.2 -3.3 15.7 -0.0 -2.1 -4.9 -5.2 -3.8 -6.5 -1.7 -17.7 -10.3 13.0 3.6 3.7 COFFEE -20.0 -14.8 -2.8 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 -14.1 -4.3 -15.7 3.4 -14.7 -6.4 13.1 5.2 11.7 9.1 -15.9 -5.8 -20.0 2.0 -20.0 8.7 -0.0 -4.3 -7.8 -1.8 -9.5 0.7 -7.7 0.3 -20.0 -20.0 -20.0 -1.5 COPPER 6.6 8.2 -9.9 -3.2 1.3 -2.7 -2.2 -1.2 -3.0 8.1 -12.8 -0.8 -11.2 -6.5 -7.4 1.2 0.2 0.9 0.3 -10.7 -18.8 -0.3 -18.3 -4.8 19.8 -0.0 -4.9 4.4 -6.9 -0.1 -5.5 -2.6 2.3 20.0 0.2 -6.7 -9.9 CORN 1.9 17.5 10.9 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 -8.1 2.1 1.6 5.3 9.1 11.5 14.4 11.9 10.7 10.4 12.0 10.4 -0.2 14.3 7.3 -20.0 -0.0 4.3 -1.3 5.8 -0.4 9.5 2.1 7.2 6.2 12.0 18.8 18.2 COTTON2 -14.6 -20.0 -20.0 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 -10.8 -11.8 -13.7 3.2 -15.7 -14.5 5.6 20.0 13.6 19.7 -20.0 -14.5 -20.0 1.9 -20.0 -15.6 -0.0 -5.0 -3.4 -2.1 -4.5 2.4 -5.4 20.0 -11.3 -20.0 -20.0 -11.9 CRUDE_W 17.4 -4.1 -17.1 -1.9 -3.9 0.4 -1.8 7.0 -0.7 -8.6 -6.9 6.4 4.3 2.5 -3.4 6.2 15.0 9.6 12.9 -2.5 -3.9 3.7 4.7 3.8 13.1 -0.0 -0.7 -0.0 0.2 1.7 7.1 1.6 -20.0 8.4 5.7 6.5 13.0 DAX 12.1 -7.0 -4.4 -3.8 2.4 -3.4 0.7 -2.3 -2.2 13.5 -11.8 12.9 -11.8 -2.5 -8.2 -3.1 -0.8 -2.3 -1.5 -9.6 -14.8 13.0 -14.7 1.3 4.3 -0.0 -3.2 5.7 -5.5 5.3 -6.5 1.0 0.0 13.6 15.5 18.9 -0.0 DOW 12.7 -14.0 -1.3 -3.8 2.4 -3.4 0.7 -2.3 -2.2 12.5 -10.0 11.1 -8.8 -5.3 -9.1 -4.1 -0.7 -3.4 -2.4 -11.2 -12.4 12.5 -8.9 -1.4 -0.9 -0.0 -3.5 5.8 -3.9 3.9 -2.4 -0.4 -0.8 19.1 12.1 1.9 4.0 EUR 8.4 7.0 0.3 -4.9 1.1 -4.7 -1.2 -4.2 -3.7 9.6 -14.4 -0.2 -15.1 -5.7 -11.5 -7.6 -8.3 -8.2 -8.5 -13.8 -20.0 1.3 -20.0 -6.0 10.3 -0.0 -5.7 2.4 -8.7 0.7 -10.7 -2.2 -11.9 8.0 16.8 20.0 -9.2 EUROSTX 10.6 -8.3 -1.3 -3.8 2.4 -3.4 0.7 -2.3 -2.2 13.9 -10.2 12.6 -10.6 -3.1 -7.8 -0.5 3.3 0.4 1.5 -8.1 -10.6 11.9 -9.0 0.6 -2.8 -0.0 -2.8 6.1 -4.0 5.0 -4.1 0.7 6.1 8.9 14.8 15.6 6.6 FEEDCOW -0.5 -20.0 -1.9 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 13.1 -2.8 8.9 -1.0 -7.5 -9.1 -9.1 -20.0 -14.0 -20.0 -10.7 -6.7 7.6 -2.6 -5.5 5.0 -0.0 -4.0 4.4 -2.6 2.3 -0.9 -2.1 -20.0 20.0 1.0 -20.0 4.7 FTSE100 -6.0 -20.0 -7.9 -3.8 2.4 -3.4 0.7 -2.3 -2.2 10.6 -6.2 -3.0 2.8 -11.7 -11.2 -1.3 4.7 -1.1 1.1 -14.2 -9.0 -1.5 -0.5 -11.6 -7.3 -0.0 -4.7 3.5 -4.3 0.1 -2.7 -3.3 7.2 -10.6 -6.6 12.6 3.9 GASOIL 20.0 -5.6 -18.7 -1.9 -3.9 0.4 -1.8 7.0 -0.7 -13.7 7.7 3.6 10.8 4.3 2.4 20.0 20.0 20.0 20.0 6.7 8.7 1.5 17.2 8.1 -5.1 -0.0 2.6 -2.2 3.3 0.8 7.8 3.3 0.0 -2.5 20.0 16.5 13.7 GASOILINE 16.3 -5.7 -20.0 -1.9 -3.9 0.4 -1.8 7.0 -0.7 -8.1 -5.0 3.1 5.1 1.5 -9.3 20.0 20.0 20.0 20.0 -5.1 -3.5 1.0 11.4 1.2 2.6 -0.0 -1.4 -0.4 1.0 0.5 11.0 0.7 11.9 3.8 3.9 6.1 5.1 GAS_US -20.0 -20.0 -2.3 -1.9 -3.9 0.4 -1.8 7.0 -0.7 -14.1 -0.1 -15.7 5.4 -16.2 -8.2 -20.0 -8.4 -18.8 -11.7 -20.0 -5.8 -20.0 8.6 -20.0 -10.3 -0.0 -3.7 -11.0 1.1 -9.7 5.4 -7.4 -20.0 -20.0 -20.0 -17.0 20.0 GBP 16.6 12.5 2.7 -4.9 1.1 -4.7 -1.2 -4.2 -3.7 6.3 -12.7 6.9 -13.8 -1.1 -7.5 -1.0 -1.2 -1.5 -1.5 -13.8 -19.1 3.1 -18.3 -4.2 18.6 -0.0 -5.4 1.0 -6.8 0.3 -6.5 -2.3 0.1 12.1 14.7 -3.6 -14.1 GOLD_micro 8.7 -3.0 -12.0 -3.2 1.3 -2.7 -2.2 -1.2 -3.0 -3.5 -14.3 -9.5 -12.3 -10.2 -12.0 -9.9 -6.9 -9.3 -8.3 -16.1 -17.6 -11.9 -13.1 -13.4 9.4 -0.0 -5.1 -1.4 -4.8 -3.9 -3.0 -4.5 -10.9 -12.8 -4.6 -12.4 -15.2 HEATOIL 20.0 -9.3 -20.0 -1.9 -3.9 0.4 -1.8 7.0 -0.7 -10.5 5.5 6.0 9.7 4.6 0.5 20.0 20.0 20.0 20.0 4.7 7.3 1.9 17.4 7.3 -15.7 -0.0 2.5 -2.2 5.1 0.7 12.3 2.7 2.5 0.5 15.6 10.3 20.0 JPY -15.4 -20.0 -16.4 -4.9 -0.7 -4.6 -2.1 -4.1 -4.1 -14.1 -16.7 -15.9 -16.1 -16.7 -16.7 -14.7 -9.1 -12.7 -11.1 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -0.0 -6.5 -5.5 -7.2 -6.4 -8.4 -6.4 -14.6 -20.0 -10.4 -10.4 -7.5 LEANHOG 13.7 -2.9 -5.7 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 14.1 -7.9 13.1 -1.9 7.4 0.2 20.0 20.0 20.0 20.0 0.9 -2.9 20.0 1.4 14.4 7.4 -0.0 -0.5 10.0 -1.3 9.0 0.4 3.7 20.0 20.0 13.8 1.9 9.7 LIVECOW 5.5 -0.9 7.6 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 14.0 -1.3 11.7 -4.8 6.1 5.8 -20.0 -20.0 -20.0 -20.0 2.7 0.1 20.0 -2.8 9.2 -2.7 -0.0 1.3 14.8 1.2 11.0 1.0 4.5 -20.0 20.0 19.2 3.4 20.0 MXP 3.1 1.5 7.9 -4.9 1.1 -4.7 -1.2 -4.2 -3.7 9.3 14.5 12.7 14.0 11.4 14.3 16.8 19.4 17.3 18.3 7.2 9.4 4.9 11.3 5.3 -20.0 -0.0 3.5 5.7 3.4 3.4 4.3 3.2 20.0 7.2 20.0 20.0 20.0 NASDAQ -1.9 -18.0 1.3 -3.8 2.4 -3.4 0.7 -2.3 -2.2 9.5 -13.0 -1.7 -11.8 -11.9 -12.7 -4.6 -2.5 -4.1 -3.5 -18.7 -17.6 -2.3 -14.6 -14.1 7.7 -0.0 -5.1 2.0 -4.7 -0.5 -3.3 -3.7 -3.1 -8.0 -6.5 -4.6 -0.0 NIKKEI -20.0 -12.6 6.4 -4.0 -5.4 -2.4 -6.7 -1.5 -6.1 -11.4 4.3 -14.1 -0.3 -14.0 -2.2 6.3 10.0 11.4 11.8 -8.6 -0.6 -20.0 0.6 -20.0 -12.6 -0.0 -4.8 -4.9 -2.3 -7.1 -0.9 -7.2 19.8 12.4 8.5 5.9 4.7 NZD 2.4 -15.2 -3.2 -4.9 1.1 -4.7 -1.2 -4.2 -3.7 13.2 -15.3 2.9 -14.6 -11.6 -14.1 -0.9 1.1 -0.4 0.3 -20.0 -20.0 2.3 -18.9 -13.7 -0.3 -0.0 -5.7 3.4 -5.7 0.4 -4.7 -3.4 3.8 14.0 1.4 -6.5 -5.7 OAT -1.3 -20.0 -5.7 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -10.9 -13.8 -13.6 -12.6 -15.1 -14.5 16.6 10.3 11.8 11.6 -20.0 -20.0 -16.4 -20.0 -20.0 13.3 -0.0 -6.0 -1.6 -6.4 -2.6 -6.8 -4.7 12.3 9.2 2.7 -5.4 -1.4 OJ 14.5 16.4 4.3 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 10.9 14.0 13.6 13.1 14.5 14.3 18.7 10.1 16.6 14.8 20.0 19.3 20.0 16.4 20.0 -20.0 -0.0 6.1 3.0 5.6 4.6 5.0 5.7 9.8 20.0 20.0 20.0 20.0 PALLAD -7.7 2.3 7.2 -3.2 1.3 -2.7 -2.2 -1.2 -3.0 -9.7 -7.7 -12.5 -4.3 -9.6 1.6 -1.2 -0.9 -1.2 -1.1 -2.3 -0.5 -13.6 -2.5 -9.3 -2.9 -0.0 -0.7 -4.5 0.9 -6.8 0.1 -4.6 0.2 -14.4 -8.7 13.9 20.0 PLAT 10.4 14.2 5.4 -3.2 1.3 -2.7 -2.2 -1.2 -3.0 11.4 -8.1 8.8 -9.7 9.3 3.4 0.1 -0.5 -0.1 -0.3 2.7 -2.7 8.2 -6.3 6.1 10.9 -0.0 0.2 8.0 -3.0 4.6 -5.0 2.8 1.3 18.9 10.8 16.6 4.8 REDWHEAT 2.3 19.0 -10.8 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 -12.0 -8.5 -7.7 -2.0 4.1 2.7 1.0 -1.4 0.5 -0.2 3.1 -1.6 -6.1 2.2 1.4 -15.6 -0.0 2.9 -2.6 3.0 -2.4 6.0 1.0 -13.1 0.2 11.9 20.0 8.0 ROBUSTA -20.0 -13.0 5.7 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 -12.1 0.2 -14.3 8.0 -14.7 -2.2 8.4 6.1 6.9 6.2 -9.7 0.3 -20.0 6.7 -20.0 -0.8 -0.0 -2.7 -6.2 0.2 -7.8 1.9 -6.5 -1.2 -20.0 -20.0 -20.0 16.3 RUSSELL 5.5 -12.8 7.3 -3.8 2.4 -3.4 0.7 -2.3 -2.2 2.5 -10.1 3.2 -11.2 -9.1 -10.1 -3.7 -1.4 -3.1 -2.4 -10.6 -10.7 0.7 -10.4 -6.4 -3.7 -0.0 -3.6 1.3 -3.4 0.4 -2.7 -2.1 -1.2 -4.1 5.9 5.9 10.8 SILVER-mini 7.6 19.1 3.7 -3.2 1.3 -2.7 -2.2 -1.2 -3.0 -4.9 -12.4 -10.5 -12.3 -5.4 -5.9 -4.1 -2.7 -3.6 -3.2 -5.8 -10.5 -8.6 -12.6 -6.4 19.9 -0.0 -2.6 -1.0 -6.0 -2.7 -7.5 -1.6 -3.1 -14.8 0.5 14.6 -13.4 SOYBEAN -2.9 0.6 -1.0 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 2.0 -2.3 -0.9 3.5 -1.6 2.9 11.8 20.0 19.3 20.0 -1.7 -1.0 -0.6 5.5 -1.5 -14.5 -0.0 1.3 1.9 4.5 -0.2 10.7 -0.3 20.0 7.5 5.0 5.8 12.7 SOYMEAL -9.1 -2.9 2.1 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 8.8 -3.2 0.4 6.9 -6.4 1.1 13.2 14.2 13.2 14.9 -2.0 1.4 1.0 5.4 -3.1 -8.5 -0.0 1.4 4.4 4.3 1.2 8.0 -0.3 13.8 20.0 -1.4 7.0 20.0 SOYOIL 11.0 3.3 -3.2 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 13.9 -2.6 14.2 3.5 9.6 7.4 20.0 20.0 19.4 20.0 4.1 1.0 18.8 7.6 11.4 -18.2 -0.0 4.1 11.0 3.9 9.1 7.6 6.1 20.0 20.0 20.0 15.5 16.3 SP400 7.1 -12.6 3.7 -3.8 2.4 -3.4 0.7 -2.3 -2.2 0.5 -9.5 3.3 -8.7 -8.6 -9.4 0.2 -1.4 -0.4 -0.9 -10.1 -9.7 0.5 -7.5 -5.9 -6.1 -0.0 -3.4 0.8 -2.9 0.4 -1.5 -1.9 -0.2 -4.6 6.4 7.0 12.0 SP500 3.7 -16.0 -0.0 -3.8 2.4 -3.4 0.7 -2.3 -2.2 10.0 -11.9 1.5 -9.8 -11.2 -11.9 -4.3 -2.3 -3.9 -3.1 -15.4 -14.4 1.8 -10.2 -9.7 6.3 -0.0 -4.6 2.9 -4.7 0.7 -3.5 -2.8 -2.6 -0.6 -1.1 -2.6 2.6 SUGAR11 17.8 8.4 -5.4 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 -12.1 -6.5 9.0 -4.7 10.1 1.9 20.0 12.6 20.0 17.7 5.4 -1.1 3.3 -1.1 9.6 -4.9 -0.0 3.5 -4.4 1.0 1.2 0.7 4.6 12.4 0.7 20.0 17.7 13.6 US10 -8.6 -20.0 -10.0 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -10.0 -15.0 -14.2 -13.9 -15.7 -15.4 -4.2 3.4 -2.7 -0.6 -20.0 -20.0 -20.0 -20.0 -20.0 -4.6 -0.0 -6.0 -3.3 -5.6 -4.3 -5.4 -5.4 -4.9 1.2 -2.0 -2.1 -4.8 US10U -11.5 -20.0 -9.6 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -13.0 -14.8 -15.3 -13.5 -16.0 -15.3 -0.5 7.0 1.1 3.5 -20.0 -20.0 -20.0 -20.0 -20.0 -6.1 -0.0 -6.0 -4.6 -5.4 -5.1 -5.0 -5.8 2.0 -4.9 -5.2 -0.7 -2.3 US20 -14.6 -20.0 -12.5 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -14.1 -15.2 -15.8 -13.7 -16.3 -15.7 0.9 3.1 1.8 2.3 -20.0 -20.0 -20.0 -20.0 -20.0 -8.8 -0.0 -6.0 -7.2 -5.1 -6.5 -4.5 -6.4 -2.8 -18.7 -13.0 -1.3 -2.4 US30 -19.0 -20.0 -11.6 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -14.1 -16.2 -15.8 -15.2 -16.4 -16.2 -0.6 1.1 -0.2 0.1 -20.0 -20.0 -20.0 -20.0 -20.0 -5.1 -0.0 -6.1 -8.4 -5.5 -7.7 -5.4 -7.0 -6.4 -20.0 -15.0 7.8 0.1 US5 -6.3 -20.0 -9.7 -5.0 -3.1 -4.7 -3.8 -4.5 -4.7 -7.6 -15.0 -13.2 -14.2 -15.2 -15.1 -4.6 5.7 -3.2 0.0 -20.0 -20.0 -20.0 -20.0 -20.0 -1.2 -0.0 -6.0 -2.5 -5.8 -3.9 -6.1 -5.3 -2.0 4.3 1.0 -2.5 -7.2 VIX 17.2 6.2 -9.6 0.1 7.4 -1.5 7.6 -2.0 4.2 13.2 -9.5 13.9 -9.3 10.0 -8.2 5.7 -20.0 -11.6 -16.2 0.4 -5.1 17.2 -5.8 10.7 NaN -0.0 0.3 8.4 -1.9 8.6 -2.7 5.0 NaN NaN NaN NaN NaN WHEAT 2.2 15.5 -12.9 -3.4 -2.5 -2.8 -3.8 1.0 -3.7 -8.5 -9.7 -6.8 -4.3 5.8 1.0 -1.9 -3.6 -3.3 -3.5 0.6 -5.0 -4.2 -0.7 1.0 -14.6 -0.0 1.6 -1.5 1.9 -2.2 5.4 0.3 -17.7 1.0 8.3 18.8 2.6 End of report for caleb_strategy_v1