******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221024_204245 produced at 2022-10-24 21:34:54.506118 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.04 -0.27 0.0 37783068.80 -37783068.80 -0.04 -0.04 -7.11 999999999 -1 -1 caleb_strategy_v1 US20 False False 0.04 -0.08 -0.14 0.0 39036144.50 -39036144.50 -0.08 -0.08 -3.57 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.25 -0.14 0.0 35044866.32 -35044866.32 -0.25 -0.25 -4.08 999999999 -7 -7 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.14 0.0 27887380.38 -27887380.38 -0.14 -0.14 -5.19 999999999 -5 -5 caleb_strategy_v1 CHF False False 0.04 -0.04 -0.13 0.0 41457726.20 -41457726.20 -0.04 -0.04 -3.17 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.04 -0.29 -0.13 0.0 41026626.91 -41026626.91 -0.29 -0.29 -3.20 999999999 -7 -7 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 36220591.68 -36220591.68 0.00 0.00 -3.42 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.08 0.0 20342936.41 -20342936.41 -0.04 -0.04 -3.89 999999999 -2 -2 caleb_strategy_v1 VIX False False 0.01 0.00 -0.07 0.0 9851340.88 -9851340.88 0.00 0.00 -7.42 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 -0.05 -0.07 0.0 45232228.19 -45232228.19 -0.05 -0.05 -1.51 999999999 -1 -1 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.06 0.0 30007811.37 -30007811.37 -0.06 -0.06 -1.96 999999999 -2 -2 caleb_strategy_v1 EUR False False 0.04 -0.08 -0.05 0.0 40909054.37 -40909054.37 -0.08 -0.08 -1.18 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 -0.03 -0.05 0.0 26210256.43 -26210256.43 -0.03 -0.03 -2.05 999999999 -1 -1 caleb_strategy_v1 CAD False False 0.02 -0.05 -0.04 0.0 24064004.03 -24064004.03 -0.05 -0.05 -1.53 999999999 -2 -2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.03 0.0 20854480.07 -20854480.07 0.00 0.00 -1.34 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 5462956.30 -5462956.30 -0.01 -0.01 -6.12 999999999 -2 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 75855324.78 -75855324.78 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.02 0.0 2897812.35 -2897812.35 -0.02 -0.02 -8.00 999999999 -7 -7 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 77163886.47 -77163886.47 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14500612.73 -14500612.73 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 18796754.43 -18796754.43 0.00 0.00 -0.66 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7673154.96 -7673154.96 0.00 0.00 -0.75 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 19903998.94 -19903998.94 -0.02 -0.02 -0.58 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 63006503.04 -63006503.04 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.03 -0.01 0.0 5214445.09 -5214445.09 -0.03 -0.03 -1.52 999999999 -6 -6 caleb_strategy_v1 DAX False False 0.00 0.00 -0.01 0.0 4236406.56 -4236406.56 0.00 0.00 -1.57 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 64999048.12 -64999048.12 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15432942.31 -15432942.31 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10069159.47 -10069159.47 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 12562522.30 -12562522.30 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4242002.38 -4242002.38 0.00 0.00 0.86 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 23700147.97 -23700147.97 0.00 0.00 0.09 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 -0.00 0.0 18555056.57 -18555056.57 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 -0.00 0.0 11537835.98 -11537835.98 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 637614.42 -637614.42 0.00 0.00 7.50 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6432249.04 -6432249.04 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 28332918.41 -28332918.41 0.00 0.00 0.22 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 23310302.20 -23310302.20 0.02 0.02 0.27 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 13130500.78 -13130500.78 0.01 0.01 0.79 999999999 1 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 15531950.76 -15531950.76 0.00 0.00 0.54 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10272126.80 -10272126.80 0.02 0.02 0.63 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15349610.20 -15349610.20 0.00 0.00 0.60 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.02 0.02 0.02 0.0 24798316.71 -24798316.71 0.02 0.02 0.63 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 6697723.70 -6697723.70 0.01 0.01 2.37 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.02 0.0 8194599.47 -8194599.47 0.00 0.00 2.86 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 0.03 0.0 33707625.18 -33707625.18 0.00 0.00 1.01 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.03 0.0 42611770.52 -42611770.52 0.00 0.00 0.71 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.07 0.03 0.0 36464776.55 -36464776.55 0.07 0.07 0.88 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 33423602.94 -33423602.94 0.00 0.00 1.31 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.05 0.0 48065038.68 -48065038.68 0.10 0.10 0.94 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.05 0.0 13036112.72 -13036112.72 0.07 0.07 3.54 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 22173767.68 -22173767.68 0.02 0.02 3.18 999999999 1 1 caleb_strategy_v1 LEANHOG False False 0.01 0.04 0.07 0.0 11943719.48 -11943719.48 0.04 0.04 6.17 999999999 3 3 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.07 0.0 5756182.90 -5756182.90 0.00 0.05 12.29 999999999 0 9 caleb_strategy_v1 BUND False False 0.04 0.00 0.13 0.0 44450002.02 -44450002.02 0.00 0.00 2.95 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.15 0.33 0.0 38739750.99 -38739750.99 0.15 0.15 8.54 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 20.9 Sum abs risk 40.5 Leverage 2.73 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3030044.37, 'annual_cash_vol_target': 757511.0925, 'daily_cash_vol_target': 47344.44328125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0058 0.6319 0.9214 14.7428 BITCOIN 689.6568 19320.0000 3.5697 57.1144 BOBL 0.3941 118.8600 0.3316 5.3055 BTP 1.0187 111.8800 0.9105 14.5682 BUND 0.8579 136.3800 0.6290 10.0648 BUXL 2.3332 138.7800 1.6812 26.8995 CAC 69.6113 5693.0000 1.2228 19.5640 CAD 0.0047 0.7292 0.6402 10.2439 CANOLA 8.4714 881.4000 0.9611 15.3781 CHF 0.0063 1.0050 0.6249 9.9987 COCOA 33.1831 2325.0000 1.4272 22.8357 COFFEE 0.0362 1.9150 1.8919 30.2706 COPPER 0.0521 3.4340 1.5173 24.2769 CORN 6.0913 622.5000 0.9785 15.6563 COTTON2 0.0214 0.7613 2.8084 44.9342 CRUDE_W 1.7302 75.1400 2.3027 36.8425 DAX 153.2988 12998.0000 1.1794 18.8705 DOW 381.3027 31600.0000 1.2067 19.3065 EUR 0.0070 0.9916 0.7100 11.3600 EUROSTX 43.5040 3540.0000 1.2289 19.6628 FEEDCOW 1.4390 181.8500 0.7913 12.6607 FTSE100 62.4940 7040.0000 0.8877 14.2032 GASOIL 25.0534 1012.7500 2.4738 39.5808 GASOILINE 0.0524 2.4318 2.1534 34.4542 GAS_US 0.2139 6.0310 3.5472 56.7545 GBP 0.0110 1.1301 0.9760 15.6159 GOLD_micro 15.7038 1655.3000 0.9487 15.1792 HEATOIL 0.0718 3.4676 2.0707 33.1307 JPY 0.0000 0.0068 0.7330 11.7282 LEANHOG 1.4469 90.4750 1.5992 25.5872 LIVECOW 0.9438 154.1000 0.6125 9.7993 MXP 0.0003 0.0497 0.6484 10.3742 NASDAQ 187.8961 11492.2500 1.6350 26.1597 NIKKEI 285.3658 25975.0000 1.0986 17.5779 NZD 0.0055 0.5696 0.9575 15.3198 OAT 0.8664 130.7400 0.6627 10.6033 OJ 0.0373 2.0340 1.8316 29.3060 PALLAD 48.4000 1969.5000 2.4575 39.3196 PLAT 17.8181 930.2000 1.9155 30.6482 REDWHEAT 17.5787 935.2500 1.8796 30.0732 ROBUSTA 26.9695 1949.0000 1.3838 22.1401 RUSSELL 28.5243 1756.1000 1.6243 25.9888 SILVER-mini 0.4273 18.8250 2.2700 36.3195 SOYBEAN 13.1688 1343.7500 0.9800 15.6800 SOYMEAL 5.5851 395.0000 1.4140 22.6233 SOYOIL 0.9596 66.3100 1.4471 23.1534 SP400 35.1655 2338.1000 1.5040 24.0643 SP500 53.4427 3818.2500 1.3997 22.3946 SUGAR11 0.0023 0.1812 1.2457 19.9311 US10 0.5339 109.7500 0.4865 7.7833 US10U 0.7255 114.4844 0.6337 10.1393 US20 0.9861 118.2812 0.8337 13.3387 US30 1.4484 124.3125 1.1651 18.6416 US5 0.3606 106.1875 0.3395 5.4328 VIX 0.6282 29.8500 2.1044 33.6709 WHEAT 14.8835 878.7500 1.6937 27.0994 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 631.90 0.92 582.25 1.00 582.25 47344.44 81.31 -10.35 -84.17 BITCOIN 19.32 3.57 68.97 1.00 68.97 47344.44 686.49 4.64 318.44 BOBL 1188.60 0.33 394.14 0.98 385.20 47344.44 122.91 9.63 118.35 BTP 1118.80 0.91 1018.68 0.98 995.59 47344.44 47.55 9.12 43.37 BUND 1363.80 0.63 857.89 0.98 838.45 47344.44 56.47 7.24 40.89 BUXL 1387.80 1.68 2333.19 0.98 2280.30 47344.44 20.76 -8.65 -17.95 CAC 569.30 1.22 696.11 0.98 681.77 47344.44 69.44 -1.09 -7.60 CAD 729.15 0.64 466.83 1.00 466.83 47344.44 101.42 -8.45 -85.65 CANOLA 176.28 0.96 169.43 0.73 122.89 47344.44 385.27 2.42 93.22 CHF 1256.19 0.62 785.01 1.00 785.01 47344.44 60.31 -14.06 -84.77 COCOA 232.50 1.43 331.83 1.00 331.83 47344.44 142.68 -2.41 -34.45 COFFEE 718.12 1.89 1358.63 1.00 1358.63 47344.44 34.85 1.90 6.61 COPPER 858.50 1.52 1302.61 1.00 1302.61 47344.44 36.35 2.20 7.98 CORN 311.25 0.98 304.56 1.00 304.56 47344.44 155.45 4.50 70.02 COTTON2 380.65 2.81 1069.01 1.00 1069.01 47344.44 44.29 -4.29 -18.99 CRUDE_W 751.40 2.30 1730.22 1.00 1730.22 47344.44 27.36 1.74 4.77 DAX 129.98 1.18 153.30 0.98 149.82 47344.44 316.00 -0.92 -28.94 DOW 158.00 1.21 190.65 1.00 190.65 47344.44 248.33 -2.14 -53.22 EUR 1239.56 0.71 880.09 1.00 880.09 47344.44 53.80 -5.88 -31.64 EUROSTX 354.00 1.23 435.04 0.98 425.18 47344.44 111.35 -0.16 -1.79 FEEDCOW 909.25 0.79 719.49 1.00 719.49 47344.44 65.80 -11.09 -72.98 FTSE100 704.00 0.89 624.94 1.12 698.91 47344.44 67.74 -2.93 -19.85 GASOIL 1012.75 2.47 2505.34 1.00 2505.34 47344.44 18.90 9.69 18.31 GASOILINE 1021.36 2.15 2199.38 1.00 2199.38 47344.44 21.53 11.43 24.61 GAS_US 603.10 3.55 2139.29 1.00 2139.29 47344.44 22.13 -17.55 -38.84 GBP 706.31 0.98 689.36 1.00 689.36 47344.44 68.68 2.21 15.16 GOLD_micro 165.53 0.95 157.04 1.00 157.04 47344.44 301.48 -9.08 -273.70 HEATOIL 1456.39 2.07 3015.71 1.00 3015.71 47344.44 15.70 8.42 13.22 JPY 845.00 0.73 619.40 1.00 619.40 47344.44 76.44 -10.48 -80.12 LEANHOG 361.90 1.60 578.75 1.00 578.75 47344.44 81.80 16.13 131.99 LIVECOW 616.40 0.61 377.52 1.00 377.52 47344.44 125.41 -11.54 -144.78 MXP 248.30 0.65 160.99 1.00 160.99 47344.44 294.07 7.95 233.85 NASDAQ 2298.45 1.63 3757.92 1.00 3757.92 47344.44 12.60 -5.31 -6.69 NIKKEI 25975.00 1.10 28536.58 0.01 197.63 47344.44 239.56 2.70 64.72 NZD 569.55 0.96 545.34 1.00 545.34 47344.44 86.82 -4.74 -41.12 OAT 1307.40 0.66 866.42 0.98 846.78 47344.44 55.91 6.32 35.34 OJ 305.10 1.83 558.83 1.00 558.83 47344.44 84.72 1.33 11.31 PALLAD 1969.50 2.46 4840.00 1.00 4840.00 47344.44 9.78 -2.31 -2.26 PLAT 465.10 1.92 890.90 1.00 890.90 47344.44 53.14 4.71 25.03 REDWHEAT 467.62 1.88 878.94 1.00 878.94 47344.44 53.87 -7.58 -40.84 ROBUSTA 194.90 1.38 269.69 1.00 269.69 47344.44 175.55 -0.47 -8.22 RUSSELL 87.80 1.62 142.62 1.00 142.62 47344.44 331.96 -4.65 -154.41 SILVER-mini 470.62 2.27 1068.30 1.00 1068.30 47344.44 44.32 5.49 24.31 SOYBEAN 671.88 0.98 658.44 1.00 658.44 47344.44 71.90 7.49 53.86 SOYMEAL 395.00 1.41 558.51 1.00 558.51 47344.44 84.77 7.08 60.01 SOYOIL 397.86 1.45 575.74 1.00 575.74 47344.44 82.23 10.53 86.59 SP400 2338.10 1.50 3516.55 1.00 3516.55 47344.44 13.46 -4.20 -5.66 SP500 1909.12 1.40 2672.13 1.00 2672.13 47344.44 17.72 -3.85 -6.82 SUGAR11 202.94 1.25 252.81 1.00 252.81 47344.44 187.28 9.34 175.00 US10 1097.50 0.49 533.88 1.00 533.88 47344.44 88.68 -10.05 -89.16 US10U 1144.84 0.63 725.50 1.00 725.50 47344.44 65.26 -7.48 -48.81 US20 1182.81 0.83 986.08 1.00 986.08 47344.44 48.01 -10.09 -48.47 US30 1243.12 1.17 1448.36 1.00 1448.36 47344.44 32.69 -11.65 -38.07 US5 1061.88 0.34 360.56 1.00 360.56 47344.44 131.31 -8.09 -106.28 VIX 298.50 2.10 628.17 1.00 628.17 47344.44 75.37 -5.23 -39.40 WHEAT 439.38 1.69 744.18 1.00 744.18 47344.44 63.62 -10.74 -68.34 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -84.172 0.006 2.5 -1.345 BITCOIN 318.437 0.009 2.5 7.502 BOBL 118.346 0.029 2.5 8.540 BTP 43.374 0.008 2.5 0.876 BUND 40.887 0.029 2.5 2.950 BUXL -17.951 0.034 2.5 -1.507 CAC -7.601 0.011 2.5 -0.214 CAD -85.654 0.007 2.5 -1.529 CANOLA 93.217 0.004 2.5 0.856 CHF -84.771 0.015 2.5 -3.173 COCOA -34.453 0.009 2.5 -0.751 COFFEE 6.615 0.005 2.5 0.086 COPPER 7.985 0.011 2.5 0.218 CORN 70.020 0.004 2.5 0.632 COTTON2 -18.989 0.006 2.5 -0.286 CRUDE_W 4.769 0.053 2.5 0.630 DAX -28.940 0.022 2.5 -1.572 DOW -53.222 0.011 2.5 -1.517 EUR -31.637 0.015 2.5 -1.184 EUROSTX -1.788 0.011 2.5 -0.050 FEEDCOW -72.984 0.011 2.5 -1.961 FTSE100 -19.847 0.041 2.5 -2.046 GASOIL 18.315 0.029 2.5 1.306 GASOILINE 24.610 0.016 2.5 1.010 GAS_US -38.845 0.006 2.5 -0.585 GBP 15.158 0.007 2.5 0.271 GOLD_micro -273.705 0.009 2.5 -6.124 HEATOIL 13.225 0.029 2.5 0.943 JPY -80.116 0.026 2.5 -5.186 LEANHOG 131.991 0.019 2.5 6.167 LIVECOW -144.785 0.011 2.5 -3.891 MXP 233.850 0.005 2.5 2.863 NASDAQ -6.686 0.022 2.5 -0.363 NIKKEI 64.722 0.076 2.5 12.293 NZD -41.124 0.006 2.5 -0.657 OAT 35.342 0.008 2.5 0.714 OJ 11.309 0.007 2.5 0.197 PALLAD -2.260 0.010 2.5 -0.054 PLAT 25.030 0.010 2.5 0.602 REDWHEAT -40.841 0.002 2.5 -0.218 ROBUSTA -8.219 0.005 2.5 -0.107 RUSSELL -154.413 0.021 2.5 -7.998 SILVER-mini 24.311 0.009 2.5 0.544 SOYBEAN 53.861 0.024 2.5 3.176 SOYMEAL 60.014 0.024 2.5 3.538 SOYOIL 86.587 0.004 2.5 0.795 SP400 -5.656 0.021 2.5 -0.293 SP500 -6.819 0.011 2.5 -0.194 SUGAR11 174.999 0.005 2.5 2.375 US10 -89.160 0.015 2.5 -3.421 US10U -48.811 0.058 2.5 -7.112 US20 -48.465 0.029 2.5 -3.572 US30 -38.069 0.034 2.5 -3.196 US5 -106.280 0.015 2.5 -4.077 VIX -39.399 0.075 2.5 -7.425 WHEAT -68.336 0.002 2.5 -0.365 ==================== Position diags ==================== AUD 1.30 BITCOIN 16.17 BOBL 8.87 BTP 0.96 BUND 4.07 BUXL 1.74 CAC 1.95 CAD 1.81 CANOLA 3.54 CHF 2.26 COCOA 3.11 COFFEE 0.45 COPPER 0.99 CORN 1.40 COTTON2 0.67 CRUDE_W 3.61 DAX 17.16 DOW 7.08 EUR 2.01 EUROSTX 3.13 FEEDCOW 1.77 FTSE100 6.98 GASOIL 1.35 GASOILINE 0.88 GAS_US 0.33 GBP 1.23 GOLD_micro 6.75 HEATOIL 1.12 JPY 4.95 LEANHOG 3.82 LIVECOW 3.37 MXP 3.60 NASDAQ 0.68 NIKKEI 45.50 NZD 1.39 OAT 1.13 OJ 1.48 PALLAD 0.24 PLAT 1.28 REDWHEAT 0.29 ROBUSTA 2.28 RUSSELL 17.19 SILVER-mini 0.99 SOYBEAN 4.24 SOYMEAL 5.00 SOYOIL 0.75 SP400 0.70 SP500 0.50 SUGAR11 2.54 US10 3.40 US10U 9.51 US20 3.54 US30 2.74 US5 5.04 VIX 14.20 WHEAT 0.34 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 7.5 6.8 8.3 NaN 0 BOBL 8.5 7.7 9.4 4.0 4 BTP 0.9 0.8 1.0 2.0 2 BUND 3.0 2.7 3.2 NaN 0 BUXL -1.5 -1.7 -1.4 -1.0 -1 CAC -0.2 -0.2 -0.2 NaN 0 CAD -1.5 -1.7 -1.4 -2.0 -2 CANOLA 0.9 0.8 0.9 NaN 0 CHF -3.2 -3.5 -2.9 -1.0 -1 COCOA -0.8 -0.8 -0.7 NaN 0 COFFEE 0.1 0.1 0.1 NaN 0 COPPER 0.2 0.2 0.2 NaN 0 CORN 0.6 0.6 0.7 2.0 2 COTTON2 -0.3 -0.3 -0.3 NaN 0 CRUDE_W 0.6 0.6 0.7 1.0 1 DAX -1.6 -1.7 -1.4 NaN 0 DOW -1.5 -1.7 -1.4 -6.0 -6 EUR -1.2 -1.3 -1.1 -2.0 -2 EUROSTX -0.1 -0.1 -0.0 NaN 0 FEEDCOW -2.0 -2.2 -1.8 -2.0 -2 FTSE100 -2.0 -2.3 -1.8 -1.0 -1 GASOIL 1.3 1.2 1.4 NaN 0 GASOILINE 1.0 0.9 1.1 NaN 0 GAS_US -0.6 -0.6 -0.5 -1.0 -1 GBP 0.3 0.2 0.3 1.0 1 GOLD_micro -6.1 -6.7 -5.5 -2.0 -2 HEATOIL 0.9 0.8 1.0 2.0 2 JPY -5.2 -5.7 -4.7 -5.0 -5 LEANHOG 6.2 5.5 6.8 3.0 3 LIVECOW -3.9 -4.3 -3.5 -2.0 -2 MXP 2.9 2.6 3.1 NaN 0 NASDAQ -0.4 -0.4 -0.3 0.0 0 NIKKEI 12.3 11.1 13.5 NaN 0 NZD -0.7 -0.7 -0.6 NaN 0 OAT 0.7 0.6 0.8 NaN 0 OJ 0.2 0.2 0.2 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.6 0.5 0.7 NaN 0 REDWHEAT -0.2 -0.2 -0.2 NaN 0 ROBUSTA -0.1 -0.1 -0.1 NaN 0 RUSSELL -8.0 -8.8 -7.2 -7.0 -7 SILVER-mini 0.5 0.5 0.6 NaN 0 SOYBEAN 3.2 2.9 3.5 1.0 1 SOYMEAL 3.5 3.2 3.9 5.0 5 SOYOIL 0.8 0.7 0.9 1.0 1 SP400 -0.3 -0.3 -0.3 NaN 0 SP500 -0.2 -0.2 -0.2 NaN 0 SUGAR11 2.4 2.1 2.6 1.0 1 US10 -3.4 -3.8 -3.1 NaN 0 US10U -7.1 -7.8 -6.4 -1.0 -1 US20 -3.6 -3.9 -3.2 -2.0 -2 US30 -3.2 -3.5 -2.9 -7.0 -7 US5 -4.1 -4.5 -3.7 -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 -0.2 -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 -1.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.0 BITCOIN 0.1 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 4.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.0 0.0 0.1 0.0 BOBL 0.0 -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 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.0 -0.3 -0.1 -0.3 1.6 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 2.4 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 1.1 -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 -2.1 0.1 -0.3 -0.1 0.1 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 0.1 -0.3 -0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 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 -0.2 -0.0 -1.1 -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 -0.2 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.2 0.0 0.0 0.0 0.1 -0.1 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 0.2 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 2.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.4 -0.0 0.3 0.0 0.1 COFFEE -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.2 1.0 0.2 0.2 0.2 -0.2 -0.1 -0.0 0.0 -0.0 1.3 -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 2.4 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.3 0.2 0.0 -0.1 -0.1 CORN 0.0 0.2 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 0.2 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 -3.7 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.0 -0.3 -0.6 -0.4 CRUDE_W 0.2 -0.0 -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 1.5 -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 0.1 -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 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.2 0.0 -0.2 -0.0 -0.2 -0.3 -0.0 -0.1 -0.1 -0.1 -0.1 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 0.4 0.3 -0.1 EUROSTX 0.2 -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 -0.8 -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 0.1 -0.3 0.1 FTSE100 -0.0 -0.3 -0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.2 0.0 0.1 -0.0 -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 -0.3 -0.2 0.1 0.1 GASOIL 0.2 -0.1 -0.3 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.0 0.2 0.0 0.3 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 -0.1 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 -0.1 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.1 -0.2 -1.6 -0.4 -0.4 -0.3 -0.2 -0.1 -0.0 0.1 -0.0 -1.3 -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 -0.0 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 2.6 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.1 0.4 -0.0 -0.2 GOLD_micro 0.1 -0.0 -0.2 -0.1 0.0 -0.1 -0.0 -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 -0.0 -0.1 -0.2 -0.2 HEATOIL 0.3 -0.1 -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 -0.0 -0.2 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -1.0 -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 -1.9 -0.2 -0.4 -0.1 -0.1 LEANHOG 0.2 -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 0.4 0.1 0.2 LIVECOW 0.1 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 0.1 0.0 0.0 -0.0 0.0 -0.6 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.8 0.0 0.4 0.1 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 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.3 0.0 -0.3 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -0.2 0.0 -0.2 -0.0 0.9 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.4 -0.1 -0.2 -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 -0.0 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 1.8 0.1 0.1 -0.0 -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 0.1 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 -0.2 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 -0.1 0.0 0.1 0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.0 -2.1 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -1.8 -0.1 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 -0.1 0.6 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 0.1 -0.1 0.1 -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 -0.2 -0.1 -0.0 -0.0 -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 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 0.9 0.8 0.4 0.4 -0.0 -0.0 -0.0 0.1 -0.0 -2.1 -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 -1.1 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 1.8 0.1 -0.1 0.1 0.3 SOYOIL 0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 0.2 1.6 0.8 0.4 0.4 0.1 0.0 0.0 0.1 0.0 -2.7 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 2.7 0.1 0.4 0.2 0.3 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 -0.9 -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 0.1 -0.2 0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.1 -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 0.1 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 0.0 -0.0 -0.0 -0.0 0.0 -0.8 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 1.8 -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 -1.1 -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 -0.4 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 -0.1 -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 -0.1 0.1 0.2 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 -7.3 -18.0 -9.2 -4.8 1.0 -4.8 -0.8 -4.3 -3.4 5.8 -15.0 -6.5 -13.7 -13.1 -14.6 -2.6 -1.4 -2.0 -1.7 -20.0 -20.0 -7.7 -14.8 -20.0 -10.0 -0.0 -5.9 0.6 -5.0 -1.8 -3.8 -4.8 -0.1 -4.7 -13.0 -6.9 -1.9 BITCOIN 5.6 4.7 -13.6 -3.2 0.9 -2.8 -1.6 -1.3 -2.8 3.8 -16.0 -4.3 -15.6 -8.2 -11.9 0.2 -1.6 -0.2 -0.7 -11.1 -20.0 -0.2 -20.0 -3.4 19.4 -0.0 -3.3 0.6 -6.5 0.0 -6.3 -1.1 0.0 9.1 0.4 8.1 1.3 BOBL 4.5 -20.0 -16.1 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 -3.1 -13.6 -12.7 -11.9 -14.7 -14.5 20.0 16.2 20.0 20.0 -20.0 -20.0 -12.8 -20.0 -20.0 9.4 -0.0 -5.8 -0.5 -6.6 -2.2 -7.1 -4.1 20.0 16.4 17.8 -0.9 -1.8 BTP 3.6 -14.4 -6.7 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 8.5 -13.8 -8.5 -13.0 -12.8 -13.5 20.0 12.5 18.8 16.7 -20.0 -20.0 -4.1 -20.0 -16.3 10.3 -0.0 -5.9 2.0 -7.3 -0.8 -8.3 -3.8 17.6 20.0 10.6 9.6 0.6 BUND 2.1 -20.0 -10.3 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 -2.7 -14.1 -12.9 -12.6 -15.1 -15.0 14.6 16.9 16.1 16.9 -20.0 -20.0 -14.4 -20.0 -20.0 9.0 -0.0 -5.9 -0.6 -6.2 -2.4 -6.3 -4.5 20.0 15.5 4.7 -5.9 -0.9 BUXL -7.7 -18.0 1.0 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 0.7 -14.4 -12.3 -13.0 -14.6 -14.7 6.9 -5.7 5.7 -1.5 -20.0 -20.0 -17.4 -20.0 -20.0 6.3 -0.0 -6.0 -1.0 -5.8 -3.2 -5.5 -5.3 -15.9 7.4 -13.2 -5.1 3.9 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 6.0 -16.1 -12.4 -4.8 1.0 -4.8 -0.8 -4.3 -3.4 8.5 -14.1 -3.7 -13.5 -12.4 -14.0 -1.7 -0.4 -1.2 -0.8 -20.0 -18.2 -2.4 -12.0 -14.3 -8.2 -0.0 -5.6 1.1 -5.2 -0.6 -3.7 -3.7 1.6 0.2 -0.4 -6.1 -7.1 CANOLA 20.0 9.6 -17.2 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 13.3 -10.3 13.9 0.2 14.3 3.2 -1.9 10.8 -3.2 2.2 4.2 -11.4 12.3 -0.3 15.5 3.1 -0.0 3.6 3.6 0.1 4.0 2.2 5.3 -0.2 18.1 20.0 20.0 10.5 CHF -11.4 -7.4 1.1 -4.8 1.0 -4.8 -0.8 -4.3 -3.4 -2.6 -12.1 -12.1 -11.1 -14.1 -13.1 -12.2 -10.7 -12.1 -11.7 -15.7 -13.0 -10.3 -11.7 -15.9 -3.1 -0.0 -5.5 -1.1 -5.3 -3.3 -5.7 -5.2 -16.7 -9.0 -6.8 9.2 9.0 COCOA 4.9 1.0 -2.8 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -7.9 -11.9 -0.7 -12.2 -0.3 -4.1 1.3 -4.1 -0.0 -2.1 -4.6 -8.5 -4.1 -10.3 -3.2 15.4 -0.0 -2.2 -2.0 -5.2 -2.8 -6.5 -1.6 -17.9 -2.5 13.8 3.4 3.8 COFFEE -20.0 -16.1 -3.2 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -13.7 -5.0 -15.6 3.1 -15.0 -7.4 13.0 5.3 11.7 9.2 -17.0 -6.6 -20.0 1.6 -20.0 8.4 -0.0 -4.4 -5.0 -2.0 -8.1 0.6 -7.4 0.2 -20.0 -20.0 -20.0 -2.8 COPPER 7.7 5.1 -8.8 -3.2 0.9 -2.8 -1.6 -1.3 -2.8 6.6 -12.8 0.4 -11.2 -5.6 -6.9 1.1 0.2 0.8 0.3 -10.2 -18.6 1.0 -18.2 -3.9 19.5 -0.0 -4.7 3.2 -6.9 0.5 -5.7 -2.2 2.3 11.3 1.1 -6.6 -8.9 CORN 1.7 17.0 12.0 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -9.4 2.1 1.0 5.3 8.3 11.7 14.6 11.9 10.9 10.5 11.7 10.6 -0.7 14.6 6.6 -20.0 -0.0 4.2 -1.8 5.8 -0.7 9.7 1.9 7.0 -1.1 11.3 16.0 18.9 COTTON2 -13.5 -20.0 -20.0 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -13.1 -12.1 -14.6 3.0 -15.9 -14.8 5.3 20.0 13.2 19.4 -20.0 -15.4 -20.0 1.4 -20.0 -15.1 -0.0 -5.1 -4.6 -2.2 -5.0 2.2 -5.6 20.0 -20.0 -20.0 -20.0 -13.1 CRUDE_W 18.6 -3.0 -17.2 -1.9 -1.9 0.3 -1.4 7.0 -0.7 -4.2 -6.9 6.1 4.2 3.3 -2.8 6.1 14.9 9.4 12.8 -2.3 -3.9 3.5 4.8 3.7 12.7 -0.0 -0.6 0.2 0.2 1.6 7.2 1.6 -20.0 5.3 7.7 5.7 13.3 DAX 15.3 -5.0 -3.3 -3.6 4.7 -3.4 2.2 -2.4 -1.5 13.1 -11.5 13.3 -11.7 -1.1 -7.5 -3.1 -0.8 -2.3 -1.5 -8.0 -13.9 15.0 -14.1 3.3 4.1 -0.0 -2.7 8.0 -5.3 6.3 -6.5 1.9 0.0 8.5 12.7 18.6 0.6 DOW 18.9 -12.1 -0.5 -3.6 4.7 -3.4 2.2 -2.4 -1.5 13.6 -9.6 12.7 -8.7 -2.6 -8.1 -4.2 -0.8 -3.4 -2.4 -8.8 -11.5 19.1 -8.6 3.0 -1.0 -0.0 -2.9 8.8 -3.6 6.0 -2.3 0.9 -0.8 20.0 14.2 3.5 4.4 EUR 9.2 7.3 -1.2 -4.8 1.0 -4.8 -0.8 -4.3 -3.4 12.3 -14.3 1.3 -15.1 -4.9 -10.9 -7.7 -8.3 -8.2 -8.5 -13.3 -20.0 3.4 -20.0 -4.7 10.1 -0.0 -5.5 3.3 -8.8 1.4 -10.9 -1.7 -11.9 10.6 17.6 20.0 -8.8 EUROSTX 13.5 -6.4 -0.7 -3.6 4.7 -3.4 2.2 -2.4 -1.5 13.4 -9.8 13.3 -10.6 -1.4 -7.2 -0.5 3.3 0.4 1.5 -6.6 -9.8 14.0 -8.7 2.7 -3.0 -0.0 -2.3 8.1 -3.8 6.1 -4.1 1.6 6.1 5.4 12.2 15.2 6.8 FEEDCOW 3.5 -20.0 -2.0 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 13.7 -2.5 11.2 -0.9 -5.6 -8.4 -10.3 -20.0 -14.3 -20.0 -9.1 -6.3 12.2 -2.6 -2.2 4.6 -0.0 -3.6 6.6 -2.5 3.8 -0.9 -1.1 -20.0 20.0 6.8 -19.5 4.3 FTSE100 -2.9 -19.4 -8.0 -3.6 4.7 -3.4 2.2 -2.4 -1.5 12.8 -6.3 0.6 2.6 -10.8 -10.9 -1.3 4.6 -1.0 1.0 -13.5 -9.0 2.1 -0.6 -9.4 -7.0 -0.0 -4.4 5.9 -4.3 1.7 -2.8 -2.5 7.1 -16.9 -9.8 10.6 3.7 GASOIL 20.0 -5.0 -16.8 -1.9 -1.9 0.3 -1.4 7.0 -0.7 -8.9 7.7 3.7 10.8 4.4 2.8 20.0 20.0 20.0 20.0 6.8 9.0 2.2 17.6 8.0 -5.1 -0.0 2.6 -0.7 3.4 1.1 7.9 3.2 0.0 -9.1 19.5 15.5 13.8 GASOILINE 17.2 -4.2 -20.0 -1.9 -1.9 0.3 -1.4 7.0 -0.7 -0.3 -5.1 3.3 5.1 2.3 -8.7 20.0 20.0 20.0 20.0 -4.7 -3.4 2.7 11.4 1.8 2.5 -0.0 -1.2 2.0 1.1 1.4 10.9 1.0 11.9 10.0 4.4 6.7 5.3 GAS_US -20.0 -20.0 -4.1 -1.9 -1.9 0.3 -1.4 7.0 -0.7 -11.2 -0.6 -14.4 5.1 -16.0 -8.9 -20.0 -8.7 -19.2 -12.1 -20.0 -6.7 -20.0 8.0 -20.0 -10.4 -0.0 -3.9 -7.0 0.8 -8.5 5.2 -7.3 -20.0 -20.0 -20.0 -18.0 20.0 GBP 15.8 13.5 2.6 -4.8 1.0 -4.8 -0.8 -4.3 -3.4 6.8 -12.6 7.0 -13.7 -0.4 -7.2 -1.0 -1.2 -1.4 -1.5 -13.6 -19.4 3.3 -18.8 -3.7 18.3 -0.0 -5.3 1.0 -6.9 0.4 -6.7 -2.2 0.1 11.1 19.6 -2.8 -13.8 GOLD_micro 9.2 -2.5 -11.5 -3.2 0.9 -2.8 -1.6 -1.3 -2.8 -1.1 -14.3 -9.1 -12.4 -9.8 -12.0 -9.9 -6.9 -9.3 -8.4 -16.0 -17.7 -9.1 -13.3 -12.6 9.6 -0.0 -5.2 -0.4 -4.9 -3.0 -3.1 -4.2 -11.0 -6.2 -3.0 -12.5 -15.5 HEATOIL 20.0 -8.7 -20.0 -1.9 -1.9 0.3 -1.4 7.0 -0.7 -4.9 5.5 5.9 9.8 5.1 0.9 20.0 20.0 20.0 20.0 5.0 7.5 3.1 17.7 7.3 -15.5 -0.0 2.6 -0.2 5.3 1.2 12.6 2.8 2.8 3.4 17.4 10.0 20.0 JPY -3.1 -11.3 -1.8 -4.8 1.0 -4.8 -0.8 -4.3 -3.4 -5.2 -16.6 -11.0 -16.1 -15.0 -16.3 -14.6 -9.2 -12.8 -11.2 -20.0 -20.0 -15.6 -20.0 -20.0 20.0 -0.0 -6.4 -0.7 -7.4 -3.7 -8.6 -5.6 -14.8 -20.0 -18.5 -10.2 -8.2 LEANHOG 19.2 -1.2 -5.2 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 14.0 -7.5 14.0 -1.8 9.1 1.6 20.0 20.0 20.0 20.0 2.8 -2.1 20.0 1.7 17.1 7.2 -0.0 0.1 8.5 -1.1 8.9 0.5 4.4 20.0 20.0 20.0 4.4 10.6 LIVECOW 10.1 0.3 8.2 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 14.1 -0.5 13.1 -4.6 8.1 6.9 -20.0 -20.0 -20.0 -20.0 4.8 0.9 20.0 -2.4 13.3 -3.7 -0.0 2.1 16.7 1.4 12.4 1.0 5.9 -20.0 20.0 20.0 7.8 20.0 MXP 3.6 1.5 8.2 -4.8 1.0 -4.8 -0.8 -4.3 -3.4 12.5 14.7 13.8 14.1 12.3 14.6 16.9 19.4 17.3 18.4 7.6 9.7 6.7 11.5 6.2 -20.0 -0.0 3.7 6.6 3.5 4.6 4.4 3.8 20.0 2.0 20.0 20.0 20.0 NASDAQ 2.7 -16.9 1.6 -3.6 4.7 -3.4 2.2 -2.4 -1.5 12.6 -12.9 2.9 -11.8 -10.5 -12.2 -4.6 -2.5 -4.2 -3.5 -17.4 -17.3 3.4 -14.6 -10.7 7.7 -0.0 -4.8 4.3 -4.8 1.1 -3.4 -2.9 -3.1 -6.3 -8.3 -4.4 -0.1 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 4.5 -14.8 -3.7 -4.8 1.0 -4.8 -0.8 -4.3 -3.4 8.8 -15.2 4.4 -14.6 -11.2 -14.0 -0.9 1.1 -0.4 0.3 -20.0 -20.0 1.7 -19.3 -12.7 0.1 -0.0 -5.6 1.8 -5.8 0.3 -4.8 -3.2 3.8 12.7 2.1 -6.4 -5.5 OAT 2.0 -20.0 -3.8 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 2.5 -13.9 -11.8 -12.6 -14.6 -14.5 16.9 10.4 12.2 11.8 -20.0 -20.0 -11.3 -20.0 -20.0 13.2 -0.0 -5.9 0.3 -6.5 -1.9 -7.0 -4.4 12.8 19.4 4.0 -3.3 -0.7 OJ 12.5 16.7 5.8 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 12.7 14.2 14.2 13.2 14.8 14.6 19.1 10.3 16.8 15.0 20.0 19.4 20.0 16.4 20.0 -20.0 -0.0 6.1 4.3 5.6 4.9 5.0 5.8 9.7 20.0 20.0 20.0 20.0 PALLAD -9.8 1.1 7.1 -3.2 0.9 -2.8 -1.6 -1.3 -2.8 -12.6 -7.8 -13.6 -4.3 -10.9 0.7 -1.2 -0.9 -1.2 -1.1 -3.4 -0.9 -15.7 -2.7 -10.9 -2.9 -0.0 -1.2 -7.2 0.6 -7.6 0.0 -5.2 0.2 -20.0 -13.0 11.1 20.0 PLAT 11.9 14.4 6.0 -3.2 0.9 -2.8 -1.6 -1.3 -2.8 11.6 -7.6 10.6 -9.6 10.4 4.1 0.3 -0.5 -0.1 -0.3 3.4 -2.4 9.8 -6.3 7.3 10.4 -0.0 0.6 7.2 -2.8 5.4 -4.9 3.4 1.3 19.0 12.2 17.8 5.5 REDWHEAT -0.3 18.9 -9.6 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -13.3 -8.6 -10.5 -2.0 3.0 2.8 1.0 -1.4 0.5 -0.2 2.5 -1.7 -7.5 2.2 0.1 -15.3 -0.0 2.6 -4.1 2.9 -3.1 6.0 0.4 -13.4 -17.5 9.9 20.0 8.4 ROBUSTA -20.0 -15.4 4.7 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -13.5 -0.6 -15.0 7.7 -15.1 -3.4 8.3 6.1 6.9 6.2 -11.5 -0.8 -20.0 6.0 -20.0 -0.7 -0.0 -3.1 -8.6 -0.1 -8.6 1.6 -6.9 -1.5 -20.0 -20.0 -20.0 14.6 RUSSELL 8.6 -12.3 7.5 -3.6 4.7 -3.4 2.2 -2.4 -1.5 7.2 -10.1 5.7 -11.3 -8.2 -9.9 -3.7 -1.4 -3.1 -2.4 -10.0 -10.7 3.1 -10.6 -4.9 -3.6 -0.0 -3.4 2.7 -3.4 1.3 -2.7 -1.6 -1.3 -8.5 4.6 4.9 10.5 SILVER-mini 7.6 19.1 3.7 -3.2 1.2 -2.7 -2.2 -1.2 -3.0 -4.9 -12.4 -10.5 -12.3 -5.4 -5.9 -2.6 -2.6 -3.0 -2.9 -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 -2.7 -14.7 0.6 14.6 -13.4 SOYBEAN -2.3 0.8 -0.8 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -7.9 -2.4 -4.0 3.5 -2.0 3.1 11.7 20.0 19.0 20.0 -2.0 -1.1 -2.9 5.3 -2.2 -14.3 -0.0 1.0 -3.4 4.4 -1.9 10.6 -0.9 20.0 2.2 3.1 5.5 12.9 SOYMEAL -7.7 -3.0 2.2 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 0.2 -3.4 1.1 6.9 -6.7 0.9 13.5 14.3 13.3 15.0 -2.2 1.2 -0.9 5.3 -3.4 -8.2 -0.0 1.3 -0.3 4.2 -0.0 8.0 -0.5 13.6 12.6 -2.8 6.2 20.0 SOYOIL 13.9 4.5 -2.4 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 13.1 -2.4 14.4 3.5 10.7 8.3 20.0 20.0 19.9 20.0 5.3 1.5 19.6 7.9 13.1 -18.6 -0.0 4.3 8.8 3.9 8.8 7.3 6.4 20.0 20.0 20.0 16.9 17.7 SP400 10.7 -12.3 3.8 -3.6 4.7 -3.4 2.2 -2.4 -1.5 6.6 -9.4 6.4 -8.7 -7.6 -9.2 0.3 -1.3 -0.3 -0.8 -9.3 -9.6 3.6 -7.5 -4.2 -5.9 -0.0 -3.1 3.0 -2.9 1.5 -1.6 -1.3 -0.1 -9.0 5.8 6.0 11.7 SP500 8.8 -14.9 0.4 -3.6 4.7 -3.4 2.2 -2.4 -1.5 12.7 -11.8 6.8 -9.8 -9.5 -11.3 -4.4 -2.3 -3.9 -3.2 -13.9 -14.0 7.7 -10.1 -6.2 6.3 -0.0 -4.3 5.5 -4.7 2.4 -3.6 -1.8 -2.6 1.2 -0.9 -2.1 2.6 SUGAR11 16.6 8.6 -4.9 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -13.4 -6.6 5.9 -4.8 8.4 1.6 20.0 12.9 20.0 18.3 4.6 -1.2 -2.1 -1.1 6.7 -5.0 -0.0 3.2 -8.0 1.0 -1.4 0.8 3.3 12.9 -6.3 20.0 15.8 13.2 US10 -8.3 -20.0 -11.1 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 -9.3 -15.1 -13.8 -14.0 -15.6 -15.5 -4.3 3.3 -2.8 -0.7 -20.0 -20.0 -20.0 -20.0 -20.0 -4.6 -0.0 -6.0 -2.6 -5.6 -4.0 -5.5 -5.4 -4.9 0.1 1.4 -2.3 -5.2 US10U -11.8 -20.0 -10.8 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 -13.8 -15.0 -15.5 -13.6 -16.1 -15.5 -0.5 6.8 1.0 3.3 -20.0 -20.0 -20.0 -20.0 -20.0 -6.0 -0.0 -6.0 -4.0 -5.4 -5.0 -5.0 -5.8 2.0 -7.2 -3.5 -1.6 -2.8 US20 -16.2 -20.0 -13.7 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 -14.1 -15.3 -15.8 -13.8 -16.4 -15.9 1.0 3.1 1.8 2.3 -20.0 -20.0 -20.0 -20.0 -20.0 -8.4 -0.0 -6.0 -7.2 -5.0 -6.9 -4.4 -6.6 -2.6 -20.0 -16.1 -3.7 -3.6 US30 -20.0 -20.0 -12.3 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 -14.1 -16.3 -15.9 -15.3 -16.5 -16.3 -1.0 1.0 -0.4 0.0 -20.0 -20.0 -20.0 -20.0 -20.0 -4.9 -0.0 -6.1 -7.9 -5.4 -7.9 -5.2 -7.1 -6.3 -20.0 -20.0 4.7 -0.8 US5 -5.1 -20.0 -10.4 -5.0 -2.6 -4.7 -3.7 -4.5 -4.7 -5.0 -15.0 -11.9 -14.2 -14.8 -15.1 -4.4 5.6 -3.2 -0.0 -20.0 -20.0 -18.3 -20.0 -20.0 -1.3 -0.0 -6.0 -1.5 -5.9 -3.4 -6.2 -5.1 -2.0 3.9 5.8 -2.2 -7.4 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 0.8 15.4 -12.0 -3.5 -3.0 -2.9 -3.9 1.0 -3.8 -8.5 -9.7 -8.4 -4.4 5.0 1.5 -2.0 -3.5 -3.3 -3.5 0.3 -5.0 -4.7 -0.8 0.4 -14.5 -0.0 1.4 -2.7 1.8 -2.5 5.4 -0.0 -17.9 -11.3 7.4 17.1 3.1 End of report for caleb_strategy_v1