******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221025_204305 produced at 2022-10-25 21:34:48.870462 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 0.0 38130632.14 -38130632.14 -0.04 -0.04 -6.58 999999999 -1 -1 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.15 0.0 27995058.25 -27995058.25 -0.14 -0.14 -5.19 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.25 -0.14 0.0 35112192.98 -35112192.98 -0.25 -0.25 -4.00 999999999 -7 -7 caleb_strategy_v1 US20 False False 0.04 -0.08 -0.13 0.0 39597392.86 -39597392.86 -0.08 -0.08 -3.20 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.04 -0.04 -0.13 0.0 41588070.21 -41588070.21 -0.04 -0.04 -3.20 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 36427131.09 -36427131.09 0.00 0.00 -3.25 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.29 -0.12 0.0 41851572.49 -41851572.49 -0.29 -0.29 -2.86 999999999 -7 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.08 0.0 20194155.70 -20194155.70 -0.04 -0.04 -3.86 999999999 -2 -2 caleb_strategy_v1 VIX False False 0.01 0.00 -0.07 0.0 9831928.69 -9831928.69 0.00 -0.01 -7.44 999999999 0 -1 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.06 0.0 29644006.09 -29644006.09 -0.06 -0.06 -1.94 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.05 -0.05 -0.06 0.0 47305200.28 -47305200.28 -0.05 -0.05 -1.22 999999999 -1 -1 caleb_strategy_v1 FTSE100 False False 0.03 -0.03 -0.06 0.0 26519456.70 -26519456.70 -0.03 -0.03 -2.17 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.04 -0.08 -0.05 0.0 41178406.51 -41178406.51 -0.08 -0.08 -1.10 999999999 -2 -2 caleb_strategy_v1 CAD False False 0.02 -0.05 -0.04 0.0 24186215.19 -24186215.19 -0.05 -0.05 -1.48 999999999 -2 -2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.03 0.0 21073594.55 -21073594.55 0.00 0.00 -1.26 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 5461084.68 -5461084.68 -0.01 -0.02 -6.33 999999999 -2 -3 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 77025009.15 -77025009.15 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.02 0.0 2967859.08 -2967859.08 -0.02 -0.02 -7.04 999999999 -7 -8 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 78652135.71 -78652135.71 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14414397.96 -14414397.96 0.00 0.00 -0.39 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 18960635.67 -18960635.67 0.00 0.00 -0.61 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7588865.56 -7588865.56 0.00 0.00 -0.94 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 21205345.69 -21205345.69 -0.02 -0.02 -0.56 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 63660503.08 -63660503.08 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.03 -0.01 0.0 5241554.34 -5241554.34 -0.03 -0.03 -1.29 999999999 -6 -6 caleb_strategy_v1 DAX False False 0.00 0.00 -0.01 0.0 4291524.62 -4291524.62 0.00 0.00 -1.21 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 63553455.28 -63553455.28 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15353124.82 -15353124.82 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 9980148.72 -9980148.72 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 12896789.54 -12896789.54 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4199965.98 -4199965.98 0.00 0.00 0.91 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 22757950.51 -22757950.51 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 -0.00 0.0 18678631.24 -18678631.24 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 11742635.03 -11742635.03 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 669954.54 -669954.54 0.00 0.00 7.28 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6439336.88 -6439336.88 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 28058875.21 -28058875.21 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 23643153.47 -23643153.47 0.02 0.02 0.30 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 13175772.57 -13175772.57 0.01 0.01 0.83 999999999 1 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 15902774.10 -15902774.10 0.00 0.00 0.57 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10284823.22 -10284823.22 0.02 0.02 0.60 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15192553.12 -15192553.12 0.00 0.00 0.61 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.02 0.02 0.02 0.0 24947078.01 -24947078.01 0.02 0.05 0.72 999999999 1 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 6677147.68 -6677147.68 0.01 0.01 2.34 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.02 0.0 8201508.35 -8201508.35 0.00 0.00 2.97 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.03 0.0 43459889.23 -43459889.23 0.00 0.04 0.73 999999999 0 1 caleb_strategy_v1 BTP False False 0.04 0.07 0.03 0.0 37340857.57 -37340857.57 0.07 0.07 0.90 999999999 2 2 caleb_strategy_v1 GASOILINE False False 0.03 0.00 0.04 0.0 34006418.03 -34006418.03 0.00 0.00 1.05 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.05 0.0 47585744.33 -47585744.33 0.10 0.10 0.98 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.05 0.0 13086181.80 -13086181.80 0.07 0.07 3.50 999999999 5 5 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 33036597.90 -33036597.90 0.00 0.00 1.37 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 22364755.70 -22364755.70 0.02 0.02 3.26 999999999 1 1 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.07 0.0 5782327.46 -5782327.46 0.00 0.05 12.32 999999999 0 8 caleb_strategy_v1 LEANHOG False False 0.01 0.04 0.08 0.0 11953122.01 -11953122.01 0.04 0.05 6.40 999999999 3 4 caleb_strategy_v1 BUND False False 0.05 0.00 0.13 0.0 45300520.20 -45300520.20 0.00 0.00 2.88 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.16 0.33 0.0 39178207.56 -39178207.56 0.16 0.20 8.33 999999999 4 5 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 11.2 Shocked risk 20.8 Sum abs risk 40.3 Leverage 2.67 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3036026.9, 'annual_cash_vol_target': 759006.725, 'daily_cash_vol_target': 47437.9203125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0060 0.6398 0.9309 14.8951 BITCOIN 714.5791 20340.0000 3.5132 56.2107 BOBL 0.4029 119.4100 0.3374 5.3987 BTP 1.0639 113.8100 0.9348 14.9566 BUND 0.9085 138.0700 0.6580 10.5284 BUXL 2.5221 144.1800 1.7492 27.9879 CAC 69.6113 5693.0000 1.2228 19.5640 CAD 0.0047 0.7343 0.6400 10.2393 CANOLA 8.7552 868.3000 1.0083 16.1331 CHF 0.0063 1.0101 0.6211 9.9368 COCOA 33.5107 2304.0000 1.4545 23.2713 COFFEE 0.0365 1.8425 1.9803 31.6853 COPPER 0.0512 3.4075 1.5020 24.0314 CORN 5.9768 624.5000 0.9571 15.3129 COTTON2 0.0216 0.7831 2.7536 44.0580 CRUDE_W 1.6915 75.7400 2.2334 35.7338 DAX 149.3262 13080.0000 1.1416 18.2662 DOW 372.6584 31827.0000 1.1709 18.7342 EUR 0.0071 1.0002 0.7078 11.3248 EUROSTX 42.9360 3579.0000 1.1997 19.1946 FEEDCOW 1.4672 180.0000 0.8151 13.0419 FTSE100 60.7369 7020.0000 0.8652 13.8432 GASOIL 24.5243 1003.0000 2.4451 39.1215 GASOILINE 0.0514 2.4582 2.0912 33.4589 GAS_US 0.2265 6.4380 3.5179 56.2857 GBP 0.0113 1.1485 0.9881 15.8097 GOLD_micro 15.4079 1658.0000 0.9293 14.8689 HEATOIL 0.0704 3.4398 2.0465 32.7435 JPY 0.0000 0.0068 0.7270 11.6318 LEANHOG 1.4159 90.7250 1.5606 24.9701 LIVECOW 0.9539 153.2750 0.6224 9.9577 MXP 0.0003 0.0498 0.6379 10.2057 NASDAQ 187.4853 11692.5000 1.6035 25.6555 NIKKEI 285.3658 25975.0000 1.0986 17.5779 NZD 0.0055 0.5756 0.9609 15.3750 OAT 0.9140 132.4600 0.6900 11.0402 OJ 0.0363 2.0200 1.7983 28.7727 PALLAD 47.6030 1929.5000 2.4671 39.4739 PLAT 17.5288 922.5000 1.9001 30.4023 REDWHEAT 17.1484 932.2500 1.8395 29.4314 ROBUSTA 26.3164 1955.0000 1.3461 21.5378 RUSSELL 29.1478 1802.1000 1.6174 25.8790 SILVER-mini 0.4172 19.3125 2.1601 34.5616 SOYBEAN 13.0497 1358.0000 0.9609 15.3752 SOYMEAL 5.5145 397.3000 1.3880 22.2081 SOYOIL 0.9358 66.6700 1.4036 22.4578 SP400 35.6726 2387.9000 1.4939 23.9023 SP500 52.8582 3865.5000 1.3674 21.8790 SUGAR11 0.0022 0.1810 1.2216 19.5460 US10 0.5580 110.5938 0.5045 8.0726 US10U 0.7726 115.7656 0.6674 10.6778 US20 1.0746 120.2188 0.8939 14.3024 US30 1.5840 127.0625 1.2466 19.9463 US5 0.3669 106.6016 0.3442 5.5068 VIX 0.6282 29.8500 2.1044 33.6709 WHEAT 14.5579 875.2500 1.6633 26.6126 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 639.80 0.93 595.62 1.00 595.62 47437.92 79.64 -9.88 -78.69 BITCOIN 20.34 3.51 71.46 1.00 71.46 47437.92 663.86 4.65 309.00 BOBL 1194.10 0.34 402.91 0.99 397.91 47437.92 119.22 9.68 115.43 BTP 1138.10 0.93 1063.88 0.99 1050.66 47437.92 45.15 9.87 44.55 BUND 1380.70 0.66 908.54 0.99 897.25 47437.92 52.87 7.54 39.87 BUXL 1441.80 1.75 2522.06 0.99 2490.73 47437.92 19.05 -7.64 -14.55 CAC 569.30 1.22 696.11 0.99 681.77 47437.92 69.58 -1.09 -7.62 CAD 734.30 0.64 469.92 1.00 469.92 47437.92 100.95 -8.21 -82.88 CANOLA 173.66 1.01 175.10 0.73 127.68 47437.92 371.54 2.66 98.69 CHF 1262.62 0.62 784.16 1.00 784.16 47437.92 60.50 -14.12 -85.42 COCOA 230.40 1.45 335.11 1.00 335.11 47437.92 141.56 -3.04 -43.04 COFFEE 690.94 1.98 1368.28 1.00 1368.28 47437.92 34.67 1.05 3.63 COPPER 851.88 1.50 1279.49 1.00 1279.49 47437.92 37.08 1.83 6.80 CORN 312.25 0.96 298.84 1.00 298.84 47437.92 158.74 4.21 66.89 COTTON2 391.55 2.75 1078.18 1.00 1078.18 47437.92 44.00 -4.31 -18.97 CRUDE_W 757.40 2.23 1691.55 1.00 1691.55 47437.92 28.04 1.94 5.44 DAX 130.80 1.14 149.33 0.99 147.47 47437.92 321.68 -0.69 -22.22 DOW 159.14 1.17 186.33 1.00 186.33 47437.92 254.59 -1.77 -45.17 EUR 1250.19 0.71 884.88 1.00 884.88 47437.92 53.61 -5.46 -29.26 EUROSTX 357.90 1.20 429.36 0.99 424.02 47437.92 111.88 0.15 1.62 FEEDCOW 900.00 0.82 733.61 1.00 733.61 47437.92 64.66 -11.15 -72.10 FTSE100 702.00 0.87 607.37 1.13 685.17 47437.92 69.23 -3.04 -21.03 GASOIL 1003.00 2.45 2452.43 1.00 2452.43 47437.92 19.34 9.90 19.15 GASOILINE 1032.44 2.09 2159.03 1.00 2159.03 47437.92 21.97 11.66 25.61 GAS_US 643.80 3.52 2264.79 1.00 2264.79 47437.92 20.95 -17.65 -36.98 GBP 717.81 0.99 709.28 1.00 709.28 47437.92 66.88 2.52 16.83 GOLD_micro 165.80 0.93 154.08 1.00 154.08 47437.92 307.88 -9.18 -282.76 HEATOIL 1444.72 2.05 2956.57 1.00 2956.57 47437.92 16.04 8.59 13.78 JPY 849.94 0.73 617.89 1.00 617.89 47437.92 76.77 -10.45 -80.21 LEANHOG 362.90 1.56 566.35 1.00 566.35 47437.92 83.76 16.36 137.03 LIVECOW 613.10 0.62 381.57 1.00 381.57 47437.92 124.32 -11.56 -143.78 MXP 249.00 0.64 158.83 1.00 158.83 47437.92 298.68 8.12 242.50 NASDAQ 2338.50 1.60 3749.71 1.00 3749.71 47437.92 12.65 -4.92 -6.22 NIKKEI 25975.00 1.10 28536.58 0.01 197.63 47437.92 240.03 2.70 64.85 NZD 575.65 0.96 553.16 1.00 553.16 47437.92 85.76 -4.42 -37.88 OAT 1324.60 0.69 913.99 0.99 902.63 47437.92 52.56 6.92 36.36 OJ 303.00 1.80 544.88 1.00 544.88 47437.92 87.06 1.31 11.37 PALLAD 1929.50 2.47 4760.30 1.00 4760.30 47437.92 9.97 -2.92 -2.91 PLAT 461.25 1.90 876.44 1.00 876.44 47437.92 54.13 4.69 25.38 REDWHEAT 466.12 1.84 857.42 1.00 857.42 47437.92 55.33 -8.10 -44.83 ROBUSTA 195.50 1.35 263.16 1.00 263.16 47437.92 180.26 -1.20 -21.59 RUSSELL 90.10 1.62 145.74 1.00 145.74 47437.92 325.50 -4.18 -136.01 SILVER-mini 482.81 2.16 1042.92 1.00 1042.92 47437.92 45.49 5.63 25.63 SOYBEAN 679.00 0.96 652.48 1.00 652.48 47437.92 72.70 7.61 55.36 SOYMEAL 397.30 1.39 551.45 1.00 551.45 47437.92 86.02 6.89 59.30 SOYOIL 400.02 1.40 561.47 1.00 561.47 47437.92 84.49 10.67 90.17 SP400 2387.90 1.49 3567.26 1.00 3567.26 47437.92 13.30 -3.82 -5.08 SP500 1932.75 1.37 2642.91 1.00 2642.91 47437.92 17.95 -3.50 -6.28 SUGAR11 202.72 1.22 247.65 1.00 247.65 47437.92 191.55 9.01 172.62 US10 1105.94 0.50 557.99 1.00 557.99 47437.92 85.02 -9.95 -84.62 US10U 1157.66 0.67 772.58 1.00 772.58 47437.92 61.40 -7.36 -45.18 US20 1202.19 0.89 1074.64 1.00 1074.64 47437.92 44.14 -9.85 -43.46 US30 1270.62 1.25 1584.02 1.00 1584.02 47437.92 29.95 -11.36 -34.02 US5 1066.02 0.34 366.89 1.00 366.89 47437.92 129.30 -8.07 -104.35 VIX 298.50 2.10 628.17 1.00 628.17 47437.92 75.52 -5.23 -39.48 WHEAT 437.62 1.66 727.90 1.00 727.90 47437.92 65.17 -11.30 -73.62 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -78.692 0.006 2.5 -1.257 BITCOIN 308.997 0.009 2.5 7.280 BOBL 115.432 0.029 2.5 8.329 BTP 44.553 0.008 2.5 0.900 BUND 39.869 0.029 2.5 2.877 BUXL -14.550 0.034 2.5 -1.221 CAC -7.616 0.011 2.5 -0.214 CAD -82.876 0.007 2.5 -1.480 CANOLA 98.689 0.004 2.5 0.906 CHF -85.417 0.015 2.5 -3.197 COCOA -43.039 0.009 2.5 -0.938 COFFEE 3.634 0.005 2.5 0.047 COPPER 6.803 0.011 2.5 0.186 CORN 66.889 0.004 2.5 0.603 COTTON2 -18.971 0.006 2.5 -0.286 CRUDE_W 5.435 0.053 2.5 0.718 DAX -22.221 0.022 2.5 -1.207 DOW -45.168 0.011 2.5 -1.287 EUR -29.264 0.015 2.5 -1.095 EUROSTX 1.625 0.011 2.5 0.046 FEEDCOW -72.097 0.011 2.5 -1.937 FTSE100 -21.026 0.041 2.5 -2.168 GASOIL 19.155 0.029 2.5 1.366 GASOILINE 25.613 0.016 2.5 1.052 GAS_US -36.978 0.006 2.5 -0.557 GBP 16.826 0.007 2.5 0.300 GOLD_micro -282.759 0.009 2.5 -6.327 HEATOIL 13.781 0.029 2.5 0.983 JPY -80.209 0.026 2.5 -5.192 LEANHOG 137.026 0.019 2.5 6.402 LIVECOW -143.780 0.011 2.5 -3.864 MXP 242.505 0.005 2.5 2.969 NASDAQ -6.225 0.022 2.5 -0.338 NIKKEI 64.850 0.076 2.5 12.317 NZD -37.877 0.006 2.5 -0.605 OAT 36.359 0.008 2.5 0.734 OJ 11.371 0.007 2.5 0.198 PALLAD -2.911 0.010 2.5 -0.070 PLAT 25.376 0.010 2.5 0.611 REDWHEAT -44.828 0.002 2.5 -0.239 ROBUSTA -21.590 0.005 2.5 -0.280 RUSSELL -136.008 0.021 2.5 -7.045 SILVER-mini 25.628 0.009 2.5 0.573 SOYBEAN 55.357 0.024 2.5 3.264 SOYMEAL 59.302 0.024 2.5 3.496 SOYOIL 90.174 0.004 2.5 0.828 SP400 -5.081 0.021 2.5 -0.263 SP500 -6.282 0.011 2.5 -0.179 SUGAR11 172.625 0.005 2.5 2.342 US10 -84.616 0.015 2.5 -3.246 US10U -45.180 0.058 2.5 -6.583 US20 -43.464 0.029 2.5 -3.203 US30 -34.016 0.034 2.5 -2.855 US5 -104.349 0.015 2.5 -4.003 VIX -39.476 0.075 2.5 -7.439 WHEAT -73.622 0.002 2.5 -0.393 ==================== Position diags ==================== AUD 1.27 BITCOIN 15.64 BOBL 8.60 BTP 0.91 BUND 3.82 BUXL 1.60 CAC 1.96 CAD 1.80 CANOLA 3.41 CHF 2.26 COCOA 3.08 COFFEE 0.45 COPPER 1.01 CORN 1.43 COTTON2 0.66 CRUDE_W 3.70 DAX 17.47 DOW 7.26 EUR 2.01 EUROSTX 3.15 FEEDCOW 1.74 FTSE100 7.14 GASOIL 1.38 GASOILINE 0.90 GAS_US 0.32 GBP 1.19 GOLD_micro 6.89 HEATOIL 1.14 JPY 4.97 LEANHOG 3.91 LIVECOW 3.34 MXP 3.66 NASDAQ 0.69 NIKKEI 45.59 NZD 1.37 OAT 1.06 OJ 1.52 PALLAD 0.24 PLAT 1.30 REDWHEAT 0.30 ROBUSTA 2.34 RUSSELL 16.86 SILVER-mini 1.02 SOYBEAN 4.29 SOYMEAL 5.07 SOYOIL 0.78 SP400 0.69 SP500 0.51 SUGAR11 2.60 US10 3.26 US10U 8.95 US20 3.25 US30 2.51 US5 4.96 VIX 14.23 WHEAT 0.35 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.3 -1.4 -1.1 NaN 0 BITCOIN 7.3 6.6 8.0 NaN 0 BOBL 8.3 7.5 9.2 4.0 4 BTP 0.9 0.8 1.0 2.0 2 BUND 2.9 2.6 3.2 NaN 0 BUXL -1.2 -1.3 -1.1 -1.0 -1 CAC -0.2 -0.2 -0.2 NaN 0 CAD -1.5 -1.6 -1.3 -2.0 -2 CANOLA 0.9 0.8 1.0 NaN 0 CHF -3.2 -3.5 -2.9 -1.0 -1 COCOA -0.9 -1.0 -0.8 NaN 0 COFFEE 0.0 0.0 0.1 NaN 0 COPPER 0.2 0.2 0.2 NaN 0 CORN 0.6 0.5 0.7 2.0 2 COTTON2 -0.3 -0.3 -0.3 NaN 0 CRUDE_W 0.7 0.6 0.8 1.0 1 DAX -1.2 -1.3 -1.1 NaN 0 DOW -1.3 -1.4 -1.2 -6.0 -6 EUR -1.1 -1.2 -1.0 -2.0 -2 EUROSTX 0.0 0.0 0.1 NaN 0 FEEDCOW -1.9 -2.1 -1.7 -2.0 -2 FTSE100 -2.2 -2.4 -2.0 -1.0 -1 GASOIL 1.4 1.2 1.5 NaN 0 GASOILINE 1.1 0.9 1.2 NaN 0 GAS_US -0.6 -0.6 -0.5 -1.0 -1 GBP 0.3 0.3 0.3 1.0 1 GOLD_micro -6.3 -7.0 -5.7 -2.0 -2 HEATOIL 1.0 0.9 1.1 2.0 2 JPY -5.2 -5.7 -4.7 -5.0 -5 LEANHOG 6.4 5.8 7.0 3.0 3 LIVECOW -3.9 -4.2 -3.5 -2.0 -2 MXP 3.0 2.7 3.3 NaN 0 NASDAQ -0.3 -0.4 -0.3 0.0 0 NIKKEI 12.3 11.1 13.5 NaN 0 NZD -0.6 -0.7 -0.5 NaN 0 OAT 0.7 0.7 0.8 NaN 0 OJ 0.2 0.2 0.2 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.6 0.5 0.7 NaN 0 REDWHEAT -0.2 -0.3 -0.2 NaN 0 ROBUSTA -0.3 -0.3 -0.3 NaN 0 RUSSELL -7.0 -7.7 -6.3 -7.0 -7 SILVER-mini 0.6 0.5 0.6 NaN 0 SOYBEAN 3.3 2.9 3.6 1.0 1 SOYMEAL 3.5 3.1 3.8 5.0 5 SOYOIL 0.8 0.7 0.9 1.0 1 SP400 -0.3 -0.3 -0.2 NaN 0 SP500 -0.2 -0.2 -0.2 NaN 0 SUGAR11 2.3 2.1 2.6 1.0 1 US10 -3.2 -3.6 -2.9 NaN 0 US10U -6.6 -7.2 -5.9 -1.0 -1 US20 -3.2 -3.5 -2.9 -2.0 -2 US30 -2.9 -3.1 -2.6 -7.0 -7 US5 -4.0 -4.4 -3.6 -7.0 -7 VIX -7.4 -8.2 -6.7 NaN 0 WHEAT -0.4 -0.4 -0.4 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 -0.0 0.1 -0.4 -0.0 -0.4 -0.1 -0.3 -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 -0.1 -0.0 -0.0 -0.0 -0.3 -0.1 -0.0 BITCOIN 0.1 0.0 -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 0.1 -0.0 0.1 0.0 BOBL -0.0 -0.3 -0.3 -0.1 0.0 -0.1 -0.0 -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 -0.0 -0.3 1.6 0.5 0.4 0.4 -0.2 -0.2 0.0 -0.2 -0.0 1.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 2.4 0.3 0.3 0.2 0.0 BUND -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 -0.4 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 -0.2 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 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 0.2 -0.2 -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 -0.2 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.3 -0.1 -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 0.0 0.4 -0.0 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 -0.2 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 -0.0 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 -0.2 -0.0 -0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -2.2 -0.1 -0.2 0.1 0.1 COCOA 0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -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 -2.6 0.0 0.2 0.0 0.1 COFFEE -0.2 -0.3 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -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 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.1 -0.4 -0.3 -0.1 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 0.1 0.0 -0.1 -0.1 CORN 0.0 0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 0.1 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 0.8 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 0.3 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 0.2 0.1 0.2 DAX 0.2 -0.1 -0.1 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.0 -0.3 0.1 -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 0.0 0.2 0.3 0.0 DOW 0.3 -0.2 -0.0 -0.1 0.1 -0.1 0.1 -0.1 -0.0 0.1 -0.2 0.1 -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 0.1 0.1 EUR 0.1 0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 0.0 -0.4 -0.0 -0.2 -0.5 -0.3 -0.2 -0.2 -0.1 -0.2 0.0 -0.3 -0.0 1.3 -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 0.1 -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 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.2 -0.9 -0.8 -0.3 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -2.7 0.0 0.2 -0.2 0.0 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 -0.3 0.1 0.0 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 -0.5 -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 -0.0 -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 -0.0 -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 -0.3 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 -0.3 0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 -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 0.0 -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 -0.0 -0.2 -0.2 HEATOIL 0.3 -0.1 -0.3 -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 -0.2 -0.1 LEANHOG 0.2 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.2 0.0 -0.0 0.0 0.1 1.6 0.8 0.4 0.4 0.1 -0.0 0.0 0.0 0.0 1.0 -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 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 0.0 0.0 -0.1 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.0 0.0 -0.0 0.0 -0.7 -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 0.1 -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 0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.5 0.0 0.1 -0.1 -0.1 OAT -0.0 -0.3 -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 1.4 0.4 0.3 0.3 -0.2 -0.2 -0.0 -0.2 -0.0 1.7 -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 0.2 -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 1.2 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 -0.1 -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 -0.3 0.1 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 1.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.0 0.2 0.3 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 -2.0 -0.1 0.1 0.3 0.1 ROBUSTA -0.2 -0.2 0.1 -0.1 -0.0 -0.1 -0.1 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 -0.4 -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 0.1 -0.3 0.0 -0.3 -0.0 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.1 0.1 0.2 SILVER-mini 0.0 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 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 4.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 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 0.0 -0.0 0.1 -0.0 1.7 0.1 -0.0 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 0.1 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 0.1 -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 -0.0 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 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -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 -0.9 -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 -0.0 -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 -0.1 -0.1 0.0 -0.1 -0.0 -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 -0.0 -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 -0.2 -0.1 -0.1 US30 -0.2 -0.3 -0.1 -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 0.0 -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 0.0 -0.0 US5 -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 -0.3 -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 -2.1 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.6 -0.0 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 -6.8 -18.0 -8.9 -4.7 2.7 -4.9 0.2 -4.5 -2.9 11.3 -14.9 -3.6 -13.7 -12.1 -14.2 -2.7 -1.5 -2.1 -1.7 -20.0 -19.9 -2.7 -14.5 -16.8 -9.6 -0.0 -5.8 2.5 -5.1 -0.6 -3.9 -4.2 -0.1 -1.3 -12.1 -7.2 -1.9 BITCOIN 7.1 0.0 -10.3 -3.2 1.0 -2.8 -1.2 -1.3 -2.6 10.7 -15.9 2.1 -15.6 -6.2 -11.3 0.1 -1.6 -0.2 -0.7 -9.7 -20.0 4.1 -20.0 -1.3 19.0 -0.0 -2.9 5.5 -6.4 2.3 -6.3 -0.1 0.0 15.4 -0.1 8.3 1.8 BOBL -1.4 -20.0 -15.3 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 7.6 -13.7 -10.1 -12.0 -14.0 -14.4 20.0 16.5 20.0 20.0 -20.0 -20.0 -6.0 -20.0 -20.0 9.4 -0.0 -5.7 2.0 -6.7 -0.9 -7.3 -3.6 20.0 10.6 17.6 0.2 -1.6 BTP 1.1 -11.0 -4.2 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 12.2 -13.7 -3.5 -13.0 -10.7 -13.1 20.0 12.6 18.9 16.7 -20.0 -20.0 4.4 -20.0 -11.4 10.0 -0.0 -5.6 5.7 -7.3 1.3 -8.5 -2.8 17.9 20.0 15.4 11.3 1.5 BUND -2.6 -20.0 -7.9 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 7.8 -14.0 -9.3 -12.6 -14.0 -14.8 14.6 16.9 16.1 16.8 -20.0 -20.0 -5.4 -20.0 -20.0 9.0 -0.0 -5.8 2.5 -6.3 -0.8 -6.5 -3.9 20.0 17.1 6.9 -4.4 -0.6 BUXL -8.5 -12.7 4.3 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 9.2 -14.3 -8.4 -13.0 -13.1 -14.4 6.9 -5.6 5.8 -1.3 -20.0 -20.0 -6.8 -20.0 -20.0 6.4 -0.0 -5.9 2.7 -5.9 -1.3 -5.6 -4.5 -15.4 14.4 -11.0 -3.9 4.3 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 4.2 -15.8 -12.5 -4.7 2.7 -4.9 0.2 -4.5 -2.9 12.2 -14.0 -0.5 -13.5 -11.4 -13.5 -1.8 -0.4 -1.3 -0.8 -19.6 -17.9 1.5 -12.0 -11.7 -7.9 -0.0 -5.5 2.6 -5.3 0.3 -3.8 -3.2 1.6 0.8 -0.2 -6.0 -7.0 CANOLA 20.0 12.4 -16.5 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 0.7 -10.2 10.6 0.1 14.0 3.6 0.5 10.9 -2.3 2.6 3.9 -10.6 7.2 -0.3 13.1 3.1 -0.0 3.5 -0.8 0.1 2.3 2.2 4.7 -1.2 13.1 20.0 20.0 11.3 CHF -9.2 -8.8 1.0 -4.7 2.7 -4.9 0.2 -4.5 -2.9 6.1 -12.2 -10.3 -11.2 -13.6 -13.1 -12.4 -10.8 -12.2 -11.8 -15.3 -13.1 -6.7 -11.8 -14.3 -3.1 -0.0 -5.5 1.0 -5.4 -2.1 -5.8 -4.8 -16.8 -13.2 -7.8 9.1 8.3 COCOA 4.3 0.9 -2.5 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -11.1 -11.9 -2.9 -12.2 -0.8 -4.2 1.2 -4.1 -0.0 -2.1 -4.7 -8.4 -4.7 -10.2 -3.6 14.9 -0.0 -2.3 -4.2 -5.2 -3.4 -6.5 -2.0 -19.1 1.1 11.7 3.2 3.6 COFFEE -20.0 -18.0 -4.0 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -14.1 -5.6 -15.9 2.6 -15.4 -8.3 12.7 5.4 11.6 9.2 -18.8 -7.7 -20.0 1.1 -20.0 8.3 -0.0 -4.6 -7.2 -2.1 -8.5 0.5 -7.5 -1.1 -20.0 -20.0 -20.0 -4.9 COPPER 7.6 5.2 -9.3 -3.2 1.0 -2.8 -1.2 -1.3 -2.6 2.9 -12.9 -1.0 -11.3 -5.5 -6.6 0.8 0.2 0.7 0.3 -10.2 -18.7 -0.2 -18.6 -3.9 19.3 -0.0 -4.8 0.6 -7.0 0.0 -5.8 -2.2 2.2 5.1 1.4 -7.1 -8.0 CORN 1.8 16.2 12.7 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -7.7 2.2 0.5 5.4 7.9 11.9 14.8 12.0 11.1 10.6 11.6 10.7 -0.2 14.9 6.3 -20.0 -0.0 4.2 -0.5 5.9 -0.4 9.9 1.8 5.9 1.4 12.0 14.2 19.3 COTTON2 -10.5 -20.0 -20.0 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -9.1 -12.3 -13.2 2.8 -15.7 -14.8 4.9 20.0 12.8 19.1 -20.0 -15.7 -20.0 1.0 -20.0 -14.8 -0.0 -5.1 -2.7 -2.3 -4.4 2.1 -5.5 20.0 -20.0 -20.0 -20.0 -14.1 CRUDE_W 17.5 -2.4 -16.5 -1.8 -0.4 0.3 -0.8 6.9 -0.6 3.2 -6.8 6.0 4.2 4.2 -2.1 6.4 14.9 9.5 12.7 -1.9 -3.7 4.5 4.9 4.2 12.4 -0.0 -0.4 1.5 0.3 2.1 7.3 1.9 -20.0 5.0 9.3 5.3 12.5 DAX 18.2 -5.4 -3.5 -3.2 6.4 -3.4 3.6 -2.4 -0.6 13.8 -11.1 14.2 -11.7 0.6 -6.6 -3.3 -0.8 -2.4 -1.6 -6.7 -13.6 18.3 -14.3 6.0 3.9 -0.0 -2.0 9.2 -5.0 7.4 -6.4 2.8 -0.0 6.3 11.9 17.9 1.3 DOW 19.4 -11.3 -0.8 -3.2 6.4 -3.4 3.6 -2.4 -0.6 13.9 -9.2 13.8 -8.6 -0.4 -7.2 -4.2 -0.8 -3.5 -2.5 -7.1 -11.1 20.0 -8.6 6.5 -1.0 -0.0 -2.3 9.2 -3.4 7.0 -2.3 1.9 -0.8 17.5 14.9 4.5 4.5 EUR 11.4 8.0 -1.3 -4.7 2.7 -4.9 0.2 -4.5 -2.9 13.5 -14.1 4.4 -15.0 -3.1 -10.0 -7.7 -8.3 -8.2 -8.5 -11.9 -19.5 8.3 -20.0 -1.9 9.8 -0.0 -5.1 6.4 -8.8 3.3 -11.1 -0.7 -11.9 10.9 19.5 19.9 -7.9 EUROSTX 16.5 -6.2 -1.0 -3.2 6.4 -3.4 3.6 -2.4 -0.6 13.9 -9.4 14.2 -10.5 0.7 -6.3 -0.5 3.3 0.3 1.4 -5.1 -9.4 18.1 -8.6 5.6 -3.2 -0.0 -1.6 10.2 -3.5 7.7 -3.9 2.7 6.1 5.5 11.4 15.0 7.2 FEEDCOW 5.8 -20.0 -2.2 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 8.6 -2.5 10.1 -1.0 -5.0 -8.1 -11.0 -20.0 -14.4 -20.0 -8.3 -6.0 9.8 -2.6 -1.4 4.3 -0.0 -3.5 3.3 -2.5 3.2 -0.9 -0.8 -20.0 20.0 10.0 -17.8 3.3 FTSE100 -0.5 -19.2 -8.3 -3.2 6.4 -3.4 3.6 -2.4 -0.6 12.9 -6.5 2.3 2.4 -10.2 -10.8 -1.2 4.5 -1.0 1.0 -13.1 -9.1 3.3 -0.7 -8.1 -6.9 -0.0 -4.2 4.9 -4.4 2.2 -2.9 -2.0 7.1 -20.0 -13.5 7.8 3.1 GASOIL 20.0 -4.7 -15.0 -1.8 -0.4 0.3 -0.8 6.9 -0.6 -11.8 7.7 2.4 10.8 4.0 2.9 20.0 20.0 20.0 20.0 6.7 9.1 1.1 17.9 7.1 -5.0 -0.0 2.6 -1.3 3.5 0.6 8.1 2.9 0.0 -1.8 17.8 14.2 13.8 GASOILINE 16.6 -3.2 -20.0 -1.8 -0.4 0.3 -0.8 6.9 -0.6 8.2 -5.1 4.3 5.0 3.4 -8.1 20.0 20.0 20.0 20.0 -4.1 -3.2 5.3 11.5 2.9 2.3 -0.0 -0.8 4.2 1.2 2.7 10.9 1.6 12.0 11.5 4.8 8.1 4.4 GAS_US -20.0 -20.0 -6.2 -1.8 -0.4 0.3 -0.8 6.9 -0.6 -5.2 -1.1 -11.2 4.9 -15.1 -9.2 -20.0 -8.9 -19.5 -12.4 -20.0 -6.8 -20.0 7.2 -20.0 -10.6 -0.0 -4.0 -1.6 0.7 -6.2 5.1 -6.7 -20.0 -20.0 -20.0 -18.7 20.0 GBP 16.2 14.1 2.3 -4.7 2.7 -4.9 0.2 -4.5 -2.9 11.6 -12.3 9.8 -13.6 1.4 -6.5 -1.1 -1.2 -1.5 -1.5 -11.9 -18.3 8.3 -18.2 -1.0 18.0 -0.0 -5.1 3.5 -7.0 1.7 -6.8 -1.5 0.1 14.4 20.0 -1.8 -13.3 GOLD_micro 3.3 -2.6 -11.9 -3.2 1.0 -2.8 -1.2 -1.3 -2.6 0.2 -14.3 -8.8 -12.4 -9.5 -12.0 -10.0 -7.0 -9.4 -8.4 -16.0 -18.0 -7.2 -13.6 -11.9 9.8 -0.0 -5.2 0.2 -5.0 -2.3 -3.2 -4.0 -11.1 -4.7 -2.1 -12.7 -15.6 HEATOIL 20.0 -8.2 -19.0 -1.8 -0.4 0.3 -0.8 6.9 -0.6 -6.5 5.5 4.9 9.8 5.3 1.2 20.0 20.0 20.0 20.0 5.0 7.7 2.3 18.0 6.7 -15.3 -0.0 2.6 -0.8 5.3 0.9 12.8 2.6 3.1 1.2 16.5 8.7 20.0 JPY -1.8 -12.4 -1.2 -4.7 2.7 -4.9 0.2 -4.5 -2.9 0.4 -16.6 -9.3 -16.1 -14.3 -16.0 -14.6 -9.3 -12.9 -11.3 -20.0 -20.0 -11.8 -20.0 -20.0 20.0 -0.0 -6.4 0.5 -7.5 -2.7 -8.8 -5.2 -14.9 -20.0 -20.0 -10.8 -8.9 LEANHOG 20.0 0.3 -4.4 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 14.0 -7.2 14.7 -1.7 10.5 2.9 20.0 20.0 20.0 20.0 4.5 -1.4 20.0 1.9 19.2 6.9 -0.0 0.6 7.2 -0.9 8.5 0.5 4.8 20.0 20.0 20.0 6.1 11.1 LIVECOW 12.6 0.9 8.7 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 11.6 0.1 12.9 -4.3 9.0 7.6 -20.0 -20.0 -20.0 -20.0 6.1 1.6 20.0 -2.1 15.0 -4.5 -0.0 2.6 11.9 1.6 11.5 1.0 6.4 -20.0 20.0 20.0 10.0 20.0 MXP 4.0 1.5 8.4 -4.7 2.7 -4.9 0.2 -4.5 -2.9 13.6 14.8 14.5 14.2 13.2 14.8 17.1 19.4 17.4 18.4 8.2 10.0 8.7 11.8 7.3 -20.0 -0.0 4.1 8.2 3.7 6.1 4.4 4.6 20.0 0.5 19.8 20.0 20.0 NASDAQ 4.9 -16.5 0.1 -3.2 6.4 -3.4 3.6 -2.4 -0.6 13.6 -12.8 7.0 -11.8 -9.0 -11.7 -4.7 -2.5 -4.2 -3.5 -15.9 -16.9 8.7 -14.5 -7.3 7.7 -0.0 -4.5 6.3 -4.8 2.7 -3.5 -1.9 -3.1 -4.4 -10.0 -4.2 -0.4 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 4.2 -13.8 -3.3 -4.7 2.7 -4.9 0.2 -4.5 -2.9 12.1 -15.1 8.0 -14.6 -10.2 -13.6 -0.8 1.1 -0.4 0.3 -20.0 -20.0 4.8 -19.0 -10.1 0.4 -0.0 -5.5 2.9 -5.9 1.1 -5.0 -2.7 3.8 9.0 3.1 -6.4 -5.3 OAT -2.6 -18.6 -1.3 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 9.4 -13.9 -7.8 -12.7 -13.2 -14.2 17.1 10.6 12.6 12.1 -20.0 -20.0 -2.1 -20.0 -18.6 13.1 -0.0 -5.8 3.5 -6.6 -0.2 -7.1 -3.6 13.2 20.0 7.8 -1.6 0.0 OJ 12.1 18.2 9.8 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 12.6 14.3 14.4 13.3 15.0 14.8 19.3 10.4 17.0 15.1 20.0 20.0 20.0 17.1 20.0 -20.0 -0.0 6.1 3.5 5.6 4.7 5.0 5.8 8.6 20.0 20.0 20.0 20.0 PALLAD -13.0 -0.4 6.9 -3.2 1.0 -2.8 -1.2 -1.3 -2.6 -13.6 -8.0 -14.4 -4.4 -12.0 -0.5 -1.4 -1.0 -1.3 -1.2 -4.7 -1.5 -19.1 -2.9 -13.2 -2.9 -0.0 -1.8 -9.3 0.3 -8.7 -0.1 -5.9 0.1 -20.0 -18.0 8.2 19.1 PLAT 10.5 14.8 6.1 -3.2 1.0 -2.8 -1.2 -1.3 -2.6 8.8 -7.3 10.6 -9.5 11.0 4.6 0.3 -0.5 -0.0 -0.2 3.8 -2.2 8.8 -6.2 7.5 9.8 -0.0 0.8 4.3 -2.7 4.9 -4.9 3.5 1.3 18.4 13.3 18.7 6.2 REDWHEAT -2.7 17.0 -9.1 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -13.8 -8.6 -12.3 -2.1 2.0 2.8 0.9 -1.4 0.5 -0.2 1.9 -1.9 -8.5 2.2 -1.0 -14.9 -0.0 2.3 -4.5 2.8 -3.6 6.0 -0.1 -14.7 -13.4 7.5 19.2 8.5 ROBUSTA -20.0 -17.5 4.5 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -13.7 -1.2 -15.2 7.5 -15.4 -4.4 8.1 6.1 6.9 6.2 -13.4 -1.8 -20.0 5.8 -20.0 -0.7 -0.0 -3.3 -7.3 -0.3 -8.3 1.5 -7.0 -2.8 -20.0 -20.0 -20.0 13.3 RUSSELL 9.9 -11.5 7.3 -3.2 6.4 -3.4 3.6 -2.4 -0.6 11.7 -10.0 9.0 -11.3 -6.4 -9.4 -3.8 -1.4 -3.2 -2.4 -8.5 -10.0 8.6 -10.3 -1.9 -3.5 -0.0 -3.0 6.8 -3.3 3.5 -2.8 -0.5 -1.3 -9.2 4.3 4.6 10.2 SILVER-mini 0.8 19.7 3.9 -3.2 1.0 -2.8 -1.2 -1.3 -2.6 10.5 -12.3 -7.2 -12.3 -4.2 -5.2 -2.7 -2.6 -3.0 -2.9 -5.2 -10.4 -0.8 -12.8 -3.7 19.7 -0.0 -2.3 3.7 -6.1 0.4 -7.8 -0.5 -2.8 -1.8 4.1 16.3 -11.7 SOYBEAN -1.3 0.8 -0.6 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -0.2 -2.4 -0.3 3.5 -1.3 3.4 11.7 20.0 18.8 20.0 -1.7 -1.1 -0.8 5.3 -1.5 -14.3 -0.0 1.1 0.8 4.4 -0.4 10.6 -0.4 20.0 7.8 4.3 6.0 13.1 SOYMEAL -6.4 -3.2 1.9 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 0.6 -3.5 2.6 6.8 -6.7 0.8 14.1 14.4 13.5 15.1 -2.2 1.1 -0.8 5.3 -3.2 -8.1 -0.0 1.2 0.2 4.2 -0.0 8.0 -0.5 12.4 13.3 -1.9 5.9 20.0 SOYOIL 16.0 5.4 -1.4 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 13.9 -2.2 15.0 3.6 11.9 9.2 20.0 20.0 20.0 20.0 6.5 2.1 20.0 8.3 14.8 -19.0 -0.0 4.5 7.9 3.9 8.6 7.0 6.7 20.0 20.0 20.0 18.3 18.9 SP400 11.4 -11.8 3.8 -3.2 6.4 -3.4 3.6 -2.4 -0.6 11.3 -9.3 9.3 -8.7 -6.1 -8.6 0.2 -1.3 -0.3 -0.8 -8.0 -9.1 8.6 -7.3 -1.4 -5.7 -0.0 -2.7 6.6 -2.8 3.5 -1.6 -0.3 0.0 -11.1 6.0 5.7 11.4 SP500 9.8 -14.6 -0.3 -3.2 6.4 -3.4 3.6 -2.4 -0.6 13.6 -11.6 9.8 -9.8 -7.9 -10.7 -4.4 -2.3 -3.9 -3.2 -12.4 -13.7 12.5 -10.2 -3.0 6.3 -0.0 -3.9 7.1 -4.6 3.9 -3.6 -0.9 -2.6 1.1 -1.1 -1.7 2.4 SUGAR11 16.3 8.6 -4.5 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -13.9 -6.6 3.8 -4.9 6.9 1.2 20.0 13.3 20.0 18.9 3.9 -1.3 -5.2 -1.1 4.6 -5.2 -0.0 2.8 -8.3 0.9 -3.0 0.8 2.2 12.3 -9.6 20.0 15.0 12.5 US10 -10.2 -20.0 -9.1 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 -1.6 -15.0 -11.3 -14.0 -14.8 -15.3 -4.3 3.2 -2.9 -0.8 -20.0 -20.0 -14.5 -20.0 -20.0 -4.6 -0.0 -5.9 0.1 -5.7 -2.8 -5.6 -4.9 -4.9 -2.5 1.1 -2.9 -5.4 US10U -12.4 -20.0 -8.0 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 -6.0 -15.0 -13.1 -13.6 -15.4 -15.4 -0.6 6.7 0.9 3.2 -20.0 -20.0 -19.1 -20.0 -20.0 -5.9 -0.0 -6.0 -0.9 -5.5 -3.7 -5.1 -5.4 1.9 -9.5 -4.2 -2.8 -3.1 US20 -15.7 -20.0 -10.1 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 -8.7 -15.3 -13.8 -13.8 -15.7 -15.7 1.0 3.1 1.8 2.3 -20.0 -20.0 -20.0 -20.0 -20.0 -8.1 -0.0 -6.0 -3.6 -5.1 -5.8 -4.4 -6.4 -2.5 -20.0 -18.5 -5.9 -4.3 US30 -17.4 -20.0 -7.8 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 -8.7 -16.2 -13.8 -15.3 -15.8 -16.1 -1.2 0.9 -0.6 -0.1 -20.0 -20.0 -20.0 -20.0 -20.0 -4.8 -0.0 -6.1 -3.9 -5.4 -6.5 -5.2 -6.9 -6.3 -20.0 -20.0 1.7 -1.3 US5 -8.5 -20.0 -9.5 -5.0 0.4 -4.8 -2.3 -4.6 -4.3 0.7 -14.9 -9.6 -14.3 -14.1 -14.9 -4.5 5.6 -3.2 -0.1 -20.0 -20.0 -12.4 -20.0 -20.0 -1.4 -0.0 -5.9 0.5 -6.0 -2.3 -6.4 -4.7 -1.9 -1.1 4.6 -2.6 -7.6 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 -0.7 12.9 -11.7 -3.7 -4.0 -3.0 -4.4 0.9 -4.1 -10.6 -9.7 -10.5 -4.5 4.1 1.8 -2.2 -3.6 -3.3 -3.5 -0.2 -5.2 -5.9 -0.8 -0.6 -14.2 -0.0 1.1 -3.8 1.7 -3.1 5.3 -0.6 -19.3 -6.9 5.9 16.1 3.2 End of report for caleb_strategy_v1