******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221026_204301 produced at 2022-10-26 21:34:52.394979 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 38773027.40 -38773027.40 -0.04 -0.04 -6.44 999999999 -1 -1 caleb_strategy_v1 US5 False False 0.04 -0.25 -0.15 0.0 35584456.07 -35584456.07 -0.25 -0.25 -4.09 999999999 -7 -7 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.14 0.0 28642480.77 -28642480.77 -0.14 -0.14 -4.80 999999999 -5 -5 caleb_strategy_v1 CHF False False 0.04 -0.04 -0.13 0.0 42442096.91 -42442096.91 -0.04 -0.04 -3.05 999999999 -1 -1 caleb_strategy_v1 US20 False False 0.04 -0.08 -0.12 0.0 40418069.92 -40418069.92 -0.08 -0.08 -3.07 999999999 -2 -2 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 36966604.13 -36966604.13 0.00 0.00 -3.22 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.30 -0.12 0.0 42958515.32 -42958515.32 -0.30 -0.26 -2.69 999999999 -7 -6 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.08 0.0 20476822.89 -20476822.89 -0.04 -0.04 -3.90 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.06 0.0 30227135.65 -30227135.65 -0.06 -0.06 -1.92 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 -0.03 -0.06 0.0 27221828.56 -27221828.56 -0.03 -0.03 -2.16 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.05 -0.05 -0.05 0.0 48647557.77 -48647557.77 -0.05 -0.05 -1.12 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.04 -0.08 -0.04 0.0 42131829.40 -42131829.40 -0.08 -0.08 -0.96 999999999 -2 -2 caleb_strategy_v1 CAD False False 0.02 -0.05 -0.04 0.0 24549864.87 -24549864.87 -0.05 -0.07 -1.45 999999999 -2 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 5560993.34 -5560993.34 -0.01 -0.01 -6.24 999999999 -2 -1 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 76329972.74 -76329972.74 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 -0.02 0.0 21646260.71 -21646260.71 0.00 0.00 -1.11 999999999 0 0 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 79998209.31 -79998209.31 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.02 0.0 3020714.53 -3020714.53 -0.02 -0.01 -6.80 999999999 -7 -4 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7629665.54 -7629665.54 0.00 0.00 -1.13 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 19418998.08 -19418998.08 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14709595.36 -14709595.36 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 21326414.47 -21326414.47 -0.02 -0.02 -0.54 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 -0.03 -0.01 0.0 5303117.31 -5303117.31 -0.03 -0.02 -1.16 999999999 -6 -3 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 64002565.53 -64002565.53 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 65318599.54 -65318599.54 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 -0.00 0.0 19113219.21 -19113219.21 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 689335.28 -689335.28 0.00 0.00 6.89 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 12029275.33 -12029275.33 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6240333.43 -6240333.43 0.00 -0.01 -0.39 999999999 0 -1 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15700785.53 -15700785.53 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 DAX False False 0.00 0.00 -0.00 0.0 4414874.98 -4414874.98 0.00 0.00 -0.93 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 22445459.85 -22445459.85 0.00 0.00 0.01 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 12958770.36 -12958770.36 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4299451.97 -4299451.97 0.00 0.00 0.80 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10175108.54 -10175108.54 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 24242512.62 -24242512.62 0.02 0.02 0.33 999999999 1 1 caleb_strategy_v1 VIX False False 0.01 0.00 0.01 0.0 9395483.33 -9395483.33 0.00 0.00 1.03 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 16294250.24 -16294250.24 0.00 0.00 0.57 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 6664529.51 -6664529.51 0.01 0.01 2.16 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 13503508.49 -13503508.49 0.01 0.01 0.84 999999999 1 1 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10378344.18 -10378344.18 0.02 0.02 0.57 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15944001.94 -15944001.94 0.00 0.00 0.61 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 29423355.38 -29423355.38 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.02 0.0 8264360.43 -8264360.43 0.00 0.00 2.91 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 0.02 0.0 25767612.80 -25767612.80 0.03 0.03 0.80 999999999 1 1 caleb_strategy_v1 OAT False False 0.04 0.00 0.04 0.0 44665776.99 -44665776.99 0.00 0.00 0.79 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 0.04 0.0 35212672.29 -35212672.29 0.00 0.00 1.07 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.04 0.0 13143681.47 -13143681.47 0.07 0.07 3.31 999999999 5 5 caleb_strategy_v1 BTP False False 0.04 0.08 0.04 0.0 38390947.08 -38390947.08 0.08 0.08 0.95 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 34591704.14 -34591704.14 0.00 0.00 1.39 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.05 0.0 49758679.63 -49758679.63 0.10 0.10 1.01 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.07 0.0 5915927.04 -5915927.04 0.00 0.02 12.18 999999999 0 4 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 22551658.79 -22551658.79 0.02 0.02 3.27 999999999 1 1 caleb_strategy_v1 LEANHOG False False 0.01 0.04 0.08 0.0 12134166.77 -12134166.77 0.04 0.05 6.54 999999999 3 4 caleb_strategy_v1 BUND False False 0.05 0.00 0.14 0.0 46566019.76 -46566019.76 0.00 0.00 2.94 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.16 0.33 0.0 40166969.03 -40166969.03 0.16 0.16 8.30 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 10.9 Shocked risk 19.8 Sum abs risk 38.2 Leverage 2.63 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3001442.18, 'annual_cash_vol_target': 750360.545, 'daily_cash_vol_target': 46897.5340625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6497 0.9477 15.1631 BITCOIN 733.6765 20690.0000 3.5460 56.7367 BOBL 0.4004 119.6400 0.3347 5.3550 BTP 1.0437 114.3500 0.9127 14.6035 BUND 0.9031 138.7000 0.6511 10.4176 BUXL 2.4638 144.9000 1.7004 27.2058 CAC 69.6113 5693.0000 1.2228 19.5640 CAD 0.0046 0.7368 0.6282 10.0514 CANOLA 8.7775 875.9000 1.0021 16.0338 CHF 0.0064 1.0191 0.6287 10.0586 COCOA 32.8914 2290.0000 1.4363 22.9809 COFFEE 0.0362 1.7965 2.0144 32.2307 COPPER 0.0560 3.5325 1.5852 25.3628 CORN 5.9063 623.0000 0.9480 15.1686 COTTON2 0.0211 0.7779 2.7155 43.4481 CRUDE_W 1.6817 77.3400 2.1745 34.7916 DAX 146.3168 13150.0000 1.1127 17.8028 DOW 365.7281 31834.0000 1.1489 18.3818 EUR 0.0072 1.0116 0.7157 11.4505 EUROSTX 42.2484 3583.0000 1.1791 18.8662 FEEDCOW 1.4428 181.4500 0.7951 12.7222 FTSE100 59.4999 7029.0000 0.8465 13.5439 GASOIL 24.6294 1038.2500 2.3722 37.9553 GASOILINE 0.0514 2.5164 2.0411 32.6581 GAS_US 0.2290 6.4010 3.5773 57.2364 GBP 0.0114 1.1642 0.9821 15.7134 GOLD_micro 15.2733 1669.1000 0.9151 14.6410 HEATOIL 0.0715 3.5559 2.0094 32.1501 JPY 0.0001 0.0069 0.7466 11.9454 LEANHOG 1.3856 91.0500 1.5218 24.3484 LIVECOW 0.9347 153.6500 0.6083 9.7329 MXP 0.0003 0.0496 0.6354 10.1662 NASDAQ 181.1853 11455.0000 1.5817 25.3074 NIKKEI 285.3658 25975.0000 1.0986 17.5779 NZD 0.0056 0.5828 0.9603 15.3648 OAT 0.9072 133.0400 0.6819 10.9109 OJ 0.0354 2.0360 1.7400 27.8400 PALLAD 47.1385 1960.5000 2.4044 38.4706 PLAT 18.4784 957.1000 1.9307 30.8906 REDWHEAT 16.8204 942.5000 1.7847 28.5546 ROBUSTA 28.5769 1873.0000 1.5257 24.4117 RUSSELL 28.5117 1813.3000 1.5724 25.1579 SILVER-mini 0.4107 19.5625 2.0994 33.5901 SOYBEAN 12.8166 1353.7500 0.9468 15.1480 SOYMEAL 5.4547 394.5000 1.3827 22.1230 SOYOIL 0.9197 67.5500 1.3615 21.7839 SP400 34.9763 2401.1000 1.4567 23.3069 SP500 51.2587 3842.0000 1.3342 21.3467 SUGAR11 0.0022 0.1786 1.2474 19.9588 US10 0.5516 110.9531 0.4971 7.9537 US10U 0.7677 116.3750 0.6597 10.5554 US20 1.0841 121.3125 0.8936 14.2983 US30 1.6138 128.9375 1.2516 20.0256 US5 0.3610 106.8047 0.3380 5.4080 VIX 0.6002 28.2000 2.1285 34.0558 WHEAT 14.2474 883.0000 1.6135 25.8164 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 649.70 0.95 615.72 1.00 615.72 46897.53 76.17 -9.09 -69.25 BITCOIN 20.69 3.55 73.37 1.00 73.37 46897.53 639.21 4.58 292.46 BOBL 1196.40 0.33 400.42 1.00 398.86 46897.53 117.58 9.79 115.06 BTP 1143.50 0.91 1043.69 1.00 1039.64 46897.53 45.11 10.48 47.26 BUND 1387.00 0.65 903.07 1.00 899.57 46897.53 52.13 7.81 40.70 BUXL 1449.00 1.70 2463.82 1.00 2454.25 46897.53 19.11 -7.00 -13.37 CAC 569.30 1.22 696.11 1.00 681.77 46897.53 68.79 -1.09 -7.53 CAD 736.85 0.63 462.90 1.00 462.90 46897.53 101.31 -8.04 -81.49 CANOLA 175.18 1.00 175.55 0.73 128.90 46897.53 363.83 2.40 87.18 CHF 1273.87 0.63 800.84 1.00 800.84 46897.53 58.56 -13.90 -81.39 COCOA 229.00 1.44 328.91 1.00 328.91 46897.53 142.58 -3.62 -51.68 COFFEE 673.69 2.01 1357.09 1.00 1357.09 46897.53 34.56 0.27 0.92 COPPER 883.12 1.59 1399.91 1.00 1399.91 46897.53 33.50 3.02 10.12 CORN 311.50 0.95 295.31 1.00 295.31 46897.53 158.81 3.98 63.14 COTTON2 388.95 2.72 1056.20 1.00 1056.20 46897.53 44.40 -4.25 -18.89 CRUDE_W 773.40 2.17 1681.74 1.00 1681.74 46897.53 27.89 2.18 6.07 DAX 131.50 1.11 146.32 1.00 145.75 46897.53 321.77 -0.53 -17.19 DOW 159.17 1.15 182.86 1.00 182.86 46897.53 256.46 -1.59 -40.84 EUR 1264.56 0.72 904.99 1.00 904.99 46897.53 51.82 -4.93 -25.56 EUROSTX 358.30 1.18 422.48 1.00 420.84 46897.53 111.44 0.27 2.97 FEEDCOW 907.25 0.80 721.39 1.00 721.39 46897.53 65.01 -10.99 -71.42 FTSE100 702.90 0.85 595.00 1.15 682.42 46897.53 68.72 -3.05 -20.95 GASOIL 1038.25 2.37 2462.94 1.00 2462.94 46897.53 19.04 10.26 19.54 GASOILINE 1056.89 2.04 2157.24 1.00 2157.24 46897.53 21.74 12.01 26.12 GAS_US 640.10 3.58 2289.82 1.00 2289.82 46897.53 20.48 -17.59 -36.02 GBP 727.62 0.98 714.59 1.00 714.59 46897.53 65.63 2.83 18.55 GOLD_micro 166.91 0.92 152.73 1.00 152.73 46897.53 307.06 -9.08 -278.67 HEATOIL 1493.48 2.01 3000.97 1.00 3000.97 46897.53 15.63 9.08 14.19 JPY 859.69 0.75 641.83 1.00 641.83 46897.53 73.07 -10.15 -74.16 LEANHOG 364.20 1.52 554.23 1.00 554.23 46897.53 84.62 16.55 140.01 LIVECOW 614.60 0.61 373.87 1.00 373.87 46897.53 125.44 -11.57 -145.16 MXP 248.05 0.64 157.61 1.00 157.61 46897.53 297.56 7.99 237.77 NASDAQ 2291.00 1.58 3623.71 1.00 3623.71 46897.53 12.94 -5.62 -7.27 NIKKEI 25975.00 1.10 28536.58 0.01 197.63 46897.53 237.29 2.70 64.11 NZD 582.85 0.96 559.71 1.00 559.71 46897.53 83.79 -3.92 -32.83 OAT 1330.40 0.68 907.24 1.00 903.72 46897.53 51.89 7.50 38.92 OJ 305.40 1.74 531.40 1.00 531.40 46897.53 88.25 1.29 11.39 PALLAD 1960.50 2.40 4713.85 1.00 4713.85 46897.53 9.95 -3.31 -3.30 PLAT 478.55 1.93 923.92 1.00 923.92 46897.53 50.76 5.00 25.37 REDWHEAT 471.25 1.78 841.02 1.00 841.02 46897.53 55.76 -8.40 -46.84 ROBUSTA 187.30 1.53 285.77 1.00 285.77 46897.53 164.11 -1.84 -30.22 RUSSELL 90.66 1.57 142.56 1.00 142.56 46897.53 328.97 -3.99 -131.34 SILVER-mini 489.06 2.10 1026.73 1.00 1026.73 46897.53 45.68 5.55 25.34 SOYBEAN 676.88 0.95 640.83 1.00 640.83 46897.53 73.18 7.58 55.48 SOYMEAL 394.50 1.38 545.47 1.00 545.47 46897.53 85.98 6.53 56.10 SOYOIL 405.30 1.36 551.81 1.00 551.81 46897.53 84.99 10.81 91.91 SP400 2401.10 1.46 3497.63 1.00 3497.63 46897.53 13.41 -3.67 -4.92 SP500 1921.00 1.33 2562.93 1.00 2562.93 46897.53 18.30 -3.65 -6.68 SUGAR11 200.03 1.25 249.52 1.00 249.52 46897.53 187.95 8.45 158.88 US10 1109.53 0.50 551.55 1.00 551.55 46897.53 85.03 -9.87 -83.94 US10U 1163.75 0.66 767.74 1.00 767.74 46897.53 61.09 -7.24 -44.23 US20 1213.12 0.89 1084.11 1.00 1084.11 46897.53 43.26 -9.63 -41.66 US30 1289.38 1.25 1613.78 1.00 1613.78 46897.53 29.06 -11.01 -31.99 US5 1068.05 0.34 361.00 1.00 361.00 46897.53 129.91 -8.21 -106.67 VIX 282.00 2.13 600.23 1.00 600.23 46897.53 78.13 0.70 5.46 WHEAT 441.50 1.61 712.37 1.00 712.37 46897.53 65.83 -11.54 -75.94 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -69.251 0.006 2.5 -1.106 BITCOIN 292.461 0.009 2.5 6.891 BOBL 115.062 0.029 2.5 8.303 BTP 47.255 0.008 2.5 0.954 BUND 40.703 0.029 2.5 2.937 BUXL -13.367 0.034 2.5 -1.122 CAC -7.530 0.011 2.5 -0.212 CAD -81.486 0.007 2.5 -1.455 CANOLA 87.177 0.004 2.5 0.800 CHF -81.389 0.015 2.5 -3.046 COCOA -51.677 0.009 2.5 -1.126 COFFEE 0.924 0.005 2.5 0.012 COPPER 10.117 0.011 2.5 0.277 CORN 63.142 0.004 2.5 0.570 COTTON2 -18.891 0.006 2.5 -0.284 CRUDE_W 6.072 0.053 2.5 0.802 DAX -17.187 0.022 2.5 -0.933 DOW -40.843 0.011 2.5 -1.164 EUR -25.563 0.015 2.5 -0.957 EUROSTX 2.973 0.011 2.5 0.084 FEEDCOW -71.417 0.011 2.5 -1.919 FTSE100 -20.948 0.041 2.5 -2.160 GASOIL 19.539 0.029 2.5 1.394 GASOILINE 26.116 0.016 2.5 1.072 GAS_US -36.024 0.006 2.5 -0.542 GBP 18.549 0.007 2.5 0.331 GOLD_micro -278.670 0.009 2.5 -6.235 HEATOIL 14.189 0.029 2.5 1.012 JPY -74.163 0.026 2.5 -4.801 LEANHOG 140.012 0.019 2.5 6.541 LIVECOW -145.158 0.011 2.5 -3.901 MXP 237.771 0.005 2.5 2.911 NASDAQ -7.274 0.022 2.5 -0.395 NIKKEI 64.111 0.076 2.5 12.177 NZD -32.833 0.006 2.5 -0.525 OAT 38.922 0.008 2.5 0.786 OJ 11.394 0.007 2.5 0.199 PALLAD -3.296 0.010 2.5 -0.079 PLAT 25.369 0.010 2.5 0.610 REDWHEAT -46.836 0.002 2.5 -0.250 ROBUSTA -30.224 0.005 2.5 -0.392 RUSSELL -131.340 0.021 2.5 -6.803 SILVER-mini 25.339 0.009 2.5 0.567 SOYBEAN 55.482 0.024 2.5 3.271 SOYMEAL 56.103 0.024 2.5 3.308 SOYOIL 91.911 0.004 2.5 0.844 SP400 -4.919 0.021 2.5 -0.255 SP500 -6.685 0.011 2.5 -0.190 SUGAR11 158.884 0.005 2.5 2.156 US10 -83.939 0.015 2.5 -3.220 US10U -44.228 0.058 2.5 -6.444 US20 -41.659 0.029 2.5 -3.070 US30 -31.988 0.034 2.5 -2.685 US5 -106.671 0.015 2.5 -4.092 VIX 5.461 0.075 2.5 1.029 WHEAT -75.944 0.002 2.5 -0.405 ==================== Position diags ==================== AUD 1.22 BITCOIN 15.06 BOBL 8.48 BTP 0.91 BUND 3.76 BUXL 1.60 CAC 1.93 CAD 1.81 CANOLA 3.34 CHF 2.19 COCOA 3.11 COFFEE 0.45 COPPER 0.92 CORN 1.43 COTTON2 0.67 CRUDE_W 3.68 DAX 17.47 DOW 7.31 EUR 1.94 EUROSTX 3.13 FEEDCOW 1.75 FTSE100 7.08 GASOIL 1.36 GASOILINE 0.89 GAS_US 0.31 GBP 1.17 GOLD_micro 6.87 HEATOIL 1.11 JPY 4.73 LEANHOG 3.95 LIVECOW 3.37 MXP 3.64 NASDAQ 0.70 NIKKEI 45.07 NZD 1.34 OAT 1.05 OJ 1.54 PALLAD 0.24 PLAT 1.22 REDWHEAT 0.30 ROBUSTA 2.13 RUSSELL 17.04 SILVER-mini 1.02 SOYBEAN 4.31 SOYMEAL 5.07 SOYOIL 0.78 SP400 0.69 SP500 0.52 SUGAR11 2.55 US10 3.26 US10U 8.90 US20 3.19 US30 2.44 US5 4.98 VIX 14.72 WHEAT 0.35 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.1 -1.2 -1.0 NaN 0 BITCOIN 6.9 6.2 7.6 NaN 0 BOBL 8.3 7.5 9.1 4.0 4 BTP 1.0 0.9 1.0 2.0 2 BUND 2.9 2.6 3.2 NaN 0 BUXL -1.1 -1.2 -1.0 -1.0 -1 CAC -0.2 -0.2 -0.2 NaN 0 CAD -1.5 -1.6 -1.3 -2.0 -2 CANOLA 0.8 0.7 0.9 NaN 0 CHF -3.0 -3.4 -2.7 -1.0 -1 COCOA -1.1 -1.2 -1.0 NaN 0 COFFEE 0.0 0.0 0.0 NaN 0 COPPER 0.3 0.2 0.3 NaN 0 CORN 0.6 0.5 0.6 2.0 2 COTTON2 -0.3 -0.3 -0.3 NaN 0 CRUDE_W 0.8 0.7 0.9 1.0 1 DAX -0.9 -1.0 -0.8 NaN 0 DOW -1.2 -1.3 -1.0 -6.0 -6 EUR -1.0 -1.1 -0.9 -2.0 -2 EUROSTX 0.1 0.1 0.1 NaN 0 FEEDCOW -1.9 -2.1 -1.7 -2.0 -2 FTSE100 -2.2 -2.4 -1.9 -1.0 -1 GASOIL 1.4 1.3 1.5 NaN 0 GASOILINE 1.1 1.0 1.2 NaN 0 GAS_US -0.5 -0.6 -0.5 -1.0 -1 GBP 0.3 0.3 0.4 1.0 1 GOLD_micro -6.2 -6.9 -5.6 -2.0 -2 HEATOIL 1.0 0.9 1.1 2.0 2 JPY -4.8 -5.3 -4.3 -5.0 -5 LEANHOG 6.5 5.9 7.2 3.0 3 LIVECOW -3.9 -4.3 -3.5 -2.0 -2 MXP 2.9 2.6 3.2 NaN 0 NASDAQ -0.4 -0.4 -0.4 0.0 0 NIKKEI 12.2 11.0 13.4 NaN 0 NZD -0.5 -0.6 -0.5 NaN 0 OAT 0.8 0.7 0.9 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 -0.3 -0.3 -0.2 NaN 0 ROBUSTA -0.4 -0.4 -0.4 NaN 0 RUSSELL -6.8 -7.5 -6.1 -7.0 -7 SILVER-mini 0.6 0.5 0.6 NaN 0 SOYBEAN 3.3 2.9 3.6 1.0 1 SOYMEAL 3.3 3.0 3.6 5.0 5 SOYOIL 0.8 0.8 0.9 1.0 1 SP400 -0.3 -0.3 -0.2 NaN 0 SP500 -0.2 -0.2 -0.2 NaN 0 SUGAR11 2.2 1.9 2.4 1.0 1 US10 -3.2 -3.5 -2.9 NaN 0 US10U -6.4 -7.1 -5.8 -1.0 -1 US20 -3.1 -3.4 -2.8 -2.0 -2 US30 -2.7 -3.0 -2.4 -7.0 -7 US5 -4.1 -4.5 -3.7 -7.0 -7 VIX 1.0 0.9 1.1 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 -0.0 -0.3 -0.1 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.1 -0.4 0.0 -0.3 -0.0 -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 -0.2 -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 4.1 -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 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -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 -0.0 -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 2.5 0.3 0.4 0.2 0.0 BUND -0.0 -0.3 -0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 -0.3 -0.1 -0.3 1.2 0.7 0.3 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 0.1 0.2 -0.0 -0.0 BUXL -0.1 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 -0.3 -0.0 -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 -2.0 0.2 -0.1 -0.0 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 0.0 -0.3 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -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 -0.3 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 -0.1 -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 2.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.0 0.2 0.0 0.0 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 0.9 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 -0.3 -0.1 -0.4 -0.3 -0.1 COPPER 0.1 0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.2 0.0 -0.2 -0.0 2.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 0.2 0.1 -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 0.7 0.0 0.2 0.2 0.3 COTTON2 -0.0 -0.2 -0.9 -0.1 -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 -3.6 -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 -0.0 0.5 0.6 0.2 0.3 -0.0 -0.0 0.0 0.1 0.0 1.4 -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 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.1 -0.3 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.2 0.0 0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.1 0.3 0.2 0.0 DOW 0.2 -0.2 -0.0 -0.0 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 0.2 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 -0.3 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 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.8 0.0 0.2 0.2 0.1 FEEDCOW 0.1 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 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 0.3 -0.2 0.0 FTSE100 -0.0 -0.3 -0.1 -0.0 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 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.9 -0.2 -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 0.3 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 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.2 0.0 -0.2 0.0 2.5 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 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 -0.1 -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 0.5 0.0 0.3 0.1 0.3 JPY 0.0 -0.1 -0.1 -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 -0.9 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.8 0.0 0.4 0.2 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 0.3 0.3 0.3 NASDAQ 0.0 -0.3 -0.0 -0.0 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 -0.2 -0.3 -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 0.1 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 0.0 -0.4 -0.0 -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 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.3 -0.0 -0.3 -0.0 -0.3 1.4 0.5 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 1.9 0.1 0.2 -0.0 0.0 OJ 0.0 0.4 0.3 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 0.1 0.1 1.5 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 1.1 0.0 0.5 0.3 0.3 PALLAD -0.2 -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 -0.4 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 0.1 -0.0 0.0 -0.1 0.0 1.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.0 0.3 0.3 0.1 REDWHEAT -0.0 0.2 -0.1 -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 -2.1 -0.0 0.1 0.2 0.1 ROBUSTA -0.2 -0.3 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 -0.1 0.6 0.2 0.1 0.1 -0.2 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.5 -0.0 -0.4 -0.3 0.2 RUSSELL 0.1 -0.2 0.1 -0.0 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 -0.2 -0.1 0.1 0.1 0.2 SILVER-mini -0.0 0.2 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 0.3 -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 -0.1 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 1.2 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 1.5 0.0 -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 -0.0 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 -2.8 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 2.7 0.1 0.4 0.3 0.3 SP400 0.1 -0.2 0.1 -0.0 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 -0.0 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 -0.1 -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 -0.1 -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 -0.2 0.0 -0.1 0.0 0.0 1.6 0.6 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 1.6 -0.0 0.3 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 -0.3 -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 -0.6 -0.0 -0.0 -0.0 -0.1 US10U -0.1 -0.3 -0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 -0.0 -0.3 -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 -0.3 -0.0 -0.2 -0.1 -0.1 US30 -0.2 -0.3 -0.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -0.1 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 -0.8 -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 0.0 0.8 -0.2 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 0.0 0.1 1.8 -1.3 0.0 -0.3 0.1 -0.0 -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 0.1 -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 -2.7 0.0 0.1 0.2 0.1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -2.4 -16.5 -7.9 -4.4 5.2 -4.9 1.9 -4.6 -2.0 13.1 -14.7 2.0 -13.6 -10.5 -13.5 -2.7 -1.5 -2.1 -1.7 -20.0 -18.8 4.8 -14.1 -12.1 -9.3 -0.0 -5.5 5.5 -5.2 1.3 -4.0 -3.3 -0.2 0.6 -11.1 -7.3 -1.9 BITCOIN 6.8 1.6 -13.8 -3.1 2.9 -2.9 -0.0 -1.4 -2.1 10.1 -15.9 1.6 -15.6 -5.5 -11.1 -0.0 -1.6 -0.3 -0.7 -9.0 -20.0 5.4 -20.0 -0.5 18.8 -0.0 -2.7 7.3 -6.3 3.2 -6.3 0.3 0.0 15.7 0.7 7.5 1.9 BOBL -0.9 -20.0 -17.3 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 11.9 -13.6 -7.0 -12.0 -12.9 -14.2 20.0 16.8 20.0 20.0 -20.0 -20.0 0.3 -20.0 -16.7 9.4 -0.0 -5.6 3.4 -6.8 0.4 -7.5 -3.0 20.0 13.2 18.7 1.6 -1.6 BTP 2.1 -10.5 -5.4 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 13.5 -13.6 1.1 -13.0 -8.5 -12.5 20.0 12.7 18.9 16.8 -18.9 -20.0 10.8 -20.0 -7.5 9.8 -0.0 -5.3 6.9 -7.3 3.0 -8.7 -1.8 18.4 20.0 20.0 12.7 2.1 BUND -1.4 -20.0 -10.0 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 12.0 -13.9 -5.5 -12.6 -12.5 -14.4 14.3 16.9 15.9 16.8 -20.0 -20.0 1.9 -20.0 -17.0 8.8 -0.0 -5.6 4.1 -6.4 0.6 -6.6 -3.1 20.0 20.0 11.3 -2.8 -0.4 BUXL -7.6 -12.6 0.7 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 12.4 -14.2 -5.3 -13.0 -11.6 -14.0 6.8 -5.4 5.8 -1.0 -20.0 -20.0 -0.5 -20.0 -18.5 6.4 -0.0 -5.7 3.8 -6.0 -0.1 -5.8 -3.9 -14.7 20.0 -6.2 -3.1 4.5 CAC -18.2 -18.7 -2.1 -4.0 -5.4 -2.4 -6.7 -1.5 -6.1 -12.8 -8.4 -15.1 -6.5 -14.9 -9.4 1.2 5.5 2.3 3.9 -16.8 -9.1 -20.0 -3.7 -20.0 0.1 -0.0 -4.6 -5.3 -2.6 -7.2 -1.3 -6.9 9.3 3.1 6.1 -0.7 2.2 CAD 3.6 -15.9 -12.8 -4.4 5.2 -4.9 1.9 -4.6 -2.0 13.4 -13.8 3.0 -13.4 -10.4 -13.0 -1.8 -0.4 -1.3 -0.8 -18.6 -17.9 5.2 -12.2 -9.2 -7.6 -0.0 -5.3 3.6 -5.4 1.2 -3.9 -2.6 1.5 -2.3 -1.0 -6.2 -7.2 CANOLA 19.2 11.7 -14.6 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 3.7 -10.1 9.4 0.1 14.1 4.2 0.6 10.9 -2.2 2.6 4.2 -10.1 6.7 -0.2 12.5 2.9 -0.0 3.6 0.3 0.3 2.2 2.3 4.5 -2.3 14.5 20.0 20.0 12.3 CHF -8.5 -8.9 1.2 -4.4 5.2 -4.9 1.9 -4.6 -2.0 11.4 -12.1 -5.5 -11.2 -12.2 -12.6 -12.4 -10.8 -12.2 -11.8 -14.0 -12.6 -0.0 -11.6 -10.8 -3.1 -0.0 -5.2 5.0 -5.4 0.2 -5.9 -3.8 -16.8 -13.5 -10.5 9.4 7.7 COCOA 2.6 0.5 -2.6 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -12.8 -12.0 -7.0 -12.3 -1.9 -4.7 1.1 -4.1 0.0 -2.0 -5.2 -8.6 -6.6 -10.5 -4.6 14.6 -0.0 -2.6 -6.9 -5.3 -4.8 -6.6 -2.7 -20.0 5.4 10.8 2.3 3.0 COFFEE -20.0 -19.9 -4.9 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -14.1 -6.2 -15.9 2.2 -15.6 -9.2 12.0 5.4 11.4 9.1 -20.0 -8.8 -20.0 0.6 -20.0 8.3 -0.0 -4.7 -8.3 -2.2 -8.7 0.3 -7.6 -2.2 -20.0 -20.0 -20.0 -6.9 COPPER 8.6 7.7 -5.5 -3.1 2.9 -2.9 -0.0 -1.4 -2.1 10.2 -12.8 3.9 -11.2 -3.1 -5.6 0.9 0.2 0.8 0.3 -8.1 -16.6 5.9 -16.8 -0.9 19.1 -0.0 -4.2 8.1 -6.9 3.4 -5.8 -0.7 2.3 12.5 4.5 -6.2 -6.9 CORN 1.4 15.1 13.3 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -8.4 2.3 -0.2 5.4 7.5 12.2 15.1 12.1 11.4 10.8 11.4 10.8 -0.4 15.1 5.9 -20.0 -0.0 4.1 -1.0 6.0 -0.4 10.2 1.7 4.9 1.9 12.8 13.2 19.6 COTTON2 -12.8 -20.0 -20.0 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -8.7 -12.5 -12.7 2.6 -15.6 -14.9 4.6 20.0 12.5 18.8 -20.0 -16.5 -19.7 0.6 -20.0 -14.5 -0.0 -5.2 -2.1 -2.4 -4.0 2.0 -5.3 20.0 -16.7 -20.0 -20.0 -14.5 CRUDE_W 16.6 -1.8 -16.7 -1.6 3.2 0.4 0.9 6.9 -0.1 9.9 -6.7 7.1 4.2 5.5 -1.2 6.5 14.8 9.4 12.6 -1.2 -3.4 7.3 4.9 5.4 12.0 -0.0 -0.1 5.0 0.4 3.7 7.3 2.5 -20.0 6.3 9.3 4.6 11.6 DAX 15.5 -5.7 -3.4 -2.9 5.9 -3.3 4.1 -2.5 0.0 14.0 -10.7 14.8 -11.6 2.3 -5.7 -3.3 -0.9 -2.4 -1.6 -5.1 -13.2 20.0 -14.4 8.6 3.5 -0.0 -1.4 9.4 -4.7 8.3 -6.2 3.7 -0.1 8.4 13.3 17.8 2.1 DOW 19.0 -10.6 -1.0 -2.9 5.9 -3.3 4.1 -2.5 0.0 13.6 -8.8 14.4 -8.5 1.7 -6.3 -4.3 -0.8 -3.5 -2.5 -5.3 -10.5 20.0 -8.6 9.4 -1.0 -0.0 -1.8 8.2 -3.2 7.5 -2.3 2.7 -0.9 16.8 14.4 5.7 4.7 EUR 9.5 8.7 0.8 -4.4 5.2 -4.9 1.9 -4.6 -2.0 13.9 -13.8 8.2 -14.9 -0.3 -8.7 -7.7 -8.3 -8.2 -8.5 -9.8 -18.4 15.0 -20.0 2.0 9.4 -0.0 -4.3 10.4 -8.5 6.0 -11.0 0.8 -11.9 13.2 20.0 19.0 -6.9 EUROSTX 13.5 -6.0 -1.1 -2.9 5.9 -3.3 4.1 -2.5 0.0 14.0 -8.9 14.8 -10.4 2.8 -5.4 -0.6 3.2 0.3 1.4 -3.6 -8.9 20.0 -8.6 8.2 -3.5 -0.0 -1.0 9.6 -3.2 8.4 -3.8 3.7 6.0 6.4 12.7 15.5 7.5 FEEDCOW 9.1 -19.1 -2.4 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 11.1 -2.3 11.6 -1.0 -3.8 -7.5 -11.7 -20.0 -14.6 -20.0 -7.3 -5.8 11.5 -2.6 0.5 3.9 -0.0 -3.2 4.3 -2.5 3.9 -0.9 -0.2 -20.0 20.0 16.6 -15.5 2.5 FTSE100 -2.7 -19.7 -8.5 -2.9 5.9 -3.3 4.1 -2.5 0.0 13.7 -6.6 4.3 2.3 -9.5 -10.5 -1.0 4.4 -0.9 0.9 -12.6 -9.2 4.6 -0.8 -6.7 -6.8 -0.0 -4.0 4.6 -4.4 2.7 -3.0 -1.4 6.8 -16.5 -14.4 5.8 2.7 GASOIL 19.3 -4.5 -15.8 -1.6 3.2 0.4 0.9 6.9 -0.1 3.0 7.7 3.4 10.9 4.7 3.4 20.0 20.0 20.0 20.0 7.1 9.3 4.8 17.8 8.0 -4.9 -0.0 2.8 2.4 3.6 2.0 8.2 3.3 0.0 -2.7 17.6 13.5 14.1 GASOILINE 15.0 -2.0 -20.0 -1.6 3.2 0.4 0.9 6.9 -0.1 12.0 -5.2 6.8 5.0 5.2 -7.2 20.0 20.0 20.0 20.0 -3.0 -2.8 9.8 11.5 5.0 2.1 -0.0 -0.3 8.3 1.3 5.1 10.8 2.7 12.1 12.5 5.4 9.4 3.6 GAS_US -19.2 -20.0 -6.8 -1.6 3.2 0.4 0.9 6.9 -0.1 -3.1 -1.5 -8.6 4.7 -14.4 -9.5 -20.0 -9.0 -19.8 -12.7 -20.0 -7.2 -18.1 6.8 -20.0 -10.6 -0.0 -4.0 -0.0 0.6 -4.7 5.0 -6.2 -20.0 -20.0 -20.0 -20.0 20.0 GBP 15.8 13.6 3.4 -4.4 5.2 -4.9 1.9 -4.6 -2.0 13.2 -11.9 11.9 -13.4 3.9 -5.6 -1.1 -1.2 -1.5 -1.6 -9.9 -17.4 14.8 -17.8 2.7 17.8 -0.0 -4.7 6.0 -6.9 3.3 -6.9 -0.6 0.2 12.5 20.0 -0.6 -12.8 GOLD_micro 0.4 -2.2 -12.3 -3.1 2.9 -2.9 -0.0 -1.4 -2.1 7.6 -14.3 -7.4 -12.5 -8.6 -11.8 -10.1 -7.0 -9.4 -8.5 -15.5 -18.0 -3.6 -13.8 -10.4 9.9 -0.0 -5.1 2.2 -5.1 -1.1 -3.3 -3.5 -11.1 -5.0 -2.8 -12.6 -15.2 HEATOIL 20.0 -8.2 -20.0 -1.6 3.2 0.4 0.9 6.9 -0.1 6.5 5.5 6.3 9.8 6.3 1.9 20.0 20.0 20.0 20.0 5.6 7.8 6.6 17.7 7.9 -15.1 -0.0 2.8 3.8 5.4 2.7 12.8 3.1 3.5 3.1 15.6 8.1 20.0 JPY 0.7 -8.4 -5.4 -4.4 5.2 -4.9 1.9 -4.6 -2.0 9.5 -16.4 -5.4 -16.1 -12.7 -15.6 -14.4 -9.3 -12.9 -11.4 -20.0 -20.0 -4.3 -20.0 -17.9 20.0 -0.0 -6.3 3.3 -7.6 -1.0 -9.0 -4.4 -14.9 -20.0 -20.0 -11.2 -9.6 LEANHOG 20.0 1.9 -4.1 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 14.1 -6.8 15.1 -1.6 11.6 4.1 20.0 20.0 20.0 20.0 6.1 -0.7 20.0 2.2 20.0 6.7 -0.0 1.0 6.2 -0.6 8.1 0.6 5.2 20.0 20.0 20.0 8.4 11.2 LIVECOW 15.7 1.4 9.2 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 11.9 0.8 13.3 -4.1 10.1 8.3 -20.0 -20.0 -20.0 -20.0 7.6 2.2 20.0 -1.9 17.0 -5.4 -0.0 3.0 9.7 1.7 10.7 1.1 6.7 -20.0 20.0 20.0 13.0 20.0 MXP 3.4 1.0 8.5 -4.4 5.2 -4.9 1.9 -4.6 -2.0 9.1 14.8 13.1 14.2 13.2 14.9 17.2 19.4 17.4 18.4 8.3 10.1 7.4 11.9 7.3 -20.0 -0.0 4.2 4.3 3.7 5.1 4.5 4.6 20.0 -14.0 14.9 20.0 20.0 NASDAQ 2.9 -17.6 -1.8 -2.9 5.9 -3.3 4.1 -2.5 0.0 11.0 -12.8 7.3 -11.8 -8.6 -11.6 -4.7 -2.5 -4.2 -3.6 -15.8 -17.4 6.9 -15.1 -6.8 7.9 -0.0 -4.5 3.3 -4.9 2.1 -3.6 -1.8 -3.2 -10.6 -14.6 -5.4 -1.0 NIKKEI -20.0 -12.6 6.4 -4.0 -5.4 -2.4 -6.7 -1.5 -6.1 -11.4 4.3 -14.1 -0.3 -14.0 -2.2 6.3 10.0 11.4 11.8 -8.6 -0.6 -20.0 0.6 -20.0 -12.6 -0.0 -4.8 -4.9 -2.3 -7.1 -0.9 -7.2 19.8 12.4 8.5 5.9 4.7 NZD 7.6 -12.5 -2.7 -4.4 5.2 -4.9 1.9 -4.6 -2.0 13.4 -14.9 10.7 -14.5 -8.5 -12.9 -0.8 1.1 -0.4 0.3 -19.1 -20.0 10.1 -18.7 -6.5 0.7 -0.0 -5.2 5.1 -5.9 2.4 -5.1 -1.9 3.8 6.2 3.5 -6.4 -5.2 OAT -1.2 -17.4 -3.6 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 12.5 -13.7 -3.7 -12.7 -11.6 -13.8 17.1 10.7 12.8 12.2 -20.0 -20.0 5.2 -20.0 -14.3 12.9 -0.0 -5.5 4.9 -6.6 1.3 -7.3 -2.8 13.8 20.0 13.2 -0.0 0.5 OJ 10.7 19.5 10.6 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 13.8 14.5 15.1 13.4 15.4 15.0 19.9 10.6 17.3 15.3 20.0 20.0 20.0 17.9 20.0 -20.0 -0.0 6.2 3.5 5.7 4.7 5.0 5.8 7.8 20.0 20.0 20.0 20.0 PALLAD -16.4 -2.1 6.6 -3.1 2.9 -2.9 -0.0 -1.4 -2.1 -10.5 -8.1 -14.0 -4.5 -12.3 -1.3 -1.5 -1.0 -1.3 -1.2 -5.6 -2.0 -17.9 -3.1 -13.8 -2.8 -0.0 -2.1 -6.3 0.1 -8.0 -0.2 -6.0 0.1 -20.0 -20.0 5.4 18.1 PLAT 9.3 13.9 7.4 -3.1 2.9 -2.9 -0.0 -1.4 -2.1 12.0 -6.7 12.2 -9.3 11.9 5.7 0.3 -0.5 -0.0 -0.2 4.7 -1.5 13.0 -5.7 9.3 9.2 -0.0 1.4 10.2 -2.3 7.3 -4.5 4.6 1.3 20.0 17.2 20.0 7.2 REDWHEAT -4.4 16.5 -8.5 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -10.5 -8.7 -12.5 -2.2 1.6 2.9 0.8 -1.4 0.5 -0.2 1.7 -1.9 -6.8 2.2 -1.1 -14.7 -0.0 2.1 -1.9 2.8 -2.7 6.0 -0.2 -15.8 -2.5 5.3 18.2 8.9 ROBUSTA -20.0 -20.0 2.8 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -14.0 -2.1 -15.5 7.1 -15.7 -5.7 7.8 6.1 6.8 6.2 -15.0 -3.0 -20.0 4.7 -20.0 -0.1 -0.0 -3.6 -10.1 -0.6 -9.3 1.2 -7.3 -3.9 -20.0 -20.0 -20.0 11.4 RUSSELL 9.0 -11.5 7.0 -2.9 5.9 -3.3 4.1 -2.5 0.0 13.3 -9.8 11.3 -11.3 -4.7 -8.8 -3.9 -1.5 -3.2 -2.5 -7.3 -9.8 12.7 -10.4 0.8 -3.4 -0.0 -2.5 8.0 -3.2 5.0 -2.7 0.5 -1.4 -6.9 2.7 4.7 10.2 SILVER-mini -1.5 12.3 3.9 -3.1 2.9 -2.9 -0.0 -1.4 -2.1 12.9 -12.2 -5.3 -12.3 -3.2 -4.6 -2.9 -2.6 -3.1 -3.0 -4.6 -10.2 2.8 -12.9 -1.9 19.5 -0.0 -2.0 5.4 -6.0 2.0 -7.9 0.2 -2.8 7.2 7.1 17.6 -10.9 SOYBEAN -1.5 0.1 -0.6 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -1.5 -2.4 -0.1 3.4 -1.2 3.6 11.7 20.0 18.5 20.0 -1.8 -1.1 -0.9 5.3 -1.5 -14.3 -0.0 1.1 0.1 4.3 -0.5 10.6 -0.4 20.0 9.0 4.7 6.7 13.0 SOYMEAL -5.1 -3.5 1.7 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -2.6 -3.6 2.5 6.8 -7.0 0.5 14.3 14.4 13.6 15.1 -2.3 1.0 -2.0 5.3 -3.5 -7.9 -0.0 1.1 -1.7 4.1 -0.8 7.9 -0.7 11.3 6.0 -0.7 6.3 20.0 SOYOIL 17.6 6.2 1.0 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 14.0 -1.9 15.4 3.7 12.8 9.9 20.0 20.0 20.0 20.0 8.0 2.8 20.0 8.6 17.1 -19.5 -0.0 4.7 8.9 3.8 9.0 6.6 7.0 20.0 20.0 20.0 19.5 20.0 SP400 9.8 -11.8 3.3 -2.9 5.9 -3.3 4.1 -2.5 0.0 13.1 -9.1 11.5 -8.7 -4.4 -8.0 0.1 -1.3 -0.3 -0.8 -6.8 -8.8 12.7 -7.4 1.3 -5.6 -0.0 -2.3 7.8 -2.7 5.0 -1.5 0.7 0.0 -7.9 5.1 5.8 11.4 SP500 8.2 -15.2 -1.5 -2.9 5.9 -3.3 4.1 -2.5 0.0 13.1 -11.5 11.4 -9.8 -6.9 -10.3 -4.4 -2.4 -4.0 -3.2 -11.6 -13.7 13.5 -10.4 -1.1 6.3 -0.0 -3.6 5.8 -4.6 4.2 -3.7 -0.3 -2.7 -0.0 -3.2 -1.7 2.1 SUGAR11 12.8 8.2 -4.2 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -14.0 -6.8 0.6 -5.0 4.6 0.5 20.0 13.6 20.0 19.4 2.8 -1.5 -9.8 -1.2 1.6 -5.3 -0.0 2.2 -11.1 0.8 -5.5 0.7 0.7 12.0 -13.9 16.4 14.1 11.6 US10 -9.5 -19.6 -11.1 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 7.8 -15.0 -8.7 -14.1 -13.8 -15.1 -4.3 3.2 -2.9 -0.9 -20.0 -20.0 -8.5 -20.0 -20.0 -4.6 -0.0 -5.9 1.8 -5.8 -1.6 -5.7 -4.4 -4.7 -4.9 -0.7 -2.8 -5.2 US10U -11.7 -20.0 -9.6 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 1.9 -14.9 -10.5 -13.7 -14.5 -15.2 -0.4 6.6 0.9 3.1 -20.0 -20.0 -12.4 -20.0 -20.0 -5.8 -0.0 -5.9 1.2 -5.6 -2.4 -5.2 -4.9 2.0 -11.1 -5.2 -3.1 -3.1 US20 -14.6 -20.0 -10.7 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 -3.3 -15.2 -11.4 -13.8 -14.8 -15.5 1.1 3.1 1.7 2.3 -20.0 -20.0 -20.0 -20.0 -20.0 -7.8 -0.0 -6.0 -0.9 -5.2 -4.4 -4.5 -6.0 -2.2 -20.0 -19.2 -7.1 -4.7 US30 -15.4 -18.3 -7.1 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 -2.5 -16.2 -11.2 -15.3 -14.8 -15.8 -1.3 0.9 -0.6 -0.1 -20.0 -20.0 -20.0 -20.0 -20.0 -4.6 -0.0 -6.1 -0.6 -5.5 -4.8 -5.3 -6.4 -6.1 -20.0 -20.0 0.1 -1.4 US5 -8.0 -19.4 -12.0 -4.9 1.7 -4.9 -1.3 -4.7 -3.8 9.4 -14.9 -7.2 -14.3 -13.3 -14.7 -4.7 5.4 -3.4 -0.3 -20.0 -20.0 -7.3 -20.0 -20.0 -1.5 -0.0 -5.9 1.7 -6.1 -1.3 -6.5 -4.2 -2.0 -4.8 1.5 -2.8 -7.5 VIX 4.2 16.3 -3.9 1.4 -9.2 0.2 -5.2 -1.2 -0.1 -14.0 -5.8 -9.6 -7.1 4.7 2.1 11.2 -16.0 0.8 -7.4 3.7 -0.3 -11.5 -3.8 0.5 NaN -0.0 1.7 -10.7 0.3 -6.0 -1.6 -0.2 NaN NaN NaN NaN NaN WHEAT -1.4 12.4 -11.1 -3.9 -5.1 -3.1 -5.0 0.8 -4.5 -6.2 -9.7 -10.1 -4.6 3.9 2.4 -2.4 -3.6 -3.4 -3.6 -0.2 -5.2 -4.3 -0.9 -0.5 -14.3 -0.0 1.1 -1.2 1.7 -2.2 5.3 -0.4 -20.0 1.4 5.0 15.5 3.5 End of report for caleb_strategy_v1