******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221027_204253 produced at 2022-10-27 21:34:55.605816 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.24 0.0 39221179.96 -39221179.96 -0.04 -0.04 -6.12 999999999 -1 -1 caleb_strategy_v1 US5 False False 0.04 -0.25 -0.14 0.0 35913527.12 -35913527.12 -0.25 -0.32 -3.89 999999999 -7 -9 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.14 0.0 28766382.23 -28766382.23 -0.14 -0.14 -4.80 999999999 -5 -5 caleb_strategy_v1 CHF False False 0.04 -0.04 -0.13 0.0 42404893.88 -42404893.88 -0.04 -0.04 -3.07 999999999 -1 -1 caleb_strategy_v1 US20 False False 0.04 -0.08 -0.12 0.0 40894616.98 -40894616.98 -0.08 -0.04 -2.95 999999999 -2 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 37354251.80 -37354251.80 0.00 0.00 -3.09 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.26 -0.11 0.0 43582575.18 -43582575.18 -0.26 -0.31 -2.54 999999999 -6 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.08 0.0 20543112.76 -20543112.76 -0.04 -0.04 -3.98 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.06 0.0 30247373.99 -30247373.99 -0.06 -0.06 -2.00 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.05 -0.05 -0.05 0.0 49481108.63 -49481108.63 -0.05 0.00 -0.96 999999999 -1 0 caleb_strategy_v1 FTSE100 False False 0.03 -0.03 -0.05 0.0 27287585.51 -27287585.51 -0.03 -0.03 -1.82 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.04 -0.08 -0.04 0.0 41829649.91 -41829649.91 -0.08 -0.08 -0.96 999999999 -2 -2 caleb_strategy_v1 CAD False False 0.02 -0.07 -0.04 0.0 24684869.36 -24684869.36 -0.07 -0.07 -1.44 999999999 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 5563508.69 -5563508.69 -0.01 0.00 -6.42 999999999 -1 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 75123934.34 -75123934.34 0.00 -0.08 -0.45 999999999 0 -1 caleb_strategy_v1 AUD False False 0.02 0.00 -0.02 0.0 21660968.68 -21660968.68 0.00 0.00 -1.07 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 3031263.80 -3031263.80 -0.01 -0.01 -6.78 999999999 -4 -2 caleb_strategy_v1 VIX False False 0.01 0.00 -0.02 0.0 9605528.45 -9605528.45 0.00 0.00 -2.46 999999999 0 0 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 80331670.32 -80331670.32 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 19520642.74 -19520642.74 0.00 0.00 -0.49 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14738796.48 -14738796.48 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7788175.85 -7788175.85 0.00 0.00 -1.18 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 20673640.84 -20673640.84 -0.02 0.00 -0.55 999999999 -1 0 caleb_strategy_v1 DOW False False 0.01 -0.02 -0.01 0.0 5376251.09 -5376251.09 -0.02 -0.01 -1.01 999999999 -3 -1 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 63967129.78 -63967129.78 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 64644871.77 -64644871.77 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 -0.00 0.0 18982206.97 -18982206.97 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 693137.61 -693137.61 0.00 0.00 6.83 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 11976828.99 -11976828.99 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15588065.77 -15588065.77 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.00 0.0 6285429.42 -6285429.42 -0.01 -0.01 -0.58 999999999 -1 -1 caleb_strategy_v1 DAX False False 0.00 0.00 -0.00 0.0 4403618.61 -4403618.61 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22378036.44 -22378036.44 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 9955276.78 -9955276.78 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 12520655.72 -12520655.72 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 24210449.97 -24210449.97 0.02 0.02 0.32 999999999 1 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 16316010.87 -16316010.87 0.00 0.00 0.59 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 6634843.06 -6634843.06 0.01 0.01 1.93 999999999 1 1 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10400411.03 -10400411.03 0.02 0.02 0.48 999999999 2 2 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 29435757.04 -29435757.04 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16140299.98 -16140299.98 0.00 0.00 0.64 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 13454433.58 -13454433.58 0.01 0.01 0.85 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4279987.25 -4279987.25 0.00 0.00 1.33 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 0.02 0.0 26031986.16 -26031986.16 0.03 0.05 0.88 999999999 1 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.02 0.0 8348777.25 -8348777.25 0.00 0.00 2.95 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.04 0.0 13370761.72 -13370761.72 0.07 0.05 3.17 999999999 5 4 caleb_strategy_v1 BTP False False 0.04 0.08 0.04 0.0 39121418.30 -39121418.30 0.08 0.08 0.94 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 45159847.39 -45159847.39 0.00 0.00 0.83 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 0.04 0.0 35735377.20 -35735377.20 0.00 0.00 1.11 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.05 0.0 49984827.23 -49984827.23 0.10 0.10 1.06 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 34640146.15 -34640146.15 0.00 0.00 1.46 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 22624868.40 -22624868.40 0.02 0.02 3.30 999999999 1 1 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.07 0.0 5942956.46 -5942956.46 0.00 0.04 12.12 999999999 0 7 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.07 0.0 11794384.06 -11794384.06 0.05 0.05 6.01 999999999 4 4 caleb_strategy_v1 BUND False False 0.05 0.00 0.14 0.0 46910358.31 -46910358.31 0.00 0.00 3.00 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.16 0.33 0.0 39924986.17 -39924986.17 0.16 0.20 8.28 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 10.4 Shocked risk 19.8 Sum abs risk 38.5 Leverage 2.62 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2987862.68, 'annual_cash_vol_target': 746965.67, 'daily_cash_vol_target': 46685.354375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0061 0.6472 0.9427 15.0830 BITCOIN 691.8857 20710.0000 3.3408 53.4533 BOBL 0.4021 119.7400 0.3358 5.3734 BTP 1.1436 117.3300 0.9746 15.5944 BUND 0.9450 140.6900 0.6717 10.7476 BUXL 2.4726 148.4000 1.6662 26.6591 CAC 69.6113 5693.0000 1.2228 19.5640 CAD 0.0045 0.7376 0.6164 9.8626 CANOLA 8.8116 867.2000 1.0161 16.2576 CHF 0.0064 1.0136 0.6304 10.0870 COCOA 33.1192 2327.0000 1.4233 22.7721 COFFEE 0.0354 1.7830 1.9830 31.7285 COPPER 0.0556 3.5180 1.5800 25.2793 CORN 5.7949 621.5000 0.9324 14.9185 COTTON2 0.0211 0.7482 2.8168 45.0688 CRUDE_W 1.6518 77.7800 2.1236 33.9781 DAX 144.8276 13207.0000 1.0966 17.5456 DOW 356.5638 32127.0000 1.1099 17.7577 EUR 0.0075 0.9998 0.7544 12.0698 EUROSTX 41.6647 3592.0000 1.1599 18.5589 FEEDCOW 1.4115 180.7500 0.7809 12.4944 FTSE100 58.7633 7051.5000 0.8333 13.3335 GASOIL 23.6809 1035.0000 2.2880 36.6082 GASOILINE 0.0507 2.5422 1.9934 31.8937 GAS_US 0.2274 6.1770 3.6809 58.8948 GBP 0.0113 1.1574 0.9748 15.5970 GOLD_micro 14.9617 1662.3000 0.9001 14.4009 HEATOIL 0.0704 3.5559 1.9785 31.6564 JPY 0.0001 0.0069 0.7333 11.7320 LEANHOG 1.4891 88.1000 1.6902 27.0435 LIVECOW 0.9189 153.4500 0.5988 9.5815 MXP 0.0003 0.0499 0.6297 10.0757 NASDAQ 181.7116 11223.0000 1.6191 25.9056 NIKKEI 285.3658 25975.0000 1.0986 17.5779 NZD 0.0055 0.5833 0.9436 15.0973 OAT 0.9710 135.4400 0.7169 11.4706 OJ 0.0368 1.9830 1.8575 29.7197 PALLAD 46.2333 1931.5000 2.3936 38.2984 PLAT 18.1893 964.5000 1.8859 30.1741 REDWHEAT 16.4729 931.5000 1.7684 28.2948 ROBUSTA 27.9936 1878.0000 1.4906 23.8497 RUSSELL 27.9806 1811.4000 1.5447 24.7151 SILVER-mini 0.4020 19.5000 2.0616 32.9853 SOYBEAN 12.5501 1352.0000 0.9283 14.8522 SOYMEAL 5.4389 399.5000 1.3614 21.7828 SOYOIL 0.9045 67.0000 1.3500 21.5995 SP400 34.1743 2400.2000 1.4238 22.7810 SP500 50.3257 3822.5000 1.3166 21.0650 SUGAR11 0.0022 0.1770 1.2464 19.9421 US10 0.5544 111.6094 0.4967 7.9476 US10U 0.7715 117.1875 0.6584 10.5336 US20 1.0883 122.1875 0.8906 14.2503 US30 1.6241 130.2188 1.2472 19.9553 US5 0.3652 107.3047 0.3403 5.4452 VIX 0.5936 28.7000 2.0683 33.0928 WHEAT 13.9103 880.7500 1.5794 25.2699 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 647.20 0.94 610.11 1.00 610.11 46685.35 76.52 -8.74 -66.91 BITCOIN 20.71 3.34 69.19 1.00 69.19 46685.35 674.76 4.30 290.10 BOBL 1197.40 0.34 402.14 1.01 400.57 46685.35 116.55 9.84 114.71 BTP 1173.30 0.97 1143.56 1.01 1152.34 46685.35 40.51 11.50 46.59 BUND 1406.90 0.67 945.05 1.01 952.31 46685.35 49.02 8.48 41.57 BUXL 1484.00 1.67 2472.63 1.01 2491.62 46685.35 18.74 -6.12 -11.48 CAC 569.30 1.22 696.11 1.01 681.77 46685.35 68.48 -1.09 -7.50 CAD 737.55 0.62 454.63 1.00 454.63 46685.35 102.69 -7.83 -80.38 CANOLA 173.44 1.02 176.23 0.74 129.82 46685.35 359.61 4.04 145.19 CHF 1267.00 0.63 798.77 1.00 798.77 46685.35 58.45 -14.04 -82.03 COCOA 232.70 1.42 331.19 1.00 331.19 46685.35 140.96 -3.83 -53.94 COFFEE 668.62 1.98 1325.90 1.00 1325.90 46685.35 35.21 -0.76 -2.68 COPPER 879.50 1.58 1389.57 1.00 1389.57 46685.35 33.60 3.17 10.65 CORN 310.75 0.93 289.74 1.00 289.74 46685.35 161.13 3.33 53.64 COTTON2 374.10 2.82 1053.76 1.00 1053.76 46685.35 44.30 -4.67 -20.71 CRUDE_W 777.80 2.12 1651.76 1.00 1651.76 46685.35 28.26 2.37 6.69 DAX 132.07 1.10 144.83 1.01 145.94 46685.35 319.89 -0.22 -6.98 DOW 160.64 1.11 178.28 1.00 178.28 46685.35 261.86 -1.36 -35.61 EUR 1249.81 0.75 942.81 1.00 942.81 46685.35 49.52 -5.17 -25.61 EUROSTX 359.20 1.16 416.65 1.01 419.85 46685.35 111.20 0.47 5.25 FEEDCOW 903.75 0.78 705.74 1.00 705.74 46685.35 66.15 -11.28 -74.59 FTSE100 705.15 0.83 587.63 1.16 683.06 46685.35 68.35 -2.58 -17.67 GASOIL 1035.00 2.29 2368.09 1.00 2368.09 46685.35 19.71 10.38 20.46 GASOILINE 1067.72 1.99 2128.36 1.00 2128.36 46685.35 21.93 12.37 27.14 GAS_US 617.70 3.68 2273.71 1.00 2273.71 46685.35 20.53 -17.67 -36.27 GBP 723.38 0.97 705.16 1.00 705.16 46685.35 66.21 2.69 17.84 GOLD_micro 166.23 0.90 149.62 1.00 149.62 46685.35 312.03 -9.20 -287.12 HEATOIL 1493.48 1.98 2954.88 1.00 2954.88 46685.35 15.80 9.42 14.89 JPY 859.50 0.73 630.23 1.00 630.23 46685.35 74.08 -10.02 -74.20 LEANHOG 352.40 1.69 595.63 1.00 595.63 46685.35 78.38 16.42 128.69 LIVECOW 613.80 0.60 367.57 1.00 367.57 46685.35 127.01 -11.65 -148.03 MXP 249.45 0.63 157.09 1.00 157.09 46685.35 297.19 8.12 241.35 NASDAQ 2244.60 1.62 3634.23 1.00 3634.23 46685.35 12.85 -6.40 -8.22 NIKKEI 25975.00 1.10 28536.58 0.01 197.63 46685.35 236.22 2.70 63.82 NZD 583.25 0.94 550.34 1.00 550.34 46685.35 84.83 -3.60 -30.54 OAT 1354.40 0.72 970.98 1.01 978.44 46685.35 47.71 8.62 41.15 OJ 297.45 1.86 552.51 1.00 552.51 46685.35 84.50 0.47 3.94 PALLAD 1931.50 2.39 4623.33 1.00 4623.33 46685.35 10.10 -3.66 -3.69 PLAT 482.25 1.89 909.47 1.00 909.47 46685.35 51.33 5.20 26.68 REDWHEAT 465.75 1.77 823.64 1.00 823.64 46685.35 56.68 -9.27 -52.56 ROBUSTA 187.80 1.49 279.94 1.00 279.94 46685.35 166.77 -2.69 -44.86 RUSSELL 90.57 1.54 139.90 1.00 139.90 46685.35 333.70 -3.93 -130.98 SILVER-mini 487.50 2.06 1005.02 1.00 1005.02 46685.35 46.45 5.63 26.15 SOYBEAN 676.00 0.93 627.51 1.00 627.51 46685.35 74.40 7.53 56.02 SOYMEAL 399.50 1.36 543.89 1.00 543.89 46685.35 85.84 6.27 53.84 SOYOIL 402.00 1.35 542.69 1.00 542.69 46685.35 86.03 10.82 93.06 SP400 2400.20 1.42 3417.43 1.00 3417.43 46685.35 13.66 -3.47 -4.75 SP500 1911.25 1.32 2516.28 1.00 2516.28 46685.35 18.55 -3.92 -7.28 SUGAR11 198.24 1.25 247.08 1.00 247.08 46685.35 188.95 7.51 141.91 US10 1116.09 0.50 554.39 1.00 554.39 46685.35 84.21 -9.56 -80.48 US10U 1171.88 0.66 771.51 1.00 771.51 46685.35 60.51 -6.94 -42.00 US20 1221.88 0.89 1088.25 1.00 1088.25 46685.35 42.90 -9.33 -40.01 US30 1302.19 1.25 1624.10 1.00 1624.10 46685.35 28.75 -10.54 -30.29 US5 1073.05 0.34 365.18 1.00 365.18 46685.35 127.84 -7.94 -101.49 VIX 287.00 2.07 593.60 1.00 593.60 46685.35 78.65 -1.66 -13.07 WHEAT 440.38 1.58 695.51 1.00 695.51 46685.35 67.12 -11.64 -78.11 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -66.911 0.006 2.5 -1.069 BITCOIN 290.101 0.009 2.5 6.835 BOBL 114.713 0.029 2.5 8.277 BTP 46.594 0.008 2.5 0.941 BUND 41.565 0.029 2.5 2.999 BUXL -11.476 0.034 2.5 -0.963 CAC -7.496 0.011 2.5 -0.211 CAD -80.377 0.007 2.5 -1.435 CANOLA 145.192 0.004 2.5 1.333 CHF -82.035 0.015 2.5 -3.070 COCOA -53.944 0.009 2.5 -1.175 COFFEE -2.680 0.005 2.5 -0.035 COPPER 10.649 0.011 2.5 0.291 CORN 53.642 0.004 2.5 0.484 COTTON2 -20.707 0.006 2.5 -0.312 CRUDE_W 6.693 0.053 2.5 0.884 DAX -6.980 0.022 2.5 -0.379 DOW -35.612 0.011 2.5 -1.015 EUR -25.610 0.015 2.5 -0.958 EUROSTX 5.251 0.011 2.5 0.148 FEEDCOW -74.587 0.011 2.5 -2.004 FTSE100 -17.667 0.041 2.5 -1.821 GASOIL 20.465 0.029 2.5 1.460 GASOILINE 27.142 0.016 2.5 1.114 GAS_US -36.274 0.006 2.5 -0.546 GBP 17.835 0.007 2.5 0.318 GOLD_micro -287.116 0.009 2.5 -6.424 HEATOIL 14.887 0.029 2.5 1.062 JPY -74.199 0.026 2.5 -4.803 LEANHOG 128.689 0.019 2.5 6.012 LIVECOW -148.027 0.011 2.5 -3.978 MXP 241.349 0.005 2.5 2.955 NASDAQ -8.223 0.022 2.5 -0.447 NIKKEI 63.821 0.076 2.5 12.122 NZD -30.542 0.006 2.5 -0.488 OAT 41.153 0.008 2.5 0.831 OJ 3.935 0.007 2.5 0.069 PALLAD -3.691 0.010 2.5 -0.089 PLAT 26.683 0.010 2.5 0.642 REDWHEAT -52.562 0.002 2.5 -0.281 ROBUSTA -44.856 0.005 2.5 -0.582 RUSSELL -130.977 0.021 2.5 -6.784 SILVER-mini 26.153 0.009 2.5 0.585 SOYBEAN 56.016 0.024 2.5 3.303 SOYMEAL 53.835 0.024 2.5 3.174 SOYOIL 93.056 0.004 2.5 0.854 SP400 -4.746 0.021 2.5 -0.246 SP500 -7.275 0.011 2.5 -0.207 SUGAR11 141.910 0.005 2.5 1.926 US10 -80.482 0.015 2.5 -3.088 US10U -42.004 0.058 2.5 -6.120 US20 -40.014 0.029 2.5 -2.949 US30 -30.294 0.034 2.5 -2.543 US5 -101.494 0.015 2.5 -3.894 VIX -13.072 0.075 2.5 -2.463 WHEAT -78.112 0.002 2.5 -0.417 ==================== Position diags ==================== AUD 1.22 BITCOIN 15.90 BOBL 8.41 BTP 0.82 BUND 3.54 BUXL 1.57 CAC 1.93 CAD 1.83 CANOLA 3.30 CHF 2.19 COCOA 3.07 COFFEE 0.46 COPPER 0.92 CORN 1.45 COTTON2 0.67 CRUDE_W 3.73 DAX 17.37 DOW 7.46 EUR 1.85 EUROSTX 3.13 FEEDCOW 1.78 FTSE100 7.05 GASOIL 1.41 GASOILINE 0.90 GAS_US 0.31 GBP 1.18 GOLD_micro 6.98 HEATOIL 1.13 JPY 4.79 LEANHOG 3.66 LIVECOW 3.41 MXP 3.64 NASDAQ 0.70 NIKKEI 44.87 NZD 1.36 OAT 0.96 OJ 1.47 PALLAD 0.24 PLAT 1.24 REDWHEAT 0.30 ROBUSTA 2.16 RUSSELL 17.28 SILVER-mini 1.04 SOYBEAN 4.39 SOYMEAL 5.06 SOYOIL 0.79 SP400 0.71 SP500 0.53 SUGAR11 2.56 US10 3.23 US10U 8.82 US20 3.16 US30 2.41 US5 4.90 VIX 14.82 WHEAT 0.36 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 6.8 6.2 7.5 NaN 0 BOBL 8.3 7.4 9.1 4.0 4 BTP 0.9 0.8 1.0 2.0 2 BUND 3.0 2.7 3.3 NaN 0 BUXL -1.0 -1.1 -0.9 -1.0 -1 CAC -0.2 -0.2 -0.2 NaN 0 CAD -1.4 -1.6 -1.3 -3.0 -3 CANOLA 1.3 1.2 1.5 NaN 0 CHF -3.1 -3.4 -2.8 -1.0 -1 COCOA -1.2 -1.3 -1.1 NaN 0 COFFEE -0.0 -0.0 -0.0 NaN 0 COPPER 0.3 0.3 0.3 NaN 0 CORN 0.5 0.4 0.5 2.0 2 COTTON2 -0.3 -0.3 -0.3 NaN 0 CRUDE_W 0.9 0.8 1.0 1.0 1 DAX -0.4 -0.4 -0.3 NaN 0 DOW -1.0 -1.1 -0.9 -3.0 -3 EUR -1.0 -1.1 -0.9 -2.0 -2 EUROSTX 0.1 0.1 0.2 NaN 0 FEEDCOW -2.0 -2.2 -1.8 -2.0 -2 FTSE100 -1.8 -2.0 -1.6 -1.0 -1 GASOIL 1.5 1.3 1.6 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 -6.4 -7.1 -5.8 -1.0 -1 HEATOIL 1.1 1.0 1.2 2.0 2 JPY -4.8 -5.3 -4.3 -5.0 -5 LEANHOG 6.0 5.4 6.6 4.0 4 LIVECOW -4.0 -4.4 -3.6 -2.0 -2 MXP 3.0 2.7 3.3 NaN 0 NASDAQ -0.4 -0.5 -0.4 0.0 0 NIKKEI 12.1 10.9 13.3 NaN 0 NZD -0.5 -0.5 -0.4 NaN 0 OAT 0.8 0.7 0.9 0.0 0 OJ 0.1 0.1 0.1 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.6 0.6 0.7 NaN 0 REDWHEAT -0.3 -0.3 -0.3 NaN 0 ROBUSTA -0.6 -0.6 -0.5 -1.0 -1 RUSSELL -6.8 -7.5 -6.1 -4.0 -4 SILVER-mini 0.6 0.5 0.6 NaN 0 SOYBEAN 3.3 3.0 3.6 1.0 1 SOYMEAL 3.2 2.9 3.5 5.0 5 SOYOIL 0.9 0.8 0.9 1.0 1 SP400 -0.2 -0.3 -0.2 NaN 0 SP500 -0.2 -0.2 -0.2 NaN 0 SUGAR11 1.9 1.7 2.1 1.0 1 US10 -3.1 -3.4 -2.8 NaN 0 US10U -6.1 -6.7 -5.5 -1.0 -1 US20 -2.9 -3.2 -2.7 -2.0 -2 US30 -2.5 -2.8 -2.3 -6.0 -6 US5 -3.9 -4.3 -3.5 -7.0 -7 VIX -2.5 -2.7 -2.2 0.0 0 WHEAT -0.4 -0.5 -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 0.0 -0.1 0.1 -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 -1.0 -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 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.4 0.0 -0.4 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.3 0.0 4.0 -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 0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -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 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 1.2 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 0.3 -0.0 -0.0 BUXL -0.1 -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 -0.3 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 -1.9 0.2 -0.0 -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 0.1 -0.3 -0.2 -0.1 0.0 -0.1 0.1 -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 -1.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -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 0.7 0.4 0.0 0.1 0.0 -0.1 0.0 -0.0 0.0 0.6 -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 0.1 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.3 -0.9 -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 -0.3 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 2.1 -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 -0.2 -0.0 0.0 -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 -0.6 -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 0.4 -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 -3.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.4 -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 -0.0 -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 0.3 0.0 DOW 0.3 -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 -0.1 -0.3 -0.0 -0.1 -0.1 -0.0 -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 0.1 -0.1 0.0 -0.1 0.1 -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 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.4 0.0 0.3 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 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.2 -1.0 -0.8 -0.3 -0.4 -0.1 -0.1 0.0 -0.0 0.0 0.6 -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 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -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 0.2 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 1.7 0.0 0.1 0.1 0.0 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 0.1 -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 0.0 0.4 0.0 -0.2 GOLD_micro -0.0 -0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.4 -0.0 -0.3 -0.0 -0.3 -0.8 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.3 -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 0.2 -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 0.1 1.7 0.9 0.5 0.5 0.1 0.1 0.0 0.2 0.0 -1.4 -0.0 0.0 0.0 0.1 0.0 0.2 0.0 0.5 0.0 0.2 0.1 0.3 JPY 0.0 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.4 -0.0 -0.4 -0.0 -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 0.2 0.0 0.2 -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 -1.0 -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 0.4 0.1 0.3 1.3 0.8 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -3.6 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 2.2 -0.0 0.2 0.3 0.3 NASDAQ 0.0 -0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -0.2 0.0 -0.2 -0.0 0.9 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.4 -0.3 -0.4 -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 0.1 -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 0.2 -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 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 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 0.4 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 0.8 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 0.0 0.3 PLAT 0.1 0.2 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.1 0.2 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 1.4 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.0 0.4 0.3 0.1 REDWHEAT -0.1 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 -2.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.4 -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 -0.1 -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 -0.8 -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 -0.2 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 0.0 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 0.2 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 0.0 -0.0 0.1 -0.0 2.7 0.0 0.1 0.1 0.2 SOYMEAL -0.0 -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 1.2 0.1 0.1 0.1 0.3 SOYOIL 0.2 0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.0 0.0 0.1 0.1 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 -0.3 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.0 -0.3 -0.0 -0.2 -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 -0.4 -0.1 -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 1.4 -0.0 0.2 0.2 0.2 US10 -0.1 -0.3 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -0.3 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 -0.0 0.0 -0.4 -0.0 -0.3 -0.1 -0.3 -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 -0.1 -0.3 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 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 -1.0 -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 -0.0 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 -0.0 0.0 -0.4 -0.0 -0.4 -0.0 -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 0.7 -0.1 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.1 0.6 -1.4 -0.1 -0.4 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 -0.0 -17.4 -8.0 -4.2 4.9 -4.9 2.6 -4.7 -1.4 11.7 -14.5 5.0 -13.6 -9.3 -12.9 -2.7 -1.5 -2.1 -1.8 -19.1 -18.7 7.6 -14.2 -9.4 -8.9 -0.0 -5.3 5.0 -5.2 2.1 -4.2 -2.6 -0.2 0.9 -9.8 -7.3 -2.0 BITCOIN 6.1 -1.7 -16.3 -3.1 1.7 -2.9 0.1 -1.4 -1.9 12.7 -15.9 5.0 -15.6 -4.2 -10.7 -0.2 -1.6 -0.4 -0.7 -8.7 -20.0 7.5 -20.0 0.7 18.5 -0.0 -2.4 8.0 -6.3 4.2 -6.4 0.9 0.0 18.0 1.8 6.4 2.3 BOBL -0.6 -20.0 -17.0 -4.9 2.0 -4.9 -1.2 -4.7 -3.8 11.9 -13.6 -6.6 -12.0 -12.8 -14.2 20.0 17.1 20.0 20.0 -20.0 -20.0 1.0 -20.0 -16.3 9.4 -0.0 -5.6 3.7 -6.8 0.5 -7.5 -2.9 20.0 13.3 18.7 1.6 -1.6 BTP 7.1 -4.8 -2.5 -4.8 3.5 -4.9 0.1 -4.8 -3.2 13.9 -13.3 6.1 -12.9 -4.7 -11.5 20.0 12.8 18.9 16.9 -14.6 -20.0 20.0 -20.0 -0.8 9.4 -0.0 -4.5 11.1 -7.1 5.9 -8.6 -0.2 18.8 20.0 20.0 14.8 3.0 BUND 2.6 -17.4 -7.9 -4.8 3.5 -4.9 0.1 -4.8 -3.2 13.4 -13.7 0.3 -12.6 -10.3 -13.8 14.2 16.9 15.9 16.7 -20.0 -20.0 11.9 -20.0 -10.5 8.7 -0.0 -5.2 6.9 -6.4 2.7 -6.8 -2.0 20.0 20.0 15.6 -1.2 -0.0 BUXL -4.6 -10.3 1.1 -4.8 3.5 -4.9 0.1 -4.8 -3.2 13.5 -14.0 -0.9 -13.0 -9.5 -13.4 6.8 -5.3 5.8 -0.8 -20.0 -20.0 7.6 -20.0 -13.4 6.3 -0.0 -5.5 5.5 -6.0 1.6 -6.0 -3.0 -14.1 20.0 -1.0 -1.6 4.6 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 5.0 -17.2 -13.2 -4.2 4.9 -4.9 2.6 -4.7 -1.4 13.9 -13.6 5.9 -13.3 -9.3 -12.5 -1.9 -0.5 -1.3 -0.9 -17.7 -17.8 7.8 -12.4 -6.9 -7.4 -0.0 -5.2 3.6 -5.5 1.8 -4.1 -2.1 1.5 -4.2 0.8 -6.5 -7.4 CANOLA 15.5 13.2 -13.8 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -3.4 -10.0 3.6 -0.0 13.8 4.6 10.0 11.8 1.6 4.5 3.9 -9.7 3.5 -0.1 10.8 2.9 -0.0 3.5 -1.9 0.3 1.0 2.4 3.9 -2.5 9.3 20.0 20.0 13.0 CHF -7.4 -9.4 1.1 -4.2 4.9 -4.9 2.6 -4.7 -1.4 7.4 -12.2 -4.1 -11.2 -11.5 -12.5 -12.6 -10.9 -12.3 -11.9 -13.4 -12.5 0.9 -11.6 -9.4 -3.1 -0.0 -5.1 3.3 -5.5 0.5 -6.1 -3.3 -16.9 -13.2 -13.5 9.1 7.4 COCOA 1.4 0.9 -2.0 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -5.8 -11.9 -6.4 -12.3 -1.6 -4.5 1.1 -4.0 0.0 -2.0 -5.0 -8.5 -3.9 -10.4 -3.9 14.0 -0.0 -2.5 -0.6 -5.3 -2.8 -6.6 -2.3 -20.0 4.3 10.3 2.8 3.0 COFFEE -20.0 -20.0 -5.8 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -14.1 -6.7 -15.9 1.7 -15.9 -10.0 11.4 5.4 11.2 9.1 -20.0 -10.2 -20.0 0.1 -20.0 8.4 -0.0 -4.8 -7.7 -2.3 -8.6 0.2 -7.6 -4.5 -20.0 -20.0 -20.0 -8.4 COPPER 8.2 7.2 -5.9 -3.1 1.7 -2.9 0.1 -1.4 -1.9 10.9 -12.7 7.0 -11.2 -1.2 -4.7 0.7 0.2 0.7 0.3 -7.2 -16.2 8.5 -16.8 1.0 18.9 -0.0 -3.7 8.3 -6.7 4.9 -5.8 0.4 2.3 12.7 5.5 -4.7 -6.0 CORN 0.6 14.1 13.8 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -9.8 2.3 -2.1 5.4 6.3 12.3 15.3 12.1 11.6 10.9 11.1 10.9 -1.4 15.3 5.1 -20.0 -0.0 4.0 -2.3 6.1 -1.0 10.4 1.3 2.8 -0.1 13.1 12.3 19.9 COTTON2 -13.2 -20.0 -20.0 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -12.3 -12.7 -13.8 2.3 -15.8 -15.1 4.3 20.0 12.1 18.5 -20.0 -17.2 -20.0 0.1 -20.0 -14.0 -0.0 -5.3 -3.8 -2.6 -4.5 1.9 -5.5 18.1 -18.8 -20.0 -20.0 -15.2 CRUDE_W 15.9 -0.9 -16.9 -1.3 4.2 0.4 2.0 6.8 0.5 12.7 -6.5 8.3 4.2 6.8 -0.3 6.6 14.8 9.4 12.6 -0.3 -3.1 9.8 5.0 6.8 11.6 -0.0 0.3 6.3 0.6 5.0 7.3 3.2 -20.0 8.5 9.1 4.5 10.8 DAX 17.6 -5.1 -3.6 -2.6 5.3 -3.3 4.6 -2.5 0.7 13.8 -10.3 15.1 -11.4 4.2 -4.7 -3.4 -0.9 -2.5 -1.7 -3.3 -12.5 20.0 -14.3 11.4 3.2 -0.0 -0.7 9.1 -4.2 8.8 -5.9 4.6 -0.3 11.1 14.9 17.8 2.9 DOW 20.0 -10.2 -1.1 -2.6 5.3 -3.3 4.6 -2.5 0.7 14.1 -8.3 15.0 -8.3 4.0 -5.2 -4.4 -0.9 -3.6 -2.6 -3.3 -9.9 20.0 -8.6 12.9 -1.1 -0.0 -1.1 8.2 -2.9 8.1 -2.2 3.6 -1.0 14.2 14.9 6.5 5.0 EUR 10.1 7.1 3.2 -4.2 4.9 -4.9 2.6 -4.7 -1.4 7.5 -13.6 7.3 -14.8 0.6 -8.0 -7.7 -8.3 -8.2 -8.5 -8.5 -17.2 12.6 -20.0 2.8 9.3 -0.0 -4.0 5.9 -8.5 5.4 -11.2 1.2 -11.8 3.5 16.0 18.0 -6.0 EUROSTX 15.2 -5.3 -1.4 -2.6 5.3 -3.3 4.6 -2.5 0.7 12.9 -8.4 14.7 -10.3 4.8 -4.4 -0.6 3.2 0.2 1.4 -2.0 -8.3 20.0 -8.5 10.7 -3.8 -0.0 -0.3 8.5 -2.9 8.7 -3.6 4.5 5.8 9.8 13.8 15.7 7.8 FEEDCOW 9.3 -18.2 -2.7 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 9.6 -2.3 11.2 -1.1 -3.3 -7.2 -12.5 -20.0 -14.8 -20.0 -6.8 -5.8 10.1 -2.6 1.0 3.5 -0.0 -3.0 2.7 -2.5 3.4 -1.0 0.0 -20.0 20.0 16.6 -15.5 2.1 FTSE100 -1.1 -19.1 -8.7 -2.6 5.3 -3.3 4.6 -2.5 0.7 13.2 -6.5 7.2 2.1 -8.6 -10.1 -1.0 4.4 -0.9 0.9 -11.6 -9.1 7.0 -0.8 -4.6 -6.7 -0.0 -3.6 5.4 -4.3 3.9 -3.0 -0.5 6.7 -9.9 -13.4 5.5 2.7 GASOIL 16.0 -3.9 -14.9 -1.3 4.2 0.4 2.0 6.8 0.5 7.7 7.7 3.5 10.9 5.0 3.8 20.0 20.0 20.0 20.0 7.5 9.7 5.6 18.5 8.3 -4.8 -0.0 2.9 2.6 3.7 2.3 8.3 3.3 0.0 -1.4 15.2 12.4 14.1 GASOILINE 14.8 -0.7 -20.0 -1.3 4.2 0.4 2.0 6.8 0.5 13.4 -5.2 9.6 5.1 7.2 -6.2 20.0 20.0 20.0 20.0 -1.7 -2.3 13.7 11.7 7.4 1.8 -0.0 0.3 10.1 1.6 7.1 10.8 3.9 12.2 14.5 6.7 10.7 3.1 GAS_US -18.9 -20.0 -8.2 -1.3 4.2 0.4 2.0 6.8 0.5 -4.9 -2.1 -8.5 4.4 -14.1 -9.9 -20.0 -9.2 -20.0 -12.9 -20.0 -7.8 -17.5 6.4 -20.0 -10.6 -0.0 -4.1 -1.6 0.4 -4.5 4.9 -6.0 -20.0 -20.0 -20.0 -20.0 20.0 GBP 16.0 10.7 3.7 -4.2 4.9 -4.9 2.6 -4.7 -1.4 11.0 -11.6 12.1 -13.3 5.4 -4.9 -1.3 -1.3 -1.5 -1.6 -8.7 -17.0 15.9 -17.9 4.6 17.5 -0.0 -4.5 4.9 -7.0 3.7 -7.1 -0.1 0.2 2.2 20.0 0.0 -12.6 GOLD_micro -1.5 -3.4 -12.7 -3.1 1.7 -2.9 0.1 -1.4 -1.9 8.6 -14.3 -7.2 -12.5 -8.2 -11.8 -10.2 -7.1 -9.5 -8.5 -15.5 -18.3 -2.8 -14.1 -9.7 10.0 -0.0 -5.1 1.3 -5.2 -0.8 -3.4 -3.3 -11.2 -3.2 -3.4 -12.6 -14.8 HEATOIL 17.4 -7.5 -19.1 -1.3 4.2 0.4 2.0 6.8 0.5 10.6 5.5 7.3 9.9 7.3 2.5 20.0 20.0 20.0 20.0 6.2 8.2 8.9 18.0 9.0 -15.0 -0.0 3.0 4.4 5.5 3.6 12.8 3.6 3.8 3.0 15.0 7.8 20.0 JPY 1.9 -8.3 -6.9 -4.2 4.9 -4.9 2.6 -4.7 -1.4 12.2 -16.3 -2.8 -16.0 -11.3 -15.1 -14.3 -9.4 -12.9 -11.4 -20.0 -20.0 -0.4 -20.0 -15.4 20.0 -0.0 -6.1 3.6 -7.7 0.0 -9.2 -3.8 -15.0 -18.5 -20.0 -11.2 -9.9 LEANHOG 20.0 1.9 -4.4 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 7.0 -6.6 13.4 -1.5 11.4 4.6 20.0 20.0 20.0 20.0 6.0 -0.3 20.0 2.2 17.6 6.4 -0.0 1.1 0.7 -0.6 5.7 0.6 4.7 20.0 20.0 20.0 8.3 11.0 LIVECOW 17.9 2.2 9.6 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 11.3 1.4 13.1 -3.9 10.7 8.9 -20.0 -20.0 -20.0 -20.0 8.8 2.8 20.0 -1.6 18.0 -6.3 -0.0 3.3 7.0 1.9 9.6 1.1 6.8 -20.0 20.0 20.0 14.5 20.0 MXP 3.8 2.2 8.6 -4.2 4.9 -4.9 2.6 -4.7 -1.4 12.5 15.0 14.2 14.3 13.9 15.1 17.4 19.5 17.5 18.5 8.8 10.3 9.3 12.0 8.4 -20.0 -0.0 4.6 7.3 3.9 6.6 4.6 5.4 20.0 -11.2 13.3 20.0 20.0 NASDAQ 3.3 -18.9 -1.7 -2.6 5.3 -3.3 4.6 -2.5 0.7 5.1 -12.8 5.3 -11.9 -8.7 -11.6 -4.7 -2.6 -4.3 -3.6 -15.5 -17.3 2.7 -15.1 -7.1 8.1 -0.0 -4.5 -0.3 -5.0 0.8 -3.7 -2.0 -3.3 -19.9 -19.6 -7.5 -1.9 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 10.0 -14.3 -2.7 -4.2 4.9 -4.9 2.6 -4.7 -1.4 13.8 -14.6 12.4 -14.4 -7.1 -12.3 -0.8 1.0 -0.4 0.3 -17.8 -20.0 13.1 -19.0 -3.7 1.1 -0.0 -4.9 5.1 -5.9 3.2 -5.2 -1.2 3.8 6.3 4.5 -6.3 -4.9 OAT 3.9 -12.0 -0.5 -4.8 3.5 -4.9 0.1 -4.8 -3.2 13.6 -13.4 3.1 -12.6 -8.8 -13.0 17.2 10.8 13.1 12.4 -20.0 -20.0 15.9 -20.0 -7.1 12.6 -0.0 -5.0 8.2 -6.6 3.7 -7.4 -1.5 14.2 20.0 19.3 1.9 1.2 OJ 9.9 18.9 9.4 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 6.7 14.5 12.7 13.5 14.9 15.0 19.4 10.6 17.2 15.3 20.0 20.0 17.5 17.4 20.0 -20.0 -0.0 6.1 0.9 5.8 3.6 5.1 5.5 5.6 20.0 20.0 20.0 20.0 PALLAD -18.8 -3.2 6.1 -3.1 1.7 -2.9 0.1 -1.4 -1.9 -12.2 -8.2 -14.5 -4.6 -13.1 -2.1 -1.6 -1.0 -1.4 -1.2 -6.7 -2.5 -18.5 -3.3 -15.0 -2.7 -0.0 -2.5 -6.3 -0.2 -7.9 -0.2 -6.2 0.1 -20.0 -20.0 3.1 16.7 PLAT 9.8 14.0 7.9 -3.1 1.7 -2.9 0.1 -1.4 -1.9 13.4 -6.0 13.5 -9.1 12.8 6.9 0.4 -0.4 0.0 -0.2 5.9 -1.0 16.7 -5.5 11.7 8.5 -0.0 1.9 11.2 -1.8 8.7 -4.1 5.5 1.4 20.0 20.0 20.0 8.3 REDWHEAT -6.6 15.8 -8.2 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -13.2 -8.8 -13.8 -2.3 0.5 2.8 0.8 -1.4 0.5 -0.2 1.1 -2.1 -8.0 2.2 -2.2 -14.5 -0.0 1.8 -3.4 2.7 -3.4 5.9 -0.7 -18.0 -3.7 3.5 17.8 9.0 ROBUSTA -20.0 -20.0 2.1 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -13.7 -2.8 -15.6 6.8 -15.8 -6.8 7.7 6.1 6.8 6.2 -17.4 -4.2 -20.0 4.3 -20.0 0.2 -0.0 -3.9 -8.6 -0.9 -9.0 1.0 -7.4 -6.2 -20.0 -20.0 -20.0 10.3 RUSSELL 10.1 -11.2 7.0 -2.6 5.3 -3.3 4.6 -2.5 0.7 12.8 -9.6 12.4 -11.2 -3.2 -8.2 -3.9 -1.5 -3.2 -2.5 -6.1 -9.5 14.5 -10.4 3.0 -3.3 -0.0 -2.1 7.0 -3.0 5.6 -2.7 1.3 -1.5 -8.4 0.8 4.6 10.0 SILVER-mini -2.9 11.8 3.2 -3.1 1.7 -2.9 0.1 -1.4 -1.9 12.8 -12.1 -4.2 -12.2 -2.7 -4.1 -2.9 -2.6 -3.1 -3.0 -4.2 -10.2 4.2 -13.1 -0.7 19.4 -0.0 -1.8 4.7 -6.0 2.6 -8.0 0.7 -2.8 11.3 9.8 18.2 -10.1 SOYBEAN -1.3 -0.4 -0.6 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -1.4 -2.5 -0.6 3.4 -1.2 3.8 11.7 20.0 18.3 20.0 -1.9 -1.2 -1.2 5.4 -1.6 -14.3 -0.0 1.0 -0.8 4.2 -0.7 10.6 -0.5 20.0 8.4 4.8 7.3 13.0 SOYMEAL -3.0 -3.7 1.3 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 4.7 -3.6 5.0 6.8 -6.6 0.5 14.6 14.4 13.8 15.2 -2.1 1.0 0.0 5.2 -2.6 -8.0 -0.0 1.2 1.7 4.1 0.4 7.9 -0.3 9.1 12.9 3.4 6.6 20.0 SOYOIL 18.3 6.6 1.8 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 12.5 -1.7 15.0 3.8 13.2 10.5 20.0 20.0 20.0 20.0 9.0 3.4 20.0 8.9 17.6 -19.9 -0.0 4.8 5.9 3.9 8.0 6.4 6.9 20.0 20.0 20.0 20.0 20.0 SP400 10.6 -11.5 3.0 -2.6 5.3 -3.3 4.6 -2.5 0.7 13.4 -8.9 12.9 -8.7 -3.1 -7.4 0.3 -1.3 -0.2 -0.8 -5.7 -8.6 14.3 -7.4 3.3 -5.5 -0.0 -1.8 6.9 -2.6 5.6 -1.5 1.4 0.0 -9.3 3.3 5.7 11.3 SP500 9.3 -15.8 -1.8 -2.6 5.3 -3.3 4.6 -2.5 0.7 11.7 -11.4 12.0 -9.8 -6.0 -9.9 -4.5 -2.4 -4.0 -3.3 -10.7 -13.6 13.0 -10.6 0.3 6.4 -0.0 -3.4 4.0 -4.6 4.0 -3.8 0.1 -2.8 -6.3 -5.6 -2.5 1.8 SUGAR11 10.1 7.6 -4.0 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -14.1 -7.1 -2.9 -5.2 2.1 -0.4 20.0 14.0 20.0 20.0 1.5 -1.9 -14.2 -1.3 -1.6 -5.3 -0.0 1.5 -12.7 0.6 -7.6 0.7 -1.0 10.4 -20.0 12.6 12.1 10.5 US10 -7.0 -17.8 -10.7 -4.8 3.5 -4.9 0.1 -4.8 -3.2 12.3 -14.8 -4.8 -14.0 -12.4 -14.6 -4.3 3.1 -3.0 -0.9 -20.0 -20.0 -0.7 -20.0 -18.4 -4.6 -0.0 -5.7 3.8 -5.9 -0.0 -5.9 -3.7 -4.5 -3.6 -1.4 -2.5 -5.1 US10U -9.5 -18.6 -9.2 -4.8 3.5 -4.9 0.1 -4.8 -3.2 10.6 -14.8 -6.8 -13.7 -13.1 -14.8 -0.2 6.5 0.9 3.0 -20.0 -20.0 -4.4 -20.0 -20.0 -5.8 -0.0 -5.8 3.2 -5.7 -0.8 -5.4 -4.2 2.0 -10.7 -6.0 -3.0 -3.0 US20 -13.0 -20.0 -10.6 -4.8 3.5 -4.9 0.1 -4.8 -3.2 4.0 -15.1 -8.5 -13.8 -13.6 -15.1 1.1 3.1 1.7 2.2 -20.0 -20.0 -14.6 -20.0 -20.0 -7.5 -0.0 -6.0 1.1 -5.3 -2.9 -4.6 -5.4 -2.0 -20.0 -20.0 -7.6 -5.0 US30 -12.9 -16.8 -6.4 -4.8 3.5 -4.9 0.1 -4.8 -3.2 5.4 -16.0 -8.2 -15.2 -13.4 -15.3 -1.2 0.9 -0.6 -0.1 -20.0 -20.0 -13.7 -20.0 -20.0 -4.5 -0.0 -6.0 1.6 -5.6 -3.1 -5.4 -5.7 -5.8 -20.0 -20.0 -0.8 -1.5 US5 -5.0 -18.4 -11.1 -4.8 3.5 -4.9 0.1 -4.8 -3.2 12.5 -14.7 -3.3 -14.3 -11.9 -14.3 -4.6 5.3 -3.4 -0.4 -20.0 -20.0 0.7 -20.0 -17.7 -1.6 -0.0 -5.7 3.9 -6.2 0.3 -6.7 -3.5 -2.0 -0.6 0.2 -2.7 -7.4 VIX 1.5 14.3 -1.7 1.4 -8.4 0.6 -5.9 -0.8 -0.8 -14.1 -3.7 -12.0 -5.6 3.9 4.2 3.8 -17.8 -3.4 -10.2 4.1 1.0 -14.0 -2.9 -1.3 NaN -0.0 1.7 -9.8 0.8 -6.8 -1.0 -1.1 NaN NaN NaN NaN NaN WHEAT -2.6 11.9 -10.8 -4.1 -6.1 -3.2 -5.6 0.7 -4.9 -1.6 -9.7 -10.7 -4.6 3.1 2.7 -2.6 -3.6 -3.4 -3.6 -0.5 -5.3 -4.2 -0.9 -0.8 -14.2 -0.0 0.9 -1.3 1.7 -2.1 5.3 -0.6 -20.0 3.2 4.6 15.4 3.7 End of report for caleb_strategy_v1