******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221028_204259 produced at 2022-10-28 21:35:02.223703 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 39113375.64 -39113375.64 -0.04 -0.04 -6.36 999999999 -1 -1 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.15 0.0 28593732.15 -28593732.15 -0.14 -0.14 -5.25 999999999 -5 -5 caleb_strategy_v1 CHF False False 0.04 -0.04 -0.14 0.0 42286033.06 -42286033.06 -0.04 -0.08 -3.41 999999999 -1 -2 caleb_strategy_v1 US5 False False 0.04 -0.32 -0.14 0.0 35841703.65 -35841703.65 -0.32 -0.36 -3.89 999999999 -9 -10 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.13 0.0 40653602.33 -40653602.33 -0.04 -0.04 -3.12 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 37227383.78 -37227383.78 0.00 0.00 -3.18 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.30 -0.12 0.0 43356857.33 -43356857.33 -0.30 -0.26 -2.77 999999999 -7 -6 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.09 0.0 20509532.82 -20509532.82 -0.04 -0.04 -4.39 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.07 0.0 30259691.63 -30259691.63 -0.06 -0.09 -2.23 999999999 -2 -3 caleb_strategy_v1 FTSE100 False False 0.03 -0.03 -0.06 0.0 27512141.50 -27512141.50 -0.03 0.00 -2.03 999999999 -1 0 caleb_strategy_v1 EUR False False 0.04 -0.08 -0.05 0.0 41885783.67 -41885783.67 -0.08 -0.04 -1.11 999999999 -2 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 48869121.01 -48869121.01 0.00 -0.05 -1.04 999999999 0 -1 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.04 0.0 5521848.88 -5521848.88 0.00 -0.01 -7.11 999999999 0 -2 caleb_strategy_v1 CAD False False 0.02 -0.07 -0.04 0.0 24636921.23 -24636921.23 -0.07 -0.02 -1.53 999999999 -3 -1 caleb_strategy_v1 VIX False False 0.01 0.00 -0.03 0.0 9388048.37 -9388048.37 0.00 0.00 -3.69 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 -0.08 -0.03 0.0 77531868.06 -77531868.06 -0.08 0.00 -0.37 999999999 -1 0 caleb_strategy_v1 AUD False False 0.02 0.00 -0.02 0.0 21527130.20 -21527130.20 0.00 0.00 -1.15 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 3102247.06 -3102247.06 -0.01 -0.01 -5.90 999999999 -2 -2 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 81759842.70 -81759842.70 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 19478523.93 -19478523.93 0.00 0.00 -0.49 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14698163.23 -14698163.23 0.00 0.00 -0.47 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7761904.28 -7761904.28 0.00 0.00 -1.44 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 20308360.35 -20308360.35 0.00 -0.02 -0.60 999999999 0 -1 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 65536121.60 -65536121.60 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 63570498.98 -63570498.98 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.00 0.0 5507096.23 -5507096.23 -0.01 -0.02 -0.33 999999999 -1 -4 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 12127152.77 -12127152.77 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15502853.09 -15502853.09 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.00 0.0 6239699.29 -6239699.29 -0.01 -0.01 -0.71 999999999 -1 -1 caleb_strategy_v1 DAX False False 0.00 0.00 -0.00 0.0 4452297.38 -4452297.38 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10058623.26 -10058623.26 0.00 0.00 0.06 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 21682619.76 -21682619.76 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 12088788.72 -12088788.72 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 21069801.35 -21069801.35 0.00 0.00 0.60 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 24367014.84 -24367014.84 0.02 0.00 0.37 999999999 1 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 16345262.79 -16345262.79 0.00 0.00 0.64 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 6620451.71 -6620451.71 0.01 0.01 2.03 999999999 1 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15924477.05 -15924477.05 0.00 0.00 0.68 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 13410156.52 -13410156.52 0.01 0.01 0.94 999999999 1 1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 691697.99 -691697.99 0.00 0.00 7.72 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 28809573.44 -28809573.44 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4269363.87 -4269363.87 0.00 0.00 1.42 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10381337.42 -10381337.42 0.02 0.01 0.51 999999999 2 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.02 0.0 25817133.02 -25817133.02 0.05 0.03 0.94 999999999 2 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8390568.23 -8390568.23 0.00 0.00 3.30 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.08 0.04 0.0 38811562.16 -38811562.16 0.08 0.08 1.09 999999999 2 2 caleb_strategy_v1 OAT False False 0.04 0.00 0.04 0.0 44659834.01 -44659834.01 0.00 0.00 0.94 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 0.04 0.0 35186874.70 -35186874.70 0.00 0.00 1.20 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.05 0.05 0.0 13595905.77 -13595905.77 0.05 0.07 3.75 999999999 4 5 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.06 0.0 34928569.26 -34928569.26 0.00 0.00 1.63 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.06 0.0 50705318.66 -50705318.66 0.10 0.10 1.23 999999999 2 2 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.08 0.0 22778590.58 -22778590.58 0.02 0.05 3.70 999999999 1 2 caleb_strategy_v1 NIKKEI False False 0.01 0.00 0.08 0.0 6208121.30 -6208121.30 0.00 0.05 12.12 999999999 0 8 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.08 0.0 11932880.06 -11932880.06 0.05 0.05 6.61 999999999 4 4 caleb_strategy_v1 BUND False False 0.05 0.00 0.15 0.0 46375594.14 -46375594.14 0.00 0.09 3.28 999999999 0 2 caleb_strategy_v1 BOBL False False 0.04 0.20 0.34 0.0 39976543.25 -39976543.25 0.20 0.20 8.55 999999999 5 5 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 11.1 Shocked risk 21.7 Sum abs risk 40.6 Leverage 2.74 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2982515.52, 'annual_cash_vol_target': 745628.88, 'daily_cash_vol_target': 46601.805} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0060 0.6420 0.9415 15.0641 BITCOIN 685.5754 20630.0000 3.3232 53.1711 BOBL 0.4400 119.7600 0.3674 5.8786 BTP 1.1174 116.2700 0.9610 15.3764 BUND 0.9319 138.9300 0.6708 10.7328 BUXL 2.3995 146.4000 1.6390 26.2237 CAC 70.3844 6312.0000 1.1151 17.8414 CAD 0.0045 0.7348 0.6094 9.7498 CANOLA 8.5605 866.6000 0.9878 15.8053 CHF 0.0063 1.0090 0.6253 10.0051 COCOA 32.4082 2315.0000 1.3999 22.3988 COFFEE 0.0358 1.7245 2.0736 33.1782 COPPER 0.0570 3.4370 1.6588 26.5401 CORN 5.6993 619.2500 0.9204 14.7257 COTTON2 0.0209 0.7211 2.8969 46.3501 CRUDE_W 1.6218 77.0000 2.1062 33.6996 DAX 142.1075 13338.0000 1.0654 17.0469 DOW 372.2959 32850.0000 1.1333 18.1331 EUR 0.0074 0.9994 0.7382 11.8117 EUROSTX 40.8282 3633.0000 1.1238 17.9810 FEEDCOW 1.3878 180.5000 0.7689 12.3016 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 23.1321 1041.7500 2.2205 35.5281 GASOILINE 0.0503 2.4987 2.0113 32.1801 GAS_US 0.2247 6.0570 3.7104 59.3665 GBP 0.0111 1.1628 0.9506 15.2104 GOLD_micro 15.0726 1646.9000 0.9152 14.6434 HEATOIL 0.0688 3.6007 1.9109 30.5738 JPY 0.0001 0.0068 0.7381 11.8097 LEANHOG 1.4580 88.9750 1.6387 26.2190 LIVECOW 0.9126 152.9250 0.5968 9.5481 MXP 0.0003 0.0500 0.6200 9.9194 NASDAQ 203.1299 11562.0000 1.7569 28.1100 NZD 0.0054 0.5810 0.9329 14.9261 OAT 0.9539 133.7900 0.7130 11.4083 OJ 0.0358 2.0000 1.7898 28.6364 PALLAD 45.4815 1896.0000 2.3988 38.3810 PLAT 18.1839 949.9000 1.9143 30.6287 REDWHEAT 16.1268 924.7500 1.7439 27.9025 ROBUSTA 27.4056 1861.0000 1.4726 23.5620 RUSSELL 28.2217 1850.5000 1.5251 24.4013 SILVER-mini 0.4020 19.5000 2.0616 32.9853 SOYBEAN 12.3759 1358.7500 0.9108 14.5732 SOYMEAL 5.4361 405.5000 1.3406 21.4496 SOYOIL 0.8893 66.6600 1.3341 21.3450 SP400 34.0753 2438.5000 1.3974 22.3582 SP500 54.1912 3909.2500 1.3862 22.1797 SUGAR11 0.0022 0.1763 1.2286 19.6580 US10 0.5659 111.0312 0.5097 8.1549 US10U 0.7768 116.6562 0.6659 10.6548 US20 1.0874 121.2500 0.8968 14.3485 US30 1.6048 129.3125 1.2410 19.8565 US5 0.3794 106.8984 0.3550 5.6792 VIX 0.5969 28.0000 2.1319 34.1100 WHEAT 13.6237 876.7500 1.5539 24.8621 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 642.05 0.94 604.49 1.00 604.49 46601.8 77.09 -8.62 -66.49 BITCOIN 20.63 3.32 68.56 1.00 68.56 46601.8 679.75 4.45 302.66 BOBL 1197.60 0.37 440.01 1.00 438.36 46601.8 106.31 10.30 109.52 BTP 1162.70 0.96 1117.39 1.00 1113.19 46601.8 41.86 11.87 49.70 BUND 1389.30 0.67 931.94 1.00 928.44 46601.8 50.19 8.38 42.05 BUXL 1464.00 1.64 2399.47 1.00 2390.46 46601.8 19.49 -5.87 -11.44 CAC 631.20 1.12 703.84 1.00 701.20 46601.8 66.46 2.96 19.68 CAD 734.80 0.61 447.76 1.00 447.76 46601.8 104.08 -7.63 -79.38 CANOLA 173.32 0.99 171.21 0.74 126.24 46601.8 369.16 3.87 142.99 CHF 1261.19 0.63 788.64 1.00 788.64 46601.8 59.09 -14.26 -84.26 COCOA 231.50 1.40 324.08 1.00 324.08 46601.8 143.80 -4.24 -60.92 COFFEE 646.69 2.07 1340.99 1.00 1340.99 46601.8 34.75 3.34 11.59 COPPER 859.25 1.66 1425.29 1.00 1425.29 46601.8 32.70 3.05 9.96 CORN 309.62 0.92 284.97 1.00 284.97 46601.8 163.53 3.20 52.29 COTTON2 360.55 2.90 1044.47 1.00 1044.47 46601.8 44.62 -4.62 -20.63 CRUDE_W 770.00 2.11 1621.79 1.00 1621.79 46601.8 28.73 2.30 6.61 DAX 133.38 1.07 142.11 1.00 141.57 46601.8 329.17 -0.07 -2.27 DOW 164.25 1.13 186.15 1.00 186.15 46601.8 250.35 -0.42 -10.55 EUR 1249.25 0.74 922.24 1.00 922.24 46601.8 50.53 -5.44 -27.47 EUROSTX 363.30 1.12 408.28 1.00 406.75 46601.8 114.57 0.70 8.07 FEEDCOW 902.50 0.77 693.89 1.00 693.89 46601.8 67.16 -11.41 -76.62 FTSE100 706.85 0.82 576.59 1.16 666.67 46601.8 69.90 -2.61 -18.22 GASOIL 1041.75 2.22 2313.21 1.00 2313.21 46601.8 20.15 10.50 21.16 GASOILINE 1049.45 2.01 2110.72 1.00 2110.72 46601.8 22.08 12.27 27.10 GAS_US 605.70 3.71 2247.39 1.00 2247.39 46601.8 20.74 -17.90 -37.13 GBP 726.75 0.95 690.88 1.00 690.88 46601.8 67.45 2.83 19.10 GOLD_micro 164.69 0.92 150.73 1.00 150.73 46601.8 309.18 -9.49 -293.44 HEATOIL 1512.29 1.91 2889.79 1.00 2889.79 46601.8 16.13 9.86 15.90 JPY 852.81 0.74 629.47 1.00 629.47 46601.8 74.03 -10.12 -74.91 LEANHOG 355.90 1.64 583.21 1.00 583.21 46601.8 79.91 16.37 130.83 LIVECOW 611.70 0.60 365.04 1.00 365.04 46601.8 127.66 -11.82 -150.85 MXP 250.25 0.62 155.15 1.00 155.15 46601.8 300.37 8.29 249.09 NASDAQ 2312.40 1.76 4062.60 1.00 4062.60 46601.8 11.47 -5.45 -6.25 NZD 580.95 0.93 541.96 1.00 541.96 46601.8 85.99 -3.31 -28.45 OAT 1337.90 0.71 953.95 1.00 950.36 46601.8 49.04 8.81 43.22 OJ 300.00 1.79 536.93 1.00 536.93 46601.8 86.79 0.38 3.31 PALLAD 1896.00 2.40 4548.15 1.00 4548.15 46601.8 10.25 -4.05 -4.15 PLAT 474.95 1.91 909.20 1.00 909.20 46601.8 51.26 5.06 25.92 REDWHEAT 462.38 1.74 806.34 1.00 806.34 46601.8 57.79 -9.60 -55.51 ROBUSTA 186.10 1.47 274.06 1.00 274.06 46601.8 170.05 -2.99 -50.76 RUSSELL 92.52 1.53 141.11 1.00 141.11 46601.8 330.26 -3.18 -105.17 SILVER-mini 487.50 2.06 1005.02 1.00 1005.02 46601.8 46.37 5.67 26.27 SOYBEAN 679.38 0.91 618.79 1.00 618.79 46601.8 75.31 7.70 57.98 SOYMEAL 405.50 1.34 543.61 1.00 543.61 46601.8 85.73 6.86 58.80 SOYOIL 399.96 1.33 533.57 1.00 533.57 46601.8 87.34 10.85 94.76 SP400 2438.50 1.40 3407.53 1.00 3407.53 46601.8 13.68 -3.09 -4.23 SP500 1954.62 1.39 2709.56 1.00 2709.56 46601.8 17.20 -3.11 -5.35 SUGAR11 197.46 1.23 242.60 1.00 242.60 46601.8 192.09 7.18 137.92 US10 1110.31 0.51 565.90 1.00 565.90 46601.8 82.35 -9.31 -76.65 US10U 1166.56 0.67 776.84 1.00 776.84 46601.8 59.99 -6.73 -40.35 US20 1212.50 0.90 1087.35 1.00 1087.35 46601.8 42.86 -9.12 -39.08 US30 1293.12 1.24 1604.81 1.00 1604.81 46601.8 29.04 -10.49 -30.48 US5 1068.98 0.35 379.44 1.00 379.44 46601.8 122.82 -7.63 -93.76 VIX 280.00 2.13 596.92 1.00 596.92 46601.8 78.07 -2.31 -18.07 WHEAT 438.38 1.55 681.18 1.00 681.18 46601.8 68.41 -11.82 -80.87 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -66.486 0.007 2.5 -1.150 BITCOIN 302.660 0.010 2.5 7.717 BOBL 109.522 0.031 2.5 8.553 BTP 49.701 0.009 2.5 1.086 BUND 42.053 0.031 2.5 3.284 BUXL -11.443 0.036 2.5 -1.040 CAC 19.677 0.012 2.5 0.599 CAD -79.380 0.008 2.5 -1.534 CANOLA 142.990 0.004 2.5 1.420 CHF -84.256 0.016 2.5 -3.413 COCOA -60.920 0.009 2.5 -1.436 COFFEE 11.593 0.006 2.5 0.163 COPPER 9.964 0.012 2.5 0.295 CORN 52.287 0.004 2.5 0.510 COTTON2 -20.629 0.007 2.5 -0.336 CRUDE_W 6.609 0.057 2.5 0.945 DAX -2.272 0.024 2.5 -0.134 DOW -10.548 0.012 2.5 -0.325 EUR -27.469 0.016 2.5 -1.113 EUROSTX 8.066 0.012 2.5 0.245 FEEDCOW -76.623 0.012 2.5 -2.228 FTSE100 -18.217 0.045 2.5 -2.032 GASOIL 21.156 0.031 2.5 1.633 GASOILINE 27.096 0.018 2.5 1.204 GAS_US -37.125 0.007 2.5 -0.605 GBP 19.096 0.008 2.5 0.369 GOLD_micro -293.441 0.010 2.5 -7.105 HEATOIL 15.904 0.031 2.5 1.228 JPY -74.910 0.028 2.5 -5.248 LEANHOG 130.828 0.020 2.5 6.615 LIVECOW -150.848 0.012 2.5 -4.387 MXP 249.095 0.005 2.5 3.300 NASDAQ -6.253 0.024 2.5 -0.367 NZD -28.446 0.007 2.5 -0.492 OAT 43.219 0.009 2.5 0.945 OJ 3.307 0.008 2.5 0.062 PALLAD -4.148 0.010 2.5 -0.108 PLAT 25.924 0.010 2.5 0.675 REDWHEAT -55.511 0.002 2.5 -0.321 ROBUSTA -50.763 0.006 2.5 -0.712 RUSSELL -105.173 0.022 2.5 -5.895 SILVER-mini 26.271 0.010 2.5 0.636 SOYBEAN 57.982 0.026 2.5 3.700 SOYMEAL 58.795 0.026 2.5 3.752 SOYOIL 94.762 0.004 2.5 0.941 SP400 -4.228 0.022 2.5 -0.237 SP500 -5.346 0.012 2.5 -0.165 SUGAR11 137.920 0.006 2.5 2.025 US10 -76.653 0.017 2.5 -3.183 US10U -40.346 0.063 2.5 -6.362 US20 -39.084 0.032 2.5 -3.117 US30 -30.476 0.036 2.5 -2.769 US5 -93.759 0.017 2.5 -3.893 VIX -18.073 0.082 2.5 -3.686 WHEAT -80.868 0.002 2.5 -0.467 ==================== Position diags ==================== AUD 1.33 BITCOIN 17.33 BOBL 8.30 BTP 0.91 BUND 3.92 BUXL 1.77 CAC 2.02 CAD 2.01 CANOLA 3.67 CHF 2.39 COCOA 3.39 COFFEE 0.49 COPPER 0.97 CORN 1.60 COTTON2 0.73 CRUDE_W 4.11 DAX 19.35 DOW 7.72 EUR 2.05 EUROSTX 3.49 FEEDCOW 1.95 FTSE100 7.80 GASOIL 1.56 GASOILINE 0.98 GAS_US 0.34 GBP 1.30 GOLD_micro 7.49 HEATOIL 1.24 JPY 5.19 LEANHOG 4.04 LIVECOW 3.71 MXP 3.98 NASDAQ 0.67 NZD 1.49 OAT 1.07 OJ 1.64 PALLAD 0.27 PLAT 1.33 REDWHEAT 0.33 ROBUSTA 2.39 RUSSELL 18.51 SILVER-mini 1.12 SOYBEAN 4.81 SOYMEAL 5.47 SOYOIL 0.87 SP400 0.77 SP500 0.53 SUGAR11 2.82 US10 3.42 US10U 9.46 US20 3.42 US30 2.64 US5 5.10 VIX 15.92 WHEAT 0.40 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.1 -1.3 -1.0 NaN 0 BITCOIN 7.7 6.9 8.5 NaN 0 BOBL 8.6 7.7 9.4 5.0 5 BTP 1.1 1.0 1.2 2.0 2 BUND 3.3 3.0 3.6 NaN 0 BUXL -1.0 -1.1 -0.9 0.0 0 CAC 0.6 0.5 0.7 NaN 0 CAD -1.5 -1.7 -1.4 -3.0 -3 CANOLA 1.4 1.3 1.6 NaN 0 CHF -3.4 -3.8 -3.1 -1.0 -1 COCOA -1.4 -1.6 -1.3 NaN 0 COFFEE 0.2 0.1 0.2 NaN 0 COPPER 0.3 0.3 0.3 NaN 0 CORN 0.5 0.5 0.6 2.0 2 COTTON2 -0.3 -0.4 -0.3 NaN 0 CRUDE_W 0.9 0.9 1.0 2.0 2 DAX -0.1 -0.1 -0.1 NaN 0 DOW -0.3 -0.4 -0.3 -1.0 -1 EUR -1.1 -1.2 -1.0 -2.0 -2 EUROSTX 0.2 0.2 0.3 NaN 0 FEEDCOW -2.2 -2.5 -2.0 -2.0 -2 FTSE100 -2.0 -2.2 -1.8 -1.0 -1 GASOIL 1.6 1.5 1.8 NaN 0 GASOILINE 1.2 1.1 1.3 NaN 0 GAS_US -0.6 -0.7 -0.5 0.0 0 GBP 0.4 0.3 0.4 1.0 1 GOLD_micro -7.1 -7.8 -6.4 0.0 0 HEATOIL 1.2 1.1 1.4 2.0 2 JPY -5.2 -5.8 -4.7 -5.0 -5 LEANHOG 6.6 6.0 7.3 4.0 4 LIVECOW -4.4 -4.8 -3.9 -2.0 -2 MXP 3.3 3.0 3.6 NaN 0 NASDAQ -0.4 -0.4 -0.3 -1.0 -1 NZD -0.5 -0.5 -0.4 NaN 0 OAT 0.9 0.9 1.0 0.0 0 OJ 0.1 0.1 0.1 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.7 0.6 0.7 NaN 0 REDWHEAT -0.3 -0.4 -0.3 NaN 0 ROBUSTA -0.7 -0.8 -0.6 -1.0 -1 RUSSELL -5.9 -6.5 -5.3 -2.0 -2 SILVER-mini 0.6 0.6 0.7 NaN 0 SOYBEAN 3.7 3.3 4.1 1.0 1 SOYMEAL 3.8 3.4 4.1 4.0 4 SOYOIL 0.9 0.8 1.0 1.0 1 SP400 -0.2 -0.3 -0.2 NaN 0 SP500 -0.2 -0.2 -0.1 NaN 0 SUGAR11 2.0 1.8 2.2 1.0 1 US10 -3.2 -3.5 -2.9 NaN 0 US10U -6.4 -7.0 -5.7 -1.0 -1 US20 -3.1 -3.4 -2.8 -1.0 -1 US30 -2.8 -3.0 -2.5 -7.0 -7 US5 -3.9 -4.3 -3.5 -9.0 -9 VIX -3.7 -4.1 -3.3 0.0 0 WHEAT -0.5 -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 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 0.0 -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 0.1 0.1 0.0 BOBL 0.1 -0.2 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.3 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 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 1.6 0.5 0.4 0.4 -0.2 -0.2 0.0 -0.2 0.0 1.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 2.6 0.3 0.4 0.2 0.1 BUND 0.1 -0.3 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -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 0.0 0.2 -0.0 -0.0 BUXL -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 0.5 -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 -1.8 0.2 0.0 -0.0 0.1 CAC 0.2 -0.1 -0.0 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 -0.1 0.1 0.2 0.0 0.1 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 1.1 0.0 0.3 0.2 0.1 CAD 0.1 -0.3 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -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 0.1 -0.1 -0.1 CANOLA 0.0 0.2 -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 -0.4 0.0 0.2 0.2 0.2 CHF -0.1 -0.2 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 -0.2 -0.0 -0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -2.2 -0.2 -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 0.1 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 0.8 0.2 0.2 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 1.4 2.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.7 -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 2.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.1 0.1 -0.0 -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 1.3 0.5 0.3 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 -3.3 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.3 -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 0.6 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 0.1 DAX 0.3 -0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 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 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.3 0.2 0.1 DOW 0.3 -0.1 -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 -0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.3 0.4 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 1.2 -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 0.1 -0.3 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.6 -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 -0.1 -1.1 -0.8 -0.3 -0.4 -0.1 -0.1 0.0 -0.0 0.0 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.0 0.4 -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 -0.0 -0.3 -0.0 0.0 0.0 0.1 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 0.1 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 -0.1 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 -0.2 -0.0 0.0 0.0 0.0 0.2 0.0 -0.0 -0.1 -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 -0.1 -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 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 0.4 0.0 -0.2 GOLD_micro -0.0 -0.0 -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 1.3 -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 0.1 0.2 0.0 0.1 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 0.6 0.0 0.3 0.1 0.3 JPY 0.0 -0.1 -0.2 -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 -0.2 LEANHOG 0.2 0.0 -0.1 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.1 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 0.9 -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 -1.2 -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 0.1 -0.2 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 -0.2 -0.4 -0.1 -0.0 NZD 0.1 -0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 0.0 -0.4 -0.0 -0.3 -0.1 0.0 -0.0 0.0 -0.2 -0.2 0.0 -0.2 -0.0 0.2 -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 0.1 -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 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 2.0 0.1 0.3 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 1.4 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 -0.1 0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -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 0.2 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 1.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 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 -2.5 -0.0 -0.0 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 -0.2 0.6 0.2 0.1 0.1 -0.2 -0.1 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.9 -0.0 -0.4 -0.3 0.1 RUSSELL 0.2 -0.2 0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 -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 -0.0 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 1.0 0.8 0.4 0.4 -0.0 -0.0 0.0 0.1 -0.0 -2.2 -0.0 0.0 0.0 0.0 0.0 0.1 -0.0 2.7 0.0 0.2 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 0.2 0.2 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 0.3 1.6 0.8 0.4 0.4 0.1 0.0 0.0 0.1 0.0 -2.9 -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 0.2 -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 0.2 -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 -0.2 -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 0.0 -0.1 -0.0 0.0 SUGAR11 0.0 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 1.5 -0.0 0.2 0.1 0.1 US10 -0.0 -0.2 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -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 -0.0 -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 -0.1 -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 0.0 -0.0 -0.0 -0.2 -0.2 -0.0 -0.3 -0.0 -0.5 -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 -0.0 -0.2 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -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 0.5 -1.4 -0.1 -0.4 0.0 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 1.4 -16.8 -8.3 -4.1 3.1 -5.0 2.4 -4.8 -1.1 6.4 -14.4 5.0 -13.5 -8.8 -12.6 -2.7 -1.5 -2.1 -1.8 -18.5 -18.7 5.9 -14.4 -8.4 -8.4 -0.0 -5.2 2.6 -5.3 1.7 -4.3 -2.3 -0.1 1.5 -8.9 -7.6 -2.2 BITCOIN 6.7 -0.6 -15.6 -3.2 -1.8 -3.0 -1.0 -1.5 -2.1 11.9 -15.8 7.7 -15.6 -2.4 -10.0 -0.2 -1.6 -0.3 -0.7 -7.8 -20.0 9.4 -20.0 2.3 18.1 -0.0 -2.0 7.4 -6.0 5.2 -6.4 1.8 0.0 15.3 5.1 6.9 2.9 BOBL 6.3 -17.2 -13.4 -4.7 2.5 -5.0 0.5 -4.9 -2.7 6.7 -13.4 -0.9 -12.1 -10.1 -13.6 20.0 17.4 20.0 20.0 -20.0 -20.0 8.3 -20.0 -8.5 9.2 -0.0 -5.1 3.7 -6.9 2.4 -7.8 -1.5 20.0 10.4 15.7 2.5 -1.7 BTP 10.4 -3.5 -2.9 -4.7 2.5 -5.0 0.5 -4.9 -2.7 11.8 -13.0 8.2 -12.9 -2.4 -10.8 20.0 12.9 19.2 17.1 -13.0 -20.0 20.0 -20.0 2.4 9.2 -0.0 -4.0 9.0 -7.0 6.4 -8.7 0.7 19.2 20.0 20.0 16.4 3.5 BUND 4.5 -16.2 -8.7 -4.7 2.5 -5.0 0.5 -4.9 -2.7 9.0 -13.6 0.7 -12.6 -9.3 -13.6 14.0 16.9 15.7 16.6 -20.0 -20.0 10.2 -20.0 -9.1 8.6 -0.0 -5.1 4.0 -6.5 2.4 -7.0 -1.7 20.0 17.5 12.9 -1.2 -0.3 BUXL -2.8 -10.5 -0.4 -4.7 2.5 -5.0 0.5 -4.9 -2.7 12.0 -13.9 0.3 -13.0 -8.4 -13.1 6.8 -5.1 5.9 -0.6 -20.0 -20.0 8.5 -20.0 -11.4 6.4 -0.0 -5.3 4.0 -6.1 1.8 -6.1 -2.5 -13.6 20.0 0.3 -1.0 4.5 CAC 20.0 -4.8 -1.7 -2.3 6.1 -3.2 5.1 -2.5 1.2 13.6 -4.7 15.1 -7.3 8.5 -2.0 1.3 4.8 1.7 3.0 1.1 -5.1 20.0 -3.9 13.9 -6.3 -0.0 0.1 7.3 -2.1 7.9 -1.8 4.6 8.6 2.0 15.9 14.1 8.8 CAD 6.2 -16.7 -13.7 -4.1 3.1 -5.0 2.4 -4.8 -1.1 9.7 -13.4 6.2 -13.3 -8.9 -12.2 -1.9 -0.5 -1.4 -0.9 -17.1 -17.9 6.7 -12.7 -6.0 -7.1 -0.0 -5.1 2.0 -5.5 1.6 -4.2 -1.9 1.5 -2.7 2.8 -6.9 -7.6 CANOLA 12.9 14.1 -13.7 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -6.2 -9.9 -0.2 -0.1 13.5 4.9 9.9 11.7 1.6 4.5 3.8 -9.7 1.6 -0.1 9.7 2.7 -0.0 3.4 -2.4 0.4 0.3 2.5 3.5 -2.7 9.8 16.7 20.0 13.9 CHF -6.4 -9.8 0.7 -4.1 3.1 -5.0 2.4 -4.8 -1.1 1.4 -12.3 -5.0 -11.3 -11.6 -12.5 -12.6 -10.9 -12.3 -12.0 -13.4 -12.7 -0.9 -11.8 -9.3 -3.1 -0.0 -5.1 0.5 -5.6 -0.2 -6.2 -3.3 -16.9 -15.6 -14.7 8.8 7.2 COCOA 0.3 0.9 -2.1 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -2.4 -12.0 -7.4 -12.3 -1.5 -4.7 1.1 -4.0 0.1 -1.9 -5.1 -8.7 -3.7 -10.6 -4.0 13.5 -0.0 -2.6 -1.0 -5.3 -2.6 -6.6 -2.3 -20.0 0.7 7.8 2.4 3.5 COFFEE -20.0 -20.0 -6.8 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -14.1 -7.2 -15.9 1.2 -16.0 -10.6 10.7 5.4 11.0 9.0 -20.0 -11.4 -20.0 -0.5 -20.0 8.5 9.9 -4.9 -8.5 -2.4 -8.8 0.0 -7.7 -4.8 -20.0 -20.0 -20.0 -9.9 COPPER 7.5 8.7 -4.7 -3.2 -1.8 -3.0 -1.0 -1.5 -2.1 4.3 -12.7 5.1 -11.3 -1.2 -4.4 1.1 0.2 0.9 0.4 -6.7 -15.6 4.9 -16.3 0.6 18.9 -0.0 -3.6 2.0 -6.8 3.2 -6.0 0.3 2.4 7.1 5.7 -3.6 -5.3 CORN -0.4 13.1 14.4 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -12.5 2.3 -4.6 5.5 4.3 12.3 15.6 12.2 11.9 11.0 10.6 10.9 -3.3 15.6 4.0 -20.0 -0.0 3.7 -4.0 6.1 -2.1 10.5 0.7 2.7 0.4 12.0 11.3 19.8 COTTON2 -12.9 -20.0 -20.0 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -13.5 -12.9 -14.5 2.1 -16.0 -15.3 4.0 20.0 11.7 18.2 -20.0 -18.1 -20.0 -0.4 -20.0 -13.2 -0.0 -5.4 -5.4 -2.7 -5.2 1.7 -5.7 17.5 -20.0 -20.0 -20.0 -16.0 CRUDE_W 14.5 -0.5 -15.8 -1.2 3.0 0.5 2.1 6.8 0.7 9.2 -6.4 7.5 4.2 7.4 0.3 6.8 14.7 9.3 12.5 0.1 -2.9 8.9 5.1 7.0 11.3 -0.0 0.5 3.8 0.7 4.4 7.2 3.3 -20.0 8.8 8.8 4.5 9.7 DAX 20.0 -3.8 -3.3 -2.3 6.1 -3.2 5.1 -2.5 1.2 14.1 -9.8 15.4 -11.3 6.3 -3.6 -3.4 -0.9 -2.5 -1.7 -1.4 -11.8 20.0 -14.3 14.5 2.6 -0.0 0.0 9.5 -3.7 9.4 -5.5 5.4 -0.3 5.5 14.3 16.6 3.6 DOW 20.0 -7.1 -0.0 -2.3 6.1 -3.2 5.1 -2.5 1.2 14.1 -7.7 15.3 -8.1 6.2 -4.0 -4.4 -0.9 -3.6 -2.6 -0.8 -8.5 20.0 -7.9 16.2 -1.3 -0.0 -0.4 10.4 -2.5 9.2 -2.0 4.6 -1.1 20.0 19.6 8.3 5.7 EUR 10.8 7.7 3.1 -4.1 3.1 -5.0 2.4 -4.8 -1.1 4.2 -13.4 6.6 -14.8 1.3 -7.4 -7.6 -8.3 -8.1 -8.5 -7.9 -17.1 11.1 -20.0 3.4 8.9 -0.0 -3.8 3.7 -8.5 4.8 -11.4 1.4 -11.8 -0.1 12.3 17.8 -5.1 EUROSTX 17.6 -4.1 -1.4 -2.3 6.1 -3.2 5.1 -2.5 1.2 14.1 -7.8 15.4 -10.1 7.1 -3.3 -0.6 3.2 0.2 1.3 -0.2 -7.6 20.0 -8.4 13.6 -4.3 -0.0 0.4 9.1 -2.4 9.2 -3.3 5.2 5.7 5.6 12.9 16.4 8.4 FEEDCOW 10.5 -17.8 -3.1 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 6.5 -2.2 10.5 -1.1 -3.0 -7.0 -13.3 -20.0 -15.0 -20.0 -6.4 -5.7 8.2 -2.7 1.1 3.1 -0.0 -2.9 1.5 -2.5 2.8 -1.0 0.1 -20.0 20.0 20.0 -15.3 2.3 FTSE100 0.7 -18.6 -9.2 -2.3 6.1 -3.2 5.1 -2.5 1.2 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -14.9 -14.5 4.5 2.8 GASOIL 13.5 -1.3 -14.9 -1.2 3.0 0.5 2.1 6.8 0.7 11.4 7.7 4.2 10.9 5.5 4.3 20.0 20.0 20.0 20.0 8.0 10.1 7.3 18.9 9.0 -4.8 -0.0 3.0 3.3 3.8 2.8 8.4 3.5 0.0 0.6 13.9 11.2 14.4 GASOILINE 13.6 -0.0 -20.0 -1.2 3.0 0.5 2.1 6.8 0.7 9.5 -5.3 9.0 5.0 8.0 -5.6 20.0 20.0 20.0 20.0 -1.1 -2.0 12.1 11.8 7.8 1.7 -0.0 0.6 5.7 1.7 6.2 10.8 4.1 12.1 13.3 6.3 11.1 2.2 GAS_US -19.3 -20.0 -9.4 -1.2 3.0 0.5 2.1 6.8 0.7 -6.4 -2.6 -9.7 4.1 -14.3 -10.5 -20.0 -9.4 -20.0 -13.2 -20.0 -8.6 -19.2 6.0 -20.0 -10.6 -0.0 -4.2 -3.0 0.2 -4.8 4.7 -6.1 -20.0 -20.0 -20.0 -20.0 20.0 GBP 17.0 11.6 3.1 -4.1 3.1 -5.0 2.4 -4.8 -1.1 12.5 -11.3 13.2 -13.1 7.0 -4.1 -1.3 -1.3 -1.5 -1.6 -7.4 -16.7 17.5 -18.1 6.7 17.1 -0.0 -4.2 4.7 -7.0 4.1 -7.2 0.4 0.1 3.4 20.0 2.1 -12.0 GOLD_micro -2.7 -2.1 -12.3 -3.2 -1.8 -3.0 -1.0 -1.5 -2.1 1.9 -14.3 -8.3 -12.6 -8.5 -11.9 -10.3 -7.1 -9.6 -8.6 -15.3 -18.2 -4.8 -14.1 -9.8 10.1 -0.0 -5.1 -1.7 -5.3 -1.6 -3.5 -3.4 -11.3 -3.3 -4.4 -13.1 -14.4 HEATOIL 15.2 -4.7 -17.8 -1.2 3.0 0.5 2.1 6.8 0.7 13.1 5.6 8.5 9.9 8.3 3.2 20.0 20.0 20.0 20.0 7.1 8.7 11.7 18.4 10.6 -15.0 -0.0 3.3 5.6 5.6 4.6 12.7 4.1 4.2 7.7 16.3 8.1 20.0 JPY 3.3 -8.8 -8.8 -4.1 3.1 -5.0 2.4 -4.8 -1.1 7.4 -16.3 -3.0 -16.0 -10.9 -14.9 -14.3 -9.4 -13.0 -11.5 -20.0 -20.0 -1.6 -20.0 -14.5 20.0 -0.0 -6.1 1.4 -7.8 -0.2 -9.4 -3.6 -15.1 -17.2 -20.0 -11.2 -10.3 LEANHOG 20.0 2.5 -4.3 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 4.2 -6.4 12.9 -1.4 11.6 5.2 20.0 20.0 20.0 20.0 6.7 0.1 17.2 2.3 17.2 6.0 -0.0 1.3 0.4 -0.5 4.8 0.7 4.5 20.0 20.0 20.0 9.7 11.2 LIVECOW 19.3 2.8 10.0 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 8.5 1.9 12.2 -3.7 10.9 9.2 -20.0 -20.0 -20.0 -20.0 9.4 3.3 20.0 -1.4 17.7 -7.1 -0.0 3.5 3.9 2.0 8.0 1.2 6.6 -20.0 20.0 20.0 14.8 20.0 MXP 5.1 2.6 8.8 -4.1 3.1 -5.0 2.4 -4.8 -1.1 13.6 15.1 14.8 14.3 14.4 15.3 17.8 19.6 17.8 18.6 9.5 10.7 11.5 12.3 9.7 -20.0 -0.0 5.0 9.5 4.1 8.1 4.6 6.3 20.0 -8.1 12.0 20.0 20.0 NASDAQ 7.3 -15.0 1.1 -2.3 6.1 -3.2 5.1 -2.5 1.2 9.3 -12.8 6.9 -11.9 -8.1 -11.3 -4.7 -2.6 -4.3 -3.6 -13.1 -15.3 4.3 -13.5 -5.1 8.3 -0.0 -4.4 2.3 -5.0 1.4 -3.8 -1.6 -3.4 -13.0 -19.9 -8.3 -2.5 NZD 11.6 -13.2 -3.5 -4.1 3.1 -5.0 2.4 -4.8 -1.1 11.5 -14.5 12.6 -14.3 -6.2 -11.8 -0.8 1.0 -0.4 0.2 -16.8 -20.0 12.9 -19.2 -2.0 1.3 -0.0 -4.7 3.7 -6.0 3.2 -5.3 -0.8 3.8 8.1 7.2 -6.3 -4.6 OAT 6.4 -10.9 -1.1 -4.7 2.5 -5.0 0.5 -4.9 -2.7 9.9 -13.3 4.4 -12.6 -7.7 -12.6 17.1 10.9 13.3 12.6 -19.5 -20.0 15.1 -20.0 -5.1 12.5 -0.0 -4.9 5.4 -6.7 3.6 -7.6 -1.1 14.5 20.0 18.2 2.2 1.2 OJ 10.5 20.0 10.4 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 5.5 14.6 12.1 13.5 14.8 15.0 18.7 10.6 17.1 15.3 20.0 20.0 15.7 18.1 20.0 -20.0 -0.0 6.1 0.7 5.8 3.1 5.2 5.2 5.4 20.0 20.0 20.0 20.0 PALLAD -20.0 -4.5 5.3 -3.2 -1.8 -3.0 -1.0 -1.5 -2.1 -13.0 -8.4 -14.9 -4.7 -13.6 -3.1 -1.7 -1.0 -1.4 -1.2 -7.8 -3.1 -20.0 -3.5 -16.5 -2.6 -0.0 -2.8 -7.6 -0.4 -8.2 -0.3 -6.5 0.0 -20.0 -20.0 1.4 14.6 PLAT 9.3 13.5 8.3 -3.2 -1.8 -3.0 -1.0 -1.5 -2.1 10.3 -5.5 12.3 -8.9 12.8 7.5 0.5 -0.4 0.1 -0.2 6.5 -0.5 15.3 -5.3 12.1 7.9 -0.0 2.2 6.9 -1.5 7.8 -3.9 5.7 1.4 20.0 20.0 20.0 8.9 REDWHEAT -7.5 14.7 -7.9 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -13.8 -8.8 -14.5 -2.4 -0.8 2.7 0.7 -1.4 0.5 -0.2 0.4 -2.3 -9.5 2.1 -3.4 -14.4 -0.0 1.5 -4.6 2.6 -4.1 5.9 -1.2 -18.2 -0.5 -0.2 17.5 8.6 ROBUSTA -20.0 -20.0 1.3 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -14.0 -3.5 -15.7 6.4 -16.0 -7.8 7.4 6.1 6.7 6.2 -19.9 -5.5 -20.0 3.9 -20.0 0.6 -0.0 -4.1 -7.5 -1.1 -8.6 0.8 -7.4 -6.4 -20.0 -20.0 -20.0 9.0 RUSSELL 12.3 -9.8 7.6 -2.3 6.1 -3.2 5.1 -2.5 1.2 13.6 -9.3 13.5 -11.2 -1.2 -7.4 -3.9 -1.5 -3.3 -2.5 -4.5 -8.8 18.3 -10.1 5.9 -3.3 -0.0 -1.4 9.3 -2.8 7.1 -2.6 2.5 -1.6 -1.0 1.6 5.3 10.2 SILVER-mini -2.9 11.8 3.2 -3.1 2.8 -2.9 0.5 -1.4 -1.8 12.8 -12.1 -4.2 -12.2 -2.7 -4.1 -2.7 -2.6 -3.0 -2.9 -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 9.7 9.3 18.0 -10.2 SOYBEAN -0.7 -0.7 0.6 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 6.1 -2.5 1.1 3.4 -0.7 4.1 11.8 20.0 18.2 20.0 -1.7 -1.2 0.1 5.4 -1.1 -14.5 -0.0 1.0 1.7 4.2 0.2 10.6 -0.2 20.0 12.6 8.2 8.0 12.9 SOYMEAL 0.0 -3.8 2.0 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 11.1 -3.5 8.8 6.8 -5.3 0.9 15.1 14.5 14.0 15.3 -1.3 1.2 4.6 5.3 -0.6 -8.1 -0.0 1.6 7.0 4.2 3.1 7.9 0.9 9.0 19.0 9.3 7.9 20.0 SOYOIL 18.4 7.3 2.8 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 9.9 -1.5 13.9 3.8 13.2 11.0 20.0 20.0 20.0 20.0 9.6 3.8 18.3 9.2 17.5 -20.0 -0.0 4.9 3.3 4.0 6.6 6.4 6.7 20.0 20.0 20.0 20.0 20.0 SP400 12.5 -10.2 3.2 -2.3 6.1 -3.2 5.1 -2.5 1.2 13.7 -8.7 13.8 -8.6 -1.4 -6.7 0.2 -1.3 -0.2 -0.8 -4.2 -8.0 17.6 -7.3 5.9 -5.5 -0.0 -1.3 8.5 -2.4 6.8 -1.5 2.4 0.0 -3.1 3.7 6.0 11.4 SP500 12.6 -12.9 -0.4 -2.3 6.1 -3.2 5.1 -2.5 1.2 12.5 -11.2 12.5 -9.8 -4.7 -9.3 -4.5 -2.4 -4.0 -3.3 -8.6 -12.1 14.8 -9.7 2.5 6.4 -0.0 -3.0 6.4 -4.5 5.0 -3.8 0.9 -2.9 0.4 -4.1 -2.4 1.7 SUGAR11 5.5 7.0 -3.9 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -14.1 -7.3 -5.6 -5.4 -0.2 -1.4 20.0 14.3 20.0 20.0 0.2 -2.3 -17.0 -1.4 -4.3 -5.4 -0.0 0.8 -12.2 0.3 -8.8 0.6 -2.3 11.0 -20.0 10.3 10.4 9.2 US10 -3.8 -14.8 -10.0 -4.7 2.5 -5.0 0.5 -4.9 -2.7 7.6 -14.7 -3.7 -14.0 -11.5 -14.4 -4.3 3.0 -3.0 -1.0 -20.0 -20.0 0.3 -20.0 -16.0 -4.6 -0.0 -5.6 2.2 -6.0 0.2 -6.0 -3.3 -4.6 -3.8 -1.6 -2.4 -5.1 US10U -6.7 -16.5 -9.4 -4.7 2.5 -5.0 0.5 -4.9 -2.7 8.0 -14.7 -5.4 -13.7 -12.2 -14.5 -0.1 6.4 0.9 2.9 -20.0 -20.0 -2.1 -20.0 -18.3 -5.7 -0.0 -5.7 2.2 -5.8 -0.3 -5.5 -3.8 1.9 -9.1 -5.8 -2.7 -3.0 US20 -11.2 -20.0 -11.6 -4.7 2.5 -5.0 0.5 -4.9 -2.7 3.4 -15.1 -7.7 -13.9 -12.9 -14.9 1.3 3.1 1.8 2.3 -20.0 -20.0 -12.5 -20.0 -20.0 -7.1 -0.0 -6.0 0.2 -5.4 -2.5 -4.7 -5.1 -1.9 -20.0 -20.0 -7.9 -5.4 US30 -11.4 -16.5 -9.6 -4.7 2.5 -5.0 0.5 -4.9 -2.7 6.2 -15.9 -7.0 -15.2 -12.5 -15.0 -1.2 0.9 -0.6 -0.2 -20.0 -20.0 -10.7 -20.0 -20.0 -4.3 -0.0 -6.0 1.1 -5.7 -2.4 -5.5 -5.3 -5.8 -20.0 -20.0 -0.9 -1.7 US5 -0.9 -14.4 -9.1 -4.7 2.5 -5.0 0.5 -4.9 -2.7 7.6 -14.6 -2.0 -14.3 -11.1 -14.0 -4.6 5.2 -3.4 -0.5 -20.0 -20.0 1.6 -20.0 -14.9 -1.7 -0.0 -5.6 2.4 -6.3 0.5 -6.9 -3.1 -2.0 -0.1 0.3 -3.0 -7.3 VIX -1.7 13.4 -1.6 0.7 -10.2 0.4 -7.4 -0.8 -2.1 -14.1 -4.0 -13.3 -5.7 1.9 3.2 3.0 -17.7 -3.4 -10.2 2.5 0.5 -17.9 -3.0 -4.4 NaN -0.0 0.9 -11.9 0.6 -8.6 -1.1 -2.5 NaN NaN NaN NaN NaN WHEAT -3.1 11.2 -10.5 -4.3 -6.9 -3.2 -6.3 0.6 -5.2 -4.1 -9.8 -11.6 -4.7 1.9 3.0 -2.7 -3.6 -3.4 -3.6 -0.8 -5.4 -4.7 -1.0 -1.3 -14.3 -0.0 0.7 -2.2 1.6 -2.4 5.3 -0.9 -20.0 6.7 3.1 15.3 3.5 End of report for caleb_strategy_v1