******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221031_204251 produced at 2022-10-31 21:35:19.342322 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.26 0.0 38685077.47 -38685077.47 -0.04 0.00 -6.72 999999999 -1 0 caleb_strategy_v1 US5 False False 0.04 -0.36 -0.15 0.0 35508582.54 -35508582.54 -0.36 -0.36 -4.14 999999999 -10 -10 caleb_strategy_v1 CHF False False 0.04 -0.08 -0.15 0.0 41783005.53 -41783005.53 -0.08 -0.08 -3.52 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.15 0.0 28150873.32 -28150873.32 -0.14 -0.14 -5.29 999999999 -5 -5 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.13 0.0 40282430.37 -40282430.37 -0.04 -0.04 -3.22 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 36848381.80 -36848381.80 0.00 0.00 -3.32 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.26 -0.12 0.0 42842357.48 -42842357.48 -0.26 -0.30 -2.88 999999999 -6 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.09 0.0 20319577.59 -20319577.59 -0.04 -0.04 -4.54 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.07 0.0 30232114.88 -30232114.88 -0.09 -0.06 -2.33 999999999 -3 -2 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.05 0.0 41285588.80 -41285588.80 -0.04 -0.04 -1.19 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.05 -0.05 -0.05 0.0 47542484.10 -47542484.10 -0.05 0.00 -1.02 999999999 -1 0 caleb_strategy_v1 VIX False False 0.01 0.00 -0.05 0.0 9290662.32 -9290662.32 0.00 0.00 -4.85 999999999 0 0 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 26989270.18 -26989270.18 0.00 0.00 -2.01 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 5450188.89 -5450188.89 -0.01 -0.02 -7.73 999999999 -2 -4 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.04 0.0 24453755.82 -24453755.82 -0.02 -0.02 -1.56 999999999 -1 -1 caleb_strategy_v1 AUD False False 0.02 0.00 -0.03 0.0 21330228.49 -21330228.49 0.00 -0.02 -1.18 999999999 0 -1 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 76260020.69 -76260020.69 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 3083567.49 -3083567.49 -0.01 -0.01 -5.12 999999999 -2 -3 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 81258330.42 -81258330.42 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.02 0.00 -0.01 0.0 15151438.55 -15151438.55 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 19373861.42 -19373861.42 0.00 0.00 -0.48 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.01 0.0 6177124.95 -6177124.95 -0.01 -0.01 -0.82 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7768858.49 -7768858.49 0.00 0.00 -1.48 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 21868021.30 -21868021.30 -0.02 -0.02 -0.56 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 61121902.09 -61121902.09 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 64635037.84 -64635037.84 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10002446.93 -10002446.93 0.00 0.00 0.02 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 -0.00 0.0 5457514.86 -5457514.86 -0.02 -0.02 -0.09 999999999 -4 -3 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 11895492.80 -11895492.80 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 16137947.05 -16137947.05 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 DAX False False 0.00 0.00 -0.00 0.0 4365958.47 -4365958.47 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 11936336.59 -11936336.59 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21665724.63 -21665724.63 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.00 0.01 0.0 23896815.58 -23896815.58 0.00 0.02 0.35 999999999 0 1 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 20638597.75 -20638597.75 0.00 0.02 0.60 999999999 0 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4304689.42 -4304689.42 0.00 0.00 1.95 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 677985.25 -677985.25 0.00 0.00 8.23 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.01 0.01 0.0 10385395.38 -10385395.38 0.01 0.01 0.52 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 28138385.87 -28138385.87 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15504417.12 -15504417.12 0.00 0.00 0.65 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 16046372.42 -16046372.42 0.00 0.00 0.63 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 6705793.60 -6705793.60 0.01 0.01 1.89 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 13614316.78 -13614316.78 0.01 0.01 0.94 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 0.02 0.0 25444426.80 -25444426.80 0.03 0.05 0.84 999999999 1 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8333291.20 -8333291.20 0.00 0.00 3.43 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.04 0.0 43731977.69 -43731977.69 0.00 0.00 0.99 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.08 0.04 0.0 37710192.96 -37710192.96 0.08 0.04 1.09 999999999 2 1 caleb_strategy_v1 GASOILINE False False 0.03 0.00 0.04 0.0 34018009.82 -34018009.82 0.00 0.00 1.16 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.05 0.0 13606324.81 -13606324.81 0.07 0.05 3.99 999999999 5 4 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 33566263.86 -33566263.86 0.00 0.03 1.57 999999999 0 1 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.06 0.0 49050101.66 -49050101.66 0.10 0.10 1.19 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.05 0.07 0.0 6165522.08 -6165522.08 0.05 0.06 12.12 999999999 8 9 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.08 0.0 11761512.30 -11761512.30 0.05 0.06 6.78 999999999 4 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.0 22868682.25 -22868682.25 0.05 0.05 3.90 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.09 0.15 0.0 45561547.27 -45561547.27 0.09 0.09 3.34 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.20 0.35 0.0 39398267.04 -39398267.04 0.20 0.20 8.91 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 11.0 Shocked risk 21.1 Sum abs risk 40.7 Leverage 2.79 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3003015.18, 'annual_cash_vol_target': 750753.795, 'daily_cash_vol_target': 46922.1121875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0059 0.6405 0.9247 14.7944 BITCOIN 678.4546 20360.0000 3.3323 53.3167 BOBL 0.4226 119.7300 0.3530 5.6479 BTP 1.1399 114.6000 0.9947 15.9150 BUND 0.9073 138.4600 0.6553 10.4844 BUXL 2.3909 144.4800 1.6548 26.4769 CAC 68.2989 6272.0000 1.0889 17.4232 CAD 0.0044 0.7343 0.5964 9.5420 CANOLA 8.9294 880.5000 1.0141 16.2261 CHF 0.0062 1.0038 0.6214 9.9420 COCOA 32.1595 2333.0000 1.3785 22.0554 COFFEE 0.0391 1.7350 2.2563 36.1003 COPPER 0.0568 3.3800 1.6802 26.8834 CORN 5.5910 623.7500 0.8963 14.3416 COTTON2 0.0204 0.7169 2.8418 45.4695 CRUDE_W 1.5910 76.4100 2.0822 33.3153 DAX 138.6867 13268.0000 1.0453 16.7244 DOW 377.7673 32778.0000 1.1525 18.4400 EUR 0.0074 0.9918 0.7426 11.8813 EUROSTX 39.8600 3615.0000 1.1026 17.6420 FEEDCOW 1.3735 181.5750 0.7564 12.1031 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 23.1294 1008.0000 2.2946 36.7134 GASOILINE 0.0501 2.4323 2.0579 32.9266 GAS_US 0.2417 6.5670 3.6808 58.8928 GBP 0.0112 1.1482 0.9758 15.6125 GOLD_micro 14.8071 1636.7000 0.9047 14.4751 HEATOIL 0.0698 3.5071 1.9917 31.8665 JPY 0.0001 0.0068 0.7454 11.9262 LEANHOG 1.4318 88.3000 1.6216 25.9448 LIVECOW 0.9016 152.5500 0.5910 9.4563 MXP 0.0003 0.0500 0.6102 9.7635 NASDAQ 205.3742 11450.5000 1.7936 28.6973 NZD 0.0053 0.5818 0.9127 14.6037 OAT 0.9451 132.9000 0.7111 11.3778 OJ 0.0350 2.0025 1.7494 27.9908 PALLAD 45.3881 1835.5000 2.4728 39.5647 PLAT 18.2412 931.2000 1.9589 31.3423 REDWHEAT 17.8007 969.2500 1.8365 29.3848 ROBUSTA 27.2594 1855.0000 1.4695 23.5122 RUSSELL 28.0124 1852.0000 1.5125 24.2007 SILVER-mini 0.3959 19.2750 2.0538 32.8604 SOYBEAN 12.4217 1373.5000 0.9044 14.4701 SOYMEAL 5.3728 408.6000 1.3149 21.0389 SOYOIL 0.8986 68.1400 1.3187 21.0991 SP400 33.7598 2440.2000 1.3835 22.1358 SP500 54.4745 3882.0000 1.4033 22.4521 SUGAR11 0.0023 0.1798 1.2847 20.5551 US10 0.5573 110.6562 0.5036 8.0579 US10U 0.7650 116.1719 0.6585 10.5366 US20 1.0703 120.9688 0.8848 14.1561 US30 1.5785 128.6562 1.2269 19.6301 US5 0.3729 106.6328 0.3497 5.5954 VIX 0.5822 27.9000 2.0868 33.3884 WHEAT 14.7763 910.0000 1.6238 25.9803 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 640.55 0.92 592.29 1.00 592.29 46922.11 79.22 -8.63 -68.36 BITCOIN 20.36 3.33 67.85 1.00 67.85 46922.11 691.60 4.67 322.88 BOBL 1197.30 0.35 422.64 1.00 420.77 46922.11 111.52 10.23 114.10 BTP 1146.00 0.99 1139.91 1.00 1134.87 46922.11 41.35 12.07 49.90 BUND 1384.60 0.66 907.29 1.00 903.28 46922.11 51.95 8.23 42.74 BUXL 1444.80 1.65 2390.87 1.00 2380.30 46922.11 19.71 -5.68 -11.20 CAC 627.20 1.09 682.99 1.00 679.97 46922.11 69.01 2.85 19.64 CAD 734.35 0.60 437.95 1.00 437.95 46922.11 107.14 -7.55 -80.94 CANOLA 176.10 1.01 178.59 0.73 131.21 46922.11 357.62 5.49 196.49 CHF 1254.75 0.62 779.67 1.00 779.67 46922.11 60.18 -14.43 -86.86 COCOA 233.30 1.38 321.60 1.00 321.60 46922.11 145.90 -4.31 -62.95 COFFEE 650.63 2.26 1467.98 1.00 1467.98 46922.11 31.96 -1.65 -5.29 COPPER 845.00 1.68 1419.78 1.00 1419.78 46922.11 33.05 2.80 9.24 CORN 311.88 0.90 279.55 1.00 279.55 46922.11 167.85 3.16 53.03 COTTON2 358.45 2.84 1018.66 1.00 1018.66 46922.11 46.06 -4.81 -22.18 CRUDE_W 764.10 2.08 1591.01 1.00 1591.01 46922.11 29.49 1.98 5.84 DAX 132.68 1.05 138.69 1.00 138.07 46922.11 339.83 -0.11 -3.83 DOW 163.89 1.15 188.88 1.00 188.88 46922.11 248.42 -0.12 -2.87 EUR 1239.81 0.74 920.66 1.00 920.66 46922.11 50.97 -5.77 -29.39 EUROSTX 361.50 1.10 398.60 1.00 396.84 46922.11 118.24 0.71 8.35 FEEDCOW 907.88 0.76 686.75 1.00 686.75 46922.11 68.32 -11.74 -80.20 FTSE100 706.85 0.82 576.59 1.16 666.67 46922.11 70.38 -2.56 -18.04 GASOIL 1008.00 2.29 2312.94 1.00 2312.94 46922.11 20.29 10.04 20.37 GASOILINE 1021.57 2.06 2102.30 1.00 2102.30 46922.11 22.32 11.74 26.20 GAS_US 656.70 3.68 2417.18 1.00 2417.18 46922.11 19.41 -17.71 -34.39 GBP 717.62 0.98 700.25 1.00 700.25 46922.11 67.01 2.70 18.07 GOLD_micro 163.67 0.90 148.07 1.00 148.07 46922.11 316.89 -10.08 -319.31 HEATOIL 1472.98 1.99 2933.68 1.00 2933.68 46922.11 15.99 9.67 15.47 JPY 845.38 0.75 630.13 1.00 630.13 46922.11 74.46 -10.14 -75.49 LEANHOG 353.20 1.62 572.73 1.00 572.73 46922.11 81.93 16.36 134.07 LIVECOW 610.20 0.59 360.64 1.00 360.64 46922.11 130.11 -12.01 -156.20 MXP 250.25 0.61 152.71 1.00 152.71 46922.11 307.27 8.43 259.02 NASDAQ 2290.10 1.79 4107.48 1.00 4107.48 46922.11 11.42 -5.23 -5.97 NZD 581.80 0.91 531.03 1.00 531.03 46922.11 88.36 -3.11 -27.52 OAT 1329.00 0.71 945.07 1.00 940.89 46922.11 49.87 9.07 45.22 OJ 300.38 1.75 525.48 1.00 525.48 46922.11 89.29 0.11 0.98 PALLAD 1835.50 2.47 4538.81 1.00 4538.81 46922.11 10.34 -4.47 -4.62 PLAT 465.60 1.96 912.06 1.00 912.06 46922.11 51.45 4.82 24.82 REDWHEAT 484.62 1.84 890.04 1.00 890.04 46922.11 52.72 -9.35 -49.30 ROBUSTA 185.50 1.47 272.59 1.00 272.59 46922.11 172.13 -3.38 -58.25 RUSSELL 92.60 1.51 140.06 1.00 140.06 46922.11 335.01 -2.73 -91.29 SILVER-mini 481.88 2.05 989.66 1.00 989.66 46922.11 47.41 5.48 25.97 SOYBEAN 686.75 0.90 621.09 1.00 621.09 46922.11 75.55 8.08 61.05 SOYMEAL 408.60 1.31 537.28 1.00 537.28 46922.11 87.33 7.17 62.59 SOYOIL 408.84 1.32 539.13 1.00 539.13 46922.11 87.03 10.88 94.69 SP400 2440.20 1.38 3375.98 1.00 3375.98 46922.11 13.90 -2.75 -3.83 SP500 1941.00 1.40 2723.73 1.00 2723.73 46922.11 17.23 -2.82 -4.86 SUGAR11 201.38 1.28 258.71 1.00 258.71 46922.11 181.37 7.09 128.51 US10 1106.56 0.50 557.28 1.00 557.28 46922.11 84.20 -9.48 -79.86 US10U 1161.72 0.66 765.03 1.00 765.03 46922.11 61.33 -6.94 -42.59 US20 1209.69 0.88 1070.28 1.00 1070.28 46922.11 43.84 -9.21 -40.38 US30 1286.56 1.23 1578.46 1.00 1578.46 46922.11 29.73 -10.66 -31.68 US5 1066.33 0.35 372.91 1.00 372.91 46922.11 125.83 -7.93 -99.74 VIX 279.00 2.09 582.21 1.00 582.21 46922.11 80.59 -2.95 -23.79 WHEAT 455.00 1.62 738.81 1.00 738.81 46922.11 63.51 -11.34 -72.00 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -68.361 0.007 2.5 -1.182 BITCOIN 322.875 0.010 2.5 8.233 BOBL 114.099 0.031 2.5 8.910 BTP 49.903 0.009 2.5 1.091 BUND 42.741 0.031 2.5 3.338 BUXL -11.196 0.036 2.5 -1.017 CAC 19.641 0.012 2.5 0.598 CAD -80.941 0.008 2.5 -1.564 CANOLA 196.485 0.004 2.5 1.952 CHF -86.860 0.016 2.5 -3.518 COCOA -62.953 0.009 2.5 -1.484 COFFEE -5.287 0.006 2.5 -0.074 COPPER 9.241 0.012 2.5 0.273 CORN 53.032 0.004 2.5 0.518 COTTON2 -22.176 0.007 2.5 -0.361 CRUDE_W 5.842 0.057 2.5 0.835 DAX -3.828 0.024 2.5 -0.225 DOW -2.874 0.012 2.5 -0.089 EUR -29.391 0.016 2.5 -1.190 EUROSTX 8.352 0.012 2.5 0.254 FEEDCOW -80.200 0.012 2.5 -2.332 FTSE100 -18.040 0.045 2.5 -2.013 GASOIL 20.369 0.031 2.5 1.572 GASOILINE 26.198 0.018 2.5 1.164 GAS_US -34.387 0.007 2.5 -0.560 GBP 18.074 0.008 2.5 0.349 GOLD_micro -319.311 0.010 2.5 -7.732 HEATOIL 15.469 0.031 2.5 1.194 JPY -75.491 0.028 2.5 -5.288 LEANHOG 134.073 0.020 2.5 6.779 LIVECOW -156.200 0.012 2.5 -4.542 MXP 259.025 0.005 2.5 3.432 NASDAQ -5.970 0.024 2.5 -0.351 NZD -27.518 0.007 2.5 -0.476 OAT 45.220 0.009 2.5 0.988 OJ 0.979 0.008 2.5 0.018 PALLAD -4.623 0.010 2.5 -0.120 PLAT 24.822 0.010 2.5 0.646 REDWHEAT -49.297 0.002 2.5 -0.285 ROBUSTA -58.245 0.006 2.5 -0.817 RUSSELL -91.295 0.022 2.5 -5.118 SILVER-mini 25.971 0.010 2.5 0.629 SOYBEAN 61.046 0.026 2.5 3.895 SOYMEAL 62.586 0.026 2.5 3.994 SOYOIL 94.690 0.004 2.5 0.941 SP400 -3.828 0.022 2.5 -0.215 SP500 -4.855 0.012 2.5 -0.150 SUGAR11 128.509 0.006 2.5 1.887 US10 -79.861 0.017 2.5 -3.316 US10U -42.587 0.063 2.5 -6.715 US20 -40.383 0.032 2.5 -3.221 US30 -31.679 0.036 2.5 -2.878 US5 -99.744 0.017 2.5 -4.141 VIX -23.787 0.082 2.5 -4.851 WHEAT -71.997 0.002 2.5 -0.416 ==================== Position diags ==================== AUD 1.37 BITCOIN 17.63 BOBL 8.71 BTP 0.90 BUND 4.06 BUXL 1.79 CAC 2.10 CAD 2.07 CANOLA 3.55 CHF 2.44 COCOA 3.44 COFFEE 0.45 COPPER 0.98 CORN 1.64 COTTON2 0.75 CRUDE_W 4.22 DAX 19.97 DOW 7.66 EUR 2.06 EUROSTX 3.60 FEEDCOW 1.99 FTSE100 7.85 GASOIL 1.57 GASOILINE 0.99 GAS_US 0.32 GBP 1.29 GOLD_micro 7.67 HEATOIL 1.23 JPY 5.22 LEANHOG 4.14 LIVECOW 3.78 MXP 4.07 NASDAQ 0.67 NZD 1.53 OAT 1.09 OJ 1.69 PALLAD 0.27 PLAT 1.34 REDWHEAT 0.30 ROBUSTA 2.42 RUSSELL 18.78 SILVER-mini 1.15 SOYBEAN 4.82 SOYMEAL 5.57 SOYOIL 0.86 SP400 0.78 SP500 0.53 SUGAR11 2.66 US10 3.50 US10U 9.67 US20 3.50 US30 2.70 US5 5.22 VIX 16.44 WHEAT 0.37 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.2 -1.3 -1.1 NaN 0 BITCOIN 8.2 7.4 9.1 NaN 0 BOBL 8.9 8.0 9.8 5.0 5 BTP 1.1 1.0 1.2 2.0 2 BUND 3.3 3.0 3.7 2.0 2 BUXL -1.0 -1.1 -0.9 -1.0 -1 CAC 0.6 0.5 0.7 NaN 0 CAD -1.6 -1.7 -1.4 -1.0 -1 CANOLA 2.0 1.8 2.1 NaN 0 CHF -3.5 -3.9 -3.2 -2.0 -2 COCOA -1.5 -1.6 -1.3 NaN 0 COFFEE -0.1 -0.1 -0.1 NaN 0 COPPER 0.3 0.2 0.3 NaN 0 CORN 0.5 0.5 0.6 1.0 1 COTTON2 -0.4 -0.4 -0.3 NaN 0 CRUDE_W 0.8 0.8 0.9 1.0 1 DAX -0.2 -0.2 -0.2 NaN 0 DOW -0.1 -0.1 -0.1 -4.0 -4 EUR -1.2 -1.3 -1.1 -1.0 -1 EUROSTX 0.3 0.2 0.3 NaN 0 FEEDCOW -2.3 -2.6 -2.1 -3.0 -3 FTSE100 -2.0 -2.2 -1.8 0.0 0 GASOIL 1.6 1.4 1.7 NaN 0 GASOILINE 1.2 1.0 1.3 NaN 0 GAS_US -0.6 -0.6 -0.5 -1.0 -1 GBP 0.3 0.3 0.4 0.0 0 GOLD_micro -7.7 -8.5 -7.0 -2.0 -2 HEATOIL 1.2 1.1 1.3 2.0 2 JPY -5.3 -5.8 -4.8 -5.0 -5 LEANHOG 6.8 6.1 7.5 4.0 4 LIVECOW -4.5 -5.0 -4.1 -2.0 -2 MXP 3.4 3.1 3.8 NaN 0 NASDAQ -0.4 -0.4 -0.3 0.0 0 NZD -0.5 -0.5 -0.4 NaN 0 OAT 1.0 0.9 1.1 0.0 0 OJ 0.0 0.0 0.0 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 -0.8 -0.9 -0.7 -1.0 -1 RUSSELL -5.1 -5.6 -4.6 -2.0 -2 SILVER-mini 0.6 0.6 0.7 NaN 0 SOYBEAN 3.9 3.5 4.3 2.0 2 SOYMEAL 4.0 3.6 4.4 5.0 5 SOYOIL 0.9 0.8 1.0 1.0 1 SP400 -0.2 -0.2 -0.2 NaN 0 SP500 -0.1 -0.2 -0.1 NaN 0 SUGAR11 1.9 1.7 2.1 1.0 1 US10 -3.3 -3.6 -3.0 NaN 0 US10U -6.7 -7.4 -6.0 -1.0 -1 US20 -3.2 -3.5 -2.9 -1.0 -1 US30 -2.9 -3.2 -2.6 -6.0 -6 US5 -4.1 -4.6 -3.7 -10.0 -10 VIX -4.9 -5.3 -4.4 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 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 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 0.0 -0.3 -0.0 -0.3 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 0.0 -0.2 -0.0 -0.9 -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 3.9 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.1 0.2 0.1 0.1 BOBL 0.1 -0.2 -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 0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.2 1.6 0.5 0.4 0.4 -0.1 -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 -0.2 -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 1.1 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 -0.1 -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 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 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 -0.0 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 0.0 -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 1.3 0.5 0.1 0.1 0.0 -0.1 0.0 0.0 0.0 0.5 -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 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -0.9 -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 2.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -2.7 0.0 0.1 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 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.8 -0.1 -0.4 -0.3 -0.2 COPPER 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.3 0.0 -0.3 -0.0 -0.1 0.1 0.0 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 0.2 -0.0 -0.1 CORN -0.0 0.2 0.3 -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 0.3 0.0 0.2 0.1 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 0.2 0.7 0.2 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -3.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.1 -0.0 -0.3 -0.6 -0.5 CRUDE_W 0.1 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 1.3 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -2.7 0.1 0.1 0.1 0.1 DAX 0.3 -0.0 -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 -0.1 0.0 -0.2 0.0 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 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 -0.2 0.3 0.4 0.1 0.1 EUR 0.1 0.1 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.5 -0.3 -0.2 -0.2 -0.1 -0.2 0.0 -0.3 0.0 1.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.4 -0.0 0.2 0.2 -0.1 EUROSTX 0.2 -0.0 -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 -0.1 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 -0.1 -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 0.4 -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 0.1 0.0 -0.2 -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 0.1 0.2 GASOILINE 0.1 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 1.6 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 -0.3 -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 -0.2 -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 2.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.3 0.0 -0.2 GOLD_micro -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -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 0.1 -0.0 -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 0.7 0.0 0.3 0.1 0.3 JPY 0.0 -0.1 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.4 -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 -0.1 -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 0.1 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 -1.3 -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 0.1 0.0 0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 0.4 0.0 0.4 0.1 0.3 1.3 0.8 0.4 0.4 0.1 0.1 0.0 0.2 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 1.0 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.5 -0.2 -0.4 -0.1 -0.0 NZD 0.2 -0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -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 -0.1 -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 1.4 0.5 0.3 0.3 -0.2 -0.2 0.0 -0.2 -0.0 1.6 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 2.1 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 0.0 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 0.6 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 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.4 -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 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 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 -2.6 0.1 0.0 0.3 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 0.1 -0.1 -0.2 0.6 0.2 0.1 0.1 -0.2 -0.1 -0.0 0.0 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.0 -0.0 -0.4 -0.3 0.1 RUSSELL 0.2 -0.1 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 -0.0 -0.1 0.0 -0.1 0.0 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 0.1 0.1 0.1 0.2 SILVER-mini -0.1 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 4.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.0 0.1 0.3 -0.2 SOYBEAN 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 0.1 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 0.1 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 1.3 0.6 0.3 0.3 -0.0 0.0 0.0 0.1 0.0 -1.2 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 1.1 0.2 0.3 0.1 0.3 SOYOIL 0.2 0.1 0.1 -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 0.1 0.0 0.1 0.0 -2.9 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 2.6 0.1 0.4 0.3 0.3 SP400 0.2 -0.1 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.2 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -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 0.0 -0.3 0.0 -0.3 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 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 -0.3 -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 -0.2 -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 -0.3 -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 -0.9 -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 -0.0 -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 -0.3 -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 -0.3 -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 -0.1 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 0.3 -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 -2.2 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -2.7 0.1 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 3.6 -16.5 -10.1 -4.0 1.2 -5.1 1.8 -4.9 -1.1 3.5 -14.3 4.8 -13.5 -8.6 -12.3 -2.7 -1.5 -2.2 -1.8 -18.2 -19.0 4.1 -14.8 -8.0 -8.0 -0.0 -5.1 1.1 -5.4 1.2 -4.4 -2.2 -0.2 2.8 -9.6 -7.7 -2.2 BITCOIN 7.3 0.2 -15.1 -3.3 -4.7 -3.1 -2.5 -1.5 -2.6 8.8 -15.8 8.1 -15.6 -1.4 -9.6 -0.1 -1.6 -0.3 -0.7 -7.2 -20.0 8.7 -20.0 2.9 17.7 -0.0 -1.7 4.7 -5.9 4.7 -6.3 2.1 0.1 15.2 11.3 7.4 3.4 BOBL 7.6 -16.9 -15.7 -4.6 0.9 -5.1 0.2 -5.1 -2.6 4.6 -13.4 -0.4 -12.1 -9.4 -13.4 20.0 17.7 20.0 20.0 -20.0 -20.0 7.7 -20.0 -7.4 9.2 -0.0 -4.9 2.3 -7.0 2.2 -8.0 -1.2 20.0 11.5 13.8 3.0 -1.7 BTP 13.5 -1.2 -2.0 -4.6 0.9 -5.1 0.2 -5.1 -2.6 6.7 -12.9 7.3 -12.9 -1.5 -10.4 20.0 12.9 19.2 17.1 -11.7 -19.2 17.5 -20.0 3.0 9.0 -0.0 -3.8 4.7 -7.0 5.4 -8.9 1.0 19.3 20.0 20.0 17.2 4.0 BUND 6.4 -15.3 -11.1 -4.6 0.9 -5.1 0.2 -5.1 -2.6 6.3 -13.5 1.0 -12.7 -8.5 -13.3 13.8 16.8 15.6 16.5 -20.0 -20.0 8.7 -20.0 -7.9 8.6 -0.0 -5.0 2.2 -6.6 2.1 -7.1 -1.5 20.0 14.8 11.6 -0.4 -0.3 BUXL -0.1 -9.1 -1.0 -4.6 0.9 -5.1 0.2 -5.1 -2.6 9.2 -13.8 0.7 -13.0 -7.6 -12.8 6.7 -5.0 5.9 -0.4 -20.0 -20.0 7.2 -20.0 -9.8 6.4 -0.0 -5.2 2.1 -6.2 1.5 -6.3 -2.2 -13.2 16.4 1.2 -0.1 4.6 CAC 20.0 -3.9 -1.9 -2.1 4.4 -3.2 4.7 -2.6 1.5 13.7 -4.2 15.4 -7.2 9.4 -1.5 1.3 4.7 1.7 3.0 2.0 -4.8 20.0 -3.8 14.4 -6.6 -0.0 0.4 5.0 -2.0 7.0 -1.8 4.7 8.5 1.1 14.5 14.2 8.8 CAD 7.9 -16.3 -14.1 -4.0 1.2 -5.1 1.8 -4.9 -1.1 7.8 -13.3 6.3 -13.3 -8.5 -11.9 -1.9 -0.5 -1.4 -0.9 -16.7 -18.1 5.7 -13.0 -5.4 -6.9 -0.0 -5.0 1.2 -5.6 1.4 -4.3 -1.7 1.5 -2.1 2.4 -6.8 -7.8 CANOLA 11.0 16.3 -13.0 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 5.7 -9.8 3.8 -0.2 13.9 5.4 17.5 12.6 5.1 6.3 4.1 -8.8 4.5 0.0 9.7 2.4 -0.0 3.5 2.1 0.5 1.6 2.5 3.7 -1.9 18.0 16.3 20.0 14.7 CHF -5.5 -10.4 -0.7 -4.0 1.2 -5.1 1.8 -4.9 -1.1 -5.6 -12.5 -7.4 -11.4 -12.2 -12.8 -12.6 -10.9 -12.3 -12.0 -13.7 -13.0 -4.4 -12.1 -10.1 -3.0 -0.0 -5.2 -2.4 -5.7 -1.5 -6.3 -3.6 -16.9 -18.0 -12.6 8.5 6.8 COCOA -0.8 0.5 -1.8 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 6.5 -11.9 -6.2 -12.4 -0.7 -4.5 1.2 -3.9 0.2 -1.9 -4.9 -8.6 -1.7 -10.6 -3.3 12.9 -0.0 -2.5 2.2 -5.2 -1.0 -6.6 -1.8 -20.0 4.7 7.4 2.1 3.5 COFFEE -20.0 -20.0 -7.4 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 -9.8 -7.6 -14.8 0.8 -15.6 -11.0 10.0 5.3 10.8 8.9 -20.0 -11.5 -20.0 -1.0 -20.0 8.7 -0.0 -5.0 -6.2 -2.5 -8.1 -0.1 -7.6 -5.9 -20.0 -20.0 -20.0 -11.0 COPPER 7.4 9.1 -4.3 -3.3 -4.7 -3.1 -2.5 -1.5 -2.6 -3.3 -12.8 0.6 -11.4 -2.4 -4.6 1.1 0.2 0.9 0.4 -7.1 -15.6 -0.6 -16.4 -1.2 18.8 -0.0 -3.8 -3.8 -6.9 0.4 -6.1 -0.6 2.4 4.3 8.5 -3.0 -4.6 CORN -0.8 12.7 15.5 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 -1.3 2.4 -4.9 5.5 4.0 12.5 16.0 12.3 12.1 11.2 10.6 11.1 -1.3 15.9 4.3 -20.0 -0.0 3.7 -0.4 6.0 -0.9 10.5 1.0 1.9 5.5 12.7 10.9 19.7 COTTON2 -14.3 -20.0 -20.0 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 -13.9 -13.2 -15.0 1.8 -16.1 -15.5 3.5 20.0 11.3 17.9 -20.0 -19.3 -20.0 -1.0 -20.0 -12.4 -0.0 -5.4 -5.1 -2.8 -5.4 1.6 -5.9 16.0 -20.0 -20.0 -20.0 -16.9 CRUDE_W 11.3 0.1 -15.9 -1.1 0.7 0.5 1.4 6.8 0.6 4.3 -6.3 4.6 4.2 7.8 0.8 6.7 14.7 9.2 12.4 0.4 -2.7 7.2 5.2 6.9 11.0 -0.0 0.6 1.3 0.8 3.5 7.2 3.2 -20.0 9.7 8.0 4.6 8.9 DAX 20.0 -2.7 -3.3 -2.1 4.4 -3.2 4.7 -2.6 1.5 14.1 -9.4 15.6 -11.2 7.2 -2.8 -3.5 -1.0 -2.6 -1.8 -0.3 -11.4 20.0 -14.4 15.4 2.2 -0.0 0.4 6.7 -3.5 8.4 -5.4 5.5 -0.5 5.6 14.2 16.8 4.1 DOW 20.0 -4.3 0.3 -2.1 4.4 -3.2 4.7 -2.6 1.5 12.5 -7.1 14.9 -7.9 7.8 -2.7 -4.4 -1.0 -3.7 -2.7 1.4 -7.3 20.0 -7.4 18.9 -1.6 -0.0 0.3 9.1 -2.1 9.3 -1.8 5.3 -1.3 20.0 20.0 10.7 6.5 EUR 11.8 8.4 2.7 -4.0 1.2 -5.1 1.8 -4.9 -1.1 -1.5 -13.4 4.0 -14.7 1.0 -7.2 -7.6 -8.3 -8.1 -8.5 -7.7 -16.9 6.4 -20.0 2.4 8.7 -0.0 -3.8 -0.3 -8.6 3.0 -11.6 1.1 -11.8 -4.9 10.3 17.1 -4.2 EUROSTX 19.2 -3.2 -1.6 -2.1 4.4 -3.2 4.7 -2.6 1.5 14.1 -7.3 15.6 -10.0 8.1 -2.7 -0.7 3.1 0.2 1.3 0.9 -7.2 20.0 -8.4 14.4 -4.6 -0.0 0.7 6.5 -2.3 8.3 -3.3 5.4 5.6 6.1 12.5 16.6 8.6 FEEDCOW 11.6 -17.4 -3.4 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 -5.4 -2.3 8.9 -1.2 -3.1 -6.9 -13.8 -20.0 -15.2 -20.0 -6.3 -5.8 4.9 -2.8 0.4 2.6 -0.0 -2.9 -0.8 -2.6 1.6 -1.1 -0.2 -20.0 20.0 18.6 -16.0 1.8 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 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 -12.6 -13.6 4.9 2.9 GASOIL 8.4 0.4 -12.4 -1.1 0.7 0.5 1.4 6.8 0.6 -2.4 7.6 0.3 11.0 5.0 4.2 20.0 20.0 20.0 20.0 7.5 10.0 3.1 18.8 7.4 -4.7 -0.0 2.9 -0.9 3.9 1.3 8.6 3.0 0.0 -4.1 13.2 9.5 14.3 GASOILINE 10.7 0.7 -20.0 -1.1 0.7 0.5 1.4 6.8 0.6 2.7 -5.4 5.0 5.0 7.8 -5.1 20.0 20.0 20.0 20.0 -1.1 -1.9 7.8 11.7 6.7 1.6 -0.0 0.6 0.7 1.7 3.9 10.8 3.5 11.3 12.9 4.8 11.1 1.3 GAS_US -14.3 -20.0 -9.9 -1.1 0.7 0.5 1.4 6.8 0.6 7.3 -3.1 -7.0 4.0 -13.5 -10.5 -20.0 -9.5 -20.0 -13.4 -20.0 -8.2 -10.8 5.3 -20.0 -10.9 -0.0 -4.2 1.5 0.1 -2.8 4.7 -5.4 -20.0 -14.7 -20.0 -20.0 19.0 GBP 18.8 13.4 3.1 -4.0 1.2 -5.1 1.8 -4.9 -1.1 6.5 -11.0 11.3 -13.0 7.5 -3.8 -1.4 -1.3 -1.6 -1.6 -6.7 -16.1 13.1 -17.7 6.3 16.9 -0.0 -4.1 1.8 -7.0 3.2 -7.4 0.5 0.2 -1.0 17.2 3.1 -11.8 GOLD_micro -4.6 -4.0 -12.8 -3.3 -4.7 -3.1 -2.5 -1.5 -2.6 -6.4 -14.4 -10.3 -12.7 -9.6 -12.3 -10.4 -7.2 -9.6 -8.7 -15.9 -18.6 -8.3 -14.5 -11.0 10.2 -0.0 -5.2 -4.1 -5.4 -2.9 -3.6 -3.8 -11.4 -4.4 -5.9 -13.7 -14.2 HEATOIL 11.2 -2.4 -18.7 -1.1 0.7 0.5 1.4 6.8 0.6 4.8 5.6 6.0 9.9 8.4 3.5 20.0 20.0 20.0 20.0 7.0 8.6 8.2 18.1 9.6 -14.9 -0.0 3.3 1.3 5.7 3.3 12.9 3.8 4.7 1.2 15.5 7.8 19.9 JPY 4.1 -7.4 -10.8 -4.0 1.2 -5.1 1.8 -4.9 -1.1 -0.8 -16.3 -5.3 -16.0 -11.1 -15.0 -14.1 -9.5 -13.0 -11.5 -20.0 -20.0 -5.9 -20.0 -15.2 20.0 -0.0 -6.2 -1.5 -7.9 -1.3 -9.5 -3.8 -15.1 -11.3 -20.0 -11.7 -10.9 LEANHOG 20.0 2.2 -4.2 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 -5.2 -6.2 12.0 -1.4 11.5 5.6 20.0 20.0 20.0 20.0 7.0 0.4 13.3 2.5 15.9 5.8 -0.0 1.3 -0.8 -0.4 3.6 0.7 4.2 20.0 20.0 20.0 10.2 11.3 LIVECOW 20.0 3.1 10.3 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 5.5 2.3 11.2 -3.6 10.8 9.4 -20.0 -20.0 -20.0 -20.0 9.9 3.7 17.0 -1.3 17.0 -7.9 -0.0 3.6 1.5 2.1 6.4 1.3 6.3 -20.0 20.0 20.0 14.3 20.0 MXP 5.8 3.3 10.2 -4.0 1.2 -5.1 1.8 -4.9 -1.1 13.9 15.2 15.2 14.4 14.8 15.5 17.8 19.5 17.8 18.6 10.2 11.1 12.3 12.6 10.7 -20.0 -0.0 5.2 8.3 4.1 8.1 4.5 6.6 20.0 0.9 12.5 20.0 20.0 NASDAQ 8.7 -13.5 1.5 -2.1 4.4 -3.2 4.7 -2.6 1.5 7.0 -12.7 8.1 -11.9 -7.5 -11.1 -4.6 -2.6 -4.3 -3.6 -12.2 -14.8 4.8 -13.4 -3.8 8.4 -0.0 -4.2 2.1 -5.1 1.7 -3.9 -1.2 -3.5 -10.8 -19.3 -8.0 -2.6 NZD 14.6 -12.3 -5.8 -4.0 1.2 -5.1 1.8 -4.9 -1.1 11.2 -14.3 13.0 -14.3 -5.4 -11.4 -0.7 1.0 -0.4 0.2 -15.9 -20.0 12.7 -19.6 -0.7 1.6 -0.0 -4.5 3.1 -6.0 3.2 -5.5 -0.4 3.8 12.9 8.1 -5.9 -4.2 OAT 8.9 -9.3 -2.8 -4.6 0.9 -5.1 0.2 -5.1 -2.6 6.1 -13.2 4.4 -12.7 -6.9 -12.4 17.4 11.2 13.8 13.0 -18.6 -20.0 12.2 -20.0 -4.1 12.4 -0.0 -4.7 2.8 -6.7 3.0 -7.8 -0.8 15.2 20.0 16.6 3.0 1.3 OJ 10.1 20.0 10.9 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 1.4 14.6 11.7 13.6 14.7 15.0 18.6 10.7 17.1 15.3 20.0 20.0 14.1 18.7 20.0 -20.0 -0.0 6.1 0.6 5.9 2.8 5.3 5.0 4.4 20.0 20.0 20.0 20.0 PALLAD -20.0 -5.8 3.6 -3.3 -4.7 -3.1 -2.5 -1.5 -2.6 -13.7 -8.8 -15.2 -4.9 -14.2 -4.5 -1.8 -1.0 -1.5 -1.3 -9.4 -3.9 -20.0 -3.8 -18.9 -2.4 -0.0 -3.2 -10.1 -0.7 -9.2 -0.4 -7.0 0.0 -20.0 -20.0 -0.5 12.4 PLAT 8.2 13.5 8.6 -3.3 -4.7 -3.1 -2.5 -1.5 -2.6 5.1 -5.1 9.1 -8.8 12.0 7.7 0.5 -0.4 0.1 -0.2 6.5 -0.3 10.5 -5.2 10.9 7.3 -0.0 2.3 1.3 -1.4 5.5 -3.9 5.3 1.5 15.5 20.0 20.0 9.6 REDWHEAT -6.9 14.6 -7.5 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 4.8 -8.8 -10.1 -2.4 0.2 3.3 0.8 -1.3 0.5 -0.1 0.9 -1.9 -1.2 2.0 -0.8 -14.5 -0.0 1.8 5.5 2.6 0.1 5.9 0.1 -19.3 11.8 1.7 18.9 9.2 ROBUSTA -20.0 -20.0 0.4 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 -13.5 -4.2 -15.6 6.0 -16.1 -8.7 7.2 6.1 6.7 6.2 -20.0 -6.8 -20.0 3.3 -20.0 1.0 -0.0 -4.2 -6.3 -1.3 -8.1 0.7 -7.4 -7.5 -20.0 -20.0 -20.0 7.7 RUSSELL 14.7 -8.3 8.0 -2.1 4.4 -3.2 4.7 -2.6 1.5 13.1 -9.0 13.9 -11.1 0.7 -6.6 -4.0 -1.5 -3.3 -2.6 -2.9 -8.2 20.0 -10.0 8.4 -3.4 -0.0 -0.8 8.7 -2.5 7.8 -2.5 3.4 -1.7 3.7 2.4 6.7 10.7 SILVER-mini -4.5 11.8 3.6 -3.1 -0.8 -3.0 -0.6 -1.5 -2.0 9.0 -12.1 -4.4 -12.2 -2.8 -3.9 -2.9 -2.6 -3.1 -3.0 -4.1 -10.2 3.1 -13.2 -0.5 19.2 -0.0 -1.7 2.0 -6.1 2.0 -8.2 0.8 -2.8 12.6 8.4 18.6 -9.4 SOYBEAN 0.5 -0.3 0.8 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 11.7 -2.4 6.3 3.4 1.0 4.6 12.0 20.0 18.0 20.0 -0.9 -0.9 4.6 5.4 0.9 -14.6 -0.0 1.5 8.2 4.4 3.5 10.6 1.2 20.0 19.7 11.6 9.0 13.0 SOYMEAL 2.5 -3.7 2.1 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 13.1 -3.3 11.2 6.9 -3.6 1.6 15.7 14.6 14.3 15.4 -0.4 1.5 8.9 5.4 1.8 -8.3 -0.0 2.1 9.9 4.4 5.7 8.1 2.3 8.1 20.0 13.5 9.1 20.0 SOYOIL 19.2 8.4 3.3 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 12.7 -1.2 14.7 3.9 13.9 11.6 20.0 20.0 20.0 20.0 10.7 4.5 20.0 9.3 18.9 -20.0 -0.0 5.0 6.6 4.0 7.4 6.1 6.9 19.3 20.0 20.0 20.0 20.0 SP400 14.8 -8.9 3.1 -2.1 4.4 -3.2 4.7 -2.6 1.5 13.0 -8.4 14.1 -8.5 0.2 -5.9 0.3 -1.2 -0.2 -0.7 -2.8 -7.5 19.4 -7.2 8.2 -5.5 -0.0 -0.7 7.9 -2.1 7.4 -1.4 3.3 0.0 1.6 4.0 7.2 11.8 SP500 14.9 -11.3 -0.2 -2.1 4.4 -3.2 4.7 -2.6 1.5 10.4 -11.1 12.3 -9.7 -3.5 -8.7 -4.5 -2.4 -4.0 -3.3 -7.3 -11.6 15.3 -9.6 4.2 6.4 -0.0 -2.6 5.5 -4.4 5.3 -3.8 1.5 -3.0 3.1 -3.3 -1.5 1.9 SUGAR11 2.4 7.1 -3.5 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 -7.2 -7.5 -5.9 -5.5 -0.9 -1.7 20.0 14.7 20.0 20.0 -0.2 -2.3 -12.3 -1.4 -4.2 -5.5 -0.0 0.5 -4.8 0.3 -6.8 0.6 -2.4 10.7 -20.0 12.9 9.7 8.3 US10 -2.2 -13.8 -15.3 -4.6 0.9 -5.1 0.2 -5.1 -2.6 3.0 -14.7 -4.4 -14.1 -11.4 -14.3 -4.3 3.0 -3.1 -1.0 -20.0 -20.0 -2.0 -20.0 -15.7 -4.6 -0.0 -5.6 0.3 -6.1 -0.3 -6.2 -3.3 -4.6 -3.7 -1.6 -3.3 -5.1 US10U -5.2 -15.7 -14.3 -4.6 0.9 -5.1 0.2 -5.1 -2.6 3.9 -14.7 -5.8 -13.7 -11.9 -14.4 -0.2 6.3 0.8 2.8 -20.0 -20.0 -3.5 -20.0 -17.8 -5.7 -0.0 -5.7 0.6 -5.9 -0.6 -5.6 -3.7 1.8 -7.4 -5.3 -3.5 -3.0 US20 -10.2 -20.0 -15.6 -4.6 0.9 -5.1 0.2 -5.1 -2.6 1.6 -15.0 -7.7 -13.9 -12.6 -14.8 1.3 3.1 1.8 2.2 -20.0 -20.0 -12.4 -20.0 -20.0 -6.9 -0.0 -6.0 -0.5 -5.4 -2.5 -4.8 -5.0 -1.8 -20.0 -19.8 -8.8 -5.7 US30 -10.4 -16.4 -12.8 -4.6 0.9 -5.1 0.2 -5.1 -2.6 4.5 -15.8 -6.8 -15.2 -12.0 -14.8 -1.4 0.8 -0.8 -0.3 -20.0 -20.0 -10.5 -20.0 -20.0 -4.2 -0.0 -6.0 0.1 -5.7 -2.3 -5.6 -5.1 -5.8 -20.0 -20.0 -1.7 -1.8 US5 0.7 -13.3 -15.1 -4.6 0.9 -5.1 0.2 -5.1 -2.6 3.2 -14.5 -2.8 -14.3 -10.9 -13.9 -4.6 5.0 -3.5 -0.6 -20.0 -20.0 -0.8 -20.0 -14.6 -1.9 -0.0 -5.6 0.4 -6.4 -0.0 -7.0 -3.0 -2.1 -0.8 0.3 -4.3 -7.2 VIX -5.3 12.6 -1.6 0.2 -9.5 0.2 -8.0 -0.8 -2.9 -14.1 -4.3 -14.2 -5.8 0.2 2.3 2.1 -17.6 -3.6 -10.1 1.2 0.1 -20.0 -3.2 -6.9 NaN -0.0 0.3 -11.0 0.3 -9.2 -1.1 -3.5 NaN NaN NaN NaN NaN WHEAT -2.2 11.4 -9.5 -4.3 -3.5 -3.2 -5.3 0.5 -5.1 7.6 -9.7 -6.6 -4.7 3.0 3.9 -2.7 -3.6 -3.4 -3.6 0.0 -4.6 2.4 -0.8 1.1 -14.5 -0.0 1.2 8.0 1.8 2.0 5.4 0.7 -20.0 16.5 5.8 16.4 4.1 End of report for caleb_strategy_v1