******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221101_204240 produced at 2022-11-01 21:35:09.544287 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 0.00 -0.27 0.0 38595814.06 -38595814.06 0.00 0.00 -6.87 999999999 0 0 caleb_strategy_v1 CHF False False 0.04 -0.08 -0.15 0.0 41702154.58 -41702154.58 -0.08 -0.08 -3.65 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.35 -0.15 0.0 35418403.29 -35418403.29 -0.35 -0.35 -4.15 999999999 -10 -10 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.15 0.0 28156268.87 -28156268.87 -0.14 -0.14 -5.36 999999999 -5 -5 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.13 0.0 40224723.42 -40224723.42 -0.04 -0.04 -3.26 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.13 0.0 36707524.23 -36707524.23 0.00 0.00 -3.41 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.30 -0.12 0.0 43057158.16 -43057158.16 -0.30 -0.30 -2.79 999999999 -7 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.09 0.0 20179385.62 -20179385.62 -0.04 -0.04 -4.65 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.07 0.0 29984382.43 -29984382.43 -0.06 -0.06 -2.45 999999999 -2 -2 caleb_strategy_v1 VIX False False 0.01 0.00 -0.06 0.0 9146792.92 -9146792.92 0.00 0.00 -6.16 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.05 0.0 41127367.45 -41127367.45 -0.04 -0.04 -1.30 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 47530288.84 -47530288.84 0.00 0.00 -1.01 999999999 0 0 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 26941166.40 -26941166.40 0.00 0.00 -2.02 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 5478779.56 -5478779.56 -0.02 -0.02 -7.69 999999999 -4 -4 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.04 0.0 24365993.92 -24365993.92 -0.02 -0.02 -1.60 999999999 -1 -1 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.03 0.0 21266708.55 -21266708.55 -0.02 -0.02 -1.19 999999999 -1 -1 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 75088363.75 -75088363.75 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 81179032.22 -81179032.22 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.02 0.00 -0.01 0.0 15309672.91 -15309672.91 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.01 0.0 3072060.80 -3072060.80 -0.01 -0.01 -4.74 999999999 -3 -3 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 19399169.16 -19399169.16 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7822084.98 -7822084.98 0.00 0.00 -1.42 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 20601034.51 -20601034.51 -0.02 -0.02 -0.56 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 64044150.81 -64044150.81 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 62301114.05 -62301114.05 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.00 0.0 5420512.33 -5420512.33 -0.02 -0.01 0.03 999999999 -3 -2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 11972728.30 -11972728.30 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 16322294.27 -16322294.27 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 0.00 0.0 6098968.64 -6098968.64 -0.01 -0.01 0.24 999999999 -1 -1 caleb_strategy_v1 DAX False False 0.00 0.00 0.00 0.0 4382241.49 -4382241.49 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10092182.86 -10092182.86 0.00 0.00 0.01 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21258823.39 -21258823.39 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 12390501.34 -12390501.34 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.02 0.01 0.0 20768683.94 -20768683.94 0.02 0.02 0.65 999999999 1 1 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 23863003.32 -23863003.32 0.02 0.02 0.35 999999999 1 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 16257967.91 -16257967.91 0.00 0.00 0.62 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 6834563.35 -6834563.35 0.01 0.01 1.91 999999999 1 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15795233.15 -15795233.15 0.00 0.00 0.66 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 13693296.82 -13693296.82 0.01 0.01 1.00 999999999 1 1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 679286.33 -679286.33 0.00 0.00 8.80 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 28801607.48 -28801607.48 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4305427.33 -4305427.33 0.00 0.00 2.11 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.01 0.01 0.0 10454070.50 -10454070.50 0.01 0.01 0.58 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.02 0.0 25720582.50 -25720582.50 0.05 0.05 0.87 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8348316.08 -8348316.08 0.00 0.00 3.59 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 37796709.89 -37796709.89 0.04 0.04 1.16 999999999 1 1 caleb_strategy_v1 OAT False False 0.04 0.00 0.04 0.0 43665051.52 -43665051.52 0.00 0.00 1.02 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 0.04 0.0 34903962.59 -34903962.59 0.00 0.00 1.14 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.05 0.0 33059597.29 -33059597.29 0.03 0.03 1.54 999999999 1 1 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.06 0.0 48333712.25 -48333712.25 0.10 0.10 1.19 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.01 0.05 0.06 0.0 13602326.90 -13602326.90 0.05 0.05 4.38 999999999 4 4 caleb_strategy_v1 NIKKEI False False 0.01 0.06 0.07 0.0 6175202.11 -6175202.11 0.06 0.06 12.12 999999999 9 9 caleb_strategy_v1 LEANHOG False False 0.01 0.06 0.08 0.0 11743087.68 -11743087.68 0.06 0.06 6.71 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.10 0.0 23074486.68 -23074486.68 0.05 0.05 4.12 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.09 0.16 0.0 45494400.48 -45494400.48 0.09 0.09 3.43 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.20 0.36 0.0 39298218.53 -39298218.53 0.20 0.20 9.22 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 21.6 Sum abs risk 41.0 Leverage 2.85 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3011984.66, 'annual_cash_vol_target': 752996.165, 'daily_cash_vol_target': 47062.2603125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0058 0.6405 0.9063 14.5009 BITCOIN 664.8731 20460.0000 3.2496 51.9940 BOBL 0.4153 119.8700 0.3465 5.5434 BTP 1.1160 115.2900 0.9680 15.4885 BUND 0.8893 138.7700 0.6408 10.2530 BUXL 2.3508 144.9800 1.6215 25.9433 CAC 67.6636 6335.0000 1.0681 17.0895 CAD 0.0043 0.7339 0.5847 9.3547 CANOLA 8.5393 883.8000 0.9662 15.4592 CHF 0.0061 1.0048 0.6080 9.7281 COCOA 31.9988 2356.0000 1.3582 21.7309 COFFEE 0.0388 1.7075 2.2713 36.3403 COPPER 0.0583 3.4700 1.6800 26.8804 CORN 5.5777 629.7500 0.8857 14.1713 COTTON2 0.0211 0.7464 2.8249 45.1979 CRUDE_W 1.5647 77.4700 2.0197 32.3154 DAX 136.0563 13367.0000 1.0179 16.2856 DOW 371.1339 32653.0000 1.1366 18.1856 EUR 0.0072 0.9910 0.7262 11.6187 EUROSTX 39.4147 3652.0000 1.0793 17.2682 FEEDCOW 1.3570 180.6250 0.7513 12.0206 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 22.9276 995.7500 2.3025 36.8408 GASOILINE 0.0510 2.5031 2.0383 32.6128 GAS_US 0.2420 6.2050 3.8995 62.3914 GBP 0.0109 1.1500 0.9514 15.2217 GOLD_micro 14.8140 1650.2000 0.8977 14.3634 HEATOIL 0.0688 3.4662 1.9854 31.7669 JPY 0.0000 0.0068 0.7313 11.7007 LEANHOG 1.3991 88.4250 1.5822 25.3152 LIVECOW 0.8963 151.9500 0.5899 9.4380 MXP 0.0003 0.0503 0.6044 9.6701 NASDAQ 201.7223 11308.2500 1.7839 28.5416 NZD 0.0052 0.5843 0.8949 14.3177 OAT 0.9254 133.1900 0.6948 11.1168 OJ 0.0342 2.0265 1.6890 27.0241 PALLAD 45.2716 1876.5000 2.4126 38.6009 PLAT 18.1353 951.5000 1.9060 30.4954 REDWHEAT 17.8518 983.2500 1.8156 29.0495 ROBUSTA 26.6401 1837.0000 1.4502 23.2031 RUSSELL 27.3825 1850.6000 1.4797 23.6745 SILVER-mini 0.3876 19.5875 1.9786 31.6571 SOYBEAN 12.5230 1390.0000 0.9009 14.4150 SOYMEAL 5.2659 409.7000 1.2853 20.5648 SOYOIL 0.8797 68.7400 1.2798 20.4771 SP400 32.9506 2445.1000 1.3476 21.5619 SP500 53.3687 3858.0000 1.3833 22.1332 SUGAR11 0.0024 0.1838 1.3120 20.9925 US10 0.5442 110.5625 0.4922 7.8758 US10U 0.7479 116.2500 0.6433 10.2935 US20 1.0499 121.1562 0.8666 13.8651 US30 1.5812 129.6875 1.2193 19.5084 US5 0.3721 106.6797 0.3488 5.5803 VIX 0.5738 27.5500 2.0829 33.3259 WHEAT 14.7226 922.2500 1.5964 25.5421 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 640.55 0.91 580.54 1.00 580.54 47062.26 81.07 -8.47 -68.65 BITCOIN 20.46 3.25 66.49 1.00 66.49 47062.26 707.84 4.88 345.25 BOBL 1198.70 0.35 415.31 0.99 410.39 47062.26 114.68 10.29 118.03 BTP 1152.90 0.97 1116.05 0.99 1102.84 47062.26 42.67 12.46 53.15 BUND 1387.70 0.64 889.26 0.99 878.74 47062.26 53.56 8.19 43.87 BUXL 1449.80 1.62 2350.78 0.99 2322.97 47062.26 20.26 -5.49 -11.13 CAC 633.50 1.07 676.64 0.99 668.63 47062.26 70.39 3.04 21.39 CAD 733.90 0.58 429.09 1.00 429.09 47062.26 109.68 -7.53 -82.55 CANOLA 176.76 0.97 170.79 0.73 125.37 47062.26 375.39 5.65 212.19 CHF 1256.06 0.61 763.69 1.00 763.69 47062.26 61.62 -14.61 -90.01 COCOA 235.60 1.36 319.99 1.00 319.99 47062.26 147.08 -4.09 -60.12 COFFEE 640.31 2.27 1454.32 1.00 1454.32 47062.26 32.36 -1.79 -5.81 COPPER 867.50 1.68 1457.42 1.00 1457.42 47062.26 32.29 3.55 11.47 CORN 314.88 0.89 278.89 1.00 278.89 47062.26 168.75 3.52 59.44 COTTON2 373.20 2.82 1054.24 1.00 1054.24 47062.26 44.64 -4.74 -21.16 CRUDE_W 774.70 2.02 1564.67 1.00 1564.67 47062.26 30.08 2.02 6.06 DAX 133.67 1.02 136.06 0.99 134.45 47062.26 350.04 0.07 2.53 DOW 163.27 1.14 185.57 1.00 185.57 47062.26 253.61 0.04 1.09 EUR 1238.75 0.73 899.54 1.00 899.54 47062.26 52.32 -6.12 -32.02 EUROSTX 365.20 1.08 394.15 0.99 389.48 47062.26 120.83 0.87 10.45 FEEDCOW 903.12 0.75 678.50 1.00 678.50 47062.26 69.36 -12.13 -84.13 FTSE100 706.85 0.82 576.59 1.15 666.67 47062.26 70.59 -2.56 -18.09 GASOIL 995.75 2.30 2292.76 1.00 2292.76 47062.26 20.53 9.73 19.97 GASOILINE 1051.30 2.04 2142.87 1.00 2142.87 47062.26 21.96 11.69 25.68 GAS_US 620.50 3.90 2419.62 1.00 2419.62 47062.26 19.45 -17.82 -34.66 GBP 718.75 0.95 683.79 1.00 683.79 47062.26 68.83 2.60 17.89 GOLD_micro 165.02 0.90 148.14 1.00 148.14 47062.26 317.69 -10.00 -317.70 HEATOIL 1455.80 1.99 2890.40 1.00 2890.40 47062.26 16.28 9.47 15.42 JPY 848.06 0.73 620.18 1.00 620.18 47062.26 75.88 -10.08 -76.47 LEANHOG 353.70 1.58 559.62 1.00 559.62 47062.26 84.10 15.79 132.79 LIVECOW 607.80 0.59 358.53 1.00 358.53 47062.26 131.27 -12.18 -159.84 MXP 251.45 0.60 151.97 1.00 151.97 47062.26 309.68 8.76 271.28 NASDAQ 2261.65 1.78 4034.45 1.00 4034.45 47062.26 11.67 -5.50 -6.42 NZD 584.30 0.89 522.87 1.00 522.87 47062.26 90.01 -2.77 -24.93 OAT 1331.90 0.69 925.41 0.99 914.46 47062.26 51.46 9.09 46.79 OJ 303.98 1.69 513.42 1.00 513.42 47062.26 91.67 0.09 0.79 PALLAD 1876.50 2.41 4527.16 1.00 4527.16 47062.26 10.40 -4.67 -4.85 PLAT 475.75 1.91 906.76 1.00 906.76 47062.26 51.90 4.90 25.42 REDWHEAT 491.62 1.82 892.59 1.00 892.59 47062.26 52.73 -8.81 -46.44 ROBUSTA 183.70 1.45 266.40 1.00 266.40 47062.26 176.66 0.97 17.20 RUSSELL 92.53 1.48 136.91 1.00 136.91 47062.26 343.74 -2.46 -84.61 SILVER-mini 489.69 1.98 968.88 1.00 968.88 47062.26 48.57 5.23 25.40 SOYBEAN 695.00 0.90 626.15 1.00 626.15 47062.26 75.16 8.60 64.64 SOYMEAL 409.70 1.29 526.59 1.00 526.59 47062.26 89.37 7.68 68.63 SOYOIL 412.44 1.28 527.85 1.00 527.85 47062.26 89.16 11.24 100.21 SP400 2445.10 1.35 3295.06 1.00 3295.06 47062.26 14.28 -2.49 -3.55 SP500 1929.00 1.38 2668.44 1.00 2668.44 47062.26 17.64 -2.85 -5.02 SUGAR11 205.86 1.31 270.09 1.00 270.09 47062.26 174.25 7.45 129.82 US10 1105.62 0.49 544.23 1.00 544.23 47062.26 86.48 -9.51 -82.23 US10U 1162.50 0.64 747.89 1.00 747.89 47062.26 62.93 -6.92 -43.57 US20 1211.56 0.87 1049.90 1.00 1049.90 47062.26 44.83 -9.13 -40.91 US30 1296.88 1.22 1581.24 1.00 1581.24 47062.26 29.76 -10.32 -30.72 US5 1066.80 0.35 372.07 1.00 372.07 47062.26 126.49 -7.90 -99.96 VIX 275.50 2.08 573.83 1.00 573.83 47062.26 82.01 -3.68 -30.20 WHEAT 461.12 1.60 736.13 1.00 736.13 47062.26 63.93 -10.76 -68.77 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -68.649 0.007 2.5 -1.187 BITCOIN 345.252 0.010 2.5 8.803 BOBL 118.035 0.031 2.5 9.217 BTP 53.152 0.009 2.5 1.162 BUND 43.872 0.031 2.5 3.426 BUXL -11.131 0.036 2.5 -1.011 CAC 21.386 0.012 2.5 0.651 CAD -82.551 0.008 2.5 -1.595 CANOLA 212.193 0.004 2.5 2.108 CHF -90.011 0.016 2.5 -3.646 COCOA -60.122 0.009 2.5 -1.417 COFFEE -5.806 0.006 2.5 -0.081 COPPER 11.470 0.012 2.5 0.339 CORN 59.443 0.004 2.5 0.580 COTTON2 -21.164 0.007 2.5 -0.345 CRUDE_W 6.062 0.057 2.5 0.867 DAX 2.529 0.024 2.5 0.149 DOW 1.087 0.012 2.5 0.034 EUR -32.016 0.016 2.5 -1.297 EUROSTX 10.453 0.012 2.5 0.318 FEEDCOW -84.133 0.012 2.5 -2.447 FTSE100 -18.093 0.045 2.5 -2.019 GASOIL 19.974 0.031 2.5 1.542 GASOILINE 25.680 0.018 2.5 1.141 GAS_US -34.660 0.007 2.5 -0.565 GBP 17.889 0.008 2.5 0.346 GOLD_micro -317.696 0.010 2.5 -7.693 HEATOIL 15.424 0.031 2.5 1.191 JPY -76.472 0.028 2.5 -5.357 LEANHOG 132.794 0.020 2.5 6.714 LIVECOW -159.837 0.012 2.5 -4.648 MXP 271.278 0.005 2.5 3.594 NASDAQ -6.421 0.024 2.5 -0.377 NZD -24.932 0.007 2.5 -0.431 OAT 46.793 0.009 2.5 1.023 OJ 0.794 0.008 2.5 0.015 PALLAD -4.852 0.010 2.5 -0.126 PLAT 25.424 0.010 2.5 0.662 REDWHEAT -46.438 0.002 2.5 -0.268 ROBUSTA 17.202 0.006 2.5 0.241 RUSSELL -84.606 0.022 2.5 -4.743 SILVER-mini 25.402 0.010 2.5 0.615 SOYBEAN 64.641 0.026 2.5 4.125 SOYMEAL 68.626 0.026 2.5 4.379 SOYOIL 100.214 0.004 2.5 0.996 SP400 -3.555 0.022 2.5 -0.199 SP500 -5.024 0.012 2.5 -0.155 SUGAR11 129.816 0.006 2.5 1.906 US10 -82.228 0.017 2.5 -3.414 US10U -43.573 0.063 2.5 -6.871 US20 -40.907 0.032 2.5 -3.263 US30 -30.717 0.036 2.5 -2.791 US5 -99.960 0.017 2.5 -4.150 VIX -30.204 0.082 2.5 -6.160 WHEAT -68.775 0.002 2.5 -0.397 ==================== Position diags ==================== AUD 1.40 BITCOIN 18.05 BOBL 8.96 BTP 0.93 BUND 4.18 BUXL 1.84 CAC 2.14 CAD 2.12 CANOLA 3.73 CHF 2.50 COCOA 3.47 COFFEE 0.45 COPPER 0.96 CORN 1.65 COTTON2 0.73 CRUDE_W 4.30 DAX 20.57 DOW 7.82 EUR 2.12 EUROSTX 3.68 FEEDCOW 2.02 FTSE100 7.88 GASOIL 1.58 GASOILINE 0.98 GAS_US 0.32 GBP 1.33 GOLD_micro 7.69 HEATOIL 1.26 JPY 5.32 LEANHOG 4.25 LIVECOW 3.82 MXP 4.10 NASDAQ 0.69 NZD 1.56 OAT 1.12 OJ 1.73 PALLAD 0.27 PLAT 1.35 REDWHEAT 0.30 ROBUSTA 2.48 RUSSELL 19.27 SILVER-mini 1.18 SOYBEAN 4.80 SOYMEAL 5.70 SOYOIL 0.89 SP400 0.80 SP500 0.54 SUGAR11 2.56 US10 3.59 US10U 9.92 US20 3.58 US30 2.70 US5 5.25 VIX 16.73 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 -1.0 -1 BITCOIN 8.8 7.9 9.7 NaN 0 BOBL 9.2 8.3 10.1 5.0 5 BTP 1.2 1.0 1.3 1.0 1 BUND 3.4 3.1 3.8 2.0 2 BUXL -1.0 -1.1 -0.9 0.0 0 CAC 0.7 0.6 0.7 1.0 1 CAD -1.6 -1.8 -1.4 -1.0 -1 CANOLA 2.1 1.9 2.3 NaN 0 CHF -3.6 -4.0 -3.3 -2.0 -2 COCOA -1.4 -1.6 -1.3 NaN 0 COFFEE -0.1 -0.1 -0.1 NaN 0 COPPER 0.3 0.3 0.4 NaN 0 CORN 0.6 0.5 0.6 1.0 1 COTTON2 -0.3 -0.4 -0.3 NaN 0 CRUDE_W 0.9 0.8 1.0 2.0 2 DAX 0.1 0.1 0.2 NaN 0 DOW 0.0 0.0 0.0 -3.0 -3 EUR -1.3 -1.4 -1.2 -1.0 -1 EUROSTX 0.3 0.3 0.3 NaN 0 FEEDCOW -2.4 -2.7 -2.2 -2.0 -2 FTSE100 -2.0 -2.2 -1.8 0.0 0 GASOIL 1.5 1.4 1.7 1.0 1 GASOILINE 1.1 1.0 1.3 NaN 0 GAS_US -0.6 -0.6 -0.5 -1.0 -1 GBP 0.3 0.3 0.4 1.0 1 GOLD_micro -7.7 -8.5 -6.9 -4.0 -4 HEATOIL 1.2 1.1 1.3 2.0 2 JPY -5.4 -5.9 -4.8 -5.0 -5 LEANHOG 6.7 6.0 7.4 5.0 5 LIVECOW -4.6 -5.1 -4.2 -2.0 -2 MXP 3.6 3.2 4.0 NaN 0 NASDAQ -0.4 -0.4 -0.3 0.0 0 NZD -0.4 -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 0.7 0.6 0.7 NaN 0 REDWHEAT -0.3 -0.3 -0.2 NaN 0 ROBUSTA 0.2 0.2 0.3 -1.0 -1 RUSSELL -4.7 -5.2 -4.3 -3.0 -3 SILVER-mini 0.6 0.6 0.7 NaN 0 SOYBEAN 4.1 3.7 4.5 2.0 2 SOYMEAL 4.4 3.9 4.8 4.0 4 SOYOIL 1.0 0.9 1.1 1.0 1 SP400 -0.2 -0.2 -0.2 NaN 0 SP500 -0.2 -0.2 -0.1 NaN 0 SUGAR11 1.9 1.7 2.1 1.0 1 US10 -3.4 -3.8 -3.1 NaN 0 US10U -6.9 -7.6 -6.2 0.0 0 US20 -3.3 -3.6 -2.9 -1.0 -1 US30 -2.8 -3.1 -2.5 -7.0 -7 US5 -4.2 -4.6 -3.7 -10.0 -10 VIX -6.2 -6.8 -5.5 0.0 0 WHEAT -0.4 -0.4 -0.4 NaN 0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.1 -0.3 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 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 3.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.1 0.3 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 0.8 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 0.1 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 0.6 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 2.7 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 -1.7 0.2 0.0 0.0 0.1 CAC 0.2 -0.0 -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 -0.8 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.1 0.3 0.2 0.1 CAD 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 -0.1 -0.0 -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 0.2 -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 0.1 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 -0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.3 0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 1.9 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -2.7 0.1 0.1 0.0 0.0 COFFEE -0.2 -0.3 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 -0.3 0.7 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 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.1 0.1 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 0.2 0.3 -0.0 -0.0 CORN -0.0 0.2 0.3 -0.1 0.0 -0.1 -0.0 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 0.2 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 0.2 0.7 0.2 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -2.9 -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 0.2 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 -0.0 -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 0.1 0.3 0.2 0.1 DOW 0.3 -0.0 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.1 -0.2 0.0 -0.0 -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 0.2 0.1 EUR 0.2 0.1 0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.4 0.0 -0.2 -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 -0.1 0.1 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 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.7 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.7 0.0 0.2 0.2 0.1 FEEDCOW 0.1 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.2 -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 -0.1 0.2 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 1.5 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 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -2.7 -0.1 -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 -0.0 -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 0.1 -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 0.2 0.1 0.3 JPY 0.1 -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 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.0 0.0 0.1 1.4 0.8 0.4 0.4 0.1 0.0 0.0 0.0 0.0 0.8 -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 -0.0 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 -1.4 -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 0.1 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 1.4 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 0.3 0.3 0.3 NASDAQ 0.1 -0.2 -0.0 -0.0 0.0 -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 -0.3 -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 0.3 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.5 0.0 0.2 -0.1 -0.1 OAT 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 1.4 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 0.1 0.1 1.3 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 -0.1 -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 0.2 -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 1.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 0.0 0.4 0.3 0.2 REDWHEAT -0.1 0.2 -0.1 -0.1 0.0 -0.1 -0.0 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 0.1 0.3 0.1 ROBUSTA -0.2 -0.3 -0.0 -0.1 0.0 -0.1 -0.0 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 2.1 -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 0.0 -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 -0.0 -0.1 0.0 -0.2 0.0 4.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 0.0 0.1 0.3 -0.1 SOYBEAN 0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 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 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.0 0.1 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 -0.0 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 0.0 -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 -0.1 0.0 -0.4 0.0 -0.1 -0.0 0.0 SUGAR11 0.0 0.1 -0.0 -0.1 0.0 -0.1 -0.0 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 -1.0 -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 -0.0 -0.2 -0.3 -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 0.2 -0.0 -0.1 -0.1 -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 -0.0 -0.3 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 -0.2 -0.0 -0.2 -0.1 -0.1 US30 -0.1 -0.2 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 -0.0 -0.4 -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 -0.3 -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 0.6 -0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 0.2 -1.4 -0.2 -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 -0.1 -0.1 0.0 -0.1 -0.0 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 -0.0 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 0.2 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 5.9 -16.3 -10.5 -4.0 0.8 -5.1 1.5 -5.1 -1.0 2.4 -14.2 4.6 -13.5 -8.4 -12.1 -2.7 -1.5 -2.2 -1.8 -18.0 -19.2 2.8 -15.1 -7.6 -7.5 -0.0 -5.1 0.6 -5.5 0.9 -4.5 -2.1 -0.2 2.0 -7.7 -7.6 -2.3 BITCOIN 8.3 0.9 -15.1 -3.3 -1.5 -3.1 -1.8 -1.6 -2.5 9.5 -15.7 9.7 -15.6 -0.2 -9.0 -0.1 -1.6 -0.3 -0.7 -6.5 -20.0 8.9 -20.0 3.9 17.4 -0.0 -1.3 3.9 -5.7 4.8 -6.3 2.5 0.1 12.3 15.7 7.4 3.7 BOBL 10.3 -15.8 -16.5 -4.6 0.6 -5.2 0.1 -5.2 -2.5 4.6 -13.3 1.4 -12.1 -8.8 -13.3 20.0 18.1 20.0 20.0 -20.0 -20.0 7.2 -20.0 -6.4 9.1 -0.0 -4.8 2.0 -7.1 2.1 -8.2 -1.0 20.0 10.9 12.2 3.3 -1.8 BTP 16.6 -0.1 -2.4 -4.6 0.6 -5.2 0.1 -5.2 -2.5 6.8 -12.7 7.7 -12.8 -0.4 -9.9 20.0 13.2 19.5 17.4 -10.7 -19.1 16.6 -20.0 4.3 8.8 -0.0 -3.5 4.0 -7.0 5.2 -9.0 1.4 20.0 20.0 20.0 18.2 4.5 BUND 8.9 -14.3 -11.9 -4.6 0.6 -5.2 0.1 -5.2 -2.5 6.0 -13.4 2.9 -12.7 -7.8 -13.1 13.6 16.8 15.5 16.5 -20.0 -20.0 7.9 -20.0 -6.9 8.5 -0.0 -4.9 1.7 -6.7 1.9 -7.3 -1.2 20.0 12.8 10.4 0.4 -0.5 BUXL 1.8 -8.3 -1.6 -4.6 0.6 -5.2 0.1 -5.2 -2.5 8.4 -13.7 2.5 -13.0 -7.1 -12.6 6.7 -4.8 5.9 -0.2 -20.0 -20.0 6.0 -20.0 -8.9 6.4 -0.0 -5.1 1.4 -6.3 1.3 -6.4 -2.1 -12.8 14.3 1.6 0.5 4.2 CAC 20.0 -2.2 -2.0 -1.9 3.3 -3.2 4.4 -2.6 1.7 13.9 -3.7 15.5 -7.1 10.7 -0.6 1.1 4.7 1.6 2.9 3.4 -4.1 20.0 -3.7 16.1 -7.0 -0.0 0.8 6.1 -1.7 7.3 -1.7 5.1 8.4 6.8 14.5 15.0 9.0 CAD 9.7 -15.7 -14.6 -4.0 0.8 -5.1 1.5 -5.1 -1.0 6.1 -13.2 7.2 -13.2 -8.4 -11.7 -1.9 -0.5 -1.4 -0.9 -16.4 -18.3 4.4 -13.3 -5.1 -6.6 -0.0 -4.9 0.6 -5.7 1.0 -4.4 -1.6 1.5 -0.5 0.8 -7.4 -8.0 CANOLA 11.8 17.3 -12.0 -4.2 2.2 -3.3 -2.5 0.5 -4.2 9.2 -9.7 5.6 -0.3 14.2 5.9 18.0 12.6 5.2 6.4 4.6 -8.7 6.8 0.1 10.5 2.4 -0.0 3.6 4.0 0.6 2.4 2.6 3.9 -1.9 13.1 15.1 20.0 15.2 CHF -4.1 -11.1 -1.3 -4.0 0.8 -5.1 1.5 -5.1 -1.0 -6.8 -12.6 -8.3 -11.5 -12.5 -13.0 -12.6 -11.0 -12.3 -12.0 -14.0 -13.4 -5.6 -12.4 -10.5 -2.9 -0.0 -5.3 -2.4 -5.8 -1.9 -6.4 -3.7 -16.9 -19.4 -13.0 8.1 6.4 COCOA -0.2 1.1 -2.1 -4.2 2.2 -3.3 -2.5 0.5 -4.2 12.1 -11.8 -2.2 -12.3 1.2 -3.8 1.4 -3.9 0.2 -1.8 -4.3 -8.4 2.2 -10.6 -1.5 12.4 -0.0 -2.0 6.9 -5.0 2.1 -6.6 -0.4 -20.0 9.1 6.4 3.0 3.2 COFFEE -20.0 -20.0 -8.2 -4.2 2.2 -3.3 -2.5 0.5 -4.2 -10.0 -8.0 -14.6 0.4 -15.5 -11.4 9.5 5.3 10.5 8.8 -20.0 -12.5 -20.0 -1.5 -20.0 8.9 -0.0 -5.1 -5.3 -2.6 -7.5 -0.2 -7.4 -6.2 -20.0 -20.0 -20.0 -12.3 COPPER 7.9 9.3 -2.5 -3.3 -1.5 -3.1 -1.8 -1.6 -2.5 2.2 -12.7 2.1 -11.4 -1.7 -4.2 1.2 0.2 0.9 0.4 -6.4 -14.9 1.5 -15.9 -0.4 18.7 -0.0 -3.6 1.1 -6.9 1.4 -6.2 -0.1 2.4 10.6 11.9 -2.1 -3.4 CORN -1.2 12.3 15.9 -4.2 2.2 -3.3 -2.5 0.5 -4.2 11.3 2.5 -1.4 5.6 5.3 12.9 16.4 12.4 12.4 11.4 10.9 11.3 3.2 16.0 5.7 -20.0 -0.0 4.0 4.8 6.1 1.8 10.5 2.0 1.9 8.4 12.9 11.8 20.0 COTTON2 -14.8 -20.0 -20.0 -4.2 2.2 -3.3 -2.5 0.5 -4.2 -6.3 -13.3 -13.4 1.6 -15.7 -15.4 3.1 19.9 10.9 17.6 -20.0 -19.1 -20.0 -1.3 -20.0 -11.7 -0.0 -5.5 -2.3 -2.9 -4.5 1.5 -5.6 15.4 -20.0 -20.0 -20.0 -17.7 CRUDE_W 10.0 1.1 -15.4 -1.1 -1.3 0.5 0.5 6.8 0.4 9.4 -6.2 3.7 4.2 8.5 1.4 6.7 14.6 9.2 12.3 0.9 -2.5 8.0 5.3 7.4 10.6 -0.0 0.9 2.9 0.9 3.8 7.2 3.4 -20.0 12.2 9.8 4.2 8.8 DAX 20.0 -1.2 -3.7 -1.9 3.3 -3.2 4.4 -2.6 1.7 14.1 -9.0 15.7 -11.1 8.8 -1.9 -3.5 -1.0 -2.6 -1.8 1.4 -10.8 20.0 -14.3 17.4 1.7 -0.0 0.9 7.0 -3.1 8.5 -5.1 5.9 -0.6 11.0 15.1 17.3 4.8 DOW 20.0 -2.2 0.3 -1.9 3.3 -3.2 4.4 -2.6 1.7 11.1 -6.5 14.3 -7.7 8.9 -1.8 -4.4 -1.0 -3.7 -2.7 3.0 -6.7 20.0 -7.3 20.0 -1.8 -0.0 0.7 6.6 -1.9 8.5 -1.7 5.5 -1.4 20.0 20.0 11.9 7.1 EUR 12.9 8.6 2.9 -4.0 0.8 -5.1 1.5 -5.1 -1.0 -3.7 -13.3 2.1 -14.7 0.7 -7.1 -7.6 -8.3 -8.1 -8.5 -7.7 -17.1 3.5 -20.0 1.6 8.4 -0.0 -3.8 -1.7 -8.7 1.8 -11.9 0.8 -11.8 -8.1 6.0 16.4 -3.4 EUROSTX 20.0 -1.6 -1.8 -1.9 3.3 -3.2 4.4 -2.6 1.7 14.1 -6.8 15.7 -9.9 9.7 -1.7 -0.6 3.1 0.1 1.2 2.5 -6.5 20.0 -8.2 16.4 -5.1 -0.0 1.2 7.4 -1.9 8.5 -3.1 5.9 5.5 14.0 13.1 17.5 9.1 FEEDCOW 12.5 -17.3 -3.9 -4.2 2.2 -3.3 -2.5 0.5 -4.2 -11.2 -2.4 6.5 -1.3 -3.7 -7.1 -14.4 -20.0 -15.4 -20.0 -6.5 -5.9 0.7 -2.9 -0.9 2.3 -0.0 -3.0 -3.1 -2.7 0.1 -1.1 -0.7 -20.0 4.6 16.4 -16.6 -0.0 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 4.5 1.5 -12.0 -1.1 -1.3 0.5 0.5 6.8 0.4 -6.1 7.5 -4.0 11.0 4.8 4.4 20.0 20.0 20.0 20.0 7.4 10.0 1.0 18.9 6.6 -4.6 -0.0 2.9 -2.9 3.9 0.4 8.7 2.7 0.0 -4.3 12.0 8.6 14.2 GASOILINE 10.1 2.0 -20.0 -1.1 -1.3 0.5 0.5 6.8 0.4 8.9 -5.5 6.7 5.0 8.9 -4.2 20.0 20.0 20.0 20.0 -0.3 -1.5 9.6 11.5 7.6 1.3 -0.0 0.9 4.7 1.8 5.1 10.8 4.0 10.8 20.0 6.9 11.3 1.2 GAS_US -12.8 -20.0 -10.1 -1.1 -1.3 0.5 0.5 6.8 0.4 3.0 -3.6 -7.5 3.7 -13.5 -10.9 -20.0 -9.8 -20.0 -13.8 -20.0 -8.7 -11.1 5.0 -20.0 -11.0 -0.0 -4.2 -0.4 -0.0 -2.9 4.6 -5.2 -20.0 -8.9 -20.0 -20.0 17.6 GBP 20.0 14.6 3.1 -4.0 0.8 -5.1 1.5 -5.1 -1.0 5.3 -10.8 10.4 -12.9 7.9 -3.4 -1.5 -1.3 -1.6 -1.6 -6.2 -16.0 11.1 -18.0 6.4 16.7 -0.0 -3.9 1.0 -7.1 2.7 -7.6 0.5 0.2 -0.6 14.0 3.2 -11.5 GOLD_micro -4.4 -3.3 -12.6 -3.3 -1.5 -3.1 -1.8 -1.6 -2.5 -2.4 -14.5 -10.2 -12.8 -9.7 -12.4 -10.4 -7.2 -9.7 -8.7 -15.7 -18.6 -7.1 -14.6 -10.6 10.3 -0.0 -5.3 -1.9 -5.5 -2.5 -3.7 -3.7 -11.5 -6.5 -6.9 -14.3 -14.0 HEATOIL 8.7 -1.1 -18.7 -1.1 -1.3 0.5 0.5 6.8 0.4 -2.0 5.4 1.0 10.0 8.2 3.6 20.0 20.0 20.0 20.0 6.7 8.7 4.1 18.3 8.1 -14.8 -0.0 3.3 -1.8 5.8 1.6 13.2 3.2 5.2 -0.6 14.4 6.2 19.1 JPY 4.9 -7.4 -12.4 -4.0 0.8 -5.1 1.5 -5.1 -1.0 -0.9 -16.2 -5.7 -16.0 -10.8 -14.9 -14.1 -9.5 -13.0 -11.6 -20.0 -20.0 -6.4 -20.0 -15.1 20.0 -0.0 -6.2 -1.2 -8.0 -1.5 -9.6 -3.8 -15.2 -6.1 -20.0 -10.8 -11.4 LEANHOG 20.0 2.1 -4.0 -4.2 2.2 -3.3 -2.5 0.5 -4.2 -9.0 -6.0 11.4 -1.3 11.5 6.0 16.7 20.0 20.0 20.0 7.4 0.8 11.2 2.7 15.2 5.6 -0.0 1.4 -0.7 -0.3 2.9 0.7 3.9 20.0 9.2 20.0 11.1 10.8 LIVECOW 20.0 3.0 9.8 -4.2 2.2 -3.3 -2.5 0.5 -4.2 -3.6 2.7 9.5 -3.4 10.1 9.3 -20.0 -20.0 -20.0 -20.0 9.9 3.9 11.7 -1.1 15.2 -8.6 -0.0 3.7 -1.2 2.2 4.5 1.3 5.7 -20.0 20.0 20.0 13.9 20.0 MXP 6.4 3.7 10.9 -4.0 0.8 -5.1 1.5 -5.1 -1.0 14.0 15.3 15.4 14.5 15.2 15.7 18.4 19.7 18.1 18.8 10.9 11.5 14.4 12.7 12.1 -20.0 -0.0 5.3 9.8 4.0 8.9 4.2 7.0 20.0 8.1 15.4 20.0 20.0 NASDAQ 10.8 -12.8 -0.0 -1.9 3.3 -3.2 4.4 -2.6 1.7 1.2 -12.7 6.9 -12.0 -7.5 -11.0 -4.6 -2.6 -4.3 -3.6 -12.1 -15.0 2.4 -13.6 -4.1 8.7 -0.0 -4.2 0.0 -5.2 1.0 -4.0 -1.3 -3.6 -14.5 -19.7 -8.8 -3.0 NZD 18.2 -11.3 -5.9 -4.0 0.8 -5.1 1.5 -5.1 -1.0 13.0 -14.1 13.9 -14.2 -4.5 -10.9 -0.9 0.9 -0.5 0.1 -14.8 -20.0 13.4 -19.8 0.9 1.9 -0.0 -4.3 3.4 -6.1 3.4 -5.6 -0.0 3.7 11.8 11.0 -4.9 -3.8 OAT 12.0 -8.5 -3.4 -4.6 0.6 -5.2 0.1 -5.2 -2.5 5.4 -13.1 4.8 -12.7 -6.3 -12.1 17.3 11.1 13.8 12.9 -17.9 -20.0 10.6 -20.0 -3.2 12.3 -0.0 -4.6 2.0 -6.8 2.7 -8.0 -0.6 15.2 19.3 15.2 3.5 1.3 OJ 13.6 20.0 11.7 -4.2 2.2 -3.3 -2.5 0.5 -4.2 7.1 14.8 12.8 13.7 15.0 15.2 18.2 10.8 17.0 15.3 20.0 20.0 15.2 19.4 20.0 -20.0 -0.0 6.2 1.5 6.0 2.9 5.4 5.0 4.3 12.2 20.0 20.0 20.0 PALLAD -20.0 -6.9 3.3 -3.3 -1.5 -3.1 -1.8 -1.6 -2.5 -10.6 -9.0 -14.5 -5.0 -14.2 -5.4 -1.8 -1.0 -1.5 -1.3 -10.3 -4.4 -20.0 -4.0 -19.5 -2.3 -0.0 -3.4 -6.8 -0.8 -8.4 -0.5 -7.0 0.0 -20.0 -20.0 -2.2 10.8 PLAT 8.8 13.8 9.3 -3.3 -1.5 -3.1 -1.8 -1.6 -2.5 8.0 -4.6 9.7 -8.6 12.2 8.4 0.7 -0.4 0.2 -0.1 7.0 0.0 11.1 -5.0 11.4 6.8 -0.0 2.6 3.5 -1.2 5.7 -3.8 5.5 1.5 15.2 20.0 20.0 10.5 REDWHEAT -6.5 14.8 -6.8 -4.2 2.2 -3.3 -2.5 0.5 -4.2 11.0 -8.7 -5.2 -2.4 1.6 4.1 0.9 -1.3 0.5 -0.1 1.9 -1.5 5.6 2.1 2.1 -14.6 -0.0 2.3 10.3 2.8 3.8 6.0 1.7 -19.4 16.3 3.6 20.0 9.7 ROBUSTA -20.0 -20.0 -0.5 -4.2 2.2 -3.3 -2.5 0.5 -4.2 -13.9 -4.9 -15.8 5.6 -16.2 -9.5 7.1 6.1 6.7 6.2 -20.0 -8.2 -20.0 2.8 -20.0 1.4 9.5 -4.4 -5.6 -1.4 -7.7 0.5 -7.3 -7.6 -20.0 -20.0 -20.0 5.9 RUSSELL 17.6 -7.0 7.7 -1.9 3.3 -3.2 4.4 -2.6 1.7 12.8 -8.8 14.1 -11.0 2.0 -6.0 -4.0 -1.6 -3.4 -2.6 -1.7 -7.8 20.0 -10.0 10.0 -3.4 -0.0 -0.4 6.9 -2.3 7.6 -2.5 3.9 -1.8 5.1 3.0 7.4 11.0 SILVER-mini -4.7 11.9 4.2 -3.3 -1.5 -3.1 -1.8 -1.6 -2.5 11.4 -12.0 -2.8 -12.2 -2.7 -3.3 -2.9 -2.6 -3.1 -3.0 -3.5 -10.0 3.9 -13.3 0.5 18.7 -0.0 -1.5 3.3 -6.1 2.4 -8.5 1.2 -2.8 13.4 4.3 20.0 -8.1 SOYBEAN 2.3 0.3 1.0 -4.2 2.2 -3.3 -2.5 0.5 -4.2 13.3 -2.2 9.5 3.4 3.8 5.4 12.2 20.0 17.9 20.0 0.3 -0.5 10.7 5.4 3.8 -14.8 -0.0 2.4 15.5 4.7 8.1 10.8 3.4 20.0 20.0 13.2 11.1 13.4 SOYMEAL 4.4 -3.3 2.4 -4.2 2.2 -3.3 -2.5 0.5 -4.2 13.8 -3.2 12.8 6.9 -2.1 2.2 15.9 14.6 14.4 15.5 0.5 1.8 11.4 5.6 3.8 -8.5 -0.0 2.6 9.9 4.5 7.1 8.1 3.4 8.1 20.0 16.2 10.6 19.8 SOYOIL 20.0 9.5 4.0 -4.2 2.2 -3.3 -2.5 0.5 -4.2 13.6 -0.9 15.1 4.0 14.4 12.1 20.0 20.0 20.0 20.0 12.2 5.3 20.0 9.7 20.0 -20.0 -0.0 5.1 7.8 3.9 8.0 5.8 7.1 19.4 20.0 20.0 20.0 20.0 SP400 17.5 -7.6 3.0 -1.9 3.3 -3.2 4.4 -2.6 1.7 13.4 -8.1 14.5 -8.4 1.5 -5.2 0.3 -1.2 -0.1 -0.7 -1.6 -7.1 19.8 -7.2 10.0 -5.5 -0.0 -0.3 6.8 -1.9 7.3 -1.3 3.8 0.0 2.9 3.9 7.8 12.0 SP500 17.7 -10.2 -0.8 -1.9 3.3 -3.2 4.4 -2.6 1.7 7.9 -10.9 11.5 -9.7 -2.9 -8.3 -4.5 -2.5 -4.1 -3.3 -6.6 -11.4 13.3 -9.7 4.7 6.5 -0.0 -2.4 3.4 -4.4 4.7 -3.9 1.7 -3.1 0.5 -3.6 -1.5 1.9 SUGAR11 1.2 7.7 -3.0 -4.2 2.2 -3.3 -2.5 0.5 -4.2 2.2 -7.3 -2.6 -5.5 0.4 -1.4 20.0 15.1 20.0 20.0 0.2 -2.0 -4.0 -1.3 -1.9 -5.8 -0.0 0.8 4.4 0.3 -2.5 0.6 -1.3 11.3 -15.7 12.8 10.8 7.5 US10 -0.6 -13.3 -16.3 -4.6 0.6 -5.2 0.1 -5.2 -2.5 1.0 -14.7 -4.1 -14.1 -11.2 -14.3 -4.2 2.9 -3.1 -1.1 -20.0 -20.0 -3.4 -20.0 -15.5 -4.6 -0.0 -5.6 -0.4 -6.2 -0.6 -6.3 -3.2 -4.6 -5.2 -1.6 -4.4 -5.0 US10U -3.5 -15.1 -15.4 -4.6 0.6 -5.2 0.1 -5.2 -2.5 3.4 -14.7 -4.8 -13.7 -11.6 -14.3 -0.2 6.2 0.8 2.7 -20.0 -20.0 -3.5 -20.0 -17.0 -5.6 -0.0 -5.6 0.3 -6.0 -0.6 -5.8 -3.5 1.7 -6.1 -4.3 -4.4 -2.9 US20 -8.8 -19.9 -16.7 -4.6 0.6 -5.2 0.1 -5.2 -2.5 4.3 -15.0 -6.8 -13.9 -12.1 -14.7 1.3 3.1 1.7 2.2 -20.0 -20.0 -11.1 -20.0 -20.0 -6.7 -0.0 -5.9 -0.3 -5.5 -2.2 -4.9 -4.7 -1.7 -20.0 -18.1 -9.8 -5.9 US30 -7.7 -15.4 -13.1 -4.6 0.6 -5.2 0.1 -5.2 -2.5 8.4 -15.7 -5.5 -15.2 -11.4 -14.6 -1.2 0.8 -0.7 -0.3 -20.0 -20.0 -7.8 -20.0 -20.0 -4.1 -0.0 -5.9 0.9 -5.8 -1.8 -5.7 -4.8 -5.7 -14.7 -17.9 -2.4 -1.7 US5 0.7 -13.4 -15.2 -4.6 0.8 -5.1 0.2 -5.1 -2.6 3.7 -14.5 -2.6 -14.3 -10.9 -13.9 -4.6 5.0 -3.5 -0.6 -20.0 -20.0 -0.4 -20.0 -14.5 -1.9 -0.0 -5.5 0.6 -6.4 0.1 -7.0 -3.0 -2.0 0.1 0.7 -4.1 -7.2 VIX -9.6 11.6 -1.6 -0.3 -9.4 0.0 -8.5 -0.9 -3.8 -14.1 -4.6 -14.8 -6.0 -1.7 1.3 1.1 -17.5 -3.7 -10.1 -0.3 -0.5 -20.0 -3.4 -9.6 NaN -0.0 -0.4 -10.9 0.1 -9.8 -1.1 -4.5 NaN NaN NaN NaN NaN WHEAT -2.0 11.8 -8.7 -4.2 2.2 -3.3 -2.5 0.5 -4.2 11.9 -9.5 -0.7 -4.7 4.8 5.0 -2.7 -3.6 -3.4 -3.6 1.2 -4.1 8.8 -0.7 4.1 -14.6 -0.0 1.9 13.1 2.0 6.0 5.4 2.6 -20.0 20.0 8.6 18.5 4.7 End of report for caleb_strategy_v1