******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221102_204239 produced at 2022-11-02 21:35:07.205236 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 38472798.17 -38472798.17 0.00 0.00 -7.06 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.35 -0.16 0.0 35296977.56 -35296977.56 -0.35 -0.35 -4.50 999999999 -10 -10 caleb_strategy_v1 CHF False False 0.04 -0.08 -0.16 0.0 41571362.07 -41571362.07 -0.08 -0.08 -3.76 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.15 0.0 28216842.00 -28216842.00 -0.14 -0.14 -5.32 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.13 0.0 36637303.48 -36637303.48 0.00 0.00 -3.51 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.13 0.0 39986822.03 -39986822.03 -0.04 -0.04 -3.29 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.04 -0.30 -0.12 0.0 42817839.25 -42817839.25 -0.30 -0.30 -2.80 999999999 -7 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.10 0.0 20564177.27 -20564177.27 -0.04 -0.04 -4.81 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.07 0.0 30230701.14 -30230701.14 -0.06 -0.06 -2.48 999999999 -2 -2 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.06 0.0 40909754.38 -40909754.38 -0.04 -0.04 -1.39 999999999 -1 -1 caleb_strategy_v1 VIX False False 0.01 0.00 -0.06 0.0 9258359.62 -9258359.62 0.00 0.00 -6.94 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 47225081.15 -47225081.15 0.00 0.00 -1.02 999999999 0 0 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 26732410.83 -26732410.83 0.00 0.00 -2.02 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 5442189.89 -5442189.89 -0.02 -0.02 -7.93 999999999 -4 -4 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.04 0.0 24221063.40 -24221063.40 -0.02 -0.02 -1.62 999999999 -1 -1 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.03 0.0 21128306.71 -21128306.71 -0.02 -0.02 -1.20 999999999 -1 -1 caleb_strategy_v1 NASDAQ False False 0.07 0.00 -0.03 0.0 72515521.03 -72515521.03 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 78802245.87 -78802245.87 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14712993.54 -14712993.54 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.01 0.0 2974787.27 -2974787.27 -0.01 -0.01 -4.96 999999999 -3 -3 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 19336366.14 -19336366.14 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.01 0.0 6235289.51 -6235289.51 -0.01 -0.01 -0.87 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7944269.87 -7944269.87 0.00 0.00 -1.27 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 21606157.53 -21606157.53 -0.02 -0.02 -0.55 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 61456924.81 -61456924.81 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 62456595.36 -62456595.36 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10204106.04 -10204106.04 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.00 0.0 5335005.29 -5335005.29 -0.01 -0.01 -0.10 999999999 -2 -2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 11677462.75 -11677462.75 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15579927.75 -15579927.75 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 DAX False False 0.00 0.00 -0.00 0.0 4291084.40 -4291084.40 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 13047982.09 -13047982.09 0.00 0.00 -0.33 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21969938.06 -21969938.06 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 23662326.38 -23662326.38 0.02 0.02 0.33 999999999 1 1 caleb_strategy_v1 CAC False False 0.02 0.02 0.01 0.0 20291262.77 -20291262.77 0.02 0.02 0.57 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4337760.36 -4337760.36 0.00 0.00 2.35 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 672475.48 -672475.48 0.00 0.00 9.03 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.01 0.01 0.0 10365878.45 -10365878.45 0.01 0.01 0.54 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 28534164.81 -28534164.81 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15588223.77 -15588223.77 0.00 0.00 0.64 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 16602412.36 -16602412.36 0.00 0.00 0.61 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 6864592.49 -6864592.49 0.01 0.01 1.95 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 14170267.84 -14170267.84 0.01 0.01 0.94 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8362389.34 -8362389.34 0.00 0.00 3.76 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.03 0.0 26099282.59 -26099282.59 0.05 0.05 1.00 999999999 2 2 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 37452013.33 -37452013.33 0.04 0.04 1.20 999999999 1 1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 0.04 0.0 35682315.30 -35682315.30 0.00 0.00 1.18 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.05 0.0 43240199.98 -43240199.98 0.00 0.00 1.05 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.06 0.0 47738093.26 -47738093.26 0.10 0.10 1.22 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.01 0.05 0.06 0.0 13555698.59 -13555698.59 0.05 0.05 4.57 999999999 4 4 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.06 0.0 33856062.39 -33856062.39 0.03 0.03 1.67 999999999 1 1 caleb_strategy_v1 LEANHOG False False 0.01 0.06 0.07 0.0 11571290.32 -11571290.32 0.06 0.06 6.35 999999999 5 5 caleb_strategy_v1 NIKKEI False False 0.01 0.06 0.07 0.0 6132434.84 -6132434.84 0.06 0.06 12.12 999999999 9 9 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.10 0.0 23241303.30 -23241303.30 0.05 0.05 4.47 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.09 0.16 0.0 45079375.90 -45079375.90 0.09 0.09 3.45 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.19 0.36 0.0 38994442.78 -38994442.78 0.19 0.19 9.32 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 11.2 Shocked risk 22.8 Sum abs risk 41.8 Leverage 2.92 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3013492.79, 'annual_cash_vol_target': 753373.1975, 'daily_cash_vol_target': 47085.82484375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0057 0.6367 0.9000 14.4000 BITCOIN 656.6310 20265.0000 3.2402 51.8436 BOBL 0.4105 119.5800 0.3433 5.4927 BTP 1.0937 114.8500 0.9523 15.2367 BUND 0.8753 138.2400 0.6332 10.1304 BUXL 2.2952 144.8200 1.5848 25.3576 CAC 69.8380 6222.5000 1.1223 17.9575 CAD 0.0043 0.7299 0.5873 9.3968 CANOLA 8.7494 895.7000 0.9768 15.6291 CHF 0.0060 1.0022 0.5992 9.5876 COCOA 32.4420 2394.0000 1.3551 21.6822 COFFEE 0.0408 1.7655 2.3127 37.0035 COPPER 0.0571 3.4395 1.6601 26.5623 CORN 5.5618 624.7500 0.8902 14.2440 COTTON2 0.0222 0.7864 2.8261 45.2170 CRUDE_W 1.5414 78.6500 1.9598 31.3564 DAX 139.2430 13159.0000 1.0582 16.9305 DOW 377.5471 32154.0000 1.1742 18.7869 EUR 0.0071 0.9862 0.7215 11.5435 EUROSTX 41.1811 3581.0000 1.1500 18.3998 FEEDCOW 1.3630 182.2000 0.7481 11.9689 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 21.8985 1020.2500 2.1464 34.3422 GASOILINE 0.0508 2.5602 1.9836 31.7383 GAS_US 0.2469 6.5110 3.7915 60.6635 GBP 0.0108 1.1409 0.9509 15.2142 GOLD_micro 14.6315 1640.0000 0.8922 14.2747 HEATOIL 0.0681 3.4252 1.9889 31.8220 JPY 0.0000 0.0068 0.7189 11.5024 LEANHOG 1.3959 87.1750 1.6013 25.6206 LIVECOW 0.8848 154.9250 0.5711 9.1381 MXP 0.0003 0.0504 0.5939 9.5025 NASDAQ 207.6380 10926.2500 1.9004 30.4058 NZD 0.0052 0.5827 0.8839 14.1422 OAT 0.9122 132.6000 0.6879 11.0066 OJ 0.0337 2.0500 1.6428 26.2851 PALLAD 44.3183 1852.0000 2.3930 38.2880 PLAT 18.0374 939.5000 1.9199 30.7182 REDWHEAT 19.6321 939.0000 2.0907 33.4518 ROBUSTA 28.0256 1879.0000 1.4915 23.8643 RUSSELL 29.1727 1792.9000 1.6271 26.0339 SILVER-mini 0.3872 20.0125 1.9348 30.9561 SOYBEAN 12.4246 1400.7500 0.8870 14.1920 SOYMEAL 5.1695 408.5000 1.2655 20.2478 SOYOIL 0.9377 71.1700 1.3176 21.0808 SP400 35.0059 2374.7000 1.4741 23.5859 SP500 54.9545 3764.2500 1.4599 23.3585 SUGAR11 0.0024 0.1847 1.3000 20.8004 US10 0.5323 110.4062 0.4821 7.7136 US10U 0.7330 115.9375 0.6323 10.1160 US20 1.0344 120.5000 0.8585 13.7353 US30 1.5604 129.0312 1.2093 19.3495 US5 0.3564 106.3672 0.3351 5.3611 VIX 0.5711 27.9000 2.0471 32.7538 WHEAT 16.3938 886.7500 1.8487 29.5800 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 636.70 0.90 573.03 1.00 573.03 47085.82 82.17 -8.47 -69.63 BITCOIN 20.26 3.24 65.66 1.00 65.66 47085.82 717.08 4.94 354.24 BOBL 1195.80 0.34 410.51 0.99 405.36 47085.82 116.16 10.27 119.35 BTP 1148.50 0.95 1093.71 0.99 1079.99 47085.82 43.60 12.56 54.78 BUND 1382.40 0.63 875.27 0.99 864.28 47085.82 54.48 8.11 44.19 BUXL 1448.20 1.58 2295.18 0.99 2266.37 47085.82 20.78 -5.43 -11.27 CAC 622.25 1.12 698.38 0.99 689.62 47085.82 68.28 2.75 18.77 CAD 729.90 0.59 428.67 1.00 428.67 47085.82 109.84 -7.63 -83.79 CANOLA 179.14 0.98 174.99 0.73 128.38 47085.82 366.77 6.44 236.09 CHF 1252.75 0.60 750.68 1.00 750.68 47085.82 62.72 -14.78 -92.72 COCOA 239.40 1.36 324.42 1.00 324.42 47085.82 145.14 -3.70 -53.67 COFFEE 662.06 2.31 1531.17 1.00 1531.17 47085.82 30.75 -2.08 -6.41 COPPER 859.88 1.66 1427.52 1.00 1427.52 47085.82 32.98 3.62 11.92 CORN 312.38 0.89 278.09 1.00 278.09 47085.82 169.32 3.29 55.66 COTTON2 393.20 2.83 1111.21 1.00 1111.21 47085.82 42.37 -4.84 -20.50 CRUDE_W 786.50 1.96 1541.36 1.00 1541.36 47085.82 30.55 2.28 6.96 DAX 131.59 1.06 139.24 0.99 137.50 47085.82 342.45 -0.07 -2.55 DOW 160.77 1.17 188.77 1.00 188.77 47085.82 249.43 -0.13 -3.14 EUR 1232.81 0.72 889.43 1.00 889.43 47085.82 52.94 -6.46 -34.22 EUROSTX 358.10 1.15 411.81 0.99 406.64 47085.82 115.79 0.71 8.18 FEEDCOW 911.00 0.75 681.48 1.00 681.48 47085.82 69.09 -12.34 -85.24 FTSE100 706.85 0.82 576.59 1.15 666.67 47085.82 70.63 -2.56 -18.10 GASOIL 1020.25 2.15 2189.85 1.00 2189.85 47085.82 21.50 10.03 21.58 GASOILINE 1075.28 1.98 2132.98 1.00 2132.98 47085.82 22.08 12.00 26.48 GAS_US 651.10 3.79 2468.62 1.00 2468.62 47085.82 19.07 -17.57 -33.51 GBP 713.06 0.95 678.04 1.00 678.04 47085.82 69.44 2.43 16.86 GOLD_micro 164.00 0.89 146.32 1.00 146.32 47085.82 321.81 -10.18 -327.54 HEATOIL 1438.58 1.99 2861.17 1.00 2861.17 47085.82 16.46 9.60 15.80 JPY 850.31 0.72 611.29 1.00 611.29 47085.82 77.03 -9.86 -75.96 LEANHOG 348.70 1.60 558.37 1.00 558.37 47085.82 84.33 14.90 125.66 LIVECOW 619.70 0.57 353.93 1.00 353.93 47085.82 133.04 -12.42 -165.26 MXP 252.00 0.59 149.66 1.00 149.66 47085.82 314.61 9.01 283.53 NASDAQ 2185.25 1.90 4152.76 1.00 4152.76 47085.82 11.34 -5.99 -6.79 NZD 582.70 0.88 515.04 1.00 515.04 47085.82 91.42 -2.59 -23.66 OAT 1326.00 0.69 912.17 0.99 900.72 47085.82 52.28 9.18 48.01 OJ 307.50 1.64 505.17 1.00 505.17 47085.82 93.21 -0.15 -1.42 PALLAD 1852.00 2.39 4431.83 1.00 4431.83 47085.82 10.62 -4.93 -5.24 PLAT 469.75 1.92 901.87 1.00 901.87 47085.82 52.21 4.73 24.67 REDWHEAT 469.50 2.09 981.60 1.00 981.60 47085.82 47.97 -9.29 -44.58 ROBUSTA 187.90 1.49 280.26 1.00 280.26 47085.82 168.01 -3.69 -62.00 RUSSELL 89.64 1.63 145.86 1.00 145.86 47085.82 322.81 -2.74 -88.53 SILVER-mini 500.31 1.93 967.98 1.00 967.98 47085.82 48.64 5.21 25.33 SOYBEAN 700.38 0.89 621.23 1.00 621.23 47085.82 75.79 9.24 70.05 SOYMEAL 408.50 1.27 516.95 1.00 516.95 47085.82 91.08 7.86 71.63 SOYOIL 427.02 1.32 562.62 1.00 562.62 47085.82 83.69 11.27 94.28 SP400 2374.70 1.47 3500.59 1.00 3500.59 47085.82 13.45 -2.63 -3.54 SP500 1882.12 1.46 2747.72 1.00 2747.72 47085.82 17.14 -3.20 -5.49 SUGAR11 206.86 1.30 268.93 1.00 268.93 47085.82 175.09 7.60 133.04 US10 1104.06 0.48 532.27 1.00 532.27 47085.82 88.46 -9.56 -84.58 US10U 1159.38 0.63 733.02 1.00 733.02 47085.82 64.24 -6.97 -44.80 US20 1205.00 0.86 1034.44 1.00 1034.44 47085.82 45.52 -9.06 -41.23 US30 1290.31 1.21 1560.43 1.00 1560.43 47085.82 30.17 -10.22 -30.83 US5 1063.67 0.34 356.40 1.00 356.40 47085.82 132.11 -8.21 -108.48 VIX 279.00 2.05 571.14 1.00 571.14 47085.82 82.44 -4.13 -34.05 WHEAT 443.38 1.85 819.69 1.00 819.69 47085.82 57.44 -10.91 -62.68 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -69.635 0.007 2.5 -1.204 BITCOIN 354.240 0.010 2.5 9.032 BOBL 119.348 0.031 2.5 9.320 BTP 54.779 0.009 2.5 1.197 BUND 44.193 0.031 2.5 3.451 BUXL -11.273 0.036 2.5 -1.024 CAC 18.773 0.012 2.5 0.571 CAD -83.794 0.008 2.5 -1.619 CANOLA 236.094 0.004 2.5 2.345 CHF -92.719 0.016 2.5 -3.755 COCOA -53.665 0.009 2.5 -1.265 COFFEE -6.407 0.006 2.5 -0.090 COPPER 11.924 0.012 2.5 0.353 CORN 55.656 0.004 2.5 0.543 COTTON2 -20.497 0.007 2.5 -0.334 CRUDE_W 6.965 0.057 2.5 0.996 DAX -2.548 0.024 2.5 -0.150 DOW -3.145 0.012 2.5 -0.097 EUR -34.222 0.016 2.5 -1.386 EUROSTX 8.184 0.012 2.5 0.249 FEEDCOW -85.236 0.012 2.5 -2.479 FTSE100 -18.103 0.045 2.5 -2.020 GASOIL 21.577 0.031 2.5 1.666 GASOILINE 26.484 0.018 2.5 1.177 GAS_US -33.511 0.007 2.5 -0.546 GBP 16.856 0.008 2.5 0.326 GOLD_micro -327.542 0.010 2.5 -7.931 HEATOIL 15.804 0.031 2.5 1.220 JPY -75.961 0.028 2.5 -5.321 LEANHOG 125.663 0.020 2.5 6.354 LIVECOW -165.260 0.012 2.5 -4.806 MXP 283.531 0.005 2.5 3.757 NASDAQ -6.794 0.024 2.5 -0.399 NZD -23.656 0.007 2.5 -0.409 OAT 48.011 0.009 2.5 1.049 OJ -1.415 0.008 2.5 -0.027 PALLAD -5.237 0.010 2.5 -0.136 PLAT 24.671 0.010 2.5 0.642 REDWHEAT -44.578 0.002 2.5 -0.258 ROBUSTA -62.001 0.006 2.5 -0.870 RUSSELL -88.526 0.022 2.5 -4.962 SILVER-mini 25.327 0.010 2.5 0.613 SOYBEAN 70.051 0.026 2.5 4.470 SOYMEAL 71.635 0.026 2.5 4.571 SOYOIL 94.277 0.004 2.5 0.937 SP400 -3.543 0.022 2.5 -0.199 SP500 -5.490 0.012 2.5 -0.169 SUGAR11 133.036 0.006 2.5 1.954 US10 -84.579 0.017 2.5 -3.512 US10U -44.804 0.063 2.5 -7.065 US20 -41.234 0.032 2.5 -3.289 US30 -30.833 0.036 2.5 -2.801 US5 -108.482 0.017 2.5 -4.504 VIX -34.050 0.082 2.5 -6.944 WHEAT -62.677 0.002 2.5 -0.362 ==================== Position diags ==================== AUD 1.42 BITCOIN 18.28 BOBL 9.07 BTP 0.95 BUND 4.25 BUXL 1.89 CAC 2.08 CAD 2.12 CANOLA 3.64 CHF 2.54 COCOA 3.42 COFFEE 0.43 COPPER 0.98 CORN 1.65 COTTON2 0.69 CRUDE_W 4.37 DAX 20.13 DOW 7.69 EUR 2.14 EUROSTX 3.52 FEEDCOW 2.01 FTSE100 7.88 GASOIL 1.66 GASOILINE 0.98 GAS_US 0.31 GBP 1.34 GOLD_micro 7.79 HEATOIL 1.27 JPY 5.40 LEANHOG 4.26 LIVECOW 3.87 MXP 4.17 NASDAQ 0.67 NZD 1.58 OAT 1.14 OJ 1.76 PALLAD 0.28 PLAT 1.36 REDWHEAT 0.28 ROBUSTA 2.36 RUSSELL 18.09 SILVER-mini 1.18 SOYBEAN 4.84 SOYMEAL 5.81 SOYOIL 0.83 SP400 0.75 SP500 0.53 SUGAR11 2.57 US10 3.67 US10U 10.13 US20 3.63 US30 2.74 US5 5.49 VIX 16.81 WHEAT 0.33 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 9.0 8.1 9.9 NaN 0 BOBL 9.3 8.4 10.3 5.0 5 BTP 1.2 1.1 1.3 1.0 1 BUND 3.5 3.1 3.8 2.0 2 BUXL -1.0 -1.1 -0.9 0.0 0 CAC 0.6 0.5 0.6 1.0 1 CAD -1.6 -1.8 -1.5 -1.0 -1 CANOLA 2.3 2.1 2.6 NaN 0 CHF -3.8 -4.1 -3.4 -2.0 -2 COCOA -1.3 -1.4 -1.1 NaN 0 COFFEE -0.1 -0.1 -0.1 NaN 0 COPPER 0.4 0.3 0.4 NaN 0 CORN 0.5 0.5 0.6 1.0 1 COTTON2 -0.3 -0.4 -0.3 NaN 0 CRUDE_W 1.0 0.9 1.1 2.0 2 DAX -0.1 -0.2 -0.1 NaN 0 DOW -0.1 -0.1 -0.1 -2.0 -2 EUR -1.4 -1.5 -1.2 -1.0 -1 EUROSTX 0.2 0.2 0.3 NaN 0 FEEDCOW -2.5 -2.7 -2.2 -2.0 -2 FTSE100 -2.0 -2.2 -1.8 0.0 0 GASOIL 1.7 1.5 1.8 1.0 1 GASOILINE 1.2 1.1 1.3 NaN 0 GAS_US -0.5 -0.6 -0.5 -1.0 -1 GBP 0.3 0.3 0.4 1.0 1 GOLD_micro -7.9 -8.7 -7.1 -4.0 -4 HEATOIL 1.2 1.1 1.3 2.0 2 JPY -5.3 -5.9 -4.8 -5.0 -5 LEANHOG 6.4 5.7 7.0 5.0 5 LIVECOW -4.8 -5.3 -4.3 -2.0 -2 MXP 3.8 3.4 4.1 NaN 0 NASDAQ -0.4 -0.4 -0.4 0.0 0 NZD -0.4 -0.4 -0.4 NaN 0 OAT 1.0 0.9 1.2 0.0 0 OJ -0.0 -0.0 -0.0 NaN 0 PALLAD -0.1 -0.2 -0.1 NaN 0 PLAT 0.6 0.6 0.7 NaN 0 REDWHEAT -0.3 -0.3 -0.2 NaN 0 ROBUSTA -0.9 -1.0 -0.8 -1.0 -1 RUSSELL -5.0 -5.5 -4.5 -3.0 -3 SILVER-mini 0.6 0.6 0.7 NaN 0 SOYBEAN 4.5 4.0 4.9 2.0 2 SOYMEAL 4.6 4.1 5.0 4.0 4 SOYOIL 0.9 0.8 1.0 1.0 1 SP400 -0.2 -0.2 -0.2 NaN 0 SP500 -0.2 -0.2 -0.2 NaN 0 SUGAR11 2.0 1.8 2.1 1.0 1 US10 -3.5 -3.9 -3.2 NaN 0 US10U -7.1 -7.8 -6.4 0.0 0 US20 -3.3 -3.6 -3.0 -1.0 -1 US30 -2.8 -3.1 -2.5 -7.0 -7 US5 -4.5 -5.0 -4.1 -10.0 -10 VIX -6.9 -7.6 -6.2 0.0 0 WHEAT -0.4 -0.4 -0.3 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 -0.8 -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 3.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 0.4 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 0.3 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 0.1 -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 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 0.1 0.1 0.0 0.1 CAC 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 0.1 0.2 0.0 0.1 0.0 -0.0 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 1.4 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 -0.2 0.0 0.1 0.2 0.2 CHF -0.0 -0.2 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -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 -0.1 -0.3 0.1 0.1 COCOA 0.0 0.0 -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 -0.2 0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 1.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -2.7 0.1 0.1 0.1 0.1 COFFEE -0.2 -0.3 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -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 -1.0 -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 0.2 -0.0 -0.0 CORN -0.0 0.2 0.3 -0.1 0.0 -0.1 -0.0 0.0 -0.0 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 0.2 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 -2.8 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.9 -0.0 -0.3 -0.6 -0.5 CRUDE_W 0.1 0.0 -0.2 -0.0 0.0 0.0 0.0 0.2 0.0 0.0 -0.1 0.0 0.1 0.0 0.1 0.6 0.6 0.2 0.3 0.0 -0.0 0.0 0.1 0.0 1.2 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -2.7 0.0 0.2 0.1 0.1 DAX 0.3 0.0 -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 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.2 -0.0 0.0 0.0 -0.0 0.0 -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 0.0 -0.2 0.0 -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 0.0 -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 1.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -1.4 -0.1 0.1 0.2 -0.0 EUROSTX 0.2 -0.0 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -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 -0.1 -1.2 -0.8 -0.3 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 0.3 -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 0.1 -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 0.3 0.0 -0.5 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 -0.0 0.2 0.1 0.2 GASOILINE 0.1 0.1 -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 0.1 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 1.4 0.0 0.2 0.2 0.0 GAS_US -0.1 -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 -1.4 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -2.7 -0.0 -0.4 -0.3 0.2 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 0.2 0.0 -0.2 GOLD_micro -0.1 -0.0 -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 -0.2 -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 0.0 -0.4 -0.1 -0.2 LEANHOG 0.2 0.0 -0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.1 1.0 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 -0.0 0.4 0.1 0.1 LIVECOW 0.2 0.0 0.2 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -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 -1.5 -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 0.0 0.0 2.2 0.0 0.4 0.3 0.3 NASDAQ 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 -0.3 -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 -0.5 -0.1 -0.1 NZD 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 -0.3 -0.1 0.0 -0.0 0.0 -0.2 -0.2 0.0 -0.3 0.0 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.5 0.0 0.2 -0.1 -0.0 OAT 0.2 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -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 0.1 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 0.5 0.0 0.5 0.3 0.3 PALLAD -0.2 -0.1 0.0 -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 -0.1 -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 0.1 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 1.0 -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 -0.0 -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 -2.7 0.0 -0.0 0.3 0.1 ROBUSTA -0.2 -0.3 -0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.0 -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 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.2 -0.0 -0.4 -0.3 0.1 RUSSELL 0.2 -0.1 0.2 -0.0 -0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.2 -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 -0.0 0.2 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -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 -0.0 0.0 -0.0 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 0.3 0.2 0.2 SOYMEAL 0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.0 0.1 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 1.0 0.2 0.4 0.1 0.3 SOYOIL 0.2 0.2 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 0.3 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.1 0.0 -2.9 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 2.5 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 0.0 0.1 0.2 SP500 0.3 -0.1 -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 0.8 -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 -0.0 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 0.2 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 -0.3 -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 -0.1 -0.1 VIX -0.2 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 0.1 -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 -0.0 -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 0.1 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 8.6 -16.0 -10.8 -4.0 -0.6 -5.2 0.8 -5.2 -1.1 -1.7 -14.2 3.4 -13.5 -8.5 -12.1 -2.7 -1.5 -2.2 -1.8 -17.9 -19.4 0.2 -15.4 -8.0 -7.0 -0.0 -5.1 -0.9 -5.6 0.2 -4.7 -2.2 -0.2 0.7 -7.7 -7.4 -2.3 BITCOIN 9.1 1.6 -14.7 -3.4 -2.3 -3.2 -2.2 -1.6 -2.7 6.9 -15.7 8.9 -15.6 0.2 -8.7 -0.0 -1.5 -0.3 -0.7 -6.1 -20.0 7.2 -20.0 3.9 17.1 -0.0 -1.1 1.7 -5.6 3.8 -6.3 2.5 0.2 8.5 17.4 9.2 4.3 BOBL 11.2 -14.4 -17.2 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 2.4 -13.3 1.5 -12.2 -8.3 -13.2 20.0 18.1 20.0 20.0 -20.0 -20.0 4.8 -20.0 -6.1 9.0 -0.0 -4.7 0.6 -7.2 1.5 -8.4 -1.0 20.0 10.8 11.1 4.0 -1.9 BTP 19.0 1.1 -2.7 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 5.6 -12.6 7.3 -12.8 0.7 -9.6 20.0 13.4 19.8 17.7 -10.0 -19.0 14.1 -20.0 4.7 8.6 -0.0 -3.3 2.5 -7.0 4.5 -9.2 1.6 20.0 20.0 20.0 18.6 5.0 BUND 11.2 -13.1 -12.9 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 4.1 -13.4 3.2 -12.7 -7.3 -13.0 13.3 16.7 15.3 16.4 -20.0 -20.0 5.4 -20.0 -6.6 8.4 -0.0 -4.8 0.5 -6.8 1.4 -7.5 -1.2 20.0 9.8 9.9 1.3 -0.8 BUXL 5.2 -7.9 -2.6 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 8.0 -13.6 3.8 -13.0 -6.5 -12.4 6.5 -4.7 5.9 -0.1 -20.0 -20.0 5.1 -20.0 -8.2 6.5 -0.0 -5.1 1.0 -6.4 1.1 -6.6 -1.9 -12.4 8.8 3.0 1.1 3.8 CAC 20.0 -0.8 -2.0 -1.9 -0.8 -3.2 2.6 -2.7 1.3 6.8 -3.3 13.5 -7.0 10.9 -0.2 1.0 4.7 1.6 2.9 3.6 -3.7 16.3 -3.4 14.4 -7.4 -0.0 1.0 1.6 -1.6 5.5 -1.7 4.8 8.3 8.1 14.5 15.6 9.0 CAD 11.5 -14.8 -14.7 -4.0 -0.6 -5.2 0.8 -5.2 -1.1 -0.7 -13.2 5.7 -13.2 -8.7 -11.7 -2.0 -0.5 -1.4 -0.9 -16.1 -18.2 0.9 -13.4 -5.7 -6.4 -0.0 -5.0 -1.4 -5.8 0.1 -4.6 -1.8 1.5 -4.8 0.4 -8.0 -8.4 CANOLA 11.6 19.8 -11.1 -4.0 4.7 -3.4 -0.4 0.5 -3.3 11.5 -9.5 8.1 -0.3 14.5 6.7 20.0 13.3 7.9 7.8 5.5 -7.8 11.8 0.3 12.1 2.1 -0.0 3.8 7.9 0.8 4.5 2.6 4.5 -1.2 15.5 15.5 20.0 16.2 CHF -3.5 -11.6 -2.2 -4.0 -0.6 -5.2 0.8 -5.2 -1.1 -11.0 -12.8 -9.8 -11.7 -13.1 -13.3 -12.7 -11.0 -12.4 -12.1 -14.4 -13.8 -7.3 -12.8 -11.1 -2.8 -0.0 -5.3 -3.2 -5.9 -2.5 -6.5 -3.9 -17.1 -13.8 -12.9 7.2 6.0 COCOA 1.3 2.0 -2.0 -4.0 4.7 -3.4 -0.4 0.5 -3.3 13.4 -11.6 3.5 -12.3 3.9 -2.8 1.5 -3.8 0.3 -1.7 -3.2 -7.9 7.1 -10.3 0.9 12.0 -0.0 -1.2 13.2 -4.7 6.0 -6.5 1.5 -20.0 13.9 5.8 4.5 3.5 COFFEE -20.0 -20.0 -8.7 -4.0 4.7 -3.4 -0.4 0.5 -3.3 -5.0 -8.3 -13.2 0.0 -14.8 -11.6 9.1 5.3 10.4 8.8 -20.0 -12.6 -20.0 -1.8 -20.0 9.0 -0.0 -5.1 -2.4 -2.7 -6.1 -0.3 -7.0 -7.1 -20.0 -20.0 -20.0 -13.2 COPPER 8.1 9.5 -2.0 -3.4 -2.3 -3.2 -2.2 -1.6 -2.7 -1.7 -12.7 1.7 -11.4 -1.7 -4.0 1.2 0.2 0.9 0.4 -6.4 -15.0 0.8 -16.1 -0.6 18.7 -0.0 -3.5 0.3 -7.0 1.1 -6.4 -0.2 2.5 12.5 11.4 -0.4 -2.3 CORN -2.6 11.5 16.3 -4.0 4.7 -3.4 -0.4 0.5 -3.3 2.7 2.5 -3.5 5.6 4.7 13.0 16.6 12.5 12.6 11.5 10.6 11.3 2.0 16.0 5.3 -20.0 -0.0 3.9 1.3 6.1 1.1 10.5 1.8 1.2 3.3 10.4 11.5 19.9 COTTON2 -11.2 -20.0 -20.0 -4.0 4.7 -3.4 -0.4 0.5 -3.3 6.5 -13.3 -9.9 1.4 -14.6 -15.1 2.9 19.8 10.6 17.3 -20.0 -18.2 -12.7 -1.6 -20.0 -11.2 -0.0 -5.4 1.5 -3.0 -2.6 1.4 -5.0 14.2 -11.2 -19.4 -20.0 -17.6 CRUDE_W 10.2 2.2 -14.0 -1.0 1.0 0.5 1.0 6.9 0.6 12.7 -6.0 5.4 4.2 9.5 2.2 6.7 14.5 9.1 12.2 1.7 -2.1 10.4 5.5 8.7 10.2 -0.0 1.3 5.7 1.0 5.1 7.2 4.1 -20.0 7.9 11.0 5.3 8.7 DAX 20.0 0.4 -2.6 -1.9 -0.8 -3.2 2.6 -2.7 1.3 8.3 -8.7 14.1 -11.0 9.0 -1.4 -3.6 -1.0 -2.7 -1.8 1.9 -10.0 19.3 -13.8 15.9 1.3 -0.0 1.1 2.2 -3.0 6.5 -5.1 5.6 -0.6 10.5 16.4 17.6 5.3 DOW 20.0 -0.4 0.8 -1.9 -0.8 -3.2 2.6 -2.7 1.3 7.0 -6.2 12.5 -7.5 9.1 -1.2 -4.5 -1.0 -3.8 -2.8 3.7 -6.0 20.0 -7.0 18.9 -2.0 -0.0 0.9 2.6 -1.8 6.8 -1.7 5.3 -1.4 20.0 20.0 12.8 7.8 EUR 13.5 8.8 1.9 -4.0 -0.6 -5.2 0.8 -5.2 -1.1 -8.2 -13.3 -0.5 -14.7 -0.1 -7.1 -7.6 -8.3 -8.1 -8.5 -7.9 -17.2 -0.3 -20.0 0.2 8.1 -0.0 -3.9 -3.8 -8.8 0.2 -12.2 0.2 -11.7 -7.1 4.4 15.0 -2.8 EUROSTX 20.0 -0.1 -1.1 -1.9 -0.8 -3.2 2.6 -2.7 1.3 7.1 -6.5 13.6 -9.8 10.0 -1.3 -0.7 3.1 0.1 1.2 2.8 -5.9 17.7 -7.7 14.5 -5.5 -0.0 1.4 2.0 -1.8 6.4 -3.1 5.5 5.5 11.4 13.6 18.0 9.4 FEEDCOW 12.2 -16.8 -4.2 -4.0 4.7 -3.4 -0.4 0.5 -3.3 -4.7 -2.4 7.2 -1.4 -3.4 -6.9 -14.7 -20.0 -15.5 -20.0 -6.0 -5.7 2.1 -2.9 -0.4 1.9 -0.0 -2.9 -0.2 -2.7 0.7 -1.2 -0.5 -20.0 -1.3 14.6 -16.0 -1.6 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 5.8 3.3 -9.0 -1.0 1.0 0.5 1.0 6.9 0.6 0.3 7.6 -5.4 11.0 5.2 4.7 20.0 20.0 20.0 20.0 7.9 10.6 2.5 19.8 7.2 -4.6 -0.0 3.0 -0.5 4.1 1.0 8.9 2.8 0.0 -3.5 8.3 7.8 14.1 GASOILINE 11.5 3.4 -20.0 -1.0 1.0 0.5 1.0 6.9 0.6 12.2 -5.5 9.7 5.0 10.3 -3.0 20.0 20.0 20.0 20.0 0.9 -1.0 13.8 11.6 9.7 1.0 -0.0 1.5 9.1 2.0 7.1 10.5 5.0 10.4 18.2 9.5 12.5 1.4 GAS_US -10.2 -20.0 -11.2 -1.0 1.0 0.5 1.0 6.9 0.6 9.0 -4.0 -5.9 3.5 -13.0 -11.0 -20.0 -10.0 -20.0 -14.1 -20.0 -8.7 -6.9 4.6 -19.2 -11.1 -0.0 -4.2 1.6 -0.1 -1.8 4.7 -4.7 -20.0 -1.6 -20.0 -20.0 16.3 GBP 20.0 15.9 3.4 -4.0 -0.6 -5.2 0.8 -5.2 -1.1 0.5 -10.6 8.2 -12.8 7.8 -3.2 -1.6 -1.3 -1.6 -1.6 -6.0 -15.9 6.8 -18.1 5.2 16.5 -0.0 -3.9 -0.9 -7.2 1.6 -7.8 0.3 0.2 -0.5 12.4 3.3 -11.2 GOLD_micro -4.1 -2.5 -13.6 -3.4 -2.3 -3.2 -2.2 -1.6 -2.7 -6.2 -14.6 -11.2 -12.8 -10.4 -12.6 -10.5 -7.2 -9.7 -8.8 -16.0 -18.9 -8.2 -14.9 -11.1 10.4 -0.0 -5.3 -2.8 -5.5 -2.9 -3.8 -3.9 -11.5 -3.9 -7.8 -15.0 -13.9 HEATOIL 7.8 0.5 -16.6 -1.0 1.0 0.5 1.0 6.9 0.6 1.3 5.4 -0.2 10.0 8.4 3.9 20.0 20.0 20.0 20.0 6.9 8.8 4.4 18.4 8.0 -14.7 -0.0 3.3 0.2 5.9 1.8 13.4 3.2 5.3 0.9 11.0 4.6 18.5 JPY 6.0 -6.6 -13.8 -4.0 -0.6 -5.2 0.8 -5.2 -1.1 0.9 -16.2 -4.8 -16.0 -10.3 -14.8 -14.0 -9.6 -13.0 -11.6 -20.0 -20.0 -5.4 -20.0 -14.4 20.0 -0.0 -6.1 -0.4 -8.1 -1.2 -9.8 -3.6 -15.2 0.8 -19.5 -8.3 -11.4 LEANHOG 20.0 1.7 -3.8 -4.0 4.7 -3.4 -0.4 0.5 -3.3 -12.3 -5.9 9.7 -1.3 10.9 6.2 12.5 20.0 20.0 20.0 7.2 0.9 6.5 2.7 13.1 5.7 -0.0 1.4 -2.7 -0.3 1.5 0.8 3.4 20.0 -7.3 20.0 10.8 9.9 LIVECOW 20.0 3.0 9.9 -4.0 4.7 -3.4 -0.4 0.5 -3.3 -10.7 2.9 7.8 -3.3 9.3 9.1 -20.0 -20.0 -20.0 -20.0 9.7 4.0 7.2 -1.0 13.3 -9.2 -0.0 3.6 -2.8 2.3 2.8 1.4 5.0 -20.0 6.8 20.0 13.4 19.5 MXP 8.1 4.3 11.3 -4.0 -0.6 -5.2 0.8 -5.2 -1.1 14.0 15.4 15.6 14.5 15.5 15.8 18.5 19.7 18.1 18.8 11.9 12.0 16.2 13.1 13.6 -20.0 -0.0 5.4 9.8 3.9 9.2 4.0 7.3 20.0 14.8 18.9 20.0 20.0 NASDAQ 12.7 -11.6 0.4 -1.9 -0.8 -3.2 2.6 -2.7 1.3 -8.8 -12.9 1.5 -12.1 -8.7 -11.4 -4.6 -2.7 -4.3 -3.7 -12.3 -14.8 -4.7 -13.4 -6.3 9.0 -0.0 -4.4 -4.9 -5.2 -1.4 -4.1 -2.1 -3.6 -16.0 -20.0 -9.8 -3.4 NZD 20.0 -10.1 -6.1 -4.0 -0.6 -5.2 0.8 -5.2 -1.1 11.5 -13.9 13.8 -14.1 -3.9 -10.5 -1.1 0.9 -0.6 0.1 -13.9 -20.0 12.5 -20.0 1.8 2.1 -0.0 -4.1 2.5 -6.1 3.2 -5.8 0.2 3.6 11.0 12.2 -4.0 -3.3 OAT 14.6 -7.5 -4.2 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 3.4 -13.0 4.2 -12.7 -5.8 -12.0 17.4 11.3 14.0 13.1 -17.5 -20.0 7.5 -20.0 -3.2 12.1 -0.0 -4.5 0.6 -6.9 2.0 -8.2 -0.6 15.5 15.6 14.8 3.8 1.2 OJ 14.6 20.0 12.0 -4.0 4.7 -3.4 -0.4 0.5 -3.3 12.9 14.9 14.3 13.8 15.5 15.5 17.8 10.8 16.9 15.3 20.0 20.0 17.5 20.0 20.0 -20.0 -0.0 6.2 2.4 6.0 3.3 5.4 5.1 3.5 12.6 20.0 20.0 20.0 PALLAD -20.0 -8.6 2.7 -3.4 -2.3 -3.2 -2.2 -1.6 -2.7 -11.6 -9.3 -14.6 -5.2 -14.5 -6.4 -1.9 -1.1 -1.5 -1.3 -11.6 -5.2 -20.0 -4.4 -20.0 -2.2 -0.0 -3.7 -6.2 -1.0 -8.0 -0.5 -7.0 0.0 -20.0 -20.0 -3.3 9.7 PLAT 9.3 13.4 8.2 -3.4 -2.3 -3.2 -2.2 -1.6 -2.7 2.6 -4.1 8.5 -8.5 11.8 8.7 0.7 -0.4 0.2 -0.1 7.2 0.3 8.8 -4.9 10.8 6.1 -0.0 2.7 1.3 -1.1 4.6 -3.7 5.2 1.6 18.6 20.0 20.0 11.3 REDWHEAT -7.5 14.2 -6.5 -4.0 4.7 -3.4 -0.4 0.5 -3.3 -1.4 -8.7 -6.9 -2.4 0.5 4.1 0.9 -1.3 0.6 -0.1 1.4 -1.4 1.1 1.9 1.0 -14.5 -0.0 2.2 1.0 2.8 1.5 6.0 1.2 -20.0 3.7 -0.0 20.0 9.6 ROBUSTA -20.0 -20.0 -1.5 -4.0 4.7 -3.4 -0.4 0.5 -3.3 -10.3 -5.3 -14.5 5.2 -15.8 -10.0 7.1 6.2 6.7 6.2 -20.0 -8.6 -20.0 2.3 -20.0 1.6 -0.0 -4.5 -2.7 -1.6 -6.3 0.5 -6.9 -8.5 -20.0 -20.0 -20.0 4.4 RUSSELL 18.8 -5.4 8.8 -1.9 -0.8 -3.2 2.6 -2.7 1.3 5.2 -8.7 10.7 -11.0 1.8 -5.9 -4.0 -1.6 -3.4 -2.6 -1.5 -7.2 11.9 -9.4 7.9 -3.5 -0.0 -0.3 -0.1 -2.3 4.8 -2.5 3.3 -1.8 5.9 2.4 7.3 11.1 SILVER-mini -2.9 12.8 4.9 -3.4 -2.3 -3.2 -2.2 -1.6 -2.7 13.2 -11.8 0.4 -12.1 -1.6 -2.5 -4.7 -2.8 -3.8 -3.4 -2.5 -9.5 8.3 -13.2 2.7 18.4 -0.0 -0.9 7.5 -5.8 4.6 -8.3 2.2 -3.2 20.0 7.8 20.0 -7.2 SOYBEAN 4.5 0.9 1.6 -4.0 4.7 -3.4 -0.4 0.5 -3.3 13.8 -1.9 11.7 3.5 6.3 6.4 12.4 20.0 17.8 20.0 1.8 0.1 16.4 5.6 7.2 -15.0 -0.0 3.4 19.4 5.0 12.2 10.9 5.8 20.0 20.0 17.1 13.8 14.0 SOYMEAL 5.7 -3.2 3.2 -4.0 4.7 -3.4 -0.4 0.5 -3.3 12.2 -3.0 13.2 7.0 -1.1 2.6 16.1 14.7 14.6 15.6 1.2 2.1 11.5 5.7 4.9 -8.5 -0.0 3.0 7.3 4.6 7.0 8.2 3.9 7.3 20.0 18.5 10.9 18.9 SOYOIL 20.0 10.7 3.6 -4.0 4.7 -3.4 -0.4 0.5 -3.3 13.9 -0.4 15.4 4.2 14.8 12.6 20.0 20.0 20.0 20.0 13.7 6.0 20.0 9.5 20.0 -20.0 -0.0 5.1 12.2 3.7 9.8 5.2 7.6 18.7 20.0 20.0 20.0 20.0 SP400 18.3 -6.2 3.6 -1.9 -0.8 -3.2 2.6 -2.7 1.3 5.8 -8.1 11.0 -8.4 1.3 -5.1 0.2 -1.2 -0.2 -0.7 -1.3 -6.5 11.7 -6.7 7.8 -5.6 -0.0 -0.2 -0.2 -1.9 4.6 -1.4 3.2 0.0 4.3 2.6 7.4 12.1 SP500 19.7 -8.8 -0.4 -1.9 -0.8 -3.2 2.6 -2.7 1.3 0.0 -11.0 7.9 -9.8 -3.5 -8.4 -4.5 -2.5 -4.1 -3.4 -6.4 -11.0 6.1 -9.4 2.8 6.6 -0.0 -2.4 -1.8 -4.5 2.4 -4.0 1.1 -3.2 0.1 -4.4 -1.9 2.0 SUGAR11 0.1 8.7 -2.5 -4.0 4.7 -3.4 -0.4 0.5 -3.3 10.4 -7.1 0.8 -5.4 2.0 -0.8 20.0 15.4 20.0 20.0 0.9 -1.7 1.8 -1.2 0.3 -6.0 -0.0 1.1 7.8 0.5 0.8 0.7 -0.0 11.2 -12.4 13.5 11.5 6.6 US10 0.6 -12.7 -17.2 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 -1.0 -14.7 -3.6 -14.1 -11.3 -14.3 -4.2 2.8 -3.1 -1.2 -20.0 -20.0 -5.1 -20.0 -15.7 -4.6 -0.0 -5.6 -1.0 -6.3 -1.0 -6.4 -3.2 -4.6 -4.7 -2.2 -5.3 -5.0 US10U -2.2 -14.4 -16.2 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 1.2 -14.6 -4.2 -13.8 -11.5 -14.3 -0.2 6.1 0.7 2.6 -20.0 -20.0 -4.8 -20.0 -16.8 -5.6 -0.0 -5.6 -0.5 -6.1 -0.9 -5.9 -3.5 1.7 -5.7 -4.2 -5.1 -2.9 US20 -7.5 -19.3 -17.6 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 2.4 -14.9 -6.8 -13.9 -12.0 -14.6 1.3 3.1 1.8 2.2 -20.0 -20.0 -11.6 -20.0 -20.0 -6.5 -0.0 -5.9 -1.0 -5.6 -2.3 -5.0 -4.7 -1.7 -20.0 -17.8 -10.7 -6.2 US30 -5.5 -14.8 -13.6 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 8.2 -15.7 -4.7 -15.2 -10.9 -14.4 -1.3 0.7 -0.8 -0.3 -20.0 -20.0 -6.8 -20.0 -20.0 -4.0 -0.0 -5.9 0.4 -5.9 -1.5 -5.8 -4.5 -5.7 -13.3 -16.4 -2.8 -1.7 US5 3.1 -12.4 -16.9 -4.6 -0.1 -5.3 -0.1 -5.3 -2.4 -2.0 -14.5 -3.2 -14.3 -11.1 -13.9 -4.7 4.8 -3.6 -0.8 -20.0 -20.0 -5.6 -20.0 -15.3 -2.0 -0.0 -5.6 -1.5 -6.6 -1.1 -7.3 -3.1 -2.4 -4.1 -1.6 -7.4 -7.1 VIX -13.4 10.9 -1.4 -0.7 -6.4 -0.1 -7.7 -0.9 -4.1 -11.7 -4.9 -14.3 -6.1 -2.9 0.6 0.4 -17.5 -3.8 -10.0 -1.4 -0.9 -20.0 -3.5 -10.6 NaN -0.0 -0.8 -7.4 -0.1 -8.9 -1.2 -4.9 NaN NaN NaN NaN NaN WHEAT -2.6 12.1 -8.0 -4.0 4.7 -3.4 -0.4 0.5 -3.3 -1.4 -9.5 -2.8 -4.8 3.8 5.3 -2.8 -3.6 -3.4 -3.6 1.0 -3.6 4.1 -0.6 3.0 -14.5 -0.0 1.9 2.4 2.0 3.5 5.5 2.3 -20.0 10.2 5.5 17.4 4.7 End of report for caleb_strategy_v1