******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221103_204301 produced at 2022-11-03 21:35:10.156489 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.29 0.0 38162792.86 -38162792.86 0.00 0.00 -7.53 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.35 -0.17 0.0 35080811.21 -35080811.21 -0.35 -0.35 -4.75 999999999 -10 -10 caleb_strategy_v1 CHF False False 0.04 -0.08 -0.14 0.0 41017245.66 -41017245.66 -0.08 -0.08 -3.50 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.14 0.0 28041896.08 -28041896.08 -0.14 -0.14 -4.99 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.13 0.0 36363246.53 -36363246.53 0.00 0.00 -3.65 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.13 0.0 39703783.68 -39703783.68 -0.04 -0.04 -3.39 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.04 -0.30 -0.12 0.0 42330707.63 -42330707.63 -0.30 -0.30 -2.89 999999999 -7 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.10 0.0 20509036.52 -20509036.52 -0.04 -0.04 -4.99 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.08 0.0 30050355.26 -30050355.26 -0.06 -0.06 -2.62 999999999 -2 -2 caleb_strategy_v1 VIX False False 0.01 0.00 -0.07 0.0 9101153.85 -9101153.85 0.00 0.00 -7.95 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.06 0.0 40460834.20 -40460834.20 -0.04 -0.04 -1.40 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 46471504.21 -46471504.21 0.00 0.00 -1.03 999999999 0 0 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 26110520.76 -26110520.76 0.00 0.00 -2.03 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 5404761.58 -5404761.58 -0.02 -0.02 -8.27 999999999 -4 -3 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.04 0.0 24089926.87 -24089926.87 -0.02 -0.02 -1.63 999999999 -1 -1 caleb_strategy_v1 NASDAQ False False 0.07 0.00 -0.03 0.0 71033678.44 -71033678.44 0.00 0.00 -0.44 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.02 0.0 20858189.87 -20858189.87 -0.02 -0.02 -1.13 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 2952745.26 -2952745.26 -0.01 -0.01 -5.67 999999999 -3 -4 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 78534683.97 -78534683.97 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.01 0.0 19130625.40 -19130625.40 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.01 0.0 6106046.86 -6106046.86 -0.01 -0.01 -0.89 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14611488.82 -14611488.82 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7826992.31 -7826992.31 0.00 0.00 -1.31 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 20644726.45 -20644726.45 -0.02 -0.02 -0.56 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 59438808.43 -59438808.43 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 61734781.33 -61734781.33 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10551546.83 -10551546.83 0.00 0.00 -0.04 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.00 0.0 5302001.28 -5302001.28 -0.01 -0.01 -0.19 999999999 -2 -1 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 11574315.07 -11574315.07 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15538151.76 -15538151.76 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 DAX False False 0.00 0.00 -0.00 0.0 4237031.81 -4237031.81 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 13621945.18 -13621945.18 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20949201.41 -20949201.41 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 23112793.90 -23112793.90 0.02 0.02 0.28 999999999 1 1 caleb_strategy_v1 CAC False False 0.02 0.02 0.01 0.0 20120334.99 -20120334.99 0.02 0.02 0.62 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4308559.15 -4308559.15 0.00 0.00 2.53 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 670672.30 -670672.30 0.00 0.00 9.31 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.01 0.01 0.0 10317398.96 -10317398.96 0.01 0.01 0.55 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 28333546.70 -28333546.70 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15268426.65 -15268426.65 0.00 0.00 0.61 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 16123521.43 -16123521.43 0.00 0.00 0.59 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 6853599.09 -6853599.09 0.01 0.01 2.03 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 14150143.06 -14150143.06 0.01 0.01 0.99 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8356513.99 -8356513.99 0.00 0.00 3.87 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.03 0.0 25850586.45 -25850586.45 0.05 0.05 1.05 999999999 2 2 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 36710616.82 -36710616.82 0.04 0.04 1.21 999999999 1 1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 0.04 0.0 35507407.11 -35507407.11 0.00 0.00 1.21 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.05 0.0 42560695.78 -42560695.78 0.00 0.00 1.07 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.06 0.0 48916683.15 -48916683.15 0.10 0.10 1.27 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.01 0.05 0.06 0.0 13224803.92 -13224803.92 0.05 0.07 4.19 999999999 4 5 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.06 0.0 34824324.15 -34824324.15 0.03 0.03 1.58 999999999 1 1 caleb_strategy_v1 LEANHOG False False 0.01 0.06 0.07 0.0 11573358.19 -11573358.19 0.06 0.06 6.20 999999999 5 5 caleb_strategy_v1 NIKKEI False False 0.01 0.05 0.07 0.0 6088418.90 -6088418.90 0.05 0.06 12.12 999999999 9 10 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.10 0.0 22943181.48 -22943181.48 0.05 0.05 4.52 999999999 2 2 caleb_strategy_v1 BUND False False 0.04 0.09 0.15 0.0 44332175.84 -44332175.84 0.09 0.09 3.41 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.19 0.36 0.0 38414335.35 -38414335.35 0.19 0.19 9.31 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 11.4 Shocked risk 23.3 Sum abs risk 42.5 Leverage 2.94 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3021594.89, 'annual_cash_vol_target': 755398.7225, 'daily_cash_vol_target': 47212.42015625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0060 0.6302 0.9592 15.3479 BITCOIN 650.1211 20265.0000 3.2081 51.3296 BOBL 0.4126 119.0500 0.3466 5.5454 BTP 1.0873 113.7700 0.9557 15.2918 BUND 0.8765 137.3900 0.6380 10.2078 BUXL 2.2779 144.0200 1.5817 25.3065 CAC 66.5356 6235.5000 1.0670 17.0727 CAD 0.0042 0.7279 0.5834 9.3338 CANOLA 8.2050 894.5000 0.9173 14.6763 CHF 0.0065 0.9915 0.6583 10.5332 COCOA 31.7727 2365.0000 1.3435 21.4953 COFFEE 0.0421 1.6880 2.4967 39.9465 COPPER 0.0559 3.4245 1.6332 26.1306 CORN 5.4553 623.5000 0.8750 13.9992 COTTON2 0.0229 0.8232 2.7800 44.4800 CRUDE_W 1.5165 78.1100 1.9415 31.0635 DAX 135.5198 13131.0000 1.0321 16.5130 DOW 368.9736 32041.0000 1.1516 18.4251 EUR 0.0074 0.9780 0.7548 12.0772 EUROSTX 39.1723 3587.0000 1.0921 17.4730 FEEDCOW 1.3259 181.6000 0.7301 11.6820 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 23.2643 1052.2500 2.2109 35.3745 GASOILINE 0.0501 2.5545 1.9623 31.3966 GAS_US 0.2456 6.2380 3.9372 62.9957 GBP 0.0120 1.1174 1.0756 17.2089 GOLD_micro 14.3773 1633.1000 0.8804 14.0859 HEATOIL 0.0683 3.5192 1.9397 31.0360 JPY 0.0001 0.0068 0.7439 11.9031 LEANHOG 1.3656 87.4250 1.5620 24.9919 LIVECOW 0.8688 154.9250 0.5608 8.9729 MXP 0.0003 0.0505 0.5895 9.4326 NASDAQ 204.0435 10731.7500 1.9013 30.4209 NZD 0.0054 0.5780 0.9269 14.8306 OAT 0.9084 131.9000 0.6887 11.0198 OJ 0.0348 2.1255 1.6383 26.2130 PALLAD 43.9129 1796.0000 2.4450 39.1207 PLAT 17.9958 922.7000 1.9503 31.2055 REDWHEAT 19.1825 939.0000 2.0429 32.6859 ROBUSTA 28.1299 1845.0000 1.5247 24.3945 RUSSELL 28.4825 1784.4000 1.5962 25.5391 SILVER-mini 0.3939 19.4875 2.0210 32.3367 SOYBEAN 12.5532 1386.5000 0.9054 14.4862 SOYMEAL 5.3819 399.6000 1.3468 21.5491 SOYOIL 0.9142 71.2600 1.2830 20.5275 SP400 34.0039 2373.0000 1.4330 22.9272 SP500 53.7487 3730.7500 1.4407 23.0511 SUGAR11 0.0024 0.1849 1.2739 20.3817 US10 0.5246 109.8750 0.4775 7.6395 US10U 0.7223 115.3125 0.6264 10.0227 US20 1.0163 119.9688 0.8472 13.5544 US30 1.5373 127.9062 1.2019 19.2302 US5 0.3511 106.0000 0.3312 5.2994 VIX 0.5645 27.5000 2.0526 32.8422 WHEAT 16.0232 883.0000 1.8146 29.0341 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 630.25 0.96 604.56 1.00 604.56 47212.42 78.09 -8.34 -65.14 BITCOIN 20.26 3.21 65.01 1.00 65.01 47212.42 726.21 5.03 365.26 BOBL 1190.50 0.35 412.61 0.98 405.47 47212.42 116.44 10.24 119.25 BTP 1137.70 0.96 1087.35 0.98 1068.52 47212.42 44.18 12.54 55.40 BUND 1373.90 0.64 876.53 0.98 861.35 47212.42 54.81 7.96 43.63 BUXL 1440.20 1.58 2277.90 0.98 2238.46 47212.42 21.09 -5.36 -11.30 CAC 623.55 1.07 665.36 0.98 653.83 47212.42 72.21 2.81 20.30 CAD 727.90 0.58 424.63 1.00 424.63 47212.42 111.19 -7.58 -84.33 CANOLA 178.90 0.92 164.10 0.73 119.74 47212.42 394.28 6.46 254.81 CHF 1239.38 0.66 815.91 1.00 815.91 47212.42 57.86 -14.94 -86.44 COCOA 236.50 1.34 317.73 1.00 317.73 47212.42 148.59 -3.75 -55.75 COFFEE 633.00 2.50 1580.38 1.00 1580.38 47212.42 29.87 -2.23 -6.67 COPPER 856.12 1.63 1398.19 1.00 1398.19 47212.42 33.77 3.50 11.82 CORN 311.75 0.87 272.77 1.00 272.77 47212.42 173.09 3.25 56.26 COTTON2 411.60 2.78 1144.25 1.00 1144.25 47212.42 41.26 -4.56 -18.81 CRUDE_W 781.10 1.94 1516.48 1.00 1516.48 47212.42 31.13 2.35 7.31 DAX 131.31 1.03 135.52 0.98 133.17 47212.42 354.52 -0.16 -5.83 DOW 160.21 1.15 184.49 1.00 184.49 47212.42 255.91 -0.24 -6.23 EUR 1222.56 0.75 922.82 1.00 922.82 47212.42 51.16 -6.73 -34.45 EUROSTX 358.70 1.09 391.72 0.98 384.94 47212.42 122.65 0.64 7.88 FEEDCOW 908.00 0.73 662.95 1.00 662.95 47212.42 71.22 -12.63 -89.98 FTSE100 706.85 0.82 576.59 1.14 666.67 47212.42 70.82 -2.56 -18.15 GASOIL 1052.25 2.21 2326.43 1.00 2326.43 47212.42 20.29 10.09 20.48 GASOILINE 1072.89 1.96 2105.32 1.00 2105.32 47212.42 22.43 12.14 27.22 GAS_US 623.80 3.94 2456.05 1.00 2456.05 47212.42 19.22 -17.75 -34.13 GBP 698.38 1.08 751.14 1.00 751.14 47212.42 62.85 2.26 14.23 GOLD_micro 163.31 0.88 143.77 1.00 143.77 47212.42 328.38 -10.41 -341.72 HEATOIL 1478.06 1.94 2867.07 1.00 2867.07 47212.42 16.47 9.98 16.44 JPY 847.31 0.74 630.35 1.00 630.35 47212.42 74.90 -9.51 -71.23 LEANHOG 349.70 1.56 546.23 1.00 546.23 47212.42 86.43 14.18 122.53 LIVECOW 619.70 0.56 347.53 1.00 347.53 47212.42 135.85 -12.63 -171.56 MXP 252.50 0.59 148.86 1.00 148.86 47212.42 317.16 9.21 292.25 NASDAQ 2146.35 1.90 4080.87 1.00 4080.87 47212.42 11.57 -6.54 -7.57 NZD 578.05 0.93 535.80 1.00 535.80 47212.42 88.12 -2.30 -20.24 OAT 1319.00 0.69 908.44 0.98 892.71 47212.42 52.89 9.23 48.80 OJ 318.83 1.64 522.34 1.00 522.34 47212.42 90.39 -0.21 -1.93 PALLAD 1796.00 2.45 4391.29 1.00 4391.29 47212.42 10.75 -5.30 -5.70 PLAT 461.35 1.95 899.79 1.00 899.79 47212.42 52.47 4.43 23.26 REDWHEAT 469.50 2.04 959.13 1.00 959.13 47212.42 49.22 -9.46 -46.54 ROBUSTA 184.50 1.52 281.30 1.00 281.30 47212.42 167.84 -3.79 -63.65 RUSSELL 89.22 1.60 142.41 1.00 142.41 47212.42 331.52 -3.05 -101.24 SILVER-mini 487.19 2.02 984.63 1.00 984.63 47212.42 47.95 5.11 24.48 SOYBEAN 693.25 0.91 627.66 1.00 627.66 47212.42 75.22 9.42 70.83 SOYMEAL 399.60 1.35 538.19 1.00 538.19 47212.42 87.72 7.48 65.60 SOYOIL 427.56 1.28 548.55 1.00 548.55 47212.42 86.07 11.56 99.51 SP400 2373.00 1.43 3400.39 1.00 3400.39 47212.42 13.88 -2.78 -3.87 SP500 1865.38 1.44 2687.43 1.00 2687.43 47212.42 17.57 -3.67 -6.44 SUGAR11 207.09 1.27 263.80 1.00 263.80 47212.42 178.97 7.74 138.46 US10 1098.75 0.48 524.62 1.00 524.62 47212.42 89.99 -9.76 -87.85 US10U 1153.12 0.63 722.34 1.00 722.34 47212.42 65.36 -7.30 -47.72 US20 1199.69 0.85 1016.32 1.00 1016.32 47212.42 46.45 -9.15 -42.49 US30 1279.06 1.20 1537.29 1.00 1537.29 47212.42 30.71 -10.36 -31.82 US5 1060.00 0.33 351.08 1.00 351.08 47212.42 134.48 -8.51 -114.41 VIX 275.00 2.05 564.47 1.00 564.47 47212.42 83.64 -4.66 -38.99 WHEAT 441.50 1.81 801.16 1.00 801.16 47212.42 58.93 -11.15 -65.72 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -65.137 0.007 2.5 -1.126 BITCOIN 365.255 0.010 2.5 9.313 BOBL 119.249 0.031 2.5 9.312 BTP 55.397 0.009 2.5 1.211 BUND 43.626 0.031 2.5 3.407 BUXL -11.296 0.036 2.5 -1.026 CAC 20.298 0.012 2.5 0.618 CAD -84.331 0.008 2.5 -1.630 CANOLA 254.815 0.004 2.5 2.531 CHF -86.440 0.016 2.5 -3.501 COCOA -55.751 0.009 2.5 -1.314 COFFEE -6.668 0.006 2.5 -0.094 COPPER 11.823 0.012 2.5 0.350 CORN 56.259 0.004 2.5 0.549 COTTON2 -18.813 0.007 2.5 -0.307 CRUDE_W 7.313 0.057 2.5 1.046 DAX -5.830 0.024 2.5 -0.343 DOW -6.231 0.012 2.5 -0.192 EUR -34.449 0.016 2.5 -1.395 EUROSTX 7.878 0.012 2.5 0.240 FEEDCOW -89.977 0.012 2.5 -2.617 FTSE100 -18.151 0.045 2.5 -2.025 GASOIL 20.476 0.031 2.5 1.581 GASOILINE 27.218 0.018 2.5 1.209 GAS_US -34.127 0.007 2.5 -0.556 GBP 14.232 0.008 2.5 0.275 GOLD_micro -341.719 0.010 2.5 -8.274 HEATOIL 16.437 0.031 2.5 1.269 JPY -71.227 0.028 2.5 -4.990 LEANHOG 122.535 0.020 2.5 6.196 LIVECOW -171.564 0.012 2.5 -4.989 MXP 292.249 0.005 2.5 3.872 NASDAQ -7.571 0.024 2.5 -0.445 NZD -20.239 0.007 2.5 -0.350 OAT 48.797 0.009 2.5 1.067 OJ -1.931 0.008 2.5 -0.036 PALLAD -5.700 0.010 2.5 -0.148 PLAT 23.258 0.010 2.5 0.606 REDWHEAT -46.544 0.002 2.5 -0.269 ROBUSTA -63.650 0.006 2.5 -0.893 RUSSELL -101.239 0.022 2.5 -5.675 SILVER-mini 24.483 0.010 2.5 0.593 SOYBEAN 70.829 0.026 2.5 4.520 SOYMEAL 65.605 0.026 2.5 4.186 SOYOIL 99.510 0.004 2.5 0.989 SP400 -3.867 0.022 2.5 -0.217 SP500 -6.443 0.012 2.5 -0.199 SUGAR11 138.456 0.006 2.5 2.033 US10 -87.850 0.017 2.5 -3.647 US10U -47.723 0.063 2.5 -7.525 US20 -42.495 0.032 2.5 -3.390 US30 -31.820 0.036 2.5 -2.891 US5 -114.412 0.017 2.5 -4.750 VIX -38.992 0.082 2.5 -7.952 WHEAT -65.719 0.002 2.5 -0.380 ==================== Position diags ==================== AUD 1.35 BITCOIN 18.52 BOBL 9.09 BTP 0.97 BUND 4.28 BUXL 1.92 CAC 2.20 CAD 2.15 CANOLA 3.92 CHF 2.34 COCOA 3.50 COFFEE 0.42 COPPER 1.00 CORN 1.69 COTTON2 0.67 CRUDE_W 4.45 DAX 20.84 DOW 7.89 EUR 2.07 EUROSTX 3.73 FEEDCOW 2.07 FTSE100 7.90 GASOIL 1.57 GASOILINE 1.00 GAS_US 0.31 GBP 1.21 GOLD_micro 7.95 HEATOIL 1.27 JPY 5.25 LEANHOG 4.37 LIVECOW 3.95 MXP 4.20 NASDAQ 0.68 NZD 1.52 OAT 1.16 OJ 1.71 PALLAD 0.28 PLAT 1.37 REDWHEAT 0.28 ROBUSTA 2.35 RUSSELL 18.58 SILVER-mini 1.16 SOYBEAN 4.80 SOYMEAL 5.60 SOYOIL 0.86 SP400 0.78 SP500 0.54 SUGAR11 2.63 US10 3.74 US10U 10.31 US20 3.71 US30 2.79 US5 5.58 VIX 17.06 WHEAT 0.34 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -1.1 -1.2 -1.0 -1.0 -1 BITCOIN 9.3 8.4 10.2 NaN 0 BOBL 9.3 8.4 10.2 5.0 5 BTP 1.2 1.1 1.3 1.0 1 BUND 3.4 3.1 3.7 2.0 2 BUXL -1.0 -1.1 -0.9 0.0 0 CAC 0.6 0.6 0.7 1.0 1 CAD -1.6 -1.8 -1.5 -1.0 -1 CANOLA 2.5 2.3 2.8 NaN 0 CHF -3.5 -3.9 -3.2 -2.0 -2 COCOA -1.3 -1.4 -1.2 NaN 0 COFFEE -0.1 -0.1 -0.1 NaN 0 COPPER 0.3 0.3 0.4 NaN 0 CORN 0.5 0.5 0.6 1.0 1 COTTON2 -0.3 -0.3 -0.3 NaN 0 CRUDE_W 1.0 0.9 1.2 2.0 2 DAX -0.3 -0.4 -0.3 NaN 0 DOW -0.2 -0.2 -0.2 -2.0 -2 EUR -1.4 -1.5 -1.3 -1.0 -1 EUROSTX 0.2 0.2 0.3 NaN 0 FEEDCOW -2.6 -2.9 -2.4 -2.0 -2 FTSE100 -2.0 -2.2 -1.8 0.0 0 GASOIL 1.6 1.4 1.7 1.0 1 GASOILINE 1.2 1.1 1.3 NaN 0 GAS_US -0.6 -0.6 -0.5 -1.0 -1 GBP 0.3 0.2 0.3 1.0 1 GOLD_micro -8.3 -9.1 -7.4 -4.0 -4 HEATOIL 1.3 1.1 1.4 2.0 2 JPY -5.0 -5.5 -4.5 -5.0 -5 LEANHOG 6.2 5.6 6.8 5.0 5 LIVECOW -5.0 -5.5 -4.5 -2.0 -2 MXP 3.9 3.5 4.3 NaN 0 NASDAQ -0.4 -0.5 -0.4 0.0 0 NZD -0.3 -0.4 -0.3 NaN 0 OAT 1.1 1.0 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 0.5 0.7 NaN 0 REDWHEAT -0.3 -0.3 -0.2 NaN 0 ROBUSTA -0.9 -1.0 -0.8 -1.0 -1 RUSSELL -5.7 -6.2 -5.1 -3.0 -3 SILVER-mini 0.6 0.5 0.7 NaN 0 SOYBEAN 4.5 4.1 5.0 2.0 2 SOYMEAL 4.2 3.8 4.6 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 -0.2 NaN 0 SUGAR11 2.0 1.8 2.2 1.0 1 US10 -3.6 -4.0 -3.3 NaN 0 US10U -7.5 -8.3 -6.8 0.0 0 US20 -3.4 -3.7 -3.1 -1.0 -1 US30 -2.9 -3.2 -2.6 -7.0 -7 US5 -4.8 -5.2 -4.3 -10.0 -10 VIX -8.0 -8.7 -7.2 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 -0.2 -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 -0.2 -0.1 -0.0 -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 -0.0 -0.0 -0.2 -0.1 -0.0 BITCOIN 0.1 0.0 -0.2 -0.1 -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 0.1 0.4 0.2 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 1.3 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 2.8 0.0 0.1 0.1 -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 1.0 -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 0.2 -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 1.1 0.7 0.3 0.4 -0.2 -0.2 0.0 -0.3 -0.0 1.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 2.8 0.0 0.2 0.0 -0.0 BUXL 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 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 -1.6 0.1 0.1 0.0 0.1 CAC 0.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 0.1 0.2 0.0 0.1 0.1 -0.0 0.0 -0.0 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.1 0.3 0.2 0.1 CAD 0.2 -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 0.1 -0.1 0.0 0.0 0.0 0.4 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.2 0.0 0.2 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 -0.2 -0.3 0.1 0.1 COCOA 0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.3 0.0 -0.3 0.0 -0.1 0.1 -0.1 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 1.5 -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 0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.3 0.0 -0.3 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.1 -0.2 -0.0 -0.2 -0.0 2.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 0.3 0.2 0.3 0.0 -0.0 CORN -0.0 0.2 0.3 -0.1 0.0 -0.1 0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.3 1.4 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 -0.0 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 -2.7 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 1.8 0.0 -0.2 -0.6 -0.5 CRUDE_W 0.1 0.1 -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 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 0.3 0.3 0.1 DOW 0.3 0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.3 -0.0 -0.1 -0.1 0.1 -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 0.2 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 -0.0 -0.4 -0.0 -0.2 -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 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -0.8 -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 0.2 -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 0.2 0.0 -0.5 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.2 GASOILINE 0.2 0.1 -0.3 -0.0 0.0 0.0 0.0 0.2 0.0 0.0 -0.1 0.0 0.1 0.0 -0.0 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 -1.3 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -2.7 -0.0 -0.4 -0.3 0.2 GBP 0.2 0.3 0.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.3 0.0 -0.1 -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 -0.3 -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 0.8 0.0 0.2 0.1 0.3 JPY 0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.4 -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 -0.1 -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 0.7 0.8 0.4 0.4 0.1 0.0 0.0 0.0 0.0 0.9 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 2.7 -0.1 0.4 0.1 0.1 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 -1.6 -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 0.0 -0.1 0.0 -0.1 -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 1.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.3 -0.5 -0.2 -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 -0.2 -0.1 0.0 -0.0 0.0 -0.1 -0.2 0.0 -0.2 0.0 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.5 0.0 0.2 -0.0 -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 2.2 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 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.1 -0.2 -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 -0.1 0.1 PLAT 0.1 0.2 0.1 -0.1 -0.0 -0.1 -0.1 -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 0.9 -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 0.5 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 0.0 RUSSELL 0.3 -0.1 0.2 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -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 0.0 0.1 0.2 SILVER-mini -0.0 0.2 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 3.9 -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 0.1 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 0.2 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 -0.1 0.0 -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 0.0 0.3 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 0.0 -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 0.0 -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 1.6 -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 -0.4 -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 -0.3 -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 0.0 -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 0.5 -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 -0.0 -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 0.1 -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 0.0 0.1 0.2 0.1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 12.3 -13.6 -9.7 -3.9 -2.7 -5.3 -0.2 -5.3 -1.3 -8.2 -14.2 1.7 -13.5 -8.8 -12.0 -2.7 -1.6 -2.2 -1.9 -16.7 -18.4 -3.1 -14.7 -8.1 -6.5 -0.0 -5.1 -3.2 -5.7 -0.9 -4.8 -2.4 -0.2 -0.8 -7.7 -7.3 -2.5 BITCOIN 9.8 2.3 -14.3 -3.6 -4.0 -3.3 -3.2 -1.7 -3.1 4.6 -15.7 7.7 -15.6 0.3 -8.5 -0.0 -1.5 -0.3 -0.7 -5.8 -20.0 5.6 -20.0 3.6 16.8 -0.0 -1.0 0.8 -5.6 3.0 -6.4 2.3 0.2 14.2 19.3 10.9 4.4 BOBL 12.9 -12.7 -19.1 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 -3.0 -13.3 -0.9 -12.3 -8.7 -13.3 20.0 18.5 20.0 20.0 -20.0 -20.0 -0.5 -20.0 -7.3 9.0 -0.0 -4.8 -2.1 -7.3 0.2 -8.6 -1.3 20.0 6.6 10.8 5.8 -2.0 BTP 20.0 2.4 -2.9 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 2.4 -12.5 5.5 -12.9 0.8 -9.5 20.0 13.5 19.9 17.8 -9.7 -18.8 9.0 -20.0 3.6 8.4 -0.0 -3.2 -0.1 -7.1 3.1 -9.4 1.3 20.0 20.0 20.0 20.0 6.1 BUND 14.2 -12.0 -16.0 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 0.8 -13.4 2.0 -12.8 -7.3 -13.0 13.1 16.7 15.2 16.3 -20.0 -20.0 1.3 -20.0 -7.2 8.3 -0.0 -4.8 -1.4 -6.9 0.5 -7.7 -1.4 20.0 7.6 10.0 3.2 -0.9 BUXL 9.2 -8.2 -8.1 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 7.3 -13.5 5.4 -13.0 -5.9 -12.2 6.0 -4.5 5.7 0.1 -20.0 -20.0 4.1 -20.0 -7.4 6.4 -0.0 -5.0 0.3 -6.5 0.9 -6.8 -1.8 -11.8 9.9 4.4 3.1 3.7 CAC 20.0 0.5 -2.3 -1.8 -2.1 -3.2 1.6 -2.7 1.1 5.5 -2.9 13.2 -6.9 11.5 0.4 1.1 4.6 1.6 2.8 4.6 -3.3 15.3 -3.4 15.1 -7.9 -0.0 1.2 0.9 -1.4 4.9 -1.6 4.8 8.3 9.1 15.6 17.5 9.4 CAD 13.3 -14.3 -15.1 -3.9 -2.7 -5.3 -0.2 -5.3 -1.3 -7.7 -13.2 4.8 -13.2 -8.8 -11.6 -2.0 -0.5 -1.5 -1.0 -15.9 -18.3 -1.4 -13.6 -6.0 -6.1 -0.0 -5.0 -2.6 -5.9 -0.6 -4.7 -2.0 1.5 -3.2 1.1 -8.7 -8.3 CANOLA 11.5 20.0 -10.7 -3.8 3.5 -3.3 0.3 0.5 -2.8 13.2 -9.4 10.7 -0.4 15.0 7.4 20.0 13.3 8.0 7.8 6.4 -7.7 14.0 0.5 13.7 1.9 -0.0 4.0 7.5 1.0 5.0 2.6 4.8 -1.3 14.1 16.0 20.0 16.6 CHF -1.3 -10.3 -1.3 -3.9 -2.7 -5.3 -0.2 -5.3 -1.3 -11.4 -13.0 -10.0 -11.8 -13.3 -13.5 -12.7 -11.1 -12.5 -12.1 -13.8 -13.0 -11.2 -11.9 -11.8 -2.7 -0.0 -5.4 -7.2 -5.8 -4.3 -6.3 -4.5 -17.1 -16.5 -15.0 4.8 5.5 COCOA 2.3 2.2 -2.1 -3.8 3.5 -3.3 0.3 0.5 -2.8 9.8 -11.5 3.9 -12.2 4.7 -2.4 1.7 -3.7 0.5 -1.6 -2.9 -7.8 6.5 -10.4 1.4 11.6 -0.0 -0.9 7.9 -4.6 5.4 -6.4 1.8 -20.0 10.0 4.3 5.4 3.8 COFFEE -20.0 -20.0 -8.9 -3.8 3.5 -3.3 0.3 0.5 -2.8 -10.0 -8.7 -13.8 -0.4 -15.1 -12.1 8.6 5.3 10.2 8.7 -20.0 -13.0 -20.0 -2.2 -20.0 9.2 -0.0 -5.2 -3.6 -2.8 -6.0 -0.3 -6.9 -7.2 -20.0 -20.0 -20.0 -13.9 COPPER 7.9 9.7 -2.6 -3.6 -4.0 -3.3 -3.2 -1.7 -3.1 -4.8 -12.8 0.6 -11.5 -2.1 -4.0 1.1 0.2 0.9 0.4 -6.5 -15.2 -0.4 -16.4 -1.0 18.5 -0.0 -3.6 -1.0 -7.1 0.4 -6.6 -0.4 2.5 10.6 14.9 0.3 -1.2 CORN -3.9 10.8 16.9 -3.8 3.5 -3.3 0.3 0.5 -2.8 -2.8 2.5 -5.5 5.6 4.0 13.1 16.8 12.5 12.9 11.7 10.4 11.4 0.7 16.3 4.8 -20.0 -0.0 3.7 -0.7 6.0 0.3 10.5 1.5 1.3 -0.6 8.4 11.5 19.5 COTTON2 -7.7 -20.0 -20.0 -3.8 3.5 -3.3 0.3 0.5 -2.8 11.5 -13.2 -5.3 1.3 -13.1 -14.5 2.8 19.6 10.3 17.0 -20.0 -17.5 -2.2 -1.7 -19.1 -10.8 -0.0 -5.2 4.8 -3.0 -0.4 1.4 -4.1 13.7 8.2 -12.3 -20.0 -17.0 CRUDE_W 10.5 3.3 -13.6 -0.9 0.9 0.5 1.1 6.9 0.7 10.4 -5.8 5.5 4.3 10.2 2.8 6.9 14.5 9.1 12.2 2.3 -1.8 10.2 5.6 9.2 9.8 -0.0 1.5 4.2 1.2 5.0 7.2 4.2 -20.0 5.3 11.4 6.0 8.6 DAX 20.0 1.4 -2.7 -1.8 -2.1 -3.2 1.6 -2.7 1.1 6.8 -8.3 13.4 -10.9 9.6 -0.8 -3.7 -1.1 -2.7 -1.9 2.7 -9.7 16.7 -14.0 16.0 0.8 -0.0 1.4 0.4 -2.8 5.4 -5.1 5.4 -0.7 9.4 17.2 19.1 6.1 DOW 20.0 1.1 0.8 -1.8 -2.1 -3.2 1.6 -2.7 1.1 1.9 -5.9 11.0 -7.4 9.2 -0.8 -4.5 -1.1 -3.8 -2.8 4.3 -5.6 18.7 -7.0 17.9 -2.1 -0.0 1.1 0.6 -1.6 5.3 -1.7 5.0 -1.5 20.0 20.0 13.1 8.3 EUR 14.4 10.0 3.4 -3.9 -2.7 -5.3 -0.2 -5.3 -1.3 -10.9 -13.3 -3.6 -14.7 -1.1 -7.3 -7.6 -8.3 -8.1 -8.5 -7.9 -16.5 -4.6 -20.0 -1.5 7.8 -0.0 -4.0 -7.1 -8.9 -1.8 -12.3 -0.6 -11.7 -8.3 2.4 13.6 -2.3 EUROSTX 20.0 0.8 -1.6 -1.8 -2.1 -3.2 1.6 -2.7 1.1 6.8 -6.0 13.2 -9.7 10.7 -0.6 -0.8 3.0 0.0 1.2 3.8 -5.6 16.5 -7.9 15.4 -6.0 -0.0 1.7 1.0 -1.6 5.6 -3.0 5.5 5.4 10.0 14.6 19.7 9.9 FEEDCOW 12.5 -16.1 -4.7 -3.8 3.5 -3.3 0.3 0.5 -2.8 -6.4 -2.4 6.4 -1.5 -3.5 -6.9 -15.1 -20.0 -15.6 -20.0 -6.1 -5.9 1.0 -3.0 -0.8 1.6 -0.0 -2.9 -0.7 -2.8 0.3 -1.2 -0.6 -20.0 -0.5 12.3 -16.1 -3.1 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 4.1 3.5 -10.8 -0.9 0.9 0.5 1.1 6.9 0.7 6.1 7.6 -4.8 11.1 5.6 5.1 20.0 20.0 20.0 20.0 7.6 10.1 5.0 18.6 7.2 -4.5 -0.0 3.1 3.6 4.1 2.2 8.9 3.1 0.0 1.7 6.7 7.5 14.0 GASOILINE 12.8 4.8 -20.0 -0.9 0.9 0.5 1.1 6.9 0.7 12.2 -5.4 11.2 5.1 11.3 -1.8 20.0 20.0 20.0 20.0 2.0 -0.5 15.5 11.8 11.2 0.6 -0.0 1.9 8.3 2.2 7.6 10.2 5.6 10.0 17.8 11.5 13.6 1.8 GAS_US -8.8 -20.0 -12.2 -0.9 0.9 0.5 1.1 6.9 0.7 4.5 -4.5 -6.1 3.3 -13.0 -11.3 -20.0 -10.2 -20.0 -14.5 -20.0 -9.1 -7.7 4.3 -18.6 -11.1 -0.0 -4.2 -0.2 -0.2 -2.0 4.6 -4.6 -20.0 -1.9 -20.0 -20.0 14.8 GBP 20.0 19.6 5.9 -3.9 -2.7 -5.3 -0.2 -5.3 -1.3 -8.0 -10.6 3.5 -12.8 6.6 -3.4 -1.6 -1.3 -1.6 -1.6 -5.9 -14.3 -1.2 -16.3 2.1 16.4 -0.0 -4.1 -5.2 -7.3 -0.6 -7.9 -0.5 0.2 -6.7 9.1 2.7 -11.3 GOLD_micro -4.8 -2.0 -14.3 -3.6 -4.0 -3.3 -3.2 -1.7 -3.1 -11.8 -14.7 -12.8 -12.9 -11.4 -13.0 -10.6 -7.3 -9.8 -8.8 -16.5 -19.4 -10.2 -15.3 -12.2 10.5 -0.0 -5.4 -3.9 -5.6 -3.6 -3.8 -4.2 -11.6 1.3 -8.4 -14.5 -13.7 HEATOIL 7.8 1.6 -16.3 -0.9 0.9 0.5 1.1 6.9 0.7 10.0 5.5 2.7 10.0 9.4 4.6 20.0 20.0 20.0 20.0 7.6 9.1 8.7 18.4 9.5 -14.7 -0.0 3.6 4.8 5.9 3.6 13.3 3.9 5.6 9.7 9.9 4.9 18.2 JPY 8.9 -3.4 -14.8 -3.9 -2.7 -5.3 -0.2 -5.3 -1.3 -5.1 -16.1 -3.9 -16.0 -9.8 -14.7 -13.9 -9.6 -13.1 -11.7 -20.0 -20.0 -4.8 -20.0 -13.1 20.0 -0.0 -6.1 -0.8 -8.2 -1.1 -10.0 -3.4 -15.3 8.1 -18.7 -5.9 -11.2 LEANHOG 20.0 1.4 -3.9 -3.8 3.5 -3.3 0.3 0.5 -2.8 -12.4 -5.8 8.9 -1.2 10.6 6.3 8.3 20.0 20.0 20.0 7.1 1.1 4.4 2.8 11.8 5.7 -0.0 1.4 -2.5 -0.3 0.9 0.8 3.0 20.0 -9.7 20.0 11.2 9.1 LIVECOW 19.5 2.9 10.0 -3.8 3.5 -3.3 0.3 0.5 -2.8 -12.8 3.1 6.7 -3.2 8.7 8.9 -20.0 -20.0 -20.0 -20.0 9.6 4.2 4.5 -0.9 11.8 -9.7 -0.0 3.6 -2.8 2.4 1.8 1.4 4.5 -20.0 1.2 20.0 13.3 18.7 MXP 9.4 4.9 11.6 -3.9 -2.7 -5.3 -0.2 -5.3 -1.3 13.4 15.5 15.5 14.6 15.6 15.9 18.9 19.7 18.3 19.0 12.9 12.5 18.0 13.3 15.3 -20.0 -0.0 5.4 9.2 3.8 9.3 3.7 7.5 20.0 20.0 20.0 20.0 20.0 NASDAQ 13.1 -11.6 -0.6 -1.8 -2.1 -3.2 1.6 -2.7 1.1 -12.3 -13.1 -4.2 -12.2 -10.1 -12.0 -4.6 -2.7 -4.3 -3.7 -13.3 -15.3 -11.2 -13.8 -9.2 9.4 -0.0 -4.6 -7.5 -5.3 -3.5 -4.1 -3.0 -3.6 -20.0 -20.0 -11.5 -4.2 NZD 20.0 -7.2 -5.7 -3.9 -2.7 -5.3 -0.2 -5.3 -1.3 4.6 -13.8 12.0 -14.1 -3.5 -10.2 -1.0 0.9 -0.6 0.1 -12.5 -20.0 9.3 -19.2 2.0 2.3 -0.0 -4.0 0.3 -6.1 2.5 -5.9 0.3 3.7 10.5 13.2 -3.1 -3.1 OAT 17.6 -7.3 -7.2 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 1.0 -13.0 3.0 -12.7 -5.6 -11.9 17.5 11.4 14.2 13.3 -17.0 -20.0 3.7 -20.0 -3.6 12.0 -0.0 -4.5 -1.1 -7.0 1.2 -8.4 -0.7 15.9 12.9 15.3 5.5 1.4 OJ 14.3 20.0 10.8 -3.8 3.5 -3.3 0.3 0.5 -2.8 13.7 15.0 14.8 13.8 15.7 15.6 17.7 10.9 16.9 15.3 20.0 20.0 20.0 19.7 20.0 -20.0 -0.0 6.2 5.2 6.0 4.6 5.3 5.5 3.5 20.0 20.0 20.0 20.0 PALLAD -20.0 -10.2 1.9 -3.6 -4.0 -3.3 -3.2 -1.7 -3.1 -13.4 -9.7 -15.1 -5.3 -14.9 -7.5 -2.0 -1.1 -1.6 -1.3 -13.1 -6.0 -20.0 -4.7 -20.0 -2.1 -0.0 -3.9 -8.0 -1.2 -8.5 -0.6 -7.2 0.0 -20.0 -20.0 -5.6 8.5 PLAT 9.2 12.9 8.4 -3.6 -4.0 -3.3 -3.2 -1.7 -3.1 -7.5 -3.8 5.6 -8.4 10.6 8.7 0.7 -0.4 0.2 -0.1 6.8 0.4 4.3 -4.8 9.0 5.5 -0.0 2.6 -2.9 -1.1 2.3 -3.8 4.4 1.7 11.6 20.0 20.0 11.8 REDWHEAT -7.7 11.6 -6.1 -3.8 3.5 -3.3 0.3 0.5 -2.8 -5.5 -8.8 -8.4 -2.5 -0.9 4.1 0.9 -1.3 0.6 -0.1 1.1 -1.5 -1.4 1.9 0.2 -14.4 -0.0 2.0 -1.7 2.8 0.1 6.0 0.8 -20.0 -0.7 -0.3 19.5 9.6 ROBUSTA -20.0 -20.0 -2.4 -3.8 3.5 -3.3 0.3 0.5 -2.8 -12.0 -5.9 -14.7 4.8 -15.8 -10.6 6.9 6.2 6.7 6.2 -20.0 -9.4 -20.0 1.8 -20.0 1.9 -0.0 -4.6 -3.0 -1.7 -5.8 0.4 -6.8 -8.6 -20.0 -20.0 -20.0 3.2 RUSSELL 19.6 -4.7 8.5 -1.8 -2.1 -3.2 1.6 -2.7 1.1 -1.7 -8.7 7.8 -11.1 1.3 -5.9 -4.0 -1.6 -3.4 -2.7 -1.5 -7.2 6.8 -9.5 6.4 -3.4 -0.0 -0.4 -2.9 -2.3 2.7 -2.6 2.7 -1.9 6.8 0.9 6.8 11.1 SILVER-mini -1.2 13.5 6.1 -3.6 -4.0 -3.3 -3.2 -1.7 -3.1 5.5 -11.8 1.0 -12.1 -1.7 -2.2 -5.4 -3.0 -4.2 -3.6 -2.2 -9.1 6.0 -12.8 2.6 18.1 -0.0 -0.8 2.8 -5.8 3.5 -8.5 2.2 -3.4 18.9 7.8 20.0 -6.3 SOYBEAN 5.4 1.0 1.6 -3.8 3.5 -3.3 0.3 0.5 -2.8 9.3 -1.8 10.5 3.6 6.8 7.0 12.8 20.0 17.8 20.0 2.4 0.4 14.6 5.6 7.9 -15.1 -0.0 3.7 11.2 5.0 10.7 10.5 6.2 20.0 20.0 17.4 14.9 14.1 SOYMEAL 4.6 -4.1 2.9 -3.8 3.5 -3.3 0.3 0.5 -2.8 1.1 -3.1 8.5 7.0 -1.7 2.5 16.3 14.7 14.7 15.6 1.0 1.9 5.4 5.4 3.4 -8.4 -0.0 2.7 -1.8 4.5 3.3 8.1 3.0 7.3 5.8 17.7 10.5 17.6 SOYOIL 20.0 12.3 4.9 -3.8 3.5 -3.3 0.3 0.5 -2.8 14.0 0.0 15.6 4.4 15.2 13.0 20.0 20.0 20.0 20.0 15.9 7.1 20.0 10.1 20.0 -20.0 -0.0 5.2 10.9 3.6 9.9 4.8 7.7 18.8 20.0 20.0 20.0 20.0 SP400 19.2 -5.6 3.3 -1.8 -2.1 -3.2 1.6 -2.7 1.1 0.1 -8.0 8.7 -8.4 1.0 -5.0 0.1 -1.2 -0.2 -0.7 -1.3 -6.5 7.5 -6.9 6.8 -5.6 -0.0 -0.2 -2.2 -1.9 2.9 -1.4 2.8 0.0 7.5 1.5 6.7 12.1 SP500 20.0 -8.4 -1.0 -1.8 -2.1 -3.2 1.6 -2.7 1.1 -9.3 -11.0 4.5 -9.9 -4.3 -8.6 -4.5 -2.5 -4.1 -3.4 -6.9 -11.3 0.3 -9.7 0.7 6.8 -0.0 -2.6 -4.5 -4.6 0.4 -4.1 0.4 -3.2 -1.6 -5.7 -3.0 1.7 SUGAR11 -0.7 8.4 -2.1 -3.8 3.5 -3.3 0.3 0.5 -2.8 12.9 -6.9 2.9 -5.4 3.2 -0.3 20.0 15.7 20.0 20.0 1.5 -1.5 4.9 -1.1 1.9 -6.2 -0.0 1.4 7.7 0.6 2.5 0.7 0.9 11.8 -2.6 9.8 12.6 5.7 US10 0.1 -12.2 -19.9 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 -8.4 -14.7 -5.9 -14.2 -11.9 -14.4 -4.3 2.8 -3.2 -1.2 -20.0 -20.0 -9.3 -20.0 -17.0 -4.6 -0.0 -5.7 -2.7 -6.4 -1.9 -6.5 -3.5 -4.6 -3.9 -2.6 -6.4 -5.0 US10U -2.5 -14.0 -19.0 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 -3.8 -14.7 -5.6 -13.8 -11.9 -14.4 -0.4 6.0 0.6 2.5 -20.0 -20.0 -8.4 -20.0 -17.8 -5.5 -0.0 -5.7 -2.1 -6.1 -1.7 -6.0 -3.7 1.5 -3.6 -4.5 -6.0 -2.9 US20 -8.2 -19.2 -20.0 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 -1.1 -15.0 -7.5 -14.0 -12.2 -14.7 1.4 3.0 1.8 2.2 -20.0 -20.0 -13.6 -20.0 -20.0 -6.2 -0.0 -6.0 -1.9 -5.7 -2.6 -5.0 -4.7 -1.5 -16.6 -17.6 -11.6 -6.4 US30 -5.6 -14.8 -16.6 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 4.2 -15.6 -5.0 -15.2 -10.9 -14.3 -1.4 0.7 -0.9 -0.4 -20.0 -20.0 -8.8 -20.0 -20.0 -3.8 -0.0 -5.9 -1.0 -6.0 -2.0 -5.9 -4.5 -5.7 -9.3 -16.1 -3.3 -1.8 US5 2.4 -11.7 -19.8 -4.6 -1.6 -5.3 -0.9 -5.4 -2.6 -10.4 -14.6 -5.9 -14.4 -11.8 -14.1 -4.7 4.7 -3.7 -0.9 -20.0 -20.0 -10.2 -20.0 -16.9 -2.1 -0.0 -5.7 -3.1 -6.7 -2.1 -7.4 -3.5 -2.4 -3.5 -2.2 -8.9 -7.0 VIX -16.9 10.0 -1.2 -1.1 -6.4 -0.3 -7.6 -0.9 -4.5 -13.3 -5.2 -14.9 -6.2 -4.3 -0.3 -0.3 -17.4 -3.9 -10.0 -2.6 -1.4 -20.0 -3.7 -12.2 NaN -0.0 -1.3 -7.4 -0.3 -8.8 -1.2 -5.3 NaN NaN NaN NaN NaN WHEAT -3.0 9.5 -7.6 -3.8 3.5 -3.3 0.3 0.5 -2.8 -7.2 -9.5 -5.3 -4.8 2.2 5.4 -2.8 -3.6 -3.4 -3.6 0.7 -3.7 0.7 -0.6 2.0 -14.5 -0.0 1.7 -2.1 2.0 1.3 5.5 1.6 -20.0 2.6 4.0 16.6 4.6 End of report for caleb_strategy_v1