******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221104_204331 produced at 2022-11-04 21:35:14.461854 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.30 0.0 37805484.29 -37805484.29 0.00 0.00 -7.87 999999999 0 0 caleb_strategy_v1 US5 False False 0.03 -0.35 -0.17 0.0 34867566.58 -34867566.58 -0.35 -0.38 -4.91 999999999 -10 -11 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.14 0.0 39155130.33 -39155130.33 -0.04 -0.04 -3.49 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.14 0.0 36112012.07 -36112012.07 0.00 0.00 -3.77 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.13 0.0 28136271.11 -28136271.11 -0.14 -0.14 -4.79 999999999 -5 -5 caleb_strategy_v1 CHF False False 0.04 -0.08 -0.12 0.0 41515727.96 -41515727.96 -0.08 -0.08 -2.97 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.04 -0.29 -0.12 0.0 41372039.41 -41372039.41 -0.29 -0.29 -2.95 999999999 -7 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.10 0.0 20290465.65 -20290465.65 -0.04 -0.06 -5.17 999999999 -2 -3 caleb_strategy_v1 VIX False False 0.01 0.00 -0.08 0.0 8933322.53 -8933322.53 0.00 -0.02 -9.24 999999999 0 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.08 0.0 29833848.71 -29833848.71 -0.06 -0.06 -2.73 999999999 -2 -2 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.05 0.0 41023081.50 -41023081.50 -0.04 -0.04 -1.12 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 46405997.39 -46405997.39 0.00 0.00 -1.02 999999999 0 0 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 26407109.64 -26407109.64 0.00 0.00 -2.04 999999999 0 0 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.03 0.0 24382715.60 -24382715.60 -0.02 -0.02 -1.20 999999999 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.03 0.0 5529135.47 -5529135.47 -0.02 -0.02 -5.71 999999999 -3 -4 caleb_strategy_v1 NASDAQ False False 0.07 0.00 -0.03 0.0 71533908.55 -71533908.55 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.02 0.0 21303675.21 -21303675.21 -0.02 -0.02 -0.86 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 2964582.20 -2964582.20 -0.01 -0.02 -5.99 999999999 -4 -6 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 79086178.83 -79086178.83 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.01 0.0 6161365.09 -6161365.09 -0.01 -0.01 -0.87 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14660337.66 -14660337.66 0.00 0.00 -0.39 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 7974304.08 -7974304.08 0.00 0.00 -1.07 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 22412129.75 -22412129.75 -0.02 -0.02 -0.51 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 61983135.80 -61983135.80 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 61153847.58 -61153847.58 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10446568.24 -10446568.24 0.00 0.00 0.01 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14078193.75 -14078193.75 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15620998.26 -15620998.26 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21134533.25 -21134533.25 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 DAX False False 0.00 0.00 0.00 0.0 4418777.50 -4418777.50 0.00 0.00 1.07 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.00 0.0 19502231.31 -19502231.31 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.00 0.0 12095528.23 -12095528.23 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.00 0.0 5324030.32 -5324030.32 -0.01 -0.01 -0.10 999999999 -1 -1 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 23380180.05 -23380180.05 0.02 0.02 0.26 999999999 1 1 caleb_strategy_v1 CORN False False 0.01 0.01 0.01 0.0 10263467.98 -10263467.98 0.01 0.01 0.56 999999999 1 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15900985.66 -15900985.66 0.00 0.00 0.62 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4370775.28 -4370775.28 0.00 0.00 2.67 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 30433235.24 -30433235.24 0.00 0.00 0.45 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 696273.67 -696273.67 0.00 0.00 9.69 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 17181045.39 -17181045.39 0.00 0.00 0.60 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 14375423.78 -14375423.78 0.01 0.01 1.01 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 6871301.49 -6871301.49 0.01 0.01 2.13 999999999 1 1 caleb_strategy_v1 CAC False False 0.02 0.02 0.02 0.0 21051846.46 -21051846.46 0.02 0.02 0.74 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8348715.39 -8348715.39 0.00 0.00 3.95 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.03 0.0 26497811.08 -26497811.08 0.05 0.05 1.24 999999999 2 2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 0.04 0.0 36279864.93 -36279864.93 0.00 0.00 1.24 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.05 0.0 42954338.67 -42954338.67 0.00 0.00 1.11 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 37150317.29 -37150317.29 0.04 0.04 1.24 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.06 0.0 13252189.85 -13252189.85 0.07 0.07 4.23 999999999 5 5 caleb_strategy_v1 GASOIL False False 0.04 0.04 0.06 0.0 35010741.96 -35010741.96 0.04 0.04 1.62 999999999 1 1 caleb_strategy_v1 LEANHOG False False 0.01 0.06 0.07 0.0 11353858.81 -11353858.81 0.06 0.06 6.05 999999999 5 5 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.07 0.0 49353913.82 -49353913.82 0.10 0.10 1.37 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.06 0.07 0.0 6160362.50 -6160362.50 0.06 0.06 12.12 999999999 10 10 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.11 0.0 22986062.88 -22986062.88 0.05 0.05 4.78 999999999 2 2 caleb_strategy_v1 BUND False False 0.04 0.09 0.15 0.0 44743966.46 -44743966.46 0.09 0.09 3.44 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.19 0.37 0.0 38871239.07 -38871239.07 0.19 0.19 9.54 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 11.7 Shocked risk 24.9 Sum abs risk 43.1 Leverage 2.94 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3044779.8, 'annual_cash_vol_target': 761194.95, 'daily_cash_vol_target': 47574.684375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0069 0.6486 1.0580 16.9278 BITCOIN 672.4775 21200.0000 3.1721 50.7530 BOBL 0.4069 118.8100 0.3425 5.4800 BTP 1.0659 113.5500 0.9387 15.0195 BUND 0.8662 136.7600 0.6334 10.1342 BUXL 2.2545 141.8400 1.5895 25.4318 CAC 73.3043 6434.5000 1.1392 18.2278 CAD 0.0049 0.7424 0.6625 10.5996 CANOLA 7.9883 896.5000 0.8911 14.2568 CHF 0.0074 1.0112 0.7279 11.6466 COCOA 32.9022 2428.0000 1.3551 21.6818 COFFEE 0.0424 1.7160 2.4707 39.5312 COPPER 0.0752 3.7065 2.0278 32.4441 CORN 5.3511 625.0000 0.8562 13.6988 COTTON2 0.0232 0.8573 2.7096 43.3537 CRUDE_W 1.5546 80.6800 1.9268 30.8293 DAX 147.3173 13506.0000 1.0908 17.4521 DOW 366.6749 32421.0000 1.1310 18.0957 EUR 0.0083 0.9992 0.8273 13.2366 EUROSTX 42.9991 3697.0000 1.1631 18.6093 FEEDCOW 1.2982 181.6750 0.7146 11.4336 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 22.8581 1066.0000 2.1443 34.3085 GASOILINE 0.0507 2.6301 1.9263 30.8216 GAS_US 0.2589 6.8240 3.7939 60.7019 GBP 0.0124 1.1390 1.0895 17.4324 GOLD_micro 17.2585 1683.5000 1.0252 16.4025 HEATOIL 0.0672 3.5779 1.8777 30.0427 JPY 0.0001 0.0069 0.7574 12.1189 LEANHOG 1.3458 86.4250 1.5572 24.9156 LIVECOW 0.8585 154.4500 0.5558 8.8936 MXP 0.0003 0.0508 0.5877 9.4038 NASDAQ 202.2539 10890.2500 1.8572 29.7152 NZD 0.0060 0.5938 1.0093 16.1488 OAT 0.8949 131.2900 0.6816 10.9063 OJ 0.0329 2.1205 1.5513 24.8211 PALLAD 45.3442 1862.0000 2.4352 38.9638 PLAT 19.4637 968.3000 2.0101 32.1615 REDWHEAT 18.8697 951.2500 1.9837 31.7388 ROBUSTA 28.9880 1876.0000 1.5452 24.7233 RUSSELL 28.1736 1805.3000 1.5606 24.9697 SILVER-mini 0.4691 20.9250 2.2417 35.8665 SOYBEAN 12.4207 1399.7500 0.8874 14.1976 SOYMEAL 5.3466 403.5000 1.3251 21.2008 SOYOIL 0.9267 72.9500 1.2703 20.3252 SP400 33.8542 2408.0000 1.4059 22.4945 SP500 53.3794 3774.5000 1.4142 22.6274 SUGAR11 0.0023 0.1868 1.2544 20.0711 US10 0.5148 109.9531 0.4682 7.4913 US10U 0.7069 115.1094 0.6141 9.8260 US20 0.9983 119.2188 0.8373 13.3975 US30 1.5378 125.9688 1.2208 19.5330 US5 0.3467 106.1641 0.3266 5.2255 VIX 0.5558 27.2000 2.0432 32.6913 WHEAT 15.7614 892.7500 1.7655 28.2478 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 648.65 1.06 686.26 1.00 686.26 47574.68 69.32 -7.18 -49.76 BITCOIN 21.20 3.17 67.25 1.00 67.25 47574.68 707.45 5.37 380.01 BOBL 1188.10 0.34 406.92 0.97 396.75 47574.68 119.91 10.19 122.21 BTP 1135.50 0.94 1065.91 0.97 1039.25 47574.68 45.78 12.43 56.89 BUND 1367.60 0.63 866.22 0.97 844.56 47574.68 56.33 7.81 44.01 BUXL 1418.40 1.59 2254.53 0.97 2198.14 47574.68 21.64 -5.20 -11.25 CAC 643.45 1.14 733.04 0.97 714.71 47574.68 66.57 3.65 24.28 CAD 742.40 0.66 491.82 1.00 491.82 47574.68 96.73 -6.44 -62.33 CANOLA 179.30 0.89 159.77 0.73 116.26 47574.68 409.20 6.58 269.27 CHF 1264.06 0.73 920.12 1.00 920.12 47574.68 51.70 -14.20 -73.42 COCOA 242.80 1.36 329.02 1.00 329.02 47574.68 144.59 -3.14 -45.35 COFFEE 643.50 2.47 1589.90 1.00 1589.90 47574.68 29.92 -2.35 -7.04 COPPER 926.62 2.03 1878.97 1.00 1878.97 47574.68 25.32 6.02 15.23 CORN 312.50 0.86 267.56 1.00 267.56 47574.68 177.81 3.23 57.44 COTTON2 428.65 2.71 1161.47 1.00 1161.47 47574.68 40.96 -4.30 -17.60 CRUDE_W 806.80 1.93 1554.57 1.00 1554.57 47574.68 30.60 2.83 8.65 DAX 135.06 1.09 147.32 0.97 143.63 47574.68 331.22 0.55 18.19 DOW 162.10 1.13 183.34 1.00 183.34 47574.68 259.49 -0.13 -3.30 EUR 1249.06 0.83 1033.34 1.00 1033.34 47574.68 46.04 -6.02 -27.70 EUROSTX 369.70 1.16 429.99 0.97 419.24 47574.68 113.48 1.04 11.85 FEEDCOW 908.38 0.71 649.12 1.00 649.12 47574.68 73.29 -12.79 -93.75 FTSE100 706.85 0.82 576.59 1.12 666.67 47574.68 71.36 -2.56 -18.29 GASOIL 1066.00 2.14 2285.81 1.00 2285.81 47574.68 20.81 10.08 20.97 GASOILINE 1104.64 1.93 2127.93 1.00 2127.93 47574.68 22.36 12.47 27.89 GAS_US 682.40 3.79 2588.94 1.00 2588.94 47574.68 18.38 -16.97 -31.19 GBP 711.88 1.09 775.60 1.00 775.60 47574.68 61.34 2.22 13.61 GOLD_micro 168.35 1.03 172.59 1.00 172.59 47574.68 275.66 -8.55 -235.76 HEATOIL 1502.72 1.88 2821.61 1.00 2821.61 47574.68 16.86 10.49 17.69 JPY 856.69 0.76 648.88 1.00 648.88 47574.68 73.32 -9.33 -68.37 LEANHOG 345.70 1.56 538.33 1.00 538.33 47574.68 88.37 13.53 119.60 LIVECOW 617.80 0.56 343.40 1.00 343.40 47574.68 138.54 -12.84 -177.85 MXP 254.20 0.59 149.40 1.00 149.40 47574.68 318.43 9.37 298.46 NASDAQ 2178.05 1.86 4045.08 1.00 4045.08 47574.68 11.76 -6.52 -7.67 NZD 593.80 1.01 599.32 1.00 599.32 47574.68 79.38 -1.43 -11.38 OAT 1312.90 0.68 894.93 0.97 872.54 47574.68 54.52 9.29 50.66 OJ 318.08 1.55 493.44 1.00 493.44 47574.68 96.42 0.03 0.29 PALLAD 1862.00 2.44 4534.42 1.00 4534.42 47574.68 10.49 -5.26 -5.51 PLAT 484.15 2.01 973.19 1.00 973.19 47574.68 48.89 4.84 23.66 REDWHEAT 475.62 1.98 943.49 1.00 943.49 47574.68 50.42 -9.35 -47.16 ROBUSTA 187.60 1.55 289.88 1.00 289.88 47574.68 164.12 -3.80 -62.32 RUSSELL 90.26 1.56 140.87 1.00 140.87 47574.68 337.73 -3.16 -106.87 SILVER-mini 523.12 2.24 1172.67 1.00 1172.67 47574.68 40.57 6.07 24.64 SOYBEAN 699.88 0.89 621.03 1.00 621.03 47574.68 76.61 9.79 74.99 SOYMEAL 403.50 1.33 534.66 1.00 534.66 47574.68 88.98 7.45 66.28 SOYOIL 437.70 1.27 556.02 1.00 556.02 47574.68 85.56 11.87 101.58 SP400 2408.00 1.41 3385.42 1.00 3385.42 47574.68 14.05 -2.68 -3.77 SP500 1887.25 1.41 2668.97 1.00 2668.97 47574.68 17.83 -3.86 -6.88 SUGAR11 209.22 1.25 262.45 1.00 262.45 47574.68 181.27 7.98 144.74 US10 1099.53 0.47 514.81 1.00 514.81 47574.68 92.41 -9.82 -90.77 US10U 1151.09 0.61 706.92 1.00 706.92 47574.68 67.30 -7.42 -49.92 US20 1192.19 0.84 998.27 1.00 998.27 47574.68 47.66 -9.17 -43.70 US30 1259.69 1.22 1537.84 1.00 1537.84 47574.68 30.94 -10.50 -32.48 US5 1061.64 0.33 346.73 1.00 346.73 47574.68 137.21 -8.62 -118.21 VIX 272.00 2.04 555.75 1.00 555.75 47574.68 85.60 -5.29 -45.32 WHEAT 446.38 1.77 788.07 1.00 788.07 47574.68 60.37 -11.13 -67.18 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -49.762 0.007 2.5 -0.860 BITCOIN 380.005 0.010 2.5 9.689 BOBL 122.209 0.031 2.5 9.543 BTP 56.887 0.009 2.5 1.243 BUND 44.014 0.031 2.5 3.437 BUXL -11.249 0.036 2.5 -1.022 CAC 24.280 0.012 2.5 0.739 CAD -62.332 0.008 2.5 -1.204 CANOLA 269.267 0.004 2.5 2.675 CHF -73.423 0.016 2.5 -2.974 COCOA -45.350 0.009 2.5 -1.069 COFFEE -7.041 0.006 2.5 -0.099 COPPER 15.233 0.012 2.5 0.451 CORN 57.442 0.004 2.5 0.561 COTTON2 -17.604 0.007 2.5 -0.287 CRUDE_W 8.648 0.057 2.5 1.236 DAX 18.187 0.024 2.5 1.069 DOW -3.304 0.012 2.5 -0.102 EUR -27.703 0.016 2.5 -1.122 EUROSTX 11.852 0.012 2.5 0.361 FEEDCOW -93.746 0.012 2.5 -2.726 FTSE100 -18.290 0.045 2.5 -2.041 GASOIL 20.972 0.031 2.5 1.619 GASOILINE 27.891 0.018 2.5 1.239 GAS_US -31.190 0.007 2.5 -0.508 GBP 13.606 0.008 2.5 0.263 GOLD_micro -235.755 0.010 2.5 -5.709 HEATOIL 17.687 0.031 2.5 1.365 JPY -68.373 0.028 2.5 -4.790 LEANHOG 119.598 0.020 2.5 6.047 LIVECOW -177.850 0.012 2.5 -5.172 MXP 298.458 0.005 2.5 3.954 NASDAQ -7.672 0.024 2.5 -0.451 NZD -11.385 0.007 2.5 -0.197 OAT 50.663 0.009 2.5 1.107 OJ 0.287 0.008 2.5 0.005 PALLAD -5.514 0.010 2.5 -0.144 PLAT 23.663 0.010 2.5 0.616 REDWHEAT -47.157 0.002 2.5 -0.272 ROBUSTA -62.320 0.006 2.5 -0.874 RUSSELL -106.866 0.022 2.5 -5.990 SILVER-mini 24.635 0.010 2.5 0.597 SOYBEAN 74.985 0.026 2.5 4.785 SOYMEAL 66.282 0.026 2.5 4.229 SOYOIL 101.577 0.004 2.5 1.009 SP400 -3.767 0.022 2.5 -0.211 SP500 -6.883 0.012 2.5 -0.212 SUGAR11 144.738 0.006 2.5 2.125 US10 -90.772 0.017 2.5 -3.769 US10U -49.921 0.063 2.5 -7.871 US20 -43.705 0.032 2.5 -3.486 US30 -32.477 0.036 2.5 -2.950 US5 -118.210 0.017 2.5 -4.908 VIX -45.320 0.082 2.5 -9.243 WHEAT -67.181 0.002 2.5 -0.388 ==================== Position diags ==================== AUD 1.20 BITCOIN 18.04 BOBL 9.36 BTP 1.00 BUND 4.40 BUXL 1.97 CAC 2.03 CAD 1.87 CANOLA 4.07 CHF 2.09 COCOA 3.41 COFFEE 0.42 COPPER 0.75 CORN 1.74 COTTON2 0.67 CRUDE_W 4.38 DAX 19.47 DOW 8.00 EUR 1.86 EUROSTX 3.45 FEEDCOW 2.13 FTSE100 7.96 GASOIL 1.61 GASOILINE 0.99 GAS_US 0.30 GBP 1.19 GOLD_micro 6.67 HEATOIL 1.30 JPY 5.14 LEANHOG 4.47 LIVECOW 4.03 MXP 4.22 NASDAQ 0.69 NZD 1.37 OAT 1.19 OJ 1.82 PALLAD 0.27 PLAT 1.27 REDWHEAT 0.29 ROBUSTA 2.30 RUSSELL 18.93 SILVER-mini 0.98 SOYBEAN 4.89 SOYMEAL 5.68 SOYOIL 0.85 SP400 0.79 SP500 0.55 SUGAR11 2.66 US10 3.84 US10U 10.61 US20 3.80 US30 2.81 US5 5.70 VIX 17.46 WHEAT 0.35 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.9 -0.9 -0.8 -1.0 -1 BITCOIN 9.7 8.7 10.7 NaN 0 BOBL 9.5 8.6 10.5 5.0 5 BTP 1.2 1.1 1.4 1.0 1 BUND 3.4 3.1 3.8 2.0 2 BUXL -1.0 -1.1 -0.9 0.0 0 CAC 0.7 0.7 0.8 1.0 1 CAD -1.2 -1.3 -1.1 -1.0 -1 CANOLA 2.7 2.4 2.9 NaN 0 CHF -3.0 -3.3 -2.7 -2.0 -2 COCOA -1.1 -1.2 -1.0 NaN 0 COFFEE -0.1 -0.1 -0.1 NaN 0 COPPER 0.5 0.4 0.5 NaN 0 CORN 0.6 0.5 0.6 1.0 1 COTTON2 -0.3 -0.3 -0.3 NaN 0 CRUDE_W 1.2 1.1 1.4 2.0 2 DAX 1.1 1.0 1.2 NaN 0 DOW -0.1 -0.1 -0.1 -1.0 -1 EUR -1.1 -1.2 -1.0 -1.0 -1 EUROSTX 0.4 0.3 0.4 NaN 0 FEEDCOW -2.7 -3.0 -2.5 -2.0 -2 FTSE100 -2.0 -2.2 -1.8 0.0 0 GASOIL 1.6 1.5 1.8 1.0 1 GASOILINE 1.2 1.1 1.4 NaN 0 GAS_US -0.5 -0.6 -0.5 -1.0 -1 GBP 0.3 0.2 0.3 1.0 1 GOLD_micro -5.7 -6.3 -5.1 -3.0 -3 HEATOIL 1.4 1.2 1.5 2.0 2 JPY -4.8 -5.3 -4.3 -5.0 -5 LEANHOG 6.0 5.4 6.7 5.0 5 LIVECOW -5.2 -5.7 -4.7 -2.0 -2 MXP 4.0 3.6 4.3 NaN 0 NASDAQ -0.5 -0.5 -0.4 0.0 0 NZD -0.2 -0.2 -0.2 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 0.6 0.7 NaN 0 REDWHEAT -0.3 -0.3 -0.2 NaN 0 ROBUSTA -0.9 -1.0 -0.8 -1.0 -1 RUSSELL -6.0 -6.6 -5.4 -4.0 -4 SILVER-mini 0.6 0.5 0.7 NaN 0 SOYBEAN 4.8 4.3 5.3 2.0 2 SOYMEAL 4.2 3.8 4.7 5.0 5 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 2.1 1.9 2.3 1.0 1 US10 -3.8 -4.1 -3.4 NaN 0 US10U -7.9 -8.7 -7.1 0.0 0 US20 -3.5 -3.8 -3.1 -1.0 -1 US30 -3.0 -3.2 -2.7 -7.0 -7 US5 -4.9 -5.4 -4.4 -10.0 -10 VIX -9.2 -10.2 -8.3 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 0.2 -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 -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 0.1 -0.2 -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 1.3 -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 -0.1 -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 0.1 -0.0 BUXL 0.1 -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 -0.3 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 -1.5 0.2 0.1 0.1 0.0 CAC 0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 0.1 0.2 0.0 0.1 0.1 -0.0 0.0 -0.0 0.0 -1.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.2 0.4 0.3 0.1 CAD 0.2 -0.1 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.1 -0.0 -0.8 -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 -0.1 -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 0.2 0.2 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 -0.1 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 -0.1 -0.1 -0.0 -0.1 -0.0 -0.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -2.2 -0.1 -0.3 0.0 0.1 COCOA 0.0 0.1 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.3 0.0 -0.3 0.0 -0.0 0.2 -0.1 0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 1.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -2.7 0.1 0.1 0.1 0.1 COFFEE -0.2 -0.3 -0.2 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -0.1 -0.3 0.6 0.2 0.2 0.2 -0.2 -0.2 -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 0.3 0.1 -0.0 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.3 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 2.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.2 0.4 0.0 0.0 CORN -0.0 0.1 0.3 -0.0 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 0.3 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 0.1 0.1 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 -0.0 0.2 0.7 0.2 0.3 -0.0 -0.1 0.0 -0.0 -0.0 -2.5 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.7 0.0 -0.1 -0.6 -0.5 CRUDE_W 0.1 0.1 -0.2 -0.0 0.1 0.0 0.1 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 1.1 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -2.7 0.0 0.2 0.1 0.1 DAX 0.3 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.1 0.4 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 -0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 0.2 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 -0.2 0.0 1.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.4 -0.1 0.0 0.2 -0.0 EUROSTX 0.2 0.1 -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 0.1 -0.1 0.0 -0.1 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.7 0.0 0.3 0.3 0.2 FEEDCOW 0.1 -0.2 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.1 -1.2 -0.8 -0.3 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -2.7 -0.0 0.2 -0.2 -0.1 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 0.0 0.1 -0.2 -0.0 0.1 0.0 0.1 0.2 0.0 0.0 0.2 -0.0 0.3 0.0 0.1 1.7 0.9 0.4 0.4 0.1 0.1 0.0 0.2 0.0 -0.5 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.0 0.0 0.1 0.2 GASOILINE 0.2 0.1 -0.3 -0.0 0.0 0.0 0.1 0.2 0.0 0.0 -0.1 0.0 0.1 0.1 -0.0 1.7 0.9 0.4 0.4 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 1.3 0.0 0.2 0.2 0.0 GAS_US -0.1 -0.3 -0.2 -0.0 0.1 0.0 0.1 0.2 0.0 0.0 -0.1 -0.0 0.1 -0.0 -0.3 -1.6 -0.4 -0.4 -0.3 -0.2 -0.1 -0.0 0.0 -0.0 -1.3 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -2.7 0.1 -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 2.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 0.1 0.0 -0.2 GOLD_micro 0.0 0.1 -0.2 -0.0 0.1 -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 -0.1 -0.0 -1.4 -0.0 -0.2 -0.2 -0.2 HEATOIL 0.1 0.1 -0.3 -0.0 0.1 0.0 0.1 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 0.1 0.1 0.3 JPY 0.2 -0.0 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -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 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.1 0.4 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 -0.0 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 0.2 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 0.3 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 -0.0 -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 -0.1 0.0 -0.0 0.0 -0.1 -0.2 0.0 -0.2 0.0 0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.5 0.0 0.3 -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 -0.0 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 -0.3 -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 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 0.2 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 -0.1 0.0 0.8 -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 0.2 0.1 ROBUSTA -0.2 -0.3 -0.1 -0.0 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 0.4 -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 0.2 -0.1 0.1 -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 0.0 -0.0 0.1 0.2 SILVER-mini 0.0 0.3 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.3 0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 0.0 3.8 -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 1.1 0.8 0.4 0.4 0.0 0.0 0.0 0.1 0.0 -2.3 -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 0.1 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.0 0.1 1.4 0.6 0.3 0.3 0.0 0.0 0.0 0.1 0.0 -1.1 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 1.0 -0.0 0.3 0.1 0.2 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 0.2 -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 -0.1 -0.1 -0.1 0.0 SUGAR11 -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 1.6 0.7 0.4 0.4 0.0 -0.0 0.0 -0.0 0.0 -1.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.7 0.0 0.1 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 -0.4 -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 -0.1 -0.4 0.1 0.1 0.0 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 -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 -0.0 -0.3 -0.1 -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 0.4 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.0 -0.2 -1.4 -0.2 -0.4 -0.1 -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 -2.1 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -2.7 -0.0 0.0 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 18.0 -8.6 -7.1 -3.7 2.8 -5.3 1.6 -5.4 -0.6 5.0 -14.0 5.9 -13.4 -7.8 -11.5 -2.7 -1.6 -2.3 -1.9 -13.6 -15.8 2.8 -12.9 -4.8 -6.0 -0.0 -4.9 2.2 -5.7 0.9 -4.9 -1.7 -0.2 -2.8 -7.3 -7.7 -2.6 BITCOIN 11.7 5.3 -11.2 -2.9 9.1 -3.0 2.3 -1.6 -1.1 10.8 -15.6 10.4 -15.6 2.2 -7.8 0.1 -1.5 -0.2 -0.6 -4.7 -20.0 8.8 -20.0 5.1 16.7 -0.0 -0.5 6.1 -5.3 5.0 -6.3 3.2 0.3 7.5 16.8 9.4 3.9 BOBL 13.3 -11.3 -19.9 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -10.1 -13.5 -4.1 -12.4 -9.6 -13.6 20.0 18.7 20.0 20.0 -20.0 -20.0 -5.7 -20.0 -9.3 9.0 -0.0 -4.9 -3.6 -7.4 -1.1 -8.7 -1.8 20.0 4.9 10.6 6.8 -2.1 BTP 20.0 3.0 -3.3 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -2.1 -12.5 4.0 -12.9 0.6 -9.5 20.0 13.7 20.0 18.0 -9.6 -18.9 5.2 -20.0 2.5 8.2 -0.0 -3.2 -1.3 -7.2 2.0 -9.7 1.0 20.0 20.0 20.0 20.0 7.0 BUND 14.9 -11.5 -16.8 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -6.6 -13.5 -0.8 -12.8 -8.0 -13.2 13.1 16.7 15.1 16.2 -20.0 -20.0 -4.2 -20.0 -9.0 8.3 -0.0 -4.9 -3.1 -7.0 -0.8 -7.8 -1.8 20.0 9.8 9.9 4.2 -1.1 BUXL 10.4 -10.9 -8.8 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -0.3 -13.5 3.8 -13.1 -6.3 -12.2 6.2 -4.3 5.8 0.3 -20.0 -20.0 -0.8 -20.0 -8.6 6.5 -0.0 -5.1 -1.7 -6.6 -0.2 -6.9 -2.0 -11.2 15.2 4.9 4.7 3.4 CAC 20.0 2.5 -1.7 -1.7 0.1 -3.2 1.8 -2.8 1.2 11.4 -2.2 14.2 -6.7 12.5 1.5 1.3 4.6 1.6 2.9 5.7 -2.2 19.6 -2.8 16.2 -8.5 -0.0 1.8 7.1 -1.1 6.9 -1.4 5.6 8.3 18.8 19.1 19.5 10.2 CAD 17.8 -8.3 -12.1 -3.7 2.8 -5.3 1.6 -5.4 -0.6 6.8 -12.9 8.8 -13.1 -7.5 -11.0 -1.9 -0.6 -1.5 -1.0 -12.3 -15.3 5.8 -11.7 -2.2 -5.8 -0.0 -4.6 3.9 -5.9 1.8 -4.8 -1.0 1.5 -0.4 1.2 -8.8 -8.1 CANOLA 11.4 20.0 -10.1 -3.4 7.2 -3.2 2.6 0.5 -1.6 13.8 -9.2 12.5 -0.4 15.3 8.1 20.0 13.4 8.6 8.2 7.6 -7.2 16.5 0.7 15.4 1.7 -0.0 4.2 7.4 1.2 5.7 2.7 5.2 -1.2 9.5 16.2 20.0 17.0 CHF 3.3 -7.5 0.5 -3.7 2.8 -5.3 1.6 -5.4 -0.6 -0.1 -12.9 -4.6 -11.8 -12.1 -13.1 -12.6 -11.1 -12.4 -12.1 -11.5 -11.4 -4.3 -10.6 -8.6 -2.6 -0.0 -5.3 0.1 -5.9 -2.0 -6.5 -3.8 -17.1 -14.1 -15.9 2.4 5.0 COCOA 3.2 3.9 -1.3 -3.4 7.2 -3.2 2.6 0.5 -1.6 13.1 -11.1 8.4 -12.1 7.2 -0.9 2.0 -3.7 0.6 -1.5 -1.4 -7.0 12.2 -9.9 4.5 11.0 -0.0 0.2 17.1 -4.2 10.5 -6.3 4.4 -20.0 17.9 5.2 7.2 3.9 COFFEE -20.0 -20.0 -9.5 -3.4 7.2 -3.2 2.6 0.5 -1.6 -9.3 -9.0 -13.7 -0.8 -15.0 -12.4 8.2 5.3 10.0 8.6 -20.0 -13.6 -20.0 -2.6 -20.0 9.4 -0.0 -5.3 -2.6 -2.9 -5.4 -0.4 -6.7 -7.5 -20.0 -20.0 -20.0 -14.9 COPPER 12.6 17.3 5.5 -2.9 9.1 -3.0 2.3 -1.6 -1.1 7.8 -12.5 5.7 -11.4 1.4 -2.0 1.0 0.2 0.9 0.4 -3.0 -10.5 10.8 -12.0 3.7 18.1 -0.0 -1.9 16.2 -5.7 7.7 -5.5 2.6 2.6 15.7 19.9 2.3 0.2 CORN -5.1 10.3 17.5 -3.4 7.2 -3.2 2.6 0.5 -1.6 -1.3 2.6 -5.8 5.7 3.7 13.2 17.0 12.6 13.1 11.8 10.4 11.5 0.9 16.6 4.7 -20.0 -0.0 3.7 0.0 6.0 0.4 10.5 1.5 1.2 -4.4 5.4 10.7 18.9 COTTON2 -3.0 -20.0 -20.0 -3.4 7.2 -3.2 2.6 0.5 -1.6 13.2 -13.0 -0.1 1.2 -11.3 -13.8 2.7 19.5 10.0 16.8 -20.0 -16.8 7.5 -1.7 -13.4 -10.2 -0.0 -4.8 7.4 -3.0 1.9 1.4 -2.9 13.1 13.8 -7.2 -20.0 -16.7 CRUDE_W 11.2 5.0 -13.1 -0.5 6.3 0.6 3.5 6.9 1.7 12.7 -5.6 8.9 4.3 11.3 3.8 7.1 14.5 9.1 12.2 3.4 -1.2 14.2 5.6 11.0 9.5 -0.0 2.1 9.4 1.4 7.3 7.1 5.3 -20.0 4.2 10.0 6.1 8.5 DAX 20.0 4.9 -0.1 -1.7 0.1 -3.2 1.8 -2.8 1.2 11.8 -7.9 14.4 -10.7 11.0 0.2 -3.6 -1.1 -2.8 -1.9 4.0 -8.0 19.7 -12.5 16.7 0.2 -0.0 1.8 6.0 -2.4 6.9 -4.7 6.0 -0.7 20.0 19.5 20.0 7.1 DOW 20.0 3.0 1.0 -1.7 0.1 -3.2 1.8 -2.8 1.2 2.7 -5.5 10.9 -7.3 9.7 -0.2 -4.6 -1.1 -3.8 -2.8 5.2 -5.1 17.8 -6.8 17.9 -2.3 -0.0 1.3 1.9 -1.5 5.1 -1.6 5.0 -1.6 15.8 20.0 13.6 8.6 EUR 15.8 11.7 8.2 -3.7 2.8 -5.3 1.6 -5.4 -0.6 -1.4 -13.1 -0.6 -14.6 -0.1 -6.8 -7.5 -8.3 -8.0 -8.4 -6.3 -14.3 0.8 -18.7 0.0 7.6 -0.0 -3.7 1.1 -8.9 0.5 -12.5 0.1 -11.7 -7.3 1.4 12.6 -1.9 EUROSTX 20.0 3.7 -0.0 -1.7 0.1 -3.2 1.8 -2.8 1.2 11.8 -5.4 14.2 -9.5 11.9 0.5 -0.8 3.0 0.0 1.1 5.0 -4.3 19.8 -6.9 16.3 -6.6 -0.0 2.1 6.8 -1.2 7.3 -2.7 6.1 5.3 20.0 17.0 20.0 10.8 FEEDCOW 13.3 -15.3 -5.3 -3.4 7.2 -3.2 2.6 0.5 -1.6 -5.7 -2.4 6.5 -1.5 -3.1 -6.8 -15.5 -20.0 -15.8 -20.0 -5.9 -5.9 1.1 -3.1 -0.8 1.2 -0.0 -2.9 -0.4 -2.8 0.3 -1.3 -0.6 -20.0 -7.8 11.7 -16.3 -4.4 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 3.1 4.4 -10.6 -0.5 6.3 0.6 3.5 6.9 1.7 7.7 7.6 -3.8 11.1 5.9 5.3 20.0 20.0 20.0 20.0 7.8 10.3 7.0 18.9 7.7 -4.4 -0.0 3.2 6.2 4.2 3.1 9.0 3.3 0.0 -4.0 0.6 6.3 13.6 GASOILINE 13.9 6.6 -19.9 -0.5 6.3 0.6 3.5 6.9 1.7 13.5 -5.3 12.8 5.1 12.3 -0.4 20.0 20.0 20.0 20.0 3.5 0.1 19.7 11.8 13.7 0.4 -0.0 2.4 11.1 2.3 9.1 9.4 6.3 9.4 16.9 12.3 14.0 2.0 GAS_US -5.1 -20.0 -12.8 -0.5 6.3 0.6 3.5 6.9 1.7 11.3 -4.7 -1.8 3.2 -12.0 -11.0 -20.0 -10.5 -20.0 -14.8 -18.3 -8.5 -0.1 3.9 -14.1 -11.1 -0.0 -4.0 4.2 -0.2 0.2 4.7 -3.7 -20.0 8.4 -20.0 -20.0 13.4 GBP 18.7 20.0 7.5 -3.7 2.8 -5.3 1.6 -5.4 -0.6 -3.5 -10.4 3.3 -12.7 6.6 -3.3 -1.6 -1.3 -1.6 -1.6 -5.5 -13.6 -0.6 -15.8 1.7 16.4 -0.0 -4.1 -2.6 -7.4 -0.6 -8.1 -0.6 0.2 -11.0 5.1 1.4 -11.6 GOLD_micro 1.8 4.6 -9.9 -2.9 9.1 -3.0 2.3 -1.6 -1.1 5.5 -14.6 -3.3 -12.9 -9.3 -12.5 -10.5 -7.3 -9.8 -8.8 -12.6 -15.7 0.1 -12.7 -6.9 10.6 -0.0 -5.0 5.8 -5.6 0.3 -3.9 -2.8 -11.6 -1.4 -8.7 -14.1 -13.4 HEATOIL 7.8 3.3 -16.0 -0.5 6.3 0.6 3.5 6.9 1.7 12.7 5.7 7.2 10.1 10.7 5.4 20.0 20.0 20.0 20.0 8.6 9.7 13.3 18.8 11.7 -14.7 -0.0 3.9 7.5 5.9 5.4 12.9 4.6 5.8 5.3 7.5 4.5 17.8 JPY 12.9 -0.0 -12.1 -3.7 2.8 -5.3 1.6 -5.4 -0.6 3.6 -16.0 -0.4 -16.0 -8.6 -14.4 -13.8 -9.6 -13.1 -11.7 -20.0 -20.0 -0.9 -20.0 -10.8 20.0 -0.0 -6.0 1.6 -8.3 -0.1 -10.3 -3.0 -15.3 -6.9 -20.0 -5.0 -11.2 LEANHOG 20.0 1.2 -4.0 -3.4 7.2 -3.2 2.6 0.5 -1.6 -13.9 -5.8 6.4 -1.2 9.9 6.2 4.7 20.0 20.0 20.0 6.7 1.1 0.5 2.9 9.6 5.9 -0.0 1.2 -3.9 -0.3 -0.4 0.8 2.3 20.0 -20.0 20.0 10.8 7.9 LIVECOW 19.0 2.8 10.0 -3.4 7.2 -3.2 2.6 0.5 -1.6 -13.7 3.3 5.2 -3.2 7.8 8.4 -20.0 -20.0 -20.0 -20.0 9.1 4.3 1.1 -0.9 9.8 -10.0 -0.0 3.5 -4.0 2.5 0.4 1.5 3.8 -20.0 -12.2 20.0 12.0 17.7 MXP 10.5 5.4 11.8 -3.7 2.8 -5.3 1.6 -5.4 -0.6 13.9 15.6 15.7 14.7 15.9 16.0 19.3 19.8 18.5 19.1 14.0 13.0 20.0 13.5 17.2 -20.0 -0.0 5.4 10.6 3.7 9.9 3.5 7.7 20.0 15.4 17.7 20.0 20.0 NASDAQ 12.1 -11.2 -1.1 -1.7 0.1 -3.2 1.8 -2.8 1.2 -10.1 -13.3 -6.2 -12.3 -10.9 -12.3 -4.5 -2.7 -4.3 -3.7 -13.8 -15.6 -11.9 -14.0 -10.3 9.8 -0.0 -4.7 -5.4 -5.4 -3.8 -4.2 -3.3 -3.7 -20.0 -20.0 -12.9 -5.0 NZD 20.0 -1.3 -2.5 -3.7 2.8 -5.3 1.6 -5.4 -0.6 11.0 -13.5 13.4 -13.9 -1.9 -9.5 -0.9 0.9 -0.6 0.1 -9.5 -17.3 13.6 -17.0 4.5 2.5 -0.0 -3.5 5.0 -6.0 4.2 -5.9 1.2 3.7 9.8 14.3 -2.2 -2.8 OAT 18.5 -7.0 -7.8 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -5.9 -13.0 0.3 -12.8 -6.2 -12.1 17.6 11.5 14.4 13.5 -17.3 -20.0 -1.6 -20.0 -5.4 11.9 -0.0 -4.5 -2.7 -7.1 -0.1 -8.6 -1.1 16.3 15.1 15.8 6.6 1.5 OJ 17.4 20.0 13.2 -3.4 7.2 -3.2 2.6 0.5 -1.6 13.9 15.1 15.2 13.9 15.9 15.8 18.2 11.0 17.1 15.5 20.0 20.0 20.0 20.0 20.0 -20.0 -0.0 6.3 4.7 6.0 4.5 5.4 5.4 3.4 20.0 20.0 20.0 20.0 PALLAD -20.0 -10.9 1.2 -2.9 9.1 -3.0 2.3 -1.6 -1.1 -6.4 -9.9 -13.6 -5.4 -14.5 -8.0 -2.1 -1.1 -1.6 -1.4 -13.2 -6.3 -20.0 -4.8 -20.0 -1.9 -0.0 -4.0 -3.6 -1.4 -7.0 -0.7 -6.9 0.0 -20.0 -20.0 -8.9 7.3 PLAT 9.3 13.0 9.4 -2.9 9.1 -3.0 2.3 -1.6 -1.1 7.0 -3.2 9.1 -8.2 11.8 9.5 0.8 -0.4 0.2 -0.1 7.1 0.8 8.7 -4.2 9.9 5.0 -0.0 3.0 5.4 -0.8 4.9 -3.5 5.1 1.7 4.1 20.0 20.0 12.0 REDWHEAT -7.9 11.0 -5.6 -3.4 7.2 -3.2 2.6 0.5 -1.6 -3.2 -8.8 -8.0 -2.6 -1.3 4.2 0.9 -1.2 0.6 -0.0 1.1 -1.4 -0.8 1.9 0.3 -14.3 -0.0 2.0 0.1 2.8 0.4 6.0 0.9 -20.0 -2.7 -0.9 18.3 9.5 ROBUSTA -20.0 -20.0 -3.3 -3.4 7.2 -3.2 2.6 0.5 -1.6 -7.4 -6.4 -14.0 4.5 -15.5 -11.0 7.0 6.2 6.7 6.2 -20.0 -9.8 -20.0 1.3 -20.0 2.1 -0.0 -4.6 -1.3 -1.8 -4.8 0.3 -6.4 -8.8 -20.0 -20.0 -20.0 2.1 RUSSELL 18.9 -3.6 8.0 -1.7 0.1 -3.2 1.8 -2.8 1.2 -0.9 -8.6 7.1 -11.1 1.4 -5.7 -4.0 -1.6 -3.4 -2.7 -1.3 -7.0 5.7 -9.5 6.0 -3.4 -0.0 -0.3 -1.2 -2.3 2.3 -2.6 2.5 -1.9 1.9 -0.1 6.3 11.1 SILVER-mini 2.8 16.5 7.1 -2.9 9.1 -3.0 2.3 -1.6 -1.1 11.2 -11.4 6.0 -11.9 1.2 -0.6 -5.0 -2.9 -4.0 -3.5 -0.3 -7.0 13.2 -10.5 5.8 17.9 -0.0 0.1 13.0 -4.8 7.8 -7.5 4.0 -3.3 20.0 7.0 20.0 -5.5 SOYBEAN 6.8 1.4 1.9 -3.4 7.2 -3.2 2.6 0.5 -1.6 12.4 -1.6 12.3 3.6 8.6 7.7 13.2 20.0 17.8 20.0 3.6 0.9 16.6 5.8 9.8 -15.3 -0.0 4.0 11.7 4.8 10.9 9.6 6.8 20.0 18.5 17.9 16.0 14.1 SOYMEAL 4.6 -4.7 2.9 -3.4 7.2 -3.2 2.6 0.5 -1.6 1.9 -3.0 7.2 7.0 -1.6 2.5 16.6 14.8 14.9 15.7 1.1 2.0 4.2 5.5 3.1 -8.2 -0.0 2.7 -1.0 4.6 2.5 8.2 2.7 7.1 -1.6 15.4 10.3 16.7 SOYOIL 20.0 14.1 5.3 -3.4 7.2 -3.2 2.6 0.5 -1.6 14.1 0.6 15.7 4.6 15.5 13.4 20.0 20.0 20.0 20.0 18.1 8.2 20.0 10.4 20.0 -20.0 -0.0 5.2 11.5 3.5 10.3 4.4 7.9 18.6 20.0 20.0 20.0 20.0 SP400 18.9 -4.2 3.1 -1.7 0.1 -3.2 1.8 -2.8 1.2 2.7 -7.9 8.8 -8.4 1.4 -4.7 0.0 -1.2 -0.2 -0.7 -0.8 -6.2 7.7 -6.8 6.9 -5.5 -0.0 -0.0 0.4 -1.9 3.0 -1.4 2.8 0.0 4.6 1.1 6.2 12.2 SP500 19.2 -7.3 -1.1 -1.7 0.1 -3.2 1.8 -2.8 1.2 -7.8 -11.1 3.4 -9.9 -4.6 -8.6 -4.5 -2.5 -4.1 -3.4 -6.9 -11.3 -0.6 -9.8 0.0 7.0 -0.0 -2.6 -2.7 -4.6 0.0 -4.2 0.2 -3.2 -10.0 -6.3 -3.9 1.4 SUGAR11 -1.3 9.1 -1.7 -3.4 7.2 -3.2 2.6 0.5 -1.6 13.7 -6.6 5.8 -5.3 5.0 0.5 20.0 16.1 20.0 20.0 2.2 -1.2 8.6 -1.0 4.0 -6.4 -0.0 1.8 9.4 0.7 4.6 0.8 2.0 12.2 0.7 5.8 13.9 4.7 US10 0.6 -11.5 -20.0 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -9.9 -14.8 -6.7 -14.2 -12.2 -14.6 -4.3 2.7 -3.2 -1.3 -20.0 -20.0 -10.3 -20.0 -17.5 -4.8 -0.0 -5.7 -2.4 -6.5 -2.1 -6.6 -3.6 -4.5 -2.4 -1.5 -6.5 -4.7 US10U -2.2 -14.0 -20.0 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -6.3 -14.8 -6.7 -13.9 -12.3 -14.6 -0.5 5.9 0.5 2.5 -20.0 -20.0 -10.5 -20.0 -18.6 -5.6 -0.0 -5.7 -2.5 -6.2 -2.2 -6.1 -3.8 1.7 -0.7 -4.1 -6.3 -2.8 US20 -8.2 -19.7 -20.0 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -5.3 -15.0 -8.8 -14.0 -12.6 -14.8 1.4 3.0 1.8 2.2 -20.0 -20.0 -16.1 -20.0 -20.0 -6.1 -0.0 -6.0 -2.8 -5.7 -3.1 -5.1 -4.8 -1.3 -7.0 -18.1 -12.2 -6.6 US30 -4.6 -15.8 -17.7 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -2.6 -15.7 -6.7 -15.2 -11.4 -14.4 -1.6 0.6 -1.0 -0.5 -20.0 -20.0 -12.8 -20.0 -20.0 -3.6 -0.0 -6.0 -3.0 -6.0 -2.9 -5.9 -4.7 -5.6 -1.3 -16.8 -4.1 -2.0 US5 3.1 -10.2 -20.0 -4.7 -2.7 -5.4 -1.7 -5.5 -2.8 -10.6 -14.6 -6.4 -14.4 -12.0 -14.2 -4.8 4.6 -3.8 -1.0 -20.0 -20.0 -10.5 -20.0 -17.2 -2.3 -0.0 -5.7 -2.3 -6.7 -2.1 -7.5 -3.5 -2.4 -4.2 -0.5 -8.8 -6.6 VIX -19.0 8.4 -1.1 -1.5 -6.7 -0.4 -7.7 -0.9 -4.9 -13.8 -5.6 -15.2 -6.4 -5.7 -1.3 -1.1 -17.3 -4.1 -10.0 -4.0 -1.9 -20.0 -3.9 -14.0 NaN -0.0 -1.8 -7.7 -0.5 -8.9 -1.3 -5.8 NaN NaN NaN NaN NaN WHEAT -3.3 9.1 -7.1 -3.4 7.2 -3.2 2.6 0.5 -1.6 -5.5 -9.5 -5.3 -4.9 1.6 5.7 -2.9 -3.6 -3.4 -3.6 0.7 -3.7 0.7 -0.6 1.9 -14.4 -0.0 1.7 -0.4 2.0 1.2 5.6 1.6 -20.0 -1.4 2.4 15.0 4.5 End of report for caleb_strategy_v1