******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221107_204321 produced at 2022-11-07 21:35:23.769393 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.31 0.0 37839034.08 -37839034.08 0.00 0.00 -8.29 999999999 0 0 caleb_strategy_v1 US5 False False 0.03 -0.35 -0.18 0.0 34937852.52 -34937852.52 -0.35 -0.38 -5.10 999999999 -10 -11 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.14 0.0 39091231.45 -39091231.45 -0.04 -0.04 -3.52 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.14 0.0 36174590.66 -36174590.66 0.00 0.00 -3.88 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.14 -0.14 0.0 28269772.70 -28269772.70 -0.14 -0.17 -4.86 999999999 -5 -6 caleb_strategy_v1 US30 False False 0.04 -0.29 -0.13 0.0 41265829.35 -41265829.35 -0.29 -0.33 -3.06 999999999 -7 -8 caleb_strategy_v1 CHF False False 0.04 -0.08 -0.12 0.0 41923361.80 -41923361.80 -0.08 -0.08 -2.94 999999999 -2 -2 caleb_strategy_v1 LIVECOW False False 0.02 -0.04 -0.11 0.0 20450701.92 -20450701.92 -0.04 -0.08 -5.23 999999999 -2 -4 caleb_strategy_v1 VIX False False 0.01 0.00 -0.09 0.0 8838555.26 -8838555.26 0.00 -0.02 -10.40 999999999 0 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.08 0.0 30003267.33 -30003267.33 -0.06 -0.06 -2.76 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 46613573.99 -46613573.99 0.00 0.00 -1.03 999999999 0 0 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 26888285.45 -26888285.45 0.00 -0.03 -2.03 999999999 0 -1 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.04 0.0 41467829.91 -41467829.91 -0.04 -0.04 -1.07 999999999 -1 -1 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.03 0.0 24446190.61 -24446190.61 -0.02 -0.02 -1.17 999999999 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.03 0.0 5537948.50 -5537948.50 -0.02 -0.01 -5.31 999999999 -3 -1 caleb_strategy_v1 NASDAQ False False 0.07 0.00 -0.03 0.0 72636104.58 -72636104.58 0.00 0.00 -0.44 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.02 0.0 21393920.88 -21393920.88 -0.02 0.00 -0.82 999999999 -1 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 2993401.00 -2993401.00 -0.01 -0.01 -5.85 999999999 -4 -5 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 80110949.91 -80110949.91 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.01 0.0 6127625.25 -6127625.25 -0.01 -0.01 -0.92 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14754286.04 -14754286.04 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8248218.92 -8248218.92 0.00 0.00 -0.70 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 23791543.89 -23791543.89 -0.02 -0.02 -0.48 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 62916991.76 -62916991.76 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 62414051.58 -62414051.58 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10638421.50 -10638421.50 0.00 0.00 -0.01 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14149933.33 -14149933.33 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15760166.39 -15760166.39 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20659710.67 -20659710.67 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.00 0.0 19591581.16 -19591581.16 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 0.00 0.0 5412955.50 -5412955.50 -0.01 0.00 0.24 999999999 -1 0 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 14223478.03 -14223478.03 0.01 0.03 1.01 999999999 1 2 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 23803086.78 -23803086.78 0.02 0.02 0.28 999999999 1 1 caleb_strategy_v1 DAX False False 0.00 0.00 0.01 0.0 4489706.73 -4489706.73 0.00 0.00 1.48 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.01 0.01 0.0 10277293.96 -10277293.96 0.01 0.02 0.53 999999999 1 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16367817.07 -16367817.07 0.00 0.00 0.66 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4378097.99 -4378097.99 0.00 0.00 2.77 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 29681715.42 -29681715.42 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 689275.39 -689275.39 0.00 0.00 9.91 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 17242190.93 -17242190.93 0.00 0.00 0.66 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 12280133.41 -12280133.41 0.00 0.00 0.44 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.02 0.02 0.0 21256239.54 -21256239.54 0.02 0.04 0.78 999999999 1 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 6899877.53 -6899877.53 0.01 0.01 2.21 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8421362.26 -8421362.26 0.00 0.00 4.02 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 0.04 0.0 35810198.14 -35810198.14 0.00 0.00 1.22 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.04 0.0 26598114.98 -26598114.98 0.05 0.05 1.37 999999999 2 2 caleb_strategy_v1 OAT False False 0.04 0.00 0.05 0.0 43289702.71 -43289702.71 0.00 0.00 1.10 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 37425798.44 -37425798.44 0.04 0.04 1.21 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.06 0.0 13330388.19 -13330388.19 0.07 0.08 4.29 999999999 5 6 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.06 0.0 34389565.28 -34389565.28 0.03 0.00 1.74 999999999 1 0 caleb_strategy_v1 LEANHOG False False 0.01 0.06 0.07 0.0 11747363.37 -11747363.37 0.06 0.05 5.70 999999999 5 4 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.07 0.0 48703143.80 -48703143.80 0.10 0.10 1.41 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.06 0.08 0.0 6232115.36 -6232115.36 0.06 0.06 12.12 999999999 10 10 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.11 0.0 22929125.16 -22929125.16 0.05 0.05 4.84 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.09 0.15 0.0 45035975.38 -45035975.38 0.09 0.09 3.32 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.20 0.37 0.0 39172071.12 -39172071.12 0.20 0.20 9.35 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 11.8 Shocked risk 25.8 Sum abs risk 43.5 Leverage 3.00 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3032169.76, 'annual_cash_vol_target': 758042.44, 'daily_cash_vol_target': 47377.6525} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0067 0.6487 1.0327 16.5233 BITCOIN 649.4135 20900.0000 3.1072 49.7159 BOBL 0.4001 118.4400 0.3378 5.4053 BTP 1.0441 113.1600 0.9227 14.7630 BUND 0.8497 136.1700 0.6240 9.9837 BUXL 2.2026 140.9400 1.5628 25.0047 CAC 70.3676 6427.0000 1.0949 17.5180 CAD 0.0048 0.7412 0.6496 10.3933 CANOLA 7.8068 895.7000 0.8716 13.9454 CHF 0.0072 1.0170 0.7112 11.3799 COCOA 35.0023 2501.0000 1.3995 22.3925 COFFEE 0.0419 1.6705 2.5068 40.1096 COPPER 0.0756 3.6000 2.0997 33.5947 CORN 5.2771 623.2500 0.8467 13.5473 COTTON2 0.0226 0.8581 2.6390 42.2245 CRUDE_W 1.5242 80.6500 1.8899 30.2381 DAX 142.7573 13575.0000 1.0516 16.8259 DOW 363.2616 32826.0000 1.1066 17.7060 EUR 0.0081 1.0059 0.8053 12.8843 EUROSTX 41.4341 3713.0000 1.1159 17.8547 FEEDCOW 1.2744 181.9500 0.7004 11.2068 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 21.3384 1042.7500 2.0464 32.7418 GASOILINE 0.0513 2.5853 1.9857 31.7708 GAS_US 0.2621 7.2140 3.6332 58.1308 GBP 0.0125 1.1548 1.0787 17.2598 GOLD_micro 17.0806 1679.2000 1.0172 16.2750 HEATOIL 0.0660 3.5161 1.8784 30.0538 JPY 0.0001 0.0069 0.7376 11.8023 LEANHOG 1.4067 89.0500 1.5797 25.2752 LIVECOW 0.8543 155.0250 0.5511 8.8173 MXP 0.0003 0.0511 0.5797 9.2751 NASDAQ 199.0272 11012.2500 1.8073 28.9172 NZD 0.0059 0.5940 0.9868 15.7895 OAT 0.8757 130.8900 0.6690 10.7041 OJ 0.0325 2.1505 1.5130 24.2086 PALLAD 44.7865 1892.5000 2.3665 37.8644 PLAT 19.4323 992.6000 1.9577 31.3234 REDWHEAT 18.4319 955.7500 1.9285 30.8564 ROBUSTA 28.0059 1858.0000 1.5073 24.1170 RUSSELL 27.5254 1815.3000 1.5163 24.2608 SILVER-mini 0.4589 20.9125 2.1943 35.1096 SOYBEAN 12.3635 1390.5000 0.8891 14.2263 SOYMEAL 5.2335 404.2000 1.2948 20.7165 SOYOIL 0.9306 71.8800 1.2947 20.7153 SP400 33.1786 2429.1000 1.3659 21.8541 SP500 52.6038 3815.5000 1.3787 22.0590 SUGAR11 0.0023 0.1868 1.2381 19.8104 US10 0.5063 109.6875 0.4616 7.3859 US10U 0.6944 114.7344 0.6052 9.6836 US20 0.9811 118.5312 0.8277 13.2437 US30 1.5023 125.1250 1.2007 19.2104 US5 0.3405 105.9375 0.3214 5.1430 VIX 0.5490 26.8000 2.0485 32.7766 WHEAT 15.4175 894.7500 1.7231 27.5697 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 648.70 1.03 669.92 1.00 669.92 47377.65 70.72 -6.68 -47.21 BITCOIN 20.90 3.11 64.94 1.00 64.94 47377.65 729.55 5.33 388.84 BOBL 1184.40 0.34 400.13 1.00 398.59 47377.65 118.86 10.08 119.77 BTP 1131.60 0.92 1044.11 1.00 1040.11 47377.65 45.55 12.18 55.48 BUND 1361.70 0.62 849.68 1.00 846.42 47377.65 55.97 7.61 42.57 BUXL 1409.40 1.56 2202.60 1.00 2194.15 47377.65 21.59 -5.25 -11.34 CAC 642.70 1.09 703.68 1.00 700.98 47377.65 67.59 3.80 25.68 CAD 741.25 0.65 481.50 1.00 481.50 47377.65 98.40 -6.15 -60.55 CANOLA 179.14 0.87 156.14 0.74 115.89 47377.65 408.82 6.83 279.26 CHF 1271.19 0.71 904.13 1.00 904.13 47377.65 52.40 -13.85 -72.55 COCOA 250.10 1.40 350.02 1.00 350.02 47377.65 135.36 -2.20 -29.72 COFFEE 626.44 2.51 1570.38 1.00 1570.38 47377.65 30.17 -2.66 -8.03 COPPER 900.00 2.10 1889.70 1.00 1889.70 47377.65 25.07 6.24 15.65 CORN 311.62 0.85 263.86 1.00 263.86 47377.65 179.56 3.03 54.35 COTTON2 429.05 2.64 1132.28 1.00 1132.28 47377.65 41.84 -4.09 -17.11 CRUDE_W 806.50 1.89 1524.19 1.00 1524.19 47377.65 31.08 3.09 9.60 DAX 135.75 1.05 142.76 1.00 142.21 47377.65 333.15 0.75 25.14 DOW 164.13 1.11 181.63 1.00 181.63 47377.65 260.85 0.29 7.64 EUR 1257.38 0.81 1012.52 1.00 1012.52 47377.65 46.79 -5.66 -26.49 EUROSTX 371.30 1.12 414.34 1.00 412.75 47377.65 114.78 1.25 14.36 FEEDCOW 909.75 0.70 637.21 1.00 637.21 47377.65 74.35 -12.77 -94.97 FTSE100 706.85 0.82 576.59 1.14 666.67 47377.65 71.07 -2.56 -18.21 GASOIL 1042.75 2.05 2133.84 1.00 2133.84 47377.65 22.20 10.12 22.48 GASOILINE 1085.83 1.99 2156.10 1.00 2156.10 47377.65 21.97 12.46 27.38 GAS_US 721.40 3.63 2620.97 1.00 2620.97 47377.65 18.08 -16.21 -29.30 GBP 721.75 1.08 778.58 1.00 778.58 47377.65 60.85 2.36 14.36 GOLD_micro 167.92 1.02 170.81 1.00 170.81 47377.65 277.38 -7.91 -219.50 HEATOIL 1476.76 1.88 2773.89 1.00 2773.89 47377.65 17.08 10.69 18.26 JPY 857.19 0.74 632.30 1.00 632.30 47377.65 74.93 -9.26 -69.37 LEANHOG 356.20 1.58 562.69 1.00 562.69 47377.65 84.20 13.39 112.76 LIVECOW 620.10 0.55 341.73 1.00 341.73 47377.65 138.64 -12.96 -179.69 MXP 255.35 0.58 148.02 1.00 148.02 47377.65 320.07 9.49 303.60 NASDAQ 2202.45 1.81 3980.54 1.00 3980.54 47377.65 11.90 -6.33 -7.54 NZD 594.05 0.99 586.23 1.00 586.23 47377.65 80.82 -1.03 -8.32 OAT 1308.90 0.67 875.66 1.00 872.31 47377.65 54.31 9.28 50.40 OJ 322.58 1.51 488.07 1.00 488.07 47377.65 97.07 -0.06 -0.60 PALLAD 1892.50 2.37 4478.65 1.00 4478.65 47377.65 10.58 -5.30 -5.61 PLAT 496.30 1.96 971.61 1.00 971.61 47377.65 48.76 5.17 25.23 REDWHEAT 477.88 1.93 921.60 1.00 921.60 47377.65 51.41 -9.41 -48.37 ROBUSTA 185.80 1.51 280.06 1.00 280.06 47377.65 169.17 -3.90 -65.90 RUSSELL 90.76 1.52 137.63 1.00 137.63 47377.65 344.25 -3.03 -104.35 SILVER-mini 522.81 2.19 1147.23 1.00 1147.23 47377.65 41.30 6.63 27.40 SOYBEAN 695.25 0.89 618.18 1.00 618.18 47377.65 76.64 9.90 75.86 SOYMEAL 404.20 1.29 523.35 1.00 523.35 47377.65 90.53 7.43 67.25 SOYOIL 431.28 1.29 558.38 1.00 558.38 47377.65 84.85 11.99 101.77 SP400 2429.10 1.37 3317.86 1.00 3317.86 47377.65 14.28 -2.48 -3.54 SP500 1907.75 1.38 2630.19 1.00 2630.19 47377.65 18.01 -3.54 -6.37 SUGAR11 209.22 1.24 259.04 1.00 259.04 47377.65 182.90 8.22 150.29 US10 1096.88 0.46 506.34 1.00 506.34 47377.65 93.57 -9.99 -93.49 US10U 1147.34 0.61 694.40 1.00 694.40 47377.65 68.23 -7.70 -52.56 US20 1185.31 0.83 981.12 1.00 981.12 47377.65 48.29 -9.14 -44.16 US30 1251.25 1.20 1502.32 1.00 1502.32 47377.65 31.54 -10.68 -33.69 US5 1059.38 0.32 340.53 1.00 340.53 47377.65 139.13 -8.83 -122.90 VIX 268.00 2.05 549.01 1.00 549.01 47377.65 86.30 -5.91 -50.99 WHEAT 447.38 1.72 770.87 1.00 770.87 47377.65 61.46 -11.18 -68.73 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -47.212 0.007 2.5 -0.816 BITCOIN 388.840 0.010 2.5 9.915 BOBL 119.768 0.031 2.5 9.353 BTP 55.480 0.009 2.5 1.213 BUND 42.570 0.031 2.5 3.324 BUXL -11.345 0.036 2.5 -1.031 CAC 25.680 0.012 2.5 0.781 CAD -60.554 0.008 2.5 -1.170 CANOLA 279.255 0.004 2.5 2.774 CHF -72.550 0.016 2.5 -2.938 COCOA -29.725 0.009 2.5 -0.701 COFFEE -8.026 0.006 2.5 -0.113 COPPER 15.653 0.012 2.5 0.463 CORN 54.353 0.004 2.5 0.531 COTTON2 -17.112 0.007 2.5 -0.279 CRUDE_W 9.597 0.057 2.5 1.372 DAX 25.140 0.024 2.5 1.478 DOW 7.644 0.012 2.5 0.236 EUR -26.491 0.016 2.5 -1.073 EUROSTX 14.361 0.012 2.5 0.437 FEEDCOW -94.966 0.012 2.5 -2.762 FTSE100 -18.215 0.045 2.5 -2.032 GASOIL 22.478 0.031 2.5 1.735 GASOILINE 27.380 0.018 2.5 1.217 GAS_US -29.304 0.007 2.5 -0.478 GBP 14.363 0.008 2.5 0.278 GOLD_micro -219.496 0.010 2.5 -5.315 HEATOIL 18.256 0.031 2.5 1.409 JPY -69.368 0.028 2.5 -4.859 LEANHOG 112.760 0.020 2.5 5.701 LIVECOW -179.686 0.012 2.5 -5.225 MXP 303.602 0.005 2.5 4.022 NASDAQ -7.538 0.024 2.5 -0.443 NZD -8.316 0.007 2.5 -0.144 OAT 50.397 0.009 2.5 1.102 OJ -0.600 0.008 2.5 -0.011 PALLAD -5.610 0.010 2.5 -0.146 PLAT 25.227 0.010 2.5 0.657 REDWHEAT -48.367 0.002 2.5 -0.279 ROBUSTA -65.896 0.006 2.5 -0.925 RUSSELL -104.353 0.022 2.5 -5.849 SILVER-mini 27.397 0.010 2.5 0.663 SOYBEAN 75.864 0.026 2.5 4.841 SOYMEAL 67.255 0.026 2.5 4.291 SOYOIL 101.765 0.004 2.5 1.011 SP400 -3.541 0.022 2.5 -0.198 SP500 -6.375 0.012 2.5 -0.197 SUGAR11 150.293 0.006 2.5 2.207 US10 -93.488 0.017 2.5 -3.881 US10U -52.559 0.063 2.5 -8.288 US20 -44.159 0.032 2.5 -3.522 US30 -33.689 0.036 2.5 -3.061 US5 -122.905 0.017 2.5 -5.103 VIX -50.989 0.082 2.5 -10.399 WHEAT -68.733 0.002 2.5 -0.397 ==================== Position diags ==================== AUD 1.22 BITCOIN 18.60 BOBL 9.28 BTP 1.00 BUND 4.37 BUXL 1.96 CAC 2.06 CAD 1.90 CANOLA 4.06 CHF 2.12 COCOA 3.19 COFFEE 0.42 COPPER 0.74 CORN 1.75 COTTON2 0.68 CRUDE_W 4.44 DAX 19.58 DOW 8.04 EUR 1.90 EUROSTX 3.49 FEEDCOW 2.16 FTSE100 7.93 GASOIL 1.71 GASOILINE 0.98 GAS_US 0.29 GBP 1.18 GOLD_micro 6.72 HEATOIL 1.32 JPY 5.25 LEANHOG 4.26 LIVECOW 4.03 MXP 4.24 NASDAQ 0.70 NZD 1.40 OAT 1.19 OJ 1.83 PALLAD 0.28 PLAT 1.27 REDWHEAT 0.30 ROBUSTA 2.37 RUSSELL 19.30 SILVER-mini 1.00 SOYBEAN 4.89 SOYMEAL 5.78 SOYOIL 0.84 SP400 0.80 SP500 0.56 SUGAR11 2.69 US10 3.88 US10U 10.76 US20 3.85 US30 2.86 US5 5.78 VIX 17.60 WHEAT 0.36 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.8 -0.9 -0.7 -1.0 -1 BITCOIN 9.9 8.1 11.8 NaN 0 BOBL 9.4 8.4 10.3 5.0 5 BTP 1.2 1.1 1.3 1.0 1 BUND 3.3 2.9 3.8 2.0 2 BUXL -1.0 -1.2 -0.8 0.0 0 CAC 0.8 0.6 1.0 1.0 1 CAD -1.2 -1.4 -1.0 -1.0 -1 CANOLA 2.8 2.4 3.2 NaN 0 CHF -2.9 -3.2 -2.7 -2.0 -2 COCOA -0.7 -1.0 -0.4 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.5 NaN 0 CORN 0.5 0.4 0.7 1.0 1 COTTON2 -0.3 -0.3 -0.2 NaN 0 CRUDE_W 1.4 0.9 1.8 2.0 2 DAX 1.5 -0.5 3.4 NaN 0 DOW 0.2 -0.6 1.0 -1.0 -1 EUR -1.1 -1.3 -0.9 -1.0 -1 EUROSTX 0.4 0.1 0.8 NaN 0 FEEDCOW -2.8 -3.0 -2.5 -2.0 -2 FTSE100 -2.0 -2.8 -1.2 0.0 0 GASOIL 1.7 1.6 1.9 1.0 1 GASOILINE 1.2 1.1 1.3 NaN 0 GAS_US -0.5 -0.5 -0.4 -1.0 -1 GBP 0.3 0.2 0.4 1.0 1 GOLD_micro -5.3 -6.0 -4.6 -3.0 -3 HEATOIL 1.4 1.3 1.5 2.0 2 JPY -4.9 -5.4 -4.3 -5.0 -5 LEANHOG 5.7 5.3 6.1 5.0 5 LIVECOW -5.2 -5.6 -4.8 -2.0 -2 MXP 4.0 3.6 4.4 NaN 0 NASDAQ -0.4 -0.5 -0.4 0.0 0 NZD -0.1 -0.3 -0.0 NaN 0 OAT 1.1 1.0 1.2 0.0 0 OJ -0.0 -0.2 0.2 NaN 0 PALLAD -0.1 -0.2 -0.1 NaN 0 PLAT 0.7 0.5 0.8 NaN 0 REDWHEAT -0.3 -0.3 -0.2 NaN 0 ROBUSTA -0.9 -1.2 -0.7 -1.0 -1 RUSSELL -5.8 -7.8 -3.9 -4.0 -4 SILVER-mini 0.7 0.6 0.8 NaN 0 SOYBEAN 4.8 4.4 5.3 2.0 2 SOYMEAL 4.3 3.7 4.9 5.0 5 SOYOIL 1.0 0.9 1.1 1.0 1 SP400 -0.2 -0.3 -0.1 NaN 0 SP500 -0.2 -0.3 -0.1 NaN 0 SUGAR11 2.2 1.9 2.5 1.0 1 US10 -3.9 -4.3 -3.5 NaN 0 US10U -8.3 -9.4 -7.2 0.0 0 US20 -3.5 -3.9 -3.1 -1.0 -1 US30 -3.1 -3.3 -2.8 -7.0 -7 US5 -5.1 -5.7 -4.5 -10.0 -10 VIX -10.4 -12.2 -8.6 0.0 0 WHEAT -0.4 -0.4 -0.4 NaN 0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.2 -0.1 -0.1 -0.1 0.0 -0.1 0.1 -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 -0.6 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -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 -0.0 -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 0.3 0.1 0.1 BOBL 0.1 -0.1 -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 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -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 0.2 0.4 0.3 0.1 BUND 0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -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 -0.2 -0.1 -0.0 -0.1 -0.1 -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 0.1 0.2 0.1 0.0 CAC 0.2 0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.1 -0.0 0.1 -0.2 0.1 0.1 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 0.2 CAD 0.2 -0.1 -0.2 -0.1 0.0 -0.1 0.1 -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 0.2 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 -0.1 0.0 0.2 0.2 0.2 CHF 0.1 -0.1 0.0 -0.1 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 -0.8 -0.4 -0.2 -0.2 -0.1 -0.1 0.0 -0.1 -0.0 -0.3 -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 0.1 0.1 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.0 0.0 -0.2 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 1.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -2.7 0.2 0.2 0.1 0.1 COFFEE -0.2 -0.3 -0.2 -0.0 0.0 -0.1 0.1 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 -1.1 -0.1 -0.4 -0.3 -0.2 COPPER 0.2 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 -0.1 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 -0.1 0.1 0.3 -0.0 0.0 -0.1 0.1 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.3 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 0.1 -0.0 0.0 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 -2.4 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.6 0.0 -0.1 -0.6 -0.5 CRUDE_W 0.2 0.1 -0.2 -0.0 0.1 0.0 0.1 0.2 0.0 0.0 -0.1 0.0 0.1 0.1 0.1 0.6 0.6 0.2 0.3 0.1 -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 0.1 -0.1 0.0 0.0 -0.2 0.1 -0.3 0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -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 0.4 0.3 0.1 DOW 0.3 0.1 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 0.0 -0.4 -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 0.2 -0.1 0.0 -0.1 0.1 -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 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.1 0.0 -0.1 0.1 -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 0.7 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 -1.3 -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 0.3 -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 -0.1 -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 0.3 0.0 -0.5 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.0 -0.1 -0.1 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 0.1 0.0 0.0 0.1 0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 1.2 0.0 0.2 0.2 0.0 GAS_US -0.0 -0.3 -0.2 -0.0 0.0 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 -1.4 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -2.7 0.3 -0.3 -0.3 0.2 GBP 0.2 0.3 0.1 -0.1 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 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 0.1 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 -0.1 -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 -0.1 -0.2 -0.2 HEATOIL 0.1 0.1 -0.2 -0.0 0.1 0.0 0.1 0.2 0.0 0.0 0.1 0.0 0.3 0.0 0.1 1.7 0.9 0.5 0.5 0.1 0.1 0.0 0.3 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 0.1 -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 0.1 0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 0.2 0.2 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 0.2 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 -1.7 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -2.8 -0.0 0.4 0.2 0.2 MXP 0.1 0.1 0.2 -0.0 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 0.2 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 0.1 -0.1 0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -0.2 -0.0 -0.2 -0.0 1.2 -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 0.1 -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 -0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 1.5 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 2.3 0.0 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 0.4 0.0 0.5 0.3 0.3 PALLAD -0.2 -0.2 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.2 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -0.2 -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 -0.2 0.1 PLAT 0.1 0.2 0.2 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.1 0.2 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 0.7 -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 -0.0 0.0 -0.1 0.1 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 -0.1 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 -0.2 -0.0 0.1 -0.1 -0.2 0.6 0.2 0.1 0.1 -0.2 -0.1 -0.0 0.0 -0.0 0.4 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -1.3 -0.0 -0.4 -0.3 0.0 RUSSELL 0.3 -0.0 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.2 -0.1 -0.1 -0.1 -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 0.1 0.3 0.1 -0.0 0.0 -0.1 0.1 -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 -0.0 0.0 -0.1 0.1 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 0.1 -0.0 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 0.9 0.0 0.3 0.1 0.2 SOYOIL 0.2 0.2 0.1 -0.0 0.0 -0.1 0.1 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 -0.0 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.2 SP500 0.3 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.3 0.0 -0.3 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 0.0 0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.4 -0.1 -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 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.4 -0.0 -0.4 -0.1 -0.3 -0.0 0.2 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 -0.1 -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 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.4 -0.1 0.0 -0.0 -0.0 -0.2 -0.2 -0.0 -0.3 -0.0 -0.4 -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 -0.4 -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 -0.4 -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 -0.1 -0.3 -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 -0.0 0.0 -0.1 0.1 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 19.7 -7.8 -7.4 -3.4 4.6 -5.3 2.8 -5.5 0.1 9.4 -13.8 8.6 -13.3 -6.4 -11.1 -2.7 -1.6 -2.3 -1.9 -12.9 -15.9 5.6 -13.2 -3.2 -5.5 -0.0 -4.7 3.4 -5.8 1.8 -5.0 -1.2 -0.2 -2.4 -6.1 -8.2 -2.7 BITCOIN 12.3 4.3 -12.3 -2.2 11.0 -2.8 5.0 -1.6 0.4 12.2 -15.5 11.8 -15.6 4.4 -7.4 0.1 -1.5 -0.2 -0.6 -4.2 -20.0 8.7 -20.0 5.5 17.0 -0.0 -0.3 4.8 -5.2 4.8 -6.3 3.4 0.4 1.6 12.3 8.2 3.4 BOBL 13.1 -10.3 -20.0 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -12.9 -13.7 -8.0 -12.5 -10.9 -13.9 20.0 18.8 20.0 20.0 -20.0 -20.0 -11.1 -20.0 -11.8 8.9 -0.0 -5.1 -5.0 -7.5 -2.4 -8.8 -2.4 20.0 -0.6 10.3 7.0 -2.2 BTP 20.0 3.7 -3.8 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -10.5 -12.5 2.2 -12.9 0.2 -9.6 20.0 13.8 20.0 18.1 -9.8 -19.2 1.5 -20.0 1.0 8.1 -0.0 -3.3 -2.2 -7.3 0.9 -9.9 0.6 20.0 17.4 20.0 20.0 7.6 BUND 15.5 -11.4 -18.0 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -11.6 -13.6 -3.7 -12.9 -8.8 -13.4 12.8 16.6 14.9 16.1 -20.0 -20.0 -8.9 -20.0 -11.1 8.2 -0.0 -5.0 -4.1 -7.1 -1.9 -7.9 -2.3 20.0 4.6 11.5 4.7 -1.3 BUXL 12.4 -11.6 -10.3 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -9.3 -13.6 2.3 -13.1 -6.7 -12.3 6.0 -4.3 5.8 0.3 -20.0 -20.0 -4.1 -20.0 -9.7 6.5 -0.0 -5.1 -2.6 -6.7 -1.0 -7.1 -2.3 -11.1 11.5 8.7 5.8 3.3 CAC 20.0 4.2 -1.8 -1.5 2.0 -3.2 2.4 -2.8 1.5 13.2 -1.5 14.8 -6.5 13.3 2.3 1.2 4.6 1.6 2.8 7.2 -1.6 20.0 -2.7 18.1 -9.0 -0.0 2.1 7.1 -0.8 7.2 -1.3 5.9 8.2 17.9 18.2 20.0 10.6 CAD 18.8 -6.6 -12.3 -3.4 4.6 -5.3 2.8 -5.5 0.1 10.1 -12.7 10.7 -13.0 -5.9 -10.5 -1.9 -0.6 -1.5 -1.0 -11.5 -15.2 8.5 -11.9 -0.5 -5.5 -0.0 -4.3 4.6 -5.9 2.8 -4.9 -0.4 1.5 -1.6 0.2 -9.2 -8.1 CANOLA 12.0 20.0 -9.6 -3.0 7.4 -3.1 3.9 0.5 -0.6 14.0 -9.1 13.7 -0.4 15.6 8.8 20.0 13.7 9.9 8.9 8.5 -6.7 17.1 0.9 16.6 1.6 -0.0 4.3 6.0 1.3 5.7 2.7 5.4 -0.9 5.5 16.2 20.0 17.3 CHF 5.8 -7.9 0.3 -3.4 4.6 -5.3 2.8 -5.5 0.1 7.4 -12.7 1.0 -11.8 -10.4 -12.5 -12.5 -11.1 -12.4 -12.1 -10.9 -11.4 0.9 -10.7 -6.5 -2.5 -0.0 -5.1 4.0 -6.0 0.0 -6.7 -3.0 -17.1 -12.1 -15.3 0.4 4.8 COCOA 5.8 6.3 0.5 -3.0 7.4 -3.1 3.9 0.5 -0.6 13.8 -10.5 11.0 -11.9 8.9 0.9 2.1 -3.6 0.7 -1.4 0.7 -5.7 20.0 -9.0 8.7 10.4 -0.0 1.4 20.0 -2.6 13.5 -4.5 6.3 -20.0 20.0 11.8 10.1 4.6 COFFEE -20.0 -20.0 -10.2 -3.0 7.4 -3.1 3.9 0.5 -0.6 -12.5 -9.4 -14.5 -1.2 -15.3 -12.8 7.8 5.3 9.8 8.5 -20.0 -14.5 -20.0 -3.1 -20.0 9.5 -0.0 -5.3 -3.2 -3.0 -5.3 -0.5 -6.6 -8.1 -20.0 -20.0 -20.0 -16.6 COPPER 13.9 18.6 6.6 -2.2 11.0 -2.8 5.0 -1.6 0.4 6.1 -12.3 6.3 -11.3 2.7 -1.0 0.9 0.2 0.8 0.4 -2.1 -10.0 11.6 -11.8 5.0 18.0 -0.0 -1.2 12.9 -5.2 8.7 -5.3 3.7 2.6 11.3 16.9 2.9 0.9 CORN -5.2 9.4 17.9 -3.0 7.4 -3.1 3.9 0.5 -0.6 -4.5 2.6 -7.0 5.7 3.2 13.3 17.3 12.7 13.3 12.0 10.1 11.6 -0.1 16.8 4.2 -20.0 -0.0 3.5 -1.2 5.9 -0.1 10.5 1.2 0.9 -7.2 0.5 9.6 18.4 COTTON2 0.4 -20.0 -20.0 -3.0 7.4 -3.1 3.9 0.5 -0.6 13.8 -12.8 3.4 1.1 -9.5 -13.1 3.0 19.4 9.9 16.6 -20.0 -16.8 12.8 -1.9 -9.4 -9.6 -0.0 -4.5 7.2 -3.0 3.1 1.5 -2.0 12.4 20.0 -6.9 -20.0 -16.6 CRUDE_W 12.5 6.5 -12.9 -0.2 5.7 0.7 4.1 6.9 2.2 13.3 -5.3 11.1 4.4 12.3 4.7 7.4 14.5 9.1 12.1 4.5 -0.7 16.2 5.9 12.6 9.0 -0.0 2.5 8.9 1.6 7.9 6.8 5.8 -20.0 7.1 9.8 6.4 8.4 DAX 20.0 6.8 -0.2 -1.5 2.0 -3.2 2.4 -2.8 1.5 13.3 -7.4 14.9 -10.6 12.0 1.2 -3.7 -1.1 -2.8 -2.0 5.6 -7.5 20.0 -12.6 18.9 -0.4 -0.0 2.2 7.3 -2.0 7.5 -4.4 6.3 -0.8 20.0 20.0 20.0 8.0 DOW 20.0 5.6 1.3 -1.5 2.0 -3.2 2.4 -2.8 1.5 7.3 -5.0 12.1 -7.1 10.7 0.6 -4.6 -1.2 -3.9 -2.9 6.4 -4.4 20.0 -6.6 19.1 -2.4 -0.0 1.7 4.0 -1.3 5.6 -1.5 5.3 -1.6 15.8 20.0 14.6 9.1 EUR 17.3 13.1 8.5 -3.4 4.6 -5.3 2.8 -5.5 0.1 5.2 -12.9 2.9 -14.5 2.0 -6.1 -7.4 -8.3 -8.0 -8.4 -5.5 -14.2 5.6 -18.9 1.9 7.4 -0.0 -3.3 5.5 -8.8 2.7 -12.6 1.0 -11.6 -9.2 1.6 11.8 -1.6 EUROSTX 20.0 5.5 -0.2 -1.5 2.0 -3.2 2.4 -2.8 1.5 13.3 -4.8 14.8 -9.3 12.8 1.4 -0.8 3.0 -0.0 1.1 6.6 -3.7 20.0 -6.9 18.5 -7.1 -0.0 2.5 7.8 -0.9 7.8 -2.5 6.4 5.3 20.0 18.2 20.0 11.4 FEEDCOW 14.6 -14.0 -5.7 -3.0 7.4 -3.1 3.9 0.5 -0.6 -2.5 -2.4 6.3 -1.6 -2.4 -6.7 -16.0 -20.0 -15.9 -20.0 -5.7 -5.9 1.5 -3.2 -0.6 0.9 -0.0 -2.8 0.3 -2.8 0.5 -1.3 -0.5 -20.0 -16.7 14.6 -15.2 -5.4 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 6.1 -6.5 -0.2 5.7 0.7 4.1 6.9 2.2 9.9 7.6 0.3 11.1 5.9 5.5 20.0 20.0 20.0 20.0 8.3 11.0 6.6 20.0 7.9 -4.2 -0.0 3.3 4.0 4.3 2.8 9.2 3.3 0.0 -7.5 -5.4 5.9 13.6 GASOILINE 14.9 7.8 -19.9 -0.2 5.7 0.7 4.1 6.9 2.2 9.2 -5.2 11.9 5.1 12.5 0.6 20.0 20.0 20.0 20.0 4.3 0.6 18.3 11.7 14.2 0.1 -0.0 2.8 7.3 2.4 8.3 9.1 6.5 8.9 12.4 13.9 14.0 2.2 GAS_US -1.2 -20.0 -13.4 -0.2 5.7 0.7 4.1 6.9 2.2 13.2 -4.8 3.6 3.1 -10.6 -10.6 -20.0 -10.6 -20.0 -15.0 -16.3 -8.1 7.9 3.8 -9.5 -11.2 -0.0 -3.6 7.8 -0.1 2.7 4.8 -2.4 -20.0 18.2 -16.2 -20.0 12.5 GBP 19.0 20.0 8.5 -3.4 4.6 -5.3 2.8 -5.5 0.1 4.3 -10.2 5.8 -12.6 7.8 -2.9 -1.6 -1.3 -1.6 -1.6 -4.8 -13.2 3.5 -15.6 2.9 16.2 -0.0 -3.9 0.9 -7.5 0.5 -8.3 -0.3 0.2 -10.1 3.8 0.6 -11.7 GOLD_micro 4.0 6.1 -9.9 -2.2 11.0 -2.8 5.0 -1.6 0.4 9.1 -14.5 1.9 -12.9 -7.7 -12.1 -10.3 -7.3 -9.8 -8.8 -11.7 -15.5 4.1 -12.8 -4.6 10.7 -0.0 -4.7 7.1 -5.6 2.3 -4.0 -1.8 -11.5 -3.3 -7.6 -13.5 -13.1 HEATOIL 7.7 4.5 -12.7 -0.2 5.7 0.7 4.1 6.9 2.2 9.8 5.7 8.3 10.2 11.1 5.8 20.0 20.0 20.0 20.0 9.1 10.0 12.1 19.1 11.9 -14.7 -0.0 4.0 4.5 5.9 4.8 13.0 4.6 6.0 0.5 5.6 4.0 17.6 JPY 14.1 -2.9 -12.7 -3.4 4.6 -5.3 2.8 -5.5 0.1 6.7 -15.9 2.2 -16.0 -7.7 -14.2 -13.8 -9.7 -13.1 -11.7 -20.0 -20.0 1.1 -20.0 -9.5 20.0 -0.0 -5.9 2.2 -8.4 0.4 -10.5 -2.6 -15.4 -8.4 -20.0 -3.8 -11.2 LEANHOG 20.0 1.6 -4.3 -3.0 7.4 -3.1 3.9 0.5 -0.6 -3.2 -5.5 7.6 -1.2 10.4 6.7 2.4 20.0 20.0 20.0 6.8 1.4 4.4 2.9 9.8 6.1 -0.0 1.4 1.2 -0.2 1.2 0.9 2.6 20.0 -19.6 20.0 12.5 7.5 LIVECOW 19.0 3.4 9.8 -3.0 7.4 -3.1 3.9 0.5 -0.6 -9.2 3.5 4.6 -3.1 7.5 8.2 -20.0 -20.0 -20.0 -20.0 8.9 4.4 1.2 -0.8 9.0 -10.4 -0.0 3.5 -1.8 2.5 0.5 1.6 3.5 -20.0 -20.0 20.0 11.5 17.0 MXP 12.9 6.3 12.2 -3.4 4.6 -5.3 2.8 -5.5 0.1 14.0 15.7 15.8 14.7 16.0 16.2 19.4 19.9 18.6 19.2 15.3 13.7 20.0 13.9 19.5 -20.0 -0.0 5.4 10.9 3.6 10.2 3.2 7.9 20.0 13.4 14.8 20.0 20.0 NASDAQ 12.5 -10.3 -2.0 -1.5 2.0 -3.2 2.4 -2.8 1.5 -7.0 -13.4 -6.2 -12.4 -10.9 -12.5 -4.5 -2.7 -4.3 -3.7 -14.0 -16.0 -10.1 -14.3 -10.5 10.2 -0.0 -4.8 -2.7 -5.5 -3.2 -4.3 -3.4 -3.7 -20.0 -20.0 -13.9 -5.5 NZD 20.0 0.6 -2.5 -3.4 4.6 -5.3 2.8 -5.5 0.1 13.1 -13.2 14.3 -13.8 0.6 -8.8 -0.9 0.9 -0.6 0.1 -8.3 -17.0 16.1 -17.2 6.5 2.7 -0.0 -3.1 5.7 -5.9 5.0 -6.0 1.8 3.7 11.1 15.3 -1.6 -2.4 OAT 19.3 -7.2 -8.9 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -11.4 -13.1 -2.1 -12.8 -6.9 -12.3 17.7 11.6 14.6 13.6 -17.9 -20.0 -5.7 -20.0 -7.3 11.8 -0.0 -4.6 -3.5 -7.2 -1.1 -8.7 -1.5 16.8 9.3 17.4 7.2 1.5 OJ 18.7 20.0 13.7 -3.0 7.4 -3.1 3.9 0.5 -0.6 14.0 15.2 15.5 14.0 16.1 15.9 17.9 11.0 17.1 15.5 20.0 20.0 20.0 20.0 20.0 -20.0 -0.0 6.3 5.6 6.0 5.2 5.3 5.7 3.0 20.0 20.0 20.0 20.0 PALLAD -20.0 -11.7 0.7 -2.2 11.0 -2.8 5.0 -1.6 0.4 -0.6 -10.0 -11.3 -5.5 -13.8 -8.3 -2.2 -1.1 -1.7 -1.4 -13.4 -6.6 -15.7 -5.0 -19.9 -1.8 -0.0 -4.1 -0.3 -1.5 -5.1 -0.7 -6.4 0.0 -20.0 -20.0 -11.7 6.4 PLAT 10.9 13.7 9.8 -2.2 11.0 -2.8 5.0 -1.6 0.4 11.7 -2.3 11.4 -8.0 12.7 10.2 0.8 -0.3 0.3 -0.0 8.3 1.4 14.6 -3.9 12.4 4.4 -0.0 3.3 10.2 -0.4 7.3 -3.1 6.0 1.8 7.0 20.0 20.0 12.3 REDWHEAT -6.6 10.2 -5.1 -3.0 7.4 -3.1 3.9 0.5 -0.6 -1.1 -8.8 -5.5 -2.6 -1.5 4.4 0.9 -1.2 0.6 -0.0 1.2 -1.4 0.4 2.0 0.7 -14.3 -0.0 2.0 1.4 2.8 0.8 6.0 1.0 -20.0 -0.9 -6.7 17.8 9.4 ROBUSTA -20.0 -20.0 -4.2 -3.0 7.4 -3.1 3.9 0.5 -0.6 -9.0 -6.9 -14.2 4.1 -15.5 -11.5 7.1 6.2 6.7 6.2 -20.0 -10.9 -20.0 0.9 -20.0 2.4 -0.0 -4.7 -1.5 -2.0 -4.4 0.2 -6.2 -9.3 -20.0 -20.0 -20.0 0.4 RUSSELL 19.6 -2.2 6.8 -1.5 2.0 -3.2 2.4 -2.8 1.5 -1.7 -8.5 7.2 -11.0 2.8 -5.5 -4.0 -1.7 -3.5 -2.7 -0.9 -6.9 6.0 -9.7 6.1 -3.4 -0.0 -0.1 0.5 -2.2 2.4 -2.6 2.6 -1.9 2.7 -1.1 5.7 11.0 SILVER-mini 6.8 17.1 7.5 -2.2 11.0 -2.8 5.0 -1.6 0.4 13.0 -11.1 9.3 -11.7 3.5 0.9 -4.8 -2.9 -4.0 -3.5 1.1 -6.5 17.2 -10.5 8.6 17.6 -0.0 0.8 12.8 -4.2 9.2 -6.9 5.1 -3.3 17.3 7.9 20.0 -4.8 SOYBEAN 7.8 1.6 2.0 -3.0 7.4 -3.1 3.9 0.5 -0.6 9.8 -1.4 11.7 3.7 9.1 8.3 13.8 20.0 17.8 20.0 4.1 1.2 14.5 5.9 10.1 -15.5 -0.0 4.2 6.8 4.8 9.2 9.4 6.7 20.0 18.4 16.3 15.3 13.9 SOYMEAL 4.8 -4.7 3.0 -3.0 7.4 -3.1 3.9 0.5 -0.6 3.1 -2.8 6.9 7.0 -1.5 2.7 16.9 14.9 15.0 15.8 1.3 2.1 3.9 5.6 3.2 -8.2 -0.0 2.8 0.0 4.6 2.2 8.2 2.6 6.7 1.8 13.0 8.5 16.0 SOYOIL 20.0 15.1 5.6 -3.0 7.4 -3.1 3.9 0.5 -0.6 11.3 1.1 14.9 4.8 15.3 13.6 20.0 20.0 20.0 20.0 19.4 9.0 20.0 10.7 20.0 -20.0 -0.0 5.3 7.8 3.5 9.2 4.2 7.8 18.3 20.0 20.0 20.0 20.0 SP400 20.0 -2.5 2.8 -1.5 2.0 -3.2 2.4 -2.8 1.5 5.4 -7.7 10.0 -8.4 3.7 -4.3 -0.1 -1.2 -0.3 -0.7 -0.1 -6.0 9.5 -6.8 7.8 -5.5 -0.0 0.2 2.9 -1.7 3.7 -1.4 3.2 0.0 7.1 0.6 6.0 12.3 SP500 20.0 -5.8 -1.5 -1.5 2.0 -3.2 2.4 -2.8 1.5 -3.5 -11.0 4.1 -10.0 -3.3 -8.5 -4.5 -2.6 -4.1 -3.4 -6.5 -11.2 1.4 -9.9 0.5 7.2 -0.0 -2.5 0.2 -4.7 0.7 -4.3 0.4 -3.3 -10.4 -5.8 -4.3 1.4 SUGAR11 -1.8 9.4 -1.3 -3.0 7.4 -3.1 3.9 0.5 -0.6 13.4 -6.4 8.0 -5.2 6.6 1.8 20.0 16.4 20.0 20.0 3.0 -0.8 10.6 -0.9 5.7 -6.4 -0.0 2.2 8.6 0.9 5.6 0.8 2.9 12.4 6.4 3.9 14.9 3.9 US10 1.4 -14.5 -20.0 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -12.5 -14.9 -8.2 -14.3 -12.6 -14.7 -4.3 2.6 -3.3 -1.3 -20.0 -20.0 -11.9 -20.0 -18.2 -4.9 -0.0 -5.8 -2.8 -6.5 -2.5 -6.7 -3.7 -4.4 0.5 -0.9 -6.2 -4.4 US10U -1.7 -17.6 -20.0 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -11.3 -14.9 -8.5 -14.0 -12.8 -14.7 -0.6 5.7 0.4 2.3 -20.0 -20.0 -12.6 -20.0 -19.4 -5.7 -0.0 -5.8 -3.1 -6.3 -2.7 -6.2 -4.0 1.6 3.4 -3.7 -5.9 -2.6 US20 -8.3 -20.0 -20.0 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -10.9 -15.1 -10.5 -14.1 -13.2 -14.9 1.5 3.0 1.8 2.2 -20.0 -20.0 -18.7 -20.0 -20.0 -5.8 -0.0 -6.0 -3.5 -5.8 -3.5 -5.1 -4.9 -1.1 0.8 -17.7 -12.2 -6.7 US30 -4.6 -19.6 -18.9 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -9.9 -15.7 -8.5 -15.3 -12.0 -14.6 -1.9 0.6 -1.1 -0.6 -20.0 -20.0 -16.1 -20.0 -20.0 -3.4 -0.0 -6.0 -3.9 -6.1 -3.5 -5.9 -4.9 -5.5 4.9 -16.1 -3.9 -1.9 US5 3.9 -12.3 -20.0 -4.8 -3.6 -5.4 -2.5 -5.5 -3.1 -12.9 -14.7 -7.9 -14.5 -12.4 -14.4 -4.9 4.4 -3.9 -1.1 -20.0 -20.0 -12.2 -20.0 -18.0 -2.6 -0.0 -5.7 -2.7 -6.8 -2.5 -7.6 -3.7 -2.4 -2.8 -0.5 -8.7 -6.2 VIX -20.0 7.2 -1.1 -1.9 -7.3 -0.6 -7.9 -1.0 -5.3 -14.0 -6.0 -15.5 -6.6 -7.8 -2.4 -1.9 -17.3 -4.3 -10.0 -5.5 -2.6 -20.0 -4.2 -16.0 NaN -0.0 -2.3 -8.4 -0.7 -9.1 -1.3 -6.3 NaN NaN NaN NaN NaN WHEAT -2.4 8.6 -6.6 -3.0 7.4 -3.1 3.9 0.5 -0.6 -4.1 -9.5 -4.4 -4.9 1.4 6.1 -3.0 -3.6 -3.4 -3.6 0.8 -3.6 1.2 -0.6 2.1 -14.3 -0.0 1.8 0.8 2.1 1.4 5.6 1.7 -20.0 -0.2 -2.5 14.4 4.5 End of report for caleb_strategy_v1