******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221108_204317 produced at 2022-11-08 21:35:23.446463 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 37955537.01 -37955537.01 0.00 0.00 -7.85 999999999 0 0 caleb_strategy_v1 US5 False False 0.03 -0.38 -0.18 0.0 34899903.34 -34899903.34 -0.38 -0.38 -5.03 999999999 -11 -11 caleb_strategy_v1 US10 False False 0.04 0.00 -0.14 0.0 36221189.10 -36221189.10 0.00 0.00 -3.74 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.13 0.0 39407668.55 -39407668.55 -0.04 -0.04 -3.30 999999999 -1 -1 caleb_strategy_v1 JPY False False 0.03 -0.17 -0.13 0.0 28338629.15 -28338629.15 -0.17 -0.17 -4.68 999999999 -6 -6 caleb_strategy_v1 CHF False False 0.04 -0.08 -0.12 0.0 41839860.59 -41839860.59 -0.08 -0.08 -2.97 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.04 -0.33 -0.12 0.0 41583300.25 -41583300.25 -0.33 -0.33 -2.95 999999999 -8 -8 caleb_strategy_v1 LIVECOW False False 0.02 -0.08 -0.11 0.0 20324505.05 -20324505.05 -0.08 -0.08 -5.37 999999999 -4 -4 caleb_strategy_v1 VIX False False 0.01 -0.02 -0.10 0.0 8965244.59 -8965244.59 -0.02 -0.03 -11.22 999999999 -2 -3 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.08 0.0 29908778.44 -29908778.44 -0.06 -0.06 -2.82 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 47584310.52 -47584310.52 0.00 0.00 -0.95 999999999 0 0 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 26789032.44 -26789032.44 0.00 0.00 -2.04 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.04 0.0 41482728.60 -41482728.60 -0.04 -0.04 -1.06 999999999 -1 -1 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.03 0.0 24450816.35 -24450816.35 -0.02 -0.02 -1.12 999999999 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 5512804.43 -5512804.43 -0.01 -0.01 -5.34 999999999 -1 -2 caleb_strategy_v1 NASDAQ False False 0.07 0.00 -0.03 0.0 72641469.02 -72641469.02 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 -0.02 0.0 21380302.17 -21380302.17 0.00 0.00 -0.80 999999999 0 0 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 79895764.01 -79895764.01 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 2969039.43 -2969039.43 -0.01 -0.02 -6.73 999999999 -5 -6 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.01 0.0 6003101.51 -6003101.51 -0.01 -0.01 -0.97 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14428953.64 -14428953.64 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 21782588.79 -21782588.79 -0.02 -0.02 -0.51 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 62970170.37 -62970170.37 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 62961960.44 -62961960.44 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8285462.31 -8285462.31 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10388846.62 -10388846.62 0.00 0.00 -0.02 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14103019.38 -14103019.38 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20067123.72 -20067123.72 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15479824.80 -15479824.80 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.00 0.0 19577401.34 -19577401.34 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10167999.48 -10167999.48 0.02 0.02 0.49 999999999 2 2 caleb_strategy_v1 DOW False False 0.01 0.00 0.00 0.0 5443184.22 -5443184.22 0.00 0.00 0.65 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 17723188.43 -17723188.43 0.00 0.00 0.72 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16584060.51 -16584060.51 0.00 0.00 0.71 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 12319637.56 -12319637.56 0.00 0.00 0.52 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 684544.04 -684544.04 0.00 0.00 9.92 999999999 0 0 caleb_strategy_v1 DAX False False 0.00 0.00 0.01 0.0 4518854.97 -4518854.97 0.00 0.00 1.86 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4330937.39 -4330937.39 0.00 0.00 2.75 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 23704123.13 -23704123.13 0.02 0.02 0.23 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.03 0.01 0.0 13924699.68 -13924699.68 0.03 0.03 0.99 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 6999327.37 -6999327.37 0.01 0.01 2.29 999999999 1 1 caleb_strategy_v1 CAC False False 0.02 0.04 0.02 0.0 21265686.48 -21265686.48 0.04 0.04 0.81 999999999 2 2 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 30048347.27 -30048347.27 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.03 0.0 25992641.38 -25992641.38 0.05 0.05 1.29 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8346215.80 -8346215.80 0.00 0.00 3.99 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 0.04 0.0 35080312.47 -35080312.47 0.00 0.00 1.20 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.05 0.0 43639908.71 -43639908.71 0.00 0.00 1.13 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 37729924.10 -37729924.10 0.04 0.04 1.22 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.01 0.08 0.06 0.0 13336211.83 -13336211.83 0.08 0.08 4.40 999999999 6 6 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.06 0.0 33767445.99 -33767445.99 0.00 0.00 1.77 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.07 0.0 11612126.33 -11612126.33 0.05 0.05 5.68 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.07 0.0 47919921.99 -47919921.99 0.10 0.10 1.43 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.06 0.08 0.0 6288364.13 -6288364.13 0.06 0.06 12.12 999999999 10 10 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.11 0.0 22786663.35 -22786663.35 0.05 0.05 4.97 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.09 0.15 0.0 45393711.53 -45393711.53 0.09 0.09 3.38 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.20 0.37 0.0 39321582.89 -39321582.89 0.20 0.20 9.49 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 11.6 Shocked risk 25.9 Sum abs risk 43.3 Leverage 2.99 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3045092.6, 'annual_cash_vol_target': 761273.15, 'daily_cash_vol_target': 47579.571875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0066 0.6510 1.0091 16.1453 BITCOIN 650.0786 20845.0000 3.1186 49.8981 BOBL 0.3925 118.8300 0.3303 5.2852 BTP 1.0308 114.0200 0.9041 14.4650 BUND 0.8421 137.1800 0.6138 9.8215 BUXL 2.1992 143.8000 1.5293 24.4691 CAC 68.9284 6426.5000 1.0726 17.1610 CAD 0.0047 0.7446 0.6376 10.2013 CANOLA 7.9902 886.0000 0.9018 14.4292 CHF 0.0071 1.0192 0.6953 11.1242 COCOA 33.8512 2523.0000 1.3417 21.4673 COFFEE 0.0413 1.6295 2.5353 40.5642 COPPER 0.0744 3.6600 2.0316 32.5051 CORN 5.2462 619.2500 0.8472 13.5551 COTTON2 0.0221 0.8589 2.5740 41.1844 CRUDE_W 1.5251 79.1500 1.9268 30.8287 DAX 140.0623 13656.0000 1.0256 16.4103 DOW 357.1124 33150.0000 1.0773 17.2362 EUR 0.0080 1.0106 0.7871 12.5941 EUROSTX 40.5543 3723.0000 1.0893 17.4287 FEEDCOW 1.2539 182.1500 0.6884 11.0139 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 21.2564 1028.2500 2.0672 33.0759 GASOILINE 0.0511 2.5434 2.0090 32.1434 GAS_US 0.2606 6.6330 3.9289 62.8628 GBP 0.0122 1.1549 1.0536 16.8578 GOLD_micro 17.0875 1678.7000 1.0179 16.2864 HEATOIL 0.0652 3.4743 1.8768 30.0287 JPY 0.0001 0.0069 0.7322 11.7160 LEANHOG 1.3856 88.4000 1.5674 25.0786 LIVECOW 0.8419 154.7250 0.5441 8.7062 MXP 0.0003 0.0508 0.5885 9.4157 NASDAQ 194.5331 11060.0000 1.7589 28.1422 NZD 0.0057 0.5962 0.9640 15.4243 OAT 0.8694 131.8800 0.6592 10.5478 OJ 0.0341 2.1090 1.6149 25.8380 PALLAD 44.1288 1917.5000 2.3014 36.8219 PLAT 19.1724 1010.0000 1.8983 30.3722 REDWHEAT 18.0998 942.7500 1.9199 30.7183 ROBUSTA 27.5767 1828.0000 1.5086 24.1372 RUSSELL 26.8681 1808.2000 1.4859 23.7745 SILVER-mini 0.4619 21.5875 2.1394 34.2310 SOYBEAN 12.1192 1387.7500 0.8733 13.9728 SOYMEAL 5.1320 406.1000 1.2637 20.2195 SOYOIL 0.9524 70.6700 1.3477 21.5631 SP400 32.4083 2432.9000 1.3321 21.3133 SP500 51.3812 3834.5000 1.3400 21.4396 SUGAR11 0.0024 0.1903 1.2408 19.8525 US10 0.5154 110.2969 0.4673 7.4768 US10U 0.7089 115.5781 0.6134 9.8141 US20 1.0208 120.0000 0.8507 13.6111 US30 1.5240 126.6250 1.2036 19.2570 US5 0.3428 106.2734 0.3225 5.1605 VIX 0.5456 27.3000 1.9986 31.9771 WHEAT 15.2999 878.7500 1.7411 27.8575 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 651.05 1.01 656.96 1.00 656.96 47579.57 72.42 -6.39 -46.29 BITCOIN 20.84 3.12 65.01 1.00 65.01 47579.57 731.90 5.32 389.23 BOBL 1188.30 0.33 392.52 1.00 393.64 47579.57 120.87 10.05 121.52 BTP 1140.20 0.90 1030.81 1.00 1033.74 47579.57 46.03 12.14 55.86 BUND 1371.80 0.61 842.07 1.00 844.47 47579.57 56.34 7.68 43.25 BUXL 1438.00 1.53 2199.16 1.00 2205.41 47579.57 21.57 -4.83 -10.42 CAC 642.65 1.07 689.28 1.00 691.24 47579.57 68.83 3.87 26.63 CAD 744.55 0.64 474.71 1.00 474.71 47579.57 100.23 -5.81 -58.20 CANOLA 177.20 0.90 159.80 0.74 118.42 47579.57 401.78 6.90 277.10 CHF 1274.06 0.70 885.81 1.00 885.81 47579.57 53.71 -13.65 -73.34 COCOA 252.30 1.34 338.51 1.00 338.51 47579.57 140.55 -1.58 -22.15 COFFEE 611.06 2.54 1549.20 1.00 1549.20 47579.57 30.71 -2.90 -8.90 COPPER 915.00 2.03 1858.88 1.00 1858.88 47579.57 25.60 6.77 17.33 CORN 309.62 0.85 262.31 1.00 262.31 47579.57 181.39 2.75 49.88 COTTON2 429.45 2.57 1105.41 1.00 1105.41 47579.57 43.04 -3.86 -16.63 CRUDE_W 791.50 1.93 1525.06 1.00 1525.06 47579.57 31.20 2.88 8.99 DAX 136.56 1.03 140.06 1.00 140.46 47579.57 338.74 0.93 31.64 DOW 165.75 1.08 178.56 1.00 178.56 47579.57 266.47 0.79 21.11 EUR 1263.19 0.79 994.30 1.00 994.30 47579.57 47.85 -5.45 -26.06 EUROSTX 372.30 1.09 405.54 1.00 406.70 47579.57 116.99 1.45 16.93 FEEDCOW 910.75 0.69 626.93 1.00 626.93 47579.57 75.89 -12.80 -97.11 FTSE100 706.85 0.82 576.59 1.15 666.67 47579.57 71.37 -2.56 -18.29 GASOIL 1028.25 2.07 2125.64 1.00 2125.64 47579.57 22.38 10.22 22.87 GASOILINE 1068.23 2.01 2146.03 1.00 2146.03 47579.57 22.17 12.18 27.01 GAS_US 663.30 3.93 2606.05 1.00 2606.05 47579.57 18.26 -17.15 -31.30 GBP 721.81 1.05 760.51 1.00 760.51 47579.57 62.56 1.90 11.89 GOLD_micro 167.87 1.02 170.88 1.00 170.88 47579.57 278.45 -7.92 -220.57 HEATOIL 1459.21 1.88 2738.63 1.00 2738.63 47579.57 17.37 10.67 18.53 JPY 862.94 0.73 631.88 1.00 631.88 47579.57 75.30 -8.88 -66.87 LEANHOG 353.60 1.57 554.24 1.00 554.24 47579.57 85.85 13.09 112.35 LIVECOW 618.90 0.54 336.77 1.00 336.77 47579.57 141.28 -13.06 -184.51 MXP 254.15 0.59 149.56 1.00 149.56 47579.57 318.13 9.46 300.81 NASDAQ 2212.00 1.76 3890.66 1.00 3890.66 47579.57 12.23 -6.28 -7.68 NZD 596.15 0.96 574.70 1.00 574.70 47579.57 82.79 -0.91 -7.50 OAT 1318.80 0.66 869.40 1.00 871.87 47579.57 54.57 9.51 51.89 OJ 316.35 1.61 510.87 1.00 510.87 47579.57 93.14 -0.10 -0.89 PALLAD 1917.50 2.30 4412.88 1.00 4412.88 47579.57 10.78 -5.28 -5.69 PLAT 505.00 1.90 958.62 1.00 958.62 47579.57 49.63 5.47 27.17 REDWHEAT 471.38 1.92 904.99 1.00 904.99 47579.57 52.57 -9.56 -50.26 ROBUSTA 182.80 1.51 275.77 1.00 275.77 47579.57 172.54 -4.01 -69.11 RUSSELL 90.41 1.49 134.34 1.00 134.34 47579.57 354.17 -3.39 -120.04 SILVER-mini 539.69 2.14 1154.63 1.00 1154.63 47579.57 41.21 7.22 29.76 SOYBEAN 693.88 0.87 605.96 1.00 605.96 47579.57 78.52 9.93 77.94 SOYMEAL 406.10 1.26 513.20 1.00 513.20 47579.57 92.71 7.43 68.93 SOYOIL 424.02 1.35 571.45 1.00 571.45 47579.57 83.26 12.01 100.01 SP400 2432.90 1.33 3240.83 1.00 3240.83 47579.57 14.68 -2.36 -3.47 SP500 1917.25 1.34 2569.06 1.00 2569.06 47579.57 18.52 -3.34 -6.18 SUGAR11 213.14 1.24 264.45 1.00 264.45 47579.57 179.92 8.66 155.85 US10 1102.97 0.47 515.42 1.00 515.42 47579.57 92.31 -9.77 -90.19 US10U 1155.78 0.61 708.94 1.00 708.94 47579.57 67.11 -7.41 -49.76 US20 1200.00 0.85 1020.83 1.00 1020.83 47579.57 46.61 -8.86 -41.31 US30 1266.25 1.20 1524.01 1.00 1524.01 47579.57 31.22 -10.41 -32.50 US5 1062.73 0.32 342.77 1.00 342.77 47579.57 138.81 -8.73 -121.16 VIX 273.00 2.00 545.61 1.00 545.61 47579.57 87.20 -6.31 -55.01 WHEAT 439.38 1.74 764.99 1.00 764.99 47579.57 62.20 -11.42 -71.03 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -46.289 0.007 2.5 -0.800 BITCOIN 389.229 0.010 2.5 9.924 BOBL 121.516 0.031 2.5 9.489 BTP 55.858 0.009 2.5 1.221 BUND 43.254 0.031 2.5 3.378 BUXL -10.418 0.036 2.5 -0.946 CAC 26.626 0.012 2.5 0.810 CAD -58.202 0.008 2.5 -1.125 CANOLA 277.098 0.004 2.5 2.753 CHF -73.342 0.016 2.5 -2.971 COCOA -22.148 0.009 2.5 -0.522 COFFEE -8.903 0.006 2.5 -0.125 COPPER 17.330 0.012 2.5 0.513 CORN 49.882 0.004 2.5 0.487 COTTON2 -16.629 0.007 2.5 -0.271 CRUDE_W 8.991 0.057 2.5 1.285 DAX 31.641 0.024 2.5 1.860 DOW 21.106 0.012 2.5 0.651 EUR -26.065 0.016 2.5 -1.056 EUROSTX 16.933 0.012 2.5 0.515 FEEDCOW -97.106 0.012 2.5 -2.824 FTSE100 -18.292 0.045 2.5 -2.041 GASOIL 22.874 0.031 2.5 1.766 GASOILINE 27.010 0.018 2.5 1.200 GAS_US -31.302 0.007 2.5 -0.510 GBP 11.885 0.008 2.5 0.230 GOLD_micro -220.568 0.010 2.5 -5.341 HEATOIL 18.533 0.031 2.5 1.431 JPY -66.873 0.028 2.5 -4.685 LEANHOG 112.349 0.020 2.5 5.680 LIVECOW -184.508 0.012 2.5 -5.366 MXP 300.806 0.005 2.5 3.985 NASDAQ -7.679 0.024 2.5 -0.451 NZD -7.499 0.007 2.5 -0.130 OAT 51.887 0.009 2.5 1.134 OJ -0.891 0.008 2.5 -0.017 PALLAD -5.689 0.010 2.5 -0.148 PLAT 27.171 0.010 2.5 0.708 REDWHEAT -50.261 0.002 2.5 -0.290 ROBUSTA -69.113 0.006 2.5 -0.970 RUSSELL -120.035 0.022 2.5 -6.729 SILVER-mini 29.757 0.010 2.5 0.721 SOYBEAN 77.939 0.026 2.5 4.973 SOYMEAL 68.926 0.026 2.5 4.398 SOYOIL 100.011 0.004 2.5 0.994 SP400 -3.466 0.022 2.5 -0.194 SP500 -6.184 0.012 2.5 -0.191 SUGAR11 155.849 0.006 2.5 2.289 US10 -90.189 0.017 2.5 -3.744 US10U -49.756 0.063 2.5 -7.845 US20 -41.312 0.032 2.5 -3.295 US30 -32.498 0.036 2.5 -2.952 US5 -121.163 0.017 2.5 -5.030 VIX -55.011 0.082 2.5 -11.219 WHEAT -71.035 0.002 2.5 -0.410 ==================== Position diags ==================== AUD 1.25 BITCOIN 18.66 BOBL 9.44 BTP 1.01 BUND 4.40 BUXL 1.96 CAC 2.09 CAD 1.94 CANOLA 3.99 CHF 2.18 COCOA 3.31 COFFEE 0.43 COPPER 0.76 CORN 1.77 COTTON2 0.70 CRUDE_W 4.46 DAX 19.91 DOW 8.22 EUR 1.94 EUROSTX 3.56 FEEDCOW 2.21 FTSE100 7.96 GASOIL 1.73 GASOILINE 0.99 GAS_US 0.30 GBP 1.21 GOLD_micro 6.74 HEATOIL 1.34 JPY 5.27 LEANHOG 4.34 LIVECOW 4.11 MXP 4.21 NASDAQ 0.72 NZD 1.43 OAT 1.19 OJ 1.76 PALLAD 0.28 PLAT 1.29 REDWHEAT 0.30 ROBUSTA 2.42 RUSSELL 19.85 SILVER-mini 1.00 SOYBEAN 5.01 SOYMEAL 5.92 SOYOIL 0.83 SP400 0.82 SP500 0.57 SUGAR11 2.64 US10 3.83 US10U 10.58 US20 3.72 US30 2.84 US5 5.76 VIX 17.78 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 0.0 0 BITCOIN 9.9 8.1 11.8 NaN 0 BOBL 9.5 8.5 10.4 5.0 5 BTP 1.2 1.1 1.3 1.0 1 BUND 3.4 2.9 3.8 2.0 2 BUXL -0.9 -1.1 -0.8 0.0 0 CAC 0.8 0.6 1.0 2.0 2 CAD -1.1 -1.3 -0.9 -1.0 -1 CANOLA 2.8 2.4 3.2 NaN 0 CHF -3.0 -3.2 -2.8 -2.0 -2 COCOA -0.5 -0.9 -0.2 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 NaN 0 CORN 0.5 0.3 0.7 2.0 2 COTTON2 -0.3 -0.3 -0.2 NaN 0 CRUDE_W 1.3 0.8 1.7 2.0 2 DAX 1.9 -0.1 3.9 NaN 0 DOW 0.7 -0.2 1.5 0.0 0 EUR -1.1 -1.2 -0.9 -1.0 -1 EUROSTX 0.5 0.2 0.9 NaN 0 FEEDCOW -2.8 -3.0 -2.6 -2.0 -2 FTSE100 -2.0 -2.8 -1.2 0.0 0 GASOIL 1.8 1.6 1.9 0.0 0 GASOILINE 1.2 1.1 1.3 NaN 0 GAS_US -0.5 -0.5 -0.5 -1.0 -1 GBP 0.2 0.1 0.4 1.0 1 GOLD_micro -5.3 -6.0 -4.7 -1.0 -1 HEATOIL 1.4 1.3 1.6 2.0 2 JPY -4.7 -5.2 -4.2 -6.0 -6 LEANHOG 5.7 5.2 6.1 4.0 4 LIVECOW -5.4 -5.8 -5.0 -4.0 -4 MXP 4.0 3.6 4.4 NaN 0 NASDAQ -0.5 -0.5 -0.4 0.0 0 NZD -0.1 -0.3 0.0 NaN 0 OAT 1.1 1.0 1.3 0.0 0 OJ -0.0 -0.2 0.2 NaN 0 PALLAD -0.1 -0.2 -0.1 NaN 0 PLAT 0.7 0.6 0.8 NaN 0 REDWHEAT -0.3 -0.3 -0.3 NaN 0 ROBUSTA -1.0 -1.2 -0.7 -1.0 -1 RUSSELL -6.7 -8.7 -4.7 -5.0 -5 SILVER-mini 0.7 0.6 0.8 NaN 0 SOYBEAN 5.0 4.5 5.5 2.0 2 SOYMEAL 4.4 3.8 5.0 6.0 6 SOYOIL 1.0 0.9 1.1 2.0 2 SP400 -0.2 -0.3 -0.1 NaN 0 SP500 -0.2 -0.2 -0.1 NaN 0 SUGAR11 2.3 2.0 2.6 1.0 1 US10 -3.7 -4.1 -3.4 NaN 0 US10U -7.8 -8.9 -6.8 0.0 0 US20 -3.3 -3.7 -2.9 -1.0 -1 US30 -3.0 -3.2 -2.7 -8.0 -8 US5 -5.0 -5.6 -4.5 -11.0 -11 VIX -11.2 -13.0 -9.4 -2.0 -2 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 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.0 -0.3 -0.0 -0.3 -0.2 -0.1 -0.0 -0.0 -0.1 -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 -0.1 -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 -0.0 -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 0.2 0.4 0.3 0.1 BUND 0.2 -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 1.1 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 0.2 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.0 -0.3 -0.0 -0.3 0.5 -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 -1.4 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 -1.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 1.1 0.1 0.4 0.3 0.2 CAD 0.2 -0.1 -0.2 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.2 0.0 -0.7 -0.0 -0.0 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 0.1 0.2 0.3 CHF 0.1 -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 -0.3 -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 0.1 0.2 -0.1 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.5 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.2 0.4 0.2 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 1.6 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -1.1 -0.1 -0.4 -0.3 -0.3 COPPER 0.2 0.3 0.1 -0.0 0.1 -0.1 0.2 -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 0.3 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 -0.1 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 -2.2 -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 0.0 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 1.0 -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 0.1 -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 0.1 -0.1 0.1 -0.2 0.1 0.0 -0.4 -0.0 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 0.3 0.4 0.2 0.1 EUR 0.2 0.2 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.1 -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 0.1 -0.2 0.1 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.1 0.0 -1.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.7 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 0.1 -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 0.0 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 -0.0 -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 1.6 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 -0.5 -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 -0.0 -0.4 -0.3 0.2 GBP 0.2 0.2 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 -0.1 -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 0.0 -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 0.0 0.0 0.1 0.2 0.0 0.0 0.1 0.0 0.3 0.0 0.2 1.7 0.9 0.5 0.5 0.1 0.1 0.0 0.3 0.0 -1.4 -0.0 0.1 0.0 0.1 0.0 0.2 0.0 0.9 0.0 0.1 0.0 0.2 JPY 0.2 -0.0 -0.3 -0.0 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 -2.0 -0.0 -0.4 -0.0 -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 0.0 0.8 0.4 0.4 0.1 0.0 0.0 0.0 0.0 0.9 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 2.7 -0.1 0.4 0.2 0.1 LIVECOW 0.2 0.1 0.1 -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 0.1 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 0.2 0.3 0.3 NASDAQ 0.1 -0.2 -0.1 -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 -0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.2 -0.1 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 -0.0 -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 2.4 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 -0.0 -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 -0.2 0.1 PLAT 0.1 0.2 0.2 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.2 0.1 0.3 0.1 -0.0 0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 0.6 -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 0.1 -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 0.1 -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 -0.2 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 -0.3 0.5 0.2 0.1 0.1 -0.2 -0.1 -0.0 0.0 -0.0 0.5 -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 0.2 -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 -0.1 -0.1 0.1 0.2 SILVER-mini 0.1 0.3 0.2 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.3 0.0 -0.3 0.0 0.1 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 0.0 3.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.2 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 0.1 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 0.0 -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 0.2 -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 0.9 -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 0.1 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 1.8 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 -0.0 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 -0.1 -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 -0.0 -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 -0.1 0.0 -0.2 -0.1 -0.1 US30 -0.0 -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 -0.2 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 -0.7 0.0 -0.3 -0.1 -0.0 US5 0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -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 0.3 -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 -0.4 -1.4 -0.2 -0.4 -0.1 -0.1 -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 -0.1 0.2 0.1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 19.3 -7.6 -9.1 -3.1 5.3 -5.2 3.8 -5.6 0.7 12.4 -13.7 11.0 -13.2 -4.9 -10.7 -2.7 -1.6 -2.3 -1.9 -12.1 -15.8 8.0 -13.4 -1.5 -5.0 -0.0 -4.4 4.0 -5.8 2.6 -5.1 -0.6 -0.2 -3.5 -4.9 -8.4 -2.9 BITCOIN 12.2 4.3 -12.3 -2.2 10.7 -2.8 4.9 -1.6 0.4 11.5 -15.5 11.6 -15.6 4.2 -7.4 0.1 -1.5 -0.2 -0.6 -4.3 -20.0 8.4 -20.0 5.4 17.0 -0.0 -0.3 4.4 -5.2 4.7 -6.3 3.3 0.4 1.6 12.3 8.2 3.4 BOBL 13.1 -8.5 -20.0 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -11.5 -13.7 -8.0 -12.6 -11.0 -14.0 20.0 19.0 20.0 20.0 -20.0 -20.0 -9.8 -20.0 -11.9 8.8 -0.0 -5.1 -2.9 -7.6 -2.1 -9.0 -2.4 20.0 -3.5 8.5 7.4 -2.2 BTP 20.0 4.4 -3.9 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -9.0 -12.4 2.6 -12.9 0.7 -9.4 20.0 14.0 20.0 18.3 -9.4 -19.0 2.6 -20.0 1.3 7.9 -0.0 -3.1 -0.2 -7.3 1.2 -10.1 0.7 20.0 12.1 20.0 20.0 8.1 BUND 15.5 -9.3 -18.3 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -9.7 -13.6 -3.2 -13.0 -8.6 -13.4 12.8 16.6 14.9 16.1 -20.0 -20.0 -6.8 -20.0 -10.7 8.1 -0.0 -5.0 -1.8 -7.2 -1.4 -8.1 -2.2 20.0 0.1 12.2 5.2 -1.4 BUXL 13.1 -10.1 -10.1 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -5.3 -13.5 3.9 -13.1 -6.3 -12.2 5.9 -4.1 5.7 0.5 -20.0 -20.0 -1.6 -20.0 -8.6 6.5 -0.0 -5.1 -0.3 -6.8 -0.4 -7.3 -2.1 -10.4 7.3 11.6 6.3 3.3 CAC 20.0 6.3 -1.9 -1.3 3.0 -3.1 3.0 -2.9 1.8 13.8 -0.9 15.2 -6.4 13.9 3.2 1.2 4.6 1.6 2.8 8.4 -1.0 20.0 -2.5 19.3 -9.4 -0.0 2.4 6.0 -0.6 7.1 -1.2 6.1 8.2 13.1 17.9 19.9 10.9 CAD 17.6 -4.8 -13.0 -3.1 5.3 -5.2 3.8 -5.6 0.7 12.8 -12.4 12.4 -12.9 -4.1 -9.8 -2.0 -0.6 -1.5 -1.0 -10.3 -14.9 11.7 -12.0 1.7 -5.3 -0.0 -4.0 5.6 -5.9 3.9 -5.0 0.3 1.5 -0.3 0.5 -9.0 -8.1 CANOLA 11.7 20.0 -9.3 -2.7 4.4 -3.1 3.5 0.5 -0.2 8.0 -9.0 11.1 -0.5 15.2 9.2 20.0 13.8 10.3 9.1 8.5 -6.0 12.6 1.0 15.2 1.6 -0.0 4.4 1.7 1.4 4.2 2.8 5.1 -0.8 7.9 15.1 20.0 17.7 CHF 6.2 -7.0 -1.5 -3.1 5.3 -5.2 3.8 -5.6 0.7 11.7 -12.5 5.9 -11.7 -8.6 -11.9 -12.4 -11.1 -12.4 -12.1 -10.1 -11.3 4.9 -10.9 -4.3 -2.5 -0.0 -4.8 5.6 -6.0 1.7 -6.9 -2.2 -17.1 -10.2 -15.9 -2.0 4.6 COCOA 8.8 6.9 -0.2 -2.7 4.4 -3.1 3.5 0.5 -0.2 14.0 -9.9 12.6 -11.7 10.3 2.4 2.3 -3.5 0.8 -1.3 2.6 -5.1 20.0 -9.0 12.6 9.9 -0.0 2.2 19.5 -1.7 13.8 -3.6 7.1 -20.0 20.0 18.2 13.2 5.3 COFFEE -20.0 -20.0 -11.0 -2.7 4.4 -3.1 3.5 0.5 -0.2 -13.5 -9.8 -15.0 -1.6 -15.6 -13.3 7.3 5.3 9.5 8.5 -20.0 -15.7 -20.0 -3.6 -20.0 9.8 -0.0 -5.4 -4.0 -3.1 -5.5 -0.6 -6.6 -8.4 -20.0 -20.0 -20.0 -18.5 COPPER 15.8 17.7 6.9 -1.5 12.1 -2.5 7.1 -1.5 1.9 9.0 -12.1 8.4 -11.2 4.6 0.3 0.9 0.2 0.8 0.4 -1.0 -9.6 14.3 -11.8 7.1 18.0 -0.0 -0.4 12.3 -4.6 9.7 -4.9 4.8 2.7 13.5 15.4 3.4 1.7 CORN -5.7 9.2 18.0 -2.7 4.4 -3.1 3.5 0.5 -0.2 -10.7 2.6 -9.9 5.7 1.7 13.3 17.4 12.8 13.5 12.1 9.4 11.4 -3.0 16.8 2.7 -20.0 -0.0 3.2 -4.7 5.8 -1.9 10.5 0.4 0.8 -14.0 -2.9 8.3 18.1 COTTON2 3.5 -20.0 -20.0 -2.7 4.4 -3.1 3.5 0.5 -0.2 14.0 -12.6 7.6 1.1 -8.1 -12.4 3.1 19.3 9.7 16.4 -19.6 -16.7 15.4 -2.0 -6.2 -9.0 -0.0 -4.2 6.2 -3.0 3.7 1.5 -1.3 11.9 19.7 -6.2 -20.0 -16.4 CRUDE_W 12.8 7.6 -12.7 -0.1 2.3 0.8 3.3 6.9 2.2 6.9 -5.2 10.1 4.4 12.5 5.2 7.5 14.4 9.1 12.1 4.9 -0.3 13.2 5.9 12.2 8.7 -0.0 2.7 4.1 1.7 6.5 6.9 5.7 -20.0 6.5 9.0 6.4 8.1 DAX 20.0 8.7 -0.3 -1.3 3.0 -3.1 3.0 -2.9 1.8 13.8 -6.8 15.3 -10.4 12.9 2.2 -3.8 -1.1 -2.9 -2.0 7.2 -6.7 20.0 -12.5 20.0 -0.9 -0.0 2.6 7.7 -1.6 7.9 -4.1 6.6 -0.8 20.0 20.0 20.0 8.6 DOW 20.0 8.3 0.8 -1.3 3.0 -3.1 3.0 -2.9 1.8 11.7 -4.5 13.3 -6.9 11.8 1.5 -4.7 -1.2 -3.9 -2.9 8.0 -3.6 20.0 -6.4 20.0 -2.7 -0.0 2.0 5.6 -1.0 6.3 -1.4 5.6 -1.7 18.9 20.0 16.7 9.8 EUR 16.7 12.0 7.2 -3.1 5.3 -5.2 3.8 -5.6 0.7 10.2 -12.7 6.8 -14.5 4.5 -5.2 -7.3 -8.3 -8.0 -8.4 -4.5 -13.8 10.1 -19.0 4.2 7.2 -0.0 -2.8 7.8 -8.5 4.7 -12.5 2.0 -11.6 -8.7 1.7 11.3 -1.1 EUROSTX 20.0 7.4 -0.3 -1.3 3.0 -3.1 3.0 -2.9 1.8 13.8 -4.1 15.2 -9.1 13.5 2.4 -0.8 2.9 -0.0 1.1 8.1 -3.0 20.0 -6.7 20.0 -7.6 -0.0 2.9 7.4 -0.6 7.9 -2.3 6.6 5.2 20.0 18.9 20.0 11.9 FEEDCOW 13.8 -12.7 -6.1 -2.7 4.4 -3.1 3.5 0.5 -0.2 0.7 -2.4 6.9 -1.6 -1.6 -6.5 -16.5 -20.0 -16.1 -20.0 -5.4 -5.9 2.5 -3.2 -0.0 0.9 -0.0 -2.7 1.0 -2.9 1.0 -1.4 -0.3 -20.0 -11.3 14.8 -13.0 -6.4 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 2.3 7.7 -6.2 -0.1 2.3 0.8 3.3 6.9 2.2 5.1 7.6 1.6 11.2 6.2 5.8 20.0 20.0 20.0 20.0 8.3 11.1 5.7 20.0 7.8 -4.3 -0.0 3.4 1.6 4.4 2.4 9.4 3.3 0.0 -4.1 -3.3 6.2 13.8 GASOILINE 15.6 8.9 -19.4 -0.1 2.3 0.8 3.3 6.9 2.2 4.3 -5.2 9.9 5.1 12.2 1.3 19.6 20.0 20.0 20.0 4.7 1.0 14.4 11.7 13.6 -0.2 -0.0 2.9 2.8 2.5 6.6 9.1 6.2 8.5 8.4 13.8 13.7 2.2 GAS_US 0.2 -20.0 -13.9 -0.1 2.3 0.8 3.3 6.9 2.2 5.9 -5.2 2.2 3.0 -10.6 -10.7 -20.0 -10.9 -20.0 -15.5 -16.1 -8.3 4.0 3.6 -9.4 -11.1 -0.0 -3.6 2.8 -0.2 1.5 4.8 -2.4 -20.0 -0.2 -18.1 -20.0 11.5 GBP 17.3 11.8 5.8 -3.1 5.3 -5.2 3.8 -5.6 0.7 7.1 -10.0 7.3 -12.5 8.8 -2.5 -1.7 -1.3 -1.7 -1.7 -4.2 -13.1 5.7 -15.8 3.9 16.0 -0.0 -3.8 1.8 -7.5 1.2 -8.5 0.0 0.2 -14.9 2.4 -0.3 -11.6 GOLD_micro 4.0 6.1 -9.9 -2.2 10.7 -2.8 4.9 -1.6 0.4 8.9 -14.5 1.8 -12.9 -7.7 -12.1 -10.3 -7.3 -9.8 -8.8 -11.7 -15.5 4.0 -12.8 -4.7 10.7 -0.0 -4.7 7.0 -5.6 2.2 -4.0 -1.8 -11.5 -3.0 -7.5 -13.5 -13.1 HEATOIL 6.5 6.5 -12.1 -0.1 2.3 0.8 3.3 6.9 2.2 4.2 5.7 6.9 10.2 11.1 6.1 20.0 20.0 20.0 20.0 9.1 10.2 9.1 19.4 11.1 -14.6 -0.0 4.0 1.4 6.1 3.6 13.2 4.3 6.4 2.0 4.4 4.0 17.5 JPY 18.2 -1.5 -15.8 -3.1 5.3 -5.2 3.8 -5.6 0.7 11.5 -15.8 6.7 -15.9 -6.2 -13.8 -13.7 -9.7 -13.1 -11.8 -20.0 -20.0 5.1 -20.0 -7.0 20.0 -0.0 -5.7 3.9 -8.5 1.6 -10.8 -2.0 -15.5 -3.9 -20.0 -3.1 -10.7 LEANHOG 20.0 2.6 -4.5 -2.7 4.4 -3.1 3.5 0.5 -0.2 -2.4 -5.4 7.5 -1.1 10.5 7.0 0.0 20.0 20.0 20.0 7.0 1.7 4.9 3.0 9.7 6.3 -0.0 1.5 1.2 -0.1 1.5 0.9 2.7 20.0 -20.0 20.0 11.8 6.9 LIVECOW 17.6 4.1 9.5 -2.7 4.4 -3.1 3.5 0.5 -0.2 -9.9 3.7 3.8 -3.0 7.0 7.9 -20.0 -20.0 -20.0 -20.0 8.7 4.5 0.3 -0.7 7.9 -10.6 -0.0 3.5 -2.0 2.6 0.1 1.6 3.1 -20.0 -20.0 20.0 11.6 16.2 MXP 13.4 8.2 12.1 -3.1 5.3 -5.2 3.8 -5.6 0.7 11.1 15.7 14.6 14.8 15.7 16.1 19.2 19.9 18.6 19.1 15.8 13.9 20.0 13.9 19.6 -20.0 -0.0 5.5 6.9 3.6 8.9 3.2 7.7 20.0 10.3 11.8 20.0 20.0 NASDAQ 9.6 -9.4 -3.8 -1.3 3.0 -3.1 3.0 -2.9 1.8 -4.8 -13.4 -5.5 -12.4 -10.6 -12.5 -4.5 -2.7 -4.3 -3.7 -14.2 -16.3 -7.9 -14.7 -10.1 10.6 -0.0 -4.8 -1.0 -5.6 -2.5 -4.4 -3.2 -3.7 -20.0 -20.0 -13.9 -6.0 NZD 20.0 1.3 -6.0 -3.1 5.3 -5.2 3.8 -5.6 0.7 13.7 -12.9 14.8 -13.7 2.9 -8.1 -1.0 0.8 -0.6 0.0 -7.0 -16.6 17.9 -17.3 8.5 2.8 -0.0 -2.6 5.8 -5.8 5.5 -6.0 2.4 3.6 11.3 14.6 -0.9 -2.2 OAT 19.4 -5.1 -9.0 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -9.5 -13.1 -1.6 -12.9 -6.7 -12.2 17.8 11.7 14.8 13.8 -17.5 -20.0 -3.8 -20.0 -6.8 11.6 -0.0 -4.6 -1.2 -7.3 -0.6 -9.0 -1.5 17.2 3.8 18.1 7.4 1.5 OJ 15.7 20.0 12.2 -2.7 4.4 -3.1 3.5 0.5 -0.2 8.6 15.3 13.8 14.0 15.7 15.8 18.1 11.1 17.2 15.6 20.0 20.0 20.0 20.0 20.0 -20.0 -0.0 6.3 3.2 6.0 4.7 5.3 5.6 3.0 14.8 20.0 20.0 20.0 PALLAD -20.0 -11.9 0.1 -1.5 12.1 -2.5 7.1 -1.5 1.9 4.4 -10.1 -9.0 -5.6 -12.9 -8.4 -2.3 -1.2 -1.8 -1.5 -13.3 -6.9 -10.3 -5.2 -17.8 -1.9 -0.0 -4.1 2.0 -1.6 -3.3 -0.8 -5.7 0.0 -20.0 -20.0 -12.9 5.5 PLAT 12.4 13.6 10.2 -1.5 12.1 -2.5 7.1 -1.5 1.9 13.3 -1.4 12.9 -7.7 13.4 10.9 0.9 -0.3 0.3 -0.0 9.8 2.1 20.0 -3.7 15.4 3.8 -0.0 3.7 11.7 -0.1 8.9 -2.7 6.6 1.9 11.4 20.0 20.0 12.5 REDWHEAT -6.4 9.2 -4.5 -2.7 4.4 -3.1 3.5 0.5 -0.2 -4.5 -8.8 -6.1 -2.7 -2.4 4.4 1.0 -1.2 0.7 0.0 0.9 -1.5 -1.3 2.0 0.0 -14.3 -0.0 1.8 -1.0 2.7 -0.1 6.0 0.7 -20.0 -2.4 -8.0 16.6 9.2 ROBUSTA -20.0 -20.0 -5.0 -2.7 4.4 -3.1 3.5 0.5 -0.2 -12.8 -7.4 -14.9 3.7 -15.8 -12.1 7.0 6.2 6.7 6.3 -20.0 -11.9 -20.0 0.5 -20.0 2.8 -0.0 -4.8 -2.5 -2.1 -4.5 0.1 -6.1 -9.5 -20.0 -20.0 -20.0 -1.3 RUSSELL 17.8 -0.6 4.7 -1.3 3.0 -3.1 3.0 -2.9 1.8 -3.8 -8.4 6.8 -11.0 3.7 -5.3 -4.1 -1.7 -3.5 -2.8 -0.7 -6.9 5.2 -9.8 5.8 -3.2 -0.0 -0.1 0.2 -2.2 2.1 -2.7 2.4 -2.0 -3.6 -4.0 5.0 10.8 SILVER-mini 10.4 16.7 8.5 -1.5 12.1 -2.5 7.1 -1.5 1.9 13.7 -10.7 11.5 -11.5 5.9 2.5 -4.8 -2.9 -4.0 -3.5 2.9 -5.7 20.0 -10.1 12.1 17.3 -0.0 1.5 14.0 -3.3 10.5 -6.0 6.1 -3.3 18.2 10.1 20.0 -3.9 SOYBEAN 9.1 2.1 2.2 -2.7 4.4 -3.1 3.5 0.5 -0.2 8.0 -1.3 10.9 3.7 9.3 8.7 14.2 20.0 17.9 20.0 4.6 1.5 12.4 6.1 10.2 -15.8 -0.0 4.4 3.6 4.9 7.6 9.3 6.5 20.0 13.2 15.8 14.6 13.9 SOYMEAL 5.3 -4.5 3.1 -2.7 4.4 -3.1 3.5 0.5 -0.2 5.8 -2.6 7.8 7.0 -1.0 2.9 16.9 14.9 15.1 15.8 1.6 2.2 4.8 5.7 3.6 -8.3 -0.0 2.9 1.9 4.6 2.7 8.2 2.8 6.6 2.4 12.8 8.0 15.7 SOYOIL 20.0 16.0 5.4 -2.7 4.4 -3.1 3.5 0.5 -0.2 6.6 1.4 13.1 4.9 14.6 13.6 20.0 20.0 20.0 20.0 19.5 9.4 20.0 10.7 20.0 -20.0 -0.0 5.4 3.6 3.6 7.4 4.2 7.4 18.2 20.0 20.0 20.0 20.0 SP400 19.3 -0.5 1.6 -1.3 3.0 -3.1 3.0 -2.9 1.8 7.4 -7.4 11.2 -8.3 5.7 -3.8 -0.2 -1.2 -0.3 -0.7 0.7 -5.7 10.7 -6.8 8.6 -5.5 -0.0 0.5 3.6 -1.6 4.2 -1.3 3.5 0.0 3.4 -1.2 5.8 12.3 SP500 18.4 -4.3 -2.8 -1.3 3.0 -3.1 3.0 -2.9 1.8 -0.3 -10.9 5.1 -10.0 -1.9 -8.2 -4.5 -2.6 -4.2 -3.5 -6.0 -11.2 3.5 -10.1 1.3 7.4 -0.0 -2.3 1.9 -4.7 1.5 -4.4 0.7 -3.3 -10.0 -5.6 -4.0 1.3 SUGAR11 -1.3 10.1 -0.8 -2.7 4.4 -3.1 3.5 0.5 -0.2 13.9 -5.9 10.7 -5.0 8.4 3.2 20.0 16.7 20.0 20.0 4.2 -0.2 15.2 -0.6 8.4 -6.8 -0.0 2.7 11.8 1.1 7.8 0.9 4.2 12.9 17.4 5.3 16.6 4.0 US10 4.0 -11.2 -20.0 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -7.9 -14.9 -6.8 -14.3 -12.4 -14.7 -4.2 2.6 -3.3 -1.4 -20.0 -20.0 -8.5 -20.0 -16.7 -4.9 -0.0 -5.7 -0.6 -6.6 -1.8 -6.9 -3.5 -4.3 1.8 -0.8 -5.8 -4.2 US10U 1.2 -14.8 -20.0 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -7.1 -14.9 -7.2 -14.0 -12.7 -14.8 -0.6 5.7 0.4 2.3 -20.0 -20.0 -9.5 -20.0 -17.9 -5.6 -0.0 -5.8 -0.9 -6.4 -2.0 -6.3 -3.8 1.8 4.2 -3.9 -5.8 -2.5 US20 -3.8 -19.8 -20.0 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -5.9 -15.1 -9.7 -14.2 -13.1 -14.9 1.5 3.0 1.8 2.2 -20.0 -20.0 -14.2 -20.0 -20.0 -5.6 -0.0 -6.0 -1.2 -5.9 -2.8 -5.2 -4.7 -1.0 3.6 -17.4 -12.6 -6.8 US30 -1.6 -18.0 -18.3 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -7.2 -15.7 -8.5 -15.3 -12.1 -14.6 -1.9 0.5 -1.2 -0.6 -20.0 -20.0 -14.1 -20.0 -20.0 -3.1 -0.0 -6.0 -2.2 -6.2 -3.1 -6.0 -4.8 -5.4 5.2 -16.7 -5.0 -2.1 US5 5.7 -9.2 -20.0 -4.8 -1.5 -5.5 -2.0 -5.6 -3.0 -9.4 -14.7 -7.1 -14.5 -12.3 -14.4 -5.0 4.3 -4.0 -1.3 -20.0 -20.0 -9.5 -20.0 -16.9 -2.7 -0.0 -5.7 -0.9 -6.9 -2.0 -7.7 -3.5 -2.4 -0.6 -1.1 -7.9 -6.0 VIX -20.0 5.4 -1.0 -2.1 -4.2 -0.7 -6.7 -1.0 -5.2 -10.4 -6.3 -14.9 -6.7 -9.0 -3.1 -2.4 -17.2 -4.4 -10.0 -6.2 -3.0 -20.0 -4.3 -15.9 NaN -0.0 -2.5 -4.8 -0.9 -7.8 -1.3 -6.2 NaN NaN NaN NaN NaN WHEAT -2.6 7.7 -6.1 -2.7 4.4 -3.1 3.5 0.5 -0.2 -9.8 -9.5 -7.2 -5.0 -0.2 6.0 -3.0 -3.6 -3.4 -3.6 0.4 -3.7 -2.0 -0.6 0.8 -14.2 -0.0 1.5 -3.8 2.0 -0.8 5.6 0.9 -20.0 -4.5 -4.2 12.9 4.2 End of report for caleb_strategy_v1