******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221109_204304 produced at 2022-11-09 21:35:13.097951 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 38142596.46 -38142596.46 0.00 0.00 -8.15 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.39 -0.18 0.0 35194838.23 -35194838.23 -0.39 -0.39 -5.05 999999999 -11 -11 caleb_strategy_v1 US10 False False 0.04 0.00 -0.14 0.0 36478831.08 -36478831.08 0.00 0.00 -3.81 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.13 0.0 39548013.18 -39548013.18 -0.04 -0.04 -3.32 999999999 -1 -1 caleb_strategy_v1 JPY False False 0.03 -0.17 -0.13 0.0 28315013.36 -28315013.36 -0.17 -0.17 -4.64 999999999 -6 -6 caleb_strategy_v1 US30 False False 0.04 -0.33 -0.13 0.0 41583800.64 -41583800.64 -0.33 -0.33 -3.12 999999999 -8 -8 caleb_strategy_v1 CHF False False 0.04 -0.08 -0.12 0.0 42117032.28 -42117032.28 -0.08 -0.08 -2.96 999999999 -2 -2 caleb_strategy_v1 LIVECOW False False 0.02 -0.08 -0.11 0.0 20386809.62 -20386809.62 -0.08 -0.08 -5.44 999999999 -4 -4 caleb_strategy_v1 VIX False False 0.01 -0.03 -0.10 0.0 9275750.36 -9275750.36 -0.03 -0.03 -10.74 999999999 -3 -3 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.09 0.0 30067650.68 -30067650.68 -0.06 -0.06 -2.89 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 26529190.87 -26529190.87 0.00 0.00 -2.03 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.04 0.0 48446442.98 -48446442.98 0.00 0.00 -0.81 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.04 0.0 41490795.12 -41490795.12 -0.04 -0.04 -1.04 999999999 -1 -1 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.03 0.0 24462518.11 -24462518.11 -0.02 -0.02 -1.08 999999999 -1 -1 caleb_strategy_v1 NASDAQ False False 0.07 0.00 -0.03 0.0 71919307.21 -71919307.21 0.00 0.00 -0.47 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 -0.02 0.0 21286276.32 -21286276.32 0.00 0.00 -0.81 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.02 0.0 5652751.40 -5652751.40 -0.01 -0.01 -4.06 999999999 -2 -2 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 79000954.05 -79000954.05 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.02 0.0 2926904.33 -2926904.33 -0.02 -0.02 -7.62 999999999 -6 -6 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.01 0.0 6008569.84 -6008569.84 -0.01 -0.01 -1.02 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14227777.51 -14227777.51 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 20677813.55 -20677813.55 -0.02 -0.02 -0.51 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.06 0.00 -0.01 0.0 62297162.96 -62297162.96 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 61342306.31 -61342306.31 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10580307.76 -10580307.76 0.00 0.00 0.03 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15314908.68 -15314908.68 0.00 0.00 -0.30 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14001257.41 -14001257.41 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20113993.43 -20113993.43 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.00 0.0 23489060.35 -23489060.35 0.02 0.02 0.19 999999999 1 1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8363056.21 -8363056.21 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10147935.44 -10147935.44 0.02 0.02 0.40 999999999 2 2 caleb_strategy_v1 DOW False False 0.01 0.00 0.00 0.0 5400933.79 -5400933.79 0.00 0.00 0.63 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 547451.15 -547451.15 0.00 0.00 6.79 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.00 0.0 19460888.01 -19460888.01 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.03 0.01 0.0 14142791.14 -14142791.14 0.03 0.03 1.02 999999999 2 2 caleb_strategy_v1 DAX False False 0.00 0.00 0.01 0.0 4511455.06 -4511455.06 0.00 0.00 1.91 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16469830.54 -16469830.54 0.00 0.00 0.72 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4362492.73 -4362492.73 0.00 0.00 2.72 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 17846725.57 -17846725.57 0.00 0.00 0.72 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 12285319.14 -12285319.14 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.02 0.0 25370251.97 -25370251.97 0.05 0.05 0.98 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 7144411.10 -7144411.10 0.01 0.01 2.42 999999999 1 1 caleb_strategy_v1 CAC False False 0.02 0.04 0.02 0.0 21192423.66 -21192423.66 0.04 0.04 0.84 999999999 2 2 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 30377669.07 -30377669.07 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8382897.38 -8382897.38 0.00 0.00 3.96 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 0.04 0.0 34138729.56 -34138729.56 0.00 0.00 1.07 999999999 0 0 caleb_strategy_v1 OAT False False 0.04 0.00 0.05 0.0 44009434.37 -44009434.37 0.00 0.00 1.17 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 38090114.16 -38090114.16 0.04 0.04 1.25 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 32432057.63 -32432057.63 0.00 0.00 1.58 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.09 0.06 0.0 46830337.00 -46830337.00 0.09 0.09 1.32 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.01 0.08 0.06 0.0 13422556.40 -13422556.40 0.08 0.07 4.41 999999999 6 5 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.07 0.0 11808807.32 -11808807.32 0.05 0.05 5.58 999999999 4 4 caleb_strategy_v1 NIKKEI False False 0.01 0.06 0.08 0.0 6215937.33 -6215937.33 0.06 0.06 12.12 999999999 10 10 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.12 0.0 22912426.14 -22912426.14 0.05 0.05 5.06 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.09 0.16 0.0 45749827.01 -45749827.01 0.09 0.09 3.43 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.20 0.37 0.0 39469855.10 -39469855.10 0.20 0.20 9.38 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 11.3 Shocked risk 24.3 Sum abs risk 42.8 Leverage 2.99 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3024014.11, 'annual_cash_vol_target': 756003.5275, 'daily_cash_vol_target': 47250.22046875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0066 0.6437 1.0197 16.3149 BITCOIN 1034.2094 16555.0000 6.2471 99.9538 BOBL 0.3965 119.2900 0.3323 5.3175 BTP 1.0257 115.1200 0.8910 14.2556 BUND 0.8516 138.2700 0.6159 9.8538 BUXL 2.2052 146.4200 1.5061 24.0973 CAC 68.2115 6405.0000 1.0650 17.0396 CAD 0.0047 0.7398 0.6383 10.2121 CANOLA 8.0232 892.3000 0.8992 14.3865 CHF 0.0069 1.0189 0.6801 10.8819 COCOA 33.2547 2529.0000 1.3149 21.0389 COFFEE 0.0403 1.6220 2.4847 39.7552 COPPER 0.0727 3.6745 1.9778 31.6454 CORN 5.2587 613.7500 0.8568 13.7091 COTTON2 0.0217 0.8468 2.5607 40.9710 CRUDE_W 1.5611 76.7200 2.0348 32.5567 DAX 139.9556 13635.0000 1.0264 16.4231 DOW 363.2052 32665.0000 1.1119 17.7906 EUR 0.0079 1.0038 0.7874 12.5985 EUROSTX 40.4352 3713.0000 1.0890 17.4243 FEEDCOW 1.2307 181.8500 0.6768 10.8286 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 22.3666 980.7500 2.2806 36.4889 GASOILINE 0.0525 2.4580 2.1375 34.2008 GAS_US 0.2623 6.2530 4.1953 67.1242 GBP 0.0124 1.1365 1.0912 17.4592 GOLD_micro 17.7001 1709.4000 1.0355 16.5673 HEATOIL 0.0667 3.3718 1.9774 31.6378 JPY 0.0001 0.0068 0.7376 11.8012 LEANHOG 1.3597 89.2750 1.5231 24.3693 LIVECOW 0.8380 154.1250 0.5437 8.6992 MXP 0.0003 0.0507 0.5874 9.3991 NASDAQ 193.2829 10874.2500 1.7774 28.4390 NZD 0.0058 0.5885 0.9940 15.9042 OAT 0.8764 133.0100 0.6589 10.5418 OJ 0.0332 2.1330 1.5551 24.8811 PALLAD 44.4682 1855.0000 2.3972 38.3553 PLAT 19.2700 996.1000 1.9345 30.9527 REDWHEAT 17.9045 926.2500 1.9330 30.9282 ROBUSTA 26.9608 1817.0000 1.4838 23.7409 RUSSELL 27.4380 1770.2000 1.5500 24.7999 SILVER-mini 0.4619 21.5875 2.1394 34.2310 SOYBEAN 11.8879 1385.7500 0.8579 13.7259 SOYMEAL 5.0302 405.9000 1.2393 19.8284 SOYOIL 0.9278 71.2800 1.3016 20.8254 SP400 32.9774 2389.0000 1.3804 22.0861 SP500 51.4899 3767.7500 1.3666 21.8655 SUGAR11 0.0024 0.1929 1.2204 19.5261 US10 0.5044 110.3125 0.4572 7.3159 US10U 0.6907 115.3438 0.5988 9.5807 US20 0.9916 119.5938 0.8291 13.2660 US30 1.4743 125.7500 1.1724 18.7583 US5 0.3386 106.4297 0.3181 5.0902 VIX 0.5600 28.0500 1.9966 31.9448 WHEAT 15.2838 860.5000 1.7762 28.4184 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 643.70 1.02 656.37 1.00 656.37 47250.22 71.99 -6.48 -46.67 BITCOIN 16.56 6.25 103.42 1.00 103.42 47250.22 456.87 5.83 266.17 BOBL 1192.90 0.33 396.45 1.01 399.48 47250.22 118.28 10.16 120.15 BTP 1151.20 0.89 1025.69 1.01 1033.53 47250.22 45.72 12.49 57.10 BUND 1382.70 0.62 851.55 1.01 858.06 47250.22 55.07 7.99 43.99 BUXL 1464.20 1.51 2205.20 1.01 2222.05 47250.22 21.26 -4.21 -8.94 CAC 640.50 1.06 682.11 1.01 687.33 47250.22 68.74 4.02 27.62 CAD 739.75 0.64 472.15 1.00 472.15 47250.22 100.07 -5.57 -55.74 CANOLA 178.46 0.90 160.46 0.74 119.43 47250.22 395.65 6.93 274.26 CHF 1273.62 0.68 866.22 1.00 866.22 47250.22 54.55 -13.42 -73.19 COCOA 252.90 1.31 332.55 1.00 332.55 47250.22 142.09 -1.13 -16.06 COFFEE 608.25 2.48 1511.32 1.00 1511.32 47250.22 31.26 -3.16 -9.89 COPPER 918.62 1.98 1816.89 1.00 1816.89 47250.22 26.01 6.91 17.96 CORN 306.88 0.86 262.94 1.00 262.94 47250.22 179.70 2.31 41.43 COTTON2 423.40 2.56 1084.20 1.00 1084.20 47250.22 43.58 -3.54 -15.42 CRUDE_W 767.20 2.03 1561.09 1.00 1561.09 47250.22 30.27 2.26 6.84 DAX 136.35 1.03 139.96 1.01 141.02 47250.22 335.05 0.97 32.46 DOW 163.33 1.11 181.60 1.00 181.60 47250.22 260.18 0.79 20.43 EUR 1254.69 0.79 987.95 1.00 987.95 47250.22 47.83 -5.35 -25.58 EUROSTX 371.30 1.09 404.35 1.01 407.44 47250.22 115.97 1.50 17.34 FEEDCOW 909.25 0.68 615.37 1.00 615.37 47250.22 76.78 -12.96 -99.48 FTSE100 706.85 0.82 576.59 1.15 666.67 47250.22 70.87 -2.56 -18.17 GASOIL 980.75 2.28 2236.66 1.00 2236.66 47250.22 21.13 9.70 20.50 GASOILINE 1032.36 2.14 2206.72 1.00 2206.72 47250.22 21.41 11.29 24.17 GAS_US 625.30 4.20 2623.30 1.00 2623.30 47250.22 18.01 -17.51 -31.55 GBP 710.31 1.09 775.09 1.00 775.09 47250.22 60.96 1.63 9.96 GOLD_micro 170.94 1.04 177.00 1.00 177.00 47250.22 266.95 -6.29 -167.85 HEATOIL 1416.16 1.98 2800.26 1.00 2800.26 47250.22 16.87 10.11 17.06 JPY 856.25 0.74 631.55 1.00 631.55 47250.22 74.82 -8.85 -66.24 LEANHOG 357.10 1.52 543.89 1.00 543.89 47250.22 86.87 12.71 110.44 LIVECOW 616.50 0.54 335.19 1.00 335.19 47250.22 140.96 -13.26 -186.91 MXP 253.50 0.59 148.92 1.00 148.92 47250.22 317.29 9.42 298.82 NASDAQ 2174.85 1.78 3865.66 1.00 3865.66 47250.22 12.22 -6.49 -7.93 NZD 588.50 0.99 584.98 1.00 584.98 47250.22 80.77 -0.83 -6.70 OAT 1330.10 0.66 876.36 1.01 883.05 47250.22 53.51 9.97 53.34 OJ 319.95 1.56 497.54 1.00 497.54 47250.22 94.97 0.16 1.48 PALLAD 1855.00 2.40 4446.82 1.00 4446.82 47250.22 10.63 -5.40 -5.74 PLAT 498.05 1.93 963.50 1.00 963.50 47250.22 49.04 5.61 27.53 REDWHEAT 463.12 1.93 895.23 1.00 895.23 47250.22 52.78 -9.90 -52.23 ROBUSTA 181.70 1.48 269.61 1.00 269.61 47250.22 175.26 -4.16 -72.87 RUSSELL 88.51 1.55 137.19 1.00 137.19 47250.22 344.41 -3.95 -135.98 SILVER-mini 539.69 2.14 1154.63 1.00 1154.63 47250.22 40.92 7.24 29.61 SOYBEAN 692.88 0.86 594.39 1.00 594.39 47250.22 79.49 9.99 79.38 SOYMEAL 405.90 1.24 503.02 1.00 503.02 47250.22 93.93 7.36 69.10 SOYOIL 427.68 1.30 556.66 1.00 556.66 47250.22 84.88 12.14 103.06 SP400 2389.00 1.38 3297.74 1.00 3297.74 47250.22 14.33 -2.44 -3.50 SP500 1883.88 1.37 2574.49 1.00 2574.49 47250.22 18.35 -3.52 -6.45 SUGAR11 216.05 1.22 263.66 1.00 263.66 47250.22 179.21 9.21 164.97 US10 1103.12 0.46 504.40 1.00 504.40 47250.22 93.68 -9.80 -91.80 US10U 1153.44 0.60 690.67 1.00 690.67 47250.22 68.41 -7.55 -51.68 US20 1195.94 0.83 991.58 1.00 991.58 47250.22 47.65 -8.75 -41.68 US30 1257.50 1.17 1474.29 1.00 1474.29 47250.22 32.05 -10.73 -34.39 US5 1064.30 0.32 338.59 1.00 338.59 47250.22 139.55 -8.72 -121.65 VIX 280.50 2.00 560.03 1.00 560.03 47250.22 84.37 -6.24 -52.64 WHEAT 430.25 1.78 764.19 1.00 764.19 47250.22 61.83 -11.87 -73.39 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -46.675 0.007 2.5 -0.807 BITCOIN 266.167 0.010 2.5 6.787 BOBL 120.147 0.031 2.5 9.382 BTP 57.101 0.009 2.5 1.248 BUND 43.987 0.031 2.5 3.435 BUXL -8.943 0.036 2.5 -0.812 CAC 27.623 0.012 2.5 0.840 CAD -55.743 0.008 2.5 -1.077 CANOLA 274.260 0.004 2.5 2.725 CHF -73.192 0.016 2.5 -2.964 COCOA -16.063 0.009 2.5 -0.379 COFFEE -9.889 0.006 2.5 -0.139 COPPER 17.957 0.012 2.5 0.531 CORN 41.434 0.004 2.5 0.404 COTTON2 -15.421 0.007 2.5 -0.251 CRUDE_W 6.841 0.057 2.5 0.978 DAX 32.465 0.024 2.5 1.908 DOW 20.432 0.012 2.5 0.630 EUR -25.583 0.016 2.5 -1.036 EUROSTX 17.341 0.012 2.5 0.528 FEEDCOW -99.484 0.012 2.5 -2.893 FTSE100 -18.166 0.045 2.5 -2.027 GASOIL 20.500 0.031 2.5 1.583 GASOILINE 24.167 0.018 2.5 1.074 GAS_US -31.547 0.007 2.5 -0.514 GBP 9.963 0.008 2.5 0.193 GOLD_micro -167.854 0.010 2.5 -4.064 HEATOIL 17.061 0.031 2.5 1.317 JPY -66.243 0.028 2.5 -4.640 LEANHOG 110.439 0.020 2.5 5.584 LIVECOW -186.913 0.012 2.5 -5.436 MXP 298.820 0.005 2.5 3.959 NASDAQ -7.933 0.024 2.5 -0.466 NZD -6.697 0.007 2.5 -0.116 OAT 53.340 0.009 2.5 1.166 OJ 1.477 0.008 2.5 0.028 PALLAD -5.738 0.010 2.5 -0.149 PLAT 27.532 0.010 2.5 0.717 REDWHEAT -52.235 0.002 2.5 -0.302 ROBUSTA -72.873 0.006 2.5 -1.022 RUSSELL -135.976 0.022 2.5 -7.622 SILVER-mini 29.614 0.010 2.5 0.717 SOYBEAN 79.378 0.026 2.5 5.065 SOYMEAL 69.095 0.026 2.5 4.409 SOYOIL 103.058 0.004 2.5 1.024 SP400 -3.498 0.022 2.5 -0.196 SP500 -6.452 0.012 2.5 -0.199 SUGAR11 164.967 0.006 2.5 2.423 US10 -91.799 0.017 2.5 -3.811 US10U -51.678 0.063 2.5 -8.149 US20 -41.676 0.032 2.5 -3.324 US30 -34.386 0.036 2.5 -3.124 US5 -121.646 0.017 2.5 -5.051 VIX -52.643 0.082 2.5 -10.736 WHEAT -73.389 0.002 2.5 -0.424 ==================== Position diags ==================== AUD 1.24 BITCOIN 11.65 BOBL 9.24 BTP 1.00 BUND 4.30 BUXL 1.93 CAC 2.09 CAD 1.93 CANOLA 3.93 CHF 2.21 COCOA 3.35 COFFEE 0.44 COPPER 0.77 CORN 1.75 COTTON2 0.71 CRUDE_W 4.33 DAX 19.69 DOW 8.02 EUR 1.94 EUROSTX 3.53 FEEDCOW 2.23 FTSE100 7.91 GASOIL 1.63 GASOILINE 0.95 GAS_US 0.29 GBP 1.18 GOLD_micro 6.46 HEATOIL 1.30 JPY 5.24 LEANHOG 4.39 LIVECOW 4.10 MXP 4.20 NASDAQ 0.72 NZD 1.40 OAT 1.17 OJ 1.79 PALLAD 0.28 PLAT 1.28 REDWHEAT 0.30 ROBUSTA 2.46 RUSSELL 19.31 SILVER-mini 0.99 SOYBEAN 5.07 SOYMEAL 5.99 SOYOIL 0.84 SP400 0.80 SP500 0.57 SUGAR11 2.63 US10 3.89 US10U 10.79 US20 3.80 US30 2.91 US5 5.79 VIX 17.21 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 6.8 5.6 8.0 NaN 0 BOBL 9.4 8.5 10.3 5.0 5 BTP 1.2 1.1 1.3 1.0 1 BUND 3.4 3.0 3.9 2.0 2 BUXL -0.8 -1.0 -0.6 0.0 0 CAC 0.8 0.6 1.0 2.0 2 CAD -1.1 -1.3 -0.9 -1.0 -1 CANOLA 2.7 2.3 3.1 NaN 0 CHF -3.0 -3.2 -2.7 -2.0 -2 COCOA -0.4 -0.7 -0.0 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.5 0.6 NaN 0 CORN 0.4 0.2 0.6 2.0 2 COTTON2 -0.3 -0.3 -0.2 NaN 0 CRUDE_W 1.0 0.5 1.4 2.0 2 DAX 1.9 -0.1 3.9 NaN 0 DOW 0.6 -0.2 1.4 0.0 0 EUR -1.0 -1.2 -0.8 -1.0 -1 EUROSTX 0.5 0.2 0.9 NaN 0 FEEDCOW -2.9 -3.1 -2.7 -2.0 -2 FTSE100 -2.0 -2.8 -1.2 0.0 0 GASOIL 1.6 1.4 1.7 0.0 0 GASOILINE 1.1 1.0 1.2 NaN 0 GAS_US -0.5 -0.5 -0.5 -1.0 -1 GBP 0.2 0.1 0.3 1.0 1 GOLD_micro -4.1 -4.7 -3.4 -2.0 -2 HEATOIL 1.3 1.2 1.4 2.0 2 JPY -4.6 -5.2 -4.1 -6.0 -6 LEANHOG 5.6 5.1 6.0 4.0 4 LIVECOW -5.4 -5.8 -5.0 -4.0 -4 MXP 4.0 3.5 4.4 NaN 0 NASDAQ -0.5 -0.5 -0.4 0.0 0 NZD -0.1 -0.3 0.0 NaN 0 OAT 1.2 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 -1.3 -0.8 -1.0 -1 RUSSELL -7.6 -9.6 -5.7 -6.0 -6 SILVER-mini 0.7 0.6 0.8 NaN 0 SOYBEAN 5.1 4.6 5.6 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 -0.3 -0.1 NaN 0 SUGAR11 2.4 2.2 2.7 1.0 1 US10 -3.8 -4.2 -3.4 NaN 0 US10U -8.1 -9.2 -7.1 0.0 0 US20 -3.3 -3.7 -2.9 -1.0 -1 US30 -3.1 -3.4 -2.8 -8.0 -8 US5 -5.1 -5.6 -4.5 -11.0 -11 VIX -10.7 -12.5 -9.0 -3.0 -3 WHEAT -0.4 -0.5 -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 0.0 -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 -0.1 -0.2 0.0 -0.2 -0.0 -0.5 -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 0.3 0.2 -0.0 0.0 -0.1 0.1 -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 4.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.1 0.0 -0.0 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 0.3 0.1 -0.0 BUXL 0.2 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 0.5 -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 0.4 0.1 0.0 CAC 0.2 0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -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 0.2 0.4 0.3 0.2 CAD 0.2 -0.0 -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 0.3 -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 -0.5 -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 -0.0 -0.3 -0.0 0.1 COCOA 0.1 0.1 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.2 0.0 -0.3 0.0 0.1 0.2 -0.1 0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 1.4 -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 0.5 0.2 0.2 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 1.6 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -1.2 -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 0.4 0.1 0.3 0.1 0.0 CORN -0.1 0.1 0.3 -0.0 0.0 -0.1 0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 1.4 0.5 0.3 0.3 0.1 0.1 -0.0 0.2 0.0 -3.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.1 -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 -2.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.5 0.0 -0.0 -0.6 -0.5 CRUDE_W 0.1 0.1 -0.2 -0.0 -0.0 0.0 0.0 0.2 0.0 -0.0 -0.1 0.0 0.1 0.0 0.1 0.6 0.6 0.2 0.3 0.1 -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 0.2 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 -0.2 -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 0.2 0.0 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.1 0.1 -0.4 -0.1 -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 0.3 0.2 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 -0.0 -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 0.2 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.2 0.1 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.1 0.0 -1.1 -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 0.0 0.2 0.0 -0.0 0.2 -0.0 0.3 0.0 0.1 1.7 0.9 0.4 0.4 0.1 0.1 0.0 0.2 0.0 -0.5 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.0 0.1 0.2 GASOILINE 0.2 0.2 -0.3 -0.0 -0.0 0.0 0.0 0.2 0.0 -0.0 -0.1 0.0 0.1 0.0 0.0 1.6 0.9 0.4 0.4 0.0 0.0 0.0 0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 1.1 0.0 0.2 0.2 0.0 GAS_US 0.0 -0.3 -0.2 -0.0 -0.0 0.0 0.0 0.2 0.0 -0.0 -0.1 -0.0 0.1 -0.0 -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 0.1 -0.3 -0.3 0.1 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 0.2 -0.1 -0.0 0.1 -0.1 0.2 -0.0 0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 -0.8 -0.3 -0.2 -0.2 -0.1 -0.2 0.0 -0.2 0.0 1.3 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -1.4 0.0 -0.1 -0.1 -0.2 HEATOIL 0.1 0.1 -0.2 -0.0 -0.0 0.0 0.0 0.2 0.0 -0.0 0.1 0.0 0.3 0.0 0.1 1.7 0.9 0.5 0.5 0.1 0.1 0.0 0.2 0.0 -1.4 -0.0 0.0 -0.0 0.1 0.0 0.2 0.0 0.9 0.0 0.1 0.1 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 0.1 -0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.2 -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 0.1 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 -1.8 -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 -0.1 -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 1.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.5 -0.3 -0.5 -0.2 -0.1 NZD 0.2 0.1 -0.1 -0.0 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 0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.5 0.0 0.2 -0.0 -0.0 OAT 0.2 -0.0 -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 1.5 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 2.4 0.0 0.4 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 1.4 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 -0.2 -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 -0.0 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 0.5 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.3 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 -0.0 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 -0.1 -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 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.2 1.2 0.8 0.4 0.4 0.1 0.0 0.0 0.1 0.0 -2.4 -0.0 0.1 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 -1.2 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.9 0.0 0.2 0.1 0.2 SOYOIL 0.2 0.3 0.1 -0.0 0.0 -0.1 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.3 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.1 0.0 -2.9 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 2.5 0.1 0.4 0.3 0.3 SP400 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.2 0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.9 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 0.1 0.2 SP500 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 -0.3 -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 0.2 -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 0.1 0.0 0.0 -0.0 0.0 -1.2 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.8 0.0 0.2 0.2 0.1 US10 0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -0.3 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 -0.3 -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 0.2 0.0 0.0 -0.2 -0.2 -0.0 -0.3 -0.0 -0.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -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 -0.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.2 -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 -0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.7 -0.0 -0.4 -0.1 -0.0 US5 0.1 -0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -0.4 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 0.2 -0.0 -0.0 0.0 -0.0 -0.0 -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 0.0 0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.0 0.1 -0.3 -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 -0.1 -0.1 0.1 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 20.0 -5.8 -9.2 -3.0 2.5 -5.2 3.2 -5.7 0.8 7.0 -13.6 10.1 -13.2 -4.5 -10.5 -2.8 -1.6 -2.3 -1.9 -11.7 -15.6 5.4 -13.4 -1.6 -4.7 -0.0 -4.4 1.2 -5.9 1.9 -5.3 -0.7 -0.2 -6.3 -4.7 -8.7 -3.2 BITCOIN 12.1 18.5 8.7 -1.0 9.2 -2.3 7.4 -1.4 2.7 -8.0 -15.6 1.9 -15.6 1.5 -8.1 0.0 -1.5 -0.2 -0.6 -4.0 -13.7 -8.2 -20.0 -1.6 18.3 -0.0 -1.6 -20.0 -5.5 -7.7 -6.4 -1.2 0.5 -20.0 -6.2 1.2 -0.4 BOBL 14.4 -5.0 -20.0 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -7.0 -13.8 -6.6 -12.6 -10.4 -14.0 20.0 19.0 20.0 20.0 -20.0 -20.0 -5.8 -20.0 -10.6 8.5 -0.0 -5.1 0.0 -7.7 -1.2 -9.2 -2.2 20.0 0.5 9.5 8.0 -2.2 BTP 20.0 6.2 -3.6 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -3.1 -12.2 4.3 -12.9 2.1 -9.0 20.0 14.1 20.0 18.5 -8.4 -18.6 6.3 -20.0 2.8 7.7 -0.0 -2.9 2.6 -7.3 2.4 -10.3 1.2 20.0 15.6 20.0 20.0 9.2 BUND 17.4 -5.9 -18.4 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -3.8 -13.5 -1.0 -13.0 -7.8 -13.3 12.7 16.6 14.8 16.0 -20.0 -20.0 -2.0 -20.0 -8.8 7.8 -0.0 -4.9 1.1 -7.3 -0.3 -8.4 -1.8 20.0 3.5 15.5 6.1 -1.3 BUXL 16.0 -8.0 -11.9 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 3.9 -13.4 6.9 -13.1 -5.4 -11.9 5.8 -4.1 5.7 0.5 -19.0 -20.0 3.0 -20.0 -6.4 6.3 -0.0 -4.9 2.3 -6.9 0.8 -7.4 -1.6 -10.2 11.4 17.7 6.7 3.4 CAC 20.0 8.8 -1.9 -1.2 0.5 -3.1 2.2 -2.9 1.7 10.5 -0.3 14.7 -6.2 14.2 3.9 1.2 4.5 1.6 2.8 9.4 -0.4 20.0 -2.3 19.7 -9.8 -0.0 2.7 4.3 -0.4 6.5 -1.1 6.1 8.1 19.3 18.7 20.0 11.6 CAD 18.9 -2.9 -13.1 -3.0 2.5 -5.2 3.2 -5.7 0.8 8.3 -12.2 11.7 -12.8 -3.1 -9.5 -2.0 -0.6 -1.5 -1.0 -9.7 -14.7 9.6 -12.0 2.0 -5.1 -0.0 -3.8 2.9 -5.9 3.3 -5.1 0.5 1.4 4.0 1.0 -8.9 -8.2 CANOLA 11.6 20.0 -8.9 -2.6 2.0 -3.0 2.7 0.5 -0.1 9.3 -8.8 11.0 -0.5 15.1 9.7 20.0 13.9 10.6 9.3 8.8 -5.5 11.7 1.2 14.9 1.4 -0.0 4.4 2.2 1.6 3.9 2.8 5.0 -0.8 6.2 14.9 20.0 18.5 CHF 7.5 -6.3 -2.0 -3.0 2.5 -5.2 3.2 -5.7 0.8 13.2 -12.4 8.9 -11.7 -7.2 -11.3 -12.5 -11.2 -12.4 -12.2 -9.5 -11.3 6.7 -11.1 -2.7 -2.3 -0.0 -4.6 5.1 -6.1 2.5 -7.0 -1.5 -17.1 -4.8 -14.4 -3.2 4.7 COCOA 12.6 9.2 0.2 -2.6 2.0 -3.0 2.7 0.5 -0.1 14.0 -9.3 13.7 -11.5 11.5 3.9 2.4 -3.5 0.9 -1.2 4.5 -4.3 20.0 -8.8 16.0 9.3 -0.0 2.7 15.6 -1.1 13.2 -3.0 7.6 -20.0 20.0 20.0 16.8 6.0 COFFEE -20.0 -20.0 -12.1 -2.6 2.0 -3.0 2.7 0.5 -0.1 -13.9 -10.2 -15.3 -2.0 -15.8 -13.6 6.9 5.3 9.3 8.3 -20.0 -16.8 -20.0 -4.2 -20.0 10.1 -0.0 -5.4 -3.7 -3.2 -5.3 -0.7 -6.5 -8.6 -20.0 -20.0 -20.0 -20.0 COPPER 18.1 19.4 6.9 -1.0 9.2 -2.3 7.4 -1.4 2.7 10.9 -11.9 10.2 -11.2 6.5 1.7 0.7 0.2 0.8 0.4 0.1 -9.3 16.0 -11.8 8.9 17.9 -0.0 0.3 10.6 -4.1 9.8 -4.6 5.5 2.7 7.0 15.2 4.4 2.4 CORN -6.9 8.4 17.7 -2.6 2.0 -3.0 2.7 0.5 -0.1 -13.0 2.6 -11.9 5.7 -0.8 13.1 17.4 12.8 13.7 12.2 8.3 10.9 -7.6 16.6 0.3 -20.0 -0.0 2.5 -9.5 5.6 -4.8 10.4 -1.0 0.8 -20.0 -7.1 6.7 17.7 COTTON2 6.3 -20.0 -20.0 -2.6 2.0 -3.0 2.7 0.5 -0.1 12.5 -12.4 9.5 1.0 -7.2 -11.9 3.3 19.2 9.6 16.2 -18.6 -16.7 14.4 -2.1 -4.4 -8.3 -0.0 -4.1 4.2 -3.0 3.5 1.5 -0.9 11.5 17.3 -3.4 -20.0 -16.4 CRUDE_W 11.5 8.9 -12.8 -0.4 -4.5 0.7 0.0 6.8 1.0 -6.4 -5.2 5.0 4.4 11.7 5.2 7.6 14.4 9.1 12.1 4.3 -0.3 5.7 5.7 9.4 8.3 -0.0 2.5 -3.6 1.7 2.8 7.1 4.5 -20.0 7.0 9.6 6.5 7.9 DAX 20.0 11.5 0.4 -1.2 0.5 -3.1 2.2 -2.9 1.7 11.6 -6.2 14.9 -10.2 13.4 3.1 -3.7 -1.2 -2.9 -2.0 8.6 -5.8 20.0 -12.1 20.0 -1.5 -0.0 2.9 6.3 -1.3 7.7 -3.9 6.7 -0.9 20.0 20.0 20.0 9.6 DOW 20.0 11.1 1.2 -1.2 0.5 -3.1 2.2 -2.9 1.7 5.5 -4.1 12.8 -6.7 12.0 2.1 -4.7 -1.2 -4.0 -3.0 8.4 -3.0 19.4 -6.0 20.0 -2.8 -0.0 2.2 2.7 -0.9 5.3 -1.4 5.4 -1.8 18.8 20.0 18.0 10.2 EUR 16.9 14.0 7.8 -3.0 2.5 -5.2 3.2 -5.7 0.8 8.9 -12.5 7.3 -14.4 5.6 -4.7 -7.3 -8.3 -7.9 -8.4 -3.9 -13.5 9.3 -19.0 4.7 7.1 -0.0 -2.5 4.7 -8.5 4.4 -12.7 2.2 -11.6 -9.1 2.3 11.1 -0.6 EUROSTX 20.0 9.9 0.0 -1.2 0.5 -3.1 2.2 -2.9 1.7 11.0 -3.4 14.8 -8.9 13.8 3.4 -0.8 2.9 -0.1 1.0 9.3 -2.2 20.0 -6.4 20.0 -8.1 -0.0 3.1 5.6 -0.4 7.5 -2.1 6.7 5.1 20.0 20.0 20.0 12.7 FEEDCOW 12.1 -11.2 -6.6 -2.6 2.0 -3.0 2.7 0.5 -0.1 2.4 -2.4 6.5 -1.7 -1.2 -6.5 -16.9 -20.0 -16.3 -20.0 -5.2 -5.9 1.9 -3.3 -0.1 0.7 -0.0 -2.7 0.1 -2.9 0.7 -1.4 -0.3 -20.0 -15.1 14.3 -11.9 -7.3 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 0.7 7.4 -7.8 -0.4 -4.5 0.7 0.0 6.8 1.0 -5.3 7.5 -1.6 11.2 5.8 5.8 20.0 20.0 20.0 20.0 7.5 10.5 1.1 19.1 6.0 -4.4 -0.0 3.2 -3.8 4.4 0.4 9.4 2.6 0.0 0.7 -2.5 9.2 14.3 GASOILINE 14.6 9.8 -20.0 -0.4 -4.5 0.7 0.0 6.8 1.0 -5.6 -5.3 4.9 5.1 10.7 1.3 18.7 20.0 20.0 20.0 4.0 0.9 5.8 11.3 10.2 -0.4 -0.0 2.7 -4.3 2.5 2.9 9.3 5.0 8.0 6.2 13.8 13.4 2.3 GAS_US 2.4 -20.0 -14.5 -0.4 -4.5 0.7 0.0 6.8 1.0 -3.9 -5.6 -0.8 2.8 -10.9 -11.0 -20.0 -11.1 -20.0 -15.8 -16.1 -8.6 -1.9 3.3 -10.5 -11.1 -0.0 -3.8 -1.7 -0.3 -0.3 4.8 -2.8 -20.0 4.0 -16.5 -20.0 10.3 GBP 16.4 14.1 6.8 -3.0 2.5 -5.2 3.2 -5.7 0.8 0.8 -9.9 3.9 -12.4 8.5 -2.5 -1.8 -1.3 -1.7 -1.7 -4.2 -12.7 1.9 -15.4 2.6 15.9 -0.0 -3.9 -1.3 -7.6 0.1 -8.7 -0.3 0.2 -18.4 -0.6 -1.7 -11.7 GOLD_micro 11.3 9.4 -8.3 -1.0 9.2 -2.3 7.4 -1.4 2.7 12.0 -14.0 8.9 -12.8 -2.0 -10.2 -10.1 -7.4 -9.8 -8.9 -8.1 -13.8 14.6 -12.1 2.2 10.7 -0.0 -3.2 10.7 -5.0 6.9 -3.9 1.3 -11.5 4.0 -3.3 -10.4 -11.6 HEATOIL 4.6 7.5 -12.5 -0.4 -4.5 0.7 0.0 6.8 1.0 -7.0 5.6 2.2 10.2 10.4 5.9 20.0 20.0 20.0 20.0 8.2 9.8 2.5 18.8 8.4 -14.7 -0.0 3.8 -4.3 6.1 0.8 13.5 3.4 6.6 1.0 4.4 6.2 17.5 JPY 20.0 -0.5 -15.1 -3.0 2.5 -5.2 3.2 -5.7 0.8 6.0 -15.7 7.0 -15.9 -5.8 -13.7 -13.7 -9.8 -13.1 -11.8 -19.5 -20.0 3.8 -20.0 -6.4 20.0 -0.0 -5.6 1.7 -8.6 1.2 -11.0 -1.8 -15.5 -3.5 -20.0 -3.4 -10.2 LEANHOG 19.6 4.3 -4.8 -2.6 2.0 -3.0 2.7 0.5 -0.1 8.7 -5.0 8.4 -1.0 11.0 7.5 -2.9 20.0 20.0 20.0 7.5 2.0 7.1 3.2 10.4 6.3 -0.0 1.7 2.7 0.0 2.3 1.0 3.0 20.0 -18.8 20.0 11.9 6.3 LIVECOW 15.4 4.9 9.4 -2.6 2.0 -3.0 2.7 0.5 -0.1 -12.6 3.8 2.3 -2.9 6.2 7.4 -20.0 -20.0 -20.0 -20.0 8.1 4.5 -2.3 -0.6 6.2 -10.8 -0.0 3.3 -3.9 2.6 -1.0 1.7 2.5 -20.0 -20.0 20.0 11.4 15.2 MXP 13.9 9.5 12.1 -3.0 2.5 -5.2 3.2 -5.7 0.8 7.2 15.6 13.0 14.8 15.1 15.9 19.3 19.9 18.7 19.2 16.2 14.2 18.2 14.1 19.0 -20.0 -0.0 5.6 3.7 3.7 7.3 3.2 7.4 20.0 20.0 9.5 20.0 20.0 NASDAQ 8.1 -8.0 -4.2 -1.2 0.5 -3.1 2.2 -2.9 1.7 -7.7 -13.6 -7.1 -12.5 -11.0 -12.8 -4.5 -2.7 -4.3 -3.7 -14.4 -16.5 -9.0 -14.9 -10.7 11.0 -0.0 -4.9 -2.7 -5.6 -2.9 -4.5 -3.5 -3.8 -20.0 -20.0 -14.2 -6.6 NZD 20.0 3.6 -5.3 -3.0 2.5 -5.2 3.2 -5.7 0.8 5.9 -12.7 13.2 -13.6 3.9 -7.8 -1.2 0.8 -0.7 -0.1 -6.2 -15.9 13.6 -16.9 7.9 3.0 -0.0 -2.5 2.3 -5.8 4.4 -6.1 2.4 3.5 9.8 13.1 -0.6 -2.2 OAT 20.0 -2.1 -9.2 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -3.5 -13.0 0.5 -12.9 -5.7 -12.0 17.9 11.9 15.0 14.0 -16.3 -20.0 1.0 -20.0 -5.0 11.4 -0.0 -4.5 1.7 -7.4 0.5 -9.2 -1.1 17.6 7.3 20.0 8.2 1.7 OJ 16.9 20.0 13.0 -2.6 2.0 -3.0 2.7 0.5 -0.1 9.5 15.3 13.6 14.1 15.6 15.8 18.9 11.3 17.6 15.8 20.0 20.0 20.0 20.0 20.0 -20.0 -0.0 6.3 3.0 6.1 4.5 5.4 5.6 3.1 13.7 20.0 20.0 20.0 PALLAD -20.0 -12.0 -0.4 -1.0 9.2 -2.3 7.4 -1.4 2.7 -0.0 -10.3 -9.2 -5.7 -12.9 -8.8 -2.5 -1.2 -1.8 -1.5 -13.5 -7.2 -11.2 -5.3 -17.5 -1.8 -0.0 -4.2 -1.2 -1.7 -3.7 -0.9 -5.7 0.0 -20.0 -20.0 -15.5 4.4 PLAT 13.2 15.1 10.4 -1.0 9.2 -2.3 7.4 -1.4 2.7 10.3 -0.6 12.6 -7.4 13.4 11.2 0.9 -0.3 0.4 0.0 10.6 2.7 19.8 -3.4 16.4 3.3 -0.0 3.9 8.2 0.2 8.4 -2.4 6.8 2.0 3.5 20.0 20.0 12.8 REDWHEAT -6.4 8.5 -4.3 -2.6 2.0 -3.0 2.7 0.5 -0.1 -10.5 -8.9 -9.3 -2.7 -3.9 4.1 1.1 -1.2 0.7 0.0 0.3 -1.7 -4.9 1.9 -1.5 -14.2 -0.0 1.5 -4.7 2.6 -2.0 5.9 -0.2 -20.0 -9.8 -8.3 14.5 8.7 ROBUSTA -20.0 -20.0 -5.9 -2.6 2.0 -3.0 2.7 0.5 -0.1 -13.6 -7.9 -15.3 3.2 -16.0 -12.6 6.8 6.2 6.7 6.2 -20.0 -13.0 -20.0 -0.0 -20.0 3.2 -0.0 -4.8 -2.7 -2.2 -4.5 0.0 -6.0 -9.6 -20.0 -20.0 -20.0 -2.9 RUSSELL 16.0 1.5 4.9 -1.2 0.5 -3.1 2.2 -2.9 1.7 -10.3 -8.4 4.5 -11.1 3.4 -5.5 -4.1 -1.7 -3.5 -2.8 -1.0 -6.7 0.6 -9.6 3.8 -3.1 -0.0 -0.2 -4.2 -2.3 0.0 -2.8 1.7 -2.1 -7.9 -6.5 3.9 10.4 SILVER-mini 10.4 16.7 8.5 -1.4 12.7 -2.4 7.3 -1.4 2.0 13.7 -10.7 11.5 -11.5 5.9 2.5 -4.7 -3.0 -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 -3.2 17.2 9.7 20.0 -3.9 SOYBEAN 10.2 2.8 2.4 -2.6 2.0 -3.0 2.7 0.5 -0.1 6.5 -1.2 9.9 3.8 9.2 9.0 14.7 20.0 18.0 20.0 5.0 1.7 10.1 6.3 9.8 -15.9 -0.0 4.5 1.4 4.9 6.1 9.4 6.2 20.0 11.8 15.4 14.3 14.1 SOYMEAL 6.4 -4.1 3.1 -2.6 2.0 -3.0 2.7 0.5 -0.1 4.2 -2.3 8.3 7.1 -0.6 3.1 16.8 14.9 15.2 15.9 1.9 2.4 5.0 5.8 4.0 -8.4 -0.0 3.0 1.9 4.6 2.8 8.2 2.9 6.5 5.8 10.6 7.6 15.4 SOYOIL 20.0 18.1 6.2 -2.6 2.0 -3.0 2.7 0.5 -0.1 7.0 1.8 12.6 5.1 14.3 13.7 20.0 20.0 20.0 20.0 20.0 10.4 20.0 11.2 20.0 -20.0 -0.0 5.4 3.1 3.7 6.6 4.2 7.2 18.1 20.0 20.0 20.0 20.0 SP400 17.7 1.8 1.6 -1.2 0.5 -3.1 2.2 -2.9 1.7 -2.2 -7.3 9.7 -8.3 6.2 -3.7 -0.2 -1.2 -0.3 -0.7 0.7 -5.4 6.6 -6.6 7.3 -5.4 -0.0 0.5 -0.8 -1.6 2.6 -1.4 3.0 0.0 1.1 -2.7 5.5 12.1 SP500 16.8 -2.3 -2.9 -1.2 0.5 -3.1 2.2 -2.9 1.7 -5.5 -11.0 3.6 -10.0 -1.4 -8.3 -4.6 -2.6 -4.2 -3.5 -6.1 -11.1 0.6 -10.1 0.3 7.7 -0.0 -2.4 -1.3 -4.7 0.4 -4.5 0.3 -3.4 -9.0 -5.8 -4.1 1.1 SUGAR11 0.3 11.5 -0.4 -2.6 2.0 -3.0 2.7 0.5 -0.1 14.0 -5.4 12.4 -4.8 9.9 4.6 20.0 17.0 20.0 20.0 5.7 0.4 20.0 -0.4 11.6 -7.1 -0.0 3.1 13.6 1.3 9.5 0.9 5.3 13.3 20.0 8.9 18.6 4.5 US10 5.0 -14.9 -20.0 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -6.3 -14.9 -5.7 -14.4 -12.1 -14.7 -4.2 2.5 -3.3 -1.4 -20.0 -20.0 -6.4 -20.0 -15.8 -4.9 -0.0 -5.7 0.2 -6.7 -1.3 -7.0 -3.3 -4.2 -0.0 -2.0 -5.3 -3.9 US10U 1.8 -19.1 -20.0 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -7.5 -14.9 -7.0 -14.1 -12.7 -14.8 -0.6 5.6 0.3 2.2 -20.0 -20.0 -8.8 -20.0 -17.7 -5.4 -0.0 -5.8 -0.7 -6.5 -1.8 -6.4 -3.7 1.8 -0.9 -6.0 -6.1 -2.5 US20 -3.4 -20.0 -20.0 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -6.3 -15.2 -9.6 -14.2 -13.2 -15.0 1.6 3.0 1.8 2.2 -20.0 -20.0 -13.3 -20.0 -20.0 -5.2 -0.0 -6.0 -1.0 -6.0 -2.5 -5.3 -4.6 -0.7 -2.4 -19.8 -13.3 -7.1 US30 -1.7 -20.0 -20.0 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -9.9 -15.7 -9.4 -15.3 -12.6 -14.7 -2.0 0.5 -1.2 -0.7 -20.0 -20.0 -15.1 -20.0 -20.0 -2.7 -0.0 -6.1 -2.3 -6.2 -3.2 -6.1 -4.8 -5.3 -4.2 -20.0 -6.8 -2.5 US5 7.4 -10.7 -20.0 -4.7 -0.3 -5.6 -1.5 -5.7 -2.9 -6.1 -14.7 -5.4 -14.5 -11.7 -14.4 -5.0 4.2 -4.0 -1.3 -20.0 -20.0 -6.0 -20.0 -15.4 -2.8 -0.0 -5.7 0.5 -7.0 -1.2 -7.9 -3.2 -2.4 0.9 -1.7 -6.7 -5.5 VIX -20.0 4.2 -0.4 -2.1 0.5 -0.8 -4.4 -1.0 -4.6 -0.2 -6.4 -12.2 -6.8 -8.8 -3.2 -2.4 -17.1 -4.4 -9.9 -5.9 -3.0 -13.0 -4.3 -13.3 NaN -0.0 -2.5 0.6 -1.0 -5.0 -1.4 -5.4 NaN NaN NaN NaN NaN WHEAT -3.3 7.1 -5.9 -2.6 2.0 -3.0 2.7 0.5 -0.1 -12.8 -9.6 -10.2 -5.1 -2.9 5.6 -3.2 -3.6 -3.5 -3.6 -0.5 -3.9 -7.2 -0.7 -1.7 -14.1 -0.0 0.9 -9.6 1.8 -4.2 5.5 -0.7 -20.0 -13.7 -6.3 10.6 3.5 End of report for caleb_strategy_v1