******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221110_204241 produced at 2022-11-10 21:35:07.463767 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.21 0.0 39246213.69 -39246213.69 0.00 -0.04 -5.37 999999999 0 -1 caleb_strategy_v1 US5 False False 0.04 -0.39 -0.12 0.0 35799016.21 -35799016.21 -0.39 -0.36 -3.41 999999999 -11 -10 caleb_strategy_v1 LIVECOW False False 0.02 -0.08 -0.11 0.0 20552554.22 -20552554.22 -0.08 -0.10 -5.50 999999999 -4 -5 caleb_strategy_v1 VIX False False 0.01 -0.03 -0.10 0.0 8990705.72 -8990705.72 -0.03 -0.04 -10.77 999999999 -3 -4 caleb_strategy_v1 CHF False False 0.04 -0.09 -0.10 0.0 43083229.58 -43083229.58 -0.09 -0.09 -2.38 999999999 -2 -2 caleb_strategy_v1 US10 False False 0.04 0.00 -0.10 0.0 37317856.60 -37317856.60 0.00 0.00 -2.70 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.35 -0.10 0.0 43429504.46 -43429504.46 -0.35 -0.22 -2.34 999999999 -8 -5 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.09 0.0 41169387.01 -41169387.01 -0.04 -0.08 -2.26 999999999 -1 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.08 0.0 30484629.96 -30484629.96 -0.06 -0.06 -2.76 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.18 -0.08 0.0 29377379.76 -29377379.76 -0.18 -0.12 -2.57 999999999 -6 -4 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.06 0.0 27421702.65 -27421702.65 0.00 -0.03 -2.02 999999999 0 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.04 0.0 49382972.96 -49382972.96 0.00 0.00 -0.81 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.03 0.0 42347136.29 -42347136.29 -0.04 0.00 -0.80 999999999 -1 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.02 0.0 5829029.50 -5829029.50 -0.01 -0.01 -2.92 999999999 -2 -1 caleb_strategy_v1 CAD False False 0.02 -0.02 -0.02 0.0 24853827.27 -24853827.27 -0.02 -0.05 -0.90 999999999 -1 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 76631666.46 -76631666.46 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 21886230.86 -21886230.86 0.00 0.00 -0.63 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 -0.01 -0.01 0.0 6054626.55 -6054626.55 -0.01 -0.01 -1.06 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14249107.41 -14249107.41 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.01 0.0 3095987.67 -3095987.67 -0.02 -0.01 -4.63 999999999 -6 -3 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 21866325.24 -21866325.24 -0.02 0.00 -0.50 999999999 -1 0 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.01 0.0 83397918.97 -83397918.97 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 65141146.43 -65141146.43 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 65481200.80 -65481200.80 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 -0.00 0.0 15252682.49 -15252682.49 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10298670.94 -10298670.94 0.00 0.00 0.00 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14055027.60 -14055027.60 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20782712.97 -20782712.97 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8503017.99 -8503017.99 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10068926.89 -10068926.89 0.02 0.02 0.31 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 518043.80 -518043.80 0.00 0.00 6.17 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.00 0.0 19963679.59 -19963679.59 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 18112042.08 -18112042.08 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17533534.96 -17533534.96 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 12599075.86 -12599075.86 0.00 0.00 0.54 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 5577555.15 -5577555.15 0.00 0.01 1.04 999999999 0 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4364649.97 -4364649.97 0.00 0.00 2.65 999999999 0 0 caleb_strategy_v1 DAX False False 0.00 0.00 0.01 0.0 4627204.83 -4627204.83 0.00 0.00 1.96 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 24280711.25 -24280711.25 0.02 0.02 0.23 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.02 0.0 25492465.96 -25492465.96 0.05 0.05 0.87 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 7212204.79 -7212204.79 0.01 0.01 2.57 999999999 1 1 caleb_strategy_v1 CAC False False 0.02 0.04 0.02 0.0 22129449.20 -22129449.20 0.04 0.04 0.93 999999999 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.03 0.02 0.0 14184745.90 -14184745.90 0.03 0.01 1.06 999999999 2 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 31301589.84 -31301589.84 0.00 0.00 0.56 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8514629.61 -8514629.61 0.00 0.00 3.66 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 0.04 0.0 34623041.85 -34623041.85 0.00 0.03 1.06 999999999 0 1 caleb_strategy_v1 OAT False False 0.04 0.00 0.05 0.0 44887163.31 -44887163.31 0.00 0.00 1.18 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.05 0.0 13114486.98 -13114486.98 0.07 0.07 3.64 999999999 5 5 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 39688777.86 -39688777.86 0.04 0.08 1.23 999999999 1 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 32089520.70 -32089520.70 0.00 0.00 1.59 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.06 0.0 11790763.15 -11790763.15 0.05 0.05 5.47 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.09 0.06 0.0 46540736.51 -46540736.51 0.09 0.09 1.29 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.06 0.08 0.0 6465513.74 -6465513.74 0.06 0.05 12.12 999999999 10 8 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.10 0.0 22617762.46 -22617762.46 0.05 0.05 4.54 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.09 0.16 0.0 46680758.30 -46680758.30 0.09 0.09 3.41 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.20 0.38 0.0 40293398.39 -40293398.39 0.20 0.24 9.36 999999999 5 6 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 10.2 Shocked risk 23.0 Sum abs risk 39.7 Leverage 2.57 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 3014223.89, 'annual_cash_vol_target': 753555.9725, 'daily_cash_vol_target': 47097.24828125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0072 0.6597 1.0857 17.3704 BITCOIN 1173.0088 15615.0000 7.5121 120.1930 BOBL 0.3965 119.2900 0.3323 5.3175 BTP 1.0880 117.5000 0.9260 14.8156 BUND 0.8483 138.2000 0.6138 9.8206 BUXL 2.1965 146.2000 1.5024 24.0386 CAC 69.0997 6551.5000 1.0547 16.8755 CAD 0.0050 0.7492 0.6702 10.7233 CANOLA 8.1279 878.3000 0.9254 14.8065 CHF 0.0078 1.0389 0.7461 11.9368 COCOA 32.9675 2563.0000 1.2863 20.5806 COFFEE 0.0411 1.6705 2.4596 39.3533 COPPER 0.0727 3.7740 1.9268 30.8286 CORN 5.3202 607.0000 0.8765 14.0236 COTTON2 0.0212 0.8473 2.4981 39.9703 CRUDE_W 1.5385 76.8400 2.0023 32.0364 DAX 138.6069 13699.0000 1.0118 16.1889 DOW 404.7741 33624.0000 1.2038 19.2612 EUR 0.0084 1.0212 0.8256 13.2090 EUROSTX 40.0222 3730.0000 1.0730 17.1677 FEEDCOW 1.2698 183.7750 0.6909 11.0551 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 21.5179 967.2500 2.2246 35.5944 GASOILINE 0.0512 2.4848 2.0592 32.9478 GAS_US 0.2596 6.5910 3.9387 63.0199 GBP 0.0138 1.1710 1.1772 18.8351 GOLD_micro 19.1746 1757.0000 1.0913 17.4613 HEATOIL 0.0658 3.3401 1.9693 31.5091 JPY 0.0001 0.0071 0.9467 15.1470 LEANHOG 1.3322 88.8500 1.4994 23.9898 LIVECOW 0.8354 154.8750 0.5394 8.6301 MXP 0.0003 0.0513 0.6247 9.9947 NASDAQ 229.0201 11549.2500 1.9830 31.7278 NZD 0.0063 0.6018 1.0452 16.7233 OAT 0.8712 132.8900 0.6556 10.4889 OJ 0.0361 2.0695 1.7450 27.9208 PALLAD 47.5118 1963.5000 2.4198 38.7160 PLAT 21.4234 1057.0000 2.0268 32.4290 REDWHEAT 17.5067 919.5000 1.9039 30.4629 ROBUSTA 26.5856 1825.0000 1.4567 23.3080 RUSSELL 32.7707 1866.4000 1.7558 28.0932 SILVER-mini 0.4502 21.8375 2.0618 32.9883 SOYBEAN 12.5413 1363.5000 0.9198 14.7166 SOYMEAL 5.3212 395.3000 1.3461 21.5379 SOYOIL 0.9067 71.2600 1.2724 20.3584 SP400 39.5362 2513.8000 1.5728 25.1642 SP500 61.0547 3947.5000 1.5467 24.7467 SUGAR11 0.0024 0.1941 1.2127 19.4025 US10 0.6114 112.4844 0.5435 8.6960 US10U 0.8298 118.2969 0.7015 11.2234 US20 1.2253 124.0938 0.9874 15.7987 US30 1.7080 130.9062 1.3048 20.8762 US5 0.4162 107.9062 0.3857 6.1713 VIX 0.5857 27.1000 2.1614 34.5823 WHEAT 14.8911 859.0000 1.7335 27.7366 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 659.70 1.09 716.20 1.00 716.20 47097.25 65.76 -5.53 -36.36 BITCOIN 15.62 7.51 117.30 1.00 117.30 47097.25 401.51 6.02 241.83 BOBL 1192.90 0.33 396.45 1.00 399.48 47097.25 117.90 10.16 119.80 BTP 1175.00 0.93 1088.02 1.00 1088.63 47097.25 43.26 13.01 56.29 BUND 1382.00 0.61 848.25 1.00 854.73 47097.25 55.10 7.94 43.72 BUXL 1462.00 1.50 2196.53 1.00 2213.31 47097.25 21.28 -4.21 -8.96 CAC 655.15 1.05 691.00 1.00 691.39 47097.25 68.12 4.48 30.53 CAD 749.15 0.67 502.09 1.00 502.09 47097.25 93.80 -4.96 -46.53 CANOLA 175.66 0.93 162.56 0.74 120.17 47097.25 391.93 6.80 266.58 CHF 1298.62 0.75 968.84 1.00 968.84 47097.25 48.61 -12.11 -58.87 COCOA 256.30 1.29 329.68 1.00 329.68 47097.25 142.86 -0.79 -11.26 COFFEE 626.44 2.46 1540.77 1.00 1540.77 47097.25 30.57 -3.21 -9.82 COPPER 943.50 1.93 1817.92 1.00 1817.92 47097.25 25.91 7.25 18.78 CORN 303.50 0.88 266.01 1.00 266.01 47097.25 177.05 1.78 31.49 COTTON2 423.65 2.50 1058.34 1.00 1058.34 47097.25 44.50 -3.29 -14.64 CRUDE_W 768.40 2.00 1538.55 1.00 1538.55 47097.25 30.61 1.99 6.09 DAX 136.99 1.01 138.61 1.00 139.67 47097.25 337.21 0.99 33.38 DOW 168.12 1.20 202.39 1.00 202.39 47097.25 232.71 1.44 33.59 EUR 1276.44 0.83 1053.78 1.00 1053.78 47097.25 44.69 -4.44 -19.85 EUROSTX 373.00 1.07 400.22 1.00 403.28 47097.25 116.79 1.52 17.72 FEEDCOW 918.88 0.69 634.89 1.00 634.89 47097.25 74.18 -12.79 -94.88 FTSE100 706.85 0.82 576.59 1.13 666.67 47097.25 70.65 -2.56 -18.11 GASOIL 967.25 2.22 2151.79 1.00 2151.79 47097.25 21.89 9.43 20.64 GASOILINE 1043.62 2.06 2149.05 1.00 2149.05 47097.25 21.92 10.84 23.75 GAS_US 659.10 3.94 2596.03 1.00 2596.03 47097.25 18.14 -16.93 -30.72 GBP 731.88 1.18 861.56 1.00 861.56 47097.25 54.67 2.19 11.98 GOLD_micro 175.70 1.09 191.75 1.00 191.75 47097.25 245.62 -4.90 -120.43 HEATOIL 1402.84 1.97 2762.65 1.00 2762.65 47097.25 17.05 9.80 16.71 JPY 885.50 0.95 838.29 1.00 838.29 47097.25 56.18 -6.53 -36.70 LEANHOG 355.40 1.50 532.87 1.00 532.87 47097.25 88.38 12.25 108.24 LIVECOW 619.50 0.54 334.15 1.00 334.15 47097.25 140.95 -13.42 -189.10 MXP 256.65 0.62 160.32 1.00 160.32 47097.25 293.77 9.42 276.60 NASDAQ 2309.85 1.98 4580.40 1.00 4580.40 47097.25 10.28 -4.46 -4.59 NZD 601.75 1.05 628.95 1.00 628.95 47097.25 74.88 -0.21 -1.59 OAT 1328.90 0.66 871.17 1.00 877.82 47097.25 53.65 10.04 53.89 OJ 310.42 1.75 541.71 1.00 541.71 47097.25 86.94 0.00 0.01 PALLAD 1963.50 2.42 4751.18 1.00 4751.18 47097.25 9.91 -5.03 -4.98 PLAT 528.50 2.03 1071.17 1.00 1071.17 47097.25 43.97 6.05 26.59 REDWHEAT 459.75 1.90 875.33 1.00 875.33 47097.25 53.80 -10.19 -54.84 ROBUSTA 182.50 1.46 265.86 1.00 265.86 47097.25 177.15 -4.25 -75.24 RUSSELL 93.32 1.76 163.85 1.00 163.85 47097.25 287.44 -2.87 -82.59 SILVER-mini 545.94 2.06 1125.60 1.00 1125.60 47097.25 41.84 8.10 33.87 SOYBEAN 681.75 0.92 627.06 1.00 627.06 47097.25 75.11 9.47 71.11 SOYMEAL 395.30 1.35 532.12 1.00 532.12 47097.25 88.51 6.44 56.98 SOYOIL 427.56 1.27 544.03 1.00 544.03 47097.25 86.57 12.33 106.77 SP400 2513.80 1.57 3953.62 1.00 3953.62 47097.25 11.91 -1.65 -1.96 SP500 1973.75 1.55 3052.74 1.00 3052.74 47097.25 15.43 -2.03 -3.14 SUGAR11 217.39 1.21 263.62 1.00 263.62 47097.25 178.65 9.78 174.73 US10 1124.84 0.54 611.35 1.00 611.35 47097.25 77.04 -8.43 -64.95 US10U 1182.97 0.70 829.81 1.00 829.81 47097.25 56.76 -6.00 -34.03 US20 1240.94 0.99 1225.33 1.00 1225.33 47097.25 38.44 -7.38 -28.36 US30 1309.06 1.30 1708.01 1.00 1708.01 47097.25 27.57 -9.35 -25.78 US5 1079.06 0.39 416.20 1.00 416.20 47097.25 113.16 -7.27 -82.21 VIX 271.00 2.16 585.74 1.00 585.74 47097.25 80.41 -6.57 -52.83 WHEAT 429.50 1.73 744.55 1.00 744.55 47097.25 63.26 -12.20 -77.16 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -36.365 0.007 2.5 -0.629 BITCOIN 241.832 0.010 2.5 6.166 BOBL 119.803 0.031 2.5 9.355 BTP 56.290 0.009 2.5 1.230 BUND 43.724 0.031 2.5 3.414 BUXL -8.960 0.036 2.5 -0.814 CAC 30.526 0.012 2.5 0.929 CAD -46.532 0.008 2.5 -0.899 CANOLA 266.578 0.004 2.5 2.648 CHF -58.866 0.016 2.5 -2.384 COCOA -11.260 0.009 2.5 -0.265 COFFEE -9.821 0.006 2.5 -0.138 COPPER 18.785 0.012 2.5 0.556 CORN 31.489 0.004 2.5 0.307 COTTON2 -14.637 0.007 2.5 -0.239 CRUDE_W 6.094 0.057 2.5 0.871 DAX 33.382 0.024 2.5 1.962 DOW 33.588 0.012 2.5 1.036 EUR -19.848 0.016 2.5 -0.804 EUROSTX 17.717 0.012 2.5 0.539 FEEDCOW -94.881 0.012 2.5 -2.759 FTSE100 -18.107 0.045 2.5 -2.020 GASOIL 20.641 0.031 2.5 1.593 GASOILINE 23.749 0.018 2.5 1.055 GAS_US -30.720 0.007 2.5 -0.501 GBP 11.981 0.008 2.5 0.232 GOLD_micro -120.427 0.010 2.5 -2.916 HEATOIL 16.711 0.031 2.5 1.290 JPY -36.700 0.028 2.5 -2.571 LEANHOG 108.239 0.020 2.5 5.473 LIVECOW -189.102 0.012 2.5 -5.499 MXP 276.596 0.005 2.5 3.665 NASDAQ -4.588 0.024 2.5 -0.270 NZD -1.593 0.007 2.5 -0.028 OAT 53.885 0.009 2.5 1.178 OJ 0.012 0.008 2.5 0.000 PALLAD -4.982 0.010 2.5 -0.130 PLAT 26.586 0.010 2.5 0.692 REDWHEAT -54.843 0.002 2.5 -0.317 ROBUSTA -75.239 0.006 2.5 -1.056 RUSSELL -82.588 0.022 2.5 -4.629 SILVER-mini 33.871 0.010 2.5 0.820 SOYBEAN 71.111 0.026 2.5 4.537 SOYMEAL 56.982 0.026 2.5 3.636 SOYOIL 106.767 0.004 2.5 1.061 SP400 -1.962 0.022 2.5 -0.110 SP500 -3.136 0.012 2.5 -0.097 SUGAR11 174.728 0.006 2.5 2.566 US10 -64.945 0.017 2.5 -2.696 US10U -34.029 0.063 2.5 -5.366 US20 -28.364 0.032 2.5 -2.262 US30 -25.784 0.036 2.5 -2.342 US5 -82.211 0.017 2.5 -3.413 VIX -52.832 0.082 2.5 -10.775 WHEAT -77.159 0.002 2.5 -0.446 ==================== Position diags ==================== AUD 1.14 BITCOIN 10.24 BOBL 9.21 BTP 0.95 BUND 4.30 BUXL 1.93 CAC 2.07 CAD 1.81 CANOLA 3.89 CHF 1.97 COCOA 3.37 COFFEE 0.43 COPPER 0.77 CORN 1.73 COTTON2 0.73 CRUDE_W 4.38 DAX 19.82 DOW 7.18 EUR 1.81 EUROSTX 3.55 FEEDCOW 2.16 FTSE100 7.88 GASOIL 1.69 GASOILINE 0.97 GAS_US 0.30 GBP 1.06 GOLD_micro 5.95 HEATOIL 1.32 JPY 3.94 LEANHOG 4.47 LIVECOW 4.10 MXP 3.89 NASDAQ 0.60 NZD 1.29 OAT 1.17 OJ 1.64 PALLAD 0.26 PLAT 1.15 REDWHEAT 0.31 ROBUSTA 2.49 RUSSELL 16.11 SILVER-mini 1.01 SOYBEAN 4.79 SOYMEAL 5.65 SOYOIL 0.86 SP400 0.67 SP500 0.48 SUGAR11 2.62 US10 3.20 US10U 8.95 US20 3.07 US30 2.51 US5 4.70 VIX 16.40 WHEAT 0.37 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.6 -0.7 -0.5 0.0 0 BITCOIN 6.2 5.1 7.2 NaN 0 BOBL 9.4 8.4 10.3 5.0 5 BTP 1.2 1.1 1.3 1.0 1 BUND 3.4 3.0 3.8 2.0 2 BUXL -0.8 -1.0 -0.6 0.0 0 CAC 0.9 0.7 1.1 2.0 2 CAD -0.9 -1.1 -0.7 -1.0 -1 CANOLA 2.6 2.3 3.0 NaN 0 CHF -2.4 -2.6 -2.2 -2.0 -2 COCOA -0.3 -0.6 0.1 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.6 0.5 0.6 NaN 0 CORN 0.3 0.1 0.5 2.0 2 COTTON2 -0.2 -0.3 -0.2 NaN 0 CRUDE_W 0.9 0.4 1.3 2.0 2 DAX 2.0 -0.0 3.9 NaN 0 DOW 1.0 0.3 1.8 0.0 0 EUR -0.8 -1.0 -0.6 -1.0 -1 EUROSTX 0.5 0.2 0.9 NaN 0 FEEDCOW -2.8 -3.0 -2.5 -2.0 -2 FTSE100 -2.0 -2.8 -1.2 0.0 0 GASOIL 1.6 1.4 1.8 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 -2.9 -3.5 -2.3 -2.0 -2 HEATOIL 1.3 1.2 1.4 2.0 2 JPY -2.6 -3.0 -2.2 -6.0 -6 LEANHOG 5.5 5.0 5.9 4.0 4 LIVECOW -5.5 -5.9 -5.1 -4.0 -4 MXP 3.7 3.3 4.1 NaN 0 NASDAQ -0.3 -0.3 -0.2 0.0 0 NZD -0.0 -0.2 0.1 NaN 0 OAT 1.2 1.1 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 -1.1 -1.3 -0.8 -1.0 -1 RUSSELL -4.6 -6.2 -3.0 -6.0 -6 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 4.5 4.1 5.0 2.0 2 SOYMEAL 3.6 3.1 4.2 5.0 5 SOYOIL 1.1 1.0 1.1 2.0 2 SP400 -0.1 -0.2 -0.0 NaN 0 SP500 -0.1 -0.1 -0.0 NaN 0 SUGAR11 2.6 2.3 2.8 1.0 1 US10 -2.7 -3.0 -2.4 NaN 0 US10U -5.4 -6.3 -4.5 0.0 0 US20 -2.3 -2.6 -2.0 -1.0 -1 US30 -2.3 -2.6 -2.1 -8.0 -8 US5 -3.4 -3.9 -2.9 -11.0 -11 VIX -10.8 -12.4 -9.1 -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 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.3 0.0 -0.3 -0.0 -0.2 -0.2 -0.1 -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 -0.0 -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 -0.1 -0.0 -0.2 -0.0 4.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.1 -0.2 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 -0.0 -0.1 0.1 -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 0.9 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 2.7 0.0 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 -1.3 0.1 0.3 0.1 0.0 CAC 0.2 0.2 -0.0 -0.0 0.1 -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 0.3 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 -0.1 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 -0.0 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 0.2 -0.0 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 -0.8 -0.5 -0.2 -0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -2.2 0.0 -0.2 -0.1 0.1 COCOA 0.2 0.2 0.0 -0.0 0.0 -0.1 0.0 0.0 0.0 0.0 -0.2 0.0 -0.3 0.0 0.1 0.2 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 1.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.2 0.4 0.3 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 -0.1 -0.1 -0.3 0.5 0.2 0.2 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 1.7 -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 -0.0 0.2 -0.0 0.1 0.0 -0.3 0.0 -0.3 0.0 0.1 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 -0.0 0.0 -0.1 0.0 0.4 -0.0 0.2 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 -0.2 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 -1.9 -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 0.2 -0.2 -0.0 -0.0 0.0 -0.0 0.2 0.0 -0.0 -0.1 0.0 0.1 0.0 0.1 0.6 0.6 0.2 0.3 0.0 -0.0 0.0 0.1 0.0 1.0 -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 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.1 0.1 -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 0.2 0.4 0.3 0.2 EUR 0.2 0.3 0.2 -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 0.9 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 -1.3 -0.0 0.0 0.1 -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 0.1 -0.2 0.1 0.1 -0.1 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.1 0.0 -1.1 -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 -0.1 -0.1 -0.0 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -1.4 -0.8 -0.3 -0.4 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 -0.0 0.3 -0.1 -0.1 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.9 -0.2 -0.3 0.1 0.0 GASOIL 0.0 0.1 -0.1 -0.0 -0.1 0.0 -0.0 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 0.3 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 1.5 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 1.0 0.0 0.2 0.2 0.0 GAS_US 0.1 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 0.2 0.0 -0.0 -0.1 0.0 0.1 -0.0 -0.3 -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 0.3 -0.3 -0.3 0.1 GBP 0.2 0.3 0.2 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 2.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.2 GOLD_micro 0.2 0.2 -0.1 0.0 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.2 -0.8 -0.3 -0.2 -0.2 -0.1 -0.1 0.0 -0.1 0.0 1.3 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -1.4 0.0 -0.0 -0.1 -0.2 HEATOIL 0.0 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 0.0 0.1 0.2 JPY 0.2 0.2 0.0 -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 0.1 -0.3 -0.0 -0.1 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 -0.5 0.8 0.4 0.4 0.1 0.0 0.0 0.0 0.0 0.9 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.7 -0.1 0.4 0.1 0.1 LIVECOW 0.1 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 0.1 0.2 MXP 0.1 0.1 0.2 -0.0 0.0 -0.1 0.1 -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 0.2 -0.0 -0.0 -0.0 0.1 -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 -0.1 -0.2 0.0 -0.2 -0.0 1.3 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.5 -0.2 -0.5 -0.2 -0.1 NZD 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 -0.1 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 0.2 -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 0.5 0.0 0.5 0.3 0.3 PALLAD -0.2 -0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 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 -0.3 0.1 PLAT 0.2 0.3 0.2 0.0 0.0 -0.0 0.2 -0.0 0.1 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 0.4 -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 0.0 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 -0.2 -0.0 -0.0 -0.0 0.6 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -1.3 -0.0 -0.4 -0.3 -0.1 RUSSELL 0.2 0.1 0.1 -0.0 0.1 -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 -0.2 0.0 0.2 SILVER-mini 0.2 0.3 0.2 0.0 0.0 -0.0 0.2 -0.0 0.1 0.0 -0.3 0.0 -0.3 0.0 0.1 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 0.0 3.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.2 0.3 -0.0 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 0.0 0.0 0.0 0.1 0.0 -2.4 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 2.7 0.0 0.2 0.2 0.2 SOYMEAL 0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 0.0 0.0 -0.0 -0.1 0.0 0.2 -0.0 0.1 1.3 0.6 0.3 0.3 0.0 0.0 -0.0 0.1 0.0 -1.2 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.9 -0.1 0.1 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 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.1 0.1 0.2 SP500 0.3 0.1 -0.0 -0.0 0.1 -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 -0.0 -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 -0.2 -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 1.9 0.0 0.2 0.3 0.1 US10 0.2 -0.0 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -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 0.1 -0.1 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 0.0 -0.4 -0.0 -0.3 -0.0 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 0.1 -0.2 -0.3 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.4 -0.0 -0.4 -0.0 -0.3 0.1 0.1 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 0.1 -0.2 -0.3 -0.1 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.4 -0.0 -0.4 -0.0 -0.3 -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 0.2 0.0 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.3 -0.4 0.2 -0.1 -0.0 -0.2 -0.2 0.0 -0.3 -0.0 -0.4 -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 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 -0.0 -0.1 -0.5 -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 -0.2 -0.1 -0.1 -0.0 -0.1 -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 -0.2 0.1 0.0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -1.1 -7.2 -2.4 6.7 -5.0 4.9 -5.6 1.7 11.5 -13.3 11.9 -13.1 -2.4 -9.8 -2.7 -1.6 -2.3 -1.9 -9.3 -13.8 10.2 -12.2 1.2 -4.3 -0.0 -3.9 5.7 -5.8 3.8 -5.3 0.3 -0.2 -5.3 -4.1 -8.9 -3.4 BITCOIN 12.2 20.0 12.7 -0.9 9.7 -2.2 7.6 -1.4 2.8 -8.0 -15.6 1.9 -15.6 1.5 -8.1 0.0 -1.5 -0.2 -0.6 -3.9 -12.2 -9.7 -18.1 -2.4 18.4 -0.0 -1.8 -20.0 -4.9 -8.9 -5.7 -2.0 0.5 -20.0 -9.2 0.0 -0.8 BOBL 14.4 -5.0 -20.0 -4.7 0.4 -5.6 -1.1 -5.7 -2.8 -7.0 -13.8 -6.6 -12.6 -10.4 -14.0 20.0 19.1 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 -2.1 8.6 7.6 -2.3 BTP 20.0 9.0 -0.6 -4.3 6.6 -5.5 1.9 -5.8 -1.5 8.3 -11.9 8.1 -12.8 4.8 -8.3 20.0 14.3 20.0 18.7 -6.1 -16.7 14.0 -20.0 6.1 7.6 -0.0 -2.2 7.9 -7.0 5.0 -10.1 2.4 20.0 0.9 20.0 20.0 10.2 BUND 17.2 -6.1 -18.6 -4.7 0.4 -5.6 -1.1 -5.7 -2.8 -4.1 -13.5 -1.2 -13.0 -7.8 -13.3 12.7 16.6 14.8 16.0 -20.0 -20.0 -2.3 -20.0 -9.0 7.9 -0.0 -4.9 0.9 -7.3 -0.3 -8.4 -1.9 20.0 0.5 14.4 5.7 -1.5 BUXL 15.8 -8.2 -12.1 -4.7 0.4 -5.6 -1.1 -5.7 -2.8 3.2 -13.4 6.7 -13.1 -5.4 -11.9 5.6 -4.0 5.6 0.6 -19.1 -20.0 2.7 -20.0 -6.5 6.4 -0.0 -4.9 2.1 -6.9 0.7 -7.4 -1.6 -9.7 8.3 16.6 6.2 3.2 CAC 20.0 11.7 -1.7 -0.6 8.1 -2.8 5.3 -2.7 2.9 13.7 0.5 15.5 -6.0 14.8 5.1 1.2 4.5 1.6 2.7 11.0 0.6 20.0 -1.9 20.0 -10.1 -0.0 3.1 7.5 -0.1 7.7 -0.9 6.6 8.0 13.6 15.8 19.8 11.9 CAD 20.0 1.0 -11.7 -2.4 6.7 -5.0 4.9 -5.6 1.7 11.8 -11.9 12.9 -12.6 -0.6 -8.8 -2.0 -0.6 -1.5 -1.1 -7.7 -13.2 13.2 -11.1 4.3 -4.8 -0.0 -3.4 6.1 -5.8 4.7 -5.1 1.3 1.4 2.1 -0.4 -8.9 -8.2 CANOLA 10.2 20.0 -8.7 -2.4 1.3 -3.0 2.2 0.4 0.0 3.5 -8.8 7.7 -0.6 14.5 9.8 20.0 13.8 10.3 9.2 8.3 -5.2 6.7 1.2 12.8 1.4 -0.0 4.3 -1.5 1.6 2.1 2.9 4.4 -1.0 1.1 11.4 20.0 19.0 CHF 12.4 -2.4 0.2 -2.4 6.7 -5.0 4.9 -5.6 1.7 13.7 -11.9 11.2 -11.5 -3.6 -10.0 -12.4 -11.2 -12.4 -12.2 -6.6 -9.4 14.4 -9.7 1.9 -2.3 -0.0 -3.7 12.2 -5.7 6.3 -6.8 0.4 -17.1 3.2 -10.9 -4.3 4.8 COCOA 16.6 10.7 0.7 -2.4 1.3 -3.0 2.2 0.4 0.0 14.1 -8.6 14.5 -11.2 12.5 5.1 2.5 -3.4 1.0 -1.1 6.6 -3.4 20.0 -8.5 19.6 8.7 -0.0 3.1 14.0 -0.6 12.7 -2.4 7.9 -20.0 20.0 20.0 19.2 7.1 COFFEE -20.0 -20.0 -12.9 -2.4 1.3 -3.0 2.2 0.4 0.0 -8.0 -10.4 -14.0 -2.3 -15.6 -13.8 6.4 5.3 9.1 8.2 -20.0 -17.1 -20.0 -4.5 -20.0 10.5 -0.0 -5.5 -1.8 -3.3 -4.4 -0.8 -6.2 -8.7 -20.0 -20.0 -20.0 -20.0 COPPER 20.0 20.0 7.9 0.0 14.1 -1.6 9.8 -1.1 4.3 13.0 -11.6 12.2 -11.0 8.4 3.2 0.8 0.2 0.8 0.4 1.6 -8.5 20.0 -11.5 11.7 17.9 -0.0 1.0 11.8 -3.4 10.5 -4.1 6.3 2.8 -1.4 11.4 4.2 2.9 CORN -8.8 7.0 17.1 -2.4 1.3 -3.0 2.2 0.4 0.0 -13.7 2.4 -13.3 5.7 -3.6 12.8 17.4 12.9 13.8 12.3 6.6 10.2 -13.3 16.2 -2.9 -20.0 -0.0 1.6 -14.8 5.2 -8.6 10.3 -3.0 1.0 -20.0 -13.0 4.8 17.2 COTTON2 8.6 -20.0 -20.0 -2.4 1.3 -3.0 2.2 0.4 0.0 12.1 -12.3 10.9 0.9 -6.0 -11.5 3.4 19.0 9.4 16.0 -17.8 -16.8 13.6 -2.3 -2.9 -7.8 -0.0 -3.9 3.2 -3.0 3.3 1.5 -0.5 11.3 20.0 -1.1 -20.0 -16.5 CRUDE_W 10.5 10.0 -12.6 -0.6 -5.0 0.6 -1.4 6.8 0.3 -10.1 -5.1 2.0 4.4 11.2 5.3 7.6 14.3 9.1 12.0 3.9 -0.3 2.0 5.8 7.7 8.0 -0.0 2.3 -4.6 1.7 0.8 7.1 3.6 -20.0 6.6 10.1 6.5 7.6 DAX 20.0 11.5 0.3 -1.2 0.5 -3.1 2.2 -2.9 1.7 13.7 -6.2 15.4 -10.2 13.6 3.3 -3.7 -1.2 -2.9 -2.0 8.9 -5.8 20.0 -12.2 20.0 -1.5 -0.0 2.9 7.2 -1.3 8.0 -3.8 6.8 -0.9 20.0 20.0 20.0 9.7 DOW 20.0 14.9 2.2 -0.6 8.1 -2.8 5.3 -2.7 2.9 10.5 -3.5 13.6 -6.4 12.7 3.1 -4.7 -1.3 -4.0 -3.0 9.0 -1.9 20.0 -5.1 19.9 -2.9 -0.0 2.5 6.1 -0.6 6.4 -1.2 5.8 -1.9 11.5 20.0 18.3 10.3 EUR 19.2 18.3 9.9 -2.4 6.7 -5.0 4.9 -5.6 1.7 12.2 -12.1 10.0 -14.3 7.5 -3.5 -7.2 -8.3 -7.9 -8.3 -2.2 -12.0 14.1 -17.5 7.2 6.9 -0.0 -1.8 9.8 -7.8 6.8 -12.1 3.5 -11.5 -2.8 1.4 10.0 -0.1 EUROSTX 20.0 10.0 -0.1 -1.2 0.5 -3.1 2.2 -2.9 1.7 13.2 -3.3 15.3 -8.9 14.0 3.5 -0.8 2.9 -0.1 1.0 9.6 -2.2 20.0 -6.5 20.0 -8.2 -0.0 3.2 6.5 -0.4 7.8 -2.1 6.8 5.1 20.0 20.0 20.0 12.8 FEEDCOW 12.2 -8.8 -6.6 -2.4 1.3 -3.0 2.2 0.4 0.0 10.0 -2.2 9.2 -1.7 0.1 -6.1 -17.1 -20.0 -16.4 -20.0 -4.2 -5.4 5.9 -3.2 1.6 0.3 -0.0 -2.3 4.8 -2.8 2.7 -1.4 0.6 -20.0 -7.6 17.8 -10.0 -8.0 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 0.2 8.3 -7.4 -0.6 -5.0 0.6 -1.4 6.8 0.3 -9.8 7.4 -4.8 11.2 5.0 5.5 20.0 20.0 20.0 20.0 7.0 10.6 -3.7 19.8 4.1 -4.4 -0.0 2.9 -7.2 4.4 -1.8 9.6 1.7 0.0 -3.1 -2.3 10.8 14.4 GASOILINE 14.3 10.6 -20.0 -0.6 -5.0 0.6 -1.4 6.8 0.3 -5.9 -5.4 3.1 5.1 10.0 1.6 17.7 20.0 20.0 20.0 4.0 1.0 3.4 11.6 9.1 -0.8 -0.0 2.7 -3.7 2.6 1.7 9.5 4.4 7.5 7.1 14.6 13.3 2.6 GAS_US 6.0 -20.0 -15.5 -0.6 -5.0 0.6 -1.4 6.8 0.3 -0.2 -5.9 0.7 2.6 -10.0 -11.0 -20.0 -11.3 -20.0 -16.1 -15.6 -8.7 -0.4 3.1 -9.4 -11.1 -0.0 -3.7 0.3 -0.4 0.2 4.8 -2.5 -20.0 20.0 -13.1 -20.0 9.3 GBP 18.2 18.8 9.6 -2.4 6.7 -5.0 4.9 -5.6 1.7 9.5 -9.5 7.7 -12.2 10.0 -1.8 -1.7 -1.3 -1.7 -1.7 -2.7 -10.9 7.5 -13.7 4.5 15.8 -0.0 -3.5 3.9 -7.6 2.1 -8.8 0.4 0.2 -16.0 -4.5 -2.4 -11.6 GOLD_micro 16.7 13.8 -6.3 0.0 14.1 -1.6 9.8 -1.1 4.3 13.4 -13.6 11.3 -12.7 1.4 -8.7 -9.9 -7.4 -9.7 -8.9 -5.2 -11.8 20.0 -10.9 6.8 10.7 -0.0 -2.0 15.0 -4.3 9.8 -3.5 3.2 -11.5 4.7 -1.5 -7.9 -11.2 HEATOIL 3.7 8.6 -12.9 -0.6 -5.0 0.6 -1.4 6.8 0.3 -12.0 5.5 -2.6 10.2 9.5 5.7 20.0 20.0 20.0 20.0 7.4 9.7 -2.8 18.9 5.8 -14.6 -0.0 3.5 -6.8 6.1 -1.5 13.8 2.2 6.7 -2.6 2.7 7.6 17.3 JPY 20.0 14.2 0.6 -2.4 6.7 -5.0 4.9 -5.6 1.7 11.3 -15.4 9.9 -15.8 -1.7 -12.7 -13.4 -9.8 -13.0 -11.8 -12.6 -20.0 12.8 -20.0 -0.1 20.0 -0.0 -4.8 10.2 -8.3 5.1 -10.9 -0.0 -15.5 7.4 -15.3 -2.2 -9.4 LEANHOG 16.8 6.2 -5.0 -2.4 1.3 -3.0 2.2 0.4 0.0 10.2 -4.8 7.9 -1.0 11.2 7.8 -5.8 20.0 20.0 20.0 7.8 2.3 6.8 3.4 10.3 6.2 -0.0 1.8 1.8 0.1 2.2 1.0 3.0 20.0 -11.7 20.0 10.2 5.6 LIVECOW 12.8 5.9 9.3 -2.4 1.3 -3.0 2.2 0.4 0.0 -7.4 4.0 2.5 -2.8 6.1 7.3 -20.0 -20.0 -20.0 -20.0 8.0 4.5 -0.9 -0.5 5.9 -11.1 -0.0 3.3 -1.2 2.7 -0.4 1.7 2.4 -20.0 -20.0 20.0 10.7 14.5 MXP 14.2 9.0 10.3 -2.4 6.7 -5.0 4.9 -5.6 1.7 11.7 15.7 13.9 14.8 15.4 16.0 19.4 19.9 18.8 19.3 16.1 13.7 20.0 13.3 19.4 -20.0 -0.0 5.6 7.7 3.7 8.2 3.0 7.5 20.0 19.3 8.4 20.0 20.0 NASDAQ 13.2 -1.7 -0.8 -0.6 8.1 -2.8 5.3 -2.7 2.9 5.0 -13.5 -0.5 -12.5 -8.3 -12.4 -4.4 -2.8 -4.3 -3.7 -11.0 -13.6 0.9 -12.5 -5.8 11.4 -0.0 -4.5 5.6 -5.6 0.6 -4.5 -2.2 -3.8 -11.3 -20.0 -14.3 -7.2 NZD 20.0 8.6 -2.9 -2.4 6.7 -5.0 4.9 -5.6 1.7 11.1 -12.4 14.0 -13.4 6.2 -7.0 -1.1 0.8 -0.7 -0.1 -4.3 -14.0 16.4 -15.5 9.5 3.1 -0.0 -2.0 5.7 -5.5 5.6 -6.0 3.1 3.5 6.9 11.7 -0.3 -2.1 OAT 20.0 -2.4 -9.4 -4.7 0.4 -5.6 -1.1 -5.7 -2.8 -4.1 -13.0 0.3 -12.9 -5.8 -12.0 18.1 12.0 15.2 14.1 -16.5 -20.0 0.5 -20.0 -5.2 11.4 -0.0 -4.5 1.4 -7.4 0.4 -9.2 -1.1 17.9 4.0 20.0 7.8 1.5 OJ 11.0 20.0 9.4 -2.4 1.3 -3.0 2.2 0.4 0.0 2.2 15.2 11.0 14.1 14.8 15.6 18.8 11.4 17.6 15.9 20.0 20.0 15.7 20.0 20.0 -20.0 -0.0 6.3 -0.0 6.1 3.1 5.5 5.2 3.3 9.2 20.0 20.0 20.0 PALLAD -16.4 -11.0 -0.4 0.0 14.1 -1.6 9.8 -1.1 4.3 9.6 -10.2 -4.6 -5.8 -11.6 -8.5 -2.5 -1.2 -1.9 -1.5 -11.8 -6.7 -3.4 -5.0 -13.2 -1.6 -0.0 -4.0 4.3 -1.7 -1.0 -0.9 -4.6 0.0 -20.0 -20.0 -18.0 3.4 PLAT 15.4 16.8 11.5 0.0 14.1 -1.6 9.8 -1.1 4.3 12.9 0.3 13.8 -7.1 14.1 11.8 1.0 -0.3 0.4 0.0 11.5 3.3 20.0 -2.6 18.7 2.7 -0.0 4.1 12.9 0.5 10.2 -1.9 7.4 2.1 1.0 20.0 20.0 13.0 REDWHEAT -6.6 7.8 -4.2 -2.4 1.3 -3.0 2.2 0.4 0.0 -12.8 -9.0 -11.4 -2.8 -5.5 3.7 1.1 -1.1 0.7 0.1 -0.4 -1.9 -7.8 1.9 -3.1 -14.1 -0.0 1.1 -6.3 2.4 -3.5 5.8 -1.0 -20.0 -13.7 -10.0 13.1 8.1 ROBUSTA -20.0 -20.0 -7.3 -2.4 1.3 -3.0 2.2 0.4 0.0 -12.1 -8.3 -15.2 2.8 -16.1 -13.0 6.5 6.2 6.6 6.2 -20.0 -13.9 -20.0 -0.5 -20.0 3.7 -0.0 -4.9 -2.1 -2.3 -4.1 -0.1 -5.9 -9.6 -20.0 -20.0 -20.0 -4.3 RUSSELL 17.1 5.6 6.9 -0.6 8.1 -2.8 5.3 -2.7 2.9 6.0 -8.1 8.1 -11.0 5.7 -4.8 -4.0 -1.7 -3.5 -2.8 0.1 -5.1 6.9 -7.8 5.4 -3.0 -0.0 0.3 5.7 -2.0 3.4 -2.6 2.7 -2.1 -9.9 -9.0 2.8 9.9 SILVER-mini 17.4 19.9 7.8 0.0 14.1 -1.6 9.8 -1.1 4.3 13.5 -9.9 13.6 -11.1 9.2 5.0 -5.2 -3.1 -4.3 -3.7 6.0 -4.3 20.0 -9.8 16.9 16.9 -0.0 2.5 10.3 -2.3 10.1 -5.0 6.9 -3.4 10.6 13.2 18.8 -2.9 SOYBEAN 9.2 2.7 1.5 -2.4 1.3 -3.0 2.2 0.4 0.0 -5.3 -1.2 4.9 3.7 6.9 8.9 14.9 20.0 17.9 20.0 4.1 1.5 2.5 5.9 6.7 -16.2 -0.0 4.1 -7.7 4.9 1.4 9.5 4.6 20.0 0.4 11.0 12.8 14.0 SOYMEAL 5.9 -4.5 2.1 -2.4 1.3 -3.0 2.2 0.4 0.0 -8.1 -2.4 2.5 7.0 -2.0 2.6 16.3 14.9 15.1 15.8 1.1 2.0 -1.7 5.4 1.3 -8.3 -0.0 2.4 -7.6 4.4 -1.5 8.1 1.2 6.5 -11.9 6.2 5.3 14.7 SOYOIL 20.0 20.0 6.7 -2.4 1.3 -3.0 2.2 0.4 0.0 6.9 2.1 12.1 5.2 14.0 13.7 20.0 20.0 20.0 20.0 20.0 11.2 20.0 11.8 20.0 -20.0 -0.0 5.5 2.4 3.8 5.7 4.2 6.9 18.4 20.0 20.0 20.0 20.0 SP400 19.0 6.1 3.3 -0.6 8.1 -2.8 5.3 -2.7 2.9 8.4 -6.8 11.6 -8.2 8.1 -2.8 -0.2 -1.2 -0.3 -0.7 2.0 -3.9 12.9 -5.3 9.0 -5.4 -0.0 1.1 8.9 -1.2 6.1 -1.2 4.3 0.0 0.9 -3.8 5.1 11.9 SP500 19.7 3.2 -0.7 -0.6 8.1 -2.8 5.3 -2.7 2.9 7.2 -10.7 7.5 -10.0 1.7 -7.6 -4.5 -2.6 -4.2 -3.5 -3.9 -8.8 7.9 -8.3 3.1 7.9 -0.0 -1.8 7.2 -4.5 3.7 -4.4 1.6 -3.4 -4.2 -7.5 -4.1 0.9 SUGAR11 2.3 13.2 0.1 -2.4 1.3 -3.0 2.2 0.4 0.0 14.1 -4.7 13.6 -4.5 11.2 5.8 20.0 17.3 20.0 20.0 7.4 1.2 20.0 -0.1 14.8 -7.5 -0.0 3.5 12.8 1.5 10.3 1.0 6.2 14.0 20.0 12.0 20.0 5.3 US10 16.2 -2.2 -12.3 -4.3 6.6 -5.5 1.9 -5.8 -1.5 8.2 -14.5 2.4 -14.3 -9.1 -14.0 -4.2 2.5 -3.3 -1.5 -19.7 -20.0 7.5 -20.0 -7.3 -4.9 -0.0 -5.1 7.8 -6.7 2.5 -7.1 -1.7 -4.0 2.2 -1.8 -4.7 -3.8 US10U 13.1 -6.8 -13.4 -4.3 6.6 -5.5 1.9 -5.8 -1.5 8.0 -14.7 1.8 -14.0 -10.0 -14.2 -0.1 5.6 0.5 2.2 -20.0 -20.0 5.3 -20.0 -9.2 -5.4 -0.0 -5.3 6.8 -6.5 1.8 -6.6 -2.2 2.0 1.2 -6.4 -6.1 -2.5 US20 10.8 -10.1 -15.1 -4.3 6.6 -5.5 1.9 -5.8 -1.5 8.4 -14.9 -0.3 -14.2 -10.8 -14.4 1.6 3.0 1.8 2.2 -20.0 -20.0 2.6 -20.0 -13.8 -5.0 -0.0 -5.7 5.9 -6.0 0.8 -5.5 -3.2 -0.5 2.6 -19.9 -13.5 -7.2 US30 9.0 -10.9 -15.5 -4.3 6.6 -5.5 1.9 -5.8 -1.5 7.0 -15.6 -1.3 -15.3 -11.0 -14.3 -2.0 0.5 -1.3 -0.7 -20.0 -20.0 -2.4 -20.0 -15.8 -2.3 -0.0 -5.8 3.7 -6.3 -0.5 -6.3 -3.8 -5.1 -5.3 -20.0 -9.0 -3.0 US5 19.1 2.5 -9.9 -4.3 6.6 -5.5 1.9 -5.8 -1.5 7.9 -14.3 2.3 -14.5 -8.6 -13.7 -5.0 4.1 -4.1 -1.4 -19.2 -20.0 8.1 -20.0 -6.8 -3.0 -0.0 -5.1 8.1 -6.9 2.7 -8.0 -1.6 -2.4 1.8 -0.6 -5.6 -5.3 VIX -20.0 2.9 0.3 -2.3 -2.8 -0.9 -4.8 -1.1 -4.7 -6.8 -6.7 -13.0 -6.9 -10.0 -3.9 -2.9 -17.0 -4.5 -9.8 -6.4 -3.3 -13.8 -4.2 -13.4 NaN -0.0 -2.8 -3.2 -1.1 -5.6 -1.4 -5.6 NaN NaN NaN NaN NaN WHEAT -3.5 6.6 -5.8 -2.4 1.3 -3.0 2.2 0.4 0.0 -13.6 -9.7 -12.1 -5.2 -5.1 5.3 -3.4 -3.6 -3.5 -3.6 -1.3 -4.3 -10.0 -0.9 -3.5 -14.0 -0.0 0.4 -10.2 1.6 -6.0 5.5 -1.9 -20.0 -19.4 -8.1 9.6 2.9 End of report for caleb_strategy_v1