******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221114_204304 produced at 2022-11-14 21:35:32.986357 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.19 0.0 40079348.97 -40079348.97 0.00 0.00 -4.80 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.40 -0.13 0.0 36609206.45 -36609206.45 -0.40 -0.37 -3.43 999999999 -11 -10 caleb_strategy_v1 VIX False False 0.01 -0.04 -0.12 0.0 9318900.34 -9318900.34 -0.04 -0.06 -13.07 999999999 -4 -6 caleb_strategy_v1 LIVECOW False False 0.02 -0.08 -0.11 0.0 21069557.52 -21069557.52 -0.08 -0.11 -5.36 999999999 -4 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.10 0.0 38118426.17 -38118426.17 0.00 0.00 -2.59 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.27 -0.10 0.0 44224389.04 -44224389.04 -0.27 -0.22 -2.15 999999999 -6 -5 caleb_strategy_v1 US20 False False 0.04 -0.08 -0.09 0.0 42024329.31 -42024329.31 -0.08 -0.08 -2.09 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.08 0.0 31251476.45 -31251476.45 -0.06 -0.09 -2.69 999999999 -2 -3 caleb_strategy_v1 JPY False False 0.03 -0.18 -0.08 0.0 30116373.17 -30116373.17 -0.18 -0.09 -2.51 999999999 -6 -3 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.07 0.0 45319104.75 -45319104.75 -0.09 -0.09 -1.65 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.06 0.0 28343129.73 -28343129.73 0.00 -0.03 -1.97 999999999 0 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.03 0.0 51280147.56 -51280147.56 0.00 0.00 -0.60 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.03 0.0 43412386.32 -43412386.32 -0.04 0.00 -0.78 999999999 -1 0 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.02 0.0 25479029.88 -25479029.88 -0.03 -0.05 -0.88 999999999 -1 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 78559350.17 -78559350.17 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 22436783.04 -22436783.04 0.00 0.00 -0.61 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6044361.20 -6044361.20 0.00 0.00 -2.19 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6213733.91 -6213733.91 0.00 0.00 -1.11 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14807358.52 -14807358.52 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.01 0.0 3173867.81 -3173867.81 -0.02 -0.01 -4.43 999999999 -6 -4 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 21617127.94 -21617127.94 0.00 0.00 -0.53 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 69058493.20 -69058493.20 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 67128392.49 -67128392.49 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8485641.00 -8485641.00 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 16138022.67 -16138022.67 -0.02 -0.02 -0.31 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 9948096.16 -9948096.16 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14209622.49 -14209622.49 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21292751.98 -21292751.98 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 86080791.08 -86080791.08 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10330715.25 -10330715.25 0.02 0.02 0.23 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 -0.00 0.0 13660436.19 -13660436.19 0.00 -0.01 -0.30 999999999 0 -1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 546210.00 -546210.00 0.00 0.00 5.59 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 -0.00 0.0 20465869.63 -20465869.63 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 18567653.84 -18567653.84 0.00 0.02 0.80 999999999 0 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17583472.54 -17583472.54 0.00 0.00 0.71 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.01 0.01 0.0 5758672.28 -5758672.28 0.01 0.01 1.32 999999999 1 2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4480125.25 -4480125.25 0.00 0.00 2.53 999999999 0 0 caleb_strategy_v1 GBP False False 0.02 0.02 0.01 0.0 24891497.03 -24891497.03 0.02 0.02 0.23 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.02 0.0 26317390.81 -26317390.81 0.05 0.05 0.94 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5036079.63 -5036079.63 0.00 0.00 3.96 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 7545996.55 -7545996.55 0.01 0.02 2.84 999999999 1 2 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.0 23239935.49 -23239935.49 0.05 0.07 1.04 999999999 2 3 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.02 0.0 14641556.92 -14641556.92 0.01 0.01 1.08 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 32679921.03 -32679921.03 0.00 0.00 0.58 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.04 0.03 0.0 35042602.37 -35042602.37 0.04 0.04 0.91 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8728816.69 -8728816.69 0.00 0.00 3.57 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.04 0.0 13539613.96 -13539613.96 0.07 0.07 3.05 999999999 5 5 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 46781642.76 -46781642.76 0.00 0.00 1.09 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.12 0.05 0.0 40798841.91 -40798841.91 0.12 0.12 1.15 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 32854225.28 -32854225.28 0.00 0.00 1.55 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.06 0.0 12087361.97 -12087361.97 0.05 0.05 5.34 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.06 0.0 47620056.88 -47620056.88 0.10 0.10 1.27 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.05 0.08 0.0 6814560.07 -6814560.07 0.05 0.05 12.12 999999999 7 7 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.10 0.0 23535324.94 -23535324.94 0.05 0.05 4.36 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.15 0.0 48648416.98 -48648416.98 0.10 0.10 3.14 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.25 0.35 0.0 41872587.99 -41872587.99 0.25 0.25 8.37 999999999 6 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 10.0 Shocked risk 24.8 Sum abs risk 39.4 Leverage 2.50 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2940261.08, 'annual_cash_vol_target': 735065.27, 'daily_cash_vol_target': 45941.579375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0072 0.6597 1.0857 17.3704 BITCOIN 1244.9424 16060.0000 7.7518 124.0291 BOBL 0.4527 119.3300 0.3794 6.0699 BTP 1.1320 116.2700 0.9736 15.5777 BUND 0.9544 138.6400 0.6884 11.0141 BUXL 2.3513 146.1400 1.6089 25.7428 CAC 68.2630 6623.0000 1.0307 16.4911 CAD 0.0050 0.7492 0.6702 10.7233 CANOLA 8.1445 875.2000 0.9306 14.8893 CHF 0.0088 1.0660 0.8285 13.2561 COCOA 33.4806 2495.0000 1.3419 21.4705 COFFEE 0.0397 1.6695 2.3787 38.0590 COPPER 0.0767 3.8435 1.9959 31.9341 CORN 5.1245 607.5000 0.8435 13.4966 COTTON2 0.0211 0.8356 2.5235 40.3757 CRUDE_W 1.5351 77.3800 1.9839 31.7423 DAX 151.7585 14352.0000 1.0574 16.9185 DOW 399.9348 33864.0000 1.1810 18.8960 EUR 0.0084 1.0212 0.8256 13.2090 EUROSTX 42.5257 3893.0000 1.0924 17.4778 FEEDCOW 1.2698 183.7750 0.6909 11.0551 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 20.8496 966.0000 2.1583 34.5335 GASOILINE 0.0536 2.4532 2.1839 34.9423 GAS_US 0.2483 6.3560 3.9072 62.5151 GBP 0.0138 1.1710 1.1772 18.8351 GOLD_micro 18.5523 1777.2000 1.0439 16.7025 HEATOIL 0.0644 3.3337 1.9313 30.9001 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 0.9918 133.3200 0.7439 11.9028 OJ 0.0386 1.9500 1.9781 31.6495 PALLAD 47.7460 2030.5000 2.3514 37.6231 PLAT 20.2692 1034.0000 1.9603 31.3644 REDWHEAT 17.1141 949.0000 1.8034 28.8542 ROBUSTA 25.7871 1827.0000 1.4114 22.5831 RUSSELL 32.7707 1866.4000 1.7558 28.0932 SILVER-mini 0.4502 21.8375 2.0618 32.9883 SOYBEAN 12.6759 1384.0000 0.9159 14.6542 SOYMEAL 5.1402 398.1000 1.2912 20.6588 SOYOIL 0.8915 71.7500 1.2425 19.8804 SP400 39.2961 2531.0000 1.5526 24.8415 SP500 61.0547 3947.5000 1.5467 24.7467 SUGAR11 0.0023 0.1981 1.1608 18.5732 US10 0.5964 112.0781 0.5321 8.5140 US10U 0.8163 117.8438 0.6927 11.0826 US20 1.1716 123.5625 0.9482 15.1710 US30 1.6795 130.0312 1.2916 20.6661 US5 0.4014 107.6406 0.3729 5.9663 VIX 0.5472 27.4000 1.9972 31.9555 WHEAT 14.3402 870.7500 1.6469 26.3500 ========================================================================================================================================== 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 45941.58 64.15 -5.53 -35.47 BITCOIN 16.06 7.75 124.49 1.00 124.49 45941.58 369.03 5.94 219.32 BOBL 1193.30 0.38 452.70 1.03 468.31 45941.58 98.10 10.92 107.14 BTP 1162.70 0.97 1132.01 1.03 1171.03 45941.58 39.23 13.36 52.41 BUND 1386.40 0.69 954.37 1.03 987.27 45941.58 46.53 8.63 40.16 BUXL 1461.40 1.61 2351.28 1.03 2432.32 45941.58 18.89 -3.52 -6.64 CAC 662.30 1.03 682.63 1.03 706.16 45941.58 65.06 5.25 34.16 CAD 749.15 0.67 502.09 1.00 502.09 45941.58 91.50 -4.96 -45.39 CANOLA 175.04 0.93 162.89 0.75 122.67 45941.58 374.51 6.80 254.50 CHF 1332.50 0.83 1103.98 1.00 1103.98 45941.58 41.61 -9.78 -40.70 COCOA 249.50 1.34 334.81 1.00 334.81 45941.58 137.22 -0.63 -8.69 COFFEE 626.06 2.38 1489.21 1.00 1489.21 45941.58 30.85 -3.33 -10.27 COPPER 960.88 2.00 1917.79 1.00 1917.79 45941.58 23.96 8.19 19.63 CORN 303.75 0.84 256.22 1.00 256.22 45941.58 179.30 1.33 23.78 COTTON2 417.80 2.52 1054.31 1.00 1054.31 45941.58 43.58 -2.91 -12.70 CRUDE_W 773.80 1.98 1535.14 1.00 1535.14 45941.58 29.93 2.20 6.58 DAX 143.52 1.06 151.76 1.03 156.99 45941.58 292.64 2.30 67.40 DOW 169.32 1.18 199.97 1.00 199.97 45941.58 229.75 1.87 42.86 EUR 1276.44 0.83 1053.78 1.00 1053.78 45941.58 43.60 -4.44 -19.36 EUROSTX 389.30 1.09 425.26 1.03 439.91 45941.58 104.43 -0.94 -9.79 FEEDCOW 918.88 0.69 634.89 1.00 634.89 45941.58 72.36 -12.79 -92.55 FTSE100 706.85 0.82 576.59 1.18 666.67 45941.58 68.91 -2.56 -17.66 GASOIL 966.00 2.16 2084.96 1.00 2084.96 45941.58 22.03 9.08 20.02 GASOILINE 1030.34 2.18 2250.16 1.00 2250.16 45941.58 20.42 10.07 20.56 GAS_US 635.60 3.91 2483.41 1.00 2483.41 45941.58 18.50 -17.55 -32.47 GBP 731.88 1.18 861.56 1.00 861.56 45941.58 53.32 2.19 11.69 GOLD_micro 177.72 1.04 185.52 1.00 185.52 45941.58 247.63 -3.65 -90.45 HEATOIL 1400.15 1.93 2704.05 1.00 2704.05 45941.58 16.99 9.72 16.51 JPY 885.50 0.95 838.29 1.00 838.29 45941.58 54.80 -6.53 -35.80 LEANHOG 355.40 1.50 532.87 1.00 532.87 45941.58 86.21 12.25 105.59 LIVECOW 619.50 0.54 334.15 1.00 334.15 45941.58 137.49 -13.41 -184.43 MXP 256.65 0.62 160.32 1.00 160.32 45941.58 286.56 9.42 269.81 NASDAQ 2309.85 1.98 4580.40 1.00 4580.40 45941.58 10.03 -4.45 -4.46 NZD 601.75 1.05 628.95 1.00 628.95 45941.58 73.04 -0.21 -1.55 OAT 1333.20 0.74 991.80 1.03 1025.98 45941.58 44.78 11.09 49.65 OJ 292.50 1.98 578.59 1.00 578.59 45941.58 79.40 -0.45 -3.59 PALLAD 2030.50 2.35 4774.60 1.00 4774.60 45941.58 9.62 -4.47 -4.30 PLAT 517.00 1.96 1013.46 1.00 1013.46 45941.58 45.33 6.00 27.20 REDWHEAT 474.50 1.80 855.71 1.00 855.71 45941.58 53.69 -9.94 -53.38 ROBUSTA 182.70 1.41 257.87 1.00 257.87 45941.58 178.16 -4.44 -79.02 RUSSELL 93.32 1.76 163.85 1.00 163.85 45941.58 280.38 -2.82 -79.03 SILVER-mini 545.94 2.06 1125.60 1.00 1125.60 45941.58 40.82 8.10 33.04 SOYBEAN 692.00 0.92 633.79 1.00 633.79 45941.58 72.49 9.42 68.30 SOYMEAL 398.10 1.29 514.02 1.00 514.02 45941.58 89.38 5.35 47.85 SOYOIL 430.50 1.24 534.91 1.00 534.91 45941.58 85.89 12.64 108.54 SP400 2531.00 1.55 3929.61 1.00 3929.61 45941.58 11.69 -0.70 -0.82 SP500 1973.75 1.55 3052.74 1.00 3052.74 45941.58 15.05 -1.99 -2.99 SUGAR11 221.87 1.16 257.56 1.00 257.56 45941.58 178.38 10.85 193.55 US10 1120.78 0.53 596.40 1.00 596.40 45941.58 77.03 -8.10 -62.42 US10U 1178.44 0.69 816.26 1.00 816.26 45941.58 56.28 -5.41 -30.46 US20 1235.62 0.95 1171.61 1.00 1171.61 45941.58 39.21 -6.68 -26.20 US30 1300.31 1.29 1679.53 1.00 1679.53 45941.58 27.35 -8.67 -23.71 US5 1076.41 0.37 401.39 1.00 401.39 45941.58 114.46 -7.21 -82.54 VIX 274.00 2.00 547.24 1.00 547.24 45941.58 83.95 -7.63 -64.08 WHEAT 435.38 1.65 717.01 1.00 717.01 45941.58 64.07 -12.29 -78.78 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -35.473 0.007 2.5 -0.613 BITCOIN 219.323 0.010 2.5 5.592 BOBL 107.141 0.031 2.5 8.367 BTP 52.406 0.009 2.5 1.145 BUND 40.158 0.031 2.5 3.136 BUXL -6.644 0.036 2.5 -0.604 CAC 34.161 0.012 2.5 1.039 CAD -45.390 0.008 2.5 -0.877 CANOLA 254.495 0.004 2.5 2.528 CHF -40.705 0.016 2.5 -1.649 COCOA -8.691 0.009 2.5 -0.205 COFFEE -10.274 0.006 2.5 -0.144 COPPER 19.629 0.012 2.5 0.581 CORN 23.776 0.004 2.5 0.232 COTTON2 -12.699 0.007 2.5 -0.207 CRUDE_W 6.582 0.057 2.5 0.941 DAX 67.403 0.024 2.5 3.962 DOW 42.858 0.012 2.5 1.322 EUR -19.361 0.016 2.5 -0.784 EUROSTX -9.795 0.012 2.5 -0.298 FEEDCOW -92.551 0.012 2.5 -2.691 FTSE100 -17.663 0.045 2.5 -1.971 GASOIL 20.017 0.031 2.5 1.545 GASOILINE 20.556 0.018 2.5 0.913 GAS_US -32.471 0.007 2.5 -0.529 GBP 11.687 0.008 2.5 0.226 GOLD_micro -90.445 0.010 2.5 -2.190 HEATOIL 16.514 0.031 2.5 1.275 JPY -35.800 0.028 2.5 -2.508 LEANHOG 105.591 0.020 2.5 5.339 LIVECOW -184.434 0.012 2.5 -5.363 MXP 269.809 0.005 2.5 3.575 NASDAQ -4.461 0.024 2.5 -0.262 NZD -1.554 0.007 2.5 -0.027 OAT 49.645 0.009 2.5 1.085 OJ -3.593 0.008 2.5 -0.068 PALLAD -4.303 0.010 2.5 -0.112 PLAT 27.200 0.010 2.5 0.708 REDWHEAT -53.382 0.002 2.5 -0.308 ROBUSTA -79.023 0.006 2.5 -1.109 RUSSELL -79.033 0.022 2.5 -4.430 SILVER-mini 33.043 0.010 2.5 0.800 SOYBEAN 68.305 0.026 2.5 4.358 SOYMEAL 47.846 0.026 2.5 3.053 SOYOIL 108.540 0.004 2.5 1.078 SP400 -0.822 0.022 2.5 -0.046 SP500 -2.992 0.012 2.5 -0.092 SUGAR11 193.547 0.006 2.5 2.842 US10 -62.421 0.017 2.5 -2.592 US10U -30.458 0.063 2.5 -4.803 US20 -26.198 0.032 2.5 -2.090 US30 -23.707 0.036 2.5 -2.154 US5 -82.541 0.017 2.5 -3.427 VIX -64.085 0.082 2.5 -13.070 WHEAT -78.776 0.002 2.5 -0.455 ==================== Position diags ==================== AUD 1.11 BITCOIN 9.41 BOBL 7.66 BTP 0.86 BUND 3.63 BUXL 1.72 CAC 1.98 CAD 1.77 CANOLA 3.72 CHF 1.69 COCOA 3.23 COFFEE 0.43 COPPER 0.71 CORN 1.75 COTTON2 0.71 CRUDE_W 4.28 DAX 17.20 DOW 7.09 EUR 1.77 EUROSTX 3.18 FEEDCOW 2.10 FTSE100 7.69 GASOIL 1.70 GASOILINE 0.91 GAS_US 0.30 GBP 1.03 GOLD_micro 6.00 HEATOIL 1.31 JPY 3.84 LEANHOG 4.36 LIVECOW 4.00 MXP 3.80 NASDAQ 0.59 NZD 1.26 OAT 0.98 OJ 1.50 PALLAD 0.25 PLAT 1.18 REDWHEAT 0.31 ROBUSTA 2.50 RUSSELL 15.72 SILVER-mini 0.99 SOYBEAN 4.63 SOYMEAL 5.70 SOYOIL 0.85 SP400 0.66 SP500 0.46 SUGAR11 2.62 US10 3.20 US10U 8.87 US20 3.13 US30 2.49 US5 4.75 VIX 17.12 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 5.6 4.7 6.5 NaN 0 BOBL 8.4 7.6 9.1 6.0 6 BTP 1.1 1.1 1.2 3.0 3 BUND 3.1 2.8 3.5 2.0 2 BUXL -0.6 -0.8 -0.4 0.0 0 CAC 1.0 0.8 1.2 2.0 2 CAD -0.9 -1.1 -0.7 -1.0 -1 CANOLA 2.5 2.2 2.9 NaN 0 CHF -1.6 -1.8 -1.5 -2.0 -2 COCOA -0.2 -0.5 0.1 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.6 0.5 0.7 NaN 0 CORN 0.2 0.1 0.4 2.0 2 COTTON2 -0.2 -0.3 -0.1 NaN 0 CRUDE_W 0.9 0.5 1.4 2.0 2 DAX 4.0 2.2 5.7 NaN 0 DOW 1.3 0.6 2.0 1.0 1 EUR -0.8 -1.0 -0.6 -1.0 -1 EUROSTX -0.3 -0.6 0.0 NaN 0 FEEDCOW -2.7 -2.9 -2.5 -2.0 -2 FTSE100 -2.0 -2.7 -1.2 0.0 0 GASOIL 1.5 1.4 1.7 0.0 0 GASOILINE 0.9 0.8 1.0 1.0 1 GAS_US -0.5 -0.6 -0.5 0.0 0 GBP 0.2 0.1 0.3 1.0 1 GOLD_micro -2.2 -2.8 -1.6 0.0 0 HEATOIL 1.3 1.1 1.4 2.0 2 JPY -2.5 -2.9 -2.1 -6.0 -6 LEANHOG 5.3 4.9 5.8 4.0 4 LIVECOW -5.4 -5.8 -5.0 -4.0 -4 MXP 3.6 3.2 4.0 NaN 0 NASDAQ -0.3 -0.3 -0.2 0.0 0 NZD -0.0 -0.2 0.1 NaN 0 OAT 1.1 1.0 1.2 0.0 0 OJ -0.1 -0.2 0.1 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.7 0.6 0.8 NaN 0 REDWHEAT -0.3 -0.3 -0.3 -1.0 -1 ROBUSTA -1.1 -1.4 -0.9 0.0 0 RUSSELL -4.4 -6.0 -2.9 -6.0 -6 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 4.4 3.9 4.8 2.0 2 SOYMEAL 3.1 2.5 3.6 5.0 5 SOYOIL 1.1 1.0 1.2 1.0 1 SP400 -0.0 -0.1 0.0 NaN 0 SP500 -0.1 -0.1 -0.0 NaN 0 SUGAR11 2.8 2.6 3.1 1.0 1 US10 -2.6 -2.9 -2.3 NaN 0 US10U -4.8 -5.7 -3.9 0.0 0 US20 -2.1 -2.4 -1.8 -2.0 -2 US30 -2.2 -2.4 -1.9 -6.0 -6 US5 -3.4 -3.9 -3.0 -11.0 -11 VIX -13.1 -14.8 -11.4 -4.0 -4 WHEAT -0.5 -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 0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.4 -0.0 -0.4 -0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 4.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.4 -0.2 -0.1 BOBL 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 1.6 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 0.0 0.1 -0.0 BTP 0.2 0.2 0.0 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.3 0.0 -0.2 1.6 0.6 0.4 0.4 -0.0 -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 0.2 BUND 0.2 0.1 -0.2 -0.1 0.0 -0.1 0.1 -0.2 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 1.0 0.7 0.3 0.3 -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 0.1 0.1 -0.0 BUXL 0.2 -0.0 -0.2 -0.1 0.0 -0.1 0.1 -0.2 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 0.4 -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 -1.2 -0.1 0.2 0.0 0.0 CAC 0.2 0.3 -0.0 0.0 0.1 -0.1 0.2 -0.1 0.1 0.1 0.1 0.1 -0.1 0.1 0.2 0.1 0.2 0.0 0.1 0.2 0.0 0.0 -0.0 0.0 -1.2 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 1.0 0.2 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 -0.2 -0.0 0.1 0.2 0.3 CHF 0.2 0.0 0.0 -0.0 0.1 -0.1 0.2 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.8 -0.5 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 -2.2 0.1 -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 1.2 -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 0.4 0.2 0.2 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 1.8 -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 0.2 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 0.1 -0.1 0.0 -0.1 0.0 2.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.4 0.1 0.2 0.1 0.1 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 0.2 -0.1 -0.3 0.0 0.2 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 -1.7 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.4 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 0.7 0.6 0.2 0.3 0.0 0.0 0.0 0.1 0.0 0.9 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 -2.7 0.1 0.2 0.1 0.1 DAX 0.3 0.3 0.1 0.0 0.1 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.1 -0.3 0.1 0.2 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 0.0 -0.1 0.0 -0.5 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 0.4 0.3 0.2 DOW 0.3 0.3 0.0 0.0 0.1 -0.1 0.2 -0.1 0.1 0.1 -0.1 0.1 -0.2 0.1 0.1 -0.4 -0.1 -0.1 -0.1 0.2 -0.0 0.0 -0.1 0.0 -0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 0.1 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 0.3 0.0 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.0 0.1 -0.2 0.1 0.2 -0.1 0.1 -0.0 0.0 0.2 0.0 0.0 -0.1 0.0 -1.3 -1.7 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 -0.0 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 0.3 0.0 -0.5 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.1 -0.1 0.2 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 0.1 1.3 0.9 0.4 0.4 0.0 0.0 0.0 0.1 0.0 -0.2 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 0.9 0.0 0.3 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 -0.2 -0.0 0.1 -0.0 -0.3 -1.6 -0.5 -0.4 -0.4 -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 -0.2 -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 -0.1 -0.8 -0.3 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.0 1.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -1.4 0.1 0.1 -0.0 -0.1 HEATOIL 0.0 0.2 -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 1.0 -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 0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 1.5 0.5 0.3 0.3 -0.1 -0.2 0.0 -0.2 0.0 1.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 2.6 -0.0 0.3 0.1 0.0 OJ 0.0 0.3 0.2 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 1.3 0.4 0.3 0.3 0.1 0.1 -0.0 0.1 0.0 -5.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.4 -0.0 0.5 0.3 0.3 PALLAD -0.1 -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 0.0 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 0.2 0.1 0.0 -0.0 0.0 0.3 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 -0.0 0.2 0.2 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 -0.1 0.2 0.1 ROBUSTA -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 0.1 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 0.7 -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 -0.3 -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 0.1 0.0 0.0 0.1 0.0 -2.5 -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 0.0 -0.1 0.0 -0.0 0.0 -0.1 0.1 0.0 0.0 -0.0 -0.1 -0.0 0.2 -0.0 0.0 1.2 0.6 0.3 0.3 0.0 0.0 -0.0 0.1 -0.0 -1.2 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.8 -0.2 -0.0 0.0 0.2 SOYOIL 0.2 0.3 0.1 -0.0 0.0 -0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.3 1.6 0.8 0.4 0.4 0.2 0.2 0.0 0.2 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 0.2 0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 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 -0.0 -0.1 -0.1 0.0 SUGAR11 0.1 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 0.2 1.6 0.7 0.4 0.4 0.1 0.0 0.0 0.0 0.0 -1.4 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.1 0.0 0.3 0.3 0.1 US10 0.2 -0.1 -0.2 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.3 -0.3 0.1 -0.1 -0.0 -0.2 -0.2 0.0 -0.2 -0.0 -0.8 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.5 0.0 0.0 -0.0 -0.0 US10U 0.2 -0.1 -0.2 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -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 -0.0 -0.1 -0.0 US20 0.2 -0.2 -0.3 -0.1 0.0 -0.1 0.1 -0.2 -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 -0.6 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 US30 0.2 -0.2 -0.3 -0.1 0.0 -0.1 0.1 -0.2 -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 -0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.6 -0.0 -0.3 -0.1 -0.0 US5 0.2 -0.0 -0.2 -0.1 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.3 -0.4 0.2 -0.1 -0.0 -0.2 -0.2 0.0 -0.3 -0.0 -0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.0 0.0 -0.0 -0.1 VIX -0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 -0.8 -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 9.9 20.0 15.5 0.8 13.6 -1.2 10.5 -0.9 5.2 -9.3 -15.6 -4.3 -15.6 -2.0 -8.8 0.4 -1.4 -0.0 -0.5 -5.4 -11.8 -14.4 -17.1 -6.4 20.0 -0.0 -3.1 -18.2 -4.4 -12.2 -4.7 -5.4 0.7 -20.0 -20.0 -11.5 -6.4 BOBL 20.0 5.4 -15.4 -4.0 4.3 -5.7 2.8 -6.1 -0.6 -1.4 -13.6 -1.4 -12.7 -6.9 -13.7 20.0 19.3 20.0 20.0 -15.7 -20.0 1.1 -20.0 -5.1 8.6 -0.0 -4.5 0.9 -7.9 1.0 -9.8 -0.9 20.0 -17.1 0.3 6.8 -2.5 BTP 20.0 13.9 0.6 -4.0 4.3 -5.7 2.8 -6.1 -0.6 4.3 -11.5 8.5 -12.8 6.4 -7.5 20.0 14.5 20.0 19.0 -4.0 -15.0 12.8 -20.0 7.6 7.4 -0.0 -1.6 4.3 -6.7 5.0 -10.1 3.1 20.0 -2.1 20.0 20.0 12.1 BUND 20.0 5.3 -13.0 -4.0 4.3 -5.7 2.8 -6.1 -0.6 1.7 -13.2 4.6 -13.0 -3.5 -12.6 11.7 16.4 14.2 15.6 -15.1 -20.0 5.4 -20.0 -2.6 8.0 -0.0 -4.3 2.1 -7.4 2.0 -8.9 -0.3 20.0 -10.4 7.4 4.6 -1.9 BUXL 20.0 -1.4 -8.8 -4.0 4.3 -5.7 2.8 -6.1 -0.6 1.2 -12.9 8.0 -13.1 -2.5 -11.1 5.5 -3.8 5.6 0.8 -14.4 -20.0 6.7 -20.0 -1.3 6.8 -0.0 -4.3 1.5 -7.0 2.1 -7.9 -0.3 -8.8 -6.3 10.7 2.5 2.5 CAC 20.0 17.7 -1.5 0.2 6.8 -2.3 6.4 -2.5 3.9 13.5 2.1 15.6 -5.4 15.4 7.3 1.3 4.5 1.6 2.7 14.6 2.5 20.0 -1.1 20.0 -10.9 -0.0 3.7 7.3 0.4 8.2 -0.6 7.1 7.9 20.0 16.9 20.0 12.9 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 6.9 20.0 -7.0 -1.9 2.1 -2.8 2.7 0.4 0.7 -11.6 -8.7 3.5 -0.6 13.7 9.9 19.6 13.7 10.2 9.2 7.8 -4.9 1.4 1.3 10.5 1.5 -0.0 4.3 -1.6 1.6 2.1 2.9 4.3 -1.1 -3.8 8.0 20.0 19.6 CHF 20.0 1.7 2.6 -0.5 12.2 -3.6 9.3 -4.5 4.4 13.8 -10.0 13.7 -10.8 3.0 -5.6 -11.9 -11.2 -12.2 -12.1 -0.5 -6.3 20.0 -7.9 12.9 -2.3 -0.0 -0.8 17.0 -3.7 12.0 -5.1 4.7 -17.1 9.3 -8.1 -4.8 4.9 COCOA 19.6 12.8 2.2 -1.9 2.1 -2.8 2.7 0.4 0.7 7.4 -7.7 11.9 -10.9 12.1 6.3 2.5 -3.3 1.1 -1.0 8.2 -2.2 20.0 -7.8 18.9 7.7 -0.0 3.6 3.7 -0.1 8.5 -2.1 7.4 -20.0 20.0 20.0 20.0 7.4 COFFEE -20.0 -20.0 -14.5 -1.9 2.1 -2.8 2.7 0.4 0.7 -4.9 -10.8 -12.1 -2.9 -15.0 -13.9 5.5 5.2 8.6 8.0 -20.0 -18.6 -18.1 -5.4 -20.0 11.3 -0.0 -5.5 -0.7 -3.5 -3.2 -0.9 -5.6 -9.0 -20.0 -20.0 -20.0 -20.0 COPPER 20.0 20.0 10.2 1.3 10.4 -0.9 10.0 -0.8 5.6 10.6 -10.8 12.7 -10.7 10.3 5.3 0.9 0.3 0.8 0.4 5.1 -6.3 20.0 -10.2 16.9 17.8 -0.0 2.2 9.9 -2.1 10.6 -3.1 7.2 2.9 8.4 10.4 4.7 4.0 CORN -11.7 5.4 18.3 -1.9 2.1 -2.8 2.7 0.4 0.7 -13.5 2.3 -14.1 5.6 -7.6 12.0 17.5 13.0 14.1 12.6 4.4 9.6 -16.0 16.5 -6.6 -20.0 -0.0 0.3 -11.2 4.5 -9.8 9.9 -5.0 1.1 -20.0 -17.8 1.6 16.1 COTTON2 14.9 -19.4 -20.0 -1.9 2.1 -2.8 2.7 0.4 0.7 9.4 -12.0 11.6 0.7 -3.7 -10.7 3.5 18.8 9.1 15.6 -15.6 -16.2 10.4 -2.5 -0.9 -6.8 -0.0 -3.5 1.1 -3.0 2.7 1.5 -0.1 10.6 20.0 -0.1 -20.0 -16.7 CRUDE_W 10.0 11.0 -11.2 -0.8 -3.5 0.6 -1.9 6.8 -0.3 -6.5 -4.9 1.1 4.3 11.2 5.8 8.1 14.3 9.2 12.0 4.0 0.1 2.0 5.8 6.8 7.4 -0.0 2.3 -1.5 1.8 0.9 7.1 3.2 -20.0 10.6 12.6 6.9 7.5 DAX 20.0 20.0 3.8 0.2 6.8 -2.3 6.4 -2.5 3.9 14.1 -3.5 15.8 -9.4 15.0 6.9 -3.6 -1.2 -2.9 -2.1 15.3 -1.5 20.0 -9.6 20.0 -3.4 -0.0 3.9 9.8 -0.0 9.8 -2.4 7.8 -1.1 20.0 20.0 20.0 13.1 DOW 20.0 19.5 2.3 0.2 6.8 -2.3 6.4 -2.5 3.9 13.6 -2.1 14.8 -5.9 14.1 5.2 -4.7 -1.3 -4.1 -3.1 12.0 -0.1 20.0 -4.5 20.0 -3.3 -0.0 3.1 6.1 -0.1 7.0 -1.0 6.3 -2.1 4.1 20.0 19.8 11.3 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 19.2 1.8 0.2 6.8 -2.3 6.4 -2.5 3.9 14.0 -0.5 15.8 -8.0 15.3 7.0 -0.8 2.8 -0.1 0.9 15.3 1.4 20.0 -4.7 20.0 -9.7 -8.3 4.0 9.1 0.6 9.4 -1.3 7.6 4.9 20.0 20.0 20.0 15.0 FEEDCOW 12.2 -8.8 -6.6 -2.4 1.4 -3.0 2.3 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 -7.7 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 -1.2 8.9 -8.0 -0.8 -3.5 0.6 -1.9 6.8 -0.3 -12.1 7.2 -9.3 11.2 4.0 5.1 20.0 20.0 20.0 20.0 6.0 10.5 -7.1 20.0 1.4 -4.4 -0.0 2.5 -6.9 4.4 -3.4 10.0 0.5 0.0 -8.9 -4.1 13.0 15.1 GASOILINE 13.6 11.3 -20.0 -0.8 -3.5 0.6 -1.9 6.8 -0.3 -9.5 -5.5 1.2 5.1 9.1 2.2 15.9 20.0 20.0 20.0 3.7 1.2 0.6 11.0 6.9 -1.4 -0.0 2.7 -4.1 2.8 0.4 9.7 3.6 6.6 12.0 16.5 12.8 2.9 GAS_US 11.8 -20.0 -17.0 -0.8 -3.5 0.6 -1.9 6.8 -0.3 -7.8 -6.6 -1.2 2.3 -10.0 -11.4 -20.0 -11.8 -20.0 -16.8 -16.2 -9.5 -4.4 2.8 -10.5 -10.8 -0.0 -3.8 -1.6 -0.6 -1.2 4.8 -2.9 -20.0 5.6 -11.0 -20.0 5.8 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 20.0 14.4 -6.2 1.3 10.4 -0.9 10.0 -0.8 5.6 14.0 -12.7 13.9 -12.3 6.5 -5.4 -9.7 -7.4 -9.7 -8.9 -0.7 -10.3 20.0 -10.6 15.2 10.6 -0.0 -0.2 12.7 -3.1 11.2 -2.8 5.5 -11.5 12.8 2.7 -3.7 -10.2 HEATOIL 2.3 9.5 -12.2 -0.8 -3.5 0.6 -1.9 6.8 -0.3 -12.3 5.3 -6.5 10.2 8.6 5.4 20.0 20.0 20.0 20.0 6.3 9.5 -5.7 19.1 3.0 -14.6 -0.0 3.0 -5.6 6.2 -2.9 14.3 1.0 7.0 -4.2 -0.3 9.6 17.4 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 1.4 -3.0 2.3 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 -11.8 20.0 10.2 5.6 LIVECOW 12.8 5.9 9.3 -2.4 1.4 -3.0 2.3 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 -0.7 7.1 -2.8 4.8 -2.8 2.7 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 11.3 -0.0 -4.5 5.6 -5.6 0.6 -4.5 -2.2 -3.9 -8.7 -20.0 -13.9 -7.1 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 8.6 -3.7 -4.0 4.3 -5.7 2.8 -6.1 -0.6 1.3 -12.4 5.4 -12.9 -1.1 -11.1 17.8 12.1 15.4 14.3 -11.2 -19.2 7.1 -20.0 0.5 11.3 -0.0 -3.7 2.3 -7.4 2.7 -9.7 0.5 18.9 -8.6 14.2 6.1 1.6 OJ 1.0 16.1 7.2 -1.9 2.1 -2.8 2.7 0.4 0.7 -11.2 14.7 -0.4 14.0 11.5 14.5 17.9 11.5 17.4 15.9 20.0 20.0 -3.1 19.2 15.4 -20.0 -0.0 5.9 -6.0 6.3 -0.7 5.7 3.6 3.2 -16.2 20.0 20.0 20.0 PALLAD -10.5 -10.6 -0.6 1.3 10.4 -0.9 10.0 -0.8 5.6 12.4 -9.7 5.3 -5.8 -8.3 -7.3 -2.6 -1.2 -1.9 -1.6 -9.1 -6.1 9.1 -4.9 -5.6 -1.4 -0.0 -3.1 9.0 -1.6 3.9 -0.9 -1.8 0.0 -20.0 -20.0 -20.0 1.1 PLAT 17.8 19.5 10.9 1.3 10.4 -0.9 10.0 -0.8 5.6 11.3 1.7 13.7 -6.4 14.4 12.5 1.1 -0.3 0.5 0.1 14.3 4.9 20.0 -2.1 20.0 2.0 -0.0 4.5 6.9 1.0 8.7 -1.5 7.4 2.2 -9.0 11.2 17.3 12.7 REDWHEAT -5.4 6.2 -3.4 -1.9 2.1 -2.8 2.7 0.4 0.7 -4.3 -9.0 -7.5 -2.9 -6.0 3.9 1.4 -1.1 0.8 0.2 -0.3 -1.9 -2.3 1.9 -1.9 -14.2 -0.0 1.1 1.7 2.4 -0.7 5.8 -0.3 -20.0 -17.2 -6.4 12.9 8.3 ROBUSTA -20.0 -20.0 -9.9 -1.9 2.1 -2.8 2.7 0.4 0.7 -9.7 -9.1 -14.7 1.9 -16.0 -13.6 6.1 6.2 6.4 6.1 -20.0 -15.5 -20.0 -1.3 -20.0 4.3 -0.0 -5.0 -1.2 -2.5 -3.3 -0.2 -5.4 -9.8 -18.4 -20.0 -20.0 -6.7 RUSSELL 17.1 5.6 6.9 -0.7 7.1 -2.8 4.8 -2.8 2.7 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 -2.2 -7.3 -7.9 3.2 10.1 SILVER-mini 17.4 19.9 7.8 0.0 13.8 -1.7 9.7 -1.1 4.2 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 11.3 13.5 18.9 -2.9 SOYBEAN 9.3 3.3 2.2 -1.9 2.1 -2.8 2.7 0.4 0.7 1.0 -1.0 6.4 3.8 7.5 9.0 15.2 20.0 17.9 20.0 4.5 1.9 4.3 5.9 6.7 -16.9 -0.0 4.4 0.3 5.1 2.6 9.7 4.6 20.0 -2.5 11.2 11.9 13.8 SOYMEAL 3.7 -4.3 2.5 -1.9 2.1 -2.8 2.7 0.4 0.7 -8.5 -2.4 -1.0 7.0 -3.2 1.1 15.2 14.9 14.8 15.6 0.4 1.8 -4.0 5.4 -0.5 -8.8 -0.0 1.8 -5.4 4.2 -3.0 8.0 -0.1 6.1 -20.0 -0.1 2.4 12.9 SOYOIL 20.0 20.0 7.8 -1.9 2.1 -2.8 2.7 0.4 0.7 7.8 2.9 12.6 5.6 14.3 14.1 20.0 20.0 20.0 20.0 20.0 12.8 20.0 12.6 20.0 -20.0 -0.0 5.5 2.5 3.9 5.2 4.2 6.6 18.6 20.0 20.0 20.0 20.0 SP400 20.0 9.8 3.1 0.2 6.8 -2.3 6.4 -2.5 3.9 12.9 -5.6 13.9 -7.8 10.9 -0.7 -0.1 -1.2 -0.3 -0.6 4.8 -2.5 19.9 -4.8 13.8 -5.6 -0.0 2.2 9.3 -0.5 8.4 -0.8 5.8 0.0 2.1 1.2 6.2 12.2 SP500 19.7 3.2 -0.7 -0.7 7.1 -2.8 4.8 -2.8 2.7 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 7.8 -0.0 -1.8 7.2 -4.5 3.7 -4.4 1.6 -3.5 -1.6 -6.5 -3.7 1.0 SUGAR11 8.9 16.2 1.3 -1.9 2.1 -2.8 2.7 0.4 0.7 14.1 -3.2 14.9 -3.8 13.0 7.9 20.0 18.0 20.0 20.0 11.2 2.9 20.0 0.6 20.0 -8.4 -0.0 4.1 11.5 1.8 10.6 1.0 7.2 15.4 20.0 15.7 20.0 8.1 US10 20.0 -5.3 -12.5 -4.0 4.3 -5.7 2.8 -6.1 -0.6 9.7 -14.0 7.7 -14.2 -5.0 -13.2 -4.0 2.3 -3.4 -1.6 -16.9 -20.0 13.5 -20.0 -1.7 -5.3 -0.0 -4.4 6.3 -6.6 4.5 -7.4 -0.0 -3.7 9.3 2.7 -2.6 -2.9 US10U 20.0 -8.0 -13.2 -4.0 4.3 -5.7 2.8 -6.1 -0.6 9.6 -14.2 7.3 -14.0 -6.5 -13.4 -0.1 5.4 0.4 2.1 -18.2 -20.0 11.4 -20.0 -3.7 -5.5 -0.0 -4.6 5.9 -6.5 3.9 -6.8 -0.5 2.2 6.4 -2.0 -4.5 -1.9 US20 18.6 -10.8 -16.3 -4.0 4.3 -5.7 2.8 -6.1 -0.6 11.2 -14.5 7.2 -14.1 -8.0 -13.6 1.6 3.0 1.8 2.2 -20.0 -20.0 9.7 -20.0 -8.1 -4.7 -0.0 -5.2 5.3 -6.1 2.8 -5.8 -1.7 -0.1 7.7 -14.5 -12.1 -6.8 US30 16.4 -10.9 -15.0 -4.0 4.3 -5.7 2.8 -6.1 -0.6 8.8 -15.3 6.0 -15.2 -9.3 -13.7 -2.1 0.4 -1.4 -0.8 -20.0 -20.0 3.5 -20.0 -11.1 -1.7 -0.0 -5.5 3.4 -6.5 1.3 -6.6 -2.6 -4.7 -2.8 -18.4 -9.9 -2.8 US5 20.0 -2.7 -10.5 -4.0 4.3 -5.7 2.8 -6.1 -0.6 10.5 -13.8 8.3 -14.4 -4.1 -12.8 -5.1 3.9 -4.2 -1.6 -16.5 -20.0 14.8 -20.0 -0.9 -3.7 -0.0 -4.3 6.7 -6.8 4.8 -8.3 0.2 -2.2 10.0 4.8 -2.7 -4.3 VIX -20.0 0.1 0.7 -2.5 -1.6 -1.1 -3.7 -1.2 -4.4 -2.0 -7.1 -11.9 -7.1 -10.8 -4.7 -5.2 -17.0 -5.3 -10.1 -7.4 -4.0 -11.1 -4.7 -13.0 NaN -0.0 -3.0 -1.9 -1.4 -4.3 -1.6 -5.2 NaN NaN NaN NaN NaN WHEAT -4.1 5.1 -5.1 -1.9 2.1 -2.8 2.7 0.4 0.7 -10.4 -9.8 -11.7 -5.3 -7.1 5.1 -3.7 -3.7 -3.6 -3.7 -2.0 -4.6 -7.7 -1.0 -4.2 -13.8 -0.0 -0.0 -3.5 1.5 -4.5 5.5 -2.3 -20.0 -20.0 -7.9 8.5 2.8 End of report for caleb_strategy_v1