******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221115_204247 produced at 2022-11-15 21:35:10.795028 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 40402515.62 -40402515.62 0.00 0.00 -4.59 999999999 0 0 caleb_strategy_v1 VIX False False 0.01 -0.06 -0.13 0.0 9352897.54 -9352897.54 -0.06 -0.07 -14.21 999999999 -6 -8 caleb_strategy_v1 US5 False False 0.04 -0.37 -0.13 0.0 36792961.58 -36792961.58 -0.37 -0.37 -3.40 999999999 -10 -10 caleb_strategy_v1 LIVECOW False False 0.02 -0.08 -0.12 0.0 20848954.48 -20848954.48 -0.08 -0.10 -5.71 999999999 -4 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.10 0.0 38347518.78 -38347518.78 0.00 0.00 -2.56 999999999 0 0 caleb_strategy_v1 US30 False False 0.04 -0.22 -0.09 0.0 44954386.86 -44954386.86 -0.22 -0.18 -2.05 999999999 -5 -4 caleb_strategy_v1 US20 False False 0.04 -0.08 -0.08 0.0 42441540.98 -42441540.98 -0.08 -0.08 -1.99 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.08 0.0 30609870.05 -30609870.05 -0.06 -0.09 -2.76 999999999 -2 -3 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.07 0.0 45335572.80 -45335572.80 -0.09 -0.09 -1.55 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.06 0.0 28507911.37 -28507911.37 0.00 -0.03 -1.97 999999999 0 -1 caleb_strategy_v1 JPY False False 0.03 -0.18 -0.04 0.0 30722735.16 -30722735.16 -0.18 -0.12 -1.29 999999999 -6 -4 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.03 0.0 52711665.77 -52711665.77 0.00 0.00 -0.55 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.02 0.0 44243123.71 -44243123.71 -0.04 0.00 -0.54 999999999 -1 0 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.02 0.0 25649767.83 -25649767.83 -0.03 -0.08 -0.73 999999999 -1 -3 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 23090924.09 -23090924.09 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14953562.51 -14953562.51 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6068991.29 -6068991.29 0.00 0.00 -2.02 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6129640.32 -6129640.32 0.00 0.00 -1.14 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 81310581.76 -81310581.76 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.01 0.0 3233649.33 -3233649.33 -0.02 -0.00 -2.81 999999999 -6 -1 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 22072156.75 -22072156.75 0.00 0.00 -0.53 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 71688511.57 -71688511.57 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 16273871.36 -16273871.36 -0.02 -0.02 -0.31 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8511307.13 -8511307.13 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10093974.12 -10093974.12 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14821531.62 -14821531.62 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20584040.90 -20584040.90 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 87075646.47 -87075646.47 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 68302558.23 -68302558.23 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 569862.34 -569862.34 0.00 0.00 5.38 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 -0.01 -0.00 0.0 13805774.10 -13805774.10 -0.01 -0.01 -0.26 999999999 -1 -1 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10455994.29 -10455994.29 0.02 0.02 0.22 999999999 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.00 0.0 21031242.29 -21031242.29 0.00 0.02 0.13 999999999 0 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4554712.52 -4554712.52 0.00 0.00 2.52 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17463852.95 -17463852.95 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 25298821.22 -25298821.22 0.03 0.03 0.29 999999999 1 1 caleb_strategy_v1 DOW False False 0.01 0.01 0.01 0.0 5730992.23 -5730992.23 0.01 0.02 1.30 999999999 2 4 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5078197.89 -5078197.89 0.00 0.00 4.13 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7742904.41 -7742904.41 0.02 0.02 2.89 999999999 2 2 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.0 23441792.95 -23441792.95 0.05 0.07 1.05 999999999 2 3 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.02 0.0 14813354.23 -14813354.23 0.01 0.01 1.11 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 32526447.41 -32526447.41 0.00 0.03 0.58 999999999 0 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 18516266.88 -18516266.88 0.00 0.00 0.85 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8746407.28 -8746407.28 0.00 0.00 3.47 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.04 0.03 0.0 35285262.57 -35285262.57 0.04 0.04 0.89 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.03 0.0 26838897.61 -26838897.61 0.05 0.05 0.97 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.04 0.0 13703954.07 -13703954.07 0.07 0.07 2.98 999999999 5 5 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 47635596.21 -47635596.21 0.00 0.00 1.10 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.12 0.05 0.0 41658533.16 -41658533.16 0.12 0.12 1.17 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.06 0.0 33697689.14 -33697689.14 0.00 0.00 1.71 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.06 0.0 12269502.38 -12269502.38 0.05 0.05 4.84 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.06 0.0 48845839.62 -48845839.62 0.10 0.10 1.28 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.05 0.08 0.0 6854169.70 -6854169.70 0.05 0.03 12.12 999999999 7 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.10 0.0 23837963.36 -23837963.36 0.05 0.05 4.36 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.16 0.0 49469508.13 -49469508.13 0.10 0.10 3.15 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.25 0.36 0.0 42442468.44 -42442468.44 0.25 0.21 8.48 999999999 6 5 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 10.3 Shocked risk 26.7 Sum abs risk 37.9 Leverage 2.44 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2934919.35, 'annual_cash_vol_target': 733729.8375, 'daily_cash_vol_target': 45858.11484375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0070 0.6777 1.0398 16.6375 BITCOIN 1188.0082 16725.0000 7.1032 113.6510 BOBL 0.4455 119.6500 0.3724 5.9578 BTP 1.1316 117.4400 0.9635 15.4163 BUND 0.9462 139.4600 0.6785 10.8560 BUXL 2.3494 148.6000 1.5810 25.2964 CAC 67.2372 6608.5000 1.0174 16.2790 CAD 0.0048 0.7528 0.6433 10.2922 CANOLA 8.1475 886.5000 0.9191 14.7050 CHF 0.0087 1.0644 0.8137 13.0194 COCOA 33.3754 2498.0000 1.3361 21.3774 COFFEE 0.0398 1.6110 2.4685 39.4962 COPPER 0.0754 3.8185 1.9739 31.5821 CORN 5.2352 613.7500 0.8530 13.6479 COTTON2 0.0215 0.8700 2.4704 39.5257 CRUDE_W 1.5276 78.7700 1.9393 31.0293 DAX 149.0416 14316.0000 1.0411 16.6573 DOW 393.1402 33640.0000 1.1687 18.6987 EUR 0.0084 1.0388 0.8105 12.9685 EUROSTX 41.6692 3892.0000 1.0706 17.1302 FEEDCOW 1.3698 179.6750 0.7624 12.1979 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 19.9199 989.0000 2.0141 32.2263 GASOILINE 0.0524 2.4657 2.1233 33.9726 GAS_US 0.2437 6.4780 3.7622 60.1953 GBP 0.0132 1.1880 1.1143 17.8281 GOLD_micro 18.1433 1781.2000 1.0186 16.2976 HEATOIL 0.0650 3.4133 1.9049 30.4781 JPY 0.0001 0.0072 0.9786 15.6571 LEANHOG 1.2710 90.0250 1.4118 22.5886 LIVECOW 0.8876 152.9750 0.5802 9.2837 MXP 0.0003 0.0513 0.6423 10.2761 NASDAQ 227.1732 11932.0000 1.9039 30.4624 NZD 0.0062 0.6172 1.0051 16.0816 OAT 0.9844 134.2900 0.7330 11.7282 OJ 0.0380 1.9750 1.9248 30.7964 PALLAD 48.3333 2104.0000 2.2972 36.7553 PLAT 20.0060 1025.1000 1.9516 31.2258 REDWHEAT 16.7592 955.2500 1.7544 28.0710 ROBUSTA 25.4720 1799.0000 1.4159 22.6544 RUSSELL 31.9325 1898.1000 1.6823 26.9175 SILVER-mini 0.4498 21.7375 2.0692 33.1068 SOYBEAN 12.8219 1399.2500 0.9163 14.6614 SOYMEAL 5.0969 402.2000 1.2673 20.2760 SOYOIL 0.8779 72.4600 1.2116 19.3855 SP400 38.9087 2555.6000 1.5225 24.3598 SP500 59.5080 4009.2500 1.4843 23.7483 SUGAR11 0.0024 0.2029 1.1772 18.8357 US10 0.5851 112.5469 0.5198 8.3176 US10U 0.8034 118.5781 0.6775 10.8406 US20 1.1544 124.5625 0.9267 14.8276 US30 1.6627 131.9375 1.2602 20.1633 US5 0.3934 107.9844 0.3643 5.8294 VIX 0.5375 27.4500 1.9581 31.3299 WHEAT 14.0869 877.7500 1.6049 25.6782 ========================================================================================================================================== Subsystem position ========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.70 1.04 704.70 1.00 704.70 45858.11 65.07 -3.52 -22.90 BITCOIN 16.73 7.10 118.80 1.00 118.80 45858.11 386.01 5.47 210.98 BOBL 1196.50 0.37 445.53 1.03 459.67 45858.11 99.76 10.88 108.56 BTP 1174.40 0.96 1131.55 1.03 1167.46 45858.11 39.28 13.58 53.36 BUND 1394.60 0.68 946.23 1.03 976.26 45858.11 46.97 8.58 40.30 BUXL 1486.00 1.58 2349.40 1.03 2423.95 45858.11 18.92 -3.20 -6.05 CAC 660.85 1.02 672.37 1.03 693.71 45858.11 66.11 5.23 34.57 CAD 752.80 0.64 484.25 1.00 484.25 45858.11 94.70 -3.97 -37.56 CANOLA 177.30 0.92 162.95 0.75 122.63 45858.11 373.96 6.77 253.22 CHF 1330.56 0.81 1082.70 1.00 1082.70 45858.11 42.36 -9.02 -38.20 COCOA 249.80 1.34 333.75 1.00 333.75 45858.11 137.40 -0.66 -9.10 COFFEE 604.12 2.47 1491.29 1.00 1491.29 45858.11 30.75 -3.43 -10.56 COPPER 954.62 1.97 1884.32 1.00 1884.32 45858.11 24.34 8.02 19.53 CORN 306.88 0.85 261.76 1.00 261.76 45858.11 175.19 1.27 22.20 COTTON2 435.00 2.47 1074.60 1.00 1074.60 45858.11 42.67 -2.61 -11.14 CRUDE_W 787.70 1.94 1527.61 1.00 1527.61 45858.11 30.02 2.26 6.79 DAX 143.16 1.04 149.04 1.03 153.77 45858.11 298.22 2.36 70.29 DOW 168.20 1.17 196.57 1.00 196.57 45858.11 233.29 1.80 42.04 EUR 1298.50 0.81 1052.48 1.00 1052.48 45858.11 43.57 -3.04 -13.25 EUROSTX 389.20 1.07 416.69 1.03 429.91 45858.11 106.67 -0.79 -8.40 FEEDCOW 898.38 0.76 684.89 1.00 684.89 45858.11 66.96 -14.15 -94.75 FTSE100 706.85 0.82 576.59 1.18 666.67 45858.11 68.79 -2.56 -17.63 GASOIL 989.00 2.01 1991.99 1.00 1991.99 45858.11 23.02 9.63 22.18 GASOILINE 1035.59 2.12 2198.86 1.00 2198.86 45858.11 20.86 9.58 19.98 GAS_US 647.80 3.76 2437.16 1.00 2437.16 45858.11 18.82 -17.19 -32.34 GBP 742.50 1.11 827.34 1.00 827.34 45858.11 55.43 2.66 14.77 GOLD_micro 178.12 1.02 181.43 1.00 181.43 45858.11 252.76 -3.29 -83.28 HEATOIL 1433.59 1.90 2730.81 1.00 2730.81 45858.11 16.79 9.90 16.62 JPY 901.69 0.98 882.36 1.00 882.36 45858.11 51.97 -3.53 -18.36 LEANHOG 360.10 1.41 508.38 1.00 508.38 45858.11 90.20 10.61 95.74 LIVECOW 611.90 0.58 355.04 1.00 355.04 45858.11 129.16 -15.20 -196.33 MXP 256.70 0.64 164.87 1.00 164.87 45858.11 278.15 9.41 261.77 NASDAQ 2386.40 1.90 4543.46 1.00 4543.46 45858.11 10.09 -2.32 -2.34 NZD 617.25 1.01 620.40 1.00 620.40 45858.11 73.92 1.05 7.74 OAT 1342.90 0.73 984.36 1.03 1015.60 45858.11 45.15 11.11 50.18 OJ 296.25 1.92 570.22 1.00 570.22 45858.11 80.42 -1.05 -8.48 PALLAD 2104.00 2.30 4833.33 1.00 4833.33 45858.11 9.49 -4.12 -3.91 PLAT 512.55 1.95 1000.30 1.00 1000.30 45858.11 45.84 5.77 26.44 REDWHEAT 477.62 1.75 837.96 1.00 837.96 45858.11 54.73 -9.72 -53.21 ROBUSTA 179.90 1.42 254.72 1.00 254.72 45858.11 180.03 -4.52 -81.41 RUSSELL 94.90 1.68 159.66 1.00 159.66 45858.11 287.22 -1.75 -50.14 SILVER-mini 543.44 2.07 1124.47 1.00 1124.47 45858.11 40.78 8.64 35.24 SOYBEAN 699.62 0.92 641.09 1.00 641.09 45858.11 71.53 9.56 68.39 SOYMEAL 402.20 1.27 509.69 1.00 509.69 45858.11 89.97 5.20 46.77 SOYOIL 434.76 1.21 526.75 1.00 526.75 45858.11 87.06 12.82 111.60 SP400 2555.60 1.52 3890.87 1.00 3890.87 45858.11 11.79 -0.42 -0.49 SP500 2004.62 1.48 2975.40 1.00 2975.40 45858.11 15.41 -0.58 -0.90 SUGAR11 227.25 1.18 267.52 1.00 267.52 45858.11 171.42 11.49 196.95 US10 1125.47 0.52 585.07 1.00 585.07 45858.11 78.38 -7.86 -61.59 US10U 1185.78 0.68 803.41 1.00 803.41 45858.11 57.08 -5.10 -29.09 US20 1245.62 0.93 1154.35 1.00 1154.35 45858.11 39.73 -6.30 -25.01 US30 1319.38 1.26 1662.68 1.00 1662.68 45858.11 27.58 -8.18 -22.56 US5 1079.84 0.36 393.43 1.00 393.43 45858.11 116.56 -7.03 -81.98 VIX 274.50 1.96 537.50 1.00 537.50 45858.11 85.32 -8.17 -69.67 WHEAT 438.88 1.60 704.34 1.00 704.34 45858.11 65.11 -12.22 -79.56 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -22.904 0.007 2.5 -0.396 BITCOIN 210.975 0.010 2.5 5.379 BOBL 108.560 0.031 2.5 8.478 BTP 53.360 0.009 2.5 1.166 BUND 40.304 0.031 2.5 3.147 BUXL -6.047 0.036 2.5 -0.549 CAC 34.570 0.012 2.5 1.052 CAD -37.565 0.008 2.5 -0.726 CANOLA 253.221 0.004 2.5 2.516 CHF -38.201 0.016 2.5 -1.547 COCOA -9.104 0.009 2.5 -0.215 COFFEE -10.559 0.006 2.5 -0.148 COPPER 19.528 0.012 2.5 0.578 CORN 22.199 0.004 2.5 0.217 COTTON2 -11.138 0.007 2.5 -0.182 CRUDE_W 6.787 0.057 2.5 0.970 DAX 70.286 0.024 2.5 4.131 DOW 42.043 0.012 2.5 1.297 EUR -13.251 0.016 2.5 -0.537 EUROSTX -8.403 0.012 2.5 -0.256 FEEDCOW -94.750 0.012 2.5 -2.755 FTSE100 -17.631 0.045 2.5 -1.967 GASOIL 22.177 0.031 2.5 1.712 GASOILINE 19.976 0.018 2.5 0.888 GAS_US -32.345 0.007 2.5 -0.527 GBP 14.767 0.008 2.5 0.285 GOLD_micro -83.277 0.010 2.5 -2.016 HEATOIL 16.620 0.031 2.5 1.283 JPY -18.355 0.028 2.5 -1.286 LEANHOG 95.744 0.020 2.5 4.841 LIVECOW -196.325 0.012 2.5 -5.709 MXP 261.769 0.005 2.5 3.468 NASDAQ -2.342 0.024 2.5 -0.138 NZD 7.739 0.007 2.5 0.134 OAT 50.178 0.009 2.5 1.097 OJ -8.476 0.008 2.5 -0.160 PALLAD -3.913 0.010 2.5 -0.102 PLAT 26.439 0.010 2.5 0.689 REDWHEAT -53.209 0.002 2.5 -0.307 ROBUSTA -81.414 0.006 2.5 -1.142 RUSSELL -50.136 0.022 2.5 -2.810 SILVER-mini 35.244 0.010 2.5 0.853 SOYBEAN 68.386 0.026 2.5 4.364 SOYMEAL 46.765 0.026 2.5 2.984 SOYOIL 111.602 0.004 2.5 1.109 SP400 -0.494 0.022 2.5 -0.028 SP500 -0.901 0.012 2.5 -0.028 SUGAR11 196.954 0.006 2.5 2.892 US10 -61.595 0.017 2.5 -2.557 US10U -29.095 0.063 2.5 -4.588 US20 -25.008 0.032 2.5 -1.995 US30 -22.565 0.036 2.5 -2.050 US5 -81.975 0.017 2.5 -3.403 VIX -69.669 0.082 2.5 -14.209 WHEAT -79.559 0.002 2.5 -0.460 ==================== Position diags ==================== AUD 1.13 BITCOIN 9.84 BOBL 7.79 BTP 0.86 BUND 3.67 BUXL 1.72 CAC 2.01 CAD 1.83 CANOLA 3.71 CHF 1.72 COCOA 3.24 COFFEE 0.43 COPPER 0.72 CORN 1.71 COTTON2 0.70 CRUDE_W 4.29 DAX 17.53 DOW 7.19 EUR 1.76 EUROSTX 3.25 FEEDCOW 1.95 FTSE100 7.67 GASOIL 1.78 GASOILINE 0.93 GAS_US 0.31 GBP 1.07 GOLD_micro 6.12 HEATOIL 1.30 JPY 3.64 LEANHOG 4.56 LIVECOW 3.76 MXP 3.69 NASDAQ 0.59 NZD 1.28 OAT 0.99 OJ 1.52 PALLAD 0.25 PLAT 1.19 REDWHEAT 0.32 ROBUSTA 2.53 RUSSELL 16.10 SILVER-mini 0.99 SOYBEAN 4.56 SOYMEAL 5.74 SOYOIL 0.86 SP400 0.66 SP500 0.48 SUGAR11 2.52 US10 3.25 US10U 9.00 US20 3.17 US30 2.51 US5 4.84 VIX 17.40 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.4 -0.5 -0.3 0.0 0 BITCOIN 5.4 4.4 6.4 NaN 0 BOBL 8.5 7.7 9.3 6.0 6 BTP 1.2 1.1 1.3 3.0 3 BUND 3.1 2.8 3.5 2.0 2 BUXL -0.5 -0.7 -0.4 0.0 0 CAC 1.1 0.9 1.3 2.0 2 CAD -0.7 -0.9 -0.5 -1.0 -1 CANOLA 2.5 2.1 2.9 NaN 0 CHF -1.5 -1.7 -1.4 -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 0.6 NaN 0 CORN 0.2 0.0 0.4 2.0 2 COTTON2 -0.2 -0.3 -0.1 NaN 0 CRUDE_W 1.0 0.5 1.4 2.0 2 DAX 4.1 2.4 5.9 NaN 0 DOW 1.3 0.6 2.0 2.0 2 EUR -0.5 -0.7 -0.4 -1.0 -1 EUROSTX -0.3 -0.6 0.1 -1.0 -1 FEEDCOW -2.8 -3.0 -2.6 -2.0 -2 FTSE100 -2.0 -2.7 -1.2 0.0 0 GASOIL 1.7 1.5 1.9 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 0.3 0.2 0.4 1.0 1 GOLD_micro -2.0 -2.6 -1.4 0.0 0 HEATOIL 1.3 1.2 1.4 2.0 2 JPY -1.3 -1.6 -0.9 -6.0 -6 LEANHOG 4.8 4.4 5.3 4.0 4 LIVECOW -5.7 -6.1 -5.3 -4.0 -4 MXP 3.5 3.1 3.8 NaN 0 NASDAQ -0.1 -0.2 -0.1 0.0 0 NZD 0.1 0.0 0.3 NaN 0 OAT 1.1 1.0 1.2 0.0 0 OJ -0.2 -0.3 -0.0 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 -2.8 -4.4 -1.2 -6.0 -6 SILVER-mini 0.9 0.8 1.0 NaN 0 SOYBEAN 4.4 3.9 4.8 2.0 2 SOYMEAL 3.0 2.4 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 -0.0 -0.1 0.0 NaN 0 SUGAR11 2.9 2.6 3.1 2.0 2 US10 -2.6 -2.9 -2.2 NaN 0 US10U -4.6 -5.5 -3.7 0.0 0 US20 -2.0 -2.3 -1.7 -2.0 -2 US30 -2.0 -2.3 -1.8 -5.0 -5 US5 -3.4 -3.9 -2.9 -10.0 -10 VIX -14.2 -15.9 -12.5 -6.0 -6 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 0.1 -0.1 -0.0 0.1 -0.1 0.2 -0.1 0.1 0.1 -0.3 0.1 -0.3 0.0 -0.2 -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 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 0.1 -0.0 0.0 -0.0 -0.1 -0.2 -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 -0.3 -0.2 BOBL 0.2 0.1 -0.3 -0.1 0.0 -0.1 0.1 -0.1 0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.2 0.0 -0.2 -0.0 1.3 -0.0 -0.0 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 -0.2 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 -0.3 -0.1 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 0.9 0.7 0.3 0.3 -0.2 -0.2 0.0 -0.3 -0.0 1.0 -0.0 -0.0 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 0.9 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.1 -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 0.0 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 -1.3 -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 0.1 -0.2 -0.0 0.0 -0.1 0.2 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.1 -0.1 -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 0.1 0.1 -0.0 0.0 -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 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 -2.2 0.2 -0.0 -0.0 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 -0.3 -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 1.9 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -1.3 -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 0.0 0.2 0.1 0.1 CORN -0.1 0.1 0.3 -0.0 0.0 -0.1 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.3 1.4 0.5 0.3 0.3 0.0 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 0.3 0.7 0.2 0.3 -0.0 -0.1 0.0 -0.0 0.0 -1.6 -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 0.1 0.0 0.0 0.1 0.0 0.8 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -2.7 0.0 0.3 0.1 0.1 DAX 0.3 0.3 0.1 0.0 0.0 -0.1 0.2 -0.1 0.1 0.0 -0.1 0.1 -0.2 0.1 0.2 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 0.0 -0.1 0.0 -0.6 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.2 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 -0.0 0.1 -0.1 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 -0.0 0.4 0.3 0.2 EUR 0.2 0.3 0.2 -0.0 0.1 -0.1 0.2 -0.1 0.1 0.0 -0.3 0.0 -0.4 0.0 0.0 -0.5 -0.3 -0.1 -0.2 0.0 -0.1 0.0 -0.2 0.0 0.8 -0.0 0.0 0.0 -0.1 0.0 -0.1 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 0.1 0.0 0.0 0.0 -0.0 0.0 0.6 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 -0.1 -0.0 -0.0 0.0 -0.1 -1.4 -0.8 -0.4 -0.4 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.0 0.1 -0.1 -0.2 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 0.2 -0.1 -0.0 -0.0 0.0 -0.1 0.2 -0.0 -0.0 0.2 -0.0 0.3 0.0 0.1 1.7 0.9 0.4 0.4 0.1 0.1 -0.0 0.3 0.0 -0.5 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 -0.0 -0.0 0.2 0.2 GASOILINE 0.1 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 1.2 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 0.8 0.0 0.3 0.2 0.0 GAS_US 0.2 -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 -0.1 -0.3 0.1 GBP 0.2 0.3 0.2 -0.0 0.0 -0.1 0.2 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.1 0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.2 0.0 2.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 -0.3 -0.1 -0.2 GOLD_micro 0.2 0.3 -0.1 0.0 0.1 -0.0 0.2 -0.0 0.1 0.0 -0.3 0.1 -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 -0.1 0.2 -0.0 -0.0 0.1 -0.0 0.3 0.0 0.1 1.7 0.9 0.5 0.5 0.1 0.1 -0.0 0.2 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 0.3 0.1 -0.0 0.1 -0.1 0.2 -0.1 0.1 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.9 -0.4 -0.3 -0.2 -0.1 -0.2 0.0 -0.3 0.0 2.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -2.0 0.2 0.0 0.0 -0.1 LEANHOG 0.1 0.2 -0.1 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.1 0.0 -0.0 0.0 0.2 -1.1 0.8 0.4 0.4 0.1 0.0 0.0 0.0 0.0 0.8 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.7 -0.0 0.3 0.1 0.1 LIVECOW -0.0 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 0.1 -1.6 -0.8 -0.4 -0.4 0.0 0.0 -0.0 -0.0 -0.0 -1.9 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -2.8 -0.0 0.1 0.1 0.1 MXP 0.1 0.1 0.2 -0.0 0.0 -0.1 0.1 -0.1 0.1 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 -0.0 0.3 0.3 NASDAQ 0.2 0.1 -0.0 0.0 0.1 -0.1 0.2 -0.1 0.1 0.1 -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 1.4 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 -0.5 -0.0 -0.3 -0.2 -0.1 NZD 0.2 0.2 -0.1 -0.0 0.0 -0.1 0.2 -0.1 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 -0.2 0.0 0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.4 0.0 0.2 0.0 -0.0 OAT 0.2 0.1 -0.1 -0.1 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.3 1.4 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 0.2 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 0.3 0.3 0.3 PALLAD -0.1 -0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.1 -0.0 -0.1 -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 0.1 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 0.1 0.2 0.2 REDWHEAT -0.0 0.1 -0.0 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.2 -0.0 -0.1 -0.0 0.1 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 -0.2 -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 0.8 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -1.4 -0.0 -0.4 -0.3 -0.1 RUSSELL 0.3 0.2 0.1 0.0 0.1 -0.1 0.2 -0.1 0.1 0.1 -0.2 0.1 -0.3 0.0 -0.1 -0.2 -0.1 -0.1 -0.1 0.0 -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 -0.2 -0.1 0.0 0.1 SILVER-mini 0.2 0.3 0.2 0.0 0.0 -0.0 0.2 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.1 0.2 -0.3 -0.1 -0.1 -0.1 0.1 -0.0 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 0.2 -0.0 SOYBEAN 0.1 0.1 0.0 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.2 1.2 0.8 0.4 0.4 0.1 0.0 0.0 0.1 0.0 -2.6 -0.0 0.1 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 0.1 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 0.0 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.2 0.1 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 0.2 -0.0 0.0 0.1 -0.1 0.2 -0.1 0.1 0.1 -0.2 0.0 -0.3 0.0 -0.1 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 0.0 0.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 -0.0 -0.0 -0.0 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 -1.5 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.2 0.0 0.4 0.3 0.1 US10 0.2 -0.1 -0.2 -0.1 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.4 -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 -0.0 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 -0.2 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 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.0 -0.0 -0.1 -0.0 US20 0.2 -0.1 -0.3 -0.1 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 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 -0.1 -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 -0.2 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 -0.6 -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 -0.1 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.2 -1.0 -1.4 -0.2 -0.4 -0.1 -0.1 -0.0 -0.1 -0.0 NaN -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 NaN NaN NaN NaN NaN WHEAT -0.0 0.1 -0.1 -0.0 0.0 -0.1 0.1 0.0 0.0 -0.0 -0.2 -0.0 -0.1 -0.0 0.1 -0.3 -0.2 -0.1 -0.1 -0.0 -0.1 -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 0.1 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 4.4 -7.6 -0.5 8.1 -3.8 7.9 -4.8 4.3 14.0 -12.0 14.8 -12.4 6.2 -6.6 -2.7 -1.7 -2.4 -2.0 -3.6 -11.6 20.0 -11.7 11.6 -3.1 -0.0 -1.8 9.6 -4.8 8.2 -4.9 3.7 -0.2 -0.5 -0.7 -8.9 -3.7 BITCOIN 6.5 20.0 14.5 1.7 8.5 -0.6 9.3 -0.7 5.9 -8.8 -15.7 -7.1 -15.7 -4.5 -9.5 1.1 -1.3 0.3 -0.3 -6.9 -12.7 -14.7 -17.9 -8.9 20.0 -0.0 -3.8 -10.4 -4.4 -10.8 -4.3 -6.5 1.0 -20.0 -20.0 -19.4 -10.7 BOBL 20.0 4.7 -17.2 -3.6 4.9 -5.6 3.6 -6.2 0.1 1.4 -13.6 -0.1 -12.8 -5.9 -13.6 20.0 19.4 20.0 20.0 -15.1 -20.0 2.7 -20.0 -4.0 8.7 -0.0 -4.4 1.8 -8.0 1.4 -10.1 -0.6 20.0 -20.0 -2.6 6.5 -3.2 BTP 20.0 14.8 -0.7 -3.6 4.9 -5.6 3.6 -6.2 0.1 8.7 -11.1 10.2 -12.7 7.8 -6.9 20.0 14.6 20.0 19.1 -2.9 -14.3 14.8 -20.0 9.1 7.4 -0.0 -1.1 5.6 -6.4 5.6 -10.0 3.6 20.0 -2.2 20.0 19.3 12.6 BUND 20.0 5.7 -14.6 -3.6 4.9 -5.6 3.6 -6.2 0.1 5.0 -13.0 6.2 -13.0 -1.9 -12.3 11.4 16.4 14.0 15.5 -14.2 -20.0 7.3 -20.0 -1.1 8.2 -0.0 -4.1 3.1 -7.4 2.6 -9.1 0.1 20.0 -11.7 4.5 4.4 -2.6 BUXL 20.0 0.8 -9.0 -3.6 4.9 -5.6 3.6 -6.2 0.1 5.2 -12.8 9.0 -13.1 -1.5 -10.8 5.4 -3.7 5.5 0.9 -13.3 -20.0 8.6 -20.0 0.1 7.0 -0.0 -4.1 2.9 -7.0 2.6 -8.1 0.1 -8.3 -6.0 8.5 2.2 1.7 CAC 20.0 20.0 -1.3 0.6 6.0 -2.1 6.4 -2.4 4.3 12.4 2.8 15.1 -5.2 15.4 8.2 1.3 4.5 1.6 2.7 15.8 3.4 20.0 -0.8 20.0 -11.2 -0.0 3.9 5.3 0.6 7.4 -0.5 7.0 7.8 14.2 15.6 20.0 13.0 CAD 20.0 6.8 -11.9 -0.5 8.1 -3.8 7.9 -4.8 4.3 11.8 -10.7 13.6 -12.1 6.5 -6.3 -1.9 -0.7 -1.6 -1.1 -3.4 -11.6 19.2 -11.0 10.8 -3.9 -0.0 -1.8 5.7 -5.1 6.5 -5.0 3.5 1.4 -8.6 -4.4 -8.5 -8.6 CANOLA 6.1 20.0 -6.4 -1.6 4.2 -2.7 3.4 0.4 1.1 -1.2 -8.6 6.0 -0.7 13.8 10.3 19.0 13.7 10.4 9.3 8.2 -4.5 4.8 1.4 11.0 1.5 -0.0 4.5 2.1 1.8 2.9 3.0 4.5 -1.2 0.3 8.0 20.0 20.0 CHF 20.0 3.4 2.9 -0.5 8.1 -3.8 7.9 -4.8 4.3 13.3 -9.1 14.1 -10.5 5.3 -3.8 -11.8 -11.2 -12.2 -12.1 1.6 -5.5 20.0 -7.7 16.2 -2.7 -0.0 -0.0 13.2 -3.2 11.7 -4.7 5.6 -17.1 20.0 -1.1 -2.6 6.1 COCOA 19.7 12.9 2.1 -2.0 1.2 -2.8 2.2 0.4 0.5 7.7 -7.7 12.0 -10.9 12.2 6.4 2.5 -3.3 1.1 -1.0 8.2 -2.1 20.0 -7.8 19.1 7.7 -0.0 3.6 4.0 -0.1 8.6 -2.1 7.4 -20.0 20.0 20.0 20.0 7.5 COFFEE -20.0 -20.0 -15.3 -1.6 4.2 -2.7 3.4 0.4 1.1 -11.1 -11.2 -13.4 -3.3 -15.4 -14.3 4.9 5.1 8.2 7.9 -20.0 -19.2 -20.0 -5.9 -20.0 11.8 -0.0 -5.5 -2.4 -3.5 -3.6 -1.0 -5.6 -9.3 -20.0 -20.0 -20.0 -20.0 COPPER 20.0 20.0 10.8 1.7 8.5 -0.6 9.3 -0.7 5.9 8.6 -10.5 11.7 -10.5 10.3 5.8 0.7 0.3 0.8 0.4 6.2 -5.7 20.0 -10.1 17.6 18.0 -0.0 2.5 6.5 -1.8 9.3 -2.9 7.2 2.9 1.8 9.7 4.0 4.0 CORN -12.2 4.2 17.5 -1.6 4.2 -2.7 3.4 0.4 1.1 -7.2 2.2 -11.6 5.6 -7.9 11.7 17.5 13.1 14.2 12.7 3.8 9.1 -12.1 16.0 -6.2 -20.0 -0.0 0.1 -4.3 4.4 -7.6 9.9 -4.8 1.2 -20.0 -17.1 0.7 15.5 COTTON2 19.1 -16.4 -20.0 -1.6 4.2 -2.7 3.4 0.4 1.1 12.5 -11.8 13.1 0.7 -2.3 -10.2 3.8 18.7 9.0 15.5 -13.8 -15.4 12.6 -2.4 1.1 -6.4 -0.0 -3.3 3.3 -3.0 3.4 1.5 0.5 10.3 20.0 1.8 -20.0 -16.5 CRUDE_W 10.0 12.1 -11.1 -0.9 -3.0 0.5 -2.1 6.7 -0.6 -1.6 -4.8 2.2 4.3 11.5 6.1 8.0 14.3 9.1 11.9 4.3 0.3 3.7 5.9 7.1 7.0 -0.0 2.4 1.6 1.9 1.9 7.1 3.4 -20.0 8.1 13.5 7.6 7.8 DAX 20.0 20.0 3.0 0.6 6.0 -2.1 6.4 -2.4 4.3 13.9 -2.7 15.8 -9.1 15.3 7.8 -3.6 -1.2 -3.0 -2.1 17.3 -0.3 20.0 -9.3 20.0 -3.9 -0.0 4.1 7.5 0.2 9.0 -2.2 7.7 -1.2 20.0 20.0 20.0 14.0 DOW 20.0 20.0 2.1 0.6 6.0 -2.1 6.4 -2.4 4.3 11.7 -1.7 14.4 -5.7 14.2 5.9 -4.7 -1.4 -4.1 -3.1 12.8 0.5 20.0 -4.3 20.0 -3.4 -0.0 3.3 4.0 0.1 6.1 -0.9 6.2 -2.2 -0.0 20.0 19.0 11.3 EUR 20.0 20.0 12.2 -0.5 8.1 -3.8 7.9 -4.8 4.3 13.8 -10.4 14.0 -13.7 11.6 1.5 -7.0 -8.3 -7.8 -8.3 3.5 -9.2 20.0 -16.5 17.0 5.9 -0.0 0.8 10.4 -5.1 10.1 -9.2 6.4 -11.4 3.0 -1.8 8.5 1.9 EUROSTX 20.0 20.0 1.9 0.6 6.0 -2.1 6.4 -2.4 4.3 14.1 0.4 15.8 -7.7 15.6 8.0 -0.8 2.8 -0.2 0.9 17.2 2.4 20.0 -4.4 20.0 -10.1 -8.2 4.2 7.3 0.8 8.7 -1.1 7.6 4.8 20.0 20.0 20.0 15.6 FEEDCOW 7.0 -4.6 -7.5 -1.6 4.2 -2.7 3.4 0.4 1.1 -10.7 -2.5 -4.4 -2.0 0.1 -6.6 -18.2 -20.0 -17.0 -20.0 -4.6 -5.2 -4.5 -3.1 -2.0 -0.9 -0.0 -2.8 -6.3 -3.0 -2.3 -1.6 -1.2 -20.0 -13.6 3.7 -10.3 -11.7 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 -0.6 10.0 -6.4 -0.9 -3.0 0.5 -2.1 6.7 -0.6 -7.6 7.2 -7.1 11.2 4.4 5.4 20.0 20.0 20.0 20.0 6.5 11.0 -3.6 20.0 2.4 -4.6 -0.0 2.6 -2.6 4.5 -1.7 10.1 0.9 0.0 -1.4 -1.6 13.9 15.6 GASOILINE 12.5 11.9 -20.0 -0.9 -3.0 0.5 -2.1 6.7 -0.6 -11.4 -5.5 -0.6 5.1 8.4 2.3 14.9 20.0 20.0 20.0 3.4 1.3 -1.1 11.2 5.7 -1.7 -0.0 2.6 -4.2 2.8 -0.5 9.9 3.0 6.1 1.2 15.9 12.4 2.9 GAS_US 13.5 -20.0 -17.9 -0.9 -3.0 0.5 -2.1 6.7 -0.6 -6.8 -6.8 0.1 2.1 -9.4 -11.4 -20.0 -12.0 -20.0 -17.1 -15.9 -9.6 -2.6 2.7 -9.7 -10.7 -0.0 -3.8 -0.1 -0.6 -0.6 4.9 -2.6 -20.0 10.0 -5.7 -20.0 4.5 GBP 20.0 19.6 10.4 -0.5 8.1 -3.8 7.9 -4.8 4.3 13.2 -8.3 12.8 -11.7 12.7 0.6 -1.7 -1.4 -1.7 -1.7 1.0 -9.3 17.2 -13.6 11.1 15.5 -0.0 -2.2 6.1 -7.1 5.3 -8.9 2.6 0.2 -20.0 -13.5 -3.8 -12.1 GOLD_micro 20.0 16.5 -5.9 1.7 8.5 -0.6 9.3 -0.7 5.9 14.1 -12.2 14.6 -12.2 8.4 -3.9 -9.7 -7.5 -9.7 -8.9 1.2 -9.5 20.0 -10.6 18.0 10.5 -0.0 0.5 10.4 -2.6 10.7 -2.6 6.1 -11.5 13.3 3.2 -2.2 -9.8 HEATOIL 1.6 9.9 -12.2 -0.9 -3.0 0.5 -2.1 6.7 -0.6 -6.5 5.2 -5.3 10.2 8.6 5.5 20.0 20.0 20.0 20.0 6.1 9.3 -3.0 18.8 3.0 -14.7 -0.0 3.0 -1.1 6.2 -1.6 14.4 1.1 7.2 2.6 1.0 10.1 17.5 JPY 20.0 20.0 5.3 -0.5 8.1 -3.8 7.9 -4.8 4.3 11.5 -14.1 12.5 -15.4 5.6 -9.3 -12.5 -9.8 -12.7 -11.7 -5.1 -17.8 20.0 -20.0 12.0 20.0 -0.0 -2.0 10.3 -6.6 9.5 -9.6 4.1 -15.5 20.0 2.1 0.1 -7.6 LEANHOG 9.2 12.0 -3.8 -1.6 4.2 -2.7 3.4 0.4 1.1 13.0 -3.9 5.7 -0.8 12.0 8.8 -14.2 20.0 20.0 20.0 8.7 3.2 8.3 3.9 10.8 5.4 -0.0 2.2 3.6 0.4 3.0 1.1 3.3 20.0 -2.2 13.4 6.3 4.1 LIVECOW -0.5 6.3 7.8 -1.6 4.2 -2.7 3.4 0.4 1.1 -10.6 3.7 -8.8 -2.9 2.2 4.7 -20.0 -20.0 -20.0 -20.0 4.4 3.4 -11.0 -0.6 -1.3 -11.9 -0.0 2.0 -7.5 2.4 -5.5 1.7 -0.8 -20.0 -20.0 4.6 5.5 9.7 MXP 15.0 10.6 9.5 -0.5 8.1 -3.8 7.9 -4.8 4.3 12.5 15.8 14.4 15.0 15.4 16.1 19.0 19.9 18.7 19.2 17.4 14.5 18.8 13.5 20.0 -20.0 -0.0 5.7 5.2 3.8 7.0 3.0 7.2 20.0 -11.0 -0.3 20.0 20.0 NASDAQ 17.1 4.0 -1.4 0.6 6.0 -2.1 6.4 -2.4 4.3 13.4 -12.7 10.9 -12.4 2.0 -10.2 -4.3 -2.8 -4.3 -3.8 -6.4 -11.9 16.0 -12.2 3.9 11.9 -0.0 -2.7 9.2 -5.0 6.6 -4.4 1.7 -4.0 -1.2 -14.1 -12.6 -6.8 NZD 20.0 14.2 -3.7 -0.5 8.1 -3.8 7.9 -4.8 4.3 13.8 -11.0 15.3 -12.8 10.9 -3.9 -1.4 0.7 -0.9 -0.2 1.5 -11.4 20.0 -14.7 18.3 3.6 -0.0 -0.1 8.4 -4.2 8.3 -5.3 5.3 3.4 1.5 10.4 1.5 -1.7 OAT 20.0 9.4 -5.2 -3.6 4.9 -5.6 3.6 -6.2 0.1 5.1 -12.2 7.0 -12.8 0.8 -10.8 17.3 12.2 15.3 14.3 -10.2 -18.8 9.2 -20.0 2.0 11.3 -0.0 -3.4 3.5 -7.4 3.3 -9.8 1.0 19.2 -8.7 11.3 6.2 1.1 OJ -1.9 14.5 8.9 -1.6 4.2 -2.7 3.4 0.4 1.1 -10.8 14.5 -4.3 14.0 10.0 13.8 17.4 11.5 17.2 15.8 20.0 20.0 -6.9 19.5 12.2 -20.0 -0.0 5.7 -5.3 6.4 -1.6 5.9 2.9 3.1 -20.0 10.5 20.0 20.0 PALLAD -5.9 -10.0 -0.3 1.7 8.5 -0.6 9.3 -0.7 5.9 13.5 -9.3 8.8 -5.8 -6.3 -6.3 -2.5 -1.2 -2.0 -1.6 -7.2 -5.6 15.0 -4.7 -1.4 -1.4 -0.0 -2.4 11.6 -1.4 6.3 -0.9 -0.2 0.0 -13.3 -20.0 -20.0 0.3 PLAT 17.9 20.0 11.3 1.7 8.5 -0.6 9.3 -0.7 5.9 9.3 2.3 12.8 -6.1 14.0 12.6 1.0 -0.3 0.5 0.1 15.0 5.4 20.0 -1.9 20.0 1.7 -0.0 4.6 4.2 1.1 7.3 -1.4 7.2 2.2 -14.5 6.9 14.3 12.3 REDWHEAT -4.0 5.4 -2.7 -1.6 4.2 -2.7 3.4 0.4 1.1 8.0 -9.0 -4.7 -2.9 -5.8 4.2 1.6 -1.0 0.9 0.2 -0.0 -1.8 0.7 1.9 -0.8 -14.2 -0.0 1.3 3.7 2.4 0.8 5.8 0.3 -20.0 -20.0 -4.6 12.2 8.2 ROBUSTA -20.0 -20.0 -11.4 -1.6 4.2 -2.7 3.4 0.4 1.1 -12.9 -9.5 -15.2 1.4 -16.2 -14.0 6.0 6.2 6.4 6.1 -20.0 -16.5 -20.0 -1.8 -20.0 4.6 -0.0 -5.0 -2.3 -2.7 -3.5 -0.3 -5.4 -9.9 -19.3 -20.0 -20.0 -7.9 RUSSELL 20.0 10.5 5.4 0.6 6.0 -2.1 6.4 -2.4 4.3 13.0 -6.6 13.0 -10.7 10.4 -2.6 -3.9 -1.8 -3.5 -2.9 3.4 -3.6 15.7 -7.4 11.0 -3.0 -0.0 1.7 7.8 -1.2 7.1 -2.2 5.0 -2.3 -11.2 -5.2 2.3 9.8 SILVER-mini 20.0 20.0 9.3 1.7 8.5 -0.6 9.3 -0.7 5.9 10.5 -8.7 13.6 -10.5 11.7 7.6 -4.6 -3.1 -4.1 -3.7 9.5 -2.1 20.0 -8.8 20.0 16.6 -0.0 3.4 4.9 -1.3 7.9 -4.1 7.0 -3.3 -3.4 9.4 14.5 -1.6 SOYBEAN 10.6 4.1 2.2 -1.6 4.2 -2.7 3.4 0.4 1.1 8.9 -0.9 9.2 3.9 8.9 9.4 15.1 20.0 17.8 20.0 5.0 2.1 7.4 5.9 7.7 -17.2 -0.0 4.5 5.6 5.1 4.6 9.4 5.1 20.0 -4.3 12.8 11.9 13.6 SOYMEAL 4.2 -3.8 2.5 -1.6 4.2 -2.7 3.4 0.4 1.1 -2.6 -2.3 0.3 7.0 -3.0 0.8 14.6 14.8 14.6 15.5 0.5 1.8 -1.9 5.4 -0.2 -8.9 -0.0 1.8 -0.8 4.2 -1.6 8.0 0.1 5.9 -20.0 0.5 1.2 11.6 SOYOIL 20.0 20.0 8.4 -1.6 4.2 -2.7 3.4 0.4 1.1 8.9 3.3 13.2 5.7 14.6 14.3 20.0 20.0 20.0 20.0 20.0 13.6 20.0 13.1 20.0 -20.0 -0.0 5.6 2.9 4.0 5.0 4.2 6.5 18.7 20.0 20.0 20.0 20.0 SP400 20.0 12.4 2.5 0.6 6.0 -2.1 6.4 -2.4 4.3 13.2 -5.0 14.2 -7.6 11.8 0.3 -0.0 -1.1 -0.2 -0.6 6.0 -1.9 20.0 -4.6 15.5 -5.8 -0.0 2.6 8.7 -0.2 8.5 -0.7 6.2 0.0 1.9 1.8 6.2 12.2 SP500 20.0 9.4 -1.5 0.6 6.0 -2.1 6.4 -2.4 4.3 13.3 -9.5 12.9 -9.6 8.2 -5.1 -4.4 -2.7 -4.2 -3.6 0.2 -7.1 18.1 -7.9 10.4 8.1 -0.0 0.1 8.2 -3.4 7.5 -3.9 4.4 -3.7 -1.7 -1.9 -2.7 1.4 SUGAR11 13.2 18.1 2.1 -1.6 4.2 -2.7 3.4 0.4 1.1 14.1 -2.2 15.3 -3.3 13.7 8.7 20.0 18.4 20.0 20.0 13.2 3.9 20.0 1.0 20.0 -9.0 -0.0 4.3 12.9 1.9 11.2 1.0 7.6 16.0 20.0 20.0 20.0 10.3 US10 20.0 -3.2 -13.4 -3.6 4.9 -5.6 3.6 -6.2 0.1 12.7 -13.7 10.6 -14.2 -2.8 -12.7 -4.0 2.3 -3.4 -1.6 -15.5 -20.0 16.2 -20.0 1.0 -5.4 -0.0 -4.0 6.5 -6.5 5.2 -7.5 0.8 -3.5 11.5 3.0 -2.4 -2.6 US10U 20.0 -5.9 -14.1 -3.6 4.9 -5.6 3.6 -6.2 0.1 12.8 -13.9 10.5 -13.9 -4.5 -12.9 -0.1 5.3 0.4 2.0 -16.7 -20.0 14.6 -20.0 -0.8 -5.6 -0.0 -4.2 6.4 -6.4 4.8 -6.9 0.3 2.3 7.5 -1.0 -4.3 -1.6 US20 20.0 -8.7 -17.0 -3.6 4.9 -5.6 3.6 -6.2 0.1 13.4 -14.2 10.5 -14.1 -6.4 -13.1 1.6 3.0 1.8 2.2 -20.0 -20.0 13.6 -20.0 -4.8 -4.6 -0.0 -4.8 5.8 -6.1 3.7 -5.9 -0.9 0.2 7.5 -12.6 -12.1 -6.7 US30 20.0 -9.2 -15.5 -3.6 4.9 -5.6 3.6 -6.2 0.1 12.9 -15.1 9.9 -15.2 -8.1 -13.3 -2.0 0.3 -1.4 -0.8 -20.0 -20.0 8.0 -20.0 -8.0 -1.5 -0.0 -5.2 4.7 -6.5 2.4 -6.8 -1.8 -4.5 -5.3 -16.5 -10.8 -2.7 US5 20.0 -0.6 -11.1 -3.6 4.9 -5.6 3.6 -6.2 0.1 13.1 -13.5 11.1 -14.3 -1.5 -12.2 -5.3 3.7 -4.3 -1.7 -15.0 -20.0 17.7 -20.0 2.0 -4.0 -0.0 -3.8 6.9 -6.7 5.6 -8.3 1.0 -2.2 14.3 5.5 -2.1 -3.9 VIX -20.0 -1.2 1.0 -2.6 -1.3 -1.2 -3.4 -1.2 -4.3 -1.6 -7.4 -11.7 -7.2 -11.2 -5.1 -6.3 -17.1 -5.7 -10.2 -7.7 -4.3 -10.2 -4.9 -12.7 NaN -0.0 -3.2 -1.5 -1.5 -3.9 -1.6 -5.0 NaN NaN NaN NaN NaN WHEAT -3.7 4.5 -4.5 -1.6 4.2 -2.7 3.4 0.4 1.1 -3.3 -9.8 -10.5 -5.4 -7.5 5.2 -3.8 -3.7 -3.7 -3.7 -2.1 -4.6 -5.4 -1.0 -3.8 -13.6 -0.0 -0.0 -0.2 1.4 -2.9 5.5 -1.9 -20.0 -20.0 -7.4 7.3 2.6 End of report for caleb_strategy_v1