******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221116_204255 produced at 2022-11-16 21:35:19.925930 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.16 0.0 40791646.38 -40791646.38 0.00 0.00 -3.91 999999999 0 0 caleb_strategy_v1 VIX False False 0.01 -0.07 -0.13 0.0 9318937.33 -9318937.33 -0.07 -0.08 -13.79 999999999 -8 -9 caleb_strategy_v1 LIVECOW False False 0.02 -0.08 -0.11 0.0 21033199.32 -21033199.32 -0.08 -0.11 -5.24 999999999 -4 -5 caleb_strategy_v1 US5 False False 0.04 -0.37 -0.11 0.0 36905206.56 -36905206.56 -0.37 -0.33 -3.11 999999999 -10 -9 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 38587555.85 -38587555.85 0.00 0.00 -2.29 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.06 -0.08 0.0 30725234.87 -30725234.87 -0.06 -0.09 -2.70 999999999 -2 -3 caleb_strategy_v1 US30 False False 0.05 -0.18 -0.08 0.0 45934524.27 -45934524.27 -0.18 -0.14 -1.71 999999999 -4 -3 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.07 0.0 43102214.71 -43102214.71 -0.09 -0.09 -1.68 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.06 0.0 45257325.44 -45257325.44 -0.09 -0.09 -1.39 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 28669500.08 -28669500.08 0.00 -0.03 -1.82 999999999 0 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.03 0.0 53882860.07 -53882860.07 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.18 -0.03 0.0 30665607.30 -30665607.30 -0.18 -0.12 -1.11 999999999 -6 -4 caleb_strategy_v1 EUR False False 0.04 -0.04 -0.02 0.0 44337357.22 -44337357.22 -0.04 0.00 -0.46 999999999 -1 0 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.02 0.0 25559783.69 -25559783.69 -0.03 -0.08 -0.67 999999999 -1 -3 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 22968539.87 -22968539.87 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14745046.18 -14745046.18 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6053390.88 -6053390.88 0.00 0.00 -1.80 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6105863.14 -6105863.14 0.00 0.00 -1.11 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 79877092.44 -79877092.44 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.01 0.0 3159068.65 -3159068.65 -0.02 -0.01 -2.88 999999999 -6 -3 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 22293896.51 -22293896.51 0.00 0.00 -0.49 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 70769407.07 -70769407.07 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8511409.67 -8511409.67 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 16103702.94 -16103702.94 -0.02 -0.02 -0.28 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 85557044.37 -85557044.37 0.00 0.00 -0.02 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10370086.20 -10370086.20 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14780822.72 -14780822.72 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20188191.47 -20188191.47 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 67579332.09 -67579332.09 0.00 0.00 -0.02 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.02 0.00 0.0 20951424.37 -20951424.37 0.02 0.04 0.15 999999999 1 2 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10460379.38 -10460379.38 0.02 0.02 0.20 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 554706.76 -554706.76 0.00 0.00 4.95 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17268144.20 -17268144.20 0.00 0.00 0.62 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 -0.01 0.01 0.0 13716602.00 -13716602.00 -0.01 0.00 0.82 999999999 -1 0 caleb_strategy_v1 DOW False False 0.01 0.02 0.01 0.0 5720328.31 -5720328.31 0.02 0.03 1.26 999999999 4 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4447778.67 -4447778.67 0.00 0.00 2.22 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 18527137.74 -18527137.74 0.00 0.00 0.79 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 25373660.49 -25373660.49 0.03 0.03 0.29 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.01 0.01 0.0 14286084.25 -14286084.25 0.01 0.00 0.87 999999999 1 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5044044.23 -5044044.23 0.00 0.00 3.75 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.02 0.0 26396273.31 -26396273.31 0.05 0.05 0.79 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7735365.37 -7735365.37 0.02 0.02 2.82 999999999 2 2 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.0 23376953.24 -23376953.24 0.05 0.07 0.98 999999999 2 3 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 31973154.72 -31973154.72 0.03 0.03 0.52 999999999 1 1 caleb_strategy_v1 GASOILINE False False 0.04 0.04 0.03 0.0 35053855.71 -35053855.71 0.04 0.04 0.79 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8768660.04 -8768660.04 0.00 0.00 3.33 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.07 0.04 0.0 13666638.99 -13666638.99 0.07 0.05 2.68 999999999 5 4 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 48045255.40 -48045255.40 0.00 0.00 1.00 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.05 0.0 12327574.13 -12327574.13 0.05 0.05 4.39 999999999 4 4 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.0 42101512.46 -42101512.46 0.13 0.13 1.09 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 33391439.06 -33391439.06 0.00 0.00 1.58 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.06 0.0 48465765.71 -48465765.71 0.10 0.10 1.23 999999999 2 2 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.0 23484744.26 -23484744.26 0.05 0.05 3.81 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.03 0.12 0.0 6824013.75 -6824013.75 0.03 0.05 18.30 999999999 5 7 caleb_strategy_v1 BUND False False 0.05 0.10 0.14 0.0 49796536.80 -49796536.80 0.10 0.10 2.87 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.21 0.33 0.0 42526065.53 -42526065.53 0.21 0.21 7.79 999999999 5 5 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 10.2 Shocked risk 28.1 Sum abs risk 36.6 Leverage 2.36 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2934883.99, 'annual_cash_vol_target': 733720.9975, 'daily_cash_vol_target': 45857.56234375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0070 0.6741 1.0334 16.5339 BITCOIN 1163.1218 16280.0000 7.1445 114.3117 BOBL 0.4481 120.2000 0.3728 5.9644 BTP 1.1330 119.0000 0.9521 15.2338 BUND 0.9528 140.7500 0.6770 10.8315 BUXL 2.3877 152.3000 1.5677 25.0839 CAC 66.6242 6607.5000 1.0083 16.1330 CAD 0.0048 0.7502 0.6379 10.2069 CANOLA 8.4400 870.5000 0.9696 15.5129 CHF 0.0085 1.0626 0.7998 12.7972 COCOA 32.7696 2498.0000 1.3118 20.9893 COFFEE 0.0396 1.5800 2.5063 40.1012 COPPER 0.0750 3.7535 1.9978 31.9645 CORN 5.1637 614.0000 0.8410 13.4558 COTTON2 0.0210 0.8676 2.4186 38.6977 CRUDE_W 1.5192 77.4700 1.9610 31.3767 DAX 149.2903 14257.0000 1.0471 16.7542 DOW 384.7494 33577.0000 1.1459 18.3339 EUR 0.0082 1.0410 0.7909 12.6551 EUROSTX 41.7186 3877.0000 1.0761 17.2168 FEEDCOW 1.3418 180.3500 0.7440 11.9038 FTSE100 57.6590 7068.5000 0.8157 13.0515 GASOIL 19.5831 980.0000 1.9983 31.9724 GASOILINE 0.0513 2.4495 2.0958 33.5335 GAS_US 0.2383 6.5430 3.6425 58.2800 GBP 0.0129 1.1915 1.0864 17.3817 GOLD_micro 17.8514 1776.6000 1.0048 16.0769 HEATOIL 0.0628 3.3867 1.8551 29.6817 JPY 0.0001 0.0072 0.9637 15.4186 LEANHOG 1.2468 90.4500 1.3784 22.0546 LIVECOW 0.9131 154.3250 0.5917 9.4669 MXP 0.0003 0.0515 0.6290 10.0647 NASDAQ 223.6058 11721.5000 1.9077 30.5225 NIKKEI 286.0173 27920.0000 1.0244 16.3907 NZD 0.0061 0.6149 0.9957 15.9315 OAT 0.9952 135.8000 0.7328 11.7249 OJ 0.0383 2.0290 1.8854 30.1672 PALLAD 47.7511 2077.0000 2.2990 36.7847 PLAT 19.8028 1013.6000 1.9537 31.2593 REDWHEAT 16.4624 945.2500 1.7416 27.8655 ROBUSTA 24.8913 1792.0000 1.3890 22.2244 RUSSELL 31.8971 1854.3000 1.7202 27.5227 SILVER-mini 0.4396 21.7500 2.0212 32.3385 SOYBEAN 13.0392 1378.5000 0.9459 15.1343 SOYMEAL 5.0212 401.1000 1.2519 20.0299 SOYOIL 0.9913 69.8800 1.4186 22.6974 SP400 38.4627 2511.0000 1.5318 24.5083 SP500 58.2713 3966.7500 1.4690 23.5039 SUGAR11 0.0024 0.2027 1.1620 18.5923 US10 0.5823 113.2500 0.5141 8.2264 US10U 0.8065 119.7188 0.6737 10.7787 US20 1.1721 126.5000 0.9266 14.8254 US30 1.7029 134.8125 1.2631 20.2103 US5 0.3886 108.3125 0.3588 5.7411 VIX 0.5382 27.3500 1.9676 31.4823 WHEAT 13.9674 865.5000 1.6138 25.8208 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.10 1.03 696.59 1.00 696.59 45857.56 65.83 -3.34 -21.97 BITCOIN 16.28 7.14 116.31 1.00 116.31 45857.56 394.26 5.33 210.03 BOBL 1202.00 0.37 448.08 1.04 466.48 45857.56 98.30 10.98 107.91 BTP 1190.00 0.95 1133.02 1.04 1179.56 45857.56 38.88 13.89 54.01 BUND 1407.50 0.68 952.83 1.04 991.97 45857.56 46.23 8.59 39.72 BUXL 1523.00 1.57 2387.68 1.04 2485.76 45857.56 18.45 -3.00 -5.54 CAC 660.75 1.01 666.24 1.04 693.61 45857.56 66.11 5.27 34.81 CAD 750.15 0.64 478.55 1.00 478.55 45857.56 95.83 -3.92 -37.54 CANOLA 174.10 0.97 168.80 0.75 127.27 45857.56 360.32 6.70 241.32 CHF 1328.25 0.80 1062.37 1.00 1062.37 45857.56 43.17 -8.60 -37.10 COCOA 249.80 1.31 327.70 1.00 327.70 45857.56 139.94 -0.70 -9.77 COFFEE 592.50 2.51 1485.00 1.00 1485.00 45857.56 30.88 -3.57 -11.04 COPPER 938.38 2.00 1874.67 1.00 1874.67 45857.56 24.46 7.76 18.99 CORN 307.00 0.84 258.18 1.00 258.18 45857.56 177.62 1.25 22.22 COTTON2 433.80 2.42 1049.19 1.00 1049.19 45857.56 43.71 -2.25 -9.83 CRUDE_W 774.70 1.96 1519.22 1.00 1519.22 45857.56 30.18 1.98 5.96 DAX 142.57 1.05 149.29 1.04 155.42 45857.56 295.05 2.34 69.06 DOW 167.88 1.15 192.37 1.00 192.37 45857.56 238.38 1.85 44.07 EUR 1301.25 0.79 1029.22 1.00 1029.22 45857.56 44.56 -2.73 -12.18 EUROSTX 387.70 1.08 417.19 1.04 434.32 45857.56 105.58 2.76 29.19 FEEDCOW 901.75 0.74 670.89 1.00 670.89 45857.56 68.35 -14.70 -100.46 FTSE100 706.85 0.82 576.59 1.18 666.67 45857.56 68.79 -2.56 -17.63 GASOIL 980.00 2.00 1958.31 1.00 1958.31 45857.56 23.42 9.48 22.20 GASOILINE 1028.79 2.10 2156.18 1.00 2156.18 45857.56 21.27 9.00 19.14 GAS_US 654.30 3.64 2383.29 1.00 2383.29 45857.56 19.24 -17.07 -32.84 GBP 744.69 1.09 809.00 1.00 809.00 45857.56 56.68 2.87 16.24 GOLD_micro 177.66 1.00 178.51 1.00 178.51 45857.56 256.88 -3.13 -80.31 HEATOIL 1422.41 1.86 2638.73 1.00 2638.73 45857.56 17.38 9.96 17.31 JPY 900.00 0.96 867.30 1.00 867.30 45857.56 52.87 -3.23 -17.08 LEANHOG 361.80 1.38 498.71 1.00 498.71 45857.56 91.95 10.21 93.88 LIVECOW 617.30 0.59 365.24 1.00 365.24 45857.56 125.55 -15.53 -194.98 MXP 257.35 0.63 161.89 1.00 161.89 45857.56 283.27 9.59 271.75 NASDAQ 2344.30 1.91 4472.12 1.00 4472.12 45857.56 10.25 -2.20 -2.26 NIKKEI 27920.00 1.02 28601.73 0.01 204.94 45857.56 223.76 4.31 96.36 NZD 614.90 1.00 612.27 1.00 612.27 45857.56 74.90 1.28 9.60 OAT 1358.00 0.73 995.15 1.04 1036.03 45857.56 44.26 11.19 49.51 OJ 304.35 1.89 573.84 1.00 573.84 45857.56 79.91 -1.34 -10.72 PALLAD 2077.00 2.30 4775.11 1.00 4775.11 45857.56 9.60 -3.91 -3.76 PLAT 506.80 1.95 990.14 1.00 990.14 45857.56 46.31 5.56 25.74 REDWHEAT 472.62 1.74 823.12 1.00 823.12 45857.56 55.71 -9.44 -52.56 ROBUSTA 179.20 1.39 248.91 1.00 248.91 45857.56 184.23 -4.65 -85.75 RUSSELL 92.72 1.72 159.49 1.00 159.49 45857.56 287.53 -1.93 -55.53 SILVER-mini 543.75 2.02 1099.01 1.00 1099.01 45857.56 41.73 8.44 35.21 SOYBEAN 689.25 0.95 651.96 1.00 651.96 45857.56 70.34 9.18 64.58 SOYMEAL 401.10 1.25 502.12 1.00 502.12 45857.56 91.33 4.97 45.39 SOYOIL 419.28 1.42 594.78 1.00 594.78 45857.56 77.10 12.25 94.47 SP400 2511.00 1.53 3846.27 1.00 3846.27 45857.56 11.92 -0.39 -0.47 SP500 1983.38 1.47 2913.56 1.00 2913.56 45857.56 15.74 -0.53 -0.83 SUGAR11 227.02 1.16 263.81 1.00 263.81 45857.56 173.83 11.97 208.07 US10 1132.50 0.51 582.27 1.00 582.27 45857.56 78.76 -7.58 -59.72 US10U 1197.19 0.67 806.51 1.00 806.51 45857.56 56.86 -4.72 -26.82 US20 1265.00 0.93 1172.14 1.00 1172.14 45857.56 39.12 -5.82 -22.77 US30 1348.12 1.26 1702.88 1.00 1702.88 45857.56 26.93 -7.56 -20.36 US5 1083.12 0.36 388.64 1.00 388.64 45857.56 117.99 -6.88 -81.20 VIX 273.50 1.97 538.15 1.00 538.15 45857.56 85.21 -8.59 -73.19 WHEAT 432.75 1.61 698.37 1.00 698.37 45857.56 65.66 -12.29 -80.71 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -21.966 0.006 2.5 -0.351 BITCOIN 210.029 0.009 2.5 4.948 BOBL 107.913 0.029 2.5 7.787 BTP 54.005 0.008 2.5 1.091 BUND 39.723 0.029 2.5 2.866 BUXL -5.537 0.034 2.5 -0.465 CAC 34.812 0.011 2.5 0.979 CAD -37.545 0.007 2.5 -0.670 CANOLA 241.315 0.004 2.5 2.215 CHF -37.105 0.015 2.5 -1.389 COCOA -9.767 0.009 2.5 -0.213 COFFEE -11.036 0.005 2.5 -0.143 COPPER 18.993 0.011 2.5 0.519 CORN 22.221 0.004 2.5 0.200 COTTON2 -9.834 0.006 2.5 -0.148 CRUDE_W 5.963 0.053 2.5 0.788 DAX 69.065 0.022 2.5 3.751 DOW 44.073 0.011 2.5 1.256 EUR -12.176 0.015 2.5 -0.456 EUROSTX 29.193 0.011 2.5 0.821 FEEDCOW -100.460 0.011 2.5 -2.699 FTSE100 -17.630 0.041 2.5 -1.817 GASOIL 22.204 0.029 2.5 1.584 GASOILINE 19.135 0.016 2.5 0.786 GAS_US -32.840 0.006 2.5 -0.494 GBP 16.241 0.007 2.5 0.290 GOLD_micro -80.313 0.009 2.5 -1.797 HEATOIL 17.313 0.029 2.5 1.235 JPY -17.084 0.026 2.5 -1.106 LEANHOG 93.883 0.019 2.5 4.386 LIVECOW -194.982 0.011 2.5 -5.239 MXP 271.755 0.005 2.5 3.327 NASDAQ -2.257 0.022 2.5 -0.123 NIKKEI 96.363 0.076 2.5 18.303 NZD 9.596 0.006 2.5 0.153 OAT 49.511 0.008 2.5 1.000 OJ -10.718 0.007 2.5 -0.187 PALLAD -3.759 0.010 2.5 -0.090 PLAT 25.737 0.010 2.5 0.619 REDWHEAT -52.565 0.002 2.5 -0.281 ROBUSTA -85.747 0.005 2.5 -1.112 RUSSELL -55.530 0.021 2.5 -2.876 SILVER-mini 35.208 0.009 2.5 0.788 SOYBEAN 64.581 0.024 2.5 3.808 SOYMEAL 45.387 0.024 2.5 2.676 SOYOIL 94.468 0.004 2.5 0.867 SP400 -0.469 0.021 2.5 -0.024 SP500 -0.832 0.011 2.5 -0.024 SUGAR11 208.069 0.005 2.5 2.823 US10 -59.721 0.015 2.5 -2.291 US10U -26.818 0.058 2.5 -3.907 US20 -22.772 0.029 2.5 -1.678 US30 -20.360 0.034 2.5 -1.709 US5 -81.196 0.015 2.5 -3.115 VIX -73.188 0.075 2.5 -13.792 WHEAT -80.706 0.002 2.5 -0.431 ==================== Position diags ==================== AUD 1.05 BITCOIN 9.29 BOBL 7.09 BTP 0.79 BUND 3.34 BUXL 1.55 CAC 1.86 CAD 1.71 CANOLA 3.31 CHF 1.62 COCOA 3.05 COFFEE 0.40 COPPER 0.67 CORN 1.60 COTTON2 0.66 CRUDE_W 3.99 DAX 16.02 DOW 6.79 EUR 1.67 EUROSTX 2.97 FEEDCOW 1.84 FTSE100 7.09 GASOIL 1.67 GASOILINE 0.87 GAS_US 0.29 GBP 1.01 GOLD_micro 5.75 HEATOIL 1.24 JPY 3.42 LEANHOG 4.30 LIVECOW 3.37 MXP 3.47 NASDAQ 0.56 NIKKEI 42.50 NZD 1.20 OAT 0.89 OJ 1.39 PALLAD 0.23 PLAT 1.11 REDWHEAT 0.30 ROBUSTA 2.39 RUSSELL 14.89 SILVER-mini 0.93 SOYBEAN 4.15 SOYMEAL 5.38 SOYOIL 0.71 SP400 0.62 SP500 0.45 SUGAR11 2.36 US10 3.02 US10U 8.28 US20 2.88 US30 2.26 US5 4.53 VIX 16.06 WHEAT 0.35 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.4 -0.5 -0.2 0.0 0 BITCOIN 4.9 4.0 5.9 NaN 0 BOBL 7.8 7.1 8.5 5.0 5 BTP 1.1 1.0 1.2 3.0 3 BUND 2.9 2.5 3.2 2.0 2 BUXL -0.5 -0.6 -0.3 0.0 0 CAC 1.0 0.8 1.2 2.0 2 CAD -0.7 -0.8 -0.5 -1.0 -1 CANOLA 2.2 1.9 2.5 NaN 0 CHF -1.4 -1.6 -1.2 -2.0 -2 COCOA -0.2 -0.5 0.1 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.5 0.6 1.0 1 CORN 0.2 0.0 0.4 2.0 2 COTTON2 -0.1 -0.2 -0.1 NaN 0 CRUDE_W 0.8 0.4 1.2 2.0 2 DAX 3.8 2.1 5.4 NaN 0 DOW 1.3 0.6 1.9 4.0 4 EUR -0.5 -0.6 -0.3 -1.0 -1 EUROSTX 0.8 0.5 1.1 -1.0 -1 FEEDCOW -2.7 -2.9 -2.5 -2.0 -2 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.6 1.4 1.8 0.0 0 GASOILINE 0.8 0.7 0.9 1.0 1 GAS_US -0.5 -0.5 -0.5 0.0 0 GBP 0.3 0.2 0.4 1.0 1 GOLD_micro -1.8 -2.4 -1.2 0.0 0 HEATOIL 1.2 1.1 1.4 2.0 2 JPY -1.1 -1.4 -0.8 -6.0 -6 LEANHOG 4.4 4.0 4.8 4.0 4 LIVECOW -5.2 -5.6 -4.9 -4.0 -4 MXP 3.3 3.0 3.7 NaN 0 NASDAQ -0.1 -0.2 -0.1 0.0 0 NIKKEI 18.3 14.1 22.6 5.0 5 NZD 0.2 0.0 0.3 1.0 1 OAT 1.0 0.9 1.1 0.0 0 OJ -0.2 -0.3 -0.0 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.6 0.5 0.7 NaN 0 REDWHEAT -0.3 -0.3 -0.3 -1.0 -1 ROBUSTA -1.1 -1.4 -0.9 0.0 0 RUSSELL -2.9 -4.4 -1.4 -6.0 -6 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.8 3.4 4.2 2.0 2 SOYMEAL 2.7 2.1 3.2 5.0 5 SOYOIL 0.9 0.8 0.9 1.0 1 SP400 -0.0 -0.1 0.0 NaN 0 SP500 -0.0 -0.1 0.0 NaN 0 SUGAR11 2.8 2.6 3.1 2.0 2 US10 -2.3 -2.6 -2.0 NaN 0 US10U -3.9 -4.7 -3.1 0.0 0 US20 -1.7 -2.0 -1.4 -2.0 -2 US30 -1.7 -1.9 -1.5 -4.0 -4 US5 -3.1 -3.6 -2.7 -10.0 -10 VIX -13.8 -15.4 -12.2 -8.0 -8 WHEAT -0.4 -0.5 -0.4 NaN 0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 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 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.3 -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 0.0 -0.3 -0.0 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 1.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 2.8 -0.0 -0.1 0.1 -0.1 BTP 0.2 0.2 0.0 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.1 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 0.0 -0.2 -0.0 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 0.0 0.1 -0.0 BUXL 0.2 -0.0 -0.1 -0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.2 0.4 -0.1 0.1 0.0 -0.1 -0.2 0.0 -0.3 0.0 0.9 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.0 -0.1 0.1 0.0 0.0 CAC 0.2 0.3 -0.0 0.0 0.0 -0.1 0.1 -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 0.1 0.0 -0.0 0.0 -1.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 1.0 0.1 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 -0.1 -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 0.4 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.2 -0.0 0.0 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 0.1 0.0 0.0 0.0 -0.2 0.0 -0.3 0.0 0.2 0.2 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 1.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.7 0.2 0.4 0.3 0.1 COFFEE -0.2 -0.3 -0.3 -0.0 0.0 -0.1 0.0 0.0 0.0 -0.0 -0.3 -0.0 -0.1 -0.1 -0.3 0.3 0.2 0.2 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 2.0 -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 0.0 -0.0 0.2 -0.0 0.1 0.0 -0.2 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 2.3 -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 0.0 0.1 -0.0 0.2 -0.0 -3.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.1 -0.3 0.0 0.2 COTTON2 0.0 -0.1 -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 -1.5 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 1.3 0.0 0.1 -0.5 -0.4 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 0.2 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 0.2 0.1 0.1 DAX 0.3 0.3 0.1 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 -0.0 -0.0 -0.0 0.2 0.0 0.0 -0.1 0.0 -0.7 -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 0.0 -0.1 0.1 -0.1 0.1 0.1 -0.0 0.1 -0.1 0.1 0.2 -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 0.0 -0.1 0.2 -0.1 0.1 0.0 -0.2 0.1 -0.4 0.1 0.1 -0.5 -0.3 -0.1 -0.2 0.1 -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 0.1 -0.0 0.1 0.0 EUROSTX 0.2 0.3 0.0 0.0 0.0 -0.0 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 -0.0 0.0 -1.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.6 0.0 0.3 0.3 0.2 FEEDCOW 0.0 -0.1 -0.1 -0.0 0.0 -0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.1 -1.5 -0.8 -0.4 -0.4 -0.1 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.0 -0.0 -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 -0.0 0.2 -0.0 -0.0 0.2 -0.0 0.3 0.0 0.1 1.7 0.9 0.4 0.4 0.1 0.1 -0.0 0.3 0.0 -0.5 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 -0.1 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 0.2 0.1 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 -0.0 -0.3 0.1 GBP 0.2 0.3 0.2 -0.0 0.0 -0.1 0.1 -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 -0.0 -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 0.1 -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 -0.0 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 0.3 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 0.0 -0.1 0.2 -0.1 0.1 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.9 -0.4 -0.2 -0.2 -0.0 -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 0.1 0.0 -0.1 LEANHOG 0.1 0.2 -0.0 -0.0 0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 0.0 -0.0 0.0 0.2 -1.4 0.8 0.4 0.4 0.1 0.0 0.0 0.0 0.0 0.7 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.7 0.1 0.2 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 -2.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -2.8 -0.0 0.0 0.1 0.1 MXP 0.1 0.2 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 0.0 -0.1 0.1 -0.1 0.1 0.1 -0.3 0.0 -0.3 0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.2 0.0 1.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.5 0.0 -0.3 -0.2 -0.1 NIKKEI 0.2 0.1 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 0.1 0.0 0.0 0.0 0.1 0.3 0.3 0.1 0.2 0.1 0.0 0.0 0.0 0.0 -1.6 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 2.2 -0.1 -0.2 0.0 0.0 NZD 0.2 0.2 -0.1 -0.0 0.0 -0.1 0.1 -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 0.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.4 -0.0 0.2 0.0 -0.0 OAT 0.2 0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.2 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 2.7 -0.1 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 1.2 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 0.2 0.3 0.3 PALLAD -0.0 -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 0.2 -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 0.2 -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 0.1 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 0.2 0.2 0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.0 -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 -0.1 -0.1 0.0 0.1 SILVER-mini 0.2 0.3 0.2 0.0 0.0 -0.0 0.1 -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 0.1 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 0.1 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 -1.3 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 0.8 -0.1 0.0 0.0 0.1 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 0.1 0.0 0.1 0.0 -2.9 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 2.5 -0.0 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 0.0 -0.1 0.1 -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 0.2 0.3 0.0 -0.0 0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.1 0.1 0.2 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.0 0.0 -1.6 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.3 0.0 0.4 0.3 0.2 US10 0.2 -0.1 -0.2 -0.0 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 -0.0 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 -0.0 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 0.1 0.0 -0.1 -0.1 -0.1 US30 0.2 -0.1 -0.2 -0.0 0.1 -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 -0.2 -0.0 US5 0.2 -0.1 -0.2 -0.0 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 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.2 -1.2 -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 4.3 -7.2 -0.1 6.1 -3.5 7.4 -4.7 4.6 12.5 -11.6 14.4 -12.2 7.7 -5.7 -2.8 -1.7 -2.4 -2.0 -2.1 -11.0 20.0 -11.6 13.2 -2.6 -0.0 -1.3 7.0 -4.6 7.8 -4.9 4.1 -0.3 -1.5 -0.7 -8.8 -3.9 BITCOIN 5.0 20.0 14.5 2.0 6.1 -0.4 8.3 -0.6 5.9 -10.0 -15.7 -8.8 -15.7 -6.0 -10.0 1.4 -1.2 0.4 -0.2 -7.7 -13.2 -15.0 -18.4 -10.1 20.0 -0.0 -4.1 -8.4 -4.3 -10.0 -4.2 -6.8 1.1 -20.0 -20.0 -20.0 -12.3 BOBL 20.0 0.6 -16.5 -3.1 7.0 -5.5 5.1 -6.2 1.0 7.7 -13.4 3.0 -12.8 -4.1 -13.3 20.0 19.4 20.0 20.0 -13.9 -20.0 6.7 -20.0 -1.9 9.0 -0.0 -4.1 4.3 -8.0 2.6 -10.2 0.0 20.0 -20.0 -5.0 6.5 -3.8 BTP 20.0 11.2 0.4 -3.1 7.0 -5.5 5.1 -6.2 1.0 12.5 -10.7 12.2 -12.6 9.6 -6.1 20.0 14.8 20.0 19.2 -1.1 -13.4 19.9 -20.0 12.1 7.2 -0.0 -0.5 8.1 -5.9 7.0 -9.7 4.5 20.0 -3.2 20.0 18.6 13.2 BUND 20.0 0.8 -13.7 -3.1 7.0 -5.5 5.1 -6.2 1.0 10.8 -12.8 9.3 -13.0 0.6 -11.9 11.0 16.3 13.8 15.4 -12.5 -20.0 12.0 -20.0 1.6 8.3 -0.0 -3.7 5.6 -7.3 3.9 -9.2 0.9 20.0 -14.7 1.8 4.1 -3.3 BUXL 20.0 -2.4 -7.6 -3.1 7.0 -5.5 5.1 -6.2 1.0 10.9 -12.5 11.2 -13.0 1.0 -10.3 5.2 -3.5 5.4 1.1 -11.4 -20.0 13.7 -20.0 3.0 7.2 -0.0 -3.6 6.0 -6.9 4.2 -8.2 1.0 -7.6 -10.9 4.7 0.8 1.1 CAC 20.0 20.0 -1.2 0.8 3.6 -1.9 5.6 -2.4 4.4 12.3 3.5 15.0 -4.9 15.6 9.0 1.3 4.4 1.6 2.7 17.1 4.2 20.0 -0.5 20.0 -11.5 -0.0 4.0 4.1 0.8 6.8 -0.4 6.9 7.8 13.8 16.7 20.0 13.4 CAD 20.0 5.5 -11.7 -0.1 6.1 -3.5 7.4 -4.7 4.6 9.8 -10.3 12.6 -11.9 7.6 -5.8 -2.0 -0.7 -1.6 -1.1 -2.6 -11.3 16.6 -11.0 11.0 -3.5 -0.0 -1.5 3.3 -5.0 5.6 -5.0 3.6 1.4 -8.5 -6.8 -8.2 -8.9 CANOLA 4.9 20.0 -6.1 -1.5 2.5 -2.6 3.0 0.4 1.2 -10.7 -8.6 0.8 -0.7 12.0 10.2 18.8 13.8 10.6 9.5 7.0 -4.3 -1.2 1.4 7.7 1.6 -0.0 4.2 -4.0 1.8 -0.6 3.1 3.1 -1.1 -12.1 3.4 20.0 19.9 CHF 20.0 5.4 2.9 -0.1 6.1 -3.5 7.4 -4.7 4.6 12.7 -8.3 14.1 -10.2 7.1 -2.2 -11.6 -11.2 -12.1 -12.1 3.3 -4.8 20.0 -7.6 18.3 -2.8 -0.0 0.6 9.6 -2.8 10.7 -4.4 6.0 -17.0 20.0 1.5 -3.1 6.4 COCOA 20.0 13.4 1.8 -1.6 4.2 -2.7 3.4 0.4 1.1 6.1 -7.2 11.0 -10.7 11.9 6.8 2.3 -3.3 1.1 -1.0 8.9 -1.7 19.2 -7.7 18.7 7.1 -0.0 3.8 2.3 0.0 7.1 -2.0 7.1 -20.0 20.0 20.0 20.0 7.3 COFFEE -19.7 -20.0 -16.1 -1.5 2.5 -2.6 3.0 0.4 1.2 -13.1 -11.5 -14.2 -3.6 -15.6 -14.5 4.3 5.1 7.9 7.7 -20.0 -20.0 -20.0 -6.4 -20.0 12.3 -0.0 -5.6 -3.4 -3.6 -4.1 -1.0 -5.7 -9.6 -20.0 -20.0 -20.0 -20.0 COPPER 20.0 20.0 11.0 2.0 6.1 -0.4 8.3 -0.6 5.9 5.6 -10.3 9.6 -10.4 9.8 5.9 0.7 0.3 0.8 0.4 6.7 -5.3 18.3 -10.0 16.8 18.1 -0.0 2.7 2.9 -1.6 7.4 -2.8 6.8 2.9 -4.2 8.1 3.7 3.7 CORN -12.7 3.7 17.8 -1.5 2.5 -2.6 3.0 0.4 1.2 -4.7 2.2 -9.7 5.6 -8.0 11.6 17.4 13.1 14.3 12.8 3.5 8.9 -9.4 16.1 -5.9 -20.0 -0.0 -0.1 -1.5 4.3 -5.8 9.9 -4.5 1.1 -20.0 -15.9 0.2 15.0 COTTON2 20.0 -14.4 -20.0 -1.5 2.5 -2.6 3.0 0.4 1.2 12.7 -11.7 13.9 0.6 -1.2 -9.8 4.1 18.6 8.9 15.3 -12.9 -15.3 13.1 -2.5 2.4 -6.1 -0.0 -3.0 3.2 -3.0 3.6 1.5 0.8 9.9 20.0 6.5 -18.8 -16.2 CRUDE_W 9.3 11.9 -10.3 -1.0 -2.4 0.5 -2.0 6.7 -0.7 -5.5 -4.8 0.7 4.3 11.3 6.3 8.1 14.2 9.1 11.8 4.1 0.4 2.0 5.9 6.2 6.8 -0.0 2.3 -0.9 1.9 0.9 7.1 2.9 -20.0 4.1 10.7 7.8 7.8 DAX 20.0 20.0 4.0 0.8 3.6 -1.9 5.6 -2.4 4.4 12.2 -1.9 15.1 -8.9 15.3 8.6 -3.6 -1.3 -3.0 -2.2 18.8 0.7 20.0 -8.8 20.0 -4.5 -0.0 4.3 5.2 0.4 8.0 -2.0 7.5 -1.2 20.0 20.0 20.0 15.1 DOW 20.0 20.0 1.9 0.8 3.6 -1.9 5.6 -2.4 4.4 10.8 -1.2 14.1 -5.4 14.3 6.6 -4.7 -1.4 -4.1 -3.1 13.6 1.1 20.0 -4.1 20.0 -3.5 -0.0 3.4 2.8 0.2 5.4 -0.8 6.0 -2.2 2.4 19.6 19.2 11.5 EUR 20.0 20.0 11.5 -0.1 6.1 -3.5 7.4 -4.7 4.6 14.0 -9.8 14.7 -13.6 12.6 3.0 -6.9 -8.3 -7.7 -8.2 5.1 -8.5 20.0 -16.5 19.1 5.6 -0.0 1.3 8.6 -4.6 9.6 -8.7 6.7 -11.3 7.1 -0.8 9.3 2.6 EUROSTX 20.0 20.0 2.5 0.8 3.6 -1.9 5.6 -2.4 4.4 12.4 1.2 15.2 -7.4 15.5 8.7 -0.9 2.7 -0.2 0.9 18.6 3.4 20.0 -3.9 20.0 -10.6 -0.0 4.4 5.2 1.0 7.8 -1.0 7.4 4.7 20.0 20.0 20.0 16.3 FEEDCOW 5.2 -4.0 -8.1 -1.5 2.5 -2.6 3.0 0.4 1.2 -10.4 -2.6 -6.9 -2.1 0.3 -6.8 -18.8 -20.0 -17.2 -20.0 -4.9 -5.4 -5.5 -3.2 -2.8 -1.3 -0.0 -2.9 -5.1 -3.1 -2.8 -1.7 -1.6 -20.0 -13.5 -2.1 -9.3 -12.5 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 -1.5 9.9 -6.6 -1.0 -2.4 0.5 -2.0 6.7 -0.7 -11.9 7.1 -10.5 11.2 3.8 5.1 20.0 20.0 20.0 20.0 5.8 10.9 -5.8 20.0 0.9 -4.6 -0.0 2.3 -3.8 4.4 -2.7 10.0 0.2 0.0 3.0 -3.1 13.2 15.4 GASOILINE 11.0 11.7 -19.4 -1.0 -2.4 0.5 -2.0 6.7 -0.7 -13.1 -5.6 -2.5 5.0 7.6 2.4 14.0 20.0 20.0 20.0 3.1 1.2 -3.0 11.3 4.3 -1.9 -0.0 2.4 -4.8 2.8 -1.5 10.1 2.3 5.6 -5.8 12.5 11.5 2.9 GAS_US 10.1 -20.0 -19.0 -1.0 -2.4 0.5 -2.0 6.7 -0.7 -5.1 -7.1 1.3 2.0 -8.4 -11.4 -20.0 -12.3 -20.0 -17.5 -15.7 -9.8 -1.0 2.5 -8.8 -10.4 -0.0 -3.7 0.8 -0.6 -0.1 4.9 -2.3 -20.0 10.1 -0.9 -20.0 3.8 GBP 20.0 19.6 9.6 -0.1 6.1 -3.5 7.4 -4.7 4.6 13.8 -7.9 13.8 -11.5 13.5 1.4 -1.7 -1.4 -1.7 -1.7 2.2 -8.9 18.7 -13.6 12.9 15.5 -0.0 -1.8 5.9 -6.9 5.7 -8.8 3.2 0.3 -17.3 -12.9 -3.3 -12.3 GOLD_micro 20.0 13.7 -5.3 2.0 6.1 -0.4 8.3 -0.6 5.9 13.3 -11.8 14.6 -12.0 9.7 -2.6 -9.7 -7.5 -9.7 -8.9 2.9 -8.8 20.0 -10.4 19.8 10.5 -0.0 1.0 7.7 -2.3 9.8 -2.4 6.3 -11.5 14.8 5.2 -1.4 -9.4 HEATOIL 1.3 10.5 -11.8 -1.0 -2.4 0.5 -2.0 6.7 -0.7 -7.2 5.1 -5.8 10.2 8.4 5.4 20.0 20.0 20.0 20.0 5.9 9.5 -3.1 19.4 2.4 -14.7 -0.0 2.8 -1.1 6.1 -1.6 14.4 0.8 7.3 2.2 1.3 10.4 17.4 JPY 20.0 20.0 5.5 -0.1 6.1 -3.5 7.4 -4.7 4.6 11.3 -13.6 12.7 -15.3 7.1 -8.4 -12.2 -9.8 -12.6 -11.7 -3.6 -17.2 20.0 -20.0 13.9 20.0 -0.0 -1.4 8.0 -6.2 9.0 -9.3 4.6 -15.5 16.1 5.5 0.2 -7.0 LEANHOG 7.6 13.5 -2.3 -1.5 2.5 -2.6 3.0 0.4 1.2 13.7 -3.6 7.9 -0.7 12.7 9.3 -16.7 20.0 20.0 20.0 9.4 3.7 10.5 4.1 11.9 4.9 -0.0 2.4 4.6 0.5 3.8 1.2 3.7 20.0 9.4 8.9 7.1 3.9 LIVECOW -2.9 6.4 7.5 -1.5 2.5 -2.6 3.0 0.4 1.2 0.7 3.8 -7.3 -2.8 2.4 4.6 -20.0 -20.0 -20.0 -20.0 4.3 3.4 -5.9 -0.5 -0.5 -12.4 -0.0 2.0 -0.8 2.4 -3.2 1.8 -0.5 -20.0 -17.4 0.1 5.8 9.2 MXP 15.7 11.5 10.2 -0.1 6.1 -3.5 7.4 -4.7 4.6 13.8 15.9 15.0 15.0 15.7 16.2 19.0 20.0 18.7 19.3 18.3 15.2 19.4 14.0 20.0 -20.0 -0.0 5.8 5.0 3.8 6.8 2.9 7.2 20.0 -12.6 0.1 20.0 20.0 NASDAQ 16.6 4.5 -1.7 0.8 3.6 -1.9 5.6 -2.4 4.4 11.1 -12.5 11.0 -12.4 3.8 -9.8 -4.3 -2.8 -4.3 -3.8 -5.7 -11.7 14.0 -12.3 4.6 12.1 -0.0 -2.4 5.6 -4.9 5.9 -4.5 2.0 -4.0 2.7 -13.2 -12.8 -6.9 NIKKEI 14.1 6.2 -0.2 0.8 3.6 -1.9 5.6 -2.4 4.4 7.1 4.3 11.0 0.2 11.8 2.8 4.3 8.7 6.6 8.6 6.4 2.7 10.3 1.1 10.9 -11.4 -0.0 1.8 2.3 -1.1 5.2 -1.5 5.1 16.8 -8.2 -10.7 2.2 0.1 NZD 20.0 13.6 -3.1 -0.1 6.1 -3.5 7.4 -4.7 4.6 12.8 -10.6 15.0 -12.6 11.7 -3.0 -1.3 0.7 -0.8 -0.2 3.0 -10.6 20.0 -14.6 19.7 3.7 -0.0 0.4 6.4 -3.9 7.8 -5.1 5.6 3.4 -0.5 8.9 2.3 -1.5 OAT 20.0 4.3 -4.0 -3.1 7.0 -5.5 5.1 -6.2 1.0 11.0 -11.9 9.9 -12.8 3.7 -10.2 16.8 12.2 15.1 14.2 -8.4 -17.9 14.3 -20.0 4.8 11.2 -0.0 -2.9 6.3 -7.2 4.7 -9.8 1.8 19.4 -10.6 8.9 6.0 0.6 OJ -4.9 13.8 8.7 -1.5 2.5 -2.6 3.0 0.4 1.2 -5.7 14.3 -4.0 14.0 9.5 13.4 17.1 11.5 17.1 15.8 20.0 20.0 -4.0 19.4 11.3 -20.0 -0.0 5.7 -2.2 6.5 -1.1 6.1 2.7 3.0 -14.0 7.6 20.0 20.0 PALLAD -2.0 -10.0 -0.3 2.0 6.1 -0.4 8.3 -0.6 5.9 12.1 -9.0 10.2 -5.7 -5.0 -5.6 -2.5 -1.3 -2.0 -1.6 -6.0 -5.3 16.1 -4.7 1.0 -1.4 -0.0 -1.9 9.2 -1.3 6.7 -0.8 0.8 0.0 -12.0 -20.0 -20.0 -0.2 PLAT 17.8 19.9 11.6 2.0 6.1 -0.4 8.3 -0.6 5.9 7.2 2.8 11.1 -5.9 13.5 12.6 1.0 -0.2 0.5 0.1 15.3 5.9 17.5 -1.6 20.0 1.4 -0.0 4.6 1.7 1.3 5.9 -1.3 6.8 2.3 -17.6 5.1 12.0 12.0 REDWHEAT -3.1 4.6 -1.7 -1.5 2.5 -2.6 3.0 0.4 1.2 6.8 -9.0 -4.7 -3.0 -6.4 4.2 1.8 -1.0 1.1 0.3 -0.0 -1.8 0.3 1.9 -0.7 -14.0 -0.0 1.3 1.4 2.4 0.6 5.8 0.3 -20.0 -7.9 -4.3 10.8 8.2 ROBUSTA -20.0 -20.0 -12.8 -1.5 2.5 -2.6 3.0 0.4 1.2 -13.7 -9.9 -15.5 1.0 -16.3 -14.3 6.0 6.2 6.4 6.1 -20.0 -17.6 -20.0 -2.4 -20.0 4.9 -0.0 -5.1 -2.5 -2.8 -3.6 -0.4 -5.4 -10.1 -20.0 -20.0 -20.0 -9.2 RUSSELL 18.5 10.6 5.4 0.8 3.6 -1.9 5.6 -2.4 4.4 8.3 -6.3 11.8 -10.7 10.6 -2.3 -3.9 -1.8 -3.5 -2.9 3.5 -3.4 11.6 -7.3 10.1 -2.9 -0.0 1.8 3.0 -1.1 5.5 -2.2 4.8 -2.4 -9.8 -5.2 1.4 9.5 SILVER-mini 20.0 16.4 10.1 2.0 6.1 -0.4 8.3 -0.6 5.9 9.6 -8.3 12.9 -10.3 11.9 8.2 -5.2 -3.2 -4.4 -3.8 10.4 -1.5 20.0 -8.7 20.0 16.5 -0.0 3.5 3.3 -1.0 6.9 -3.9 6.8 -3.5 -13.6 7.9 12.6 -1.0 SOYBEAN 9.8 4.3 2.0 -1.5 2.5 -2.6 3.0 0.4 1.2 0.5 -0.9 6.9 3.9 7.9 9.0 15.1 20.0 17.7 20.0 4.6 2.1 3.7 5.8 6.3 -17.4 -0.0 4.4 -0.9 5.2 2.3 9.7 4.4 19.8 -14.2 10.5 10.9 12.8 SOYMEAL 4.1 -3.4 2.5 -1.5 2.5 -2.6 3.0 0.4 1.2 -0.2 -2.2 -0.3 7.0 -2.2 0.4 14.2 14.8 14.4 15.4 0.5 1.8 -1.1 5.5 -0.1 -9.1 -0.0 1.8 -0.4 4.1 -1.1 8.0 0.1 5.7 -18.8 1.4 0.1 10.2 SOYOIL 20.0 20.0 6.2 -1.5 2.5 -2.6 3.0 0.4 1.2 -6.7 3.4 9.7 5.8 13.6 13.9 20.0 20.0 20.0 20.0 20.0 12.2 11.5 11.7 20.0 -20.0 -0.0 5.5 -1.9 4.1 2.8 4.3 5.7 18.6 -2.9 20.0 20.0 20.0 SP400 20.0 12.7 2.3 0.8 3.6 -1.9 5.6 -2.4 4.4 10.2 -4.6 13.5 -7.5 12.1 0.8 -0.2 -1.1 -0.3 -0.6 6.6 -1.5 17.6 -4.5 15.2 -5.8 -0.0 2.8 4.7 -0.1 7.1 -0.7 6.1 0.0 4.0 2.6 5.9 12.0 SP500 20.0 9.4 -1.9 0.8 3.6 -1.9 5.6 -2.4 4.4 11.5 -9.3 12.8 -9.6 9.2 -4.7 -4.5 -2.7 -4.2 -3.6 0.9 -6.9 15.9 -8.0 10.8 8.2 -0.0 0.3 5.1 -3.2 6.6 -3.9 4.5 -3.7 1.6 -1.6 -2.6 1.3 SUGAR11 17.5 20.0 3.1 -1.5 2.5 -2.6 3.0 0.4 1.2 13.9 -1.3 15.4 -2.9 14.2 9.5 20.0 18.8 20.0 20.0 15.3 5.0 20.0 1.4 20.0 -9.5 -0.0 4.5 10.6 2.0 10.7 1.1 7.7 16.7 20.0 20.0 20.0 12.4 US10 20.0 -5.3 -12.7 -3.1 7.0 -5.5 5.1 -6.2 1.0 13.7 -13.4 12.5 -14.1 0.8 -12.0 -4.0 2.2 -3.4 -1.6 -13.3 -20.0 20.0 -20.0 4.7 -5.6 -0.0 -3.4 7.7 -6.3 6.4 -7.4 1.8 -3.3 10.7 3.1 -2.1 -2.6 US10U 20.0 -7.0 -13.1 -3.1 7.0 -5.5 5.1 -6.2 1.0 13.7 -13.6 12.3 -13.9 -1.0 -12.3 -0.2 5.2 0.4 1.9 -14.4 -20.0 20.0 -20.0 3.2 -5.7 -0.0 -3.6 8.2 -6.2 6.2 -6.9 1.4 2.5 8.4 -0.3 -4.2 -1.5 US20 20.0 -8.9 -15.7 -3.1 7.0 -5.5 5.1 -6.2 1.0 13.9 -13.8 12.3 -14.0 -3.4 -12.5 1.5 3.0 1.8 2.2 -18.3 -20.0 19.8 -20.0 -0.2 -4.5 -0.0 -4.3 7.7 -6.0 5.3 -5.9 0.2 0.4 10.1 -11.1 -12.1 -6.5 US30 20.0 -7.6 -13.3 -3.1 7.0 -5.5 5.1 -6.2 1.0 13.7 -14.8 11.9 -15.1 -5.6 -12.6 -2.0 0.3 -1.4 -0.8 -19.5 -20.0 14.8 -20.0 -3.3 -1.3 -0.0 -4.7 7.4 -6.5 4.3 -6.9 -0.6 -4.3 -4.2 -15.2 -11.9 -2.4 US5 20.0 -3.3 -10.7 -3.1 7.0 -5.5 5.1 -6.2 1.0 13.8 -13.1 12.7 -14.3 2.1 -11.6 -5.4 3.6 -4.4 -1.8 -13.0 -20.0 20.0 -20.0 5.4 -4.2 -0.0 -3.3 7.4 -6.5 6.4 -8.3 2.0 -2.1 12.3 5.0 -1.4 -3.9 VIX -20.0 -2.2 1.5 -2.7 -1.4 -1.3 -3.0 -1.2 -4.1 -1.8 -7.5 -11.3 -7.3 -11.4 -5.4 -7.4 -17.1 -6.1 -10.4 -7.8 -4.5 -9.0 -4.9 -12.0 NaN -0.0 -3.2 -1.6 -1.6 -3.5 -1.7 -4.8 NaN NaN NaN NaN NaN WHEAT -3.8 3.9 -3.7 -1.5 2.5 -2.6 3.0 0.4 1.2 -7.9 -9.9 -11.6 -5.5 -8.8 5.0 -3.9 -3.7 -3.7 -3.8 -2.5 -4.8 -6.5 -1.1 -4.4 -13.4 -0.0 -0.3 -3.3 1.3 -3.7 5.5 -2.4 -20.0 -20.0 -7.5 5.5 2.5 End of report for caleb_strategy_v1