******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221118_204317 produced at 2022-11-18 21:35:15.501718 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 40660412.05 -40660412.05 0.00 0.00 -3.83 999999999 0 0 caleb_strategy_v1 VIX False False 0.01 -0.08 -0.15 0.0 9302390.01 -9302390.01 -0.08 -0.08 -16.47 999999999 -9 -9 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 21378333.94 -21378333.94 -0.11 -0.11 -5.27 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.33 -0.11 0.0 36946214.01 -36946214.01 -0.33 -0.33 -3.10 999999999 -9 -9 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 38547207.68 -38547207.68 0.00 0.00 -2.25 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.08 0.0 31378403.20 -31378403.20 -0.09 -0.09 -2.66 999999999 -3 -3 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.07 0.0 43057879.96 -43057879.96 -0.09 -0.09 -1.57 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 -0.14 -0.07 0.0 45675249.84 -45675249.84 -0.14 -0.14 -1.59 999999999 -3 -3 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.06 0.0 45147485.09 -45147485.09 -0.09 -0.09 -1.35 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 28869680.08 -28869680.08 0.00 -0.03 -1.80 999999999 0 -1 caleb_strategy_v1 JPY False False 0.03 -0.12 -0.03 0.0 30683298.41 -30683298.41 -0.12 -0.12 -1.07 999999999 -4 -4 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.02 0.0 53928237.85 -53928237.85 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 0.00 -0.02 0.0 44422344.91 -44422344.91 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.08 -0.02 0.0 25651941.16 -25651941.16 -0.08 -0.05 -0.69 999999999 -3 -2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 22940174.33 -22940174.33 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14554292.86 -14554292.86 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6011540.82 -6011540.82 0.00 0.00 -1.76 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6216468.01 -6216468.01 0.00 0.00 -1.15 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 80294042.77 -80294042.77 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.01 0.0 3176886.33 -3176886.33 -0.01 -0.01 -3.51 999999999 -3 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 23235379.33 -23235379.33 0.00 0.00 -0.48 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 66798712.02 -66798712.02 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8399611.94 -8399611.94 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15867268.57 -15867268.57 -0.02 -0.02 -0.30 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 86165532.85 -86165532.85 0.00 0.00 -0.02 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10380231.51 -10380231.51 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14351768.50 -14351768.50 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 68103106.19 -68103106.19 0.00 0.00 -0.02 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20035751.91 -20035751.91 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10460897.99 -10460897.99 0.02 0.02 0.16 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 555568.94 -555568.94 0.00 0.00 4.58 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.00 0.0 21134618.19 -21134618.19 0.04 0.04 0.21 999999999 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 14200733.38 -14200733.38 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16902202.36 -16902202.36 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.01 0.0 31215353.93 -31215353.93 0.03 0.03 0.45 999999999 1 1 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 25536519.44 -25536519.44 0.03 0.03 0.36 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4346729.83 -4346729.83 0.00 0.00 1.96 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.03 0.01 0.0 5785846.30 -5785846.30 0.03 0.02 1.31 999999999 5 4 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 18139231.44 -18139231.44 0.00 0.00 0.77 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.01 0.0 25772082.73 -25772082.73 0.05 0.05 0.37 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 13923600.01 -13923600.01 0.00 0.00 0.84 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5124707.60 -5124707.60 0.00 0.00 3.81 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7708283.03 -7708283.03 0.02 0.02 2.60 999999999 2 2 caleb_strategy_v1 CAC False False 0.02 0.07 0.02 0.0 23582521.21 -23582521.21 0.07 0.07 0.95 999999999 3 3 caleb_strategy_v1 GASOILINE False False 0.03 0.03 0.02 0.0 33672317.66 -33672317.66 0.03 0.03 0.64 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8787497.57 -8787497.57 0.00 0.00 3.32 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.03 0.0 13799117.28 -13799117.28 0.06 0.06 2.49 999999999 4 4 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 32360989.60 -32360989.60 0.00 0.00 1.33 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.05 0.0 12312794.45 -12312794.45 0.05 0.05 4.11 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.10 0.05 0.0 47597686.56 -47597686.56 0.10 0.10 1.15 999999999 2 2 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.0 42217660.36 -42217660.36 0.13 0.13 1.17 999999999 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 48072949.10 -48072949.10 0.00 0.00 1.07 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.08 0.0 23547747.40 -23547747.40 0.05 0.05 3.57 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.05 0.13 0.0 6840238.83 -6840238.83 0.05 0.05 19.15 999999999 7 8 caleb_strategy_v1 BUND False False 0.05 0.10 0.15 0.0 49686611.36 -49686611.36 0.10 0.10 2.98 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.21 0.35 0.0 42487195.15 -42487195.15 0.21 0.21 8.17 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 9.9 Shocked risk 28.7 Sum abs risk 35.4 Leverage 2.35 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2913229.82, 'annual_cash_vol_target': 728307.455, 'daily_cash_vol_target': 45519.2159375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0068 0.6683 1.0136 16.2173 BITCOIN 1117.1965 16185.0000 6.9027 110.4427 BOBL 0.4198 119.8000 0.3504 5.6065 BTP 1.0772 119.0400 0.9049 14.4787 BUND 0.8976 140.1000 0.6407 10.2515 BUXL 2.2472 152.0600 1.4778 23.6450 CAC 65.4872 6649.5000 0.9848 15.7575 CAD 0.0046 0.7473 0.6195 9.9120 CANOLA 9.0259 847.4000 1.0651 17.0421 CHF 0.0084 1.0522 0.7955 12.7281 COCOA 33.8498 2447.0000 1.3833 22.1331 COFFEE 0.0379 1.5565 2.4362 38.9786 COPPER 0.0735 3.6375 2.0210 32.3361 CORN 5.0138 609.5000 0.8226 13.1618 COTTON2 0.0204 0.8362 2.4453 39.1251 CRUDE_W 1.4882 75.0800 1.9821 31.7142 DAX 144.9973 14450.0000 1.0034 16.0551 DOW 367.3145 33711.0000 1.0896 17.4336 EUR 0.0080 1.0353 0.7721 12.3540 EUROSTX 40.9192 3926.0000 1.0423 16.6762 FEEDCOW 1.3622 182.8250 0.7451 11.9218 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.6274 942.7500 2.0819 33.3110 GASOILINE 0.0511 2.3356 2.1858 34.9723 GAS_US 0.2298 6.7690 3.3949 54.3183 GBP 0.0125 1.1903 1.0473 16.7566 GOLD_micro 17.5878 1751.3000 1.0043 16.0684 HEATOIL 0.0619 3.3015 1.8741 29.9849 JPY 0.0001 0.0072 0.9416 15.0654 LEANHOG 1.2248 89.6750 1.3658 21.8532 LIVECOW 0.9040 155.7000 0.5806 9.2897 MXP 0.0003 0.0512 0.6278 10.0443 NASDAQ 211.9504 11695.7500 1.8122 28.9952 NIKKEI 274.1189 27970.0000 0.9800 15.6807 NZD 0.0059 0.6157 0.9622 15.3947 OAT 0.9379 135.5500 0.6919 11.0706 OJ 0.0366 2.0160 1.8162 29.0595 PALLAD 48.4502 1946.0000 2.4897 39.8357 PLAT 19.6683 984.8000 1.9972 31.9550 REDWHEAT 16.0051 924.5000 1.7312 27.6994 ROBUSTA 24.8455 1811.0000 1.3719 21.9508 RUSSELL 30.4149 1851.0000 1.6432 26.2906 SILVER-mini 0.4370 21.1375 2.0674 33.0781 SOYBEAN 12.7568 1372.0000 0.9298 14.8767 SOYMEAL 4.8841 402.0000 1.2150 19.4394 SOYOIL 0.9814 68.9500 1.4233 22.7735 SP400 36.7566 2510.2000 1.4643 23.4287 SP500 55.4297 3968.0000 1.3969 22.3507 SUGAR11 0.0026 0.2005 1.3108 20.9725 US10 0.5703 112.2969 0.5079 8.1262 US10U 0.7888 118.4531 0.6659 10.6545 US20 1.1342 125.4375 0.9042 14.4672 US30 1.6698 133.0625 1.2549 20.0785 US5 0.3824 107.6328 0.3552 5.6839 VIX 0.5198 27.1000 1.9181 30.6900 WHEAT 13.4961 848.0000 1.5915 25.4644 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.30 1.01 677.38 1.00 677.38 45519.22 67.20 -3.20 -21.50 BITCOIN 16.18 6.90 111.72 1.00 111.72 45519.22 407.44 4.77 194.52 BOBL 1198.00 0.35 419.79 1.04 435.03 45519.22 104.64 10.82 113.17 BTP 1190.40 0.90 1077.21 1.04 1116.32 45519.22 40.78 14.17 57.80 BUND 1401.00 0.64 897.65 1.04 930.24 45519.22 48.93 8.45 41.32 BUXL 1520.60 1.48 2247.16 1.04 2328.74 45519.22 19.55 -2.49 -4.87 CAC 664.95 0.98 654.87 1.04 678.65 45519.22 67.07 5.06 33.92 CAD 747.30 0.62 462.95 1.00 462.95 45519.22 98.32 -3.90 -38.37 CANOLA 169.48 1.07 180.52 0.75 135.40 45519.22 336.17 6.35 213.55 CHF 1315.25 0.80 1046.29 1.00 1046.29 45519.22 43.51 -8.30 -36.12 COCOA 244.70 1.38 338.50 1.00 338.50 45519.22 134.47 -0.98 -13.19 COFFEE 583.69 2.44 1421.96 1.00 1421.96 45519.22 32.01 -3.88 -12.41 COPPER 909.38 2.02 1837.85 1.00 1837.85 45519.22 24.77 6.59 16.33 CORN 304.75 0.82 250.69 1.00 250.69 45519.22 181.57 0.99 17.97 COTTON2 418.10 2.45 1022.39 1.00 1022.39 45519.22 44.52 -1.99 -8.88 CRUDE_W 750.80 1.98 1488.19 1.00 1488.19 45519.22 30.59 0.91 2.77 DAX 144.50 1.00 145.00 1.04 150.26 45519.22 302.93 2.32 70.16 DOW 168.56 1.09 183.66 1.00 183.66 45519.22 247.85 1.86 46.09 EUR 1294.13 0.77 999.23 1.00 999.23 45519.22 45.55 -2.47 -11.26 EUROSTX 392.60 1.04 409.19 1.04 424.05 45519.22 107.34 2.78 29.80 FEEDCOW 914.12 0.75 681.12 1.00 681.12 45519.22 66.83 -14.79 -98.82 FTSE100 707.00 0.82 576.59 1.18 666.67 45519.22 68.28 -2.56 -17.50 GASOIL 942.75 2.08 1962.74 1.00 1962.74 45519.22 23.19 8.04 18.65 GASOILINE 980.95 2.19 2144.13 1.00 2144.13 45519.22 21.23 7.29 15.48 GAS_US 676.90 3.39 2298.00 1.00 2298.00 45519.22 19.81 -16.05 -31.80 GBP 743.94 1.05 779.12 1.00 779.12 45519.22 58.42 3.46 20.20 GOLD_micro 175.13 1.00 175.88 1.00 175.88 45519.22 258.81 -3.04 -78.70 HEATOIL 1386.63 1.87 2598.62 1.00 2598.62 45519.22 17.52 9.23 16.18 JPY 893.88 0.94 841.66 1.00 841.66 45519.22 54.08 -3.06 -16.54 LEANHOG 358.70 1.37 489.92 1.00 489.92 45519.22 92.91 9.46 87.91 LIVECOW 622.80 0.58 361.60 1.00 361.60 45519.22 125.88 -15.59 -196.22 MXP 256.00 0.63 160.71 1.00 160.71 45519.22 283.24 9.57 271.16 NASDAQ 2339.15 1.81 4239.01 1.00 4239.01 45519.22 10.74 -2.12 -2.28 NIKKEI 27970.00 0.98 27411.89 0.01 195.51 45519.22 232.82 4.33 100.81 NZD 615.70 0.96 592.41 1.00 592.41 45519.22 76.84 1.74 13.34 OAT 1355.50 0.69 937.89 1.04 971.94 45519.22 46.83 11.28 52.81 OJ 302.40 1.82 549.22 1.00 549.22 45519.22 82.88 -1.56 -12.89 PALLAD 1946.00 2.49 4845.02 1.00 4845.02 45519.22 9.40 -3.93 -3.69 PLAT 492.40 2.00 983.42 1.00 983.42 45519.22 46.29 4.72 21.87 REDWHEAT 462.25 1.73 800.25 1.00 800.25 45519.22 56.88 -9.77 -55.56 ROBUSTA 181.10 1.37 248.46 1.00 248.46 45519.22 183.21 -4.85 -88.93 RUSSELL 92.55 1.64 152.07 1.00 152.07 45519.22 299.32 -2.27 -67.83 SILVER-mini 528.44 2.07 1092.48 1.00 1092.48 45519.22 41.67 8.28 34.49 SOYBEAN 686.00 0.93 637.84 1.00 637.84 45519.22 71.36 8.48 60.53 SOYMEAL 402.00 1.21 488.41 1.00 488.41 45519.22 93.20 4.53 42.23 SOYOIL 413.70 1.42 588.84 1.00 588.84 45519.22 77.30 11.53 89.13 SP400 2510.20 1.46 3675.66 1.00 3675.66 45519.22 12.38 -0.36 -0.44 SP500 1984.00 1.40 2771.48 1.00 2771.48 45519.22 16.42 -0.46 -0.76 SUGAR11 224.56 1.31 294.35 1.00 294.35 45519.22 154.64 12.38 191.46 US10 1122.97 0.51 570.34 1.00 570.34 45519.22 79.81 -7.35 -58.66 US10U 1184.53 0.67 788.78 1.00 788.78 45519.22 57.71 -4.55 -26.28 US20 1254.38 0.90 1134.21 1.00 1134.21 45519.22 40.13 -5.32 -21.35 US30 1330.62 1.25 1669.81 1.00 1669.81 45519.22 27.26 -6.93 -18.90 US5 1076.33 0.36 382.36 1.00 382.36 45519.22 119.05 -6.78 -80.72 VIX 271.00 1.92 519.81 1.00 519.81 45519.22 87.57 -9.98 -87.42 WHEAT 424.00 1.59 674.81 1.00 674.81 45519.22 67.46 -12.88 -86.91 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -21.503 0.006 2.5 -0.344 BITCOIN 194.519 0.009 2.5 4.583 BOBL 113.169 0.029 2.5 8.166 BTP 57.799 0.008 2.5 1.167 BUND 41.324 0.029 2.5 2.982 BUXL -4.875 0.034 2.5 -0.409 CAC 33.916 0.011 2.5 0.953 CAD -38.369 0.007 2.5 -0.685 CANOLA 213.553 0.004 2.5 1.960 CHF -36.121 0.015 2.5 -1.352 COCOA -13.190 0.009 2.5 -0.287 COFFEE -12.406 0.005 2.5 -0.161 COPPER 16.330 0.011 2.5 0.446 CORN 17.970 0.004 2.5 0.162 COTTON2 -8.879 0.006 2.5 -0.134 CRUDE_W 2.769 0.053 2.5 0.366 DAX 70.164 0.022 2.5 3.811 DOW 46.089 0.011 2.5 1.313 EUR -11.265 0.015 2.5 -0.422 EUROSTX 29.805 0.011 2.5 0.838 FEEDCOW -98.822 0.011 2.5 -2.655 FTSE100 -17.500 0.041 2.5 -1.804 GASOIL 18.649 0.029 2.5 1.330 GASOILINE 15.476 0.016 2.5 0.635 GAS_US -31.800 0.006 2.5 -0.479 GBP 20.203 0.007 2.5 0.361 GOLD_micro -78.705 0.009 2.5 -1.761 HEATOIL 16.175 0.029 2.5 1.154 JPY -16.536 0.026 2.5 -1.070 LEANHOG 87.906 0.019 2.5 4.107 LIVECOW -196.221 0.011 2.5 -5.273 MXP 271.163 0.005 2.5 3.320 NASDAQ -2.276 0.022 2.5 -0.124 NIKKEI 100.807 0.076 2.5 19.147 NZD 13.342 0.006 2.5 0.213 OAT 52.814 0.008 2.5 1.067 OJ -12.892 0.007 2.5 -0.225 PALLAD -3.692 0.010 2.5 -0.089 PLAT 21.870 0.010 2.5 0.526 REDWHEAT -55.563 0.002 2.5 -0.297 ROBUSTA -88.930 0.005 2.5 -1.153 RUSSELL -67.829 0.021 2.5 -3.513 SILVER-mini 34.488 0.009 2.5 0.772 SOYBEAN 60.535 0.024 2.5 3.569 SOYMEAL 42.227 0.024 2.5 2.490 SOYOIL 89.127 0.004 2.5 0.818 SP400 -0.444 0.021 2.5 -0.023 SP500 -0.763 0.011 2.5 -0.022 SUGAR11 191.461 0.005 2.5 2.598 US10 -58.661 0.015 2.5 -2.250 US10U -26.280 0.058 2.5 -3.829 US20 -21.351 0.029 2.5 -1.574 US30 -18.904 0.034 2.5 -1.587 US5 -80.715 0.015 2.5 -3.097 VIX -87.417 0.075 2.5 -16.474 WHEAT -86.912 0.002 2.5 -0.464 ==================== Position diags ==================== AUD 1.07 BITCOIN 9.60 BOBL 7.55 BTP 0.82 BUND 3.53 BUXL 1.64 CAC 1.89 CAD 1.76 CANOLA 3.09 CHF 1.63 COCOA 2.93 COFFEE 0.42 COPPER 0.68 CORN 1.64 COTTON2 0.67 CRUDE_W 4.04 DAX 16.45 DOW 7.06 EUR 1.70 EUROSTX 3.02 FEEDCOW 1.80 FTSE100 7.04 GASOIL 1.65 GASOILINE 0.87 GAS_US 0.30 GBP 1.04 GOLD_micro 5.79 HEATOIL 1.25 JPY 3.50 LEANHOG 4.34 LIVECOW 3.38 MXP 3.47 NASDAQ 0.58 NIKKEI 44.22 NZD 1.23 OAT 0.95 OJ 1.45 PALLAD 0.23 PLAT 1.11 REDWHEAT 0.30 ROBUSTA 2.38 RUSSELL 15.50 SILVER-mini 0.93 SOYBEAN 4.21 SOYMEAL 5.50 SOYOIL 0.71 SP400 0.64 SP500 0.47 SUGAR11 2.10 US10 3.06 US10U 8.41 US20 2.96 US30 2.29 US5 4.57 VIX 16.50 WHEAT 0.36 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.3 -0.5 -0.2 0.0 0 BITCOIN 4.6 3.6 5.5 NaN 0 BOBL 8.2 7.4 8.9 5.0 5 BTP 1.2 1.1 1.2 3.0 3 BUND 3.0 2.6 3.3 2.0 2 BUXL -0.4 -0.6 -0.2 0.0 0 CAC 1.0 0.8 1.1 3.0 3 CAD -0.7 -0.9 -0.5 -3.0 -3 CANOLA 2.0 1.7 2.3 NaN 0 CHF -1.4 -1.5 -1.2 -2.0 -2 COCOA -0.3 -0.6 0.0 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.4 0.4 0.5 1.0 1 CORN 0.2 -0.0 0.3 2.0 2 COTTON2 -0.1 -0.2 -0.1 NaN 0 CRUDE_W 0.4 -0.0 0.8 2.0 2 DAX 3.8 2.2 5.5 NaN 0 DOW 1.3 0.6 2.0 5.0 5 EUR -0.4 -0.6 -0.3 0.0 0 EUROSTX 0.8 0.5 1.1 0.0 0 FEEDCOW -2.7 -2.8 -2.5 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.3 1.2 1.5 0.0 0 GASOILINE 0.6 0.5 0.7 1.0 1 GAS_US -0.5 -0.5 -0.4 0.0 0 GBP 0.4 0.3 0.5 1.0 1 GOLD_micro -1.8 -2.3 -1.2 0.0 0 HEATOIL 1.2 1.0 1.3 2.0 2 JPY -1.1 -1.4 -0.7 -4.0 -4 LEANHOG 4.1 3.7 4.5 4.0 4 LIVECOW -5.3 -5.6 -4.9 -5.0 -5 MXP 3.3 3.0 3.7 NaN 0 NASDAQ -0.1 -0.2 -0.1 0.0 0 NIKKEI 19.1 14.7 23.6 7.0 7 NZD 0.2 0.1 0.3 2.0 2 OAT 1.1 1.0 1.2 0.0 0 OJ -0.2 -0.4 -0.1 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.5 0.4 0.6 NaN 0 REDWHEAT -0.3 -0.3 -0.3 -1.0 -1 ROBUSTA -1.2 -1.4 -0.9 0.0 0 RUSSELL -3.5 -5.1 -2.0 -3.0 -3 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.6 3.1 4.0 2.0 2 SOYMEAL 2.5 1.9 3.0 4.0 4 SOYOIL 0.8 0.7 0.9 0.0 0 SP400 -0.0 -0.1 0.0 NaN 0 SP500 -0.0 -0.1 0.0 NaN 0 SUGAR11 2.6 2.4 2.8 2.0 2 US10 -2.3 -2.6 -1.9 NaN 0 US10U -3.8 -4.7 -3.0 0.0 0 US20 -1.6 -1.9 -1.3 -2.0 -2 US30 -1.6 -1.8 -1.4 -3.0 -3 US5 -3.1 -3.6 -2.6 -9.0 -9 VIX -16.5 -18.1 -14.8 -9.0 -9 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 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 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.2 -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 -0.0 0.3 0.2 0.0 -0.0 -0.0 0.0 -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 -0.1 -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 -0.2 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 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 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 0.1 0.4 0.3 0.2 BUND 0.2 0.0 -0.3 -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 -0.1 -0.2 0.0 -0.3 0.0 1.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 2.8 -0.0 0.0 0.1 -0.1 BUXL 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 -0.2 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 -0.9 -0.0 0.1 -0.0 0.0 CAC 0.2 0.3 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.1 -0.1 0.1 0.3 0.1 0.2 0.0 0.1 0.2 0.1 0.0 0.0 0.0 -1.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 1.0 0.0 0.3 0.3 0.2 CAD 0.2 0.1 -0.2 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.0 -0.1 -0.1 -0.0 -0.0 -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 0.2 -0.1 -0.2 -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 1.3 0.5 0.2 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.1 0.2 0.2 CHF 0.2 0.1 0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.0 -0.2 0.0 -0.0 -0.8 -0.5 -0.2 -0.2 0.1 -0.0 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 0.1 -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 0.2 0.1 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 1.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -2.7 0.1 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 0.1 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 2.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -1.4 -0.1 -0.4 -0.3 -0.3 COPPER 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 0.0 0.1 0.0 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 -0.2 0.1 0.0 0.1 CORN -0.1 0.0 0.3 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.3 1.4 0.6 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 0.6 0.2 0.3 -0.0 -0.1 0.0 -0.0 0.0 -1.4 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 1.2 0.0 0.1 -0.4 -0.4 CRUDE_W 0.1 0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 0.1 0.0 0.1 0.7 0.6 0.2 0.3 0.0 0.0 -0.0 0.1 0.0 0.8 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -2.7 0.0 0.1 0.1 0.1 DAX 0.3 0.3 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.1 -0.2 0.1 0.3 -0.1 -0.0 -0.0 -0.0 0.3 0.0 0.0 -0.1 0.0 -0.8 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.2 0.1 0.4 0.3 0.3 DOW 0.3 0.3 0.0 0.0 0.0 -0.0 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 -0.0 0.0 -0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 0.4 0.3 0.2 EUR 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 0.1 -0.5 -0.3 -0.1 -0.2 0.1 -0.1 0.0 -0.2 0.0 0.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.3 0.1 0.0 0.2 0.1 EUROSTX 0.2 0.3 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.0 -0.2 0.1 0.2 -0.1 0.1 -0.0 0.0 0.2 0.1 0.0 -0.0 0.0 -1.5 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.6 0.0 0.3 0.3 0.3 FEEDCOW 0.0 -0.0 -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 -0.0 -0.1 0.0 -0.0 -0.0 -0.4 -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 -0.1 0.1 -0.2 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -0.1 0.2 -0.0 0.3 0.0 0.1 1.7 0.9 0.4 0.4 0.0 0.1 -0.0 0.3 -0.0 -0.5 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.1 0.1 0.2 GASOILINE 0.0 0.1 -0.3 -0.0 -0.0 0.0 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 0.1 0.0 0.0 1.1 0.9 0.4 0.4 0.0 0.0 -0.0 0.1 -0.0 -0.3 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.7 -0.0 0.1 0.1 0.0 GAS_US 0.2 -0.3 -0.3 -0.0 -0.0 0.0 -0.1 0.2 -0.0 0.0 -0.2 0.0 0.0 -0.0 -0.3 -1.6 -0.5 -0.4 -0.4 -0.2 -0.1 0.0 0.0 -0.0 -1.2 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -2.7 0.3 0.3 -0.3 0.1 GBP 0.2 0.3 0.2 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.1 0.1 -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 0.0 -0.2 0.0 -0.2 GOLD_micro 0.2 0.2 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.0 -0.8 -0.3 -0.2 -0.2 0.1 -0.1 0.0 -0.1 0.0 1.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.5 0.1 0.2 0.0 -0.1 HEATOIL -0.0 0.2 -0.2 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -0.1 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 1.1 -0.0 0.0 0.1 0.2 JPY 0.2 0.3 0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.8 -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 -1.9 0.2 0.2 -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 0.1 0.2 -1.6 0.8 0.4 0.4 0.1 0.1 0.0 0.1 0.0 0.6 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.7 0.1 0.1 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 0.1 0.0 0.0 -0.0 0.0 -2.2 -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 -0.1 0.0 0.0 -0.0 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 -0.1 0.0 -0.2 0.0 1.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.5 0.1 -0.3 -0.2 -0.1 NIKKEI 0.2 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.0 0.0 0.1 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 0.3 -0.1 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 0.0 -0.0 -0.0 0.1 -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 0.1 -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 1.3 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 -0.0 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 1.2 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 0.1 0.3 0.3 PALLAD 0.0 -0.2 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.4 -0.3 -0.0 PLAT 0.1 0.3 0.2 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.0 0.3 0.1 -0.0 0.0 0.0 0.2 0.1 0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.3 -0.0 -0.0 0.1 0.2 REDWHEAT -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.1 -0.0 0.1 0.2 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.9 -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 0.3 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 -0.2 RUSSELL 0.2 0.2 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 -0.0 -0.2 -0.1 -0.1 -0.1 0.1 -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 0.1 -0.0 0.1 -0.0 -0.2 0.0 -0.3 0.0 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 0.1 0.0 SOYBEAN 0.1 0.1 0.0 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 0.0 0.2 1.2 0.8 0.4 0.4 0.0 0.0 -0.0 0.1 0.0 -2.6 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 2.6 -0.0 0.1 0.1 0.2 SOYMEAL 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 0.2 -0.0 -0.0 1.1 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 0.7 -0.0 -0.0 -0.0 0.1 SOYOIL 0.2 0.3 0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.1 -0.0 0.1 0.0 -2.9 -0.0 0.1 -0.0 0.0 -0.0 0.1 0.0 2.5 -0.1 0.4 0.3 0.3 SP400 0.2 0.2 0.0 0.0 0.0 -0.0 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 -1.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.1 0.1 0.2 SP500 0.3 0.2 -0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.2 0.0 -0.2 0.0 -0.1 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 0.0 1.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.5 0.1 -0.1 -0.0 0.0 SUGAR11 0.2 0.3 0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.2 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.0 0.0 -1.7 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 2.4 0.0 0.4 0.3 0.2 US10 0.2 -0.0 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.3 -0.3 0.1 -0.1 -0.0 -0.1 -0.2 0.0 -0.2 0.0 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.4 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 -0.3 0.0 -0.3 -0.0 0.2 0.0 0.0 -0.1 -0.2 0.0 -0.3 0.0 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.4 0.0 0.0 -0.0 -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 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 0.0 -0.0 -0.1 -0.1 US30 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 -0.2 0.0 -0.0 -0.0 -0.2 -0.2 0.0 -0.3 0.0 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.0 -0.1 -0.2 -0.0 US5 0.2 -0.0 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.3 -0.5 0.1 -0.1 -0.0 -0.1 -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 -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.2 -1.6 -1.4 -0.3 -0.4 -0.1 -0.1 -0.0 -0.1 -0.0 NaN -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 NaN NaN NaN NaN NaN WHEAT -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.1 -0.0 0.1 -0.3 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -1.9 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.1 -0.2 0.0 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 7.4 -6.5 0.4 2.1 -3.2 5.4 -4.6 4.5 7.2 -10.9 11.8 -11.9 9.0 -4.6 -2.8 -1.7 -2.4 -2.1 -0.5 -10.2 17.2 -11.6 13.3 -1.9 -0.0 -0.8 2.1 -4.3 5.6 -4.9 4.2 -0.3 -2.1 -2.0 -9.2 -4.0 BITCOIN -0.4 18.1 11.3 2.2 -0.4 -0.2 4.7 -0.5 5.1 -9.8 -15.8 -10.1 -15.7 -7.8 -10.7 1.5 -1.2 0.5 -0.2 -8.9 -14.0 -13.2 -19.2 -11.1 20.0 -0.0 -4.5 -4.8 -4.4 -7.9 -4.1 -6.7 1.3 -20.0 -20.0 -20.0 -14.6 BOBL 16.0 -0.9 -18.5 -2.7 3.1 -5.4 4.3 -6.4 1.6 4.8 -13.4 2.5 -12.9 -3.1 -13.2 20.0 19.5 20.0 20.0 -13.5 -20.0 5.3 -20.0 -1.2 9.4 -0.0 -4.0 2.0 -8.2 2.1 -10.8 0.2 20.0 -17.3 -7.8 6.5 -4.8 BTP 20.0 11.2 -0.6 -2.7 3.1 -5.4 4.3 -6.4 1.6 13.6 -9.9 14.1 -12.4 11.8 -4.8 20.0 15.0 20.0 19.5 1.4 -12.6 20.0 -20.0 15.3 6.9 -0.0 0.3 6.3 -5.3 7.0 -9.3 5.1 20.0 3.7 18.5 18.3 14.4 BUND 20.0 0.1 -16.0 -2.7 3.1 -5.4 4.3 -6.4 1.6 11.0 -12.5 11.3 -12.9 3.0 -11.5 10.4 16.1 13.4 15.1 -11.2 -20.0 11.8 -20.0 3.6 8.5 -0.0 -3.2 3.4 -7.4 3.8 -9.5 1.4 20.0 -7.5 1.3 4.1 -4.2 BUXL 20.0 -1.8 -9.5 -2.7 3.1 -5.4 4.3 -6.4 1.6 13.7 -11.9 13.9 -12.9 4.7 -9.5 4.8 -3.3 5.3 1.2 -9.3 -20.0 16.9 -20.0 6.8 7.3 -0.0 -2.9 5.1 -6.8 5.0 -8.4 2.0 -6.8 -3.9 6.7 -0.7 0.3 CAC 20.0 20.0 -0.4 1.2 2.3 -1.7 4.6 -2.3 4.4 12.0 4.7 14.7 -4.5 15.6 10.3 1.1 4.4 1.5 2.6 18.7 5.7 20.0 0.2 20.0 -12.2 -0.0 4.3 3.3 1.1 5.7 -0.2 6.6 7.7 4.6 15.8 20.0 13.6 CAD 20.0 6.1 -11.4 0.4 2.1 -3.2 5.4 -4.6 4.5 2.7 -9.8 10.1 -11.6 8.6 -5.0 -1.9 -0.7 -1.6 -1.2 -1.5 -10.7 11.0 -11.1 10.3 -2.9 -0.0 -1.2 0.2 -4.9 3.8 -5.1 3.4 1.4 -14.4 -8.4 -7.4 -9.2 CANOLA -1.3 19.4 -5.6 -1.4 -1.7 -2.5 0.9 0.4 0.7 -13.7 -8.7 -8.7 -1.0 5.5 8.9 18.2 13.9 11.0 9.7 3.2 -4.7 -15.4 1.1 -1.3 2.3 -0.0 2.4 -11.1 1.3 -7.2 3.0 -1.0 -1.2 -20.0 -10.1 20.0 17.2 CHF 20.0 6.5 3.5 0.4 2.1 -3.2 5.4 -4.6 4.5 6.9 -7.2 11.8 -9.7 8.2 -0.2 -11.6 -11.2 -12.1 -12.1 5.0 -3.8 20.0 -7.3 17.8 -2.9 -0.0 1.2 3.0 -2.3 7.5 -4.3 5.9 -17.0 20.0 3.6 -2.4 6.5 COCOA 20.0 14.4 3.1 -1.4 0.0 -2.6 2.1 0.4 1.1 -4.8 -6.6 8.0 -10.5 10.6 7.1 1.9 -3.2 1.0 -0.9 8.8 -1.0 9.1 -7.1 14.9 6.3 -0.0 3.8 -2.9 0.3 3.5 -1.9 5.9 -20.0 17.8 20.0 20.0 7.8 COFFEE -17.1 -20.0 -18.3 -1.4 -1.7 -2.5 0.9 0.4 0.7 -14.0 -12.0 -15.2 -4.3 -16.0 -15.0 3.3 5.0 7.3 7.4 -20.0 -20.0 -20.0 -7.6 -20.0 13.2 -0.0 -5.7 -3.2 -3.8 -4.3 -1.2 -5.7 -10.1 -20.0 -20.0 -20.0 -20.0 COPPER 20.0 20.0 12.2 2.2 -0.4 -0.2 4.7 -0.5 5.1 -8.3 -10.1 4.2 -10.3 7.3 5.3 0.1 0.2 0.5 0.3 6.3 -4.9 6.1 -9.9 12.5 18.3 -0.0 2.8 -2.8 -1.4 3.3 -2.8 5.5 2.8 -14.5 3.5 3.2 3.5 CORN -13.7 2.0 18.0 -1.4 -1.7 -2.5 0.9 0.4 0.7 -8.9 2.1 -10.6 5.6 -9.6 11.0 17.6 13.2 14.6 13.0 2.2 8.5 -9.8 16.2 -7.0 -19.8 -0.0 -0.8 -4.5 3.8 -6.0 9.7 -5.0 1.2 -20.0 -16.9 -1.2 13.7 COTTON2 20.0 -13.0 -20.0 -1.4 -1.7 -2.5 0.9 0.4 0.7 -8.0 -11.5 12.0 0.4 1.2 -9.4 4.3 18.4 8.7 15.0 -12.1 -15.2 6.3 -2.8 1.5 -5.7 -0.0 -2.9 -0.9 -3.0 1.7 1.5 0.5 9.2 2.3 9.8 -16.3 -16.4 CRUDE_W 4.8 10.6 -10.6 -1.5 -5.9 0.2 -4.4 6.6 -2.1 -13.3 -4.9 -7.4 4.2 9.7 5.8 8.1 14.1 9.1 11.7 2.8 0.1 -5.9 5.9 2.1 6.3 -0.0 1.6 -7.6 1.7 -3.3 7.0 0.7 -20.0 1.3 7.1 8.2 7.4 DAX 20.0 20.0 3.9 1.2 2.3 -1.7 4.6 -2.3 4.4 13.2 -0.4 15.2 -8.4 15.6 10.0 -3.8 -1.3 -3.1 -2.3 20.0 2.9 20.0 -8.0 20.0 -5.5 -0.0 4.5 4.5 0.8 6.9 -1.7 7.2 -1.3 20.0 20.0 20.0 17.3 DOW 20.0 20.0 1.1 1.2 2.3 -1.7 4.6 -2.3 4.4 11.6 -0.2 14.3 -5.0 14.9 7.8 -4.8 -1.5 -4.2 -3.2 15.4 2.4 18.7 -3.6 20.0 -3.5 -0.0 3.7 2.3 0.5 4.6 -0.7 5.8 -2.3 3.2 16.5 19.3 11.9 EUR 20.0 19.5 12.1 0.4 2.1 -3.2 5.4 -4.6 4.5 10.5 -8.8 14.0 -13.2 13.3 5.2 -7.0 -8.3 -7.7 -8.2 7.3 -7.3 20.0 -16.3 20.0 5.0 -0.0 1.9 3.7 -3.9 7.3 -8.1 6.5 -11.3 10.7 1.1 11.0 4.2 EUROSTX 20.0 20.0 3.0 1.2 2.3 -1.7 4.6 -2.3 4.4 13.0 2.6 15.2 -6.9 15.7 10.1 -1.0 2.7 -0.3 0.8 20.0 5.3 20.0 -3.1 20.0 -11.5 -0.0 4.6 4.5 1.3 6.7 -0.7 7.1 4.6 20.0 20.0 20.0 17.6 FEEDCOW 4.7 -1.6 -8.7 -1.4 -1.7 -2.5 0.9 0.4 0.7 4.7 -2.4 0.0 -2.1 3.7 -6.4 -19.3 -20.0 -17.6 -20.0 -3.8 -4.9 2.2 -3.2 -0.3 -2.3 -0.0 -2.5 4.0 -3.1 1.1 -1.8 -0.3 -20.0 6.0 -1.0 -4.0 -12.3 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL -6.7 8.0 -9.0 -1.5 -5.9 0.2 -4.4 6.6 -2.1 -13.9 6.5 -13.6 11.1 1.4 3.9 20.0 20.0 20.0 20.0 3.1 9.8 -14.3 20.0 -4.5 -4.7 -0.0 1.0 -9.6 3.9 -6.9 9.8 -2.3 0.0 -5.0 -6.8 11.2 15.1 GASOILINE 3.9 9.3 -19.9 -1.5 -5.9 0.2 -4.4 6.6 -2.1 -14.0 -6.1 -9.6 4.9 4.3 1.5 12.8 20.0 20.0 20.0 0.8 0.6 -12.9 11.0 -1.6 -2.3 -0.0 1.2 -11.9 2.4 -6.7 10.0 -0.7 4.7 -14.7 6.7 9.3 2.7 GAS_US 13.4 -20.0 -20.0 -1.5 -5.9 0.2 -4.4 6.6 -2.1 2.8 -7.3 5.3 1.8 -4.9 -11.1 -20.0 -12.8 -20.0 -18.3 -14.3 -9.8 4.7 2.4 -5.3 -10.0 -0.0 -3.3 3.3 -0.6 1.9 5.1 -1.2 -20.0 20.0 14.5 -20.0 3.8 GBP 19.5 19.3 10.1 0.4 2.1 -3.2 5.4 -4.6 4.5 12.7 -7.2 14.2 -11.1 14.2 2.7 -1.8 -1.4 -1.7 -1.7 4.0 -8.0 17.0 -13.6 14.3 15.3 -0.0 -1.2 3.7 -6.6 5.1 -8.9 3.7 0.3 1.3 -9.5 0.5 -12.3 GOLD_micro 20.0 13.7 -4.0 2.2 -0.4 -0.2 4.7 -0.5 5.1 7.2 -11.2 12.2 -11.8 10.2 -1.0 -9.7 -7.6 -9.7 -9.0 4.5 -7.7 20.0 -10.1 18.6 10.5 -0.0 1.5 1.5 -1.9 6.5 -2.3 5.9 -11.6 16.7 9.1 0.5 -8.8 HEATOIL -3.0 9.2 -12.7 -1.5 -5.9 0.2 -4.4 6.6 -2.1 -13.3 4.9 -11.3 10.1 7.1 4.8 20.0 20.0 20.0 20.0 4.3 9.0 -8.1 19.3 -0.8 -14.9 -0.0 2.0 -5.6 5.8 -4.0 14.3 -0.7 7.7 -3.9 0.9 10.6 17.3 JPY 20.0 20.0 6.3 0.4 2.1 -3.2 5.4 -4.6 4.5 7.7 -12.9 11.0 -15.1 8.4 -7.1 -11.9 -9.9 -12.5 -11.7 -1.5 -16.4 20.0 -20.0 14.6 20.0 -0.0 -0.7 3.4 -5.8 6.9 -9.2 4.9 -15.4 17.1 7.1 -3.0 -7.2 LEANHOG 6.3 16.1 -1.8 -1.4 -1.7 -2.5 0.9 0.4 0.7 5.2 -3.0 8.9 -0.5 13.4 10.1 -20.0 20.0 20.0 20.0 10.1 4.3 9.4 4.4 12.2 4.0 -0.0 2.7 1.8 0.8 3.4 1.3 3.9 20.0 20.0 3.0 9.9 3.8 LIVECOW -5.4 7.9 7.5 -1.4 -1.7 -2.5 0.9 0.4 0.7 12.5 4.4 -1.3 -2.5 4.4 5.4 -20.0 -20.0 -20.0 -20.0 5.3 3.8 4.7 -0.3 3.3 -13.6 -0.0 2.5 7.1 2.7 2.2 1.9 1.4 -20.0 8.0 -1.5 10.0 9.4 MXP 15.1 11.8 10.3 0.4 2.1 -3.2 5.4 -4.6 4.5 5.3 15.9 12.9 15.1 15.1 16.0 19.1 20.0 18.9 19.3 18.6 15.8 13.7 14.4 19.3 -20.0 -0.0 5.8 1.2 4.0 4.7 3.0 6.5 20.0 -18.0 -0.8 20.0 20.0 NASDAQ 16.7 4.7 -4.5 1.2 2.3 -1.7 4.6 -2.3 4.4 9.4 -12.0 11.3 -12.3 6.6 -9.1 -4.3 -2.8 -4.3 -3.8 -4.4 -11.5 11.5 -12.7 5.9 12.4 -0.0 -1.8 2.6 -4.8 4.8 -4.6 2.6 -4.0 7.4 -14.0 -13.6 -7.3 NIKKEI 13.2 7.2 -0.5 1.2 2.3 -1.7 4.6 -2.3 4.4 6.5 4.6 10.8 0.4 12.5 3.6 4.3 8.7 6.5 8.5 7.2 3.3 8.9 1.4 10.9 -11.1 -0.0 2.1 1.8 -0.8 4.4 -1.4 5.0 16.7 -8.7 -11.1 -0.1 0.5 NZD 20.0 17.6 -3.0 0.4 2.1 -3.2 5.4 -4.6 4.5 11.9 -9.7 14.5 -12.2 12.9 -1.4 -1.2 0.7 -0.9 -0.2 5.5 -9.4 20.0 -14.5 20.0 3.9 -0.0 1.0 4.0 -3.4 6.5 -4.9 5.7 3.4 1.6 8.6 4.3 -0.9 OAT 20.0 4.1 -6.1 -2.7 3.1 -5.4 4.3 -6.4 1.6 13.3 -11.3 13.0 -12.7 7.8 -9.4 16.0 12.2 14.9 14.2 -6.6 -17.8 15.9 -20.0 7.7 11.0 -0.0 -2.3 4.8 -7.0 5.0 -10.0 2.6 19.9 -1.6 8.8 6.8 0.1 OJ -6.5 13.7 9.5 -1.4 -1.7 -2.5 0.9 0.4 0.7 -5.4 14.0 -5.3 13.9 8.4 12.6 16.8 11.6 17.0 15.8 20.0 20.0 -3.6 20.0 9.2 -20.0 -0.0 5.5 -1.3 6.7 -1.0 6.4 2.2 2.9 -20.0 4.6 20.0 20.0 PALLAD 1.3 -11.3 -0.9 2.2 -0.4 -0.2 4.7 -0.5 5.1 -0.8 -8.9 5.7 -5.8 -5.2 -5.6 -2.4 -1.3 -2.0 -1.6 -5.7 -5.2 4.3 -4.7 -0.7 -1.0 -0.0 -1.9 -2.4 -1.4 2.2 -0.9 0.1 0.0 -1.2 -20.0 -20.0 -1.4 PLAT 13.1 18.4 12.3 2.2 -0.4 -0.2 4.7 -0.5 5.1 -9.9 3.4 5.3 -5.5 11.4 11.9 0.9 -0.2 0.5 0.1 14.4 6.2 5.7 -1.3 15.7 0.8 -0.0 4.5 -3.1 1.4 2.2 -1.2 5.4 2.3 -8.5 -0.1 10.6 12.0 REDWHEAT -3.3 2.6 -0.7 -1.4 -1.7 -2.5 0.9 0.4 0.7 -8.6 -9.1 -9.6 -3.1 -9.2 3.7 2.4 -0.9 1.3 0.5 -1.0 -2.2 -5.3 1.8 -3.0 -13.8 -0.0 0.7 -4.8 2.2 -2.5 5.8 -1.0 -20.0 -8.0 -6.6 7.1 7.7 ROBUSTA -20.0 -20.0 -15.5 -1.4 -1.7 -2.5 0.9 0.4 0.7 -5.9 -10.5 -13.6 0.1 -15.9 -14.6 6.5 6.2 6.6 6.2 -20.0 -18.5 -16.8 -3.2 -20.0 5.0 -0.0 -5.1 -0.8 -3.0 -2.7 -0.5 -5.0 -10.2 -13.3 -20.0 -20.0 -10.9 RUSSELL 15.7 10.5 3.0 1.2 2.3 -1.7 4.6 -2.3 4.4 5.3 -5.7 8.8 -10.6 10.7 -1.9 -3.8 -1.9 -3.6 -2.9 4.0 -3.0 7.2 -7.4 9.2 -2.9 -0.0 2.0 0.4 -0.9 3.5 -2.1 4.3 -2.4 -10.9 -5.8 0.8 9.0 SILVER-mini 20.0 14.9 11.7 2.2 -0.4 -0.2 4.7 -0.5 5.1 -8.8 -8.0 7.9 -10.0 10.1 8.1 -4.5 -3.1 -4.2 -3.7 10.0 -1.0 9.0 -8.4 15.7 16.5 -0.0 3.5 -1.8 -0.9 3.2 -3.9 5.6 -3.3 -12.2 7.2 9.2 0.2 SOYBEAN 8.7 4.2 2.1 -1.4 -1.7 -2.5 0.9 0.4 0.7 -8.1 -0.9 2.1 3.9 5.1 8.2 15.3 20.0 17.6 20.0 3.7 2.0 -2.1 5.8 3.3 -17.4 -0.0 3.9 -5.4 5.3 -1.6 10.1 2.4 19.3 -14.4 5.6 9.2 10.7 SOYMEAL 3.6 -2.3 2.6 -1.4 -1.7 -2.5 0.9 0.4 0.7 0.5 -2.1 -2.2 7.0 -0.4 -0.4 13.4 14.7 14.1 15.3 0.2 1.7 -1.0 5.5 -0.5 -9.3 -0.0 1.5 0.5 4.0 -0.9 8.0 -0.2 5.3 -2.5 -1.8 -0.5 8.6 SOYOIL 15.1 20.0 6.3 -1.4 -1.7 -2.5 0.9 0.4 0.7 -11.0 3.6 2.1 6.0 11.3 12.7 20.0 20.0 20.0 20.0 18.7 12.1 -1.6 11.9 15.6 -20.0 -0.0 5.1 -4.7 4.2 -0.5 4.6 4.0 18.4 -20.0 20.0 20.0 20.0 SP400 20.0 12.8 1.1 1.2 2.3 -1.7 4.6 -2.3 4.4 7.8 -3.8 11.7 -7.2 12.4 1.8 -0.4 -1.1 -0.4 -0.7 7.7 -0.8 13.3 -4.4 14.8 -6.0 -0.0 3.1 2.1 0.2 5.3 -0.5 5.8 0.0 0.7 3.5 6.3 11.5 SP500 20.0 9.8 -3.7 1.2 2.3 -1.7 4.6 -2.3 4.4 10.4 -8.7 12.4 -9.4 10.9 -3.8 -4.5 -2.8 -4.3 -3.6 2.3 -6.3 13.2 -8.0 11.5 8.4 -0.0 0.9 2.8 -2.9 5.4 -3.8 4.7 -3.7 3.9 -2.6 -2.7 0.9 SUGAR11 20.0 19.7 4.1 -1.4 -1.7 -2.5 0.9 0.4 0.7 9.1 0.0 13.3 -2.2 13.6 10.1 20.0 19.5 20.0 20.0 15.2 5.7 20.0 1.8 20.0 -10.1 -0.0 4.7 4.2 2.2 7.5 1.2 7.2 17.8 20.0 20.0 20.0 15.3 US10 20.0 -3.0 -12.5 -2.7 3.1 -5.4 4.3 -6.4 1.6 8.4 -12.9 10.7 -14.0 3.5 -11.4 -3.9 2.1 -3.4 -1.7 -11.5 -20.0 14.6 -20.0 5.6 -5.7 -0.0 -2.9 2.4 -6.2 4.7 -7.7 2.2 -3.0 1.9 1.8 -1.1 -2.6 US10U 20.0 -4.9 -13.3 -2.7 3.1 -5.4 4.3 -6.4 1.6 8.7 -13.1 11.0 -13.8 1.9 -11.6 -0.2 5.1 0.3 1.8 -12.3 -20.0 15.2 -20.0 4.8 -5.9 -0.0 -3.1 3.0 -6.1 4.9 -7.1 1.9 2.7 1.8 0.9 -3.4 -1.4 US20 20.0 -6.7 -16.6 -2.7 3.1 -5.4 4.3 -6.4 1.6 11.1 -13.2 12.5 -13.8 0.1 -11.5 1.5 2.9 1.7 2.1 -15.5 -20.0 19.0 -20.0 3.8 -4.6 -0.0 -3.7 4.4 -5.9 5.1 -6.1 1.2 0.9 9.4 -3.2 -11.5 -5.8 US30 20.0 -4.5 -13.1 -2.7 3.1 -5.4 4.3 -6.4 1.6 9.7 -14.3 11.6 -15.0 -2.6 -11.8 -2.0 0.3 -1.5 -0.9 -16.9 -20.0 14.4 -20.0 0.4 -1.2 -0.0 -4.1 3.9 -6.5 4.3 -7.1 0.4 -3.9 -2.7 -7.4 -13.3 -1.2 US5 20.0 -0.7 -10.1 -2.7 3.1 -5.4 4.3 -6.4 1.6 7.9 -12.7 10.4 -14.2 4.6 -11.1 -5.6 3.4 -4.6 -2.1 -11.3 -20.0 13.8 -20.0 5.7 -4.3 -0.0 -2.8 1.7 -6.5 4.5 -8.6 2.1 -2.0 1.3 1.7 0.2 -4.0 VIX -20.0 -4.0 0.4 -2.9 -2.7 -1.5 -3.5 -1.3 -4.2 -8.6 -8.1 -12.7 -7.6 -12.7 -6.4 -10.1 -17.2 -7.2 -10.8 -8.9 -5.3 -10.4 -5.4 -12.7 NaN -0.0 -3.5 -3.1 -1.8 -4.1 -1.8 -5.0 NaN NaN NaN NaN NaN WHEAT -5.7 2.0 -3.0 -1.4 -1.7 -2.5 0.9 0.4 0.7 -13.3 -10.1 -14.0 -5.6 -11.4 4.1 -4.1 -3.7 -3.8 -3.8 -4.2 -5.5 -11.9 -1.4 -7.6 -12.9 -0.0 -1.4 -9.8 0.9 -7.5 5.3 -4.5 -20.0 -20.0 -12.1 1.6 1.8 End of report for caleb_strategy_v1