******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221122_204337 produced at 2022-11-22 21:35:23.836745 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 VIX False False 0.01 -0.08 -0.16 0.0 9092631.03 -9092631.03 -0.08 -0.10 -17.98 999999999 -9 -11 caleb_strategy_v1 US10U False False 0.04 0.00 -0.16 0.0 40479940.41 -40479940.41 0.00 0.00 -3.85 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.33 -0.12 0.0 36759887.83 -36759887.83 -0.33 -0.33 -3.16 999999999 -9 -9 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 21408702.30 -21408702.30 -0.11 -0.11 -5.34 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 38471699.53 -38471699.53 0.00 0.00 -2.27 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.08 0.0 31619111.65 -31619111.65 -0.09 -0.09 -2.61 999999999 -3 -3 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.07 0.0 42910125.51 -42910125.51 -0.09 -0.09 -1.53 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 -0.14 -0.07 0.0 45623387.11 -45623387.11 -0.14 -0.14 -1.55 999999999 -3 -3 caleb_strategy_v1 CHF False False 0.04 -0.09 -0.06 0.0 44668404.49 -44668404.49 -0.09 -0.09 -1.36 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 28731000.80 -28731000.80 0.00 0.00 -1.81 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.12 -0.03 0.0 30166341.66 -30166341.66 -0.12 -0.12 -1.10 999999999 -4 -4 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.02 0.0 53505950.09 -53505950.09 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 0.00 -0.02 0.0 43828788.89 -43828788.89 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25421765.77 -25421765.77 -0.05 -0.08 -0.70 999999999 -2 -3 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 22582882.28 -22582882.28 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14425151.48 -14425151.48 0.00 0.00 -0.48 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 5946785.79 -5946785.79 0.00 0.00 -1.86 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6197345.88 -6197345.88 0.00 0.00 -1.18 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 79223820.67 -79223820.67 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.01 0.0 3143965.18 -3143965.18 -0.01 -0.00 -3.87 999999999 -2 -1 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 23524619.07 -23524619.07 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 63682600.01 -63682600.01 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8395301.43 -8395301.43 0.00 0.00 -0.39 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15749735.88 -15749735.88 -0.02 -0.02 -0.31 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 85658737.17 -85658737.17 0.00 0.00 -0.02 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10570183.57 -10570183.57 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 13635528.26 -13635528.26 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 67600806.14 -67600806.14 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20567377.56 -20567377.56 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10361668.34 -10361668.34 0.02 0.02 0.16 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 522484.46 -522484.46 0.00 0.00 4.39 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.00 0.0 20848104.00 -20848104.00 0.04 0.04 0.23 999999999 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 14172198.58 -14172198.58 0.00 0.00 0.83 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16918788.44 -16918788.44 0.00 0.00 0.52 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.01 0.0 30597899.80 -30597899.80 0.03 0.03 0.43 999999999 1 1 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 25263242.92 -25263242.92 0.03 0.03 0.37 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4272326.10 -4272326.10 0.00 0.00 1.88 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.02 0.01 0.0 5764762.25 -5764762.25 0.02 0.02 1.28 999999999 4 3 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 17978028.69 -17978028.69 0.00 0.00 0.78 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.01 0.0 25760175.72 -25760175.72 0.05 0.05 0.38 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 13807759.98 -13807759.98 0.00 0.00 0.87 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5078101.22 -5078101.22 0.00 0.00 3.94 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7614839.20 -7614839.20 0.02 0.02 2.67 999999999 2 2 caleb_strategy_v1 CAC False False 0.02 0.07 0.02 0.0 23427776.34 -23427776.34 0.07 0.09 1.00 999999999 3 4 caleb_strategy_v1 GASOILINE False False 0.03 0.03 0.02 0.0 33761417.56 -33761417.56 0.03 0.03 0.60 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8697819.42 -8697819.42 0.00 0.00 3.21 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.04 0.0 13813278.94 -13813278.94 0.06 0.06 2.55 999999999 4 4 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 32012214.12 -32012214.12 0.00 0.00 1.30 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.05 0.0 12357090.66 -12357090.66 0.05 0.05 4.08 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.09 0.05 0.0 47031394.70 -47031394.70 0.09 0.09 1.15 999999999 2 2 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.0 41690844.91 -41690844.91 0.13 0.13 1.17 999999999 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 47679371.11 -47679371.11 0.00 0.00 1.10 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.0 23534873.92 -23534873.92 0.05 0.05 3.65 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.05 0.14 0.0 6788588.28 -6788588.28 0.05 0.05 20.24 999999999 8 8 caleb_strategy_v1 BUND False False 0.05 0.10 0.15 0.0 49291802.03 -49291802.03 0.10 0.10 3.04 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.21 0.35 0.0 42176686.54 -42176686.54 0.21 0.21 8.38 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 10.0 Shocked risk 29.8 Sum abs risk 35.6 Leverage 2.38 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2925445.88, 'annual_cash_vol_target': 731361.47, 'daily_cash_vol_target': 45710.091875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0068 0.6606 1.0296 16.4743 BITCOIN 1105.9467 15285.0000 7.2355 115.7681 BOBL 0.4106 119.8000 0.3427 5.4835 BTP 1.0731 118.4200 0.9062 14.4988 BUND 0.8778 140.0100 0.6269 10.0311 BUXL 2.1964 151.9800 1.4452 23.1232 CAC 63.8916 6654.5000 0.9601 15.3620 CAD 0.0046 0.7437 0.6174 9.8784 CANOLA 8.9896 836.3000 1.0749 17.1988 CHF 0.0083 1.0454 0.7947 12.7157 COCOA 33.2356 2456.0000 1.3532 21.6518 COFFEE 0.0392 1.6045 2.4415 39.0645 COPPER 0.0726 3.5805 2.0275 32.4395 CORN 4.9734 606.2500 0.8204 13.1257 COTTON2 0.0212 0.7978 2.6539 42.4625 CRUDE_W 1.4820 75.3600 1.9666 31.4655 DAX 142.6718 14424.0000 0.9891 15.8260 DOW 359.7132 33729.0000 1.0665 17.0637 EUR 0.0081 1.0258 0.7877 12.6031 EUROSTX 40.1253 3922.0000 1.0231 16.3693 FEEDCOW 1.3830 185.0000 0.7476 11.9614 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.1733 936.5000 2.0473 32.7573 GASOILINE 0.0500 2.3516 2.1248 33.9962 GAS_US 0.2325 6.8820 3.3791 54.0653 GBP 0.0123 1.1825 1.0407 16.6518 GOLD_micro 17.3960 1739.7000 0.9999 15.9990 HEATOIL 0.0606 3.2759 1.8501 29.6011 JPY 0.0001 0.0071 0.9668 15.4691 LEANHOG 1.2129 90.3750 1.3420 21.4727 LIVECOW 0.8978 156.5750 0.5734 9.1748 MXP 0.0003 0.0509 0.6380 10.2079 NASDAQ 207.9484 11588.2500 1.7945 28.7116 NIKKEI 268.5790 28045.0000 0.9577 15.3227 NZD 0.0060 0.6099 0.9766 15.6255 OAT 0.9162 135.4300 0.6765 10.8241 OJ 0.0368 2.0615 1.7855 28.5685 PALLAD 49.2846 1863.0000 2.6454 42.3271 PLAT 19.2244 989.9000 1.9421 31.0729 REDWHEAT 15.6480 921.5000 1.6981 27.1697 ROBUSTA 24.4182 1813.0000 1.3468 21.5494 RUSSELL 29.8565 1839.5000 1.6231 25.9692 SILVER-mini 0.4282 21.0375 2.0356 32.5694 SOYBEAN 12.5368 1377.0000 0.9104 14.5671 SOYMEAL 4.7977 404.1000 1.1872 18.9959 SOYOIL 0.9583 69.1000 1.3869 22.1898 SP400 35.9891 2505.9000 1.4362 22.9788 SP500 54.2292 3955.2500 1.3711 21.9371 SUGAR11 0.0026 0.1989 1.3151 21.0417 US10 0.5595 112.5469 0.4971 7.9536 US10U 0.7745 118.4219 0.6540 10.4636 US20 1.1113 125.5312 0.8853 14.1650 US30 1.6406 133.4688 1.2292 19.6678 US5 0.3754 107.5391 0.3491 5.5857 VIX 0.5163 26.6000 1.9411 31.0580 WHEAT 13.1977 844.0000 1.5637 25.0193 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 660.65 1.03 680.23 1.00 680.23 45710.09 67.20 -3.30 -22.19 BITCOIN 15.28 7.24 110.59 1.00 110.59 45710.09 413.31 4.50 186.14 BOBL 1198.00 0.34 410.58 1.02 424.20 45710.09 107.76 10.78 116.20 BTP 1184.20 0.91 1073.09 1.02 1108.69 45710.09 41.23 14.06 57.96 BUND 1400.10 0.63 877.78 1.02 906.91 45710.09 50.40 8.35 42.07 BUXL 1519.80 1.45 2196.42 1.02 2269.29 45710.09 20.14 -2.39 -4.82 CAC 665.45 0.96 638.92 1.02 660.12 45710.09 69.25 5.15 35.68 CAD 743.70 0.62 459.16 1.00 459.16 45710.09 99.55 -3.92 -39.06 CANOLA 167.26 1.07 179.79 0.74 134.34 45710.09 340.27 6.03 205.31 CHF 1306.75 0.79 1038.51 1.00 1038.51 45710.09 44.01 -8.29 -36.47 COCOA 245.60 1.35 332.36 1.00 332.36 45710.09 137.53 -1.29 -17.68 COFFEE 601.69 2.44 1469.04 1.00 1469.04 45710.09 31.12 -3.80 -11.81 COPPER 895.12 2.03 1814.84 1.00 1814.84 45710.09 25.19 6.27 15.79 CORN 303.12 0.82 248.67 1.00 248.67 45710.09 183.82 0.95 17.47 COTTON2 398.90 2.65 1058.64 1.00 1058.64 45710.09 43.18 -1.94 -8.38 CRUDE_W 753.60 1.97 1482.03 1.00 1482.03 45710.09 30.84 0.94 2.90 DAX 144.24 0.99 142.67 1.02 147.41 45710.09 310.10 2.34 72.56 DOW 168.64 1.07 179.86 1.00 179.86 45710.09 254.15 1.77 45.09 EUR 1282.19 0.79 1009.97 1.00 1009.97 45710.09 45.26 -2.73 -12.36 EUROSTX 392.20 1.02 401.25 1.02 414.57 45710.09 110.26 2.81 31.02 FEEDCOW 925.00 0.75 691.52 1.00 691.52 45710.09 66.10 -14.68 -97.02 FTSE100 707.00 0.82 576.59 1.18 666.67 45710.09 68.56 -2.56 -17.57 GASOIL 936.50 2.05 1917.33 1.00 1917.33 45710.09 23.84 7.62 18.16 GASOILINE 987.67 2.12 2098.57 1.00 2098.57 45710.09 21.78 6.70 14.60 GAS_US 688.20 3.38 2325.48 1.00 2325.48 45710.09 19.66 -15.45 -30.38 GBP 739.06 1.04 769.17 1.00 769.17 45710.09 59.43 3.51 20.83 GOLD_micro 173.97 1.00 173.96 1.00 173.96 45710.09 262.76 -3.17 -83.23 HEATOIL 1375.88 1.85 2545.47 1.00 2545.47 45710.09 17.96 8.97 16.10 JPY 882.50 0.97 853.22 1.00 853.22 45710.09 53.57 -3.18 -17.05 LEANHOG 361.50 1.34 485.15 1.00 485.15 45710.09 94.22 9.28 87.42 LIVECOW 626.30 0.57 359.14 1.00 359.14 45710.09 127.28 -15.61 -198.68 MXP 254.45 0.64 162.34 1.00 162.34 45710.09 281.57 9.30 261.87 NASDAQ 2317.65 1.79 4158.97 1.00 4158.97 45710.09 10.99 -2.52 -2.77 NIKKEI 28045.00 0.96 26857.90 0.01 191.35 45710.09 238.88 4.46 106.57 NZD 609.90 0.98 595.63 1.00 595.63 45710.09 76.74 1.88 14.41 OAT 1354.30 0.68 916.20 1.02 946.60 45710.09 48.29 11.24 54.28 OJ 309.23 1.79 552.13 1.00 552.13 45710.09 82.79 -1.69 -13.99 PALLAD 1863.00 2.65 4928.46 1.00 4928.46 45710.09 9.27 -4.08 -3.78 PLAT 494.95 1.94 961.22 1.00 961.22 45710.09 47.55 4.52 21.52 REDWHEAT 460.75 1.70 782.40 1.00 782.40 45710.09 58.42 -9.86 -57.59 ROBUSTA 181.30 1.35 244.18 1.00 244.18 45710.09 187.20 -4.87 -91.18 RUSSELL 91.98 1.62 149.28 1.00 149.28 45710.09 306.20 -2.44 -74.74 SILVER-mini 525.94 2.04 1070.59 1.00 1070.59 45710.09 42.70 8.19 34.95 SOYBEAN 688.50 0.91 626.84 1.00 626.84 45710.09 72.92 8.49 61.90 SOYMEAL 404.10 1.19 479.77 1.00 479.77 45710.09 95.28 4.54 43.25 SOYOIL 414.60 1.39 574.99 1.00 574.99 45710.09 79.50 11.41 90.68 SP400 2505.90 1.44 3598.91 1.00 3598.91 45710.09 12.70 -0.29 -0.37 SP500 1977.62 1.37 2711.46 1.00 2711.46 45710.09 16.86 -0.64 -1.08 SUGAR11 222.77 1.32 292.96 1.00 292.96 45710.09 156.03 12.60 196.63 US10 1125.47 0.50 559.47 1.00 559.47 45710.09 81.70 -7.23 -59.05 US10U 1184.22 0.65 774.45 1.00 774.45 45710.09 59.02 -4.47 -26.41 US20 1255.31 0.89 1111.34 1.00 1111.34 45710.09 41.13 -5.06 -20.80 US30 1334.69 1.23 1640.64 1.00 1640.64 45710.09 27.86 -6.63 -18.48 US5 1075.39 0.35 375.42 1.00 375.42 45710.09 121.76 -6.76 -82.28 VIX 266.00 1.94 516.34 1.00 516.34 45710.09 88.53 -10.77 -95.39 WHEAT 422.00 1.56 659.88 1.00 659.88 45710.09 69.27 -13.08 -90.64 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -22.186 0.006 2.5 -0.354 BITCOIN 186.144 0.009 2.5 4.386 BOBL 116.201 0.029 2.5 8.385 BTP 57.957 0.008 2.5 1.171 BUND 42.070 0.029 2.5 3.036 BUXL -4.820 0.034 2.5 -0.405 CAC 35.676 0.011 2.5 1.003 CAD -39.062 0.007 2.5 -0.697 CANOLA 205.306 0.004 2.5 1.885 CHF -36.472 0.015 2.5 -1.365 COCOA -17.676 0.009 2.5 -0.385 COFFEE -11.813 0.005 2.5 -0.153 COPPER 15.793 0.011 2.5 0.432 CORN 17.471 0.004 2.5 0.158 COTTON2 -8.383 0.006 2.5 -0.126 CRUDE_W 2.898 0.053 2.5 0.383 DAX 72.563 0.022 2.5 3.941 DOW 45.089 0.011 2.5 1.285 EUR -12.356 0.015 2.5 -0.462 EUROSTX 31.025 0.011 2.5 0.872 FEEDCOW -97.020 0.011 2.5 -2.607 FTSE100 -17.574 0.041 2.5 -1.812 GASOIL 18.162 0.029 2.5 1.295 GASOILINE 14.603 0.016 2.5 0.600 GAS_US -30.378 0.006 2.5 -0.457 GBP 20.831 0.007 2.5 0.372 GOLD_micro -83.228 0.009 2.5 -1.862 HEATOIL 16.101 0.029 2.5 1.149 JPY -17.045 0.026 2.5 -1.103 LEANHOG 87.415 0.019 2.5 4.084 LIVECOW -198.682 0.011 2.5 -5.339 MXP 261.871 0.005 2.5 3.206 NASDAQ -2.768 0.022 2.5 -0.150 NIKKEI 106.570 0.076 2.5 20.241 NZD 14.409 0.006 2.5 0.230 OAT 54.279 0.008 2.5 1.096 OJ -13.987 0.007 2.5 -0.244 PALLAD -3.781 0.010 2.5 -0.091 PLAT 21.516 0.010 2.5 0.518 REDWHEAT -57.594 0.002 2.5 -0.307 ROBUSTA -91.180 0.005 2.5 -1.182 RUSSELL -74.743 0.021 2.5 -3.871 SILVER-mini 34.948 0.009 2.5 0.782 SOYBEAN 61.899 0.024 2.5 3.650 SOYMEAL 43.250 0.024 2.5 2.550 SOYOIL 90.679 0.004 2.5 0.832 SP400 -0.366 0.021 2.5 -0.019 SP500 -1.083 0.011 2.5 -0.031 SUGAR11 196.631 0.005 2.5 2.668 US10 -59.051 0.015 2.5 -2.265 US10U -26.408 0.058 2.5 -3.848 US20 -20.803 0.029 2.5 -1.533 US30 -18.479 0.034 2.5 -1.551 US5 -82.284 0.015 2.5 -3.157 VIX -95.385 0.075 2.5 -17.975 WHEAT -90.639 0.002 2.5 -0.484 ==================== Position diags ==================== AUD 1.07 BITCOIN 9.74 BOBL 7.78 BTP 0.83 BUND 3.64 BUXL 1.69 CAC 1.95 CAD 1.78 CANOLA 3.12 CHF 1.65 COCOA 3.00 COFFEE 0.40 COPPER 0.69 CORN 1.66 COTTON2 0.65 CRUDE_W 4.07 DAX 16.84 DOW 7.24 EUR 1.69 EUROSTX 3.10 FEEDCOW 1.78 FTSE100 7.07 GASOIL 1.70 GASOILINE 0.89 GAS_US 0.30 GBP 1.06 GOLD_micro 5.88 HEATOIL 1.28 JPY 3.47 LEANHOG 4.40 LIVECOW 3.42 MXP 3.45 NASDAQ 0.60 NIKKEI 45.37 NZD 1.23 OAT 0.98 OJ 1.44 PALLAD 0.22 PLAT 1.14 REDWHEAT 0.31 ROBUSTA 2.43 RUSSELL 15.86 SILVER-mini 0.96 SOYBEAN 4.30 SOYMEAL 5.62 SOYOIL 0.73 SP400 0.66 SP500 0.48 SUGAR11 2.12 US10 3.13 US10U 8.60 US20 3.03 US30 2.34 US5 4.67 VIX 16.68 WHEAT 0.37 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 4.4 3.4 5.4 NaN 0 BOBL 8.4 7.6 9.2 5.0 5 BTP 1.2 1.1 1.3 3.0 3 BUND 3.0 2.7 3.4 2.0 2 BUXL -0.4 -0.6 -0.2 0.0 0 CAC 1.0 0.8 1.2 3.0 3 CAD -0.7 -0.9 -0.5 -2.0 -2 CANOLA 1.9 1.6 2.2 NaN 0 CHF -1.4 -1.5 -1.2 -2.0 -2 COCOA -0.4 -0.7 -0.1 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 3.9 2.3 5.6 NaN 0 DOW 1.3 0.6 2.0 4.0 4 EUR -0.5 -0.6 -0.3 0.0 0 EUROSTX 0.9 0.6 1.2 0.0 0 FEEDCOW -2.6 -2.8 -2.4 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.3 1.1 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 -1.9 -2.5 -1.3 0.0 0 HEATOIL 1.1 1.0 1.3 2.0 2 JPY -1.1 -1.5 -0.8 -4.0 -4 LEANHOG 4.1 3.6 4.5 4.0 4 LIVECOW -5.3 -5.7 -5.0 -5.0 -5 MXP 3.2 2.9 3.6 NaN 0 NASDAQ -0.2 -0.2 -0.1 0.0 0 NIKKEI 20.2 15.7 24.8 8.0 8 NZD 0.2 0.1 0.4 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 -3.9 -5.5 -2.3 -2.0 -2 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.6 3.2 4.1 2.0 2 SOYMEAL 2.6 2.0 3.1 4.0 4 SOYOIL 0.8 0.8 0.9 0.0 0 SP400 -0.0 -0.1 0.0 NaN 0 SP500 -0.0 -0.1 0.0 NaN 0 SUGAR11 2.7 2.5 2.9 2.0 2 US10 -2.3 -2.6 -2.0 NaN 0 US10U -3.8 -4.7 -3.0 0.0 0 US20 -1.5 -1.8 -1.2 -2.0 -2 US30 -1.6 -1.8 -1.3 -3.0 -3 US5 -3.2 -3.6 -2.7 -9.0 -9 VIX -18.0 -19.6 -16.3 -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 -0.3 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 -0.3 BOBL 0.1 -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 -0.1 -0.2 0.0 -0.2 -0.0 1.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 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 -0.1 0.0 -0.2 0.0 0.8 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 2.7 -0.0 0.3 0.2 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 0.8 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 0.0 -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 -0.1 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 0.1 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 0.1 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 -0.0 0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.0 0.0 0.1 1.3 0.5 0.2 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.2 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 0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.0 -0.1 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 0.9 -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 -0.1 -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 0.2 0.2 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 2.2 -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 0.2 1.4 0.6 0.3 0.3 0.0 0.1 -0.0 0.2 -0.0 -2.9 -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 -1.3 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.2 -0.0 0.1 -0.4 -0.5 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 0.1 0.0 -0.1 0.0 -0.9 -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 0.3 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 0.1 -0.2 0.1 0.3 -0.1 0.1 -0.0 0.0 0.2 0.1 0.0 -0.0 0.0 -1.6 -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 0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -1.5 -0.8 -0.4 -0.4 -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 -2.7 0.0 -0.0 -0.0 -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 -0.1 -0.0 -0.1 0.0 -0.1 0.2 -0.0 -0.1 0.2 -0.1 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 -0.2 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 -0.2 -0.0 0.1 0.0 0.0 1.0 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 0.6 -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 -0.1 -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 0.4 -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 0.1 -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 -0.1 0.1 -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 0.0 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 -0.1 -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 0.5 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 2.7 0.1 0.0 0.2 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 -2.3 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.8 0.0 -0.1 0.2 0.1 MXP 0.1 0.2 0.2 0.0 -0.0 -0.1 0.0 -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 0.0 -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 -0.4 -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 -1.5 -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 -0.0 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 0.1 0.1 -0.0 OJ -0.0 0.2 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 0.0 -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 -0.1 -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 -0.3 -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 0.0 -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 3.5 -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 1.3 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 -0.0 -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 0.1 0.3 0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.0 0.1 0.0 0.2 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.1 -0.0 0.2 0.0 -2.9 -0.0 0.1 -0.0 0.1 -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 0.1 -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 0.2 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 0.0 -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 -0.0 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 2.5 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 0.2 0.0 0.0 -0.1 -0.1 US30 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 -0.2 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 -0.3 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 -1.8 -1.4 -0.3 -0.5 -0.2 -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 -0.0 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.0 -0.2 -0.0 -0.1 -0.0 0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -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 -0.3 -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 8.3 -6.3 0.4 -0.6 -3.2 3.8 -4.7 4.1 2.5 -10.7 9.3 -11.8 8.5 -4.4 -2.7 -1.7 -2.4 -2.1 -0.4 -9.9 10.9 -11.5 11.3 -1.6 -0.0 -0.7 -1.2 -4.3 3.7 -5.0 3.7 -0.3 -0.8 -2.0 -9.7 -4.1 BITCOIN -3.0 17.5 11.8 2.2 -2.8 -0.1 2.8 -0.5 4.5 -12.6 -15.8 -11.9 -15.8 -9.4 -11.3 1.2 -1.2 0.4 -0.2 -9.7 -14.4 -14.5 -19.4 -12.2 20.0 -0.0 -4.7 -5.4 -4.4 -7.7 -4.1 -6.8 1.3 -20.0 -20.0 -20.0 -15.3 BOBL 14.1 -0.4 -18.7 -2.4 2.5 -5.4 4.0 -6.5 1.8 4.6 -13.3 3.0 -12.9 -2.4 -13.0 20.0 19.6 20.0 20.0 -13.0 -20.0 5.6 -20.0 -0.5 9.5 -0.0 -3.8 1.7 -8.2 2.2 -11.0 0.4 20.0 -17.5 -9.7 5.7 -5.1 BTP 20.0 13.3 0.7 -2.4 2.5 -5.4 4.0 -6.5 1.8 10.9 -9.5 13.3 -12.4 12.2 -4.3 20.0 15.2 20.0 19.7 2.4 -11.9 19.7 -20.0 15.8 6.8 -0.0 0.6 4.2 -5.1 6.3 -9.1 5.2 20.0 -1.1 15.0 17.8 14.7 BUND 20.0 1.3 -16.0 -2.4 2.5 -5.4 4.0 -6.5 1.8 10.5 -12.3 11.7 -12.9 4.1 -11.2 10.1 16.1 13.2 15.0 -10.5 -20.0 11.3 -20.0 4.4 8.5 -0.0 -3.0 2.6 -7.4 3.6 -9.7 1.7 20.0 -8.7 -0.6 3.2 -4.6 BUXL 20.0 -0.2 -9.9 -2.4 2.5 -5.4 4.0 -6.5 1.8 13.4 -11.6 14.3 -12.8 6.4 -9.1 4.8 -3.2 5.2 1.3 -8.2 -20.0 16.9 -20.0 8.1 7.4 -0.0 -2.6 4.2 -6.7 4.9 -8.4 2.4 -6.4 -4.8 5.4 -2.7 -0.2 CAC 20.0 20.0 0.1 1.4 2.0 -1.5 4.3 -2.3 4.4 13.4 5.3 15.1 -4.2 15.9 10.9 0.9 4.3 1.4 2.5 19.9 6.5 20.0 0.6 20.0 -12.4 -0.0 4.4 3.2 1.3 5.4 -0.2 6.4 7.6 6.0 16.1 20.0 13.8 CAD 20.0 6.8 -11.6 0.4 -0.6 -3.2 3.8 -4.7 4.1 -3.0 -9.7 7.5 -11.5 8.1 -4.9 -2.0 -0.7 -1.6 -1.2 -1.6 -10.6 6.1 -11.1 8.6 -2.7 -0.0 -1.2 -2.3 -4.9 2.2 -5.3 2.9 1.4 -11.6 -8.5 -6.9 -9.0 CANOLA -3.8 17.5 -5.8 -1.4 -1.3 -2.5 0.4 0.4 0.5 -14.0 -8.9 -11.2 -1.1 1.2 8.1 17.6 13.9 11.0 9.8 1.2 -5.2 -20.0 0.9 -5.5 2.7 -0.0 1.4 -12.2 1.0 -8.9 2.8 -2.8 -1.2 -20.0 -17.2 19.6 15.5 CHF 20.0 7.5 4.0 0.4 -0.6 -3.2 3.8 -4.7 4.1 3.3 -6.8 10.1 -9.5 8.0 0.3 -11.6 -11.2 -12.1 -12.1 5.3 -3.5 15.5 -7.2 16.1 -2.8 -0.0 1.4 0.3 -2.2 5.7 -4.3 5.5 -17.0 20.0 4.5 -1.9 6.5 COCOA 20.0 14.2 3.4 -1.4 -2.1 -2.5 0.8 0.4 0.7 -9.4 -6.4 6.6 -10.4 9.8 7.0 1.6 -3.2 0.9 -1.0 8.7 -0.8 5.9 -7.1 13.3 6.0 -0.0 3.8 -3.1 0.4 2.3 -1.9 5.3 -20.0 12.7 20.0 20.0 8.1 COFFEE -12.9 -20.0 -18.6 -1.4 -1.3 -2.5 0.4 0.4 0.5 -6.3 -12.2 -13.5 -4.5 -15.7 -15.0 2.9 4.9 7.0 7.2 -20.0 -20.0 -20.0 -7.8 -20.0 13.6 -0.0 -5.7 -1.2 -3.9 -3.5 -1.3 -5.4 -10.4 -13.6 -20.0 -20.0 -20.0 COPPER 19.2 20.0 12.5 2.2 -2.8 -0.1 2.8 -0.5 4.5 -12.2 -10.0 1.3 -10.3 5.6 4.6 -0.0 0.2 0.5 0.3 5.7 -4.9 0.3 -9.9 9.7 18.2 -0.0 2.7 -4.8 -1.4 1.3 -2.8 4.6 2.8 -11.4 2.4 3.0 3.7 CORN -14.4 0.9 18.6 -1.4 -1.3 -2.5 0.4 0.4 0.5 -12.0 2.0 -12.1 5.6 -10.8 10.7 17.7 13.3 14.8 13.1 1.4 8.1 -11.5 16.2 -8.0 -19.3 -0.0 -1.2 -6.9 3.5 -6.9 9.3 -5.5 1.2 -20.0 -18.3 -2.4 13.2 COTTON2 20.0 -10.7 -20.0 -1.4 -1.3 -2.5 0.4 0.4 0.5 -11.8 -11.5 8.4 0.3 0.9 -9.5 4.2 18.3 8.5 14.8 -12.1 -14.8 -1.8 -2.9 -1.4 -5.4 -0.0 -3.1 -5.3 -3.1 -0.7 1.5 -0.3 8.9 -11.7 8.2 -16.2 -16.8 CRUDE_W 5.0 10.7 -10.5 -1.6 -6.2 0.2 -4.5 6.6 -2.2 -13.3 -4.8 -7.4 4.2 9.8 5.9 8.0 14.1 9.1 11.7 2.9 0.1 -5.4 5.9 2.3 6.3 -0.0 1.6 -6.9 1.7 -3.0 7.0 0.9 -20.0 2.7 7.6 8.4 7.5 DAX 20.0 20.0 5.0 1.4 2.0 -1.5 4.3 -2.3 4.4 13.2 0.4 15.3 -8.1 15.8 10.7 -3.8 -1.4 -3.1 -2.3 20.0 3.9 20.0 -7.6 20.0 -6.0 -0.0 4.6 3.7 1.0 6.3 -1.6 7.0 -1.4 20.0 20.0 20.0 18.2 DOW 20.0 20.0 1.4 1.4 2.0 -1.5 4.3 -2.3 4.4 12.6 0.3 14.7 -4.7 15.2 8.5 -4.8 -1.5 -4.2 -3.3 16.3 3.1 17.9 -3.4 20.0 -3.7 -0.0 3.8 2.0 0.7 4.3 -0.6 5.7 -2.4 0.6 14.7 19.5 12.1 EUR 20.0 20.0 13.4 0.4 -0.6 -3.2 3.8 -4.7 4.1 5.1 -8.5 11.9 -13.1 12.6 5.7 -7.0 -8.3 -7.7 -8.2 7.3 -6.8 15.5 -15.9 17.9 4.8 -0.0 2.0 -0.2 -3.8 5.2 -8.1 6.0 -11.3 7.0 -0.4 11.1 4.7 EUROSTX 20.0 20.0 3.7 1.4 2.0 -1.5 4.3 -2.3 4.4 13.6 3.3 15.4 -6.6 15.9 10.8 -1.0 2.6 -0.3 0.8 20.0 6.3 20.0 -2.7 20.0 -12.0 -0.0 4.7 3.8 1.5 6.2 -0.6 7.0 4.6 20.0 20.0 20.0 18.3 FEEDCOW 6.1 0.0 -8.5 -1.4 -1.3 -2.5 0.4 0.4 0.5 11.4 -2.2 5.9 -2.0 6.3 -5.7 -19.4 -20.0 -17.7 -20.0 -2.5 -4.4 8.8 -3.0 2.7 -3.0 -0.0 -1.8 9.8 -2.8 4.6 -1.7 1.3 -20.0 15.6 -0.3 -0.8 -12.1 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 -9.2 6.2 -6.6 -1.8 -5.4 0.1 -4.8 6.5 -2.6 -14.0 6.1 -14.4 11.1 0.2 3.3 20.0 20.0 20.0 20.0 1.9 9.5 -16.6 20.0 -6.8 -4.7 -0.0 0.5 -9.4 3.7 -7.8 9.7 -3.4 0.0 -7.8 -8.1 9.7 14.7 GASOILINE 1.7 8.3 -19.4 -1.8 -5.4 0.1 -4.8 6.5 -2.6 -12.9 -6.3 -11.3 4.8 2.6 1.2 12.2 20.0 20.0 20.0 -0.2 0.3 -14.2 11.0 -3.5 -2.5 -0.0 0.7 -9.9 2.3 -7.3 9.9 -1.7 4.3 -10.1 5.0 8.5 2.7 GAS_US 17.7 -20.0 -19.7 -1.8 -5.4 0.1 -4.8 6.5 -2.6 10.5 -7.3 9.0 1.8 -2.4 -10.7 -20.0 -13.0 -20.0 -18.6 -12.5 -9.3 10.3 2.3 -2.0 -9.8 -0.0 -2.8 7.1 -0.5 4.0 5.2 -0.1 -20.0 20.0 20.0 -20.0 3.9 GBP 18.3 19.2 10.2 0.4 -0.6 -3.2 3.8 -4.7 4.1 10.4 -6.9 13.4 -11.0 14.2 3.2 -1.8 -1.4 -1.7 -1.7 4.4 -7.6 14.0 -13.6 13.9 15.2 -0.0 -1.0 1.7 -6.5 4.2 -9.0 3.6 0.3 2.2 -8.0 3.5 -12.3 GOLD_micro 20.0 14.2 -3.8 2.2 -2.8 -0.1 2.8 -0.5 4.5 0.8 -11.0 10.5 -11.7 9.7 -0.6 -9.7 -7.6 -9.7 -9.0 4.8 -7.4 14.6 -10.1 16.9 10.5 -0.0 1.6 -0.8 -1.8 4.7 -2.3 5.4 -11.7 18.0 9.6 1.7 -8.6 HEATOIL -5.6 7.8 -13.1 -1.8 -5.4 0.1 -4.8 6.5 -2.6 -13.8 4.6 -12.9 10.1 6.0 4.5 20.0 20.0 20.0 20.0 3.5 8.8 -10.1 19.5 -2.4 -14.9 -0.0 1.6 -6.4 5.6 -4.9 14.2 -1.5 7.9 -0.5 -0.0 11.0 17.4 JPY 20.0 20.0 7.4 0.4 -0.6 -3.2 3.8 -4.7 4.1 3.0 -12.7 8.4 -15.0 7.7 -6.8 -11.7 -9.9 -12.4 -11.7 -1.3 -15.7 12.8 -20.0 12.4 20.0 -0.0 -0.5 -0.0 -5.7 4.9 -9.4 4.4 -15.4 18.6 7.2 -4.9 -7.8 LEANHOG 5.8 17.2 -1.5 -1.4 -1.3 -2.5 0.4 0.4 0.5 7.5 -2.7 9.6 -0.4 13.8 10.4 -20.0 20.0 20.0 20.0 10.4 4.7 9.3 4.6 12.3 3.4 -0.0 2.9 2.3 0.9 3.4 1.4 4.0 20.0 14.8 0.6 12.4 3.6 LIVECOW -5.0 8.9 7.8 -1.4 -1.3 -2.5 0.4 0.4 0.5 13.6 4.8 3.9 -2.3 6.1 6.2 -20.0 -20.0 -20.0 -20.0 6.3 4.2 10.1 -0.1 6.0 -14.2 -0.0 2.9 9.7 2.8 4.7 1.9 2.7 -20.0 14.0 -4.1 12.6 9.7 MXP 12.9 11.6 10.1 0.4 -0.6 -3.2 3.8 -4.7 4.1 -3.0 15.8 10.4 15.1 14.2 15.7 19.1 20.0 18.9 19.4 17.9 15.7 8.4 14.3 16.9 -20.0 -0.0 5.7 -1.5 4.1 3.0 3.1 5.9 20.0 -17.8 -1.9 18.4 20.0 NASDAQ 13.1 5.6 -4.6 1.4 2.0 -1.5 4.3 -2.3 4.4 7.2 -11.9 10.1 -12.3 6.9 -8.9 -4.3 -2.9 -4.3 -3.8 -4.1 -11.5 8.5 -12.8 5.5 12.4 -0.0 -1.7 0.5 -4.8 3.7 -4.7 2.4 -4.1 4.2 -15.8 -14.8 -7.7 NIKKEI 12.7 7.5 -0.6 1.4 2.0 -1.5 4.3 -2.3 4.4 8.1 4.9 11.0 0.5 12.9 4.0 4.3 8.6 6.4 8.4 7.6 3.7 8.9 1.6 11.0 -11.1 -0.0 2.3 2.4 -0.7 4.3 -1.3 5.0 16.6 -10.5 -8.4 -0.6 0.7 NZD 20.0 18.8 -2.5 0.4 -0.6 -3.2 3.8 -4.7 4.1 8.6 -9.3 13.1 -12.0 12.9 -1.0 -1.2 0.6 -0.9 -0.2 6.0 -8.7 18.9 -14.2 19.8 3.8 -0.0 1.2 1.5 -3.3 5.3 -4.9 5.5 3.4 4.8 10.0 5.6 -0.6 OAT 20.0 5.6 -6.0 -2.4 2.5 -5.4 4.0 -6.5 1.8 13.4 -11.0 13.8 -12.6 9.3 -9.1 15.6 12.2 14.8 14.2 -5.7 -17.6 15.6 -20.0 8.8 10.9 -0.0 -2.0 3.9 -6.9 4.8 -10.1 2.9 20.0 -3.3 6.4 6.5 -0.1 OJ -7.8 12.8 9.0 -1.4 -1.3 -2.5 0.4 0.4 0.5 -0.4 13.9 -3.3 13.9 8.4 12.5 16.8 11.7 17.1 15.9 20.0 20.0 0.6 20.0 9.7 -20.0 -0.0 5.5 1.0 6.8 -0.1 6.5 2.3 2.9 -20.0 3.1 20.0 20.0 PALLAD 1.8 -12.4 -0.8 2.2 -2.8 -0.1 2.8 -0.5 4.5 -9.7 -9.2 0.6 -5.9 -6.6 -6.3 -2.3 -1.3 -1.9 -1.6 -6.6 -5.5 -5.1 -4.8 -4.1 -0.6 -0.0 -2.3 -8.5 -1.5 -1.8 -1.0 -1.3 0.0 -9.3 -20.0 -20.0 -2.6 PLAT 12.1 18.3 12.9 2.2 -2.8 -0.1 2.8 -0.5 4.5 -11.6 3.7 4.0 -5.3 10.6 11.6 0.9 -0.2 0.5 0.1 14.3 6.5 3.7 -1.2 14.3 0.4 -0.0 4.5 -2.5 1.5 1.5 -1.2 4.9 2.3 -8.5 0.2 10.6 12.2 REDWHEAT -3.1 1.6 -0.5 -1.4 -1.3 -2.5 0.4 0.4 0.5 -12.4 -9.2 -11.8 -3.2 -10.7 3.5 2.7 -0.8 1.5 0.6 -1.6 -2.4 -7.2 1.8 -4.1 -13.5 -0.0 0.4 -5.3 2.1 -3.5 5.8 -1.6 -20.0 -9.9 -7.2 5.6 7.6 ROBUSTA -18.3 -20.0 -17.0 -1.4 -1.3 -2.5 0.4 0.4 0.5 -2.4 -10.8 -13.0 -0.3 -15.7 -14.7 6.8 6.3 6.7 6.3 -20.0 -19.3 -14.9 -3.6 -20.0 5.1 -0.0 -5.1 -0.5 -3.1 -2.3 -0.6 -4.8 -10.2 -8.9 -20.0 -20.0 -11.7 RUSSELL 12.9 11.1 3.1 1.4 2.0 -1.5 4.3 -2.3 4.4 3.6 -5.5 7.0 -10.5 10.4 -1.7 -3.9 -1.9 -3.6 -2.9 4.1 -2.9 5.0 -7.4 8.4 -2.8 -0.0 2.1 -0.9 -0.8 2.6 -2.1 4.0 -2.4 -11.6 -6.0 0.4 8.7 SILVER-mini 20.0 14.6 12.3 2.2 -2.8 -0.1 2.8 -0.5 4.5 -12.3 -7.8 6.1 -9.9 9.3 8.0 -4.2 -3.1 -4.1 -3.7 9.9 -0.8 5.6 -8.4 14.0 16.5 -0.0 3.5 -2.3 -0.8 2.1 -3.9 5.0 -3.3 -9.6 6.4 8.6 1.0 SOYBEAN 8.3 4.4 2.1 -1.4 -1.3 -2.5 0.4 0.4 0.5 -4.7 -0.9 1.9 3.9 5.0 8.2 15.5 20.0 17.7 20.0 3.7 2.1 -1.2 5.9 3.1 -17.6 -0.0 3.9 -2.4 5.4 -1.0 10.3 2.3 19.2 -8.4 7.1 8.7 10.4 SOYMEAL 2.7 -1.4 2.5 -1.4 -1.3 -2.5 0.4 0.4 0.5 5.5 -2.0 -0.2 7.0 1.2 -0.5 13.1 14.7 14.0 15.2 0.5 1.8 1.2 5.6 0.3 -9.7 -0.0 1.6 3.1 4.0 0.5 8.0 0.3 5.1 1.4 0.4 -0.6 8.7 SOYOIL 13.2 20.0 6.6 -1.4 -1.3 -2.5 0.4 0.4 0.5 -10.1 3.7 0.3 6.0 10.6 12.3 20.0 20.0 20.0 20.0 18.2 12.4 -3.2 12.3 13.6 -20.0 -0.0 5.0 -3.7 4.3 -0.9 4.7 3.5 18.3 -20.0 20.0 20.0 20.0 SP400 18.8 13.7 1.2 1.4 2.0 -1.5 4.3 -2.3 4.4 7.6 -3.5 10.9 -7.1 12.5 2.2 -0.4 -1.1 -0.4 -0.7 8.2 -0.4 11.8 -4.3 14.6 -6.1 -0.0 3.2 1.5 0.4 4.6 -0.5 5.6 0.0 -1.0 4.0 6.6 11.3 SP500 17.1 10.8 -3.7 1.4 2.0 -1.5 4.3 -2.3 4.4 9.5 -8.4 12.0 -9.3 11.3 -3.4 -4.5 -2.8 -4.3 -3.7 2.7 -6.0 11.4 -8.1 11.4 8.4 -0.0 1.1 1.6 -2.8 4.6 -3.8 4.6 -3.8 2.0 -4.1 -3.0 0.7 SUGAR11 20.0 19.2 4.8 -1.4 -1.3 -2.5 0.4 0.4 0.5 6.6 0.6 12.6 -1.8 13.3 10.3 20.0 19.8 20.0 20.0 15.7 6.2 20.0 2.1 20.0 -10.3 -0.0 4.8 2.5 2.4 6.3 1.2 6.9 18.4 20.0 20.0 20.0 16.4 US10 20.0 -2.0 -12.4 -2.4 2.5 -5.4 4.0 -6.5 1.8 6.2 -12.7 9.6 -14.0 4.2 -11.1 -3.9 2.1 -3.4 -1.8 -10.9 -20.0 11.8 -20.0 5.5 -5.7 -0.0 -2.7 1.3 -6.2 3.9 -7.8 2.1 -2.9 -0.7 0.5 -0.3 -2.8 US10U 20.0 -3.7 -13.2 -2.4 2.5 -5.4 4.0 -6.5 1.8 6.5 -12.9 9.8 -13.8 2.7 -11.3 -0.2 5.0 0.3 1.8 -11.7 -20.0 12.4 -20.0 4.8 -5.9 -0.0 -2.9 1.7 -6.1 4.1 -7.3 2.0 2.8 -0.1 0.9 -2.9 -1.6 US20 20.0 -5.2 -16.7 -2.4 2.5 -5.4 4.0 -6.5 1.8 10.3 -12.9 12.3 -13.8 1.3 -11.1 1.5 2.9 1.7 2.1 -14.5 -20.0 17.5 -20.0 4.9 -4.6 -0.0 -3.4 3.4 -5.9 4.7 -6.3 1.5 1.1 10.5 0.9 -11.1 -5.8 US30 20.0 -3.2 -13.0 -2.4 2.5 -5.4 4.0 -6.5 1.8 9.2 -14.0 11.3 -15.0 -1.3 -11.5 -2.0 0.2 -1.5 -0.9 -16.0 -20.0 13.4 -20.0 1.4 -1.1 -0.0 -3.9 3.2 -6.5 4.1 -7.3 0.7 -3.7 -0.5 -3.6 -14.5 -1.0 US5 20.0 0.2 -9.9 -2.4 2.5 -5.4 4.0 -6.5 1.8 4.7 -12.5 8.8 -14.2 4.9 -10.9 -5.8 3.3 -4.7 -2.2 -10.9 -20.0 10.0 -20.0 5.0 -4.2 -0.0 -2.7 0.3 -6.5 3.4 -8.8 2.0 -2.0 -2.7 -1.2 0.9 -4.2 VIX -19.2 -5.4 0.3 -3.1 -4.9 -1.6 -4.6 -1.4 -4.6 -12.8 -8.4 -14.0 -7.8 -13.5 -7.2 -11.5 -17.3 -7.8 -11.1 -9.8 -5.8 -13.5 -5.6 -14.1 NaN -0.0 -3.8 -5.6 -2.0 -5.3 -1.8 -5.4 NaN NaN NaN NaN NaN WHEAT -6.6 0.9 -2.9 -1.4 -1.3 -2.5 0.4 0.4 0.5 -13.8 -10.2 -14.6 -5.7 -12.4 3.6 -4.2 -3.8 -3.9 -3.8 -5.1 -5.9 -13.8 -1.6 -9.1 -12.5 -0.0 -2.0 -10.4 0.6 -8.7 5.2 -5.4 -20.0 -20.0 -13.4 -0.1 1.4 End of report for caleb_strategy_v1