******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221123_204314 produced at 2022-11-23 21:35:22.826691 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.09 -0.17 0.0 8856819.39 -8856819.39 -0.09 -0.12 -19.46 999999999 -10 -13 caleb_strategy_v1 US10U False False 0.04 0.00 -0.15 0.0 40636418.44 -40636418.44 0.00 0.00 -3.65 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.33 -0.12 0.0 36748761.09 -36748761.09 -0.33 -0.29 -3.17 999999999 -9 -8 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 21341692.35 -21341692.35 -0.11 -0.11 -5.38 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 38513938.84 -38513938.84 0.00 0.00 -2.23 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.08 0.0 31451094.67 -31451094.67 -0.09 -0.09 -2.64 999999999 -3 -3 caleb_strategy_v1 US30 False False 0.05 -0.14 -0.07 0.0 46139933.38 -46139933.38 -0.14 -0.14 -1.44 999999999 -3 -3 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.06 0.0 43206858.56 -43206858.56 -0.09 -0.09 -1.43 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.04 -0.09 -0.06 0.0 44924040.54 -44924040.54 -0.09 -0.09 -1.33 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 29106016.07 -29106016.07 0.00 -0.03 -1.81 999999999 0 -1 caleb_strategy_v1 JPY False False 0.03 -0.12 -0.03 0.0 30311995.07 -30311995.07 -0.12 -0.09 -1.12 999999999 -4 -3 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.02 0.0 54483866.24 -54483866.24 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 EUR False False 0.04 0.00 -0.02 0.0 44030252.65 -44030252.65 0.00 0.00 -0.47 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.08 -0.02 0.0 25507298.54 -25507298.54 -0.08 -0.08 -0.68 999999999 -3 -3 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 22696666.26 -22696666.26 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14283541.10 -14283541.10 0.00 0.00 -0.51 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 5939700.49 -5939700.49 0.00 0.00 -2.00 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6273153.77 -6273153.77 0.00 0.00 -1.13 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 80124351.44 -80124351.44 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.00 -0.01 0.0 3180263.70 -3180263.70 -0.00 -0.00 -3.62 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 24795681.26 -24795681.26 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 63448274.55 -63448274.55 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.00 0.0 8372168.77 -8372168.77 0.00 0.00 -0.51 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15580493.45 -15580493.45 -0.02 -0.02 -0.32 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 86950416.48 -86950416.48 0.00 0.00 -0.00 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10605145.30 -10605145.30 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14022444.11 -14022444.11 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 68380106.54 -68380106.54 0.00 0.00 -0.02 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21137337.03 -21137337.03 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10324423.37 -10324423.37 0.02 0.02 0.15 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 532945.03 -532945.03 0.00 0.00 4.28 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 14304019.29 -14304019.29 0.00 0.00 0.85 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17073695.18 -17073695.18 0.00 0.00 0.52 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.01 0.0 30853813.98 -30853813.98 0.03 0.03 0.44 999999999 1 1 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 25382296.22 -25382296.22 0.03 0.03 0.40 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4235381.05 -4235381.05 0.00 0.00 1.79 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.02 0.01 0.0 5820756.31 -5820756.31 0.02 0.02 1.43 999999999 3 3 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 18131735.26 -18131735.26 0.00 0.00 0.80 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.01 0.0 25980003.54 -25980003.54 0.05 0.03 0.36 999999999 2 1 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 13998883.18 -13998883.18 0.00 0.00 0.92 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 21008921.68 -21008921.68 0.04 0.04 0.27 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5141085.41 -5141085.41 0.00 0.00 4.24 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7545805.34 -7545805.34 0.02 0.02 2.71 999999999 2 2 caleb_strategy_v1 GASOILINE False False 0.03 0.03 0.02 0.0 34655659.17 -34655659.17 0.03 0.07 0.59 999999999 1 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8744189.32 -8744189.32 0.00 0.00 3.20 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.09 0.03 0.0 23696968.78 -23696968.78 0.09 0.09 1.06 999999999 4 4 caleb_strategy_v1 SOYMEAL False False 0.01 0.05 0.03 0.0 13727216.80 -13727216.80 0.05 0.05 2.41 999999999 4 4 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 31971582.13 -31971582.13 0.00 0.00 1.26 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.05 0.0 12321047.40 -12321047.40 0.05 0.02 4.15 999999999 4 2 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.0 42166978.15 -42166978.15 0.13 0.13 1.23 999999999 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 48202998.50 -48202998.50 0.00 0.00 1.14 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.09 0.06 0.0 47010768.63 -47010768.63 0.09 0.05 1.19 999999999 2 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.0 23528592.93 -23528592.93 0.05 0.02 3.69 999999999 2 1 caleb_strategy_v1 NIKKEI False False 0.01 0.06 0.15 0.0 6932555.95 -6932555.95 0.06 0.08 22.06 999999999 8 11 caleb_strategy_v1 BUND False False 0.05 0.10 0.16 0.0 49831765.89 -49831765.89 0.10 0.15 3.15 999999999 2 3 caleb_strategy_v1 BOBL False False 0.04 0.21 0.37 0.0 42550217.53 -42550217.53 0.21 0.21 8.74 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 10.4 Shocked risk 31.3 Sum abs risk 35.6 Leverage 2.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2929945.71, 'annual_cash_vol_target': 732486.4275, 'daily_cash_vol_target': 45780.40171875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0067 0.6650 1.0093 16.1482 BITCOIN 1084.2465 15615.0000 6.9436 111.0979 BOBL 0.4009 119.9100 0.3344 5.3500 BTP 1.0396 118.8300 0.8748 13.9973 BUND 0.8570 140.4300 0.6102 9.7639 BUXL 2.1458 153.5400 1.3975 22.3603 CAC 63.0074 6678.0000 0.9435 15.0961 CAD 0.0045 0.7474 0.6082 9.7308 CANOLA 8.8166 829.0000 1.0635 17.0164 CHF 0.0082 1.0530 0.7799 12.4787 COCOA 32.6313 2453.0000 1.3303 21.2842 COFFEE 0.0398 1.6515 2.4090 38.5434 COPPER 0.0712 3.6160 1.9680 31.4877 CORN 4.8670 605.0000 0.8045 12.8713 COTTON2 0.0212 0.8217 2.5848 41.3564 CRUDE_W 1.4577 76.1200 1.9150 30.6395 DAX 140.2985 14488.0000 0.9684 15.4940 DOW 355.1666 34109.0000 1.0413 16.6603 EUR 0.0079 1.0320 0.7703 12.3242 EUROSTX 39.7460 3945.0000 1.0075 16.1201 FEEDCOW 1.3727 184.3000 0.7448 11.9170 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 18.7289 936.7500 1.9994 31.9897 GASOILINE 0.0504 2.4176 2.0851 33.3617 GAS_US 0.2359 7.2650 3.2469 51.9505 GBP 0.0121 1.1899 1.0154 16.2464 GOLD_micro 17.0167 1740.3000 0.9778 15.6449 HEATOIL 0.0592 3.2795 1.8038 28.8611 JPY 0.0001 0.0071 0.9497 15.1947 LEANHOG 1.1845 90.2500 1.3125 21.0001 LIVECOW 0.8924 156.3250 0.5709 9.1338 MXP 0.0003 0.0512 0.6348 10.1564 NASDAQ 204.3381 11738.0000 1.7408 27.8532 NIKKEI 267.6276 28325.0000 0.9448 15.1175 NZD 0.0059 0.6156 0.9584 15.3352 OAT 0.8943 135.8400 0.6583 10.5331 OJ 0.0359 2.0715 1.7307 27.6910 PALLAD 48.1069 1859.0000 2.5878 41.4045 PLAT 18.8951 1000.5000 1.8886 30.2171 REDWHEAT 15.3734 913.0000 1.6838 26.9413 ROBUSTA 24.7782 1838.0000 1.3481 21.5697 RUSSELL 29.2989 1863.6000 1.5722 25.1547 SILVER-mini 0.4202 21.2500 1.9776 31.6416 SOYBEAN 12.2971 1378.7500 0.8919 14.2705 SOYMEAL 4.7137 402.2000 1.1720 18.7518 SOYOIL 0.9448 69.8500 1.3525 21.6407 SP400 35.5782 2547.6000 1.3965 22.3446 SP500 53.4225 4007.0000 1.3332 21.3317 SUGAR11 0.0026 0.1974 1.3160 21.0566 US10 0.5509 112.8438 0.4882 7.8106 US10U 0.7649 119.0625 0.6424 10.2786 US20 1.1062 126.5938 0.8738 13.9806 US30 1.6344 135.1875 1.2090 19.3441 US5 0.3686 107.6719 0.3423 5.4773 VIX 0.5191 25.9500 2.0005 32.0075 WHEAT 12.9480 837.0000 1.5469 24.7512 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 665.00 1.01 671.16 1.00 671.16 45780.4 68.21 -3.12 -21.26 BITCOIN 15.62 6.94 108.42 1.00 108.42 45780.4 422.23 4.30 181.72 BOBL 1199.10 0.33 400.95 1.03 410.65 45780.4 111.48 10.86 121.08 BTP 1188.30 0.87 1039.56 1.03 1064.72 45780.4 43.00 14.11 60.68 BUND 1404.30 0.61 856.96 1.03 877.71 45780.4 52.16 8.38 43.69 BUXL 1535.40 1.40 2145.75 1.03 2197.69 45780.4 20.83 -2.10 -4.37 CAC 667.80 0.94 630.07 1.03 645.32 45780.4 70.94 5.29 37.56 CAD 747.35 0.61 454.52 1.00 454.52 45780.4 100.72 -3.77 -37.97 CANOLA 165.80 1.06 176.33 0.75 131.14 45780.4 349.10 5.59 195.07 CHF 1316.25 0.78 1026.57 1.00 1026.57 45780.4 44.60 -7.98 -35.60 COCOA 245.30 1.33 326.31 1.00 326.31 45780.4 140.30 -1.67 -23.39 COFFEE 619.31 2.41 1491.90 1.00 1491.90 45780.4 30.69 -3.77 -11.56 COPPER 904.00 1.97 1779.06 1.00 1779.06 45780.4 25.73 6.28 16.16 CORN 302.50 0.80 243.35 1.00 243.35 45780.4 188.13 0.87 16.37 COTTON2 410.85 2.58 1061.96 1.00 1061.96 45780.4 43.11 -1.82 -7.84 CRUDE_W 761.20 1.91 1457.68 1.00 1457.68 45780.4 31.41 0.86 2.70 DAX 144.88 0.97 140.30 1.03 143.69 45780.4 318.60 2.45 78.00 DOW 170.54 1.04 177.58 1.00 177.58 45780.4 257.80 1.95 50.26 EUR 1290.06 0.77 993.69 1.00 993.69 45780.4 46.07 -2.70 -12.44 EUROSTX 394.50 1.01 397.46 1.03 407.08 45780.4 112.46 2.91 32.68 FEEDCOW 921.50 0.74 686.34 1.00 686.34 45780.4 66.70 -14.74 -98.29 FTSE100 707.00 0.82 576.59 1.19 666.67 45780.4 68.67 -2.56 -17.60 GASOIL 936.75 2.00 1872.89 1.00 1872.89 45780.4 24.44 7.25 17.72 GASOILINE 1015.39 2.09 2117.20 1.00 2117.20 45780.4 21.62 6.63 14.34 GAS_US 726.50 3.25 2358.88 1.00 2358.88 45780.4 19.41 -14.82 -28.76 GBP 743.69 1.02 755.14 1.00 755.14 45780.4 60.63 3.69 22.37 GOLD_micro 174.03 0.98 170.17 1.00 170.17 45780.4 269.03 -3.32 -89.40 HEATOIL 1377.39 1.80 2484.56 1.00 2484.56 45780.4 18.43 9.05 16.67 JPY 888.12 0.95 843.42 1.00 843.42 45780.4 54.28 -3.19 -17.34 LEANHOG 361.00 1.31 473.82 1.00 473.82 45780.4 96.62 9.20 88.91 LIVECOW 625.30 0.57 356.96 1.00 356.96 45780.4 128.25 -15.62 -200.35 MXP 256.20 0.63 162.63 1.00 162.63 45780.4 281.50 9.29 261.46 NASDAQ 2347.60 1.74 4086.76 1.00 4086.76 45780.4 11.20 -2.42 -2.71 NIKKEI 28325.00 0.94 26762.76 0.01 188.36 45780.4 243.05 4.78 116.14 NZD 615.55 0.96 589.97 1.00 589.97 45780.4 77.60 2.17 16.81 OAT 1358.40 0.66 894.26 1.03 915.91 45780.4 49.98 11.28 56.40 OJ 310.73 1.73 537.77 1.00 537.77 45780.4 85.13 -1.61 -13.71 PALLAD 1859.00 2.59 4810.69 1.00 4810.69 45780.4 9.52 -4.23 -4.02 PLAT 500.25 1.89 944.75 1.00 944.75 45780.4 48.46 4.45 21.59 REDWHEAT 456.50 1.68 768.67 1.00 768.67 45780.4 59.56 -10.02 -59.71 ROBUSTA 183.80 1.35 247.78 1.00 247.78 45780.4 184.76 -4.71 -86.96 RUSSELL 93.18 1.57 146.49 1.00 146.49 45780.4 312.51 -2.23 -69.82 SILVER-mini 531.25 1.98 1050.60 1.00 1050.60 45780.4 43.58 8.23 35.85 SOYBEAN 689.38 0.89 614.86 1.00 614.86 45780.4 74.46 8.40 62.53 SOYMEAL 402.20 1.17 471.37 1.00 471.37 45780.4 97.12 4.20 40.83 SOYOIL 419.10 1.35 566.85 1.00 566.85 45780.4 80.76 11.41 92.14 SP400 2547.60 1.40 3557.82 1.00 3557.82 45780.4 12.87 -0.06 -0.08 SP500 2003.50 1.33 2671.13 1.00 2671.13 45780.4 17.14 -0.36 -0.61 SUGAR11 221.09 1.32 290.96 1.00 290.96 45780.4 157.34 12.71 199.99 US10 1128.44 0.49 550.86 1.00 550.86 45780.4 83.11 -6.99 -58.10 US10U 1190.62 0.64 764.87 1.00 764.87 45780.4 59.85 -4.18 -25.03 US20 1265.94 0.87 1106.16 1.00 1106.16 45780.4 41.39 -4.69 -19.41 US30 1351.88 1.21 1634.42 1.00 1634.42 45780.4 28.01 -6.11 -17.11 US5 1076.72 0.34 368.60 1.00 368.60 45780.4 124.20 -6.65 -82.58 VIX 259.50 2.00 519.12 1.00 519.12 45780.4 88.19 -11.71 -103.25 WHEAT 418.50 1.55 647.40 1.00 647.40 45780.4 70.71 -13.40 -94.73 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -21.264 0.006 2.5 -0.340 BITCOIN 181.721 0.009 2.5 4.281 BOBL 121.081 0.029 2.5 8.737 BTP 60.679 0.008 2.5 1.225 BUND 43.694 0.029 2.5 3.153 BUXL -4.368 0.034 2.5 -0.367 CAC 37.560 0.011 2.5 1.056 CAD -37.974 0.007 2.5 -0.678 CANOLA 195.067 0.004 2.5 1.791 CHF -35.597 0.015 2.5 -1.332 COCOA -23.391 0.009 2.5 -0.510 COFFEE -11.556 0.005 2.5 -0.150 COPPER 16.163 0.011 2.5 0.442 CORN 16.368 0.004 2.5 0.148 COTTON2 -7.836 0.006 2.5 -0.118 CRUDE_W 2.701 0.053 2.5 0.357 DAX 78.004 0.022 2.5 4.236 DOW 50.262 0.011 2.5 1.432 EUR -12.437 0.015 2.5 -0.465 EUROSTX 32.677 0.011 2.5 0.919 FEEDCOW -98.292 0.011 2.5 -2.641 FTSE100 -17.601 0.041 2.5 -1.814 GASOIL 17.719 0.029 2.5 1.264 GASOILINE 14.340 0.016 2.5 0.589 GAS_US -28.763 0.006 2.5 -0.433 GBP 22.368 0.007 2.5 0.399 GOLD_micro -89.399 0.009 2.5 -2.000 HEATOIL 16.674 0.029 2.5 1.189 JPY -17.339 0.026 2.5 -1.122 LEANHOG 88.915 0.019 2.5 4.154 LIVECOW -200.348 0.011 2.5 -5.384 MXP 261.461 0.005 2.5 3.201 NASDAQ -2.708 0.022 2.5 -0.147 NIKKEI 116.136 0.076 2.5 22.058 NZD 16.806 0.006 2.5 0.269 OAT 56.396 0.008 2.5 1.139 OJ -13.708 0.007 2.5 -0.239 PALLAD -4.024 0.010 2.5 -0.097 PLAT 21.587 0.010 2.5 0.519 REDWHEAT -59.706 0.002 2.5 -0.319 ROBUSTA -86.960 0.005 2.5 -1.127 RUSSELL -69.816 0.021 2.5 -3.616 SILVER-mini 35.853 0.009 2.5 0.802 SOYBEAN 62.527 0.024 2.5 3.687 SOYMEAL 40.835 0.024 2.5 2.408 SOYOIL 92.141 0.004 2.5 0.846 SP400 -0.082 0.021 2.5 -0.004 SP500 -0.608 0.011 2.5 -0.017 SUGAR11 199.993 0.005 2.5 2.714 US10 -58.097 0.015 2.5 -2.229 US10U -25.025 0.058 2.5 -3.646 US20 -19.413 0.029 2.5 -1.431 US30 -17.114 0.034 2.5 -1.437 US5 -82.576 0.015 2.5 -3.168 VIX -103.254 0.075 2.5 -19.458 WHEAT -94.725 0.002 2.5 -0.506 ==================== Position diags ==================== AUD 1.09 BITCOIN 9.95 BOBL 8.04 BTP 0.87 BUND 3.76 BUXL 1.75 CAC 1.99 CAD 1.80 CANOLA 3.20 CHF 1.67 COCOA 3.06 COFFEE 0.40 COPPER 0.70 CORN 1.70 COTTON2 0.65 CRUDE_W 4.15 DAX 17.30 DOW 7.35 EUR 1.72 EUROSTX 3.16 FEEDCOW 1.79 FTSE100 7.08 GASOIL 1.74 GASOILINE 0.89 GAS_US 0.29 GBP 1.08 GOLD_micro 6.02 HEATOIL 1.31 JPY 3.51 LEANHOG 4.51 LIVECOW 3.45 MXP 3.45 NASDAQ 0.61 NIKKEI 46.16 NZD 1.24 OAT 1.01 OJ 1.48 PALLAD 0.23 PLAT 1.17 REDWHEAT 0.32 ROBUSTA 2.40 RUSSELL 16.19 SILVER-mini 0.97 SOYBEAN 4.39 SOYMEAL 5.73 SOYOIL 0.74 SP400 0.67 SP500 0.49 SUGAR11 2.14 US10 3.19 US10U 8.72 US20 3.05 US30 2.35 US5 4.76 VIX 16.62 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.3 -0.4 -0.2 0.0 0 BITCOIN 4.3 3.3 5.3 NaN 0 BOBL 8.7 7.9 9.5 5.0 5 BTP 1.2 1.1 1.3 3.0 3 BUND 3.2 2.8 3.5 2.0 2 BUXL -0.4 -0.5 -0.2 0.0 0 CAC 1.1 0.9 1.3 4.0 4 CAD -0.7 -0.9 -0.5 -3.0 -3 CANOLA 1.8 1.5 2.1 NaN 0 CHF -1.3 -1.5 -1.2 -2.0 -2 COCOA -0.5 -0.8 -0.2 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.4 0.4 0.5 1.0 1 CORN 0.1 -0.0 0.3 2.0 2 COTTON2 -0.1 -0.2 -0.1 NaN 0 CRUDE_W 0.4 -0.1 0.8 2.0 2 DAX 4.2 2.5 6.0 NaN 0 DOW 1.4 0.7 2.2 3.0 3 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 -2.5 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.3 1.1 1.4 0.0 0 GASOILINE 0.6 0.5 0.7 1.0 1 GAS_US -0.4 -0.5 -0.4 0.0 0 GBP 0.4 0.3 0.5 1.0 1 GOLD_micro -2.0 -2.6 -1.4 0.0 0 HEATOIL 1.2 1.1 1.3 2.0 2 JPY -1.1 -1.5 -0.8 -4.0 -4 LEANHOG 4.2 3.7 4.6 4.0 4 LIVECOW -5.4 -5.7 -5.0 -5.0 -5 MXP 3.2 2.9 3.5 NaN 0 NASDAQ -0.1 -0.2 -0.1 0.0 0 NIKKEI 22.1 17.4 26.7 8.0 8 NZD 0.3 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 -0.4 -0.3 -1.0 -1 ROBUSTA -1.1 -1.4 -0.9 0.0 0 RUSSELL -3.6 -5.2 -2.0 -1.0 -1 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.7 3.2 4.1 2.0 2 SOYMEAL 2.4 1.8 3.0 4.0 4 SOYOIL 0.8 0.8 0.9 0.0 0 SP400 -0.0 -0.1 0.1 NaN 0 SP500 -0.0 -0.1 0.0 NaN 0 SUGAR11 2.7 2.5 2.9 2.0 2 US10 -2.2 -2.5 -1.9 NaN 0 US10U -3.6 -4.5 -2.8 0.0 0 US20 -1.4 -1.7 -1.1 -2.0 -2 US30 -1.4 -1.7 -1.2 -3.0 -3 US5 -3.2 -3.6 -2.7 -9.0 -9 VIX -19.5 -21.1 -17.8 -10.0 -10 WHEAT -0.5 -0.5 -0.5 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 0.2 -0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.1 -0.2 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 BITCOIN -0.1 0.3 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -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 -0.3 -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 0.1 -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 0.3 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 0.8 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 0.1 -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 -0.8 -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 0.1 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 -0.3 -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 0.1 1.2 0.5 0.2 0.2 -0.0 -0.1 -0.0 0.0 -0.0 0.7 -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 0.0 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 0.0 -0.4 -0.3 -0.3 COPPER 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 0.1 -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 -0.1 0.1 0.0 0.1 CORN -0.2 -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 -2.8 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.0 -0.4 -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 0.1 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -1.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.0 0.1 -0.4 -0.5 CRUDE_W 0.0 0.2 -0.2 -0.0 -0.0 0.0 -0.1 0.2 -0.0 -0.0 -0.1 -0.0 0.1 0.0 0.1 0.7 0.6 0.2 0.3 0.0 0.0 -0.0 0.1 0.0 0.7 -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 -1.0 -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 0.3 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.1 0.2 -0.5 -0.3 -0.1 -0.2 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 -1.3 0.0 -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 -1.6 -0.8 -0.4 -0.4 -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 -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 -0.0 0.0 -0.1 0.2 -0.0 -0.1 0.1 -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 -0.2 -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 -0.2 -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 0.1 -0.2 GOLD_micro 0.2 0.2 -0.1 0.0 -0.0 -0.0 0.0 -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 -0.0 0.0 -0.1 0.2 -0.0 -0.1 0.1 -0.1 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 0.3 -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 0.1 0.0 0.0 0.0 -2.4 -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 0.0 0.0 0.4 0.0 0.4 0.1 0.3 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 0.2 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 -0.0 -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 0.1 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 -0.1 -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 1.4 -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 0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.2 -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 0.0 -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 -0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.3 -0.0 0.0 0.2 0.2 REDWHEAT -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 -0.0 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 -0.1 -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 0.6 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 -0.1 -0.2 0.0 0.1 SILVER-mini 0.2 0.3 0.3 0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 0.0 -0.3 0.0 0.2 -0.2 -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 1.0 0.6 0.3 0.3 0.0 0.0 0.0 0.1 0.0 -1.4 -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 0.2 -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 0.1 -0.2 0.1 -0.2 0.1 -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 -0.0 0.0 0.2 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.0 0.0 -1.8 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 2.6 0.0 0.4 0.3 0.3 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 -0.2 -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 -0.0 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.3 -0.0 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 -0.0 -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 0.0 -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 -0.2 -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 -0.4 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -2.0 -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 -0.1 0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -1.8 -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 10.1 -6.1 0.6 0.4 -3.1 3.5 -4.7 4.0 3.2 -10.4 8.6 -11.6 8.6 -4.1 -2.7 -1.7 -2.4 -2.1 0.0 -9.6 9.2 -11.5 10.8 -1.2 -0.0 -0.6 -0.4 -4.3 3.1 -5.1 3.5 -0.3 -1.1 -2.6 -9.7 -4.0 BITCOIN -5.0 16.0 11.8 2.2 -2.5 -0.1 1.9 -0.5 4.0 -11.4 -15.9 -12.8 -15.8 -10.5 -11.8 1.4 -1.2 0.5 -0.1 -10.3 -14.8 -13.8 -19.8 -12.6 20.0 -0.0 -4.8 -4.1 -4.5 -6.9 -4.1 -6.7 1.3 -20.0 -20.0 -20.0 -16.2 BOBL 14.4 0.6 -18.8 -2.2 2.7 -5.3 4.1 -6.6 2.1 3.5 -13.2 4.2 -12.9 -1.4 -12.8 20.0 19.7 20.0 20.0 -12.4 -20.0 6.6 -20.0 0.5 9.6 -0.0 -3.6 2.0 -8.2 2.5 -11.2 0.8 20.0 -15.1 -11.2 5.4 -5.5 BTP 20.0 14.4 1.1 -2.2 2.7 -5.3 4.1 -6.6 2.1 11.6 -9.1 13.9 -12.3 13.0 -3.6 20.0 15.3 20.0 19.8 3.6 -11.5 19.8 -20.0 17.0 6.7 -0.0 1.0 3.8 -4.8 6.1 -9.0 5.4 20.0 -2.1 12.1 18.7 14.8 BUND 20.0 2.5 -15.9 -2.2 2.7 -5.3 4.1 -6.6 2.1 13.1 -12.1 13.7 -12.9 5.6 -10.9 9.8 16.0 13.0 14.8 -9.5 -20.0 12.7 -20.0 5.9 8.5 -0.0 -2.7 3.1 -7.3 3.9 -9.8 2.1 20.0 -7.2 -2.4 3.6 -4.9 BUXL 20.0 1.1 -9.6 -2.2 2.7 -5.3 4.1 -6.6 2.1 14.0 -11.3 15.0 -12.8 8.6 -8.6 4.8 -3.1 5.2 1.4 -6.8 -20.0 19.0 -20.0 10.3 7.2 -0.0 -2.2 4.8 -6.5 5.4 -8.4 3.0 -5.9 -3.6 4.4 -2.6 -0.7 CAC 20.0 20.0 0.6 1.6 3.1 -1.4 4.5 -2.2 4.5 13.6 5.9 15.2 -4.0 16.0 11.5 1.3 4.3 1.5 2.6 20.0 7.3 20.0 0.9 20.0 -12.6 -0.0 4.5 3.3 1.4 5.1 -0.1 6.3 7.6 5.6 14.6 20.0 13.8 CAD 20.0 8.3 -11.4 0.6 0.4 -3.1 3.5 -4.7 4.0 -0.6 -9.4 7.2 -11.4 8.3 -4.7 -2.0 -0.7 -1.6 -1.2 -1.2 -10.4 5.6 -11.1 8.2 -2.5 -0.0 -1.1 -0.7 -4.9 2.0 -5.3 2.8 1.4 -11.9 -8.6 -6.7 -9.1 CANOLA -7.3 15.6 -6.0 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 -14.0 -9.1 -12.8 -1.2 -2.1 7.1 16.8 13.8 11.0 9.8 -0.8 -5.9 -20.0 0.6 -9.5 3.0 -0.0 0.5 -12.1 0.6 -9.9 2.6 -4.1 -1.3 -20.0 -19.5 14.8 13.7 CHF 20.0 9.1 4.5 0.6 0.4 -3.1 3.5 -4.7 4.0 5.1 -6.2 10.1 -9.3 8.4 1.1 -11.5 -11.2 -12.1 -12.0 6.0 -3.0 14.5 -7.1 16.0 -2.8 -0.0 1.6 1.5 -2.1 5.3 -4.2 5.4 -17.0 20.0 5.8 -1.8 6.5 COCOA 20.0 14.2 3.9 -1.4 -1.8 -2.5 0.2 0.4 0.4 -11.5 -6.1 5.6 -10.3 8.8 6.9 1.3 -3.2 0.8 -1.0 8.6 -0.6 3.6 -7.1 11.9 5.7 -0.0 3.8 -2.9 0.4 1.4 -1.9 4.7 -20.0 1.6 20.0 20.0 8.1 COFFEE -11.2 -20.0 -19.0 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 3.0 -12.2 -9.5 -4.8 -15.0 -14.8 2.6 4.9 6.8 7.1 -20.0 -20.0 -13.1 -8.0 -20.0 13.7 -0.0 -5.6 1.0 -4.0 -2.2 -1.3 -5.0 -10.6 0.3 -20.0 -20.0 -20.0 COPPER 19.3 20.0 12.4 2.2 -2.5 -0.1 1.9 -0.5 4.0 -11.6 -10.0 0.1 -10.3 4.5 4.2 -0.2 0.2 0.4 0.3 5.4 -4.8 -1.4 -10.0 8.1 18.1 -0.0 2.6 -3.6 -1.3 0.7 -2.8 4.1 2.8 -7.8 3.4 3.4 3.9 CORN -15.6 -0.2 18.5 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 -13.4 1.9 -13.4 5.5 -11.9 10.3 17.8 13.4 14.9 13.2 0.5 7.7 -12.9 16.3 -9.2 -18.7 -0.0 -1.6 -7.5 3.1 -7.4 8.9 -5.8 1.3 -18.0 -20.0 -3.1 12.9 COTTON2 20.0 -9.3 -20.0 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 -7.1 -11.5 7.6 0.2 1.5 -9.5 4.2 18.2 8.4 14.7 -11.9 -14.6 -2.6 -3.0 -2.2 -5.0 -0.0 -3.2 -3.4 -3.2 -1.0 1.5 -0.6 8.6 -10.0 7.7 -14.9 -16.9 CRUDE_W 3.6 10.2 -9.9 -1.7 -4.1 0.1 -4.2 6.5 -2.4 -9.7 -4.9 -8.8 4.1 9.2 5.8 8.0 14.1 9.0 11.7 2.5 0.1 -5.5 6.0 1.5 6.0 -0.0 1.4 -4.5 1.7 -3.0 6.9 0.4 -20.0 2.7 7.3 9.2 7.3 DAX 20.0 20.0 6.1 1.6 3.1 -1.4 4.5 -2.2 4.5 13.6 1.1 15.4 -7.8 15.9 11.3 -3.8 -1.4 -3.1 -2.3 20.0 5.0 20.0 -7.3 20.0 -6.4 -0.0 4.7 3.5 1.2 5.9 -1.4 6.9 -1.4 20.0 20.0 20.0 19.0 DOW 20.0 20.0 1.9 1.6 3.1 -1.4 4.5 -2.2 4.5 13.6 0.9 15.1 -4.4 15.5 9.2 -4.9 -1.5 -4.3 -3.3 17.3 3.8 19.7 -3.1 20.0 -3.8 -0.0 4.0 3.4 0.8 4.7 -0.5 5.8 -2.5 -0.3 14.2 20.0 12.5 EUR 20.0 20.0 14.5 0.6 0.4 -3.1 3.5 -4.7 4.0 6.5 -8.1 11.7 -13.0 12.5 6.4 -6.9 -8.3 -7.6 -8.2 7.9 -6.4 13.9 -15.9 17.5 4.6 -0.0 2.2 0.6 -3.6 4.6 -8.1 5.8 -11.2 4.6 -1.4 11.5 5.2 EUROSTX 20.0 20.0 4.5 1.6 3.1 -1.4 4.5 -2.2 4.5 13.6 4.0 15.4 -6.3 16.0 11.4 -0.9 2.6 -0.3 0.7 20.0 7.3 20.0 -2.3 20.0 -12.3 -0.0 4.8 3.8 1.6 5.9 -0.5 6.9 4.5 18.9 20.0 20.0 18.8 FEEDCOW 7.2 1.4 -8.6 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 10.4 -1.9 7.6 -2.0 7.6 -5.2 -19.8 -20.0 -17.9 -20.0 -1.7 -4.1 10.2 -2.9 4.2 -3.8 -0.0 -1.4 7.9 -2.7 5.4 -1.7 2.1 -20.0 16.7 1.9 2.2 -11.9 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 -11.1 4.6 -4.5 -1.7 -1.0 0.1 -3.0 6.5 -2.2 -14.1 5.7 -14.9 11.1 -1.4 2.7 20.0 20.0 20.0 20.0 0.9 9.2 -16.8 20.0 -8.2 -4.6 -0.0 0.0 -7.8 3.5 -7.8 9.6 -3.9 0.0 -19.8 -10.2 8.0 14.5 GASOILINE 1.2 7.3 -19.6 -1.7 -1.0 0.1 -3.0 6.5 -2.2 -6.4 -6.5 -9.9 4.8 2.1 1.3 12.0 20.0 20.0 20.0 -0.3 0.3 -9.9 10.8 -3.1 -2.7 -0.0 0.6 -3.2 2.3 -5.1 10.0 -1.6 4.0 -7.3 3.3 7.7 2.6 GAS_US 17.6 -17.9 -20.0 -1.7 -1.0 0.1 -3.0 6.5 -2.2 12.9 -7.1 11.3 1.8 1.0 -10.0 -20.0 -12.6 -20.0 -17.7 -10.3 -8.5 17.4 2.4 2.2 -9.7 -0.0 -2.0 11.1 -0.3 6.7 5.1 1.5 -20.0 20.0 20.0 -20.0 4.4 GBP 18.3 20.0 11.0 0.6 0.4 -3.1 3.5 -4.7 4.0 12.1 -6.6 13.9 -10.8 14.5 3.8 -1.7 -1.4 -1.7 -1.7 5.2 -7.2 13.8 -13.6 14.3 15.1 -0.0 -0.8 2.3 -6.4 4.2 -9.0 3.7 0.3 3.2 -8.5 5.8 -12.4 GOLD_micro 20.0 14.1 -3.5 2.2 -2.5 -0.1 1.9 -0.5 4.0 -1.3 -10.8 9.3 -11.6 9.2 -0.3 -9.8 -7.6 -9.7 -9.0 5.0 -7.1 10.9 -10.1 15.6 10.6 -0.0 1.7 -1.3 -1.7 3.6 -2.3 5.0 -11.7 11.4 9.1 2.5 -8.4 HEATOIL -6.3 6.3 -9.8 -1.7 -1.0 0.1 -3.0 6.5 -2.2 -14.0 4.2 -13.9 10.1 4.9 4.1 20.0 20.0 20.0 20.0 2.8 8.7 -10.7 19.8 -3.6 -14.9 -0.0 1.3 -5.5 5.4 -5.0 14.0 -2.0 8.1 -9.2 -2.0 10.2 17.1 JPY 20.0 20.0 8.2 0.6 0.4 -3.1 3.5 -4.7 4.0 3.5 -12.5 7.7 -14.9 7.7 -6.4 -11.5 -9.9 -12.4 -11.7 -0.9 -15.4 10.7 -20.0 11.7 20.0 -0.0 -0.4 0.3 -5.6 4.2 -9.4 4.3 -15.4 15.4 7.6 -6.4 -8.3 LEANHOG 5.7 18.5 -0.7 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 7.0 -2.5 9.6 -0.4 13.9 10.7 -20.0 20.0 19.1 20.0 10.7 5.0 8.5 4.8 12.2 3.1 -0.0 3.0 1.8 1.0 3.1 1.4 4.0 20.0 14.7 -0.9 16.1 3.6 LIVECOW -4.5 9.7 7.9 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 12.1 5.1 6.7 -2.2 7.2 6.8 -20.0 -20.0 -20.0 -20.0 7.0 4.6 11.7 0.1 7.5 -14.8 -0.0 3.2 7.9 2.9 5.4 2.0 3.4 -20.0 16.5 -4.2 15.2 10.0 MXP 11.9 11.7 9.9 0.6 0.4 -3.1 3.5 -4.7 4.0 2.5 15.8 10.8 15.1 14.1 15.6 19.0 20.0 18.9 19.4 17.9 15.8 8.7 14.5 16.4 -20.0 -0.0 5.7 0.5 4.2 3.1 3.2 5.7 20.0 -9.8 -0.6 17.1 20.0 NASDAQ 13.2 5.7 -4.6 1.6 3.1 -1.4 4.5 -2.2 4.5 9.0 -11.7 10.7 -12.3 7.9 -8.6 -4.3 -2.9 -4.3 -3.8 -3.6 -11.3 8.6 -12.9 5.9 12.4 -0.0 -1.5 1.8 -4.7 3.7 -4.7 2.6 -4.1 4.2 -16.3 -16.0 -8.1 NIKKEI 12.5 8.4 -0.7 1.6 3.1 -1.4 4.5 -2.2 4.5 12.0 5.2 12.6 0.6 13.6 4.7 4.2 8.6 6.3 8.4 8.3 4.1 11.6 1.7 12.1 -11.2 -0.0 2.6 5.7 -0.4 5.5 -1.2 5.4 16.5 -10.7 -5.7 -1.0 1.1 NZD 20.0 20.0 -1.7 0.6 0.4 -3.1 3.5 -4.7 4.0 11.1 -8.9 13.6 -11.9 13.4 -0.3 -1.2 0.6 -0.9 -0.2 6.9 -8.1 18.6 -14.0 20.0 3.9 -0.0 1.5 2.4 -3.1 5.1 -4.8 5.5 3.3 6.5 11.2 6.9 -0.3 OAT 20.0 7.0 -5.6 -2.2 2.7 -5.3 4.1 -6.6 2.1 14.0 -10.7 14.6 -12.6 10.8 -8.6 15.3 12.3 14.7 14.1 -4.5 -17.2 16.9 -20.0 10.4 10.8 -0.0 -1.6 4.1 -6.7 5.1 -10.1 3.3 20.0 -2.5 4.1 7.5 -0.2 OJ -8.1 12.9 10.0 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 2.2 13.9 -1.5 14.0 8.4 12.5 16.9 11.7 17.1 15.9 20.0 20.0 3.7 20.0 10.6 -20.0 -0.0 5.5 2.0 6.9 0.7 6.7 2.5 2.9 -11.1 3.4 20.0 20.0 PALLAD 2.8 -13.3 -1.2 2.2 -2.5 -0.1 1.9 -0.5 4.0 -12.6 -9.4 -2.7 -6.0 -7.7 -7.0 -2.3 -1.3 -1.9 -1.6 -7.6 -6.0 -9.9 -5.0 -6.6 -0.5 -0.0 -2.6 -8.9 -1.7 -3.8 -1.0 -2.3 0.0 -10.4 -20.0 -20.0 -3.3 PLAT 12.1 18.4 13.6 2.2 -2.5 -0.1 1.9 -0.5 4.0 -9.2 4.0 3.8 -5.2 10.2 11.5 0.8 -0.2 0.5 0.1 14.4 6.8 3.9 -1.0 13.7 -0.1 -0.0 4.5 -0.8 1.6 1.6 -1.1 4.7 2.4 -6.9 1.8 11.3 12.4 REDWHEAT -5.2 0.8 -0.4 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 -13.3 -9.3 -13.1 -3.2 -11.7 3.1 3.1 -0.7 1.7 0.7 -2.3 -2.7 -9.4 1.7 -5.5 -13.3 -0.0 0.0 -6.6 1.9 -4.7 5.7 -2.4 -20.0 -9.3 -7.6 3.9 7.6 ROBUSTA -13.2 -20.0 -16.6 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 8.4 -11.0 -8.6 -0.6 -15.2 -14.7 7.4 6.3 6.9 6.5 -20.0 -19.2 -9.8 -3.9 -20.0 5.0 -0.0 -5.1 0.9 -3.2 -1.5 -0.6 -4.4 -10.1 2.1 -20.0 -20.0 -12.3 RUSSELL 11.4 11.6 2.9 1.6 3.1 -1.4 4.5 -2.2 4.5 6.8 -5.2 7.9 -10.5 10.9 -1.4 -3.9 -1.9 -3.6 -3.0 4.5 -2.6 6.2 -7.4 8.8 -2.8 -0.0 2.3 1.4 -0.7 3.0 -2.1 4.2 -2.5 -8.2 -7.0 0.1 8.3 SILVER-mini 20.0 14.5 13.2 2.2 -2.5 -0.1 1.9 -0.5 4.0 -10.4 -7.7 5.6 -9.8 9.0 8.1 -4.1 -3.1 -4.0 -3.7 10.1 -0.5 5.1 -8.3 13.3 16.4 -0.0 3.5 -1.0 -0.7 1.9 -3.9 4.8 -3.3 -9.5 6.0 8.9 1.9 SOYBEAN 7.2 4.7 2.0 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 -2.6 -0.8 2.1 3.9 5.0 8.3 15.7 20.0 17.7 20.0 3.8 2.2 -0.3 6.1 3.1 -17.7 -0.0 3.9 -0.6 5.5 -0.3 10.5 2.3 19.0 -3.7 7.1 8.8 10.4 SOYMEAL 1.4 -0.8 2.3 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 5.0 -1.9 -0.2 7.0 2.1 -0.7 12.8 14.7 13.9 15.1 0.6 1.9 1.2 5.7 0.5 -10.0 -0.0 1.6 1.6 4.0 0.6 8.0 0.4 5.0 -0.9 0.6 -0.3 8.6 SOYOIL 11.2 20.0 6.9 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 -6.2 3.9 0.3 6.1 10.3 12.0 20.0 20.0 20.0 20.0 18.0 12.6 -1.6 12.6 12.8 -20.0 -0.0 5.0 -1.6 4.4 -0.5 4.8 3.3 18.2 -9.9 19.3 20.0 20.0 SP400 18.2 14.8 1.3 1.6 3.1 -1.4 4.5 -2.2 4.5 12.1 -3.0 12.8 -6.9 13.4 2.9 -0.4 -1.1 -0.4 -0.7 9.0 0.1 14.0 -4.1 15.6 -6.2 -0.0 3.5 3.8 0.5 5.2 -0.4 5.8 0.0 2.9 4.2 7.2 11.3 SP500 16.7 11.7 -3.6 1.6 3.1 -1.4 4.5 -2.2 4.5 12.6 -8.0 13.4 -9.2 12.4 -2.9 -4.5 -2.8 -4.3 -3.7 3.6 -5.6 12.9 -8.0 12.3 8.4 -0.0 1.4 3.5 -2.5 5.1 -3.7 4.8 -3.9 3.7 -4.2 -3.0 0.6 SUGAR11 20.0 18.9 5.3 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 0.1 1.1 11.5 -1.5 12.7 10.3 20.0 20.0 20.0 20.0 15.9 6.6 16.8 2.3 20.0 -10.6 -0.0 4.9 0.6 2.5 5.0 1.3 6.5 19.0 20.0 20.0 20.0 17.3 US10 20.0 -0.2 -12.2 -2.2 2.7 -5.3 4.1 -6.6 2.1 6.9 -12.5 9.8 -14.0 5.2 -10.8 -3.9 2.1 -3.4 -1.8 -10.1 -20.0 11.5 -20.0 6.0 -5.6 -0.0 -2.5 2.0 -6.2 3.8 -8.0 2.3 -2.6 -2.6 0.1 -0.2 -2.7 US10U 20.0 -1.7 -12.9 -2.2 2.7 -5.3 4.1 -6.6 2.1 8.7 -12.7 10.6 -13.7 4.0 -10.9 -0.2 5.0 0.3 1.8 -10.6 -20.0 13.2 -20.0 6.0 -6.0 -0.0 -2.6 2.9 -6.0 4.4 -7.4 2.3 3.1 0.4 1.9 -2.5 -1.4 US20 20.0 -2.7 -16.2 -2.2 2.7 -5.3 4.1 -6.6 2.1 12.7 -12.6 13.4 -13.7 3.0 -10.6 1.4 2.9 1.7 2.1 -12.9 -20.0 18.7 -20.0 6.7 -4.7 -0.0 -3.0 4.3 -5.8 5.1 -6.3 2.0 1.3 11.2 4.4 -10.6 -5.4 US30 20.0 -1.0 -12.3 -2.2 2.7 -5.3 4.1 -6.6 2.1 12.5 -13.7 13.0 -14.9 0.5 -11.0 -2.1 0.2 -1.5 -1.0 -14.4 -20.0 15.6 -20.0 3.5 -1.2 -0.0 -3.5 4.7 -6.4 4.7 -7.4 1.3 -3.5 4.7 0.2 -14.6 -0.7 US5 20.0 1.8 -9.8 -2.2 2.7 -5.3 4.1 -6.6 2.1 4.2 -12.3 8.3 -14.1 5.5 -10.6 -5.9 3.1 -4.8 -2.3 -10.4 -20.0 8.6 -20.0 4.9 -4.0 -0.0 -2.6 0.6 -6.5 3.0 -9.0 2.0 -2.0 -5.8 -2.0 0.6 -4.0 VIX -18.8 -7.5 0.2 -3.3 -7.4 -1.7 -6.0 -1.3 -5.1 -13.7 -8.9 -14.7 -8.1 -14.1 -8.2 -12.9 -17.5 -8.5 -11.4 -11.0 -6.4 -18.2 -5.8 -16.4 NaN -0.0 -4.1 -8.5 -2.1 -7.0 -1.8 -6.1 NaN NaN NaN NaN NaN WHEAT -9.6 -0.1 -2.9 -1.5 -3.6 -2.5 -1.0 0.3 -0.1 -14.0 -10.3 -15.1 -5.8 -13.2 3.0 -4.2 -3.8 -3.9 -3.9 -6.1 -6.4 -16.0 -1.8 -10.9 -12.1 -0.0 -2.5 -11.1 0.3 -9.7 4.8 -6.3 -20.0 -19.2 -14.7 -1.7 1.3 End of report for caleb_strategy_v1