******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221124_204304 produced at 2022-11-24 21:35:24.126572 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.11 -0.19 0.0 8800661.16 -8800661.16 -0.11 -0.11 -21.28 999999999 -13 -13 caleb_strategy_v1 US10U False False 0.04 0.00 -0.14 0.0 41044019.13 -41044019.13 0.00 0.00 -3.43 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.30 -0.12 0.0 36996444.10 -36996444.10 -0.30 -0.26 -3.17 999999999 -8 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 21341174.42 -21341174.42 -0.11 -0.11 -5.39 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 38845998.26 -38845998.26 0.00 0.00 -2.21 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.08 0.0 31295528.49 -31295528.49 -0.09 -0.09 -2.61 999999999 -3 -3 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.06 0.0 43735254.45 -43735254.45 -0.09 -0.13 -1.33 999999999 -2 -3 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.06 0.0 45652357.54 -45652357.54 -0.09 -0.09 -1.25 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 -0.14 -0.06 0.0 47305698.12 -47305698.12 -0.14 -0.09 -1.28 999999999 -3 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 29399693.15 -29399693.15 0.00 0.00 -1.80 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.09 -0.03 0.0 30847346.67 -30847346.67 -0.09 -0.09 -1.01 999999999 -3 -3 caleb_strategy_v1 EUR False False 0.04 0.00 -0.02 0.0 44687372.76 -44687372.76 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.08 -0.02 0.0 25686608.09 -25686608.09 -0.08 -0.05 -0.66 999999999 -3 -2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 23116746.41 -23116746.41 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14410439.32 -14410439.32 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.00 -0.01 0.0 3200489.95 -3200489.95 -0.00 -0.06 -3.60 999999999 -1 -20 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6012927.36 -6012927.36 0.00 0.00 -1.97 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6213644.19 -6213644.19 0.00 0.00 -1.13 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 81408688.98 -81408688.98 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8423244.89 -8423244.89 0.00 0.00 -0.65 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.03 0.00 -0.01 0.0 25640288.82 -25640288.82 0.00 -0.03 -0.43 999999999 0 -1 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15795728.58 -15795728.58 -0.02 -0.02 -0.32 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.01 0.0 55979073.10 -55979073.10 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 64521026.52 -64521026.52 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.00 0.0 69170108.73 -69170108.73 0.00 0.00 0.00 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 552057.07 -552057.07 0.00 0.00 4.19 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10668871.68 -10668871.68 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10391813.83 -10391813.83 0.02 0.03 0.16 999999999 2 3 caleb_strategy_v1 SP400 False False 0.09 0.00 0.00 0.0 87588022.61 -87588022.61 0.00 0.18 0.01 999999999 0 2 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14226877.77 -14226877.77 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20972335.80 -20972335.80 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4232347.05 -4232347.05 0.00 0.00 1.69 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 21432097.43 -21432097.43 0.04 0.04 0.31 999999999 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 14492784.69 -14492784.69 0.00 0.00 0.86 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 25891613.74 -25891613.74 0.03 0.05 0.45 999999999 1 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14091234.64 -14091234.64 0.00 0.00 0.94 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17237630.27 -17237630.27 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.01 0.0 31291239.67 -31291239.67 0.03 0.00 0.43 999999999 1 0 caleb_strategy_v1 DOW False False 0.01 0.02 0.01 0.0 5865735.01 -5865735.01 0.02 0.00 1.62 999999999 3 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 0.01 0.0 26220137.45 -26220137.45 0.03 0.00 0.34 999999999 1 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5158092.15 -5158092.15 0.00 0.01 4.07 999999999 0 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 18656372.33 -18656372.33 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.10 0.02 0.0 23852201.43 -23852201.43 0.10 0.05 1.02 999999999 4 2 caleb_strategy_v1 GASOILINE False False 0.03 0.07 0.02 0.0 34017283.06 -34017283.06 0.07 0.07 0.53 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7520327.93 -7520327.93 0.02 0.02 2.73 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8828109.61 -8828109.61 0.00 0.00 3.29 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.03 0.0 13854608.09 -13854608.09 0.06 0.06 2.33 999999999 4 4 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 31145419.74 -31145419.74 0.00 0.00 1.11 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.05 0.05 0.0 12224856.02 -12224856.02 0.05 0.04 3.91 999999999 4 3 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.05 0.0 45953449.95 -45953449.95 0.05 0.05 1.09 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.0 42866793.41 -42866793.41 0.13 0.13 1.26 999999999 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.0 48901300.33 -48901300.33 0.00 0.00 1.16 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.0 23639982.60 -23639982.60 0.05 0.05 3.68 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.15 0.16 0.0 50423325.17 -50423325.17 0.15 0.10 3.19 999999999 3 2 caleb_strategy_v1 NIKKEI False False 0.01 0.08 0.17 0.0 7029265.00 -7029265.00 0.08 0.10 24.04 999999999 11 14 caleb_strategy_v1 BOBL False False 0.04 0.21 0.38 0.0 42877511.89 -42877511.89 0.21 0.21 8.90 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 10.7 Shocked risk 33.0 Sum abs risk 35.2 Leverage 2.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2914553.75, 'annual_cash_vol_target': 728638.4375, 'daily_cash_vol_target': 45539.90234375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0067 0.6738 1.0009 16.0142 BITCOIN 1069.1674 16090.0000 6.6449 106.3187 BOBL 0.3916 120.0100 0.3263 5.2206 BTP 1.0294 119.9800 0.8579 13.7272 BUND 0.8458 141.1300 0.5993 9.5892 BUXL 2.1786 156.6800 1.3905 22.2481 CAC 61.4903 6676.0000 0.9211 14.7370 CAD 0.0045 0.7486 0.5947 9.5157 CANOLA 8.6333 822.5000 1.0496 16.7944 CHF 0.0082 1.0644 0.7740 12.3835 COCOA 32.0245 2455.0000 1.3045 20.8713 COFFEE 0.0387 1.6300 2.3758 38.0127 COPPER 0.0697 3.6480 1.9116 30.5850 CORN 4.7811 605.7500 0.7893 12.6285 COTTON2 0.0209 0.8293 2.5179 40.2868 CRUDE_W 1.4272 76.4200 1.8675 29.8804 DAX 137.8082 14437.0000 0.9545 15.2728 DOW 347.6047 34192.0000 1.0166 16.2660 EUR 0.0080 1.0420 0.7634 12.2138 EUROSTX 38.8010 3944.0000 0.9838 15.7408 FEEDCOW 1.4094 182.4250 0.7726 12.3615 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 18.9852 907.7500 2.0915 33.4633 GASOILINE 0.0501 2.3606 2.1228 33.9649 GAS_US 0.2332 7.4730 3.1209 49.9339 GBP 0.0122 1.2074 1.0084 16.1341 GOLD_micro 16.7337 1752.5000 0.9548 15.2775 HEATOIL 0.0598 3.1889 1.8748 29.9973 JPY 0.0001 0.0072 0.9418 15.0683 LEANHOG 1.1827 89.0750 1.3278 21.2443 LIVECOW 0.8986 155.5000 0.5779 9.2463 MXP 0.0003 0.0515 0.6246 9.9942 NASDAQ 200.2691 11863.5000 1.6881 27.0098 NIKKEI 262.9782 28365.0000 0.9271 14.8340 NZD 0.0060 0.6246 0.9556 15.2895 OAT 0.8897 136.8700 0.6500 10.4008 OJ 0.0351 2.0730 1.6922 27.0753 PALLAD 47.2702 1880.5000 2.5137 40.2192 PLAT 18.4898 1004.8000 1.8401 29.4424 REDWHEAT 15.1673 920.7500 1.6473 26.3564 ROBUSTA 24.3475 1811.0000 1.3444 21.5108 RUSSELL 28.6116 1865.6000 1.5336 24.5383 SILVER-mini 0.4199 21.7500 1.9306 30.8898 SOYBEAN 12.0606 1378.0000 0.8752 14.0036 SOYMEAL 4.6474 403.8000 1.1509 18.4148 SOYOIL 0.9260 70.4000 1.3153 21.0450 SP400 34.7826 2552.8000 1.3625 21.8004 SP500 52.2440 4032.0000 1.2957 20.7317 SUGAR11 0.0026 0.1957 1.3195 21.1113 US10 0.5422 113.2188 0.4789 7.6618 US10U 0.7539 119.6250 0.6302 10.0830 US20 1.0952 127.4688 0.8592 13.7466 US30 1.6451 137.8750 1.1932 19.0908 US5 0.3611 107.8281 0.3349 5.3580 VIX 0.5115 25.6500 1.9941 31.9054 WHEAT 12.7164 840.0000 1.5139 24.2217 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.75 1.00 674.35 1.00 674.35 45539.9 67.53 -2.65 -17.88 BITCOIN 16.09 6.64 106.92 1.00 106.92 45539.9 425.94 4.18 177.98 BOBL 1200.10 0.33 391.58 1.04 403.30 45539.9 112.92 10.92 123.35 BTP 1199.80 0.86 1029.37 1.04 1060.18 45539.9 42.95 14.47 62.16 BUND 1411.30 0.60 845.83 1.04 871.15 45539.9 52.28 8.45 44.18 BUXL 1566.80 1.39 2178.64 1.04 2243.85 45539.9 20.30 -1.48 -3.00 CAC 667.60 0.92 614.90 1.04 633.31 45539.9 71.91 5.05 36.30 CAD 748.65 0.59 445.24 1.00 445.24 45539.9 102.28 -3.64 -37.19 CANOLA 164.50 1.05 172.67 0.75 129.02 45539.9 352.95 5.23 184.60 CHF 1330.56 0.77 1029.81 1.00 1029.81 45539.9 44.22 -7.54 -33.33 COCOA 245.50 1.30 320.24 1.00 320.24 45539.9 142.20 -2.08 -29.61 COFFEE 611.25 2.38 1452.21 1.00 1452.21 45539.9 31.36 -3.87 -12.14 COPPER 912.00 1.91 1743.35 1.00 1743.35 45539.9 26.12 6.05 15.81 CORN 302.88 0.79 239.05 1.00 239.05 45539.9 190.50 0.95 18.09 COTTON2 414.65 2.52 1044.06 1.00 1044.06 45539.9 43.62 -1.64 -7.13 CRUDE_W 764.20 1.87 1427.16 1.00 1427.16 45539.9 31.91 0.81 2.59 DAX 144.37 0.95 137.81 1.04 141.93 45539.9 320.86 2.34 75.03 DOW 170.96 1.02 173.80 1.00 173.80 45539.9 262.02 2.17 56.82 EUR 1302.44 0.76 994.23 1.00 994.23 45539.9 45.80 -2.39 -10.94 EUROSTX 394.40 0.98 388.01 1.04 399.62 45539.9 113.96 2.93 33.35 FEEDCOW 912.12 0.77 704.70 1.00 704.70 45539.9 64.62 -15.03 -97.16 FTSE100 707.00 0.82 576.59 1.21 666.67 45539.9 68.31 -2.56 -17.51 GASOIL 907.75 2.09 1898.52 1.00 1898.52 45539.9 23.99 6.49 15.58 GASOILINE 991.45 2.12 2104.66 1.00 2104.66 45539.9 21.64 5.97 12.91 GAS_US 747.30 3.12 2332.23 1.00 2332.23 45539.9 19.53 -14.54 -28.40 GBP 754.62 1.01 760.95 1.00 760.95 45539.9 59.85 4.17 24.93 GOLD_micro 175.25 0.95 167.34 1.00 167.34 45539.9 272.15 -3.23 -88.03 HEATOIL 1339.34 1.87 2511.04 1.00 2511.04 45539.9 18.14 8.44 15.31 JPY 899.06 0.94 846.71 1.00 846.71 45539.9 53.78 -2.89 -15.53 LEANHOG 356.30 1.33 473.08 1.00 473.08 45539.9 96.26 8.70 83.77 LIVECOW 622.00 0.58 359.45 1.00 359.45 45539.9 126.69 -15.82 -200.48 MXP 257.30 0.62 160.72 1.00 160.72 45539.9 283.35 9.48 268.64 NASDAQ 2372.70 1.69 4005.38 1.00 4005.38 45539.9 11.37 -1.99 -2.27 NIKKEI 28365.00 0.93 26297.82 0.01 186.22 45539.9 244.54 5.18 126.59 NZD 624.65 0.96 596.91 1.00 596.91 45539.9 76.29 2.51 19.19 OAT 1368.70 0.65 889.72 1.04 916.35 45539.9 49.70 11.51 57.20 OJ 310.95 1.69 526.19 1.00 526.19 45539.9 86.55 -1.51 -13.09 PALLAD 1880.50 2.51 4727.02 1.00 4727.02 45539.9 9.63 -4.33 -4.17 PLAT 502.40 1.84 924.49 1.00 924.49 45539.9 49.26 4.31 21.25 REDWHEAT 460.38 1.65 758.36 1.00 758.36 45539.9 60.05 -10.08 -60.55 ROBUSTA 181.10 1.34 243.48 1.00 243.48 45539.9 187.04 -4.68 -87.48 RUSSELL 93.28 1.53 143.06 1.00 143.06 45539.9 318.33 -2.18 -69.42 SILVER-mini 543.75 1.93 1049.77 1.00 1049.77 45539.9 43.38 8.47 36.76 SOYBEAN 689.00 0.88 603.03 1.00 603.03 45539.9 75.52 8.26 62.38 SOYMEAL 403.80 1.15 464.74 1.00 464.74 45539.9 97.99 4.03 39.50 SOYOIL 422.40 1.32 555.59 1.00 555.59 45539.9 81.97 11.37 93.16 SP400 2552.80 1.36 3478.26 1.00 3478.26 45539.9 13.09 0.13 0.17 SP500 2016.00 1.30 2612.20 1.00 2612.20 45539.9 17.43 0.03 0.05 SUGAR11 219.18 1.32 289.20 1.00 289.20 45539.9 157.47 12.79 201.35 US10 1132.19 0.48 542.16 1.00 542.16 45539.9 84.00 -6.87 -57.72 US10U 1196.25 0.63 753.86 1.00 753.86 45539.9 60.41 -3.89 -23.51 US20 1274.69 0.86 1095.17 1.00 1095.17 45539.9 41.58 -4.34 -18.06 US30 1378.75 1.19 1645.09 1.00 1645.09 45539.9 27.68 -5.49 -15.21 US5 1078.28 0.33 361.09 1.00 361.09 45539.9 126.12 -6.54 -82.54 VIX 256.50 1.99 511.48 1.00 511.48 45539.9 89.03 -12.69 -112.94 WHEAT 420.00 1.51 635.82 1.00 635.82 45539.9 71.62 -13.63 -97.59 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -17.876 0.006 2.5 -0.286 BITCOIN 177.981 0.009 2.5 4.193 BOBL 123.346 0.029 2.5 8.900 BTP 62.155 0.008 2.5 1.255 BUND 44.181 0.029 2.5 3.188 BUXL -3.002 0.034 2.5 -0.252 CAC 36.297 0.011 2.5 1.020 CAD -37.193 0.007 2.5 -0.664 CANOLA 184.596 0.004 2.5 1.694 CHF -33.325 0.015 2.5 -1.247 COCOA -29.611 0.009 2.5 -0.645 COFFEE -12.138 0.005 2.5 -0.157 COPPER 15.805 0.011 2.5 0.432 CORN 18.090 0.004 2.5 0.163 COTTON2 -7.133 0.006 2.5 -0.107 CRUDE_W 2.591 0.053 2.5 0.342 DAX 75.028 0.022 2.5 4.075 DOW 56.824 0.011 2.5 1.619 EUR -10.944 0.015 2.5 -0.410 EUROSTX 33.349 0.011 2.5 0.938 FEEDCOW -97.160 0.011 2.5 -2.611 FTSE100 -17.508 0.041 2.5 -1.805 GASOIL 15.576 0.029 2.5 1.111 GASOILINE 12.915 0.016 2.5 0.530 GAS_US -28.399 0.006 2.5 -0.428 GBP 24.928 0.007 2.5 0.445 GOLD_micro -88.032 0.009 2.5 -1.970 HEATOIL 15.310 0.029 2.5 1.092 JPY -15.532 0.026 2.5 -1.005 LEANHOG 83.771 0.019 2.5 3.914 LIVECOW -200.482 0.011 2.5 -5.387 MXP 268.636 0.005 2.5 3.289 NASDAQ -2.268 0.022 2.5 -0.123 NIKKEI 126.595 0.076 2.5 24.045 NZD 19.186 0.006 2.5 0.307 OAT 57.197 0.008 2.5 1.155 OJ -13.088 0.007 2.5 -0.228 PALLAD -4.170 0.010 2.5 -0.100 PLAT 21.253 0.010 2.5 0.511 REDWHEAT -60.548 0.002 2.5 -0.323 ROBUSTA -87.481 0.005 2.5 -1.134 RUSSELL -69.424 0.021 2.5 -3.596 SILVER-mini 36.759 0.009 2.5 0.822 SOYBEAN 62.380 0.024 2.5 3.678 SOYMEAL 39.501 0.024 2.5 2.329 SOYOIL 93.163 0.004 2.5 0.855 SP400 0.171 0.021 2.5 0.009 SP500 0.046 0.011 2.5 0.001 SUGAR11 201.351 0.005 2.5 2.732 US10 -57.719 0.015 2.5 -2.214 US10U -23.510 0.058 2.5 -3.425 US20 -18.064 0.029 2.5 -1.331 US30 -15.210 0.034 2.5 -1.277 US5 -82.536 0.015 2.5 -3.166 VIX -112.944 0.075 2.5 -21.284 WHEAT -97.594 0.002 2.5 -0.521 ==================== Position diags ==================== AUD 1.08 BITCOIN 10.04 BOBL 8.15 BTP 0.87 BUND 3.77 BUXL 1.70 CAC 2.02 CAD 1.83 CANOLA 3.24 CHF 1.66 COCOA 3.10 COFFEE 0.41 COPPER 0.71 CORN 1.72 COTTON2 0.66 CRUDE_W 4.22 DAX 17.43 DOW 7.47 EUR 1.71 EUROSTX 3.20 FEEDCOW 1.74 FTSE100 7.04 GASOIL 1.71 GASOILINE 0.89 GAS_US 0.29 GBP 1.07 GOLD_micro 6.09 HEATOIL 1.29 JPY 3.48 LEANHOG 4.50 LIVECOW 3.40 MXP 3.47 NASDAQ 0.62 NIKKEI 46.45 NZD 1.22 OAT 1.00 OJ 1.51 PALLAD 0.23 PLAT 1.19 REDWHEAT 0.32 ROBUSTA 2.42 RUSSELL 16.49 SILVER-mini 0.97 SOYBEAN 4.45 SOYMEAL 5.78 SOYOIL 0.75 SP400 0.68 SP500 0.50 SUGAR11 2.14 US10 3.22 US10U 8.80 US20 3.06 US30 2.32 US5 4.84 VIX 16.78 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 4.2 3.2 5.2 NaN 0 BOBL 8.9 8.1 9.7 5.0 5 BTP 1.3 1.2 1.3 3.0 3 BUND 3.2 2.8 3.6 3.0 3 BUXL -0.3 -0.4 -0.1 0.0 0 CAC 1.0 0.8 1.2 4.0 4 CAD -0.7 -0.8 -0.5 -3.0 -3 CANOLA 1.7 1.4 2.0 NaN 0 CHF -1.2 -1.4 -1.1 -2.0 -2 COCOA -0.6 -1.0 -0.3 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 -0.0 NaN 0 CRUDE_W 0.3 -0.1 0.8 1.0 1 DAX 4.1 2.3 5.8 NaN 0 DOW 1.6 0.9 2.4 3.0 3 EUR -0.4 -0.6 -0.2 0.0 0 EUROSTX 0.9 0.6 1.3 0.0 0 FEEDCOW -2.6 -2.8 -2.4 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.1 0.9 1.3 0.0 0 GASOILINE 0.5 0.4 0.6 2.0 2 GAS_US -0.4 -0.5 -0.4 0.0 0 GBP 0.4 0.3 0.6 1.0 1 GOLD_micro -2.0 -2.6 -1.4 0.0 0 HEATOIL 1.1 1.0 1.2 1.0 1 JPY -1.0 -1.4 -0.7 -3.0 -3 LEANHOG 3.9 3.5 4.4 4.0 4 LIVECOW -5.4 -5.7 -5.0 -5.0 -5 MXP 3.3 2.9 3.6 NaN 0 NASDAQ -0.1 -0.2 -0.1 0.0 0 NIKKEI 24.0 19.4 28.7 11.0 11 NZD 0.3 0.2 0.4 2.0 2 OAT 1.2 1.1 1.3 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 -1.9 -1.0 -1 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.7 3.2 4.1 2.0 2 SOYMEAL 2.3 1.8 2.9 4.0 4 SOYOIL 0.9 0.8 0.9 0.0 0 SP400 0.0 -0.1 0.1 NaN 0 SP500 0.0 -0.0 0.1 NaN 0 SUGAR11 2.7 2.5 2.9 2.0 2 US10 -2.2 -2.5 -1.9 NaN 0 US10U -3.4 -4.3 -2.5 0.0 0 US20 -1.3 -1.6 -1.0 -2.0 -2 US30 -1.3 -1.5 -1.0 -3.0 -3 US5 -3.2 -3.7 -2.7 -8.0 -8 VIX -21.3 -23.0 -19.6 -13.0 -13 WHEAT -0.5 -0.6 -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 -0.2 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 1.5 -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 0.3 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 0.7 0.4 0.4 0.1 -0.1 0.0 -0.2 0.0 0.8 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 2.7 0.0 0.2 0.3 0.2 BUND 0.2 0.1 -0.3 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 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 -0.1 0.1 -0.1 BUXL 0.2 0.0 -0.1 -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 -0.7 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 0.2 0.1 -0.1 0.1 0.3 0.1 0.2 0.0 0.1 0.2 0.1 0.0 0.0 0.0 -1.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 1.0 -0.0 0.3 0.3 0.2 CAD 0.2 0.2 -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 -0.2 -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 -0.2 -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 0.8 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.2 0.1 0.2 CHF 0.2 0.2 0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.2 0.0 0.1 -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 0.8 -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 -1.5 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 2.2 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.4 -0.1 0.0 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 -0.1 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 -1.1 -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 0.1 -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 -0.1 -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 0.3 -0.4 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 -0.5 -0.0 0.1 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 -0.1 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 -1.7 -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 -0.7 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.0 -0.0 0.1 -0.2 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.9 -0.2 -0.3 0.1 0.0 GASOIL -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.2 -0.0 -0.1 0.1 -0.1 0.3 -0.0 0.0 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 -0.4 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 0.5 -0.0 0.1 0.1 0.0 GAS_US 0.2 -0.2 -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 -0.2 0.1 GBP 0.2 0.3 0.2 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 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 -0.1 -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 -0.1 0.1 0.2 JPY 0.2 0.3 0.2 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.4 0.0 -0.1 -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 0.0 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 0.4 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 2.7 0.0 -0.1 0.3 0.0 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 -0.0 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.1 0.0 0.0 0.0 -2.5 -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 0.1 -0.1 0.1 0.0 0.4 0.0 0.4 0.1 0.4 1.4 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 2.2 -0.0 0.0 0.2 0.3 NASDAQ 0.2 0.1 -0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.1 -0.3 0.0 -0.3 0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.0 -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 -0.3 -0.2 -0.1 NIKKEI 0.2 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.0 0.0 0.1 0.1 0.3 0.3 0.1 0.1 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 -0.2 0.0 -0.3 0.0 -0.2 1.2 0.5 0.3 0.3 -0.0 -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 0.3 0.3 -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 -0.1 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 0.0 -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 0.2 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 -1.8 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.0 -0.2 0.0 0.1 ROBUSTA -0.1 -0.3 -0.3 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.3 -0.0 -0.0 -0.1 -0.3 0.6 0.3 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -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 0.1 0.2 0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.1 -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 -0.3 -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 0.2 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 -2.7 -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 0.6 -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 -0.0 0.3 0.3 0.3 SP400 0.2 0.3 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 0.1 -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 2.7 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 -0.3 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 -0.2 -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 0.5 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 -0.3 0.0 -0.2 0.1 0.1 0.0 0.0 -0.1 -0.2 0.0 -0.3 0.0 -0.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.0 0.1 -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 -0.2 -0.2 0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.3 0.0 -0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.5 0.1 0.1 -0.2 -0.0 US5 0.2 0.1 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.5 0.1 -0.1 -0.1 -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 -0.5 -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 -2.3 -1.4 -0.4 -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 -0.1 0.0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 20.0 12.3 -5.9 0.9 3.3 -2.8 4.3 -4.5 4.3 6.1 -10.1 10.1 -11.5 9.6 -3.5 -2.7 -1.7 -2.5 -2.1 0.9 -9.0 11.8 -11.2 11.6 -0.9 -0.0 -0.3 2.9 -4.1 4.1 -5.0 3.9 -0.3 -0.5 -3.6 -9.7 -4.1 BITCOIN -6.4 15.8 12.2 2.2 -1.0 0.0 1.8 -0.4 3.8 -7.1 -15.9 -12.5 -15.8 -10.8 -12.0 1.0 -1.2 0.4 -0.2 -10.6 -15.1 -11.6 -20.0 -12.3 20.0 -0.0 -4.9 -2.3 -4.6 -5.9 -4.1 -6.4 1.3 -20.0 -20.0 -20.0 -16.8 BOBL 14.1 1.9 -19.7 -1.9 3.2 -5.3 4.2 -6.6 2.4 4.2 -13.1 5.1 -12.9 -0.6 -12.7 20.0 19.7 20.0 20.0 -11.8 -20.0 7.2 -20.0 1.4 9.7 -0.0 -3.4 2.2 -8.3 2.6 -11.5 1.0 20.0 -17.9 -12.2 5.2 -5.8 BTP 20.0 17.0 0.3 -1.9 3.2 -5.3 4.2 -6.6 2.4 13.3 -8.6 14.6 -12.2 13.7 -2.9 20.0 15.5 20.0 20.0 5.0 -10.8 20.0 -20.0 18.6 6.5 -0.0 1.4 5.2 -4.4 6.4 -8.7 5.7 20.0 0.9 11.8 20.0 15.0 BUND 20.0 4.1 -16.2 -1.9 3.2 -5.3 4.2 -6.6 2.4 13.6 -11.8 14.4 -12.8 7.1 -10.5 9.5 15.9 12.7 14.7 -8.3 -20.0 14.5 -20.0 7.5 8.4 -0.0 -2.3 4.2 -7.2 4.5 -9.9 2.5 20.0 -7.4 -3.1 4.8 -5.2 BUXL 20.0 3.0 -7.9 -1.9 3.2 -5.3 4.2 -6.6 2.4 14.1 -10.9 15.4 -12.7 9.9 -8.0 4.7 -3.0 5.2 1.4 -4.9 -19.1 20.0 -20.0 12.6 7.0 -0.0 -1.6 6.9 -6.2 6.4 -8.3 3.7 -5.5 0.4 5.5 -0.7 -0.9 CAC 20.0 20.0 1.1 1.8 3.1 -1.2 4.4 -2.1 4.5 13.9 6.5 15.5 -3.7 16.1 12.0 0.7 4.2 1.3 2.4 20.0 8.1 20.0 1.3 20.0 -12.8 -0.0 4.6 2.9 1.6 4.8 -0.0 6.2 7.4 -1.3 14.7 20.0 13.9 CAD 20.0 9.8 -11.5 0.9 3.3 -2.8 4.3 -4.5 4.3 -1.5 -9.2 7.5 -11.3 8.7 -4.4 -2.0 -0.7 -1.7 -1.2 -0.8 -10.2 6.0 -11.2 8.2 -2.1 -0.0 -0.9 0.5 -4.9 2.2 -5.4 2.8 1.3 -17.1 -9.0 -7.0 -9.5 CANOLA -11.4 14.2 -6.0 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -14.1 -9.2 -13.9 -1.4 -4.9 6.1 16.0 13.8 10.9 9.7 -3.0 -6.7 -20.0 0.4 -13.3 3.4 -0.0 -0.3 -11.6 0.3 -10.3 2.3 -5.1 -1.4 -20.0 -20.0 10.0 12.2 CHF 20.0 11.2 5.2 0.9 3.3 -2.8 4.3 -4.5 4.3 9.4 -5.3 11.7 -9.0 9.8 2.3 -11.3 -11.3 -12.0 -12.0 7.1 -2.3 17.4 -6.8 17.2 -2.9 -0.0 1.9 4.3 -1.8 5.9 -4.0 5.7 -17.0 16.6 6.9 -2.3 6.8 COCOA 20.0 14.1 4.0 -1.5 -2.9 -2.5 -0.7 0.3 0.0 -11.8 -5.9 5.0 -10.2 8.0 6.8 1.0 -3.2 0.7 -1.0 8.5 -0.4 2.4 -7.0 10.8 5.2 -0.0 3.7 -2.3 0.5 0.9 -1.9 4.3 -20.0 -8.3 20.0 20.0 8.1 COFFEE -8.8 -20.0 -20.0 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 2.8 -12.3 -8.0 -5.0 -14.7 -14.8 2.4 4.8 6.6 7.0 -20.0 -20.0 -10.8 -8.5 -20.0 13.7 -0.0 -5.6 0.7 -4.1 -1.8 -1.4 -4.7 -10.7 2.5 -20.0 -20.0 -20.0 COPPER 18.3 20.0 12.0 2.2 -1.0 0.0 1.8 -0.4 3.8 -9.6 -9.9 -0.0 -10.3 3.9 4.0 -0.2 0.2 0.4 0.2 5.4 -4.7 -0.7 -10.1 7.5 18.0 -0.0 2.7 -1.6 -1.2 0.8 -2.8 3.9 2.8 -9.6 0.5 3.5 4.0 CORN -17.2 -1.3 18.5 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -12.8 1.8 -14.0 5.5 -12.7 9.8 17.9 13.4 15.1 13.3 -0.2 7.4 -12.9 16.4 -9.9 -18.1 -0.0 -2.0 -6.1 2.8 -7.1 8.6 -6.0 1.4 -13.1 -20.0 -3.8 12.5 COTTON2 20.0 -9.6 -20.0 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -3.3 -11.5 7.7 0.1 2.3 -9.4 4.2 18.1 8.2 14.5 -11.7 -14.7 -1.7 -3.1 -2.2 -4.6 -0.0 -3.2 -1.7 -3.3 -0.7 1.5 -0.7 8.3 -6.6 7.8 -13.6 -17.1 CRUDE_W 2.9 8.8 -9.9 -1.8 -2.3 0.1 -3.6 6.5 -2.4 -6.8 -4.8 -9.1 4.1 8.7 5.7 8.0 14.1 9.0 11.6 2.3 0.1 -4.7 6.1 1.1 5.8 -0.0 1.2 -2.5 1.6 -2.5 6.9 0.2 -20.0 2.7 7.1 9.9 7.1 DAX 20.0 20.0 6.8 1.8 3.1 -1.2 4.4 -2.1 4.5 13.0 1.8 15.5 -7.6 16.0 11.8 -3.8 -1.4 -3.2 -2.4 20.0 5.9 20.0 -6.9 20.0 -6.9 -0.0 4.8 2.5 1.3 5.2 -1.3 6.6 -1.5 12.5 20.0 20.0 19.6 DOW 20.0 20.0 2.2 1.8 3.1 -1.2 4.4 -2.1 4.5 13.9 1.4 15.4 -4.2 15.7 10.0 -5.0 -1.6 -4.3 -3.3 18.4 4.6 20.0 -2.8 20.0 -4.0 -0.0 4.1 3.6 1.0 4.8 -0.4 5.8 -2.6 2.0 14.6 20.0 13.0 EUR 20.0 20.0 16.1 0.9 3.3 -2.8 4.3 -4.5 4.3 11.5 -7.6 13.1 -12.8 13.3 7.4 -6.9 -8.3 -7.6 -8.2 8.8 -5.7 16.0 -15.5 18.2 4.4 -0.0 2.4 3.5 -3.3 5.2 -7.8 5.9 -11.2 2.8 -2.7 11.4 5.7 EUROSTX 20.0 20.0 5.1 1.8 3.1 -1.2 4.4 -2.1 4.5 13.9 4.7 15.6 -6.0 16.1 11.9 -1.0 2.6 -0.4 0.7 20.0 8.3 20.0 -1.9 20.0 -12.8 -0.0 4.9 3.3 1.7 5.5 -0.4 6.7 4.4 11.4 20.0 20.0 19.3 FEEDCOW 7.7 2.8 -8.6 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 3.7 -1.9 5.4 -2.0 7.6 -5.1 -20.0 -20.0 -18.2 -20.0 -1.5 -3.8 6.3 -2.8 3.6 -4.3 -0.0 -1.3 1.3 -2.7 3.5 -1.7 1.8 -20.0 9.8 -1.3 4.4 -12.4 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 -13.2 1.7 -5.1 -2.2 -5.9 -0.1 -5.1 6.4 -3.2 -14.1 5.1 -15.3 11.0 -3.6 1.9 20.0 20.0 20.0 20.0 -0.7 8.3 -20.0 20.0 -10.8 -4.7 -0.0 -0.7 -10.9 3.0 -9.2 9.0 -5.0 0.0 -20.0 -10.1 7.1 14.3 GASOILINE -1.2 6.1 -20.0 -2.2 -5.9 -0.1 -5.1 6.4 -3.2 -9.7 -6.7 -11.2 4.7 0.8 0.9 11.7 20.0 20.0 20.0 -1.1 -0.0 -11.0 10.7 -4.5 -3.0 -0.0 0.1 -5.3 2.1 -5.7 9.9 -2.2 3.8 -3.8 3.5 7.7 3.1 GAS_US 20.0 -15.7 -20.0 -2.2 -5.9 -0.1 -5.1 6.4 -3.2 13.7 -6.9 12.9 1.8 4.0 -9.3 -20.0 -12.2 -20.0 -16.9 -8.1 -7.8 20.0 2.5 6.6 -9.8 -0.0 -1.2 12.4 -0.0 8.7 5.0 3.0 -20.0 20.0 20.0 -16.7 5.3 GBP 19.3 20.0 12.1 0.9 3.3 -2.8 4.3 -4.5 4.3 13.3 -6.1 14.5 -10.6 14.9 4.7 -1.8 -1.4 -1.7 -1.7 6.3 -6.4 17.1 -13.2 15.8 15.1 -0.0 -0.3 5.5 -6.1 5.4 -8.8 4.3 0.3 7.1 -8.3 7.8 -12.3 GOLD_micro 20.0 14.3 -3.1 2.2 -1.0 0.0 1.8 -0.4 3.8 -4.0 -10.6 9.4 -11.5 9.4 0.3 -9.9 -7.7 -9.8 -9.1 5.6 -6.7 10.7 -10.1 15.3 10.6 -0.0 1.8 0.3 -1.6 3.5 -2.3 4.9 -11.8 10.2 9.4 2.7 -8.2 HEATOIL -8.1 4.7 -9.3 -2.2 -5.9 -0.1 -5.1 6.4 -3.2 -14.0 3.7 -14.6 10.0 3.0 3.5 20.0 20.0 20.0 20.0 1.4 8.0 -15.0 19.3 -6.2 -14.9 -0.0 0.6 -9.7 5.1 -7.3 13.9 -3.3 8.2 -8.6 -3.3 9.4 17.0 JPY 20.0 20.0 9.3 0.9 3.3 -2.8 4.3 -4.5 4.3 4.9 -12.1 9.1 -14.8 8.7 -5.7 -11.4 -9.9 -12.3 -11.6 0.1 -14.6 12.9 -20.0 12.6 20.0 -0.0 -0.0 2.9 -5.4 4.8 -9.3 4.5 -15.4 14.5 7.8 -6.9 -8.5 LEANHOG 4.5 18.4 -0.5 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -2.2 -2.3 7.3 -0.3 13.6 10.7 -20.0 20.0 16.8 20.0 10.3 5.1 4.7 4.9 10.6 2.7 -0.0 2.9 -1.4 1.0 1.6 1.5 3.4 20.0 5.4 -5.1 18.7 3.3 LIVECOW -4.3 10.4 8.1 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 8.1 5.4 6.7 -2.0 7.3 7.0 -20.0 -20.0 -20.0 -20.0 7.0 4.7 8.9 0.2 7.3 -15.3 -0.0 3.3 3.1 3.0 4.2 2.1 3.4 -20.0 14.5 -7.4 17.2 9.4 MXP 11.3 12.0 10.0 0.9 3.3 -2.8 4.3 -4.5 4.3 8.7 15.8 12.2 15.1 14.5 15.7 19.0 20.0 18.9 19.4 18.3 16.3 10.4 14.8 16.7 -20.0 -0.0 5.8 2.5 4.2 3.6 3.2 5.7 20.0 -13.8 2.7 15.8 20.0 NASDAQ 14.3 7.6 -5.1 1.8 3.1 -1.2 4.4 -2.1 4.5 10.5 -11.4 12.2 -12.2 9.4 -8.2 -4.3 -2.9 -4.3 -3.9 -2.8 -11.0 10.2 -13.1 7.0 12.4 -0.0 -1.1 3.6 -4.6 4.3 -4.7 3.0 -4.1 6.5 -13.5 -16.8 -8.4 NIKKEI 12.7 9.2 -0.8 1.8 3.1 -1.2 4.4 -2.1 4.5 13.4 5.6 13.7 0.8 14.2 5.3 4.2 8.6 6.3 8.3 9.1 4.6 13.3 2.0 13.3 -11.2 -0.0 2.9 6.2 -0.2 6.2 -1.1 5.8 16.4 -7.4 -3.7 0.2 1.6 NZD 20.0 20.0 -0.7 0.9 3.3 -2.8 4.3 -4.5 4.3 13.0 -8.4 14.3 -11.6 14.0 0.6 -1.3 0.6 -0.9 -0.3 8.2 -7.1 20.0 -13.5 20.0 3.8 -0.0 1.8 5.1 -2.7 5.9 -4.6 5.8 3.3 10.3 12.5 8.1 0.0 OAT 20.0 9.5 -5.8 -1.9 3.2 -5.3 4.2 -6.6 2.4 14.1 -10.3 15.1 -12.5 11.9 -8.1 15.0 12.3 14.7 14.1 -3.0 -16.5 19.5 -20.0 12.4 10.6 -0.0 -1.1 5.6 -6.5 5.8 -10.0 3.9 20.0 -0.5 3.9 9.5 -0.1 OJ -8.6 15.1 10.8 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 8.9 13.9 0.1 14.0 8.5 12.5 16.9 11.8 17.1 16.0 20.0 20.0 5.7 20.0 11.3 -20.0 -0.0 5.6 2.1 7.0 1.1 6.8 2.6 3.0 -13.9 2.2 20.0 20.0 PALLAD 3.3 -14.0 -2.1 2.2 -1.0 0.0 1.8 -0.4 3.8 -11.9 -9.6 -4.2 -6.1 -8.4 -7.4 -2.2 -1.3 -1.9 -1.6 -8.2 -6.4 -10.8 -5.3 -7.9 -0.3 -0.0 -2.8 -6.4 -1.8 -4.1 -1.1 -2.8 0.0 -6.1 -20.0 -20.0 -3.6 PLAT 11.6 18.7 14.2 2.2 -1.0 0.0 1.8 -0.4 3.8 -7.0 4.3 4.0 -5.0 9.9 11.4 0.7 -0.2 0.4 0.1 14.6 7.2 4.6 -0.8 13.4 -0.5 -0.0 4.6 0.4 1.7 1.8 -1.1 4.6 2.4 -5.7 -0.3 11.8 12.5 REDWHEAT -7.3 -1.3 -0.0 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -9.9 -9.4 -12.8 -3.3 -12.1 2.8 3.3 -0.7 1.8 0.8 -2.8 -3.0 -8.9 1.6 -6.0 -13.0 -0.0 -0.2 -4.2 1.8 -4.4 5.7 -2.6 -20.0 -4.1 -8.6 1.7 7.6 ROBUSTA -10.2 -20.0 -17.5 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 1.3 -11.2 -9.1 -1.0 -15.3 -14.8 7.9 6.4 7.1 6.6 -20.0 -19.9 -10.5 -4.4 -20.0 5.0 -0.0 -5.1 -0.3 -3.3 -1.7 -0.7 -4.3 -10.0 0.3 -20.0 -20.0 -13.2 RUSSELL 10.1 12.9 2.6 1.8 3.1 -1.2 4.4 -2.1 4.5 1.8 -4.9 8.5 -10.4 11.3 -1.1 -3.9 -1.9 -3.6 -3.0 4.9 -2.4 6.6 -7.4 9.0 -2.7 -0.0 2.4 1.9 -0.5 3.2 -2.0 4.2 -2.5 -5.1 -7.9 -1.2 8.0 SILVER-mini 20.0 14.5 14.3 2.2 -1.0 0.0 1.8 -0.4 3.8 -2.5 -7.4 7.1 -9.6 9.6 8.5 -4.1 -3.1 -4.0 -3.7 10.5 -0.1 8.2 -8.1 13.8 16.4 -0.0 3.7 2.2 -0.5 2.9 -3.8 4.9 -3.3 -5.6 7.5 10.2 2.9 SOYBEAN 5.1 4.7 2.3 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -3.1 -0.8 1.5 3.9 4.7 8.1 15.9 20.0 17.7 20.0 3.6 2.2 -0.5 6.2 2.8 -17.8 -0.0 3.8 -0.6 5.6 -0.5 10.8 2.1 18.9 -4.0 6.3 8.4 10.3 SOYMEAL 0.3 -0.3 2.6 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 10.2 -1.8 0.4 7.0 3.2 -0.7 12.4 14.6 13.7 15.0 0.7 1.9 2.1 5.7 0.9 -10.4 -0.0 1.7 2.5 4.0 1.1 8.0 0.7 4.8 -1.0 1.6 0.3 8.6 SOYOIL 9.0 20.0 7.3 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -2.3 4.1 1.3 6.2 10.4 11.9 20.0 20.0 20.0 20.0 18.1 13.0 1.2 12.9 12.9 -20.0 -0.0 5.0 0.3 4.5 0.2 4.9 3.3 18.2 -7.1 17.3 20.0 20.0 SP400 17.7 16.5 1.2 1.8 3.1 -1.2 4.4 -2.1 4.5 13.4 -2.5 13.8 -6.8 14.0 3.6 -0.4 -1.1 -0.4 -0.7 9.9 0.7 15.1 -3.9 16.5 -6.3 -0.0 3.6 4.1 0.7 5.4 -0.3 5.9 0.0 5.6 4.7 6.9 11.4 SP500 17.2 13.8 -3.8 1.8 3.1 -1.2 4.4 -2.1 4.5 13.6 -7.7 14.3 -9.1 13.2 -2.3 -4.6 -2.8 -4.3 -3.7 4.6 -5.1 14.6 -7.9 13.5 8.3 -0.0 1.7 4.7 -2.3 5.5 -3.5 5.1 -3.9 7.0 -2.6 -3.2 0.6 SUGAR11 20.0 18.6 5.8 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -5.9 1.5 10.2 -1.3 11.9 10.2 20.0 20.0 20.0 20.0 15.7 6.9 11.6 2.5 19.8 -10.9 -0.0 4.8 -1.1 2.6 3.6 1.4 5.9 19.5 17.8 20.0 20.0 17.7 US10 20.0 1.9 -12.8 -1.9 3.2 -5.3 4.2 -6.6 2.4 7.7 -12.3 11.2 -13.9 6.8 -10.4 -4.3 2.0 -3.6 -1.9 -9.0 -20.0 13.2 -20.0 7.3 -5.6 -0.0 -2.1 3.4 -6.1 4.3 -8.0 2.7 -2.5 0.3 0.5 -0.5 -2.4 US10U 20.0 0.4 -13.5 -1.9 3.2 -5.3 4.2 -6.6 2.4 12.0 -12.4 12.4 -13.7 5.8 -10.4 -0.2 5.0 0.3 1.8 -9.3 -20.0 15.4 -20.0 7.7 -6.1 -0.0 -2.2 4.3 -5.9 5.0 -7.4 2.8 3.4 5.0 2.7 -2.3 -1.1 US20 20.0 -0.4 -16.5 -1.9 3.2 -5.3 4.2 -6.6 2.4 13.6 -12.2 14.3 -13.6 5.0 -10.0 1.4 2.9 1.7 2.1 -11.0 -20.0 20.0 -20.0 9.3 -4.9 -0.0 -2.6 5.7 -5.6 5.8 -6.3 2.6 1.6 17.2 7.1 -9.6 -5.0 US30 20.0 1.7 -12.1 -1.9 3.2 -5.3 4.2 -6.6 2.4 13.6 -13.3 14.0 -14.8 2.8 -10.3 -2.1 0.2 -1.6 -1.0 -12.3 -20.0 20.0 -20.0 6.7 -1.4 -0.0 -3.0 7.0 -6.2 6.0 -7.3 2.2 -3.3 15.1 3.2 -13.8 -0.2 US5 20.0 3.6 -10.1 -1.9 3.2 -5.3 4.2 -6.6 2.4 0.2 -12.2 8.8 -14.1 6.5 -10.3 -6.1 3.0 -4.9 -2.4 -9.7 -20.0 9.1 -20.0 5.5 -3.9 -0.0 -2.4 1.6 -6.5 3.1 -9.1 2.1 -1.9 -5.2 -2.4 -0.4 -3.8 VIX -18.6 -9.6 -0.0 -3.5 -7.8 -1.7 -6.8 -1.3 -5.5 -13.9 -9.3 -15.1 -8.3 -14.6 -9.0 -14.5 -17.6 -9.2 -11.8 -12.4 -7.2 -20.0 -6.2 -18.7 NaN -0.0 -4.3 -9.0 -2.2 -7.8 -1.8 -6.5 NaN NaN NaN NaN NaN WHEAT -12.8 -2.3 -2.7 -1.5 -2.8 -2.5 -1.2 0.3 -0.3 -12.5 -10.4 -15.0 -5.9 -13.6 2.5 -4.4 -3.8 -4.0 -3.9 -7.0 -6.9 -16.0 -2.0 -11.9 -11.8 -0.0 -2.9 -8.5 0.0 -9.2 4.5 -6.5 -20.0 -13.6 -16.7 -3.8 1.2 End of report for caleb_strategy_v1