******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221125_204312 produced at 2022-11-25 21:35:24.377074 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 8762239.61 -8762239.61 -0.11 -0.11 -21.24 999999999 -13 -13 caleb_strategy_v1 US10U False False 0.04 0.00 -0.14 0.0 41024771.56 -41024771.56 0.00 0.00 -3.43 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.26 -0.12 0.0 36997849.43 -36997849.43 -0.26 -0.26 -3.15 999999999 -7 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 21320878.14 -21320878.14 -0.11 -0.11 -5.38 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 38854574.00 -38854574.00 0.00 0.00 -2.23 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.08 0.0 31267992.03 -31267992.03 -0.09 -0.09 -2.61 999999999 -3 -3 caleb_strategy_v1 US20 False False 0.04 -0.13 -0.06 0.0 43736178.87 -43736178.87 -0.13 -0.13 -1.33 999999999 -3 -3 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.06 0.0 45560216.52 -45560216.52 -0.09 -0.09 -1.24 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 -0.09 -0.06 0.0 47272797.11 -47272797.11 -0.09 -0.09 -1.28 999999999 -2 -2 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 29322381.14 -29322381.14 0.00 0.00 -1.81 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.09 -0.03 0.0 31032217.48 -31032217.48 -0.09 -0.09 -1.07 999999999 -3 -3 caleb_strategy_v1 EUR False False 0.04 0.00 -0.02 0.0 44696424.31 -44696424.31 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25719145.19 -25719145.19 -0.05 -0.05 -0.63 999999999 -2 -2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 23219077.60 -23219077.60 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14407968.36 -14407968.36 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.06 -0.01 0.0 3207048.29 -3207048.29 -0.06 -0.06 -3.50 999999999 -20 -20 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6054347.48 -6054347.48 0.00 0.00 -2.00 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6320472.64 -6320472.64 0.00 0.00 -1.12 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 81468251.68 -81468251.68 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8381570.88 -8381570.88 0.00 0.00 -0.79 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.03 -0.03 -0.01 0.0 25820313.90 -25820313.90 -0.03 -0.03 -0.42 999999999 -1 -1 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15771173.94 -15771173.94 -0.02 -0.02 -0.32 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.01 0.0 56891272.97 -56891272.97 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 65090922.81 -65090922.81 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.00 0.0 69261988.93 -69261988.93 0.00 0.00 0.00 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.00 0.0 25648841.50 -25648841.50 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 556599.41 -556599.41 0.00 0.00 4.21 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10617570.97 -10617570.97 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.00 0.0 10434095.50 -10434095.50 0.03 0.03 0.17 999999999 3 3 caleb_strategy_v1 SP400 False False 0.09 0.18 0.00 0.0 87612107.75 -87612107.75 0.18 0.18 0.01 999999999 2 2 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14215061.91 -14215061.91 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20930349.75 -20930349.75 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4159704.35 -4159704.35 0.00 0.00 1.59 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 21499209.44 -21499209.44 0.04 0.04 0.35 999999999 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 14490103.64 -14490103.64 0.00 0.00 0.86 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.05 0.01 0.0 25980211.92 -25980211.92 0.05 0.05 0.49 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14153194.81 -14153194.81 0.00 0.00 0.97 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17250123.38 -17250123.38 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 31237984.36 -31237984.36 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 5873958.51 -5873958.51 0.00 0.00 1.64 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.0 5200692.12 -5200692.12 0.01 0.01 4.09 999999999 1 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 18669057.49 -18669057.49 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7509119.31 -7509119.31 0.02 0.02 2.72 999999999 2 2 caleb_strategy_v1 GASOILINE False False 0.03 0.07 0.02 0.0 34041660.98 -34041660.98 0.07 0.07 0.53 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8803392.99 -8803392.99 0.00 0.00 3.32 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.03 0.0 13854969.87 -13854969.87 0.06 0.06 2.33 999999999 4 4 caleb_strategy_v1 CAC False False 0.02 0.05 0.03 0.0 23934394.90 -23934394.90 0.05 0.05 1.07 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 31293712.89 -31293712.89 0.00 0.00 1.15 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.04 0.05 0.0 12181399.25 -12181399.25 0.04 0.04 3.85 999999999 3 3 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.05 0.0 45884367.95 -45884367.95 0.05 0.05 1.09 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.13 0.06 0.0 43330769.97 -43330769.97 0.13 0.13 1.28 999999999 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.0 49239835.92 -49239835.92 0.00 0.00 1.19 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.0 23624609.83 -23624609.83 0.05 0.05 3.67 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.17 0.0 50717995.01 -50717995.01 0.10 0.10 3.28 999999999 2 2 caleb_strategy_v1 NIKKEI False False 0.01 0.10 0.18 0.0 6999099.93 -6999099.93 0.10 0.10 25.69 999999999 14 14 caleb_strategy_v1 BOBL False False 0.04 0.21 0.39 0.0 42973726.71 -42973726.71 0.21 0.21 9.04 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 33.2 Sum abs risk 35.1 Leverage 2.44 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2915921.17, 'annual_cash_vol_target': 728980.2925, 'daily_cash_vol_target': 45561.26828125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0066 0.6770 0.9768 15.6295 BITCOIN 1051.6239 16230.0000 6.4795 103.6721 BOBL 0.3882 120.3600 0.3226 5.1609 BTP 1.0267 121.3600 0.8460 13.5359 BUND 0.8390 142.0500 0.5906 9.4497 BUXL 2.1638 159.3400 1.3580 21.7278 CAC 60.2538 6703.5000 0.8988 14.3815 CAD 0.0044 0.7500 0.5819 9.3099 CANOLA 8.6150 811.0000 1.0623 16.9963 CHF 0.0081 1.0628 0.7606 12.1690 COCOA 31.5513 2444.0000 1.2910 20.6555 COFFEE 0.0387 1.6275 2.3808 38.0931 COPPER 0.0697 3.6435 1.9127 30.6024 CORN 4.8415 608.5000 0.7956 12.7302 COTTON2 0.0209 0.8290 2.5185 40.2958 CRUDE_W 1.4290 74.7900 1.9107 30.5720 DAX 135.1774 14566.0000 0.9280 14.8485 DOW 347.5394 34256.0000 1.0145 16.2326 EUR 0.0078 1.0426 0.7468 11.9486 EUROSTX 38.0498 3964.0000 0.9599 15.3581 FEEDCOW 1.4139 182.3500 0.7754 12.4064 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 18.1637 912.5000 1.9905 31.8487 GASOILINE 0.0500 2.3634 2.1161 33.8580 GAS_US 0.2344 7.5290 3.1130 49.8079 GBP 0.0119 1.2121 0.9824 15.7188 GOLD_micro 16.6967 1765.4000 0.9458 15.1324 HEATOIL 0.0599 3.1856 1.8816 30.1063 JPY 0.0001 0.0072 0.9206 14.7298 LEANHOG 1.1939 88.8000 1.3444 21.5111 LIVECOW 0.9023 155.4250 0.5805 9.2882 MXP 0.0003 0.0513 0.6192 9.9074 NASDAQ 200.5243 11877.7500 1.6882 27.0118 NIKKEI 257.6461 28380.0000 0.9078 14.5255 NZD 0.0058 0.6269 0.9318 14.9091 OAT 0.8827 137.9100 0.6400 10.2408 OJ 0.0352 2.0640 1.7040 27.2645 PALLAD 47.3124 1898.0000 2.4928 39.8840 PLAT 18.4970 1006.0000 1.8387 29.4186 REDWHEAT 15.1453 919.7500 1.6467 26.3468 ROBUSTA 24.7702 1843.0000 1.3440 21.5043 RUSSELL 28.6222 1870.3000 1.5304 24.4857 SILVER-mini 0.4209 21.7750 1.9329 30.9257 SOYBEAN 12.0595 1377.7500 0.8753 14.0049 SOYMEAL 4.6511 404.0000 1.1513 18.4201 SOYOIL 0.9263 70.4200 1.3154 21.0467 SP400 34.7787 2554.7000 1.3614 21.7818 SP500 52.3222 4039.2500 1.2953 20.7255 SUGAR11 0.0026 0.1955 1.3243 21.1881 US10 0.5438 113.2969 0.4800 7.6800 US10U 0.7539 119.6250 0.6302 10.0830 US20 1.0968 127.5312 0.8600 13.7602 US30 1.6438 137.8438 1.1925 19.0799 US5 0.3620 107.8828 0.3355 5.3683 VIX 0.5134 25.5500 2.0094 32.1503 WHEAT 12.7204 840.2500 1.5139 24.2221 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.05 0.98 661.37 1.00 661.37 45561.27 68.89 -2.19 -15.09 BITCOIN 16.23 6.48 105.16 1.00 105.16 45561.27 433.25 4.12 178.63 BOBL 1203.60 0.32 388.23 1.04 403.64 45561.27 112.88 11.10 125.32 BTP 1213.60 0.85 1026.70 1.04 1067.45 45561.27 42.68 14.90 63.60 BUND 1420.50 0.59 838.95 1.04 872.25 45561.27 52.23 8.69 45.39 BUXL 1593.40 1.36 2163.81 1.04 2249.71 45561.27 20.25 -0.71 -1.44 CAC 670.35 0.90 602.54 1.04 626.46 45561.27 72.73 5.24 38.12 CAD 749.95 0.58 436.37 1.00 436.37 45561.27 104.41 -3.39 -35.38 CANOLA 162.20 1.06 172.30 0.75 128.96 45561.27 353.30 4.91 173.42 CHF 1328.50 0.76 1010.41 1.00 1010.41 45561.27 45.09 -7.37 -33.24 COCOA 244.40 1.29 315.51 1.00 315.51 45561.27 144.40 -2.50 -36.13 COFFEE 610.31 2.38 1453.04 1.00 1453.04 45561.27 31.36 -3.90 -12.24 COPPER 910.88 1.91 1742.19 1.00 1742.19 45561.27 26.15 6.02 15.73 CORN 304.25 0.80 242.07 1.00 242.07 45561.27 188.21 0.98 18.49 COTTON2 414.50 2.52 1043.91 1.00 1043.91 45561.27 43.64 -1.62 -7.08 CRUDE_W 747.90 1.91 1429.05 1.00 1429.05 45561.27 31.88 0.31 0.98 DAX 145.66 0.93 135.18 1.04 140.54 45561.27 324.18 2.32 75.32 DOW 171.28 1.01 173.77 1.00 173.77 45561.27 262.19 2.20 57.62 EUR 1303.31 0.75 973.30 1.00 973.30 45561.27 46.81 -2.12 -9.91 EUROSTX 396.40 0.96 380.50 1.04 395.60 45561.27 115.17 3.00 34.51 FEEDCOW 911.75 0.78 706.97 1.00 706.97 45561.27 64.45 -15.05 -96.97 FTSE100 707.00 0.82 576.59 1.21 666.67 45561.27 68.34 -2.56 -17.52 GASOIL 912.50 1.99 1816.37 1.00 1816.37 45561.27 25.08 6.42 16.11 GASOILINE 992.63 2.12 2100.53 1.00 2100.53 45561.27 21.69 6.00 13.02 GAS_US 752.90 3.11 2343.77 1.00 2343.77 45561.27 19.44 -14.49 -28.18 GBP 757.56 0.98 744.25 1.00 744.25 45561.27 61.22 4.48 27.44 GOLD_micro 176.54 0.95 166.97 1.00 166.97 45561.27 272.88 -3.28 -89.52 HEATOIL 1337.95 1.88 2517.55 1.00 2517.55 45561.27 18.10 8.43 15.26 JPY 904.88 0.92 833.04 1.00 833.04 45561.27 54.69 -3.02 -16.51 LEANHOG 355.20 1.34 477.55 1.00 477.55 45561.27 95.41 8.64 82.42 LIVECOW 621.70 0.58 360.90 1.00 360.90 45561.27 126.24 -15.85 -200.05 MXP 256.70 0.62 158.95 1.00 158.95 45561.27 286.64 9.46 271.23 NASDAQ 2375.55 1.69 4010.49 1.00 4010.49 45561.27 11.36 -1.98 -2.25 NIKKEI 28380.00 0.91 25764.61 0.01 184.76 45561.27 246.60 5.49 135.28 NZD 626.90 0.93 584.16 1.00 584.16 45561.27 78.00 2.79 21.74 OAT 1379.10 0.64 882.69 1.04 917.73 45561.27 49.65 11.82 58.70 OJ 309.60 1.70 527.57 1.00 527.57 45561.27 86.36 -1.54 -13.26 PALLAD 1898.00 2.49 4731.24 1.00 4731.24 45561.27 9.63 -4.32 -4.16 PLAT 503.00 1.84 924.85 1.00 924.85 45561.27 49.26 4.33 21.31 REDWHEAT 459.88 1.65 757.27 1.00 757.27 45561.27 60.17 -10.10 -60.78 ROBUSTA 184.30 1.34 247.70 1.00 247.70 45561.27 183.94 -4.71 -86.54 RUSSELL 93.52 1.53 143.11 1.00 143.11 45561.27 318.36 -2.12 -67.49 SILVER-mini 544.38 1.93 1052.20 1.00 1052.20 45561.27 43.30 8.46 36.62 SOYBEAN 688.88 0.88 602.98 1.00 602.98 45561.27 75.56 8.25 62.32 SOYMEAL 404.00 1.15 465.11 1.00 465.11 45561.27 97.96 4.04 39.59 SOYOIL 422.52 1.32 555.79 1.00 555.79 45561.27 81.98 11.37 93.23 SP400 2554.70 1.36 3477.87 1.00 3477.87 45561.27 13.10 0.15 0.19 SP500 2019.62 1.30 2616.11 1.00 2616.11 45561.27 17.42 0.05 0.09 SUGAR11 218.96 1.32 289.96 1.00 289.96 45561.27 157.13 12.75 200.27 US10 1132.97 0.48 543.83 1.00 543.83 45561.27 83.78 -6.95 -58.23 US10U 1196.25 0.63 753.86 1.00 753.86 45561.27 60.44 -3.89 -23.51 US20 1275.31 0.86 1096.78 1.00 1096.78 45561.27 41.54 -4.33 -18.01 US30 1378.44 1.19 1643.78 1.00 1643.78 45561.27 27.72 -5.50 -15.25 US5 1078.83 0.34 361.97 1.00 361.97 45561.27 125.87 -6.52 -82.10 VIX 255.50 2.01 513.40 1.00 513.40 45561.27 88.74 -12.70 -112.72 WHEAT 420.12 1.51 636.02 1.00 636.02 45561.27 71.64 -13.62 -97.58 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -15.091 0.006 2.5 -0.241 BITCOIN 178.627 0.009 2.5 4.209 BOBL 125.322 0.029 2.5 9.043 BTP 63.605 0.008 2.5 1.285 BUND 45.392 0.029 2.5 3.275 BUXL -1.445 0.034 2.5 -0.121 CAC 38.116 0.011 2.5 1.072 CAD -35.381 0.007 2.5 -0.632 CANOLA 173.422 0.004 2.5 1.592 CHF -33.238 0.015 2.5 -1.244 COCOA -36.135 0.009 2.5 -0.787 COFFEE -12.241 0.005 2.5 -0.159 COPPER 15.733 0.011 2.5 0.430 CORN 18.489 0.004 2.5 0.167 COTTON2 -7.085 0.006 2.5 -0.107 CRUDE_W 0.983 0.053 2.5 0.130 DAX 75.315 0.022 2.5 4.090 DOW 57.617 0.011 2.5 1.642 EUR -9.909 0.015 2.5 -0.371 EUROSTX 34.513 0.011 2.5 0.970 FEEDCOW -96.969 0.011 2.5 -2.606 FTSE100 -17.516 0.041 2.5 -1.806 GASOIL 16.113 0.029 2.5 1.149 GASOILINE 13.021 0.016 2.5 0.535 GAS_US -28.176 0.006 2.5 -0.424 GBP 27.444 0.007 2.5 0.490 GOLD_micro -89.522 0.009 2.5 -2.003 HEATOIL 15.260 0.029 2.5 1.089 JPY -16.506 0.026 2.5 -1.068 LEANHOG 82.424 0.019 2.5 3.851 LIVECOW -200.046 0.011 2.5 -5.375 MXP 271.233 0.005 2.5 3.321 NASDAQ -2.253 0.022 2.5 -0.122 NIKKEI 135.283 0.076 2.5 25.695 NZD 21.743 0.006 2.5 0.347 OAT 58.701 0.008 2.5 1.186 OJ -13.258 0.007 2.5 -0.231 PALLAD -4.161 0.010 2.5 -0.100 PLAT 21.313 0.010 2.5 0.513 REDWHEAT -60.776 0.002 2.5 -0.324 ROBUSTA -86.543 0.005 2.5 -1.122 RUSSELL -67.492 0.021 2.5 -3.496 SILVER-mini 36.623 0.009 2.5 0.819 SOYBEAN 62.319 0.024 2.5 3.674 SOYMEAL 39.593 0.024 2.5 2.334 SOYOIL 93.231 0.004 2.5 0.856 SP400 0.193 0.021 2.5 0.010 SP500 0.089 0.011 2.5 0.003 SUGAR11 200.268 0.005 2.5 2.717 US10 -58.230 0.015 2.5 -2.234 US10U -23.514 0.058 2.5 -3.426 US20 -18.007 0.029 2.5 -1.327 US30 -15.254 0.034 2.5 -1.281 US5 -82.104 0.015 2.5 -3.150 VIX -112.721 0.075 2.5 -21.242 WHEAT -97.580 0.002 2.5 -0.521 ==================== Position diags ==================== AUD 1.10 BITCOIN 10.21 BOBL 8.14 BTP 0.86 BUND 3.77 BUXL 1.70 CAC 2.04 CAD 1.86 CANOLA 3.24 CHF 1.69 COCOA 3.15 COFFEE 0.41 COPPER 0.71 CORN 1.70 COTTON2 0.66 CRUDE_W 4.21 DAX 17.61 DOW 7.47 EUR 1.75 EUROSTX 3.24 FEEDCOW 1.73 FTSE100 7.05 GASOIL 1.79 GASOILINE 0.89 GAS_US 0.29 GBP 1.09 GOLD_micro 6.11 HEATOIL 1.29 JPY 3.54 LEANHOG 4.46 LIVECOW 3.39 MXP 3.51 NASDAQ 0.62 NIKKEI 46.84 NZD 1.25 OAT 1.00 OJ 1.51 PALLAD 0.23 PLAT 1.19 REDWHEAT 0.32 ROBUSTA 2.38 RUSSELL 16.49 SILVER-mini 0.97 SOYBEAN 4.46 SOYMEAL 5.78 SOYOIL 0.75 SP400 0.68 SP500 0.50 SUGAR11 2.13 US10 3.21 US10U 8.81 US20 3.06 US30 2.33 US5 4.83 VIX 16.72 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.2 -0.4 -0.1 0.0 0 BITCOIN 4.2 3.2 5.2 NaN 0 BOBL 9.0 8.2 9.9 5.0 5 BTP 1.3 1.2 1.4 3.0 3 BUND 3.3 2.9 3.7 2.0 2 BUXL -0.1 -0.3 0.0 0.0 0 CAC 1.1 0.9 1.3 2.0 2 CAD -0.6 -0.8 -0.4 -2.0 -2 CANOLA 1.6 1.3 1.9 NaN 0 CHF -1.2 -1.4 -1.1 -2.0 -2 COCOA -0.8 -1.1 -0.5 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.4 0.4 0.5 0.0 0 CORN 0.2 -0.0 0.3 3.0 3 COTTON2 -0.1 -0.2 -0.0 NaN 0 CRUDE_W 0.1 -0.3 0.6 0.0 0 DAX 4.1 2.3 5.9 1.0 1 DOW 1.6 0.9 2.4 0.0 0 EUR -0.4 -0.5 -0.2 0.0 0 EUROSTX 1.0 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 1.0 1.3 0.0 0 GASOILINE 0.5 0.4 0.6 2.0 2 GAS_US -0.4 -0.5 -0.4 -1.0 -1 GBP 0.5 0.4 0.6 2.0 2 GOLD_micro -2.0 -2.6 -1.4 0.0 0 HEATOIL 1.1 1.0 1.2 1.0 1 JPY -1.1 -1.4 -0.7 -3.0 -3 LEANHOG 3.9 3.4 4.3 3.0 3 LIVECOW -5.4 -5.7 -5.0 -5.0 -5 MXP 3.3 3.0 3.7 NaN 0 NASDAQ -0.1 -0.2 -0.1 0.0 0 NIKKEI 25.7 21.0 30.4 14.0 14 NZD 0.3 0.2 0.5 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 -3.5 -5.1 -1.8 -20.0 -20 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 2.0 2 SP500 0.0 -0.0 0.1 NaN 0 SUGAR11 2.7 2.5 2.9 2.0 2 US10 -2.2 -2.6 -1.9 NaN 0 US10U -3.4 -4.3 -2.5 0.0 0 US20 -1.3 -1.6 -1.0 -3.0 -3 US30 -1.3 -1.5 -1.0 -2.0 -2 US5 -3.1 -3.6 -2.7 -7.0 -7 VIX -21.2 -22.9 -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 -0.0 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 0.0 -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 -0.0 -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 -0.2 0.0 -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 -0.0 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 -0.0 0.0 -0.1 0.0 2.7 0.1 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 -0.2 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 0.1 -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 -0.0 -0.2 0.0 -0.3 0.0 0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.7 0.1 0.2 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 -1.5 -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 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.2 -0.2 -0.1 -0.1 CANOLA -0.0 0.1 -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 1.1 0.5 0.2 0.2 -0.0 -0.1 -0.0 0.0 -0.0 0.9 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.2 0.1 0.1 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 -0.0 0.0 -2.2 0.1 0.2 -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 -0.2 0.0 0.2 0.0 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.7 -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 -0.0 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 -1.1 -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 0.1 0.1 -0.2 0.1 0.3 -0.1 -0.1 -0.1 -0.0 0.3 0.1 0.0 -0.1 0.0 -1.1 -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 -0.0 0.1 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 -0.1 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 -0.1 -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 0.1 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 0.2 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.1 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 2.1 -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 0.2 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.1 -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 -1.3 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 0.4 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 -0.4 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 -0.2 -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 -0.0 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 14.8 -6.3 1.2 4.3 -2.6 4.8 -4.4 4.5 10.5 -9.7 11.9 -11.3 10.9 -2.8 -2.7 -1.8 -2.5 -2.1 2.0 -8.5 14.4 -11.2 13.0 -0.6 -0.0 0.1 4.5 -3.8 4.9 -4.9 4.3 -0.3 -0.5 -3.6 -9.4 -4.0 BITCOIN -7.1 15.7 10.2 2.3 -0.3 0.1 1.7 -0.4 3.7 -0.8 -15.9 -11.7 -15.8 -10.8 -12.1 0.6 -1.2 0.3 -0.3 -10.8 -15.3 -9.2 -20.0 -11.6 20.0 -0.0 -5.0 -1.2 -4.7 -4.9 -4.1 -6.1 1.2 -7.7 -20.0 -20.0 -17.2 BOBL 15.0 3.1 -20.0 -1.5 5.1 -5.0 5.0 -6.6 2.9 10.6 -13.0 8.5 -12.9 0.8 -12.3 20.0 19.8 20.0 20.0 -10.8 -20.0 9.6 -20.0 2.9 9.9 -0.0 -3.1 4.0 -8.2 3.5 -11.6 1.5 20.0 -19.0 -14.8 4.3 -6.2 BTP 20.0 20.0 -0.2 -1.5 5.1 -5.0 5.0 -6.6 2.9 13.8 -8.0 15.1 -12.0 14.3 -1.9 20.0 15.6 20.0 20.0 6.8 -9.8 20.0 -20.0 20.0 6.3 -0.0 1.8 7.2 -3.9 7.4 -8.1 6.2 20.0 4.7 10.1 20.0 15.1 BUND 20.0 6.7 -16.8 -1.5 5.1 -5.0 5.0 -6.6 2.9 13.9 -11.5 14.9 -12.8 8.9 -10.0 9.1 15.8 12.5 14.5 -6.7 -20.0 18.3 -20.0 9.9 8.4 -0.0 -1.8 6.3 -6.9 5.6 -9.8 3.3 20.0 -6.1 -3.8 5.6 -5.5 BUXL 20.0 6.5 -7.1 -1.5 5.1 -5.0 5.0 -6.6 2.9 14.1 -10.4 15.6 -12.6 11.2 -7.2 4.6 -3.0 5.1 1.5 -2.7 -18.2 20.0 -20.0 16.0 6.8 -0.0 -0.9 8.8 -5.7 7.7 -7.9 4.5 -5.3 7.1 7.8 1.4 -1.1 CAC 20.0 20.0 2.0 2.1 3.9 -1.0 4.8 -2.0 4.8 14.0 7.0 15.7 -3.5 16.2 12.5 0.6 4.2 1.2 2.4 20.0 9.0 20.0 1.7 20.0 -13.0 -0.0 4.7 3.2 1.7 4.8 0.1 6.1 7.3 2.3 14.5 20.0 13.8 CAD 20.0 11.5 -11.7 1.2 4.3 -2.6 4.8 -4.4 4.5 0.4 -9.0 8.2 -11.2 9.3 -4.1 -2.0 -0.8 -1.7 -1.2 -0.3 -10.0 6.9 -11.3 8.5 -1.7 -0.0 -0.7 1.6 -4.8 2.5 -5.5 2.9 1.3 -18.0 -10.1 -6.7 -9.6 CANOLA -16.5 11.6 -6.2 -1.8 -4.8 -2.6 -2.7 0.3 -1.1 -14.1 -9.5 -14.6 -1.5 -7.1 4.8 15.4 13.8 10.9 9.8 -5.4 -7.6 -20.0 0.0 -17.5 3.9 -0.0 -1.1 -12.0 -0.1 -10.7 2.0 -6.0 -1.4 -20.0 -20.0 4.9 10.5 CHF 20.0 13.0 5.6 1.2 4.3 -2.6 4.8 -4.4 4.5 8.9 -4.5 12.5 -8.8 10.7 3.3 -11.3 -11.3 -11.9 -12.0 8.1 -1.8 17.9 -6.6 17.9 -3.0 -0.0 2.2 4.0 -1.6 5.9 -3.9 5.8 -17.0 9.4 7.6 -3.2 6.8 COCOA 19.4 13.8 3.8 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -13.3 -5.7 3.8 -10.1 7.0 6.7 0.6 -3.2 0.6 -1.0 8.2 -0.3 0.6 -7.0 9.4 4.7 -0.0 3.6 -2.8 0.5 0.2 -1.9 3.8 -20.0 -13.6 20.0 20.0 8.5 COFFEE -8.9 -20.0 -20.0 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 2.4 -12.3 -8.1 -5.0 -14.7 -14.8 2.4 4.8 6.6 7.0 -20.0 -20.0 -11.0 -8.5 -20.0 13.7 -0.0 -5.6 0.7 -4.1 -1.8 -1.4 -4.7 -10.7 3.7 -20.0 -20.0 -20.0 COPPER 18.2 20.0 12.0 2.2 -0.8 0.0 1.8 -0.4 3.9 -9.8 -9.9 -0.1 -10.3 3.8 4.0 -0.2 0.2 0.4 0.2 5.4 -4.7 -0.9 -10.1 7.4 18.0 -0.0 2.6 -1.8 -1.3 0.7 -2.8 3.9 2.8 -10.4 0.2 3.4 4.0 CORN -16.8 -1.3 18.2 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -7.2 1.9 -12.8 5.5 -12.1 10.0 17.9 13.4 15.0 13.3 0.0 7.4 -11.0 16.2 -9.1 -18.2 -0.0 -1.8 -3.8 2.9 -6.2 8.8 -5.7 1.4 -8.7 -19.7 -3.2 12.8 COTTON2 20.0 -9.6 -20.0 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -3.4 -11.5 7.7 0.1 2.2 -9.4 4.2 18.1 8.2 14.5 -11.7 -14.7 -1.7 -3.2 -2.2 -4.6 -0.0 -3.2 -1.7 -3.3 -0.7 1.5 -0.7 8.3 -5.2 8.4 -13.4 -17.0 CRUDE_W 0.8 7.7 -9.8 -2.1 -5.3 -0.1 -4.8 6.4 -3.1 -11.7 -4.9 -11.4 4.0 7.5 5.4 8.0 14.0 9.0 11.6 1.5 -0.1 -7.5 5.9 -0.7 5.5 -0.0 0.8 -5.9 1.5 -4.1 6.9 -0.7 -20.0 2.4 6.9 10.1 7.2 DAX 20.0 20.0 5.7 2.1 3.9 -1.0 4.8 -2.0 4.8 14.0 2.5 15.7 -7.3 16.2 12.3 -3.9 -1.4 -3.2 -2.4 20.0 7.0 20.0 -6.5 20.0 -7.4 -0.0 4.9 3.1 1.4 5.2 -1.2 6.5 -1.6 10.8 20.0 20.0 20.0 DOW 20.0 20.0 2.2 1.8 3.4 -1.2 4.6 -2.1 4.6 13.9 1.5 15.4 -4.2 15.7 10.0 -5.0 -1.6 -4.3 -3.3 18.5 4.7 20.0 -2.8 20.0 -4.0 -0.0 4.1 3.8 1.0 4.9 -0.4 5.9 -2.6 2.2 14.6 20.0 13.0 EUR 20.0 20.0 17.2 1.2 4.3 -2.6 4.8 -4.4 4.5 13.2 -7.1 14.0 -12.7 13.9 8.3 -6.9 -8.3 -7.6 -8.2 9.8 -5.1 17.0 -15.5 19.0 4.3 -0.0 2.7 4.0 -3.0 5.4 -7.6 6.0 -11.2 1.7 -1.5 10.4 5.9 EUROSTX 20.0 20.0 4.9 2.1 3.9 -1.0 4.8 -2.0 4.8 14.0 5.3 15.7 -5.7 16.3 12.4 -0.9 2.6 -0.4 0.7 20.0 9.4 20.0 -1.5 20.0 -13.1 -0.0 5.0 3.4 1.9 5.4 -0.3 6.6 4.4 11.4 20.0 20.0 19.6 FEEDCOW 7.7 2.8 -8.6 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 3.4 -1.9 5.2 -2.0 7.5 -5.1 -20.0 -20.0 -18.2 -20.0 -1.5 -3.8 6.1 -2.8 3.5 -4.4 -0.0 -1.3 1.1 -2.7 3.4 -1.7 1.8 -20.0 11.1 -0.9 4.5 -12.3 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL -14.3 2.8 -5.1 -2.5 -6.3 -0.2 -5.6 6.4 -3.7 -14.1 4.6 -15.5 10.9 -5.1 1.3 20.0 20.0 20.0 20.0 -1.9 8.1 -20.0 20.0 -12.5 -4.7 -0.0 -1.2 -9.1 2.7 -9.0 8.7 -5.4 0.0 -14.1 -9.7 6.2 14.3 GASOILINE -1.2 6.1 -19.9 -2.1 -5.3 -0.1 -4.8 6.4 -3.1 -9.4 -6.7 -11.1 4.7 0.8 1.0 11.7 20.0 20.0 20.0 -1.1 0.0 -10.9 10.7 -4.4 -3.0 -0.0 0.2 -5.1 2.1 -5.7 9.9 -2.2 3.8 -4.5 3.2 7.6 3.1 GAS_US 20.0 -15.6 -20.0 -2.1 -5.3 -0.1 -4.8 6.4 -3.1 13.7 -6.8 12.9 1.8 4.0 -9.2 -20.0 -12.2 -20.0 -17.0 -7.9 -7.8 20.0 2.5 6.9 -9.8 -0.0 -1.2 12.9 -0.0 8.9 4.9 3.1 -20.0 20.0 20.0 -16.6 5.3 GBP 20.0 20.0 12.3 1.2 4.3 -2.6 4.8 -4.4 4.5 13.8 -5.7 15.0 -10.4 15.2 5.6 -1.8 -1.4 -1.7 -1.7 7.6 -5.8 19.8 -13.1 17.7 15.1 -0.0 0.1 6.3 -5.7 6.1 -8.6 4.8 0.3 6.3 -7.7 8.0 -12.2 GOLD_micro 20.0 14.3 -3.1 2.2 -0.8 0.0 1.8 -0.4 3.9 -5.0 -10.6 9.3 -11.5 9.3 0.2 -9.9 -7.7 -9.8 -9.1 5.5 -6.8 10.4 -10.1 15.2 10.6 -0.0 1.8 0.0 -1.6 3.4 -2.3 4.9 -11.8 9.1 9.0 2.5 -8.3 HEATOIL -8.2 4.7 -9.4 -2.1 -5.3 -0.1 -4.8 6.4 -3.1 -14.0 3.7 -14.6 10.0 3.0 3.5 20.0 20.0 20.0 20.0 1.4 8.0 -15.1 19.2 -6.2 -14.8 -0.0 0.6 -9.9 5.1 -7.4 13.9 -3.3 8.2 -9.9 -3.8 9.2 17.0 JPY 20.0 20.0 9.0 1.2 4.3 -2.6 4.8 -4.4 4.5 9.9 -11.6 11.2 -14.7 10.1 -4.8 -11.3 -9.9 -12.2 -11.6 1.4 -14.1 16.0 -20.0 14.2 19.4 -0.0 0.4 4.4 -5.1 5.4 -9.2 4.9 -15.4 4.4 8.0 -7.0 -8.7 LEANHOG 4.2 18.3 -0.6 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -4.4 -2.4 6.6 -0.3 13.5 10.7 -20.0 20.0 16.8 20.0 10.1 5.0 3.9 4.9 10.2 2.7 -0.0 2.8 -2.1 1.0 1.3 1.5 3.3 20.0 5.7 -5.0 18.8 3.3 LIVECOW -4.4 10.3 8.0 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 7.7 5.4 6.5 -2.0 7.3 7.0 -20.0 -20.0 -20.0 -20.0 6.9 4.6 8.6 0.2 7.2 -15.3 -0.0 3.3 2.9 3.0 4.1 2.1 3.3 -20.0 15.6 -7.1 17.4 9.4 MXP 10.0 12.8 10.2 1.2 4.3 -2.6 4.8 -4.4 4.5 7.2 15.8 12.2 15.2 14.5 15.7 19.0 20.0 18.9 19.4 18.4 16.6 9.9 15.1 16.4 -20.0 -0.0 5.8 1.8 4.3 3.4 3.3 5.5 20.0 -18.1 1.2 14.0 20.0 NASDAQ 14.4 7.6 -5.0 1.8 3.4 -1.2 4.6 -2.1 4.6 11.4 -11.4 12.3 -12.2 9.4 -8.2 -4.3 -2.9 -4.3 -3.9 -2.7 -11.0 10.4 -13.0 7.0 12.4 -0.0 -1.1 3.8 -4.6 4.4 -4.7 3.0 -4.2 6.1 -13.6 -16.9 -8.5 NIKKEI 13.6 10.4 -0.2 2.1 3.9 -1.0 4.8 -2.0 4.8 13.5 5.9 14.4 0.9 14.6 6.0 4.3 8.5 6.2 8.2 9.9 5.1 14.0 2.2 14.1 -11.1 -0.0 3.2 5.4 0.0 6.2 -1.0 5.9 16.3 -5.1 -3.1 -1.3 1.9 NZD 20.0 20.0 -1.3 1.2 4.3 -2.6 4.8 -4.4 4.5 13.7 -7.8 14.9 -11.4 14.5 1.5 -1.1 0.6 -0.9 -0.3 9.8 -6.3 20.0 -13.4 20.0 3.7 -0.0 2.2 5.7 -2.4 6.3 -4.4 6.0 3.3 12.2 12.6 9.1 0.3 OAT 20.0 12.5 -6.8 -1.5 5.1 -5.0 5.0 -6.6 2.9 14.1 -9.9 15.4 -12.4 12.8 -7.3 14.8 12.4 14.6 14.1 -1.1 -15.6 20.0 -20.0 15.3 10.4 -0.0 -0.6 7.5 -6.0 6.9 -9.7 4.6 20.0 1.1 2.8 11.1 -0.3 OJ -8.9 14.9 10.7 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 7.6 13.9 -0.4 14.0 8.3 12.4 16.9 11.8 17.1 16.0 20.0 20.0 4.9 20.0 11.0 -20.0 -0.0 5.5 1.7 7.0 1.0 6.8 2.6 3.0 -13.7 2.3 20.0 20.0 PALLAD 3.3 -14.0 -2.1 2.2 -0.8 0.0 1.8 -0.4 3.9 -11.7 -9.6 -4.2 -6.1 -8.4 -7.4 -2.2 -1.3 -1.9 -1.6 -8.2 -6.3 -10.7 -5.3 -7.9 -0.3 -0.0 -2.8 -6.3 -1.8 -4.1 -1.1 -2.8 0.0 -6.2 -20.0 -20.0 -3.6 PLAT 11.6 18.7 14.2 2.2 -0.8 0.0 1.8 -0.4 3.9 -6.7 4.3 4.1 -4.9 10.0 11.4 0.7 -0.2 0.4 0.1 14.6 7.2 4.8 -0.8 13.5 -0.5 -0.0 4.6 0.5 1.7 1.9 -1.1 4.6 2.4 -5.7 -0.3 11.8 12.5 REDWHEAT -7.4 -1.3 -0.0 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -10.4 -9.4 -12.9 -3.3 -12.2 2.8 3.3 -0.7 1.8 0.8 -2.8 -3.0 -9.1 1.6 -6.1 -13.0 -0.0 -0.2 -4.5 1.8 -4.5 5.7 -2.7 -20.0 -2.9 -8.2 1.9 7.7 ROBUSTA -9.0 -20.0 -18.2 -1.8 -4.8 -2.6 -2.7 0.3 -1.1 10.2 -11.4 -5.1 -1.3 -14.7 -14.7 8.2 6.5 7.3 6.7 -20.0 -19.6 -5.7 -4.6 -20.0 4.7 -0.0 -5.0 1.2 -3.3 -0.9 -0.8 -3.9 -9.9 8.6 -20.0 -20.0 -13.4 RUSSELL 10.3 13.0 2.6 1.8 3.4 -1.2 4.6 -2.1 4.6 3.6 -4.8 8.9 -10.4 11.4 -1.1 -3.9 -1.9 -3.6 -3.0 5.0 -2.4 7.1 -7.4 9.2 -2.7 -0.0 2.4 2.4 -0.5 3.4 -2.0 4.3 -2.6 -5.1 -7.9 -1.2 8.0 SILVER-mini 20.0 14.5 14.4 2.2 -0.8 0.0 1.8 -0.4 3.9 -2.1 -7.4 7.2 -9.6 9.6 8.6 -4.2 -3.1 -4.1 -3.7 10.5 -0.1 8.3 -8.0 13.8 16.4 -0.0 3.7 2.3 -0.5 3.0 -3.8 4.9 -3.3 -5.7 7.5 10.2 2.9 SOYBEAN 5.1 4.7 2.3 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -3.3 -0.8 1.4 3.9 4.7 8.1 15.9 20.0 17.7 20.0 3.6 2.2 -0.6 6.2 2.7 -17.8 -0.0 3.8 -0.7 5.6 -0.5 10.8 2.0 18.9 -2.5 6.8 8.6 10.4 SOYMEAL 0.3 -0.3 2.6 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 10.7 -1.8 0.6 7.0 3.2 -0.7 12.4 14.6 13.7 15.0 0.8 1.9 2.2 5.7 1.0 -10.4 -0.0 1.7 2.7 4.0 1.2 8.0 0.7 4.8 0.7 2.2 0.5 8.6 SOYOIL 9.0 20.0 7.2 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -2.2 4.1 1.4 6.2 10.4 11.9 20.0 20.0 20.0 20.0 18.1 13.0 1.3 12.9 12.9 -20.0 -0.0 5.0 0.3 4.5 0.2 4.9 3.3 18.2 -5.5 17.9 20.0 20.0 SP400 17.7 16.5 1.2 1.8 3.4 -1.2 4.6 -2.1 4.6 13.4 -2.5 13.8 -6.8 14.0 3.6 -0.4 -1.1 -0.4 -0.6 10.0 0.7 15.3 -3.9 16.6 -6.3 -0.0 3.7 4.2 0.7 5.4 -0.3 5.9 0.0 5.0 4.5 6.8 11.3 SP500 17.3 13.9 -3.8 1.8 3.4 -1.2 4.6 -2.1 4.6 13.6 -7.6 14.3 -9.1 13.2 -2.2 -4.6 -2.8 -4.3 -3.7 4.6 -5.1 15.0 -7.9 13.6 8.3 -0.0 1.7 5.0 -2.3 5.7 -3.5 5.2 -3.9 6.9 -2.7 -3.2 0.6 SUGAR11 20.0 18.6 5.8 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -6.4 1.5 10.1 -1.3 11.9 10.1 20.0 20.0 20.0 20.0 15.6 6.9 11.3 2.5 19.6 -10.9 -0.0 4.8 -1.3 2.6 3.5 1.4 5.9 19.5 19.0 20.0 20.0 17.8 US10 20.0 2.1 -12.6 -1.9 3.3 -5.2 4.2 -6.6 2.4 9.1 -12.3 11.5 -13.9 6.9 -10.3 -4.5 1.9 -3.7 -2.0 -8.9 -20.0 13.6 -20.0 7.5 -5.6 -0.0 -2.1 3.7 -6.1 4.4 -8.0 2.7 -2.7 0.8 0.7 -0.4 -2.3 US10U 20.0 0.4 -13.5 -1.9 3.3 -5.2 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 4.7 2.6 -2.4 -1.1 US20 20.0 -0.3 -16.4 -1.9 3.3 -5.2 4.2 -6.6 2.4 13.6 -12.2 14.3 -13.6 5.1 -10.0 1.4 2.9 1.7 2.1 -11.0 -20.0 20.0 -20.0 9.4 -4.9 -0.0 -2.5 5.8 -5.6 5.8 -6.3 2.7 1.6 17.3 7.1 -9.6 -5.0 US30 20.0 1.7 -12.1 -1.9 3.3 -5.2 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 19.9 -20.0 6.6 -1.4 -0.0 -3.0 7.0 -6.2 6.0 -7.3 2.2 -3.3 14.7 3.1 -13.9 -0.3 US5 20.0 3.7 -10.0 -1.9 3.3 -5.2 4.2 -6.6 2.4 1.5 -12.1 9.1 -14.1 6.6 -10.3 -6.1 3.0 -4.9 -2.4 -9.6 -20.0 9.6 -20.0 5.7 -3.9 -0.0 -2.4 1.9 -6.5 3.2 -9.1 2.2 -1.9 -4.7 -2.2 -0.4 -3.7 VIX -18.7 -9.6 -0.0 -3.5 -8.2 -1.7 -6.9 -1.3 -5.5 -13.9 -9.3 -15.1 -8.3 -14.6 -9.0 -14.6 -17.6 -9.2 -11.8 -12.4 -7.2 -20.0 -6.1 -18.8 NaN -0.0 -4.3 -9.5 -2.2 -8.0 -1.8 -6.5 NaN NaN NaN NaN NaN WHEAT -12.8 -2.3 -2.7 -1.6 -4.5 -2.6 -1.9 0.3 -0.6 -12.4 -10.4 -14.9 -5.9 -13.6 2.5 -4.4 -3.8 -4.0 -3.9 -7.0 -6.9 -15.9 -2.0 -11.9 -11.8 -0.0 -2.9 -8.4 0.0 -9.1 4.5 -6.5 -20.0 -12.0 -16.1 -3.6 1.3 End of report for caleb_strategy_v1