******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221128_204307 produced at 2022-11-28 21:35:12.033693 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.12 -0.19 0.0 8850620.61 -8850620.61 -0.12 -0.12 -21.03 999999999 -13 -13 caleb_strategy_v1 US10U False False 0.04 0.00 -0.13 0.0 41476458.97 -41476458.97 0.00 0.00 -3.07 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 21494364.33 -21494364.33 -0.11 -0.11 -5.48 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.26 -0.11 0.0 37387268.73 -37387268.73 -0.26 -0.26 -2.97 999999999 -7 -7 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 39278958.99 -39278958.99 0.00 0.00 -2.08 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.08 0.0 31518428.27 -31518428.27 -0.09 -0.09 -2.67 999999999 -3 -3 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.06 0.0 45816250.80 -45816250.80 -0.09 -0.09 -1.25 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.13 -0.05 0.0 44177327.17 -44177327.17 -0.13 -0.13 -1.17 999999999 -3 -3 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 29263272.47 -29263272.47 0.00 0.00 -1.79 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.05 0.0 47684667.03 -47684667.03 -0.10 -0.10 -1.15 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.09 -0.04 0.0 31208829.75 -31208829.75 -0.09 -0.09 -1.20 999999999 -3 -3 caleb_strategy_v1 EUR False False 0.05 0.00 -0.02 0.0 45119112.87 -45119112.87 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25886766.26 -25886766.26 -0.05 -0.05 -0.61 999999999 -2 -2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 23375337.71 -23375337.71 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14328132.87 -14328132.87 0.00 0.00 -0.53 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.06 -0.01 0.0 3243380.07 -3243380.07 -0.06 -0.10 -3.96 999999999 -20 -30 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6131349.70 -6131349.70 0.00 0.00 -1.90 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6432721.12 -6432721.12 0.00 0.00 -1.05 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 81659532.23 -81659532.23 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8466112.23 -8466112.23 0.00 0.00 -0.78 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 24352196.81 -24352196.81 -0.02 -0.02 -0.41 999999999 -1 -1 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15765709.21 -15765709.21 -0.02 -0.02 -0.32 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 64361851.60 -64361851.60 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.00 0.0 69874004.26 -69874004.26 0.00 0.00 0.00 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.00 0.0 25907550.49 -25907550.49 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 564638.42 -564638.42 0.00 0.00 4.38 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.00 0.0 56093204.30 -56093204.30 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10929910.24 -10929910.24 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.00 0.0 10586970.34 -10586970.34 0.03 0.03 0.21 999999999 3 3 caleb_strategy_v1 SP400 False False 0.09 0.18 0.00 0.0 88869930.19 -88869930.19 0.18 0.18 0.02 999999999 2 2 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 13885601.84 -13885601.84 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21368792.90 -21368792.90 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4137415.72 -4137415.72 0.00 0.00 1.53 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 21622533.78 -21622533.78 0.04 0.04 0.37 999999999 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 14521945.87 -14521945.87 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.05 0.01 0.0 26192467.73 -26192467.73 0.05 0.05 0.51 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14189797.56 -14189797.56 0.00 0.00 0.99 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17140066.83 -17140066.83 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 31327906.11 -31327906.11 0.00 0.00 0.40 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 5954337.28 -5954337.28 0.00 0.00 1.52 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.0 5212235.25 -5212235.25 0.01 0.01 4.10 999999999 1 1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 18705812.63 -18705812.63 0.00 0.00 0.84 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 7480108.07 -7480108.07 0.01 0.01 2.64 999999999 2 2 caleb_strategy_v1 GASOILINE False False 0.03 0.07 0.02 0.0 33392785.34 -33392785.34 0.07 0.07 0.46 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8940685.63 -8940685.63 0.00 0.00 3.40 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.03 0.0 14001647.16 -14001647.16 0.06 0.06 2.12 999999999 4 4 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 30968512.02 -30968512.02 0.00 0.00 1.03 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.05 0.03 0.0 24047105.84 -24047105.84 0.05 0.05 1.08 999999999 2 2 caleb_strategy_v1 LEANHOG False False 0.01 0.04 0.04 0.0 12255771.31 -12255771.31 0.04 0.04 3.66 999999999 3 3 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.05 0.0 45680841.50 -45680841.50 0.05 0.05 0.99 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.0 42845096.56 -42845096.56 0.13 0.13 1.23 999999999 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 48770939.35 -48770939.35 0.00 0.00 1.12 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.08 0.0 23858571.20 -23858571.20 0.05 0.05 3.51 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.16 0.0 50357131.71 -50357131.71 0.10 0.15 3.13 999999999 2 3 caleb_strategy_v1 NIKKEI False False 0.01 0.10 0.19 0.0 7070384.10 -7070384.10 0.10 0.11 26.63 999999999 14 16 caleb_strategy_v1 BOBL False False 0.04 0.21 0.38 0.0 42880902.25 -42880902.25 0.21 0.21 8.79 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 10.5 Shocked risk 32.9 Sum abs risk 34.4 Leverage 2.38 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2886803.21, 'annual_cash_vol_target': 721700.8025, 'daily_cash_vol_target': 45106.30015625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0065 0.6748 0.9576 15.3210 BITCOIN 1030.8743 16300.0000 6.3244 101.1901 BOBL 0.3989 119.7600 0.3331 5.3291 BTP 1.0692 119.6600 0.8935 14.2959 BUND 0.8742 140.6400 0.6216 9.9449 BUXL 2.2160 156.6600 1.4145 22.6321 CAC 59.0388 6716.0000 0.8791 14.0652 CAD 0.0043 0.7473 0.5729 9.1664 CANOLA 8.3775 805.7000 1.0398 16.6364 CHF 0.0080 1.0581 0.7583 12.1325 COCOA 31.5513 2444.0000 1.2910 20.6555 COFFEE 0.0388 1.6450 2.3557 37.6912 COPPER 0.0697 3.6175 1.9267 30.8266 CORN 4.8411 611.2500 0.7920 12.6721 COTTON2 0.0209 0.8017 2.6046 41.6734 CRUDE_W 1.4290 74.7900 1.9107 30.5720 DAX 132.5255 14557.0000 0.9104 14.5662 DOW 347.5939 34378.0000 1.0111 16.1775 EUR 0.0076 1.0420 0.7322 11.7146 EUROSTX 37.4235 3963.0000 0.9443 15.1092 FEEDCOW 1.4140 181.9750 0.7770 12.4323 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 18.0386 894.0000 2.0177 32.2839 GASOILINE 0.0500 2.2952 2.1792 34.8670 GAS_US 0.2344 7.0300 3.3345 53.3526 GBP 0.0116 1.2098 0.9628 15.4042 GOLD_micro 16.6983 1770.0000 0.9434 15.0945 HEATOIL 0.0599 3.1398 1.9093 30.5495 JPY 0.0001 0.0072 0.9011 14.4183 LEANHOG 1.1939 88.4500 1.3498 21.5964 LIVECOW 0.9022 155.1250 0.5816 9.3057 MXP 0.0003 0.0516 0.6040 9.6647 NASDAQ 200.5660 11786.7500 1.7016 27.2260 NIKKEI 252.6506 28355.0000 0.8910 14.2564 NZD 0.0057 0.6242 0.9192 14.7076 OAT 0.9314 136.2100 0.6838 10.9403 OJ 0.0352 2.1035 1.6722 26.7553 PALLAD 47.3201 1858.0000 2.5468 40.7493 PLAT 18.4980 989.6000 1.8692 29.9079 REDWHEAT 15.1469 910.2500 1.6640 26.6246 ROBUSTA 24.5158 1857.0000 1.3202 21.1229 RUSSELL 28.6264 1872.6000 1.5287 24.4592 SILVER-mini 0.4209 21.6000 1.9487 31.1786 SOYBEAN 12.0597 1377.5000 0.8755 14.0076 SOYMEAL 4.6511 404.2000 1.1507 18.4112 SOYOIL 0.9264 69.8700 1.3260 21.2152 SP400 34.7847 2565.5000 1.3559 21.6938 SP500 52.3323 4034.2500 1.2972 20.7552 SUGAR11 0.0026 0.1928 1.3428 21.4846 US10 0.5439 113.3906 0.4796 7.6744 US10U 0.7540 119.7344 0.6297 10.0754 US20 1.0969 127.5312 0.8601 13.7613 US30 1.6439 137.6562 1.1942 19.1069 US5 0.3620 107.9297 0.3354 5.3666 VIX 0.5134 25.5500 2.0094 32.1503 WHEAT 12.7214 827.2500 1.5378 24.6047 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.80 0.96 646.16 1.00 646.16 45106.3 69.81 -2.00 -13.99 BITCOIN 16.30 6.32 103.09 1.00 103.09 45106.3 437.55 4.24 185.69 BOBL 1197.60 0.33 398.88 1.04 415.36 45106.3 108.60 11.21 121.76 BTP 1196.60 0.89 1069.16 1.04 1113.33 45106.3 40.51 14.97 60.66 BUND 1406.40 0.62 874.15 1.04 910.27 45106.3 49.55 8.74 43.32 BUXL 1566.60 1.41 2215.97 1.04 2307.53 45106.3 19.55 -0.17 -0.33 CAC 671.60 0.88 590.39 1.04 614.78 45106.3 73.37 5.25 38.49 CAD 747.30 0.57 428.13 1.00 428.13 45106.3 105.36 -3.27 -34.43 CANOLA 161.14 1.04 167.55 0.75 125.64 45106.3 359.01 4.65 166.97 CHF 1322.62 0.76 1002.92 1.00 1002.92 45106.3 44.97 -7.40 -33.29 COCOA 244.40 1.29 315.51 1.00 315.51 45106.3 142.96 -2.50 -35.77 COFFEE 616.88 2.36 1453.17 1.00 1453.17 45106.3 31.04 -4.18 -12.97 COPPER 904.38 1.93 1742.43 1.00 1742.43 45106.3 25.89 5.71 14.79 CORN 305.62 0.79 242.06 1.00 242.06 45106.3 186.35 1.23 22.93 COTTON2 400.85 2.60 1044.05 1.00 1044.05 45106.3 43.20 -0.97 -4.20 CRUDE_W 747.90 1.91 1429.05 1.00 1429.05 45106.3 31.56 0.31 0.97 DAX 145.57 0.91 132.53 1.04 138.00 45106.3 326.85 2.31 75.47 DOW 171.89 1.01 173.80 1.00 173.80 45106.3 259.53 2.06 53.50 EUR 1302.50 0.73 953.64 1.00 953.64 45106.3 47.30 -2.03 -9.61 EUROSTX 396.30 0.94 374.23 1.04 389.70 45106.3 115.75 3.04 35.24 FEEDCOW 909.88 0.78 706.99 1.00 706.99 45106.3 63.80 -15.58 -99.40 FTSE100 707.00 0.82 576.59 1.21 666.67 45106.3 67.66 -2.56 -17.34 GASOIL 894.00 2.02 1803.86 1.00 1803.86 45106.3 25.01 5.80 14.50 GASOILINE 963.98 2.18 2100.70 1.00 2100.70 45106.3 21.47 5.17 11.10 GAS_US 703.00 3.33 2344.18 1.00 2344.18 45106.3 19.24 -14.20 -27.33 GBP 756.12 0.96 727.97 1.00 727.97 45106.3 61.96 4.63 28.67 GOLD_micro 177.00 0.94 166.98 1.00 166.98 45106.3 270.13 -3.15 -84.96 HEATOIL 1318.72 1.91 2517.88 1.00 2517.88 45106.3 17.91 7.73 13.86 JPY 900.94 0.90 811.87 1.00 811.87 45106.3 55.56 -3.33 -18.48 LEANHOG 353.80 1.35 477.55 1.00 477.55 45106.3 94.45 8.29 78.34 LIVECOW 620.50 0.58 360.89 1.00 360.89 45106.3 124.99 -16.30 -203.79 MXP 258.10 0.60 155.90 1.00 155.90 45106.3 289.32 9.60 277.87 NASDAQ 2357.35 1.70 4011.32 1.00 4011.32 45106.3 11.24 -2.11 -2.37 NIKKEI 28355.00 0.89 25265.06 0.01 182.48 45106.3 247.18 5.67 140.21 NZD 624.20 0.92 573.78 1.00 573.78 45106.3 78.61 2.95 23.15 OAT 1362.10 0.68 931.36 1.04 969.85 45106.3 46.51 11.95 55.60 OJ 315.53 1.67 527.62 1.00 527.62 45106.3 85.49 -1.43 -12.22 PALLAD 1858.00 2.55 4732.01 1.00 4732.01 45106.3 9.53 -4.29 -4.09 PLAT 494.80 1.87 924.90 1.00 924.90 45106.3 48.77 3.95 19.28 REDWHEAT 455.12 1.66 757.35 1.00 757.35 45106.3 59.56 -10.19 -60.68 ROBUSTA 185.70 1.32 245.16 1.00 245.16 45106.3 183.99 -4.40 -80.98 RUSSELL 93.63 1.53 143.13 1.00 143.13 45106.3 315.14 -2.43 -76.46 SILVER-mini 540.00 1.95 1052.28 1.00 1052.28 45106.3 42.87 8.73 37.41 SOYBEAN 688.75 0.88 602.99 1.00 602.99 45106.3 74.80 7.95 59.46 SOYMEAL 404.20 1.15 465.11 1.00 465.11 45106.3 96.98 3.71 36.02 SOYOIL 419.22 1.33 555.86 1.00 555.86 45106.3 81.15 11.03 89.54 SP400 2565.50 1.36 3478.47 1.00 3478.47 45106.3 12.97 0.26 0.33 SP500 2017.12 1.30 2616.61 1.00 2616.61 45106.3 17.24 0.04 0.07 SUGAR11 215.94 1.34 289.96 1.00 289.96 45106.3 155.56 12.52 194.72 US10 1133.91 0.48 543.88 1.00 543.88 45106.3 82.93 -6.54 -54.25 US10U 1197.34 0.63 753.98 1.00 753.98 45106.3 59.82 -3.52 -21.08 US20 1275.31 0.86 1096.87 1.00 1096.87 45106.3 41.12 -3.87 -15.93 US30 1376.56 1.19 1643.87 1.00 1643.87 45106.3 27.44 -4.98 -13.68 US5 1079.30 0.34 362.01 1.00 362.01 45106.3 124.60 -6.22 -77.53 VIX 255.50 2.01 513.40 1.00 513.40 45106.3 87.86 -12.70 -111.60 WHEAT 413.62 1.54 636.07 1.00 636.07 45106.3 70.91 -13.89 -98.49 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -13.987 0.006 2.5 -0.223 BITCOIN 185.695 0.009 2.5 4.375 BOBL 121.756 0.029 2.5 8.786 BTP 60.659 0.008 2.5 1.225 BUND 43.319 0.029 2.5 3.126 BUXL -0.333 0.034 2.5 -0.028 CAC 38.492 0.011 2.5 1.082 CAD -34.429 0.007 2.5 -0.615 CANOLA 166.971 0.004 2.5 1.533 CHF -33.290 0.015 2.5 -1.246 COCOA -35.774 0.009 2.5 -0.779 COFFEE -12.973 0.005 2.5 -0.168 COPPER 14.792 0.011 2.5 0.404 CORN 22.933 0.004 2.5 0.207 COTTON2 -4.197 0.006 2.5 -0.063 CRUDE_W 0.973 0.053 2.5 0.129 DAX 75.467 0.022 2.5 4.098 DOW 53.500 0.011 2.5 1.525 EUR -9.614 0.015 2.5 -0.360 EUROSTX 35.239 0.011 2.5 0.991 FEEDCOW -99.396 0.011 2.5 -2.671 FTSE100 -17.341 0.041 2.5 -1.788 GASOIL 14.501 0.029 2.5 1.034 GASOILINE 11.099 0.016 2.5 0.456 GAS_US -27.333 0.006 2.5 -0.412 GBP 28.670 0.007 2.5 0.512 GOLD_micro -84.956 0.009 2.5 -1.901 HEATOIL 13.855 0.029 2.5 0.988 JPY -18.483 0.026 2.5 -1.196 LEANHOG 78.341 0.019 2.5 3.660 LIVECOW -203.787 0.011 2.5 -5.476 MXP 277.865 0.005 2.5 3.402 NASDAQ -2.370 0.022 2.5 -0.129 NIKKEI 140.214 0.076 2.5 26.631 NZD 23.152 0.006 2.5 0.370 OAT 55.600 0.008 2.5 1.123 OJ -12.217 0.007 2.5 -0.213 PALLAD -4.094 0.010 2.5 -0.099 PLAT 19.275 0.010 2.5 0.464 REDWHEAT -60.678 0.002 2.5 -0.324 ROBUSTA -80.977 0.005 2.5 -1.050 RUSSELL -76.464 0.021 2.5 -3.961 SILVER-mini 37.406 0.009 2.5 0.837 SOYBEAN 59.457 0.024 2.5 3.506 SOYMEAL 36.017 0.024 2.5 2.124 SOYOIL 89.545 0.004 2.5 0.822 SP400 0.332 0.021 2.5 0.017 SP500 0.075 0.011 2.5 0.002 SUGAR11 194.725 0.005 2.5 2.642 US10 -54.254 0.015 2.5 -2.081 US10U -21.084 0.058 2.5 -3.072 US20 -15.934 0.029 2.5 -1.174 US30 -13.678 0.034 2.5 -1.148 US5 -77.530 0.015 2.5 -2.974 VIX -111.595 0.075 2.5 -21.030 WHEAT -98.486 0.002 2.5 -0.526 ==================== Position diags ==================== AUD 1.12 BITCOIN 10.31 BOBL 7.84 BTP 0.82 BUND 3.58 BUXL 1.64 CAC 2.06 CAD 1.88 CANOLA 3.30 CHF 1.68 COCOA 3.11 COFFEE 0.40 COPPER 0.71 CORN 1.68 COTTON2 0.65 CRUDE_W 4.17 DAX 17.75 DOW 7.40 EUR 1.77 EUROSTX 3.25 FEEDCOW 1.71 FTSE100 6.97 GASOIL 1.78 GASOILINE 0.88 GAS_US 0.29 GBP 1.11 GOLD_micro 6.04 HEATOIL 1.28 JPY 3.60 LEANHOG 4.41 LIVECOW 3.36 MXP 3.54 NASDAQ 0.61 NIKKEI 46.95 NZD 1.26 OAT 0.94 OJ 1.49 PALLAD 0.23 PLAT 1.17 REDWHEAT 0.32 ROBUSTA 2.39 RUSSELL 16.32 SILVER-mini 0.96 SOYBEAN 4.41 SOYMEAL 5.72 SOYOIL 0.74 SP400 0.67 SP500 0.49 SUGAR11 2.11 US10 3.18 US10U 8.72 US20 3.03 US30 2.30 US5 4.78 VIX 16.56 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.2 -0.3 -0.1 0.0 0 BITCOIN 4.4 3.3 5.4 NaN 0 BOBL 8.8 8.0 9.6 5.0 5 BTP 1.2 1.1 1.3 3.0 3 BUND 3.1 2.8 3.5 2.0 2 BUXL -0.0 -0.2 0.1 0.0 0 CAC 1.1 0.9 1.3 2.0 2 CAD -0.6 -0.8 -0.4 -2.0 -2 CANOLA 1.5 1.2 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 0.3 0.5 0.0 0 CORN 0.2 0.0 0.4 3.0 3 COTTON2 -0.1 -0.1 0.0 NaN 0 CRUDE_W 0.1 -0.3 0.5 0.0 0 DAX 4.1 2.3 5.9 1.0 1 DOW 1.5 0.8 2.3 0.0 0 EUR -0.4 -0.5 -0.2 0.0 0 EUROSTX 1.0 0.7 1.3 0.0 0 FEEDCOW -2.7 -2.8 -2.5 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.0 0.9 1.2 0.0 0 GASOILINE 0.5 0.4 0.5 2.0 2 GAS_US -0.4 -0.4 -0.4 -1.0 -1 GBP 0.5 0.4 0.6 2.0 2 GOLD_micro -1.9 -2.5 -1.3 0.0 0 HEATOIL 1.0 0.9 1.1 1.0 1 JPY -1.2 -1.6 -0.8 -3.0 -3 LEANHOG 3.7 3.2 4.1 3.0 3 LIVECOW -5.5 -5.8 -5.1 -5.0 -5 MXP 3.4 3.0 3.8 NaN 0 NASDAQ -0.1 -0.2 -0.1 0.0 0 NIKKEI 26.6 21.9 31.3 14.0 14 NZD 0.4 0.2 0.5 2.0 2 OAT 1.1 1.0 1.2 0.0 0 OJ -0.2 -0.4 -0.1 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.5 0.3 0.6 NaN 0 REDWHEAT -0.3 -0.4 -0.3 -1.0 -1 ROBUSTA -1.0 -1.3 -0.8 0.0 0 RUSSELL -4.0 -5.6 -2.3 -20.0 -20 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.5 3.1 3.9 2.0 2 SOYMEAL 2.1 1.6 2.7 4.0 4 SOYOIL 0.8 0.7 0.9 0.0 0 SP400 0.0 -0.0 0.1 2.0 2 SP500 0.0 -0.0 0.1 NaN 0 SUGAR11 2.6 2.4 2.9 2.0 2 US10 -2.1 -2.4 -1.8 NaN 0 US10U -3.1 -3.9 -2.2 0.0 0 US20 -1.2 -1.5 -0.9 -3.0 -3 US30 -1.1 -1.4 -0.9 -2.0 -2 US5 -3.0 -3.5 -2.5 -7.0 -7 VIX -21.0 -22.7 -19.4 -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 0.3 -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 -0.0 -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 0.1 -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 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 0.2 -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 0.7 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 0.2 -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 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 0.2 0.2 0.0 -0.0 CAC 0.2 0.3 0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 0.2 0.1 -0.1 0.1 0.3 0.0 0.2 0.0 0.0 0.2 0.1 0.0 0.0 0.0 -1.5 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.9 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 -0.1 -0.1 -0.0 -0.0 -0.0 1.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.2 -0.0 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 -0.0 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 -0.2 -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 -2.6 -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 -1.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.0 0.2 -0.3 -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 -1.2 -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 -0.0 0.1 0.1 0.1 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 0.2 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 0.1 -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 -0.0 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 -1.8 -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 -0.9 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.0 -0.1 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 -0.2 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 -0.1 -0.2 0.1 0.2 GASOILINE -0.1 0.1 -0.3 -0.0 -0.1 -0.0 -0.2 0.2 -0.1 -0.0 -0.2 -0.0 0.1 -0.0 0.0 0.9 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 0.1 GAS_US 0.2 -0.2 -0.3 -0.0 -0.1 -0.0 -0.2 0.2 -0.1 0.0 -0.2 0.0 0.0 0.0 -0.2 -1.5 -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 -0.1 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 0.1 -0.3 0.1 0.2 -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 0.1 -0.2 0.1 -0.2 GOLD_micro 0.2 0.3 -0.0 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 0.0 0.2 0.0 -0.1 HEATOIL -0.2 0.0 -0.2 -0.0 -0.1 -0.0 -0.2 0.2 -0.1 -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 0.2 -0.0 -1.4 -0.0 0.0 -0.0 0.1 -0.0 0.2 -0.0 1.2 -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 2.6 -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 0.0 0.2 -1.6 0.8 0.3 0.4 0.1 0.1 -0.0 0.1 0.0 0.3 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 2.7 0.1 -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 -2.6 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.8 0.0 -0.2 0.3 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 0.1 0.0 0.0 0.0 2.2 0.0 0.0 0.2 0.3 NASDAQ 0.2 0.2 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.2 -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 -0.2 -0.3 -0.1 NIKKEI 0.2 0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.2 0.1 0.0 0.1 0.2 0.3 0.3 0.1 0.1 0.1 0.1 0.0 0.0 0.0 -1.5 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 2.1 -0.0 -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 0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 0.5 -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 0.3 -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 0.0 0.2 -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 1.3 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 0.1 -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 0.0 -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 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 -0.1 0.0 0.3 0.0 -0.0 0.0 0.0 0.2 0.1 0.0 -0.0 0.0 -0.2 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 -0.0 -0.1 0.2 0.2 REDWHEAT -0.1 -0.0 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.1 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 -0.0 -0.3 0.7 0.3 0.2 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 -0.3 -0.3 -0.2 RUSSELL 0.1 0.3 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 -0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 -0.2 -0.3 -0.1 0.1 SILVER-mini 0.2 0.3 0.3 0.0 0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 0.0 -0.3 0.0 0.2 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 3.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 0.2 0.1 SOYBEAN 0.0 0.1 0.0 -0.0 -0.0 -0.1 -0.1 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 0.1 SOYMEAL 0.0 0.0 0.0 -0.0 -0.0 -0.1 -0.1 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 -1.5 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.6 0.1 -0.0 0.0 0.1 SOYOIL 0.0 0.3 0.1 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.2 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -2.9 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 2.5 -0.1 0.3 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 -0.0 0.0 -1.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 0.2 SP500 0.2 0.3 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.2 0.1 -0.0 -0.3 -0.1 -0.1 -0.1 0.1 -0.1 0.0 -0.1 0.0 0.9 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.5 -0.0 -0.1 -0.0 0.0 SUGAR11 0.2 0.2 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 -1.9 -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 0.1 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.2 -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 -0.3 -0.0 0.0 -0.0 -0.0 US10U 0.2 0.1 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.2 -0.0 0.2 0.0 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 0.5 0.0 0.1 -0.0 -0.0 US20 0.2 0.1 -0.3 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 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 0.3 0.0 0.1 -0.1 -0.1 US30 0.2 0.1 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.2 -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 -0.4 0.1 0.1 -0.2 0.0 US5 0.2 0.1 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.5 0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.3 0.0 -0.5 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 -0.0 -0.0 -0.0 -0.0 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 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.2 -0.1 0.0 -0.4 -0.2 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -1.7 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.0 -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 16.7 -6.1 1.3 3.3 -2.5 4.5 -4.3 4.5 8.4 -9.4 12.1 -11.1 11.3 -2.4 -2.7 -1.8 -2.5 -2.1 2.6 -8.2 13.5 -11.3 13.2 -0.3 -0.0 0.3 3.4 -3.7 4.6 -4.9 4.3 -0.3 -0.7 -3.3 -8.9 -4.1 BITCOIN -7.8 15.6 10.5 2.3 0.1 0.2 1.7 -0.4 3.6 6.2 -15.9 -11.3 -15.8 -10.8 -12.2 0.7 -1.2 0.3 -0.2 -11.0 -15.7 -7.6 -20.0 -11.1 20.0 -0.0 -5.0 -0.6 -4.7 -4.1 -4.2 -5.8 1.3 4.5 -20.0 -20.0 -17.5 BOBL 15.5 6.1 -18.6 -1.3 1.9 -5.0 4.1 -6.6 2.9 1.5 -12.9 7.3 -12.9 0.7 -12.3 20.0 19.8 20.0 20.0 -10.1 -20.0 5.9 -20.0 2.2 10.1 -0.0 -3.1 0.3 -8.3 2.3 -11.9 1.3 20.0 -10.1 -15.7 2.6 -6.6 BTP 20.0 20.0 2.5 -1.3 1.9 -5.0 4.1 -6.6 2.9 8.0 -7.6 13.1 -11.9 13.8 -1.4 20.0 15.8 20.0 20.0 7.2 -8.7 20.0 -19.1 19.8 6.2 -0.0 2.0 3.4 -3.7 6.1 -8.0 6.0 20.0 10.6 7.2 20.0 14.8 BUND 20.0 10.8 -14.2 -1.3 1.9 -5.0 4.1 -6.6 2.9 6.2 -11.4 12.5 -12.7 9.0 -9.7 8.8 15.7 12.2 14.4 -5.7 -19.3 13.8 -20.0 9.2 8.4 -0.0 -1.7 2.3 -6.8 4.5 -9.9 3.2 20.0 1.3 -5.0 5.3 -5.7 BUXL 20.0 10.3 -4.9 -1.3 1.9 -5.0 4.1 -6.6 2.9 10.1 -10.0 14.0 -12.5 11.5 -6.6 4.5 -2.9 5.1 1.5 -1.3 -16.9 20.0 -20.0 16.4 6.6 -0.0 -0.5 5.6 -5.4 7.0 -7.8 4.8 -4.9 18.1 7.7 3.2 -1.0 CAC 20.0 20.0 2.8 2.2 3.5 -0.9 4.7 -1.9 4.8 14.1 7.5 15.8 -3.2 16.3 13.0 0.2 4.1 1.0 2.2 20.0 9.9 20.0 2.1 20.0 -13.2 -0.0 4.8 3.1 1.8 4.7 0.2 6.1 7.1 2.4 15.4 20.0 13.9 CAD 20.0 13.0 -11.7 1.3 3.3 -2.5 4.5 -4.3 4.5 -2.7 -8.8 7.3 -11.1 9.1 -4.0 -2.0 -0.8 -1.7 -1.2 -0.3 -9.9 4.8 -11.5 7.6 -1.3 -0.0 -0.7 -0.0 -4.8 1.8 -5.6 2.6 1.3 -16.8 -11.3 -6.3 -9.8 CANOLA -20.0 9.3 -6.4 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -14.1 -9.7 -15.1 -1.7 -8.9 3.5 15.1 13.8 10.9 9.8 -7.9 -8.7 -20.0 -0.3 -20.0 4.4 -0.0 -1.8 -11.1 -0.4 -10.6 1.7 -6.5 -1.5 -20.0 -20.0 -0.2 8.7 CHF 20.0 14.7 6.3 1.3 3.3 -2.5 4.5 -4.3 4.5 5.7 -3.7 12.6 -8.5 11.2 4.1 -11.1 -11.3 -11.9 -12.0 8.7 -1.3 15.8 -6.5 17.6 -3.1 -0.0 2.4 2.2 -1.4 5.1 -3.8 5.6 -16.9 -3.6 8.7 -3.4 6.9 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 -8.8 -20.0 -20.0 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 7.5 -12.4 -5.6 -5.2 -14.2 -14.6 2.1 4.8 6.4 6.9 -20.0 -20.0 -6.6 -8.8 -20.0 13.5 -0.0 -5.6 0.7 -4.1 -1.8 -1.4 -4.7 -10.9 -1.2 -20.0 -20.0 -20.0 COPPER 17.6 20.0 11.4 2.3 0.1 0.2 1.7 -0.4 3.6 -10.1 -9.9 -1.1 -10.2 2.9 3.6 -0.4 0.1 0.3 0.2 5.0 -4.6 -2.3 -10.0 5.9 17.9 -0.0 2.6 -1.8 -1.3 0.7 -2.8 3.9 2.7 -12.8 -1.7 2.7 4.5 CORN -16.4 -3.3 17.5 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 2.6 1.8 -10.8 5.5 -11.7 9.7 17.9 13.5 15.2 13.4 -0.2 7.1 -6.9 16.1 -8.0 -17.3 -0.0 -1.8 -3.8 2.9 -6.2 8.8 -5.7 1.5 5.1 -19.7 -3.7 12.5 COTTON2 19.6 -8.5 -20.0 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -11.2 -11.5 5.2 0.0 1.8 -9.5 4.2 18.0 8.1 14.3 -12.1 -14.8 -6.8 -3.3 -4.4 -3.9 -0.0 -3.2 -1.7 -3.3 -0.7 1.5 -0.7 7.9 -4.1 14.1 -9.4 -16.7 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 6.8 2.2 3.5 -0.9 4.7 -1.9 4.8 14.1 3.2 15.8 -7.0 16.3 12.8 -4.0 -1.5 -3.3 -2.4 20.0 8.1 20.0 -6.1 20.0 -7.8 -0.0 5.0 2.7 1.6 4.8 -1.1 6.4 -1.7 8.8 20.0 20.0 20.0 DOW 20.0 20.0 2.0 2.2 3.5 -0.9 4.7 -1.9 4.8 14.1 2.1 15.6 -3.9 16.0 10.8 -5.0 -1.6 -4.4 -3.4 19.5 5.5 20.0 -2.4 20.0 -4.2 -0.0 4.1 3.8 1.0 4.9 -0.4 5.9 -2.7 2.1 8.8 20.0 13.5 EUR 20.0 20.0 17.7 1.3 3.3 -2.5 4.5 -4.3 4.5 13.8 -6.6 14.7 -12.5 14.4 9.2 -6.9 -8.3 -7.6 -8.2 10.6 -4.6 16.6 -15.5 19.3 4.1 -0.0 2.9 3.3 -2.8 5.1 -7.4 5.9 -11.1 0.7 -0.8 9.2 6.1 EUROSTX 20.0 20.0 5.9 2.2 3.5 -0.9 4.7 -1.9 4.8 14.1 5.9 15.8 -5.4 16.4 12.9 -1.0 2.5 -0.4 0.6 20.0 10.4 20.0 -1.0 20.0 -13.5 -0.0 5.1 2.9 2.0 5.0 -0.2 6.4 4.3 10.5 20.0 20.0 20.0 FEEDCOW 6.8 3.6 -8.5 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -1.7 -1.9 1.8 -2.0 6.9 -5.2 -20.0 -20.0 -18.4 -20.0 -1.6 -3.8 1.5 -2.8 2.3 -5.4 -0.0 -1.3 1.1 -2.7 3.4 -1.7 1.8 -20.0 10.8 -4.0 6.7 -12.7 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 -16.7 1.0 -6.7 -2.9 -9.1 -0.4 -7.3 6.2 -4.7 -14.1 4.0 -15.7 10.8 -7.1 0.4 20.0 20.0 20.0 20.0 -3.5 7.3 -20.0 20.0 -14.9 -4.8 -0.0 -1.7 -10.3 2.2 -9.6 8.0 -6.1 0.0 -11.6 -10.5 4.8 14.3 GASOILINE -6.9 5.3 -20.0 -2.9 -9.1 -0.4 -7.3 6.2 -4.7 -13.4 -7.1 -13.2 4.6 -2.9 0.2 11.1 20.0 20.0 20.0 -2.5 -0.5 -16.9 10.4 -7.5 -3.6 -0.0 0.2 -5.1 2.1 -5.7 9.9 -2.2 3.6 -0.8 6.3 8.3 3.9 GAS_US 20.0 -12.9 -20.0 -2.9 -9.1 -0.4 -7.3 6.2 -4.7 5.1 -6.8 10.0 1.8 4.9 -8.9 -18.7 -12.0 -20.0 -16.3 -6.8 -7.4 18.9 2.5 7.6 -10.0 -0.0 -1.2 12.9 -0.0 8.9 4.9 3.1 -20.0 20.0 20.0 -8.7 6.3 GBP 20.0 20.0 13.2 1.3 3.3 -2.5 4.5 -4.3 4.5 14.0 -5.3 15.3 -10.2 15.5 6.3 -1.8 -1.4 -1.7 -1.7 8.6 -5.3 19.4 -13.1 18.4 15.2 -0.0 0.4 5.1 -5.5 5.9 -8.5 5.0 0.3 9.7 -8.9 7.0 -12.0 GOLD_micro 20.0 16.2 -2.3 2.3 0.1 0.2 1.7 -0.4 3.6 -4.0 -10.4 9.7 -11.4 9.6 0.8 -9.9 -7.7 -9.8 -9.1 6.0 -6.3 10.6 -9.9 14.9 10.6 -0.0 1.8 0.0 -1.6 3.4 -2.3 4.9 -11.8 4.7 9.4 2.5 -8.2 HEATOIL -12.2 2.5 -11.1 -2.9 -9.1 -0.4 -7.3 6.2 -4.7 -14.1 3.1 -15.2 10.0 -0.3 2.6 20.0 20.0 20.0 20.0 -0.4 7.3 -20.0 18.9 -9.9 -14.8 -0.0 0.6 -10.1 5.2 -7.5 14.2 -3.4 8.5 -0.2 -5.0 8.6 17.1 JPY 20.0 20.0 8.9 1.3 3.3 -2.5 4.5 -4.3 4.5 10.0 -11.3 11.2 -14.6 10.4 -4.3 -11.2 -9.9 -12.2 -11.6 2.0 -13.9 14.7 -20.0 14.1 18.9 -0.0 0.6 3.2 -5.0 4.9 -9.2 4.8 -15.4 -4.6 8.7 -7.8 -8.9 LEANHOG 3.8 18.6 -0.3 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -12.7 -2.2 3.3 -0.3 13.1 10.6 -20.0 20.0 14.6 20.0 9.5 5.0 -0.5 4.9 8.1 2.2 -0.0 2.8 -2.1 1.0 1.3 1.5 3.3 20.0 8.5 -5.0 20.0 2.6 LIVECOW -4.2 10.3 8.2 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 3.9 5.5 5.3 -2.0 6.9 7.0 -20.0 -20.0 -20.0 -20.0 6.8 4.7 4.5 0.3 6.3 -16.2 -0.0 3.3 2.9 3.0 4.1 2.1 3.3 -20.0 20.0 -10.5 18.9 8.9 MXP 9.8 13.7 10.7 1.3 3.3 -2.5 4.5 -4.3 4.5 12.9 15.9 14.0 15.2 15.1 15.9 19.1 20.0 19.0 19.5 19.3 17.3 12.5 15.6 17.6 -20.0 -0.0 5.9 3.4 4.4 4.1 3.3 5.7 20.0 3.1 1.6 12.9 20.0 NASDAQ 17.3 11.5 -6.9 2.2 3.5 -0.9 4.7 -1.9 4.8 5.2 -11.2 12.6 -12.2 10.3 -7.9 -4.3 -2.9 -4.3 -3.9 -2.1 -10.6 9.4 -12.9 7.2 12.3 -0.0 -1.1 3.8 -4.6 4.4 -4.7 3.0 -4.2 -4.2 -10.3 -18.1 -9.4 NIKKEI 14.5 11.6 -0.0 2.2 3.5 -0.9 4.7 -1.9 4.8 12.3 6.2 14.5 1.1 14.9 6.5 4.3 8.5 6.1 8.2 10.5 5.5 13.2 2.4 14.4 -11.1 -0.0 3.3 4.0 0.2 5.7 -0.9 5.9 16.2 -3.4 -3.0 -1.7 1.9 NZD 20.0 20.0 -0.7 1.3 3.3 -2.5 4.5 -4.3 4.5 13.5 -7.3 15.2 -11.2 14.9 2.1 -1.2 0.6 -0.9 -0.3 10.8 -5.6 20.0 -13.3 20.0 3.6 -0.0 2.4 4.1 -2.2 5.8 -4.3 6.0 3.3 11.7 12.4 10.4 0.6 OAT 20.0 16.5 -3.6 -1.3 1.9 -5.0 4.1 -6.6 2.9 7.1 -9.6 12.9 -12.3 12.3 -6.9 14.5 12.4 14.5 14.1 -0.4 -14.2 18.0 -20.0 14.0 10.3 -0.0 -0.3 3.1 -5.9 5.6 -9.7 4.5 20.0 7.8 0.9 11.3 -0.5 OJ -11.4 14.2 11.1 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 13.2 13.9 3.0 14.0 9.0 12.6 17.2 11.9 17.2 16.0 20.0 20.0 10.2 20.0 12.8 -20.0 -0.0 5.5 1.7 7.0 1.0 6.8 2.6 3.0 8.1 3.4 20.0 20.0 PALLAD 6.3 -14.4 -2.4 2.3 0.1 0.2 1.7 -0.4 3.6 -13.7 -9.8 -7.1 -6.3 -9.5 -8.1 -2.2 -1.3 -1.9 -1.6 -9.0 -6.7 -14.3 -5.4 -10.1 0.0 -0.0 -2.8 -6.3 -1.8 -4.1 -1.1 -2.8 0.0 -9.7 -20.0 -20.0 -4.5 PLAT 11.0 18.9 15.0 2.3 0.1 0.2 1.7 -0.4 3.6 -11.3 4.6 2.7 -4.8 8.9 11.2 0.6 -0.2 0.4 0.1 14.0 7.3 1.6 -0.7 11.6 -1.1 -0.0 4.6 0.5 1.7 1.9 -1.1 4.6 2.4 -2.5 -4.1 12.7 12.1 REDWHEAT -7.1 -2.8 0.2 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -13.6 -9.5 -14.2 -3.4 -13.2 2.4 3.5 -0.6 1.9 0.9 -3.5 -3.3 -11.0 1.5 -7.4 -12.8 -0.0 -0.2 -4.5 1.8 -4.5 5.7 -2.7 -20.0 0.0 -7.7 -1.3 8.0 ROBUSTA -5.9 -20.0 -18.7 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 12.8 -11.5 -1.1 -1.6 -14.0 -14.6 9.1 6.6 7.6 6.9 -20.0 -19.8 -1.5 -4.8 -20.0 4.5 -0.0 -4.9 2.2 -3.4 -0.1 -0.8 -3.4 -9.7 13.5 -16.5 -20.0 -13.5 RUSSELL 10.7 15.2 1.1 2.2 3.5 -0.9 4.7 -1.9 4.8 3.5 -4.5 10.0 -10.4 11.9 -0.7 -4.0 -2.0 -3.7 -3.0 5.4 -2.0 7.8 -7.2 9.4 -2.6 -0.0 2.4 2.4 -0.5 3.4 -2.0 4.3 -2.6 -11.1 -12.0 -3.7 7.1 SILVER-mini 20.0 15.2 16.3 2.3 0.1 0.2 1.7 -0.4 3.6 -1.8 -7.1 7.7 -9.5 9.8 8.9 -4.0 -3.1 -4.0 -3.7 10.8 0.3 8.7 -7.8 13.7 16.2 -0.0 3.7 2.3 -0.5 3.0 -3.8 4.9 -3.3 11.4 8.5 11.1 5.1 SOYBEAN 1.6 4.7 2.3 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -3.8 -0.8 -1.2 3.9 4.3 8.0 16.1 20.0 17.7 20.0 3.5 2.2 -0.3 6.1 2.5 -18.2 -0.0 3.9 -0.7 5.6 -0.5 10.8 2.0 18.8 4.8 5.0 9.1 10.2 SOYMEAL 0.1 0.0 2.3 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 13.6 -1.7 1.8 7.1 4.5 -0.7 11.8 14.6 13.5 14.9 1.0 2.0 3.3 5.7 1.6 -11.2 -0.0 1.7 2.7 4.1 1.2 8.1 0.7 4.5 16.0 -2.5 3.1 8.4 SOYOIL 2.5 20.0 6.9 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -3.7 4.2 -1.0 6.3 10.0 11.7 20.0 20.0 20.0 20.0 17.5 13.1 0.9 13.0 11.8 -20.0 -0.0 5.0 0.3 4.5 0.2 4.9 3.3 18.2 -7.3 17.3 20.0 20.0 SP400 18.7 19.0 0.7 2.2 3.5 -0.9 4.7 -1.9 4.8 14.0 -2.0 14.8 -6.6 14.6 4.3 -0.4 -1.1 -0.4 -0.6 10.8 1.3 16.7 -3.6 17.5 -6.4 -0.0 3.7 4.2 0.7 5.4 -0.3 5.9 0.0 -3.0 1.6 5.4 11.4 SP500 19.1 17.7 -4.8 2.2 3.5 -0.9 4.7 -1.9 4.8 12.5 -7.3 14.8 -9.0 13.9 -1.7 -4.6 -2.9 -4.4 -3.7 5.5 -4.5 15.5 -7.7 14.4 8.1 -0.0 1.7 5.0 -2.3 5.7 -3.5 5.2 -4.0 -0.8 -2.9 -3.6 0.4 SUGAR11 20.0 17.0 5.8 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -13.0 1.7 6.7 -1.1 10.4 9.6 20.0 20.0 20.0 20.0 14.8 6.9 2.4 2.6 15.7 -11.4 -0.0 4.8 -1.3 2.6 3.5 1.4 5.9 20.0 9.1 20.0 20.0 19.1 US10 20.0 5.6 -11.0 -1.3 1.9 -5.0 4.1 -6.6 2.9 12.2 -12.0 13.2 -13.8 8.6 -9.8 -4.5 1.9 -3.7 -2.0 -7.6 -20.0 15.3 -20.0 8.9 -5.6 -0.0 -2.1 3.7 -6.1 4.4 -8.0 2.7 -2.4 -4.6 1.7 -0.5 -2.0 US10U 20.0 3.9 -12.1 -1.3 1.9 -5.0 4.1 -6.6 2.9 13.8 -12.1 13.9 -13.6 7.6 -9.8 -0.2 5.0 0.3 1.8 -7.9 -20.0 16.9 -20.0 9.3 -6.2 -0.0 -2.2 4.3 -5.9 5.0 -7.4 2.8 3.6 0.5 3.6 -2.3 -0.8 US20 20.0 3.3 -15.0 -1.3 1.9 -5.0 4.1 -6.6 2.9 14.0 -11.8 15.0 -13.5 7.0 -9.3 1.4 2.9 1.7 2.1 -9.1 -20.0 20.0 -20.0 11.7 -5.2 -0.0 -2.5 5.8 -5.6 5.8 -6.3 2.7 1.8 13.5 11.5 -8.4 -4.3 US30 20.0 5.2 -11.0 -1.3 1.9 -5.0 4.1 -6.6 2.9 13.3 -12.9 14.6 -14.7 5.0 -9.6 -2.1 0.2 -1.6 -1.0 -10.4 -20.0 20.0 -20.0 9.2 -1.7 -0.0 -3.0 7.0 -6.2 6.0 -7.3 2.2 -3.1 16.5 7.2 -13.1 0.5 US5 20.0 7.1 -8.2 -1.3 1.9 -5.0 4.1 -6.6 2.9 1.8 -11.9 10.0 -14.1 7.8 -9.8 -6.3 2.9 -5.0 -2.5 -8.6 -20.0 10.4 -20.0 6.4 -3.7 -0.0 -2.4 1.9 -6.5 3.2 -9.1 2.2 -1.9 -12.9 -2.9 -1.4 -3.4 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 -13.7 -4.0 -2.6 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 -13.8 -10.6 -15.4 -6.1 -14.3 1.7 -4.5 -3.8 -4.0 -3.9 -8.2 -7.4 -19.4 -2.2 -14.1 -11.3 -0.0 -2.9 -8.4 0.0 -9.1 4.5 -6.5 -20.0 -8.5 -18.0 -6.4 1.4 End of report for caleb_strategy_v1