******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221129_204306 produced at 2022-11-29 21:35:16.539670 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.21 0.0 9209429.82 -9209429.82 -0.12 -0.12 -22.32 999999999.0 -13 -13 caleb_strategy_v1 US10U False False 0.04 0.00 -0.12 0.0 41570342.96 -41570342.96 0.00 0.00 -2.97 999999999.0 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 21453982.47 -21453982.47 -0.11 -0.11 -5.60 999999999.0 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.26 -0.11 0.0 37421438.45 -37421438.45 -0.26 -0.26 -3.03 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.09 0.0 31318131.65 -31318131.65 -0.09 -0.09 -2.76 999999999.0 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 39321100.15 -39321100.15 0.00 0.00 -2.11 999999999.0 0 0 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.06 0.0 45773988.07 -45773988.07 -0.09 -0.09 -1.24 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.13 -0.05 0.0 44247754.87 -44247754.87 -0.13 -0.13 -1.16 999999999.0 -3 -3 caleb_strategy_v1 FTSE100 False False 0.03 0.00 -0.05 0.0 29298820.03 -29298820.03 0.00 0.00 -1.79 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.10 -0.05 0.0 47933261.16 -47933261.16 -0.10 -0.10 -1.08 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.09 -0.03 0.0 31300788.09 -31300788.09 -0.09 -0.09 -1.09 999999999.0 -3 -3 caleb_strategy_v1 EUR False False 0.04 0.00 -0.02 0.0 44876458.89 -44876458.89 0.00 0.00 -0.37 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25713560.56 -25713560.56 -0.05 -0.05 -0.63 999999999.0 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.10 -0.02 0.0 3177166.57 -3177166.57 -0.10 -0.09 -4.97 999999999.0 -30 -29 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.0 23068667.81 -23068667.81 0.00 0.00 -0.24 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.0 14152344.14 -14152344.14 0.00 0.00 -0.55 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6090017.30 -6090017.30 0.00 0.00 -2.03 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6417116.83 -6417116.83 0.00 0.00 -1.01 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 80427286.11 -80427286.11 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8616280.11 -8616280.11 0.00 0.00 -0.89 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.0 24860257.46 -24860257.46 -0.02 -0.02 -0.40 999999999.0 -1 -1 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15496469.96 -15496469.96 -0.02 -0.02 -0.34 999999999.0 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 63876327.76 -63876327.76 0.00 0.00 -0.10 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 68793226.74 -68793226.74 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.00 0.0 25793340.93 -25793340.93 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 552218.92 -552218.92 0.00 0.00 4.39 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.17 0.00 0.0 87206883.32 -87206883.32 0.17 0.17 0.00 999999999.0 2 2 caleb_strategy_v1 BUXL False False 0.06 0.00 0.00 0.0 55487683.12 -55487683.12 0.00 0.00 0.01 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.00 0.0 10588242.76 -10588242.76 0.03 0.03 0.22 999999999.0 3 3 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10473775.27 -10473775.27 0.00 0.00 -0.20 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 13663255.77 -13663255.77 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21195997.03 -21195997.03 0.00 0.00 -0.18 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4178241.92 -4178241.92 0.00 0.00 1.40 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.05 0.01 0.0 25913445.08 -25913445.08 0.05 0.05 0.51 999999999.0 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 18319134.18 -18319134.18 0.00 0.00 0.81 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 14837067.85 -14837067.85 0.00 0.00 0.83 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.07 0.01 0.0 32965804.44 -32965804.44 0.07 0.07 0.41 999999999.0 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14059935.71 -14059935.71 0.00 0.00 0.92 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17303668.80 -17303668.80 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 31188054.95 -31188054.95 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 5867672.88 -5867672.88 0.00 0.01 1.07 999999999.0 0 1 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 21370733.39 -21370733.39 0.04 0.04 0.35 999999999.0 2 2 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.0 5141581.69 -5141581.69 0.01 0.01 3.37 999999999.0 1 1 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.0 23809852.92 -23809852.92 0.05 0.05 1.02 999999999.0 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7544586.91 -7544586.91 0.02 0.02 2.65 999999999.0 2 2 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.0 8949276.44 -8949276.44 0.00 0.00 3.49 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.04 0.03 0.0 11804026.25 -11804026.25 0.04 0.01 2.81 999999999.0 3 1 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.03 0.0 14180093.83 -14180093.83 0.06 0.06 2.12 999999999.0 4 4 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 30446617.81 -30446617.81 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.04 0.0 44928073.32 -44928073.32 0.04 0.04 0.92 999999999.0 1 1 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.0 42577324.42 -42577324.42 0.13 0.13 1.21 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 48174797.55 -48174797.55 0.00 0.00 1.13 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.0 24168249.45 -24168249.45 0.05 0.05 3.54 999999999.0 2 2 caleb_strategy_v1 BUND False False 0.05 0.15 0.16 0.0 50262658.61 -50262658.61 0.15 0.15 3.11 999999999.0 3 3 caleb_strategy_v1 NIKKEI False False 0.01 0.11 0.18 0.0 0.00 -0.00 0.11 0.06 25.59 0.0 16 8 caleb_strategy_v1 BOBL False False 0.04 0.21 0.38 0.0 42881729.55 -42881729.55 0.21 0.17 8.94 999999999.0 5 4 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 10.2 Shocked risk 33.4 Sum abs risk 34.0 Leverage 2.36 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2882914.63, 'annual_cash_vol_target': 720728.6575, 'daily_cash_vol_target': 45045.54109375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0066 0.6650 0.9971 15.9537 BITCOIN 1011.7257 15920.0000 6.3551 101.6810 BOBL 0.3922 119.7400 0.3276 5.2411 BTP 1.0669 118.8900 0.8973 14.3575 BUND 0.8636 140.3500 0.6153 9.8452 BUXL 2.1790 154.9400 1.4064 22.5016 CAC 59.9054 6648.5000 0.9010 14.4166 CAD 0.0044 0.7413 0.5889 9.4223 CANOLA 8.7284 818.3000 1.0666 17.0663 CHF 0.0079 1.0557 0.7444 11.9096 COCOA 31.5493 2484.0000 1.2701 20.3216 COFFEE 0.0379 1.6295 2.3247 37.1956 COPPER 0.0681 3.5965 1.8943 30.3087 CORN 4.7440 610.5000 0.7771 12.4331 COTTON2 0.0205 0.7878 2.6021 41.6329 CRUDE_W 1.4292 74.3600 1.9219 30.7511 DAX 138.0732 14357.0000 0.9617 15.3874 DOW 360.1896 33832.0000 1.0646 17.0343 EUR 0.0076 1.0350 0.7384 11.8142 EUROSTX 37.9624 3926.0000 0.9669 15.4712 FEEDCOW 1.3960 180.5750 0.7731 12.3692 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 17.8386 877.7500 2.0323 32.5170 GASOILINE 0.0491 2.2628 2.1717 34.7466 GAS_US 0.2287 7.1670 3.1915 51.0645 GBP 0.0118 1.1953 0.9899 15.8383 GOLD_micro 16.6036 1755.7000 0.9457 15.1311 HEATOIL 0.0591 3.0839 1.9159 30.6541 JPY 0.0001 0.0072 0.8804 14.0858 LEANHOG 1.3631 85.0750 1.6022 25.6357 LIVECOW 0.8914 154.6250 0.5765 9.2234 MXP 0.0003 0.0516 0.5933 9.4933 NASDAQ 199.0842 11593.2500 1.7172 27.4759 NIKKEI 251.5946 28090.0000 0.8957 14.3308 NZD 0.0059 0.6161 0.9543 15.2690 OAT 0.9166 134.5200 0.6814 10.9025 OJ 0.0356 2.0130 1.7708 28.3327 PALLAD 46.1153 1841.5000 2.5042 40.0676 PLAT 18.0978 997.7000 1.8140 29.0232 REDWHEAT 15.1445 893.5000 1.6950 27.1194 ROBUSTA 24.0419 1850.0000 1.2996 20.7930 RUSSELL 29.1041 1831.9000 1.5887 25.4198 SILVER-mini 0.4246 21.1250 2.0100 32.1603 SOYBEAN 12.1245 1393.5000 0.8701 13.9212 SOYMEAL 4.6358 408.8000 1.1340 18.1440 SOYOIL 0.9279 71.2900 1.3016 20.8261 SP400 35.5917 2514.1000 1.4157 22.6509 SP500 52.8979 3966.5000 1.3336 21.3379 SUGAR11 0.0025 0.1942 1.3055 20.8884 US10 0.5309 113.3594 0.4683 7.4932 US10U 0.7358 119.8438 0.6139 9.8232 US20 1.0709 127.5625 0.8395 13.4319 US30 1.6068 138.1875 1.1628 18.6045 US5 0.3532 107.8828 0.3274 5.2383 VIX 0.5133 26.5500 1.9333 30.9328 WHEAT 12.5766 816.0000 1.5413 24.6600 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 665.05 1.00 663.13 1.00 663.13 45045.54 67.93 -2.24 -15.22 BITCOIN 15.92 6.36 101.17 1.00 101.17 45045.54 445.23 4.19 186.36 BOBL 1197.40 0.33 392.23 1.03 408.35 45045.54 110.31 11.23 123.90 BTP 1188.90 0.90 1066.85 1.03 1110.71 45045.54 40.56 14.80 60.02 BUND 1403.50 0.62 863.61 1.03 899.11 45045.54 50.10 8.61 43.12 BUXL 1549.40 1.41 2179.00 1.03 2268.58 45045.54 19.86 0.04 0.08 CAC 664.85 0.90 599.05 1.03 623.68 45045.54 72.23 5.00 36.11 CAD 741.30 0.59 436.55 1.00 436.55 45045.54 103.19 -3.43 -35.44 CANOLA 163.66 1.07 174.57 0.74 130.54 45045.54 345.07 4.42 152.67 CHF 1319.62 0.74 982.26 1.00 982.26 45045.54 45.86 -7.25 -33.23 COCOA 248.40 1.27 315.49 1.00 315.49 45045.54 142.78 -2.86 -40.77 COFFEE 611.06 2.32 1420.55 1.00 1420.55 45045.54 31.71 -4.41 -13.98 COPPER 899.12 1.89 1703.20 1.00 1703.20 45045.54 26.45 5.50 14.54 CORN 305.25 0.78 237.20 1.00 237.20 45045.54 189.91 1.29 24.43 COTTON2 393.90 2.60 1024.95 1.00 1024.95 45045.54 43.95 -0.73 -3.19 CRUDE_W 743.60 1.92 1429.16 1.00 1429.16 45045.54 31.52 -0.30 -0.95 DAX 143.57 0.96 138.07 1.03 143.75 45045.54 313.36 1.98 62.04 DOW 169.16 1.06 180.09 1.00 180.09 45045.54 250.12 1.50 37.64 EUR 1293.75 0.74 955.29 1.00 955.29 45045.54 47.15 -2.08 -9.81 EUROSTX 392.60 0.97 379.62 1.03 395.23 45045.54 113.97 2.87 32.76 FEEDCOW 902.88 0.77 697.99 1.00 697.99 45045.54 64.54 -15.91 -102.67 FTSE100 707.00 0.82 576.59 1.19 666.67 45045.54 67.57 -2.56 -17.32 GASOIL 877.75 2.03 1783.86 1.00 1783.86 45045.54 25.25 5.03 12.70 GASOILINE 950.38 2.17 2063.90 1.00 2063.90 45045.54 21.83 4.52 9.87 GAS_US 716.70 3.19 2287.37 1.00 2287.37 45045.54 19.69 -13.42 -26.43 GBP 747.06 0.99 739.51 1.00 739.51 45045.54 60.91 4.66 28.41 GOLD_micro 175.57 0.95 166.04 1.00 166.04 45045.54 271.30 -3.34 -90.56 HEATOIL 1295.24 1.92 2481.52 1.00 2481.52 45045.54 18.15 7.10 12.89 JPY 902.38 0.88 794.42 1.00 794.42 45045.54 56.70 -2.96 -16.80 LEANHOG 340.30 1.60 545.24 1.00 545.24 45045.54 82.62 7.28 60.12 LIVECOW 618.50 0.58 356.54 1.00 356.54 45045.54 126.34 -16.49 -208.35 MXP 258.00 0.59 153.08 1.00 153.08 45045.54 294.26 9.67 284.67 NASDAQ 2318.65 1.72 3981.68 1.00 3981.68 45045.54 11.31 -2.49 -2.82 NIKKEI 28090.00 0.90 25159.46 0.01 180.93 45045.54 248.97 5.41 134.72 NZD 616.10 0.95 587.95 1.00 587.95 45045.54 76.61 2.89 22.16 OAT 1345.20 0.68 916.63 1.03 954.31 45045.54 47.20 11.89 56.13 OJ 301.95 1.77 534.69 1.00 534.69 45045.54 84.25 -1.33 -11.22 PALLAD 1841.50 2.50 4611.53 1.00 4611.53 45045.54 9.77 -4.42 -4.32 PLAT 498.85 1.81 904.89 1.00 904.89 45045.54 49.78 3.87 19.27 REDWHEAT 446.75 1.69 757.22 1.00 757.22 45045.54 59.49 -10.84 -64.50 ROBUSTA 185.00 1.30 240.42 1.00 240.42 45045.54 187.36 -4.15 -77.67 RUSSELL 91.60 1.59 145.52 1.00 145.52 45045.54 309.55 -3.10 -95.93 SILVER-mini 528.12 2.01 1061.54 1.00 1061.54 45045.54 42.43 8.50 36.06 SOYBEAN 696.75 0.87 606.22 1.00 606.22 45045.54 74.31 8.08 60.01 SOYMEAL 408.80 1.13 463.58 1.00 463.58 45045.54 97.17 3.70 35.92 SOYOIL 427.74 1.30 556.76 1.00 556.76 45045.54 80.91 11.23 90.85 SP400 2514.10 1.42 3559.17 1.00 3559.17 45045.54 12.66 0.02 0.03 SP500 1983.25 1.33 2644.90 1.00 2644.90 45045.54 17.03 -0.46 -0.79 SUGAR11 217.50 1.31 283.96 1.00 283.96 45045.54 158.64 12.33 195.61 US10 1133.59 0.47 530.89 1.00 530.89 45045.54 84.85 -6.47 -54.91 US10U 1198.44 0.61 735.78 1.00 735.78 45045.54 61.22 -3.33 -20.41 US20 1275.62 0.84 1070.88 1.00 1070.88 45045.54 42.06 -3.75 -15.77 US30 1381.88 1.16 1606.82 1.00 1606.82 45045.54 28.03 -4.60 -12.88 US5 1078.83 0.33 353.20 1.00 353.20 45045.54 127.53 -6.20 -79.08 VIX 265.50 1.93 513.29 1.00 513.29 45045.54 87.76 -13.50 -118.44 WHEAT 408.00 1.54 628.83 1.00 628.83 45045.54 71.63 -14.39 -103.10 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -15.215 0.006 2.5 -0.243 BITCOIN 186.362 0.009 2.5 4.391 BOBL 123.899 0.029 2.5 8.940 BTP 60.020 0.008 2.5 1.212 BUND 43.123 0.029 2.5 3.112 BUXL 0.076 0.034 2.5 0.006 CAC 36.110 0.011 2.5 1.015 CAD -35.438 0.007 2.5 -0.633 CANOLA 152.667 0.004 2.5 1.401 CHF -33.226 0.015 2.5 -1.243 COCOA -40.767 0.009 2.5 -0.888 COFFEE -13.982 0.005 2.5 -0.181 COPPER 14.536 0.011 2.5 0.397 CORN 24.435 0.004 2.5 0.220 COTTON2 -3.190 0.006 2.5 -0.048 CRUDE_W -0.946 0.053 2.5 -0.125 DAX 62.044 0.022 2.5 3.370 DOW 37.641 0.011 2.5 1.073 EUR -9.806 0.015 2.5 -0.367 EUROSTX 32.764 0.011 2.5 0.921 FEEDCOW -102.666 0.011 2.5 -2.759 FTSE100 -17.318 0.041 2.5 -1.785 GASOIL 12.698 0.029 2.5 0.906 GASOILINE 9.867 0.016 2.5 0.405 GAS_US -26.432 0.006 2.5 -0.398 GBP 28.414 0.007 2.5 0.507 GOLD_micro -90.562 0.009 2.5 -2.026 HEATOIL 12.888 0.029 2.5 0.919 JPY -16.799 0.026 2.5 -1.087 LEANHOG 60.116 0.019 2.5 2.809 LIVECOW -208.347 0.011 2.5 -5.599 MXP 284.668 0.005 2.5 3.485 NASDAQ -2.820 0.022 2.5 -0.153 NIKKEI 134.716 0.076 2.5 25.587 NZD 22.160 0.006 2.5 0.354 OAT 56.135 0.008 2.5 1.134 OJ -11.224 0.007 2.5 -0.196 PALLAD -4.319 0.010 2.5 -0.104 PLAT 19.270 0.010 2.5 0.464 REDWHEAT -64.500 0.002 2.5 -0.344 ROBUSTA -77.667 0.005 2.5 -1.007 RUSSELL -95.930 0.021 2.5 -4.969 SILVER-mini 36.061 0.009 2.5 0.807 SOYBEAN 60.011 0.024 2.5 3.538 SOYMEAL 35.921 0.024 2.5 2.118 SOYOIL 90.845 0.004 2.5 0.834 SP400 0.029 0.021 2.5 0.002 SP500 -0.791 0.011 2.5 -0.023 SUGAR11 195.611 0.005 2.5 2.654 US10 -54.910 0.015 2.5 -2.107 US10U -20.410 0.058 2.5 -2.974 US20 -15.769 0.029 2.5 -1.162 US30 -12.882 0.034 2.5 -1.081 US5 -79.080 0.015 2.5 -3.034 VIX -118.437 0.075 2.5 -22.319 WHEAT -103.103 0.002 2.5 -0.550 ==================== Position diags ==================== AUD 1.09 BITCOIN 10.49 BOBL 7.96 BTP 0.82 BUND 3.62 BUXL 1.67 CAC 2.03 CAD 1.84 CANOLA 3.17 CHF 1.72 COCOA 3.11 COFFEE 0.41 COPPER 0.72 CORN 1.71 COTTON2 0.66 CRUDE_W 4.16 DAX 17.02 DOW 7.13 EUR 1.76 EUROSTX 3.20 FEEDCOW 1.73 FTSE100 6.97 GASOIL 1.80 GASOILINE 0.90 GAS_US 0.30 GBP 1.09 GOLD_micro 6.07 HEATOIL 1.29 JPY 3.67 LEANHOG 3.86 LIVECOW 3.39 MXP 3.60 NASDAQ 0.61 NIKKEI 47.29 NZD 1.22 OAT 0.95 OJ 1.47 PALLAD 0.24 PLAT 1.20 REDWHEAT 0.32 ROBUSTA 2.43 RUSSELL 16.03 SILVER-mini 0.95 SOYBEAN 4.38 SOYMEAL 5.73 SOYOIL 0.74 SP400 0.66 SP500 0.49 SUGAR11 2.15 US10 3.26 US10U 8.92 US20 3.10 US30 2.35 US5 4.89 VIX 16.54 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 4.4 3.3 5.4 NaN 0 BOBL 8.9 8.1 9.7 5.0 5 BTP 1.2 1.1 1.3 3.0 3 BUND 3.1 2.8 3.5 3.0 3 BUXL 0.0 -0.2 0.2 0.0 0 CAC 1.0 0.8 1.2 2.0 2 CAD -0.6 -0.8 -0.4 -2.0 -2 CANOLA 1.4 1.1 1.7 NaN 0 CHF -1.2 -1.4 -1.1 -2.0 -2 COCOA -0.9 -1.2 -0.6 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 -0.0 -0.1 0.0 NaN 0 CRUDE_W -0.1 -0.5 0.3 0.0 0 DAX 3.4 1.7 5.1 1.0 1 DOW 1.1 0.4 1.8 0.0 0 EUR -0.4 -0.5 -0.2 0.0 0 EUROSTX 0.9 0.6 1.2 0.0 0 FEEDCOW -2.8 -2.9 -2.6 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 0.9 0.7 1.1 0.0 0 GASOILINE 0.4 0.3 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 -2.0 -2.6 -1.4 0.0 0 HEATOIL 0.9 0.8 1.0 1.0 1 JPY -1.1 -1.5 -0.7 -3.0 -3 LEANHOG 2.8 2.4 3.2 3.0 3 LIVECOW -5.6 -5.9 -5.3 -5.0 -5 MXP 3.5 3.1 3.8 NaN 0 NASDAQ -0.2 -0.2 -0.1 0.0 0 NIKKEI 25.6 20.9 30.3 16.0 16 NZD 0.4 0.2 0.5 2.0 2 OAT 1.1 1.0 1.2 0.0 0 OJ -0.2 -0.3 -0.0 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 -1.2 -0.8 0.0 0 RUSSELL -5.0 -6.6 -3.4 -30.0 -30 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.5 3.1 4.0 2.0 2 SOYMEAL 2.1 1.5 2.7 4.0 4 SOYOIL 0.8 0.8 0.9 0.0 0 SP400 0.0 -0.1 0.1 2.0 2 SP500 -0.0 -0.1 0.0 NaN 0 SUGAR11 2.7 2.4 2.9 2.0 2 US10 -2.1 -2.4 -1.8 NaN 0 US10U -3.0 -3.9 -2.1 0.0 0 US20 -1.2 -1.5 -0.9 -3.0 -3 US30 -1.1 -1.3 -0.8 -2.0 -2 US5 -3.0 -3.5 -2.5 -7.0 -7 VIX -22.3 -24.0 -20.7 -13.0 -13 WHEAT -0.6 -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 -0.1 -0.1 -0.1 -0.1 BITCOIN -0.1 0.2 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 0.1 -0.4 -0.3 -0.3 BOBL 0.2 0.1 -0.3 -0.0 0.0 -0.1 0.0 -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 0.1 -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 0.1 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 -0.1 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 -0.6 0.2 0.2 0.1 -0.0 CAC 0.2 0.3 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 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 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.2 -0.2 -0.3 -0.1 -0.2 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 0.0 1.0 0.5 0.2 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 1.1 -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 0.3 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 0.6 -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 -0.1 0.0 -0.0 0.0 -0.3 -0.0 -0.1 -0.1 -0.3 0.1 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 0.1 0.3 0.2 0.0 -0.0 0.0 0.0 -0.0 0.0 -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 0.3 -0.1 -0.0 0.1 0.1 CORN -0.2 -0.1 0.3 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.2 1.4 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 -0.3 -0.0 0.2 COTTON2 0.0 -0.1 -0.9 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.3 0.6 0.1 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 1.0 0.0 0.2 -0.2 -0.5 CRUDE_W -0.0 0.1 -0.2 -0.0 -0.1 -0.0 -0.2 0.2 -0.1 -0.0 -0.1 -0.0 0.1 0.0 0.1 0.6 0.6 0.2 0.3 0.0 -0.0 -0.0 0.1 -0.0 0.6 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 0.0 0.2 0.1 0.1 DAX 0.3 0.3 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.1 -0.2 0.1 0.3 -0.2 -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 0.0 0.4 0.3 0.3 DOW 0.3 0.3 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.0 -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 0.1 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 0.5 -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 0.2 0.0 -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 0.0 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -1.6 -0.8 -0.4 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 -1.0 -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 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.1 0.1 -0.1 0.3 -0.0 -0.0 1.7 0.9 0.4 0.4 -0.1 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 -0.1 0.1 -0.3 -0.1 -0.1 -0.0 -0.2 0.1 -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 -0.5 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.4 0.0 0.2 0.1 0.1 GAS_US 0.2 -0.2 -0.3 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 0.0 -0.2 0.0 0.0 0.0 -0.2 -1.2 -0.5 -0.4 -0.3 -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 -0.0 0.1 GBP 0.2 0.3 0.3 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.0 -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 0.0 -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 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.1 0.1 -0.1 0.3 -0.0 0.0 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 -0.0 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 2.5 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -1.9 0.1 0.3 -0.1 -0.1 LEANHOG -0.0 0.2 -0.0 -0.0 -0.0 -0.1 -0.1 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 0.0 -0.0 0.0 0.0 0.3 -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 -0.1 0.0 -0.0 -0.0 0.1 0.0 -0.0 0.0 0.1 -1.6 -0.8 -0.4 -0.4 0.1 0.1 0.0 0.0 0.0 -2.7 -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 0.0 -0.1 0.1 0.0 0.4 0.0 0.4 0.1 0.4 1.4 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 -0.0 0.1 0.0 0.1 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 -0.6 -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 0.0 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 -0.0 -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 0.1 -0.0 OJ -0.0 0.2 0.4 -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 -0.1 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 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.1 0.0 0.3 -0.0 0.0 0.0 -0.1 -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 -0.1 -0.3 -0.0 0.1 ROBUSTA -0.0 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.3 0.0 -0.0 -0.0 -0.3 0.8 0.3 0.2 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.7 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -1.3 0.0 -0.2 -0.3 -0.2 RUSSELL 0.1 0.3 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 -0.2 -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 0.0 -0.0 -0.2 0.0 -0.3 0.0 0.2 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 3.5 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.1 0.1 0.1 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 0.2 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 0.9 0.6 0.3 0.3 0.0 0.0 0.0 0.1 0.0 -1.6 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.6 0.2 -0.0 0.1 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 0.0 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 -0.0 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 -0.0 -0.2 0.0 -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 -0.1 0.0 SUGAR11 0.2 0.2 0.1 -0.0 -0.0 -0.1 -0.1 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 -2.0 -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 0.1 -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 0.2 -0.1 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 -0.7 -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 -2.5 -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 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.3 -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 -1.6 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.1 -0.4 -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 18.5 -5.2 1.4 0.4 -2.4 3.3 -4.4 4.2 -1.6 -9.2 10.5 -11.0 10.9 -2.3 -2.8 -1.8 -2.5 -2.2 2.5 -7.7 8.2 -10.9 11.2 0.1 -0.0 0.3 -0.7 -3.7 2.9 -5.0 3.8 -0.3 -3.7 -4.1 -9.4 -4.2 BITCOIN -9.8 15.3 9.6 2.3 -0.8 0.2 1.2 -0.4 3.3 2.0 -16.0 -11.7 -15.9 -11.3 -12.5 0.8 -1.1 0.4 -0.2 -11.3 -16.0 -7.6 -20.0 -11.0 20.0 -0.0 -5.1 -1.2 -4.8 -3.9 -4.3 -5.6 1.3 11.6 -20.0 -20.0 -17.5 BOBL 16.6 7.5 -18.3 -1.3 0.1 -5.0 3.0 -6.8 2.6 -5.2 -12.9 6.1 -12.9 0.4 -12.2 20.0 19.9 20.0 20.0 -10.0 -20.0 3.3 -20.0 1.5 10.3 -0.0 -3.1 -1.0 -8.4 1.3 -12.1 1.0 20.0 -5.8 -15.9 1.1 -6.8 BTP 20.0 20.0 3.8 -1.3 0.1 -5.0 3.0 -6.8 2.6 -0.5 -7.3 10.6 -11.9 13.0 -1.1 20.0 15.9 20.0 20.0 7.4 -8.2 15.0 -18.8 18.1 6.1 -0.0 2.1 0.4 -3.6 4.5 -8.1 5.5 20.0 10.2 6.2 20.0 14.7 BUND 20.0 12.5 -13.5 -1.3 0.1 -5.0 3.0 -6.8 2.6 -0.8 -11.3 10.1 -12.7 8.8 -9.6 8.5 15.7 12.0 14.2 -5.4 -19.1 9.8 -20.0 8.3 8.4 -0.0 -1.6 0.1 -6.9 3.2 -10.1 2.9 20.0 3.7 -5.2 4.6 -6.0 BUXL 20.0 12.0 -4.2 -1.3 0.1 -5.0 3.0 -6.8 2.6 6.8 -9.7 12.5 -12.4 11.5 -6.2 4.5 -2.8 5.0 1.6 -0.4 -16.4 20.0 -20.0 16.6 6.4 -0.0 -0.3 3.4 -5.3 6.1 -7.8 4.8 -4.6 20.0 9.1 4.3 -1.0 CAC 20.0 20.0 3.4 2.3 0.3 -0.8 3.4 -1.9 4.4 5.5 7.9 14.4 -3.0 16.0 13.2 0.1 4.1 1.0 2.2 20.0 10.2 17.1 2.4 20.0 -13.4 -0.0 4.8 0.8 1.9 3.7 0.2 5.7 7.0 2.6 15.9 20.0 13.9 CAD 17.9 13.3 -11.0 1.4 0.4 -2.4 3.3 -4.4 4.2 -10.2 -8.8 4.7 -11.0 8.1 -4.1 -2.0 -0.8 -1.7 -1.3 -0.8 -9.6 -0.3 -11.2 5.3 -0.9 -0.0 -0.9 -4.0 -4.9 -0.2 -5.7 1.8 1.3 -16.0 -13.2 -7.2 -10.1 CANOLA -20.0 8.2 -6.7 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 -11.1 -9.9 -13.8 -1.9 -9.5 2.7 14.4 13.7 10.8 9.8 -8.8 -8.9 -20.0 -0.6 -20.0 4.7 -0.0 -2.1 -6.3 -0.6 -9.0 1.6 -6.4 -1.6 -20.0 -20.0 -2.8 7.7 CHF 20.0 16.3 6.5 1.4 0.4 -2.4 3.3 -4.4 4.2 3.2 -3.0 12.3 -8.3 11.4 4.7 -11.1 -11.3 -11.9 -12.0 9.2 -0.9 13.3 -6.4 17.1 -3.2 -0.0 2.5 0.8 -1.3 4.3 -3.8 5.4 -16.9 -4.3 10.9 -1.8 7.1 COCOA 17.5 14.5 4.6 -1.9 -4.3 -2.6 -3.0 0.2 -1.5 2.7 -5.3 4.4 -10.0 7.2 6.9 0.3 -3.2 0.5 -1.1 8.5 0.0 4.6 -6.8 9.9 3.8 -0.0 3.6 -2.8 0.5 0.2 -1.9 3.8 -20.0 -12.4 18.5 19.7 9.2 COFFEE -8.0 -20.0 -20.0 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 8.3 -12.5 -4.9 -5.5 -13.8 -14.5 1.8 4.7 6.1 6.7 -20.0 -20.0 -5.8 -9.3 -20.0 13.5 -0.0 -5.6 -0.5 -4.2 -1.9 -1.5 -4.5 -11.1 -1.1 -20.0 -20.0 -20.0 COPPER 11.7 20.0 11.4 2.3 -0.8 0.2 1.2 -0.4 3.3 -12.1 -9.8 -2.8 -10.2 1.8 3.1 -0.5 0.1 0.2 0.2 4.5 -4.6 -4.1 -10.1 4.4 17.9 -0.0 2.6 -2.1 -1.2 -0.0 -2.8 3.3 2.6 -10.1 -1.3 4.0 4.6 CORN -16.8 -4.4 17.4 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 1.7 1.8 -10.3 5.5 -11.7 9.4 17.9 13.6 15.3 13.5 -0.5 7.0 -5.8 16.2 -7.7 -16.9 -0.0 -2.1 -2.0 2.7 -5.3 8.7 -5.7 1.6 10.0 -18.7 -3.5 12.6 COTTON2 14.4 -8.2 -20.0 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 -13.3 -11.6 1.1 -0.1 0.8 -9.7 4.1 17.8 7.9 14.1 -12.9 -15.2 -10.7 -3.6 -6.8 -3.6 -0.0 -3.3 -2.9 -3.4 -1.8 1.4 -1.2 7.6 0.1 18.3 -7.7 -16.6 CRUDE_W -2.6 6.8 -9.6 -3.0 -10.0 -0.4 -7.7 6.2 -4.8 -13.7 -5.0 -13.3 3.9 5.0 5.0 7.6 13.9 8.8 11.4 0.6 -0.4 -10.6 5.8 -2.7 4.8 -0.0 0.8 -6.0 1.5 -4.1 7.0 -0.7 -20.0 8.4 9.9 11.4 7.6 DAX 20.0 20.0 8.4 2.3 0.3 -0.8 3.4 -1.9 4.4 1.5 3.7 14.4 -6.8 15.9 13.0 -4.1 -1.5 -3.4 -2.5 20.0 8.3 20.0 -5.5 20.0 -8.2 -0.0 5.0 0.3 1.7 3.6 -1.1 5.9 -1.8 2.4 20.0 20.0 20.0 DOW 20.0 20.0 2.8 2.3 0.3 -0.8 3.4 -1.9 4.4 0.3 2.5 12.9 -3.7 15.4 11.1 -5.1 -1.7 -4.4 -3.4 18.7 5.7 15.5 -2.0 20.0 -4.3 -0.0 4.2 -0.5 1.1 3.0 -0.4 5.4 -2.8 0.5 5.8 19.6 13.6 EUR 20.0 20.0 19.0 1.4 0.4 -2.4 3.3 -4.4 4.2 5.6 -6.2 13.9 -12.4 14.2 9.6 -6.9 -8.2 -7.6 -8.1 10.7 -4.1 12.7 -15.2 17.9 3.9 -0.0 2.9 0.6 -2.7 3.9 -7.4 5.6 -11.1 0.8 0.5 8.8 6.6 EUROSTX 20.0 20.0 6.9 2.3 0.3 -0.8 3.4 -1.9 4.4 6.3 6.3 14.8 -5.1 16.1 13.1 -1.0 2.5 -0.4 0.6 20.0 10.8 20.0 -0.6 20.0 -13.8 -0.0 5.1 1.0 2.1 4.0 -0.2 6.1 4.2 7.4 20.0 20.0 20.0 FEEDCOW 5.5 4.0 -8.7 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 -8.2 -2.1 -4.0 -2.2 5.1 -5.6 -20.0 -20.0 -18.8 -20.0 -2.4 -4.0 -4.4 -2.9 -0.3 -5.9 -0.0 -1.6 -5.7 -2.8 -1.0 -1.8 0.6 -20.0 9.4 -2.2 7.4 -13.0 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 -20.0 -1.2 -5.0 -3.4 -11.3 -0.7 -9.1 5.8 -5.7 -14.1 3.3 -15.8 10.7 -8.9 -0.9 20.0 20.0 20.0 20.0 -5.4 6.5 -20.0 20.0 -18.1 -4.8 -0.0 -2.3 -11.0 1.7 -10.3 7.2 -6.7 0.0 -16.5 -11.4 4.5 14.4 GASOILINE -11.6 3.9 -16.2 -3.4 -11.3 -0.7 -9.1 5.8 -5.7 -13.9 -7.4 -14.3 4.5 -5.8 -0.8 10.2 20.0 20.0 20.0 -4.0 -1.1 -20.0 10.3 -10.6 -3.9 -0.0 -0.5 -8.0 1.9 -7.8 9.7 -3.6 3.2 7.2 9.8 9.1 4.2 GAS_US 19.5 -11.6 -20.0 -3.4 -11.3 -0.7 -9.1 5.8 -5.7 5.8 -6.7 9.5 1.8 6.1 -8.4 -15.0 -11.7 -19.9 -15.7 -5.6 -7.0 18.2 2.6 9.0 -10.3 -0.0 -0.1 12.2 0.3 11.4 4.8 5.0 -20.0 20.0 20.0 -2.8 7.6 GBP 20.0 20.0 14.9 1.4 0.4 -2.4 3.3 -4.4 4.2 4.0 -4.9 13.8 -10.0 14.9 6.8 -1.8 -1.4 -1.7 -1.7 8.7 -4.8 14.7 -12.7 17.0 15.2 -0.0 0.6 1.5 -5.4 4.5 -8.6 4.7 0.3 12.4 -8.5 6.0 -11.6 GOLD_micro 20.0 17.4 -1.8 2.3 -0.8 0.2 1.2 -0.4 3.3 -10.7 -10.2 8.6 -11.3 9.2 1.0 -10.0 -7.7 -9.8 -9.2 6.0 -5.9 6.7 -9.8 13.2 10.7 -0.0 1.8 -2.2 -1.5 1.6 -2.3 4.2 -12.0 -0.4 8.9 1.9 -8.1 HEATOIL -16.8 0.6 -11.2 -3.4 -11.3 -0.7 -9.1 5.8 -5.7 -14.1 2.5 -15.5 9.9 -3.7 1.7 20.0 20.0 20.0 20.0 -2.3 6.5 -20.0 18.8 -13.6 -14.9 -0.0 -0.4 -13.5 4.6 -11.7 13.4 -5.6 8.5 2.7 -2.8 8.8 17.4 JPY 20.0 20.0 9.6 1.4 0.4 -2.4 3.3 -4.4 4.2 12.6 -10.9 12.0 -14.5 11.2 -3.7 -11.2 -10.0 -12.1 -11.6 2.8 -13.5 14.9 -20.0 14.8 18.4 -0.0 0.8 3.1 -4.8 4.8 -9.1 4.9 -15.4 4.3 12.7 -6.7 -8.3 LEANHOG -0.1 17.0 -1.5 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 -13.7 -2.3 -4.2 -0.3 11.2 9.8 -20.0 20.0 13.0 20.0 6.6 3.9 -10.7 4.2 2.2 2.1 -0.0 1.9 -14.9 0.8 -7.2 1.4 0.1 20.0 -6.2 -7.6 20.0 1.3 LIVECOW -4.1 10.5 8.1 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 -0.3 5.6 3.2 -1.9 6.2 6.7 -20.0 -20.0 -20.0 -20.0 6.4 4.7 0.7 0.3 4.8 -16.6 -0.0 3.2 -2.6 3.0 1.0 2.1 2.6 -20.0 20.0 -8.4 19.0 8.7 MXP 8.9 14.2 11.5 1.4 0.4 -2.4 3.3 -4.4 4.2 13.7 16.0 14.7 15.3 15.4 16.0 19.3 20.0 19.1 19.5 19.7 17.8 12.5 16.0 17.7 -20.0 -0.0 5.9 3.0 4.4 4.0 3.4 5.6 20.0 7.1 1.7 12.5 20.0 NASDAQ 18.2 11.9 -6.5 2.3 0.3 -0.8 3.4 -1.9 4.4 -8.4 -11.1 10.7 -12.2 9.9 -7.8 -4.4 -2.9 -4.3 -3.9 -2.1 -10.4 4.8 -12.9 5.9 12.2 -0.0 -1.0 -0.1 -4.5 2.9 -4.8 2.8 -4.3 -4.7 -9.3 -18.3 -9.7 NIKKEI 13.5 12.4 -0.0 2.3 0.3 -0.8 3.4 -1.9 4.4 0.1 6.3 11.5 1.1 14.1 6.5 4.3 8.5 6.1 8.1 10.2 5.6 8.3 2.5 12.6 -11.0 -0.0 3.3 -0.4 0.3 3.6 -0.9 5.2 16.1 0.1 -4.1 -2.2 1.9 NZD 20.0 20.0 0.8 1.4 0.4 -2.4 3.3 -4.4 4.2 2.9 -7.0 13.4 -11.0 14.4 2.5 -1.1 0.5 -0.9 -0.3 10.7 -5.0 16.4 -12.7 20.0 3.6 -0.0 2.4 0.7 -2.1 4.3 -4.3 5.5 3.3 9.8 10.4 10.6 0.8 OAT 20.0 18.3 -2.9 -1.3 0.1 -5.0 3.0 -6.8 2.6 1.5 -9.3 10.7 -12.3 11.7 -6.6 14.2 12.4 14.4 14.1 0.1 -14.0 13.9 -20.0 13.2 10.2 -0.0 -0.2 0.9 -5.8 4.3 -9.8 4.2 20.0 10.4 1.0 11.0 -0.6 OJ -13.7 13.4 14.1 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 6.6 13.9 2.5 14.0 8.7 12.5 17.1 12.0 17.2 16.1 20.0 20.0 7.2 20.0 12.0 -20.0 -0.0 5.4 -1.9 7.1 -0.6 7.0 2.1 3.1 19.1 3.0 20.0 20.0 PALLAD 4.7 -15.1 -3.0 2.3 -0.8 0.2 1.2 -0.4 3.3 -14.0 -10.2 -9.3 -6.4 -10.6 -8.9 -1.7 -1.2 -1.8 -1.6 -10.2 -7.3 -16.2 -5.8 -12.2 0.2 -0.0 -3.1 -5.4 -1.9 -5.0 -1.2 -3.6 0.0 -11.2 -20.0 -20.0 -5.2 PLAT 10.7 19.1 15.4 2.3 -0.8 0.2 1.2 -0.4 3.3 -7.5 4.9 2.7 -4.6 8.3 11.0 0.5 -0.2 0.4 0.1 14.0 7.6 1.9 -0.5 11.0 -1.4 -0.0 4.7 2.3 1.9 2.9 -1.0 4.8 2.3 4.6 -3.4 13.6 12.3 REDWHEAT -8.8 -3.9 0.1 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 -13.9 -9.6 -14.9 -3.5 -13.9 1.8 3.7 -0.6 2.0 0.9 -4.6 -3.7 -14.7 1.3 -9.6 -12.6 -0.0 -0.9 -9.3 1.6 -7.9 5.7 -4.3 -20.0 -8.7 -12.8 -3.2 8.1 ROBUSTA -5.1 -20.0 -19.6 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 11.6 -11.6 0.8 -1.9 -13.6 -14.5 9.7 6.7 7.9 7.1 -20.0 -20.0 -0.0 -5.2 -18.2 4.3 -0.0 -4.9 1.8 -3.5 0.2 -0.9 -3.1 -9.5 17.6 -10.1 -20.0 -13.8 RUSSELL 9.5 15.2 1.5 2.3 0.3 -0.8 3.4 -1.9 4.4 -9.2 -4.4 6.5 -10.3 10.9 -0.8 -4.0 -2.0 -3.7 -3.0 4.8 -1.9 2.2 -7.0 7.2 -2.6 -0.0 2.3 -4.1 -0.5 0.1 -2.1 3.3 -2.7 -12.2 -14.2 -5.2 6.4 SILVER-mini 16.2 15.9 17.2 2.3 -0.8 0.2 1.2 -0.4 3.3 -8.4 -7.0 5.5 -9.4 9.2 8.8 -4.0 -3.1 -4.0 -3.7 10.2 0.5 4.0 -7.6 11.5 16.2 -0.0 3.7 -0.6 -0.4 1.9 -3.8 4.5 -3.4 1.5 6.0 9.0 5.6 SOYBEAN 0.8 5.0 2.2 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 7.1 -0.6 3.6 4.0 6.2 8.7 16.3 20.0 17.8 20.0 4.1 2.5 4.8 6.2 4.4 -18.4 -0.0 4.2 8.4 5.6 4.6 10.7 3.5 18.7 13.2 6.7 10.7 10.7 SOYMEAL 1.0 0.5 2.1 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 13.9 -1.4 6.3 7.1 6.7 -0.3 11.3 14.5 13.2 14.7 1.7 2.2 7.1 5.8 3.5 -11.7 -0.0 2.2 9.3 4.2 5.8 8.2 2.5 4.4 20.0 -1.2 5.1 9.1 SOYOIL -0.5 20.0 6.8 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 3.8 4.5 1.6 6.5 10.5 11.9 20.0 20.0 20.0 20.0 17.9 13.4 6.6 13.2 13.3 -20.0 -0.0 5.2 4.4 4.6 2.9 5.0 3.9 18.2 4.2 19.4 20.0 20.0 SP400 17.4 19.2 1.2 2.3 0.3 -0.8 3.4 -1.9 4.4 -1.4 -1.7 11.9 -6.5 13.9 4.6 -0.3 -1.1 -0.3 -0.6 10.5 1.5 10.3 -3.4 15.2 -6.4 -0.0 3.7 -1.5 0.8 2.8 -0.2 5.2 0.0 -4.5 -0.2 4.2 11.1 SP500 19.0 17.5 -4.2 2.3 0.3 -0.8 3.4 -1.9 4.4 -4.5 -7.0 12.3 -8.9 13.3 -1.5 -4.7 -2.9 -4.4 -3.8 5.5 -4.2 9.6 -7.5 12.6 8.0 -0.0 1.9 -0.3 -2.2 3.6 -3.5 4.8 -4.1 -1.9 -3.5 -4.0 0.3 SUGAR11 19.1 16.7 6.3 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 -11.9 2.1 4.6 -0.9 9.6 9.4 20.0 20.0 20.0 20.0 14.7 7.2 1.5 2.8 14.2 -11.8 -0.0 4.9 -0.8 2.7 2.5 1.4 5.4 20.0 6.5 20.0 20.0 19.8 US10 20.0 7.2 -10.9 -1.3 0.1 -5.0 3.0 -6.8 2.6 11.9 -11.7 14.0 -13.8 9.9 -9.3 -4.7 1.8 -3.8 -2.1 -6.6 -20.0 14.9 -20.0 9.9 -5.6 -0.0 -1.7 3.3 -6.0 4.8 -8.1 3.2 -2.4 -0.4 3.7 0.5 -1.6 US10U 20.0 5.6 -12.0 -1.3 0.1 -5.0 3.0 -6.8 2.6 14.0 -11.8 14.7 -13.5 9.0 -9.3 -0.1 5.0 0.3 1.7 -6.7 -20.0 17.1 -20.0 10.7 -6.5 -0.0 -1.7 4.3 -5.7 5.6 -7.4 3.5 3.7 5.1 5.7 -1.0 -0.3 US20 20.0 5.3 -15.0 -1.3 0.1 -5.0 3.0 -6.8 2.6 14.1 -11.5 15.4 -13.4 8.6 -8.7 1.1 2.8 1.5 2.0 -7.6 -20.0 20.0 -20.0 13.3 -5.4 -0.0 -2.0 5.1 -5.4 6.5 -6.3 3.4 1.9 16.1 13.6 -6.6 -3.8 US30 20.0 7.1 -11.1 -1.3 0.1 -5.0 3.0 -6.8 2.6 13.9 -12.5 15.2 -14.7 7.0 -9.0 -1.9 0.2 -1.5 -1.0 -8.8 -20.0 20.0 -20.0 11.5 -2.0 -0.0 -2.3 7.2 -5.9 7.6 -7.3 3.4 -2.8 20.0 10.2 -10.6 1.1 US5 20.0 8.2 -8.0 -1.3 0.1 -5.0 3.0 -6.8 2.6 0.6 -11.7 10.3 -14.0 8.5 -9.4 -6.5 2.8 -5.1 -2.7 -8.0 -20.0 9.7 -20.0 6.8 -3.7 -0.0 -2.1 1.6 -6.5 3.2 -9.3 2.4 -1.9 -9.1 -1.2 -0.6 -3.0 VIX -13.6 -12.9 -0.4 -3.9 -4.3 -2.0 -6.0 -1.4 -5.7 -1.9 -9.5 -8.9 -8.4 -13.8 -9.3 -16.0 -17.7 -9.9 -12.1 -12.8 -7.5 -14.7 -6.3 -17.8 NaN -0.0 -4.3 -9.5 -2.2 -8.0 -1.8 -6.5 NaN NaN NaN NaN NaN WHEAT -16.1 -5.4 -2.9 -2.3 -6.7 -2.7 -4.5 0.2 -2.3 -14.0 -10.7 -15.6 -6.2 -14.8 0.8 -4.8 -3.9 -4.1 -4.0 -9.7 -8.0 -20.0 -2.5 -16.7 -11.0 -0.0 -3.4 -10.7 -0.3 -11.1 4.0 -7.6 -20.0 -12.3 -20.0 -7.8 1.4 End of report for caleb_strategy_v1