******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221130_204307 produced at 2022-11-30 21:59:19.578059 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.22 0.00 9014827.88 -9014827.88 -0.12 -0.14 -24.49 999999999.0 -13 -16 caleb_strategy_v1 US10U False False 0.04 0.00 -0.12 0.00 40988220.26 -40988220.26 0.00 0.00 -2.90 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.26 -0.12 0.00 37063587.41 -37063587.41 -0.26 -0.22 -3.12 999999999.0 -7 -6 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.00 21312154.15 -21312154.15 -0.11 -0.11 -5.75 999999999.0 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.09 0.00 31190616.30 -31190616.30 -0.09 -0.09 -2.83 999999999.0 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.00 38853865.14 -38853865.14 0.00 0.00 -2.17 999999999.0 0 0 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.06 0.00 45177362.60 -45177362.60 -0.09 -0.09 -1.29 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.13 -0.05 0.00 43547295.92 -43547295.92 -0.13 -0.13 -1.13 999999999.0 -3 -3 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.00 0.00 0.00 0.00 0.00 -1.80 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.09 -0.05 0.00 46955812.66 -46955812.66 -0.09 -0.09 -1.03 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.09 -0.03 0.00 31076640.66 -31076640.66 -0.09 -0.09 -1.09 999999999.0 -3 -3 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.00 25329257.79 -25329257.79 -0.05 -0.05 -0.71 999999999.0 -2 -2 caleb_strategy_v1 EUR False False 0.04 0.00 -0.02 0.00 44489207.80 -44489207.80 0.00 0.00 -0.39 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.09 -0.02 0.00 3160867.03 -3160867.03 -0.09 -0.04 -5.58 999999999.0 -29 -12 caleb_strategy_v1 AUD False False 0.02 0.00 -0.01 0.00 23015337.28 -23015337.28 0.00 0.00 -0.23 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 0.00 -0.01 0.00 14012552.11 -14012552.11 0.00 -0.01 -0.58 999999999.0 0 -1 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.00 6066084.56 -6066084.56 0.00 0.00 -2.05 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.00 6410161.96 -6410161.96 0.00 0.00 -0.93 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.00 25492694.55 -25492694.55 0.00 0.00 -0.25 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.00 79196295.12 -79196295.12 0.00 0.00 -0.18 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.00 8550323.39 -8550323.39 0.00 0.00 -0.96 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.02 -0.02 -0.01 0.00 24498310.87 -24498310.87 -0.02 0.00 -0.38 999999999.0 -1 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.00 15315745.26 -15315745.26 -0.02 -0.02 -0.37 999999999.0 -1 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.00 63138202.87 -63138202.87 0.00 0.00 -0.11 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.00 10221679.36 -10221679.36 0.00 0.00 -0.25 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.00 555685.00 -555685.00 0.00 0.00 4.46 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 0.00 0.00 56209269.08 -56209269.08 0.00 0.06 0.07 999999999.0 0 1 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.00 13878361.92 -13878361.92 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.00 0.00 10507263.60 -10507263.60 0.03 0.02 0.25 999999999.0 3 2 caleb_strategy_v1 SP400 False False 0.09 0.17 -0.00 0.00 86679978.57 -86679978.57 0.17 0.09 -0.00 999999999.0 2 1 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.00 68118723.23 -68118723.23 0.00 0.00 -0.03 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.00 21760745.06 -21760745.06 0.00 0.00 -0.16 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.00 4282220.63 -4282220.63 0.00 0.00 1.26 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.05 0.01 0.00 25711183.70 -25711183.70 0.05 0.05 0.53 999999999.0 2 2 caleb_strategy_v1 GASOILINE False False 0.03 0.07 0.01 0.00 33028333.69 -33028333.69 0.07 0.07 0.35 999999999.0 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.00 14703115.45 -14703115.45 0.00 0.00 0.87 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.00 14149056.83 -14149056.83 0.00 0.00 0.95 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.00 17412036.82 -17412036.82 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.00 31328247.26 -31328247.26 0.00 0.00 0.42 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.01 0.01 0.00 5822305.72 -5822305.72 0.01 0.02 1.04 999999999.0 1 3 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.00 21329358.02 -21329358.02 0.04 0.04 0.37 999999999.0 2 2 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.00 5168759.02 -5168759.02 0.01 0.01 3.43 999999999.0 1 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.00 18429645.73 -18429645.73 0.00 0.00 0.82 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.00 23989620.17 -23989620.17 0.05 0.07 1.03 999999999.0 2 3 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.00 7514650.41 -7514650.41 0.02 0.02 2.69 999999999.0 2 3 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.00 8916765.82 -8916765.82 0.00 0.00 3.59 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.01 0.03 0.00 11578204.50 -11578204.50 0.01 0.02 2.54 999999999.0 1 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.00 31216422.10 -31216422.10 0.00 0.00 0.97 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.03 0.00 13990187.08 -13990187.08 0.06 0.06 2.07 999999999.0 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.04 0.00 46043130.15 -46043130.15 0.05 0.05 0.86 999999999.0 1 1 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.00 42920119.48 -42920119.48 0.13 0.09 1.27 999999999.0 3 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.00 48473686.99 -48473686.99 0.00 0.00 1.19 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.00 24003699.61 -24003699.61 0.05 0.02 3.68 999999999.0 2 1 caleb_strategy_v1 BUND False False 0.05 0.15 0.16 0.00 50505217.81 -50505217.81 0.15 0.05 3.26 999999999.0 3 1 caleb_strategy_v1 NIKKEI True False 0.01 0.06 0.17 0.06 0.06 0.06 0.06 0.06 24.43 0.0 8 8 caleb_strategy_v1 BOBL False False 0.04 0.22 0.40 0.00 43024024.93 -43024024.93 0.22 0.17 9.36 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 10.4 Shocked risk 34.5 Sum abs risk 34.4 Leverage 2.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2906322.82, 'annual_cash_vol_target': 726580.705, 'daily_cash_vol_target': 45411.2940625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0065 0.6689 0.9748 15.5968 BITCOIN 992.3341 16150.0000 6.1445 98.3117 BOBL 0.3874 120.0800 0.3226 5.1623 BTP 1.0476 119.7900 0.8745 13.9924 BUND 0.8477 140.9600 0.6014 9.6224 BUXL 2.1433 156.8800 1.3662 21.8594 CAC 58.1052 6695.5000 0.8678 13.8852 CAD 0.0044 0.7362 0.5952 9.5234 CANOLA 9.3961 836.6000 1.1231 17.9701 CHF 0.0078 1.0504 0.7398 11.8371 COCOA 30.9110 2485.0000 1.2439 19.9025 COFFEE 0.0392 1.6865 2.3270 37.2322 COPPER 0.0668 3.6420 1.8333 29.3330 CORN 4.6524 610.7500 0.7618 12.1881 COTTON2 0.0203 0.8067 2.5116 40.1863 CRUDE_W 1.3953 74.0900 1.8833 30.1324 DAX 132.3290 14426.0000 0.9173 14.6767 DOW 349.6350 33843.0000 1.0331 16.5297 EUR 0.0075 1.0344 0.7226 11.5609 EUROSTX 36.7204 3949.0000 0.9299 14.8778 FEEDCOW 1.3725 181.3000 0.7570 12.1123 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 17.9086 907.2500 1.9739 31.5831 GASOILINE 0.0502 2.2855 2.1956 35.1297 GAS_US 0.2228 7.1200 3.1296 50.0735 GBP 0.0115 1.1956 0.9657 15.4517 GOLD_micro 16.2380 1763.0000 0.9210 14.7367 HEATOIL 0.0642 3.1861 2.0160 32.2559 JPY 0.0001 0.0072 0.8607 13.7707 LEANHOG 1.3673 84.1250 1.6254 26.0060 LIVECOW 0.8724 154.8500 0.5634 9.0138 MXP 0.0003 0.0518 0.5844 9.3509 NASDAQ 194.0746 11508.5000 1.6864 26.9817 NIKKEI 249.2182 27980.0000 0.8907 14.2512 NZD 0.0058 0.6199 0.9326 14.9210 OAT 0.9042 135.2900 0.6683 10.6935 OJ 0.0354 1.9805 1.7890 28.6244 PALLAD 44.8935 1835.0000 2.4465 39.1442 PLAT 17.8157 1012.1000 1.7603 28.1644 REDWHEAT 14.7195 890.2500 1.6534 26.4546 ROBUSTA 23.6597 1863.0000 1.2700 20.3197 RUSSELL 28.2068 1837.3000 1.5352 24.5637 SILVER-mini 0.4205 21.4250 1.9628 31.4049 SOYBEAN 11.9279 1395.2500 0.8549 13.6783 SOYMEAL 4.5990 406.6000 1.1311 18.0973 SOYOIL 0.9069 71.2200 1.2734 20.3749 SP400 34.5415 2519.2000 1.3711 21.9381 SP500 51.3449 3959.5000 1.2968 20.7480 SUGAR11 0.0025 0.1950 1.2743 20.3895 US10 0.5280 112.9219 0.4676 7.4816 US10U 0.7366 119.1250 0.6183 9.8930 US20 1.0735 126.5625 0.8482 13.5707 US30 1.6312 136.4688 1.1953 19.1242 US5 0.3468 107.7188 0.3220 5.1517 VIX 0.5044 26.2000 1.9250 30.8002 WHEAT 12.2601 814.5000 1.5052 24.0838 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.90 0.97 652.04 1.00 652.04 45411.29 69.64 -2.06 -14.37 BITCOIN 16.15 6.14 99.23 1.00 99.23 45411.29 457.62 4.13 189.22 BOBL 1200.80 0.32 387.43 1.03 400.47 45411.29 113.40 11.44 129.74 BTP 1197.90 0.87 1047.59 1.03 1082.83 45411.29 41.94 14.99 62.88 BUND 1409.60 0.60 847.74 1.03 876.25 45411.29 51.82 8.72 45.20 BUXL 1568.80 1.37 2143.32 1.03 2215.42 45411.29 20.50 0.41 0.85 CAC 669.55 0.87 581.05 1.03 600.60 45411.29 75.61 4.86 36.77 CAD 736.15 0.60 438.16 1.00 438.16 45411.29 103.64 -3.86 -40.04 CANOLA 167.32 1.12 187.92 0.74 139.29 45411.29 326.02 4.21 137.25 CHF 1313.00 0.74 971.38 1.00 971.38 45411.29 46.75 -7.36 -34.40 COCOA 248.50 1.24 309.11 1.00 309.11 45411.29 146.91 -3.01 -44.17 COFFEE 632.44 2.33 1471.69 1.00 1471.69 45411.29 30.86 -4.03 -12.43 COPPER 910.50 1.83 1669.23 1.00 1669.23 45411.29 27.20 5.70 15.50 CORN 305.38 0.76 232.62 1.00 232.62 45411.29 195.22 1.43 27.87 COTTON2 403.35 2.51 1013.07 1.00 1013.07 45411.29 44.83 -0.67 -3.02 CRUDE_W 740.90 1.88 1395.32 1.00 1395.32 45411.29 32.55 -0.59 -1.93 DAX 144.26 0.92 132.33 1.03 136.78 45411.29 332.00 1.90 63.15 DOW 169.22 1.03 174.82 1.00 174.82 45411.29 259.76 1.41 36.55 EUR 1293.00 0.72 934.27 1.00 934.27 45411.29 48.61 -2.12 -10.29 EUROSTX 394.90 0.93 367.20 1.03 379.56 45411.29 119.64 2.83 33.90 FEEDCOW 906.50 0.76 686.24 1.00 686.24 45411.29 66.17 -15.93 -105.39 FTSE100 707.00 0.82 576.59 1.19 666.67 45411.29 68.12 -2.56 -17.46 GASOIL 907.25 1.97 1790.86 1.00 1790.86 45411.29 25.36 5.36 13.60 GASOILINE 959.91 2.20 2107.58 1.00 2107.58 45411.29 21.55 3.99 8.60 GAS_US 712.00 3.13 2228.27 1.00 2228.27 45411.29 20.38 -12.49 -25.45 GBP 747.25 0.97 721.64 1.00 721.64 45411.29 62.93 4.68 29.43 GOLD_micro 176.30 0.92 162.38 1.00 162.38 45411.29 279.66 -3.28 -91.62 HEATOIL 1338.16 2.02 2697.72 1.00 2697.72 45411.29 16.83 7.20 12.12 JPY 903.19 0.86 777.35 1.00 777.35 45411.29 58.42 -2.89 -16.85 LEANHOG 336.50 1.63 546.94 1.00 546.94 45411.29 83.03 6.54 54.34 LIVECOW 619.40 0.56 348.95 1.00 348.95 45411.29 130.14 -16.44 -213.91 MXP 259.15 0.58 151.45 1.00 151.45 45411.29 299.83 9.77 292.87 NASDAQ 2301.70 1.69 3881.49 1.00 3881.49 45411.29 11.70 -2.80 -3.28 NIKKEI 27980.00 0.89 24921.82 0.01 179.40 45411.29 253.14 5.08 128.60 NZD 619.90 0.93 578.09 1.00 578.09 45411.29 78.55 2.95 23.18 OAT 1352.90 0.67 904.20 1.03 934.62 45411.29 48.59 12.13 58.91 OJ 297.08 1.79 531.47 1.00 531.47 45411.29 85.44 -1.66 -14.21 PALLAD 1835.00 2.45 4489.35 1.00 4489.35 45411.29 10.12 -4.49 -4.54 PLAT 506.05 1.76 890.79 1.00 890.79 45411.29 50.98 3.92 20.00 REDWHEAT 445.12 1.65 735.98 1.00 735.98 45411.29 61.70 -11.22 -69.22 ROBUSTA 186.30 1.27 236.60 1.00 236.60 45411.29 191.94 -3.74 -71.81 RUSSELL 91.86 1.54 141.03 1.00 141.03 45411.29 321.99 -3.34 -107.68 SILVER-mini 535.62 1.96 1051.33 1.00 1051.33 45411.29 43.19 8.46 36.54 SOYBEAN 697.62 0.85 596.40 1.00 596.40 45411.29 76.14 8.19 62.36 SOYMEAL 406.60 1.13 459.90 1.00 459.90 45411.29 98.74 3.56 35.13 SOYOIL 427.32 1.27 544.16 1.00 544.16 45411.29 83.45 11.35 94.74 SP400 2519.20 1.37 3454.15 1.00 3454.15 45411.29 13.15 -0.05 -0.07 SP500 1979.75 1.30 2567.24 1.00 2567.24 45411.29 17.69 -0.68 -1.21 SUGAR11 218.40 1.27 278.32 1.00 278.32 45411.29 163.16 12.14 198.03 US10 1129.22 0.47 528.03 1.00 528.03 45411.29 86.00 -6.58 -56.60 US10U 1191.25 0.62 736.57 1.00 736.57 45411.29 61.65 -3.23 -19.93 US20 1265.62 0.85 1073.47 1.00 1073.47 45411.29 42.30 -3.62 -15.30 US30 1364.69 1.20 1631.16 1.00 1631.16 45411.29 27.84 -4.43 -12.33 US5 1077.19 0.32 346.84 1.00 346.84 45411.29 130.93 -6.21 -81.34 VIX 262.00 1.93 504.35 1.00 504.35 45411.29 90.04 -14.43 -129.95 WHEAT 407.25 1.51 613.01 1.00 613.01 45411.29 74.08 -14.69 -108.81 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -14.371 0.006 2.5 -0.230 BITCOIN 189.221 0.009 2.5 4.458 BOBL 129.739 0.029 2.5 9.362 BTP 62.880 0.008 2.5 1.270 BUND 45.195 0.029 2.5 3.261 BUXL 0.846 0.034 2.5 0.071 CAC 36.772 0.011 2.5 1.034 CAD -40.040 0.007 2.5 -0.715 CANOLA 137.246 0.004 2.5 1.260 CHF -34.396 0.015 2.5 -1.287 COCOA -44.168 0.009 2.5 -0.962 COFFEE -12.434 0.005 2.5 -0.161 COPPER 15.502 0.011 2.5 0.424 CORN 27.872 0.004 2.5 0.251 COTTON2 -3.018 0.006 2.5 -0.045 CRUDE_W -1.929 0.053 2.5 -0.255 DAX 63.153 0.022 2.5 3.430 DOW 36.551 0.011 2.5 1.042 EUR -10.294 0.015 2.5 -0.385 EUROSTX 33.896 0.011 2.5 0.953 FEEDCOW -105.388 0.011 2.5 -2.832 FTSE100 -17.459 0.041 2.5 -1.800 GASOIL 13.602 0.029 2.5 0.970 GASOILINE 8.603 0.016 2.5 0.353 GAS_US -25.451 0.006 2.5 -0.383 GBP 29.432 0.007 2.5 0.526 GOLD_micro -91.620 0.009 2.5 -2.050 HEATOIL 12.123 0.029 2.5 0.865 JPY -16.854 0.026 2.5 -1.091 LEANHOG 54.341 0.019 2.5 2.539 LIVECOW -213.907 0.011 2.5 -5.748 MXP 292.868 0.005 2.5 3.585 NASDAQ -3.277 0.022 2.5 -0.178 NIKKEI 128.598 0.076 2.5 24.425 NZD 23.179 0.006 2.5 0.370 OAT 58.914 0.008 2.5 1.190 OJ -14.213 0.007 2.5 -0.248 PALLAD -4.542 0.010 2.5 -0.109 PLAT 19.997 0.010 2.5 0.481 REDWHEAT -69.218 0.002 2.5 -0.370 ROBUSTA -71.812 0.005 2.5 -0.931 RUSSELL -107.682 0.021 2.5 -5.578 SILVER-mini 36.540 0.009 2.5 0.818 SOYBEAN 62.364 0.024 2.5 3.677 SOYMEAL 35.127 0.024 2.5 2.071 SOYOIL 94.743 0.004 2.5 0.870 SP400 -0.065 0.021 2.5 -0.003 SP500 -1.211 0.011 2.5 -0.035 SUGAR11 198.033 0.005 2.5 2.687 US10 -56.604 0.015 2.5 -2.172 US10U -19.926 0.058 2.5 -2.903 US20 -15.297 0.029 2.5 -1.127 US30 -12.326 0.034 2.5 -1.035 US5 -81.345 0.015 2.5 -3.121 VIX -129.950 0.075 2.5 -24.489 WHEAT -108.806 0.002 2.5 -0.581 ==================== Position diags ==================== AUD 1.11 BITCOIN 10.78 BOBL 8.18 BTP 0.85 BUND 3.74 BUXL 1.72 CAC 2.13 CAD 1.85 CANOLA 2.99 CHF 1.75 COCOA 3.20 COFFEE 0.40 COPPER 0.74 CORN 1.76 COTTON2 0.67 CRUDE_W 4.30 DAX 18.03 DOW 7.40 EUR 1.82 EUROSTX 3.36 FEEDCOW 1.78 FTSE100 7.02 GASOIL 1.81 GASOILINE 0.88 GAS_US 0.31 GBP 1.12 GOLD_micro 6.26 HEATOIL 1.20 JPY 3.78 LEANHOG 3.88 LIVECOW 3.50 MXP 3.67 NASDAQ 0.64 NIKKEI 48.08 NZD 1.26 OAT 0.98 OJ 1.49 PALLAD 0.24 PLAT 1.23 REDWHEAT 0.33 ROBUSTA 2.49 RUSSELL 16.68 SILVER-mini 0.97 SOYBEAN 4.49 SOYMEAL 5.82 SOYOIL 0.77 SP400 0.68 SP500 0.50 SUGAR11 2.21 US10 3.30 US10U 8.98 US20 3.12 US30 2.34 US5 5.02 VIX 16.97 WHEAT 0.40 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 4.5 3.4 5.5 NaN 0 BOBL 9.4 8.5 10.2 5.0 5 BTP 1.3 1.2 1.4 3.0 3 BUND 3.3 2.9 3.6 3.0 3 BUXL 0.1 -0.1 0.2 0.0 0 CAC 1.0 0.8 1.2 2.0 2 CAD -0.7 -0.9 -0.5 -2.0 -2 CANOLA 1.3 1.0 1.6 NaN 0 CHF -1.3 -1.5 -1.1 -2.0 -2 COCOA -1.0 -1.3 -0.6 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.4 0.3 0.5 0.0 0 CORN 0.3 0.1 0.4 3.0 3 COTTON2 -0.0 -0.1 0.0 NaN 0 CRUDE_W -0.3 -0.7 0.2 0.0 0 DAX 3.4 1.6 5.2 1.0 1 DOW 1.0 0.3 1.8 1.0 1 EUR -0.4 -0.6 -0.2 0.0 0 EUROSTX 1.0 0.6 1.3 0.0 0 FEEDCOW -2.8 -3.0 -2.7 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.0 0.8 1.2 0.0 0 GASOILINE 0.4 0.3 0.4 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 -2.7 -1.4 0.0 0 HEATOIL 0.9 0.7 1.0 1.0 1 JPY -1.1 -1.5 -0.7 -3.0 -3 LEANHOG 2.5 2.2 2.9 1.0 1 LIVECOW -5.7 -6.1 -5.4 -5.0 -5 MXP 3.6 3.2 4.0 NaN 0 NASDAQ -0.2 -0.2 -0.1 0.0 0 NIKKEI 24.4 19.6 29.2 8.0 8 NZD 0.4 0.2 0.5 2.0 2 OAT 1.2 1.1 1.3 0.0 0 OJ -0.2 -0.4 -0.1 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.5 0.4 0.6 NaN 0 REDWHEAT -0.4 -0.4 -0.3 -1.0 -1 ROBUSTA -0.9 -1.2 -0.7 0.0 0 RUSSELL -5.6 -7.2 -3.9 -29.0 -29 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.7 3.2 4.1 2.0 2 SOYMEAL 2.1 1.5 2.7 4.0 4 SOYOIL 0.9 0.8 0.9 0.0 0 SP400 -0.0 -0.1 0.1 2.0 2 SP500 -0.0 -0.1 0.0 NaN 0 SUGAR11 2.7 2.5 2.9 2.0 2 US10 -2.2 -2.5 -1.8 NaN 0 US10U -2.9 -3.8 -2.0 0.0 0 US20 -1.1 -1.4 -0.8 -3.0 -3 US30 -1.0 -1.3 -0.8 -2.0 -2 US5 -3.1 -3.6 -2.6 -7.0 -7 VIX -24.5 -26.2 -22.8 -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 -0.0 -0.2 -0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 -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 1.6 -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 0.0 -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 0.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 0.2 0.2 0.3 0.2 BUND 0.2 0.2 -0.2 -0.0 -0.0 -0.1 0.0 -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 0.0 -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 -0.1 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 0.1 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 -0.0 -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 -0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -2.2 -0.1 0.2 -0.0 0.1 COCOA 0.2 0.2 0.1 -0.0 -0.0 -0.1 -0.1 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 0.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -2.7 -0.0 0.4 0.3 0.1 COFFEE -0.0 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 0.0 -0.3 -0.0 -0.1 -0.0 -0.3 0.1 0.2 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 2.1 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 -1.5 0.1 -0.3 -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 -2.5 -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 0.3 -0.2 -0.5 CRUDE_W -0.1 0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 -0.1 0.1 0.0 0.1 0.6 0.6 0.2 0.2 -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 -2.7 0.1 0.2 0.2 0.1 DAX 0.3 0.3 0.2 0.0 -0.0 -0.0 0.1 -0.0 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 -1.3 -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 -0.1 0.0 -0.3 0.1 0.2 -0.5 -0.3 -0.1 -0.2 0.1 -0.0 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 -1.9 -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 -1.1 -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 -0.0 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 -0.1 -0.2 0.0 0.2 GASOILINE -0.2 0.0 -0.2 -0.1 -0.0 -0.0 -0.2 0.1 -0.1 -0.0 -0.2 -0.0 0.1 -0.0 -0.0 0.8 0.9 0.4 0.4 -0.1 -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 0.1 0.1 0.1 GAS_US 0.2 -0.2 -0.3 -0.1 -0.0 -0.0 -0.2 0.1 -0.1 0.0 -0.2 0.0 0.0 0.0 -0.2 -1.0 -0.5 -0.4 -0.3 -0.1 -0.1 0.0 0.0 0.0 -1.3 -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 -0.2 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 1.4 -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 -0.0 0.1 -0.0 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 2.4 -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 0.2 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 -0.1 -0.2 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 -2.8 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 -2.8 0.0 -0.1 0.3 0.1 MXP 0.1 0.2 0.2 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 0.4 0.0 0.4 0.1 0.4 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 -0.1 -0.3 0.0 -0.3 0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 1.4 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 -0.6 -0.2 -0.2 -0.3 -0.1 NIKKEI 0.1 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 0.2 0.0 OAT 0.2 0.3 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 1.2 0.5 0.3 0.3 0.0 -0.2 0.0 -0.2 0.0 1.3 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 2.7 0.1 0.1 0.2 -0.0 OJ -0.0 0.2 0.4 -0.1 -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 -0.0 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 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.3 -0.1 PLAT 0.1 0.3 0.3 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 -0.3 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.0 -0.0 0.2 0.2 REDWHEAT -0.1 -0.1 -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 -0.1 -0.0 0.0 -0.0 -1.7 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.1 -0.3 -0.1 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 -0.1 -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 -0.1 -0.3 -0.2 RUSSELL 0.1 0.3 0.0 0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -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 -0.4 -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 0.1 0.0 0.0 0.1 0.0 -2.8 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 2.6 0.0 0.1 0.2 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 -1.7 -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 -0.0 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 0.0 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 -0.4 -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 0.1 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 0.0 -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 -0.4 -0.0 0.0 0.0 -0.0 US10U 0.2 0.1 -0.2 -0.0 -0.0 -0.1 0.0 -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 -0.2 -0.0 -0.0 -0.1 0.0 -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 -0.8 -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 0.2 -0.2 -0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 -0.3 0.0 -0.4 0.0 -0.2 -0.1 0.0 -0.0 -0.0 -0.1 -0.2 0.0 -0.3 0.0 -0.3 -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 0.2 -0.1 -0.0 -0.0 -0.1 0.0 -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 -0.1 -0.8 -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 -2.8 -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 -0.1 -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 19.3 -4.9 1.5 -0.1 -2.3 2.7 -4.4 4.0 1.2 -8.9 10.3 -10.9 11.0 -2.0 -2.8 -1.8 -2.5 -2.2 2.8 -7.5 7.1 -10.9 10.7 0.5 -0.0 0.4 -0.3 -3.7 2.4 -5.1 3.6 -0.3 -4.3 -3.7 -8.5 -4.2 BITCOIN -11.0 15.1 9.8 2.4 0.4 0.3 1.5 -0.3 3.3 7.4 -16.0 -11.5 -15.9 -11.3 -12.6 0.8 -1.1 0.4 -0.2 -11.4 -16.3 -6.5 -20.0 -10.6 20.0 -0.0 -5.1 -0.7 -4.9 -3.4 -4.3 -5.4 1.3 11.6 -20.0 -20.0 -17.8 BOBL 18.7 9.3 -17.7 -1.2 -0.9 -5.0 2.1 -6.9 2.4 -0.9 -12.8 7.6 -12.9 2.0 -12.0 20.0 20.0 20.0 20.0 -9.4 -20.0 4.7 -20.0 2.2 10.5 -0.0 -2.9 1.1 -8.4 1.8 -12.4 1.3 20.0 4.3 -14.4 0.7 -6.7 BTP 20.0 20.0 4.7 -1.2 -0.9 -5.0 2.1 -6.9 2.4 -0.5 -6.9 10.4 -11.8 12.9 -0.6 20.0 16.0 20.0 20.0 8.1 -7.8 14.5 -18.9 18.1 6.0 -0.0 2.3 1.4 -3.4 4.3 -8.0 5.4 20.0 13.9 7.4 20.0 14.8 BUND 20.0 14.6 -13.1 -1.2 -0.9 -5.0 2.1 -6.9 2.4 -1.1 -11.1 9.9 -12.7 9.3 -9.3 8.3 15.6 11.8 14.1 -4.7 -18.8 9.9 -20.0 8.6 8.4 -0.0 -1.4 1.2 -6.8 3.2 -10.2 3.0 20.0 10.5 -3.6 4.7 -5.9 BUXL 20.0 14.9 -3.4 -1.2 -0.9 -5.0 2.1 -6.9 2.4 8.1 -9.3 12.8 -12.3 12.1 -5.6 4.5 -2.8 5.1 1.6 1.0 -15.8 20.0 -20.0 17.8 6.1 -0.0 0.1 4.2 -5.0 6.1 -7.7 5.0 -4.5 20.0 12.3 6.1 -0.5 CAC 20.0 20.0 4.4 2.3 -0.1 -0.7 2.8 -1.9 4.2 9.8 8.3 14.8 -2.8 16.1 13.6 -0.7 4.0 0.6 2.0 20.0 11.1 17.2 2.8 20.0 -13.8 -0.0 4.9 1.4 2.1 3.6 0.3 5.6 6.7 5.8 15.8 20.0 14.0 CAD 15.1 13.1 -10.6 1.5 -0.1 -2.3 2.7 -4.4 4.0 -12.8 -8.9 0.8 -11.0 6.4 -4.6 -2.0 -0.8 -1.7 -1.3 -1.7 -9.7 -6.6 -11.2 2.1 -0.3 -0.0 -1.3 -7.8 -5.0 -2.8 -5.8 0.6 1.3 -20.0 -16.9 -9.1 -10.6 CANOLA -20.0 8.0 -6.5 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -4.4 -10.0 -10.9 -2.0 -8.7 2.4 13.2 13.6 10.5 9.6 -8.3 -8.5 -19.4 -0.7 -17.3 4.9 -0.0 -2.2 0.2 -0.7 -6.0 1.6 -5.7 -1.7 -20.0 -20.0 -3.5 7.1 CHF 20.0 17.6 7.1 1.5 -0.1 -2.3 2.7 -4.4 4.0 -3.4 -2.5 11.2 -8.1 11.1 5.0 -11.1 -11.3 -11.8 -12.0 9.1 -0.6 8.7 -6.3 15.3 -3.4 -0.0 2.5 -1.3 -1.2 2.9 -3.8 4.9 -16.9 -6.6 10.5 -2.0 6.9 COCOA 15.8 13.7 4.8 -2.2 -6.5 -2.7 -4.4 0.2 -2.3 4.9 -4.9 4.6 -9.9 7.3 7.2 0.1 -3.2 0.4 -1.1 8.9 0.4 5.9 -6.7 10.2 3.4 -0.0 3.6 -2.3 0.6 -0.5 -1.9 3.2 -20.0 -5.9 18.7 19.3 9.5 COFFEE -2.6 -20.0 -20.0 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 12.2 -12.4 -1.7 -5.6 -13.1 -14.2 1.6 4.7 5.9 6.6 -20.0 -20.0 -0.4 -9.2 -18.7 13.3 -0.0 -5.5 1.5 -4.3 -0.6 -1.6 -3.9 -11.2 18.6 -14.8 -20.0 -20.0 COPPER 10.2 20.0 11.7 2.4 0.4 0.3 1.5 -0.3 3.3 -7.2 -9.7 -2.7 -10.2 1.6 2.9 -0.6 0.1 0.2 0.1 4.5 -4.6 -2.2 -10.2 4.3 17.9 -0.0 2.7 0.1 -1.1 0.8 -2.8 3.4 2.5 -4.9 -1.9 5.2 4.8 CORN -16.6 -4.8 17.4 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 2.7 1.7 -9.0 5.5 -11.4 9.2 17.8 13.6 15.4 13.6 -0.6 6.9 -4.4 16.4 -7.1 -16.5 -0.0 -2.3 -1.2 2.5 -4.3 8.7 -5.5 1.7 6.9 -18.5 -3.6 12.5 COTTON2 12.1 -7.2 -20.0 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -9.6 -11.6 -2.2 -0.2 0.9 -9.8 4.0 17.7 7.8 13.9 -13.0 -15.4 -8.5 -3.8 -6.9 -3.5 -0.0 -3.3 -0.0 -3.4 -0.5 1.4 -0.9 7.4 0.2 20.0 -6.8 -16.7 CRUDE_W -5.7 6.0 -8.4 -3.4 -10.1 -0.7 -8.6 6.0 -5.6 -14.0 -5.1 -14.4 3.8 1.1 4.6 7.7 13.9 8.8 11.4 -0.3 -0.6 -11.8 5.8 -4.4 4.4 -0.0 0.3 -7.1 1.4 -6.1 6.9 -2.0 -20.0 10.2 11.9 12.0 7.6 DAX 20.0 20.0 9.3 2.3 -0.1 -0.7 2.8 -1.9 4.2 2.8 4.3 14.2 -6.6 15.8 13.3 -4.1 -1.5 -3.4 -2.5 20.0 9.4 19.0 -5.2 20.0 -8.7 -0.0 5.0 0.3 1.8 3.2 -1.0 5.7 -1.8 3.0 20.0 20.0 20.0 DOW 19.7 20.0 3.5 2.3 -0.1 -0.7 2.8 -1.9 4.2 -3.0 2.9 11.5 -3.4 15.0 11.4 -5.1 -1.7 -4.5 -3.5 19.2 6.3 12.3 -1.8 20.0 -4.3 -0.0 4.2 -0.4 1.2 2.4 -0.3 5.1 -2.9 2.0 3.9 19.1 13.5 EUR 20.0 20.0 19.2 1.5 -0.1 -2.3 2.7 -4.4 4.0 2.4 -5.9 13.3 -12.2 14.0 10.0 -6.9 -8.3 -7.6 -8.1 10.9 -3.8 10.1 -15.2 17.0 3.8 -0.0 3.0 -0.4 -2.6 3.1 -7.4 5.2 -11.1 1.1 1.4 7.3 6.9 EUROSTX 20.0 20.0 7.9 2.3 -0.1 -0.7 2.8 -1.9 4.2 9.4 6.9 15.0 -4.8 16.2 13.5 -1.0 2.5 -0.5 0.6 20.0 11.9 20.0 -0.2 20.0 -14.3 -0.0 5.1 1.2 2.2 3.8 -0.1 5.9 4.2 8.7 20.0 20.0 20.0 FEEDCOW 4.6 4.7 -8.9 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -8.0 -2.2 -5.1 -2.2 4.5 -5.8 -20.0 -20.0 -19.2 -20.0 -2.6 -4.1 -4.4 -3.0 -1.0 -6.3 -0.0 -1.6 -2.4 -2.8 -0.8 -1.9 0.4 -20.0 20.0 1.7 8.8 -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 -2.6 -3.6 -3.6 -5.0 -0.8 -7.2 5.8 -5.5 -10.2 2.9 -14.5 10.7 -9.8 -1.5 20.0 20.0 20.0 20.0 -6.0 5.9 -20.0 20.0 -17.2 -4.8 -0.0 -2.5 -5.1 1.5 -8.2 7.2 -6.5 0.0 -11.8 -11.1 3.7 14.3 GASOILINE -14.8 3.0 -14.6 -3.6 -5.0 -0.8 -7.2 5.8 -5.5 -9.4 -7.8 -13.4 4.4 -7.2 -1.6 9.2 20.0 19.7 20.0 -5.2 -1.5 -19.4 9.8 -11.9 -4.1 -0.0 -1.0 -4.2 1.6 -7.1 9.6 -4.2 2.8 2.6 4.8 8.2 3.9 GAS_US 18.8 -10.3 -20.0 -3.6 -5.0 -0.8 -7.2 5.8 -5.5 4.6 -6.6 8.5 1.8 6.8 -8.1 -11.9 -11.4 -18.7 -15.1 -4.8 -6.8 16.0 2.7 9.4 -10.5 -0.0 0.5 8.1 0.5 10.2 4.7 5.7 -20.0 20.0 20.0 0.6 8.2 GBP 20.0 20.0 15.8 1.5 -0.1 -2.3 2.7 -4.4 4.0 1.0 -4.6 12.9 -9.8 14.4 7.2 -1.8 -1.4 -1.7 -1.7 9.1 -4.4 12.0 -12.7 16.3 15.2 -0.0 0.7 0.3 -5.3 3.6 -8.6 4.5 0.3 11.0 -8.3 4.8 -11.3 GOLD_micro 20.0 17.9 -1.4 2.4 0.4 0.3 1.5 -0.3 3.3 -8.6 -9.9 8.7 -11.2 9.2 1.4 -10.0 -7.8 -9.9 -9.2 6.3 -5.7 6.3 -9.8 12.7 10.8 -0.0 1.9 -0.6 -1.4 1.6 -2.3 4.0 -12.1 -2.6 8.3 1.4 -8.2 HEATOIL -18.4 -1.5 -11.8 -3.6 -5.0 -0.8 -7.2 5.8 -5.5 -6.8 2.0 -12.7 9.8 -4.7 1.1 20.0 20.0 20.0 20.0 -3.0 5.5 -18.8 17.0 -12.6 -14.8 -0.0 -0.9 -4.1 4.3 -8.4 13.1 -5.6 8.6 -1.1 -2.4 8.5 17.2 JPY 20.0 20.0 10.4 1.5 -0.1 -2.3 2.7 -4.4 4.0 13.5 -10.6 12.7 -14.4 11.9 -3.1 -11.1 -10.0 -12.1 -11.6 3.6 -13.1 14.8 -20.0 15.3 17.6 -0.0 1.1 2.8 -4.6 4.6 -9.1 4.9 -15.4 6.0 14.9 -5.5 -7.7 LEANHOG -3.3 15.7 -1.7 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -14.0 -2.5 -8.5 -0.4 8.8 8.9 -20.0 20.0 11.6 20.0 4.6 3.4 -17.1 4.0 -2.4 2.1 -0.0 0.9 -12.9 0.5 -9.6 1.3 -2.2 20.0 -17.8 -10.6 20.0 0.0 LIVECOW -4.1 10.9 8.1 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -5.0 5.7 2.7 -1.8 5.9 6.6 -20.0 -20.0 -20.0 -20.0 6.3 4.7 -0.0 0.4 4.2 -16.9 -0.0 3.2 -1.1 3.1 0.8 2.2 2.5 -20.0 20.0 -4.8 19.7 8.9 MXP 7.7 15.1 11.8 1.5 -0.1 -2.3 2.7 -4.4 4.0 14.0 16.1 15.1 15.3 15.7 16.2 19.3 20.0 19.1 19.6 20.0 18.4 14.6 16.4 18.7 -20.0 -0.0 5.9 4.1 4.5 4.5 3.4 5.8 20.0 14.0 2.0 13.2 20.0 NASDAQ 18.1 12.2 -6.5 2.3 -0.1 -0.7 2.8 -1.9 4.2 -11.6 -11.0 8.9 -12.2 9.2 -7.8 -4.4 -3.0 -4.3 -3.9 -2.3 -10.5 1.4 -13.2 4.5 12.2 -0.0 -0.9 -1.5 -4.6 1.6 -4.9 2.4 -4.3 -8.6 -8.8 -18.5 -10.1 NIKKEI 11.7 12.7 -0.0 2.3 -0.1 -0.7 2.8 -1.9 4.2 -7.9 6.4 8.7 1.2 13.3 6.5 4.3 8.4 6.0 8.1 9.8 5.7 4.3 2.6 10.8 -10.9 -0.0 3.2 -2.8 0.3 1.7 -0.9 4.5 16.1 -1.2 -6.0 -3.0 1.8 NZD 20.0 20.0 1.5 1.5 -0.1 -2.3 2.7 -4.4 4.0 4.4 -6.6 13.2 -10.8 14.5 3.0 -1.1 0.5 -0.9 -0.3 11.2 -4.5 14.9 -12.6 20.0 3.6 -0.0 2.6 0.9 -1.9 3.9 -4.2 5.4 3.2 9.4 9.3 11.7 1.0 OAT 20.0 20.0 -1.9 -1.2 -0.9 -5.0 2.1 -6.9 2.4 1.5 -9.0 10.5 -12.2 11.7 -6.1 14.2 12.4 14.4 14.1 0.9 -13.5 13.8 -20.0 13.5 10.1 -0.0 0.0 2.0 -5.7 4.3 -9.8 4.3 20.0 16.9 3.0 11.4 -0.4 OJ -17.7 12.1 16.0 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -3.8 13.8 0.1 14.0 7.8 12.3 16.2 11.9 16.9 15.9 19.8 20.0 2.1 20.0 9.9 -20.0 -0.0 5.2 -3.2 7.2 -1.9 7.3 1.3 3.0 15.7 -0.1 20.0 20.0 PALLAD 3.3 -15.1 -3.5 2.4 0.4 0.3 1.5 -0.3 3.3 -14.0 -10.4 -10.7 -6.5 -11.4 -9.5 -1.6 -1.2 -1.7 -1.5 -11.2 -7.9 -16.5 -6.1 -13.6 0.5 -0.0 -3.4 -4.3 -2.1 -4.9 -1.2 -4.1 0.0 -20.0 -20.0 -20.0 -5.9 PLAT 9.4 19.6 16.5 2.4 0.4 0.3 1.5 -0.3 3.3 4.5 5.2 4.1 -4.4 8.5 11.1 0.4 -0.2 0.3 0.1 14.4 7.9 4.8 -0.3 11.6 -1.8 -0.0 4.9 3.5 2.0 3.9 -0.9 5.1 2.2 11.9 -2.6 14.3 12.5 REDWHEAT -10.7 -4.8 -0.1 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -14.0 -9.8 -15.3 -3.6 -14.5 1.2 4.0 -0.5 2.2 1.0 -5.8 -4.2 -16.5 1.2 -11.6 -12.4 -0.0 -1.5 -7.7 1.3 -8.3 5.5 -5.3 -20.0 -12.0 -17.1 -4.9 8.1 ROBUSTA -2.1 -20.0 -20.0 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 13.7 -11.6 4.0 -2.2 -12.9 -14.3 10.3 6.8 8.2 7.2 -20.0 -20.0 2.8 -5.5 -15.8 4.0 -0.0 -4.7 2.2 -3.6 0.7 -1.0 -2.7 -9.3 20.0 -3.0 -20.0 -14.1 RUSSELL 8.8 15.5 1.6 2.3 -0.1 -0.7 2.8 -1.9 4.2 -11.3 -4.2 5.2 -10.3 10.4 -0.8 -4.0 -2.0 -3.7 -3.1 4.7 -1.9 0.6 -7.1 6.3 -2.5 -0.0 2.3 -2.5 -0.5 -0.2 -2.1 2.8 -2.7 -13.4 -16.0 -6.1 5.8 SILVER-mini 14.2 16.6 17.6 2.4 0.4 0.3 1.5 -0.3 3.3 -2.5 -6.7 5.4 -9.3 9.1 8.9 -4.0 -3.2 -4.0 -3.7 10.3 0.8 4.0 -7.4 11.0 16.1 -0.0 3.8 1.1 -0.3 2.4 -3.7 4.6 -3.5 6.8 4.4 7.8 6.2 SOYBEAN 0.8 5.6 2.5 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 12.2 -0.5 6.8 4.0 7.9 9.3 16.6 20.0 17.8 20.0 4.7 2.8 7.3 6.4 5.8 -18.7 -0.0 4.5 6.9 5.7 5.8 10.5 4.5 18.7 13.0 6.0 11.6 10.9 SOYMEAL 1.3 0.8 2.2 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 9.1 -1.2 7.9 7.1 7.9 -0.1 10.6 14.4 12.9 14.6 2.1 2.4 6.9 5.9 4.1 -12.0 -0.0 2.5 4.7 4.3 5.1 8.3 3.0 4.2 20.0 -0.8 7.0 9.3 SOYOIL -1.6 20.0 7.3 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 10.2 4.7 2.6 6.6 10.7 12.0 20.0 20.0 20.0 20.0 18.4 14.0 8.3 13.7 14.1 -20.0 -0.0 5.3 3.2 4.7 3.1 5.1 4.2 18.3 5.8 19.8 20.0 20.0 SP400 16.6 20.0 1.5 2.3 -0.1 -0.7 2.8 -1.9 4.2 -3.8 -1.3 10.7 -6.3 13.5 4.9 -0.3 -1.1 -0.3 -0.6 10.7 1.9 7.9 -3.3 14.4 -6.4 -0.0 3.8 -0.9 1.0 2.2 -0.2 4.9 0.0 -6.6 -2.1 3.1 10.9 SP500 18.7 18.2 -3.9 2.3 -0.1 -0.7 2.8 -1.9 4.2 -10.3 -6.8 10.8 -8.9 12.9 -1.3 -4.7 -2.9 -4.4 -3.8 5.6 -4.0 6.5 -7.6 11.5 7.9 -0.0 2.0 -0.7 -2.1 2.6 -3.5 4.5 -4.1 -3.4 -4.1 -4.5 -0.0 SUGAR11 17.7 16.3 6.8 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -10.2 2.4 3.5 -0.7 9.0 9.2 20.0 20.0 20.0 20.0 14.5 7.5 1.4 3.0 13.1 -12.2 -0.0 4.9 0.0 2.8 2.3 1.5 5.1 20.0 -1.4 20.0 20.0 20.0 US10 20.0 9.3 -10.7 -1.2 -0.9 -5.0 2.1 -6.9 2.4 3.4 -11.5 13.1 -13.7 10.4 -9.0 -5.2 1.6 -4.1 -2.3 -6.0 -20.0 10.9 -20.0 9.1 -5.7 -0.0 -1.6 0.7 -6.0 3.5 -8.2 3.0 -2.6 -2.0 5.0 1.0 -1.4 US10U 20.0 7.8 -11.5 -1.2 -0.9 -5.0 2.1 -6.9 2.4 4.6 -11.5 13.5 -13.5 9.7 -8.9 0.1 4.9 0.4 1.8 -6.0 -20.0 12.6 -20.0 9.9 -6.6 -0.0 -1.5 1.1 -5.7 4.1 -7.5 3.3 3.8 2.6 6.1 -0.3 -0.2 US20 20.0 7.6 -14.3 -1.2 -0.9 -5.0 2.1 -6.9 2.4 5.7 -11.2 14.3 -13.4 9.5 -8.3 1.1 2.8 1.5 2.0 -6.6 -20.0 17.5 -20.0 12.6 -5.5 -0.0 -1.7 2.0 -5.4 5.1 -6.4 3.5 2.0 13.7 13.8 -5.5 -3.6 US30 20.0 10.0 -10.2 -1.2 -0.9 -5.0 2.1 -6.9 2.4 6.7 -12.2 13.7 -14.6 8.1 -8.5 -1.5 0.2 -1.4 -0.9 -7.6 -20.0 17.6 -20.0 11.0 -2.1 -0.0 -1.9 3.1 -5.8 6.0 -7.4 3.6 -2.7 18.9 9.5 -8.8 1.2 US5 20.0 10.0 -8.0 -1.2 -0.9 -5.0 2.1 -6.9 2.4 -3.5 -11.6 9.7 -14.0 8.8 -9.2 -6.6 2.6 -5.3 -2.8 -7.6 -20.0 7.4 -20.0 6.3 -3.7 -0.0 -2.0 0.2 -6.5 2.4 -9.5 2.3 -2.0 -9.2 1.1 -0.1 -2.6 VIX -12.8 -14.7 -0.7 -4.0 -4.4 -2.1 -5.9 -1.4 -5.8 -3.6 -9.8 -8.6 -8.6 -13.8 -9.8 -17.9 -17.9 -10.8 -12.5 -13.7 -8.1 -14.7 -6.6 -18.4 NaN -0.0 -4.7 -8.7 -2.3 -10.1 -1.8 -7.8 NaN NaN NaN NaN NaN WHEAT -18.5 -6.8 -3.2 -2.4 -5.0 -2.8 -4.4 0.1 -2.6 -14.1 -10.9 -15.8 -6.3 -15.2 -0.0 -5.0 -3.9 -4.2 -4.1 -11.2 -8.8 -20.0 -2.8 -18.7 -10.7 -0.0 -3.8 -7.8 -0.6 -10.1 3.6 -7.9 -20.0 -14.8 -20.0 -8.9 1.4 End of report for caleb_strategy_v1