******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221201_204253 produced at 2022-12-01 21:35:15.296409 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.14 -0.22 0.00 8682884.99 -8682884.99 -0.14 -0.15 -25.24 999999999.0 -16 -17 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.00 21283323.61 -21283323.61 -0.11 -0.11 -5.71 999999999.0 -5 -5 caleb_strategy_v1 US10U False False 0.04 0.00 -0.11 0.00 40952066.47 -40952066.47 0.00 0.00 -2.77 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.11 0.00 37127665.85 -37127665.85 -0.22 -0.22 -2.96 999999999.0 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.09 -0.08 0.00 31385723.57 -31385723.57 -0.09 -0.09 -2.70 999999999.0 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.00 38820871.15 -38820871.15 0.00 0.00 -2.14 999999999.0 0 0 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.06 0.00 45309532.99 -45309532.99 -0.09 -0.09 -1.26 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.13 -0.05 0.00 43478521.07 -43478521.07 -0.13 -0.09 -1.10 999999999.0 -3 -2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.00 0.00 0.00 0.00 0.00 -1.81 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.09 -0.05 0.00 46694008.75 -46694008.75 -0.09 -0.05 -1.06 999999999.0 -2 -1 caleb_strategy_v1 JPY False False 0.03 -0.09 -0.03 0.00 31082335.36 -31082335.36 -0.09 -0.06 -1.11 999999999.0 -3 -2 caleb_strategy_v1 EUR False False 0.04 0.00 -0.02 0.00 44192124.32 -44192124.32 0.00 0.00 -0.39 999999999.0 0 0 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.00 25428204.74 -25428204.74 -0.05 -0.05 -0.64 999999999.0 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.00 23474555.61 -23474555.61 0.00 0.00 -0.36 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.00 81914815.63 -81914815.63 0.00 -0.08 -0.10 999999999.0 0 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.00 8477777.48 -8477777.48 0.00 0.00 -1.04 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.04 -0.01 0.00 3219504.37 -3219504.37 -0.04 -0.07 -4.42 999999999.0 -12 -21 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.00 64267022.80 -64267022.80 0.00 0.00 -0.11 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.00 6096821.02 -6096821.02 0.00 0.00 -1.73 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.00 6317311.60 -6317311.60 0.00 0.00 -0.84 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.00 15378790.89 -15378790.89 -0.02 -0.02 -0.37 999999999.0 -1 -1 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.00 25990541.19 -25990541.19 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.00 14071230.46 -14071230.46 -0.01 -0.01 -0.59 999999999.0 -1 -1 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.00 10353656.66 -10353656.66 0.02 0.02 0.25 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.00 0.00 23223298.90 -23223298.90 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.00 10014374.64 -10014374.64 0.00 0.00 -0.32 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.00 14461789.36 -14461789.36 0.00 0.00 -0.03 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.00 21786264.34 -21786264.34 0.00 0.00 -0.16 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.00 0.00 69595545.23 -69595545.23 0.00 0.07 0.00 999999999.0 0 1 caleb_strategy_v1 SP400 False False 0.09 0.09 0.00 0.00 88059495.07 -88059495.07 0.09 0.18 0.02 999999999.0 1 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.00 581821.66 -581821.66 0.00 0.00 4.69 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.07 0.01 0.00 34392018.67 -34392018.67 0.07 0.03 0.35 999999999.0 2 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.00 4296205.07 -4296205.07 0.00 0.00 1.23 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.00 21553381.85 -21553381.85 0.04 0.04 0.40 999999999.0 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.00 14388292.50 -14388292.50 0.00 0.00 0.85 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.06 0.06 0.01 0.00 56640930.54 -56640930.54 0.06 0.06 0.15 999999999.0 1 1 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.00 14392072.97 -14392072.97 0.00 0.00 0.97 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.02 0.01 0.00 5900259.65 -5900259.65 0.02 0.00 1.29 999999999.0 3 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.00 17858028.04 -17858028.04 0.00 0.00 0.50 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.05 0.01 0.00 25811499.42 -25811499.42 0.05 0.08 0.56 999999999.0 2 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.00 5234918.85 -5234918.85 0.01 0.01 3.64 999999999.0 2 2 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.00 32377076.58 -32377076.58 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.00 7508029.12 -7508029.12 0.02 0.02 2.73 999999999.0 3 3 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.00 19100637.76 -19100637.76 0.00 0.00 0.80 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.02 0.07 0.03 0.00 24364801.86 -24364801.86 0.07 0.02 1.06 999999999.0 3 1 caleb_strategy_v1 LEANHOG False False 0.01 0.02 0.03 0.00 11708220.91 -11708220.91 0.02 0.01 2.46 999999999.0 2 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.00 32184788.28 -32184788.28 0.00 0.00 0.98 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.03 0.00 14217369.56 -14217369.56 0.06 0.06 2.11 999999999.0 4 4 caleb_strategy_v1 MXP False False 0.01 0.00 0.03 0.00 8838424.86 -8838424.86 0.00 0.00 3.59 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.04 0.00 45975670.94 -45975670.94 0.05 0.05 0.92 999999999.0 1 1 caleb_strategy_v1 BTP False False 0.04 0.08 0.05 0.00 41652183.21 -41652183.21 0.08 0.12 1.28 999999999.0 2 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.00 48715226.02 -48715226.02 0.00 0.00 1.23 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.09 0.00 23899299.10 -23899299.10 0.02 0.05 3.91 999999999.0 1 2 caleb_strategy_v1 BUND False False 0.05 0.05 0.17 0.00 50620270.64 -50620270.64 0.05 0.10 3.41 999999999.0 1 2 caleb_strategy_v1 NIKKEI True False 0.01 0.06 0.17 0.06 0.06 0.06 0.06 0.06 24.18 0.0 8 8 caleb_strategy_v1 BOBL False False 0.04 0.17 0.42 0.00 42852720.77 -42852720.77 0.17 0.17 9.74 999999999.0 4 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 11.2 Shocked risk 35.2 Sum abs risk 34.9 Leverage 2.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2925294.99, 'annual_cash_vol_target': 731323.7475, 'daily_cash_vol_target': 45707.73421875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0066 0.6794 0.9765 15.6236 BITCOIN 987.8298 17020.0000 5.8039 92.8630 BOBL 0.3856 119.2200 0.3234 5.1749 BTP 1.0404 115.8800 0.8978 14.3653 BUND 0.8389 140.8300 0.5957 9.5307 BUXL 2.1262 157.5800 1.3493 21.5881 CAC 59.8850 6778.5000 0.8835 14.1353 CAD 0.0046 0.7438 0.6127 9.8028 CANOLA 9.2254 843.9000 1.0932 17.4909 CHF 0.0078 1.0603 0.7327 11.7236 COCOA 30.3286 2480.0000 1.2229 19.5669 COFFEE 0.0386 1.6995 2.2698 36.3162 COPPER 0.0702 3.7885 1.8524 29.6382 CORN 4.7130 605.7500 0.7780 12.4487 COTTON2 0.0212 0.8461 2.5021 40.0333 CRUDE_W 1.4201 76.0300 1.8679 29.8856 DAX 134.7516 14564.0000 0.9252 14.8038 DOW 358.2160 34520.0000 1.0377 16.6033 EUR 0.0075 1.0342 0.7229 11.5663 EUROSTX 38.0094 4004.0000 0.9493 15.1886 FEEDCOW 1.4286 183.6250 0.7780 12.4481 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.2854 941.5000 2.0484 32.7739 GASOILINE 0.0524 2.3954 2.1862 34.9799 GAS_US 0.2245 6.8670 3.2687 52.2985 GBP 0.0115 1.2081 0.9488 15.1803 GOLD_micro 16.2608 1783.5000 0.9117 14.5878 HEATOIL 0.0657 3.2022 2.0529 32.8461 JPY 0.0001 0.0073 0.8415 13.4633 LEANHOG 1.3764 85.6250 1.6075 25.7204 LIVECOW 0.8720 155.6500 0.5602 8.9638 MXP 0.0003 0.0517 0.5829 9.3267 NASDAQ 206.5981 11981.2500 1.7243 27.5895 NIKKEI 259.3125 28365.0000 0.9142 14.6272 NZD 0.0060 0.6305 0.9441 15.1054 OAT 0.8856 135.5300 0.6534 10.4546 OJ 0.0350 1.9530 1.7922 28.6748 PALLAD 44.7828 1880.0000 2.3821 38.1130 PLAT 18.3698 1044.8000 1.7582 28.1314 REDWHEAT 14.6906 899.7500 1.6327 26.1238 ROBUSTA 23.9204 1848.0000 1.2944 20.7103 RUSSELL 28.7770 1883.6000 1.5278 24.4442 SILVER-mini 0.4443 22.3500 1.9880 31.8074 SOYBEAN 11.6649 1398.2500 0.8343 13.3480 SOYMEAL 4.8735 415.9000 1.1718 18.7486 SOYOIL 0.9198 70.1500 1.3112 20.9785 SP400 34.9969 2576.0000 1.3586 21.7372 SP500 53.6100 4071.7500 1.3166 21.0661 SUGAR11 0.0024 0.1961 1.2437 19.8990 US10 0.5252 113.5625 0.4625 7.3995 US10U 0.7238 119.7969 0.6042 9.6665 US20 1.0490 127.1875 0.8248 13.1965 US30 1.5974 136.5938 1.1694 18.7111 US5 0.3511 108.6094 0.3233 5.1726 VIX 0.5222 25.4000 2.0558 32.8929 WHEAT 12.1610 823.2500 1.4772 23.6352 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 679.35 0.98 663.37 1.00 663.37 45707.73 68.90 -1.38 -9.51 BITCOIN 17.02 5.80 98.78 1.00 98.78 45707.73 462.71 4.30 199.05 BOBL 1192.20 0.32 385.59 1.04 398.10 45707.73 114.81 11.75 134.96 BTP 1158.80 0.90 1040.40 1.04 1074.15 45707.73 42.55 14.91 63.43 BUND 1408.30 0.60 838.88 1.04 866.09 45707.73 52.77 8.95 47.21 BUXL 1575.80 1.35 2126.16 1.04 2195.13 45707.73 20.82 0.85 1.77 CAC 677.85 0.88 598.85 1.04 618.28 45707.73 73.93 5.11 37.77 CAD 743.85 0.61 455.74 1.00 455.74 45707.73 100.29 -3.57 -35.85 CANOLA 168.78 1.09 184.51 0.74 135.80 45707.73 336.58 3.98 134.08 CHF 1325.44 0.73 971.18 1.00 971.18 45707.73 47.06 -7.13 -33.54 COCOA 248.00 1.22 303.29 1.00 303.29 45707.73 150.71 -3.16 -47.57 COFFEE 637.31 2.27 1446.55 1.00 1446.55 45707.73 31.60 -3.96 -12.50 COPPER 947.12 1.85 1754.44 1.00 1754.44 45707.73 26.05 6.52 16.99 CORN 302.88 0.78 235.65 1.00 235.65 45707.73 193.96 1.41 27.45 COTTON2 423.05 2.50 1058.50 1.00 1058.50 45707.73 43.18 -0.49 -2.14 CRUDE_W 760.30 1.87 1420.13 1.00 1420.13 45707.73 32.19 -0.52 -1.66 DAX 145.64 0.93 134.75 1.04 139.12 45707.73 328.54 2.04 67.11 DOW 172.60 1.04 179.11 1.00 179.11 45707.73 255.20 1.78 45.34 EUR 1292.75 0.72 934.52 1.00 934.52 45707.73 48.91 -2.13 -10.41 EUROSTX 400.40 0.95 380.09 1.04 392.42 45707.73 116.48 2.97 34.55 FEEDCOW 918.12 0.78 714.31 1.00 714.31 45707.73 63.99 -15.73 -100.65 FTSE100 707.00 0.82 576.59 1.21 666.67 45707.73 68.56 -2.56 -17.57 GASOIL 941.50 2.05 1928.54 1.00 1928.54 45707.73 23.70 5.82 13.79 GASOILINE 1006.07 2.19 2199.51 1.00 2199.51 45707.73 20.78 4.08 8.47 GAS_US 686.70 3.27 2244.59 1.00 2244.59 45707.73 20.36 -11.70 -23.83 GBP 755.06 0.95 716.38 1.00 716.38 45707.73 63.80 4.90 31.25 GOLD_micro 178.35 0.91 162.61 1.00 162.61 45707.73 281.09 -2.76 -77.53 HEATOIL 1344.92 2.05 2760.97 1.00 2760.97 45707.73 16.55 7.83 12.96 JPY 909.25 0.84 765.09 1.00 765.09 45707.73 59.74 -2.87 -17.16 LEANHOG 342.50 1.61 550.58 1.00 550.58 45707.73 83.02 6.34 52.60 LIVECOW 622.60 0.56 348.80 1.00 348.80 45707.73 131.04 -16.21 -212.45 MXP 258.55 0.58 150.71 1.00 150.71 45707.73 303.28 9.67 293.13 NASDAQ 2396.25 1.72 4131.96 1.00 4131.96 45707.73 11.06 -1.73 -1.92 NIKKEI 28365.00 0.91 25931.25 0.01 186.99 45707.73 244.44 5.21 127.32 NZD 630.50 0.94 595.25 1.00 595.25 45707.73 76.79 3.26 25.03 OAT 1355.30 0.65 885.57 1.04 914.29 45707.73 49.99 12.17 60.83 OJ 292.95 1.79 525.02 1.00 525.02 45707.73 87.06 -2.08 -18.10 PALLAD 1880.00 2.38 4478.28 1.00 4478.28 45707.73 10.21 -4.32 -4.41 PLAT 522.40 1.76 918.49 1.00 918.49 45707.73 49.76 4.15 20.63 REDWHEAT 449.88 1.63 734.53 1.00 734.53 45707.73 62.23 -11.01 -68.53 ROBUSTA 184.80 1.29 239.20 1.00 239.20 45707.73 191.08 -3.39 -64.72 RUSSELL 94.18 1.53 143.88 1.00 143.88 45707.73 317.67 -2.68 -85.27 SILVER-mini 558.75 1.99 1110.77 1.00 1110.77 45707.73 41.15 8.72 35.90 SOYBEAN 699.12 0.83 583.25 1.00 583.25 45707.73 78.37 8.46 66.27 SOYMEAL 415.90 1.17 487.35 1.00 487.35 45707.73 93.79 3.82 35.82 SOYOIL 420.90 1.31 551.86 1.00 551.86 45707.73 82.82 11.19 92.67 SP400 2576.00 1.36 3499.69 1.00 3499.69 45707.73 13.06 0.24 0.31 SP500 2035.88 1.32 2680.50 1.00 2680.50 45707.73 17.05 0.06 0.10 SUGAR11 219.63 1.24 273.15 1.00 273.15 45707.73 167.33 12.01 200.90 US10 1135.62 0.46 525.19 1.00 525.19 45707.73 87.03 -6.41 -55.81 US10U 1197.97 0.60 723.76 1.00 723.76 45707.73 63.15 -3.01 -19.03 US20 1271.88 0.82 1049.02 1.00 1049.02 45707.73 43.57 -3.43 -14.96 US30 1365.94 1.17 1597.39 1.00 1597.39 45707.73 28.61 -4.42 -12.65 US5 1086.09 0.32 351.12 1.00 351.12 45707.73 130.18 -5.92 -77.08 VIX 254.00 2.06 522.17 1.00 522.17 45707.73 87.53 -15.30 -133.92 WHEAT 411.62 1.48 608.05 1.00 608.05 45707.73 75.17 -14.72 -110.62 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -9.505 0.006 2.5 -0.152 BITCOIN 199.049 0.009 2.5 4.690 BOBL 134.956 0.029 2.5 9.738 BTP 63.432 0.008 2.5 1.281 BUND 47.211 0.029 2.5 3.407 BUXL 1.771 0.034 2.5 0.149 CAC 37.773 0.011 2.5 1.062 CAD -35.850 0.007 2.5 -0.640 CANOLA 134.075 0.004 2.5 1.231 CHF -33.541 0.015 2.5 -1.255 COCOA -47.569 0.009 2.5 -1.036 COFFEE -12.501 0.005 2.5 -0.162 COPPER 16.990 0.011 2.5 0.464 CORN 27.446 0.004 2.5 0.248 COTTON2 -2.136 0.006 2.5 -0.032 CRUDE_W -1.664 0.053 2.5 -0.220 DAX 67.115 0.022 2.5 3.645 DOW 45.342 0.011 2.5 1.292 EUR -10.409 0.015 2.5 -0.390 EUROSTX 34.551 0.011 2.5 0.971 FEEDCOW -100.654 0.011 2.5 -2.705 FTSE100 -17.573 0.041 2.5 -1.812 GASOIL 13.792 0.029 2.5 0.984 GASOILINE 8.469 0.016 2.5 0.348 GAS_US -23.833 0.006 2.5 -0.359 GBP 31.255 0.007 2.5 0.558 GOLD_micro -77.533 0.009 2.5 -1.735 HEATOIL 12.963 0.029 2.5 0.925 JPY -17.164 0.026 2.5 -1.111 LEANHOG 52.601 0.019 2.5 2.457 LIVECOW -212.452 0.011 2.5 -5.709 MXP 293.127 0.005 2.5 3.589 NASDAQ -1.919 0.022 2.5 -0.104 NIKKEI 127.322 0.076 2.5 24.183 NZD 25.034 0.006 2.5 0.400 OAT 60.834 0.008 2.5 1.229 OJ -18.096 0.007 2.5 -0.316 PALLAD -4.408 0.010 2.5 -0.106 PLAT 20.632 0.010 2.5 0.496 REDWHEAT -68.531 0.002 2.5 -0.366 ROBUSTA -64.721 0.005 2.5 -0.839 RUSSELL -85.270 0.021 2.5 -4.417 SILVER-mini 35.902 0.009 2.5 0.803 SOYBEAN 66.267 0.024 2.5 3.907 SOYMEAL 35.824 0.024 2.5 2.112 SOYOIL 92.673 0.004 2.5 0.851 SP400 0.315 0.021 2.5 0.016 SP500 0.099 0.011 2.5 0.003 SUGAR11 200.900 0.005 2.5 2.726 US10 -55.807 0.015 2.5 -2.141 US10U -19.034 0.058 2.5 -2.773 US20 -14.963 0.029 2.5 -1.103 US30 -12.647 0.034 2.5 -1.062 US5 -77.079 0.015 2.5 -2.957 VIX -133.916 0.075 2.5 -25.236 WHEAT -110.622 0.002 2.5 -0.591 ==================== Position diags ==================== AUD 1.10 BITCOIN 10.90 BOBL 8.28 BTP 0.86 BUND 3.81 BUXL 1.75 CAC 2.08 CAD 1.79 CANOLA 3.09 CHF 1.76 COCOA 3.28 COFFEE 0.41 COPPER 0.71 CORN 1.75 COTTON2 0.65 CRUDE_W 4.25 DAX 17.84 DOW 7.27 EUR 1.83 EUROSTX 3.27 FEEDCOW 1.72 FTSE100 7.07 GASOIL 1.69 GASOILINE 0.85 GAS_US 0.31 GBP 1.14 GOLD_micro 6.29 HEATOIL 1.18 JPY 3.87 LEANHOG 3.88 LIVECOW 3.52 MXP 3.71 NASDAQ 0.60 NIKKEI 46.43 NZD 1.23 OAT 1.01 OJ 1.52 PALLAD 0.25 PLAT 1.20 REDWHEAT 0.33 ROBUSTA 2.48 RUSSELL 16.45 SILVER-mini 0.92 SOYBEAN 4.62 SOYMEAL 5.53 SOYOIL 0.76 SP400 0.68 SP500 0.49 SUGAR11 2.27 US10 3.34 US10U 9.20 US20 3.21 US30 2.40 US5 4.99 VIX 16.50 WHEAT 0.40 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.2 -0.3 -0.0 0.0 0 BITCOIN 4.7 3.6 5.8 NaN 0 BOBL 9.7 8.9 10.6 4.0 4 BTP 1.3 1.2 1.4 2.0 2 BUND 3.4 3.0 3.8 1.0 1 BUXL 0.1 -0.0 0.3 1.0 1 CAC 1.1 0.9 1.3 3.0 3 CAD -0.6 -0.8 -0.5 -2.0 -2 CANOLA 1.2 0.9 1.5 NaN 0 CHF -1.3 -1.4 -1.1 -2.0 -2 COCOA -1.0 -1.4 -0.7 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.5 0.0 0 CORN 0.2 0.1 0.4 2.0 2 COTTON2 -0.0 -0.1 0.0 NaN 0 CRUDE_W -0.2 -0.6 0.2 0.0 0 DAX 3.6 1.9 5.4 2.0 2 DOW 1.3 0.6 2.0 3.0 3 EUR -0.4 -0.6 -0.2 0.0 0 EUROSTX 1.0 0.6 1.3 0.0 0 FEEDCOW -2.7 -2.9 -2.5 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.0 0.8 1.2 0.0 0 GASOILINE 0.3 0.3 0.4 2.0 2 GAS_US -0.4 -0.4 -0.3 0.0 0 GBP 0.6 0.4 0.7 2.0 2 GOLD_micro -1.7 -2.4 -1.1 0.0 0 HEATOIL 0.9 0.8 1.0 1.0 1 JPY -1.1 -1.5 -0.7 -3.0 -3 LEANHOG 2.5 2.1 2.8 2.0 2 LIVECOW -5.7 -6.1 -5.4 -5.0 -5 MXP 3.6 3.2 4.0 NaN 0 NASDAQ -0.1 -0.2 -0.0 0.0 0 NIKKEI 24.2 19.5 28.8 8.0 8 NZD 0.4 0.3 0.5 2.0 2 OAT 1.2 1.1 1.3 0.0 0 OJ -0.3 -0.5 -0.2 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 -0.8 -1.1 -0.6 0.0 0 RUSSELL -4.4 -6.1 -2.8 -12.0 -12 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.9 3.4 4.4 1.0 1 SOYMEAL 2.1 1.6 2.7 4.0 4 SOYOIL 0.9 0.8 0.9 0.0 0 SP400 0.0 -0.1 0.1 1.0 1 SP500 0.0 -0.0 0.1 NaN 0 SUGAR11 2.7 2.5 3.0 3.0 3 US10 -2.1 -2.5 -1.8 NaN 0 US10U -2.8 -3.7 -1.9 0.0 0 US20 -1.1 -1.4 -0.8 -3.0 -3 US30 -1.1 -1.3 -0.8 -2.0 -2 US5 -3.0 -3.5 -2.5 -6.0 -6 VIX -25.2 -26.9 -23.6 -16.0 -16 WHEAT -0.6 -0.6 -0.6 -1.0 -1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.1 -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 -0.0 -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 0.1 -0.0 0.0 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 4.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 0.0 -0.4 -0.3 -0.3 BOBL 0.2 0.2 -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 -0.2 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 0.7 -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 -0.0 -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 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.1 -0.1 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 -1.6 -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 -0.4 -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 0.9 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 -0.3 -0.0 -0.2 -0.1 0.1 CHF 0.2 0.3 0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.0 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 0.1 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 -0.1 0.0 -0.0 -0.0 -1.5 0.1 -0.2 -0.3 -0.3 COPPER 0.1 0.3 0.2 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.0 0.1 -0.0 0.0 0.0 0.0 0.1 -0.0 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 -2.4 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.3 -0.0 -0.3 -0.1 0.2 COTTON2 0.0 -0.0 -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 -0.1 -0.4 CRUDE_W -0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 -0.0 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 0.0 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 -1.4 -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 0.2 0.3 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 0.1 -0.1 0.1 0.3 -0.4 -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 -0.4 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 0.2 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 0.2 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 0.1 0.1 -0.2 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.9 -0.2 -0.3 0.1 0.0 GASOIL -0.2 -0.1 -0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.0 0.1 -0.0 0.3 -0.0 -0.0 1.7 0.9 0.4 0.4 -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 0.0 -0.1 -0.2 0.0 0.2 GASOILINE -0.2 0.0 -0.3 -0.1 0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.2 -0.0 0.1 -0.0 -0.0 0.7 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 0.3 0.0 0.0 0.1 0.1 GAS_US 0.2 -0.1 -0.3 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.2 0.0 0.0 0.0 -0.2 -0.8 -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 -0.2 0.1 0.2 -0.1 -0.1 -0.0 -0.0 0.1 -0.0 0.0 -0.2 0.0 2.2 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 0.0 -0.2 0.1 -0.2 GOLD_micro 0.2 0.3 -0.0 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.0 0.1 -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 0.0 -0.0 -0.1 0.2 -0.1 0.0 0.0 -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 -0.2 0.0 -0.4 0.1 -0.1 -0.8 -0.4 -0.2 -0.2 0.1 -0.2 0.0 -0.3 0.0 2.3 -0.0 0.0 0.0 -0.1 0.0 -0.1 0.0 -1.9 0.0 0.3 -0.1 -0.1 LEANHOG -0.1 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 0.0 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 -0.0 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 -0.0 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 0.3 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 -0.1 -0.3 -0.2 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 -0.2 -0.1 0.0 NZD 0.2 0.3 0.1 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.1 0.1 -0.1 0.0 -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 -0.1 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 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.1 1.1 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 0.0 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 1.1 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 0.2 -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 0.1 -0.0 0.1 0.0 0.1 0.0 -0.1 0.0 0.3 0.0 -0.0 0.0 0.0 0.2 0.1 0.0 0.0 0.0 -0.4 -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 0.4 -0.0 0.1 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 -0.0 0.0 -0.0 0.0 -0.3 0.0 -0.1 -0.0 -0.3 0.8 0.3 0.2 0.2 -0.2 -0.2 0.0 -0.1 -0.0 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.2 0.0 0.0 -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 0.1 -0.0 -0.2 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 -0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.3 -0.2 -0.3 -0.1 0.1 SILVER-mini 0.1 0.3 0.4 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.0 0.3 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 3.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 0.1 SOYBEAN 0.0 0.1 0.1 -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 0.8 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 0.8 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 0.5 0.2 0.1 0.1 0.1 SOYOIL -0.0 0.3 0.2 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 0.0 0.1 0.0 0.2 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -2.9 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 2.5 0.1 0.3 0.3 0.3 SP400 0.2 0.3 0.0 0.0 0.0 -0.0 0.1 -0.0 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 -0.0 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 -0.0 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 -0.0 -0.1 -0.0 SUGAR11 0.1 0.2 0.1 -0.0 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 0.1 0.0 -0.0 0.0 0.2 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.0 0.0 -2.1 -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 0.2 -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 -0.4 0.1 -0.1 -0.1 -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 0.2 -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 0.0 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 0.2 -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 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.3 0.0 0.1 -0.1 -0.0 US30 0.2 0.2 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.4 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 -0.3 0.1 0.1 -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 -0.2 -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 -3.1 -1.4 -0.5 -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 -0.0 -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 19.6 -4.0 1.7 2.4 -2.2 3.4 -4.3 4.2 9.9 -8.5 12.2 -10.7 12.1 -1.4 -2.8 -1.8 -2.5 -2.2 3.7 -6.8 10.9 -10.5 11.8 0.9 -0.0 0.8 3.9 -3.4 3.9 -5.0 4.1 -0.3 -1.4 -2.9 -8.0 -4.1 BITCOIN -10.8 15.2 10.5 2.6 4.0 0.4 3.0 -0.3 3.7 12.6 -15.9 -9.6 -15.9 -10.3 -12.4 1.0 -1.1 0.5 -0.1 -10.9 -16.2 -2.8 -20.0 -8.9 20.0 -0.0 -5.1 1.5 -5.0 -2.1 -4.5 -4.8 1.3 9.6 -20.0 -20.0 -17.8 BOBL 20.0 11.2 -16.9 -1.0 0.8 -5.0 2.6 -7.0 2.6 10.2 -12.6 11.0 -12.9 4.5 -11.7 20.0 20.0 20.0 20.0 -8.3 -20.0 8.2 -20.0 4.0 10.6 -0.0 -2.5 3.6 -8.3 3.2 -12.4 2.0 20.0 7.5 -13.7 0.3 -6.7 BTP 20.0 20.0 6.1 -1.0 0.8 -5.0 2.6 -7.0 2.6 -2.5 -6.5 9.9 -11.7 12.7 -0.2 20.0 16.2 20.0 20.0 8.5 -7.3 12.7 -18.7 17.5 6.0 -0.0 2.4 0.7 -3.2 3.7 -7.9 5.2 20.0 8.3 5.2 20.0 14.5 BUND 20.0 15.8 -12.1 -1.0 0.8 -5.0 2.6 -7.0 2.6 4.5 -10.8 11.3 -12.6 10.4 -8.9 8.1 15.5 11.6 13.9 -3.7 -18.3 12.0 -20.0 9.9 8.5 -0.0 -1.0 2.8 -6.6 3.9 -10.2 3.4 20.0 10.4 -3.8 4.8 -6.0 BUXL 20.0 16.1 -2.5 -1.0 0.8 -5.0 2.6 -7.0 2.6 10.7 -8.9 13.7 -12.2 13.0 -4.9 4.7 -2.7 5.1 1.7 2.4 -15.0 20.0 -20.0 19.1 6.0 -0.0 0.5 4.4 -4.7 6.2 -7.5 5.3 -4.1 20.0 11.3 7.3 -0.3 CAC 20.0 20.0 5.2 2.5 3.4 -0.5 3.8 -1.8 4.5 11.4 8.7 14.8 -2.5 16.1 13.8 -0.2 4.0 0.8 2.0 20.0 11.4 18.8 3.1 20.0 -14.1 -0.0 4.9 3.6 2.2 4.2 0.4 5.7 6.8 4.9 14.0 20.0 14.1 CAD 13.5 12.4 -9.3 1.7 2.4 -2.2 3.4 -4.3 4.2 -3.5 -8.8 1.3 -11.0 6.3 -4.5 -2.0 -0.8 -1.7 -1.3 -1.6 -9.1 -4.1 -10.7 1.8 0.3 -0.0 -1.3 -2.9 -5.1 -1.9 -6.0 0.5 1.3 -18.6 -17.4 -9.9 -10.9 CANOLA -20.0 7.2 -6.1 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 5.3 -10.0 -8.1 -2.1 -7.6 2.4 12.2 13.5 10.2 9.5 -8.2 -8.6 -11.5 -0.8 -14.8 4.9 -0.0 -2.1 3.6 -0.7 -3.5 1.6 -4.9 -1.9 -20.0 -20.0 -4.1 7.0 CHF 20.0 18.0 8.0 1.7 2.4 -2.2 3.4 -4.3 4.2 4.2 -1.8 11.8 -7.9 11.6 5.6 -11.1 -11.3 -11.8 -12.0 9.5 -0.2 9.8 -6.1 15.2 -3.5 -0.0 2.7 1.0 -1.0 3.2 -3.7 4.9 -16.9 -7.2 10.3 -2.1 6.7 COCOA 13.3 14.0 5.1 -2.4 -5.4 -2.8 -4.6 0.1 -2.7 3.9 -4.5 4.0 -9.8 7.3 7.4 -0.2 -3.2 0.3 -1.1 9.1 0.6 5.6 -6.7 10.1 3.0 -0.0 3.5 -2.2 0.7 -0.9 -1.9 2.7 -20.0 -1.8 18.8 18.5 9.7 COFFEE 1.3 -20.0 -20.0 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 13.5 -12.4 3.5 -5.8 -12.2 -13.9 1.4 4.7 5.7 6.5 -20.0 -20.0 3.4 -9.5 -15.8 13.0 -0.0 -5.4 2.0 -4.4 0.2 -1.7 -3.4 -11.3 20.0 -12.3 -20.0 -20.0 COPPER 9.5 20.0 12.1 2.6 4.0 0.4 3.0 -0.3 3.7 7.3 -9.5 0.6 -10.1 3.0 3.5 -0.5 0.1 0.2 0.1 5.2 -3.8 5.5 -9.4 6.7 17.7 -0.0 3.1 5.6 -0.8 3.9 -2.6 4.4 2.5 4.1 -0.8 5.9 5.1 CORN -16.4 -5.8 16.7 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 -6.5 1.7 -10.9 5.5 -12.2 8.8 18.0 13.7 15.5 13.7 -1.2 6.4 -6.7 16.0 -7.8 -16.0 -0.0 -2.7 -5.0 2.2 -5.7 8.3 -6.0 1.9 -1.9 -18.7 -4.5 12.3 COTTON2 12.6 -4.4 -20.0 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 4.3 -11.5 0.9 -0.3 2.5 -9.5 4.0 17.6 7.7 13.8 -11.5 -14.3 -0.9 -3.7 -4.1 -3.5 -0.0 -2.8 4.7 -3.3 2.2 1.5 0.3 7.2 8.7 20.0 -3.3 -16.3 CRUDE_W -7.3 5.9 -7.7 -3.5 -4.3 -0.8 -6.9 5.8 -5.4 -2.1 -5.1 -11.5 3.8 -0.5 4.7 7.2 13.8 8.6 11.3 -0.3 -0.6 -6.7 5.7 -3.4 4.0 -0.0 0.3 0.3 1.4 -2.7 6.8 -1.3 -20.0 8.0 11.0 12.8 7.7 DAX 20.0 20.0 10.9 2.5 3.4 -0.5 3.8 -1.8 4.5 8.9 4.9 14.4 -6.3 15.9 13.6 -4.2 -1.6 -3.5 -2.6 20.0 9.9 18.3 -4.7 20.0 -9.0 -0.0 5.0 1.4 1.9 3.2 -0.9 5.5 -1.9 0.1 20.0 20.0 20.0 DOW 17.8 20.0 4.5 2.5 3.4 -0.5 3.8 -1.8 4.5 8.7 3.5 13.1 -3.1 15.4 12.0 -5.2 -1.7 -4.5 -3.5 19.5 6.9 15.6 -1.4 20.0 -4.4 -0.0 4.4 2.7 1.4 3.6 -0.2 5.4 -2.9 0.9 3.7 19.0 13.3 EUR 20.0 20.0 19.2 1.5 -0.1 -2.3 2.7 -4.4 4.0 2.1 -5.9 13.3 -12.2 14.0 10.0 -6.9 -8.3 -7.6 -8.1 10.9 -3.8 10.0 -15.2 16.9 3.8 -0.0 3.0 -0.4 -2.6 3.0 -7.4 5.2 -11.1 0.7 1.3 7.2 6.8 EUROSTX 20.0 20.0 9.1 2.5 3.4 -0.5 3.8 -1.8 4.5 11.5 7.3 15.0 -4.5 16.2 13.8 -1.0 2.4 -0.5 0.5 20.0 12.3 20.0 0.3 20.0 -14.7 -0.0 5.2 3.0 2.4 4.1 0.0 5.9 4.1 7.4 20.0 20.0 20.0 FEEDCOW 5.3 5.3 -8.6 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 0.5 -2.0 -0.9 -2.2 5.7 -5.4 -20.0 -20.0 -19.4 -20.0 -1.9 -3.7 1.1 -2.9 0.7 -6.8 -0.0 -1.1 5.0 -2.6 2.7 -1.8 1.7 -20.0 20.0 5.8 10.2 -12.5 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 -4.5 -6.7 -3.4 2.9 -0.8 -3.5 5.9 -4.5 4.3 2.6 -11.6 10.7 -9.7 -1.9 20.0 20.0 20.0 20.0 -5.6 5.2 -13.0 18.6 -14.0 -4.8 -0.0 -2.5 2.0 1.4 -5.0 7.2 -5.6 0.0 -10.6 -8.9 1.5 14.1 GASOILINE -14.2 3.1 -15.3 -3.4 2.9 -0.8 -3.5 5.9 -4.5 3.3 -7.9 -10.0 4.4 -6.5 -1.4 8.3 20.0 19.0 20.0 -4.7 -1.5 -10.2 9.3 -9.1 -4.3 -0.0 -0.6 4.4 1.7 -1.9 9.6 -2.4 2.4 5.8 2.5 8.3 3.9 GAS_US 18.0 -8.6 -20.0 -3.4 2.9 -0.8 -3.5 5.9 -4.5 -1.4 -6.6 6.2 1.7 6.5 -8.0 -9.6 -11.2 -17.6 -14.7 -4.4 -6.5 10.4 2.6 8.0 -10.7 -0.0 0.9 3.4 0.7 7.9 4.7 5.6 -20.0 20.0 20.0 2.1 8.0 GBP 20.0 20.0 16.7 1.7 2.4 -2.2 3.4 -4.3 4.2 8.3 -4.3 13.7 -9.6 14.8 7.8 -1.8 -1.4 -1.8 -1.7 9.8 -3.9 13.2 -12.5 16.8 15.3 -0.0 1.0 2.5 -5.1 4.1 -8.5 4.6 0.3 7.0 -7.9 4.0 -11.0 GOLD_micro 20.0 19.6 -0.3 2.6 4.0 0.4 3.0 -0.3 3.7 6.7 -9.6 10.2 -11.1 10.1 2.1 -10.1 -7.8 -9.9 -9.2 7.1 -5.1 9.6 -9.6 13.6 10.9 -0.0 2.2 2.4 -1.3 3.0 -2.2 4.4 -12.1 -3.5 8.2 0.9 -8.1 HEATOIL -18.1 -2.6 -12.5 -3.4 2.9 -0.8 -3.5 5.9 -4.5 5.7 1.8 -8.5 9.8 -4.2 1.2 20.0 20.0 20.0 20.0 -2.6 5.3 -9.5 16.5 -9.6 -14.8 -0.0 -0.7 3.5 4.4 -3.6 13.5 -4.1 8.7 -2.2 -1.4 7.6 17.2 JPY 20.0 20.0 10.5 1.7 2.4 -2.2 3.4 -4.3 4.2 13.9 -10.2 13.9 -14.3 12.8 -2.4 -11.1 -10.0 -12.1 -11.6 4.8 -12.5 16.7 -20.0 16.5 16.9 -0.0 1.4 3.8 -4.3 5.0 -8.9 5.1 -15.4 4.0 14.1 -4.9 -7.4 LEANHOG -5.3 14.1 -1.8 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 -9.8 -2.5 -8.7 -0.4 7.6 8.4 -20.0 20.0 10.4 20.0 3.6 3.0 -15.1 3.9 -3.7 2.0 -0.0 0.5 -7.0 0.4 -8.0 1.3 -2.8 20.0 -18.6 -8.3 20.0 -0.8 LIVECOW -3.6 10.8 8.3 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 -2.2 5.9 4.4 -1.7 6.3 6.9 -20.0 -20.0 -20.0 -20.0 6.4 4.9 2.3 0.5 4.7 -17.1 -0.0 3.4 2.5 3.3 2.3 2.3 3.0 -20.0 20.0 -0.0 20.0 9.1 MXP 7.5 15.4 11.9 1.7 2.4 -2.2 3.4 -4.3 4.2 11.4 16.1 14.4 15.3 15.6 16.1 19.4 20.0 19.2 19.6 20.0 18.7 13.7 16.7 18.6 -20.0 -0.0 6.0 2.9 4.6 4.2 3.4 5.7 20.0 4.5 -1.9 12.5 20.0 NASDAQ 20.0 12.5 -4.3 2.5 3.4 -0.5 3.8 -1.8 4.5 5.6 -10.6 11.5 -12.1 10.7 -7.3 -4.4 -3.0 -4.3 -3.9 -1.1 -9.4 6.8 -12.2 6.1 11.9 -0.0 -0.3 5.2 -4.2 4.6 -4.8 3.7 -4.3 -5.6 -5.4 -18.1 -10.3 NIKKEI 9.9 12.9 -0.1 2.5 3.4 -0.5 3.8 -1.8 4.5 4.9 6.7 10.5 1.3 13.7 6.9 4.3 8.4 6.0 8.0 9.7 5.7 6.5 2.6 10.7 -10.9 -0.0 3.3 2.5 0.4 3.0 -0.8 4.7 16.0 -3.1 -7.2 -4.0 2.1 NZD 20.0 20.0 3.2 1.7 2.4 -2.2 3.4 -4.3 4.2 10.7 -6.0 14.1 -10.6 14.9 3.8 -1.1 0.5 -0.9 -0.4 12.0 -3.5 18.2 -11.8 20.0 3.5 -0.0 2.8 4.2 -1.7 4.8 -4.0 5.6 3.2 12.5 9.3 12.4 1.2 OAT 20.0 20.0 -1.1 -1.0 0.8 -5.0 2.6 -7.0 2.6 3.4 -8.7 10.9 -12.1 12.0 -5.7 13.9 12.4 14.3 14.0 1.8 -13.1 14.3 -20.0 14.2 10.1 -0.0 0.3 2.6 -5.5 4.3 -9.8 4.4 20.0 13.9 1.9 11.4 -0.5 OJ -17.8 10.8 16.5 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 -10.3 13.6 -2.5 14.0 6.7 11.9 15.5 11.9 16.6 15.8 18.9 20.0 -2.5 20.0 7.6 -20.0 -0.0 4.9 -4.1 7.2 -2.9 7.4 0.6 2.9 2.6 -3.9 20.0 20.0 PALLAD 3.0 -14.7 -3.7 2.6 4.0 0.4 3.0 -0.3 3.7 -9.6 -10.6 -10.0 -6.6 -11.5 -9.8 -1.5 -1.2 -1.7 -1.5 -11.3 -8.1 -12.5 -6.2 -13.0 0.9 -0.0 -3.4 -0.6 -2.1 -3.1 -1.3 -3.7 0.0 -20.0 -20.0 -20.0 -6.7 PLAT 7.7 19.6 17.4 2.6 4.0 0.4 3.0 -0.3 3.7 10.8 5.8 7.9 -4.1 10.0 11.7 0.3 -0.2 0.3 0.1 14.8 8.2 11.2 0.0 13.7 -2.2 -0.0 5.1 6.7 2.2 5.8 -0.7 5.9 2.2 17.9 -1.1 15.4 12.9 REDWHEAT -11.4 -5.3 0.1 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 -8.3 -9.9 -13.4 -3.7 -14.3 0.7 4.4 -0.4 2.4 1.2 -6.5 -4.6 -14.7 1.0 -12.0 -12.3 -0.0 -1.8 -3.6 1.1 -6.8 5.5 -5.4 -20.0 -9.7 -14.1 -6.0 8.2 ROBUSTA 2.5 -20.0 -20.0 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 14.0 -11.6 7.7 -2.4 -12.1 -14.0 10.9 6.9 8.5 7.4 -20.0 -19.8 6.6 -5.6 -12.6 3.7 -0.0 -4.6 3.4 -3.6 1.5 -1.0 -2.2 -9.0 20.0 0.2 -20.0 -14.6 RUSSELL 9.0 15.1 2.5 2.5 3.4 -0.5 3.8 -1.8 4.5 5.9 -3.8 8.5 -10.2 11.5 -0.3 -4.0 -2.0 -3.7 -3.1 5.2 -1.4 4.8 -6.8 7.4 -2.5 -0.0 2.6 3.2 -0.3 2.4 -2.0 3.6 -2.8 -11.3 -15.0 -6.8 5.1 SILVER-mini 12.0 17.6 20.0 2.6 4.0 0.4 3.0 -0.3 3.7 8.7 -6.2 9.2 -9.0 10.7 9.8 -4.0 -3.2 -4.0 -3.7 10.7 1.3 10.4 -6.7 12.7 16.0 -0.0 4.1 5.8 0.0 4.9 -3.4 5.4 -3.5 13.4 1.9 8.0 6.9 SOYBEAN 1.2 6.3 3.1 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 13.5 -0.3 9.8 4.1 9.5 10.0 17.2 20.0 18.0 20.0 5.4 3.1 8.8 6.6 7.1 -18.9 -0.0 4.8 6.2 5.7 6.2 10.3 5.2 18.7 19.4 4.8 12.8 11.5 SOYMEAL 2.4 1.4 1.6 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 12.3 -0.8 10.7 7.2 9.6 0.9 10.0 14.4 12.7 14.4 3.2 2.7 11.8 5.7 6.7 -12.4 -0.0 3.5 11.8 4.6 9.1 8.4 5.3 4.0 20.0 3.6 10.2 10.3 SOYOIL -3.2 20.0 9.7 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 5.3 4.8 0.6 6.7 10.3 11.9 20.0 20.0 20.0 20.0 17.6 13.8 4.8 13.6 12.5 -20.0 -0.0 5.2 0.3 4.8 2.0 5.2 3.9 18.3 12.1 13.2 20.0 20.0 SP400 16.4 19.9 2.3 2.5 3.4 -0.5 3.8 -1.8 4.5 8.4 -0.7 12.7 -6.2 14.2 5.6 -0.4 -1.1 -0.4 -0.6 11.3 2.4 11.2 -3.0 15.3 -6.4 -0.0 4.0 3.1 1.1 3.8 -0.1 5.3 0.0 -5.7 -1.2 2.4 10.5 SP500 19.1 18.3 -2.6 2.5 3.4 -0.5 3.8 -1.8 4.5 6.3 -6.3 12.7 -8.7 13.7 -0.6 -4.7 -2.9 -4.4 -3.8 6.4 -3.2 10.9 -7.0 12.7 7.8 -0.0 2.4 4.7 -1.7 4.9 -3.3 5.3 -4.1 -1.8 -2.0 -4.4 -0.3 SUGAR11 16.3 16.2 7.3 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 -5.2 2.8 3.8 -0.4 8.9 9.2 20.0 20.0 20.0 20.0 14.7 7.9 3.2 3.2 13.0 -12.8 -0.0 5.0 1.0 2.9 2.6 1.6 5.1 20.0 -2.9 20.0 20.0 20.0 US10 20.0 11.6 -9.7 -1.0 0.8 -5.0 2.6 -7.0 2.6 10.9 -11.3 14.2 -13.7 11.7 -8.5 -5.5 1.5 -4.2 -2.4 -4.9 -20.0 12.4 -20.0 10.1 -5.7 -0.0 -1.2 2.5 -5.8 4.1 -8.3 3.5 -2.6 -0.3 5.9 1.2 -1.2 US10U 20.0 9.7 -11.2 -1.0 0.8 -5.0 2.6 -7.0 2.6 10.5 -11.3 14.4 -13.4 11.1 -8.5 0.1 4.8 0.3 1.7 -5.0 -20.0 13.1 -20.0 10.6 -6.6 -0.0 -1.2 2.2 -5.6 4.3 -7.6 3.6 3.8 1.0 6.2 -0.2 -0.2 US20 20.0 9.7 -14.6 -1.0 0.8 -5.0 2.6 -7.0 2.6 8.1 -10.9 14.4 -13.3 10.7 -7.8 0.9 2.8 1.5 1.9 -5.6 -20.0 16.4 -20.0 13.1 -5.5 -0.0 -1.4 2.1 -5.2 4.8 -6.4 3.7 2.1 8.2 13.5 -5.3 -3.5 US30 20.0 12.0 -10.7 -1.0 0.8 -5.0 2.6 -7.0 2.6 4.8 -11.9 12.9 -14.5 9.0 -8.0 -1.5 0.2 -1.4 -0.9 -6.8 -20.0 14.7 -20.0 10.9 -2.1 -0.0 -1.6 1.9 -5.7 5.1 -7.4 3.6 -2.5 9.7 7.0 -8.9 1.3 US5 20.0 12.7 -5.8 -1.0 0.8 -5.0 2.6 -7.0 2.6 8.6 -11.3 12.0 -13.9 10.5 -8.7 -6.7 2.5 -5.3 -2.9 -6.2 -20.0 10.7 -20.0 7.9 -3.7 -0.0 -1.6 3.1 -6.3 3.7 -9.5 2.9 -2.1 -3.4 3.3 0.1 -2.2 VIX -13.1 -15.8 -0.5 -4.1 -6.5 -2.1 -6.5 -1.4 -5.9 -10.5 -10.2 -11.2 -8.8 -14.3 -10.6 -19.7 -18.1 -11.6 -12.9 -14.4 -8.5 -17.9 -6.7 -19.5 NaN -0.0 -5.0 -8.6 -2.4 -10.3 -1.7 -8.4 NaN NaN NaN NaN NaN WHEAT -19.0 -7.5 -3.3 -2.5 -2.5 -2.8 -3.7 0.1 -2.7 -10.0 -11.1 -14.6 -6.4 -15.0 -0.6 -5.1 -3.9 -4.3 -4.1 -12.0 -9.3 -20.0 -3.0 -18.6 -10.6 -0.0 -4.0 -3.2 -0.8 -7.8 3.4 -7.5 -20.0 -9.5 -20.0 -9.5 1.5 End of report for caleb_strategy_v1