******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221205_204315 produced at 2022-12-05 21:35:31.857778 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.15 -0.24 0.00 8536799.73 -8536799.73 -0.15 -0.15 -28.39 999999999.0 -17 -18 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.00 21408988.30 -21408988.30 -0.11 -0.11 -5.78 999999999.0 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.09 0.00 31819761.57 -31819761.57 -0.10 -0.10 -2.71 999999999.0 -3 -3 caleb_strategy_v1 US5 False False 0.04 -0.23 -0.09 0.00 37571258.62 -37571258.62 -0.23 -0.15 -2.42 999999999.0 -6 -4 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.00 39436536.48 -39436536.48 0.00 0.00 -1.81 999999999.0 0 0 caleb_strategy_v1 US10U False False 0.04 0.00 -0.06 0.00 41830533.39 -41830533.39 0.00 0.00 -1.53 999999999.0 0 0 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 CHF False False 0.05 -0.09 -0.05 0.00 45881004.39 -45881004.39 -0.09 -0.09 -1.14 999999999.0 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.03 0.00 44691520.72 -44691520.72 -0.09 -0.09 -0.73 999999999.0 -2 -2 caleb_strategy_v1 US30 False False 0.05 -0.05 -0.03 0.00 49071568.87 -49071568.87 -0.05 -0.05 -0.56 999999999.0 -1 -1 caleb_strategy_v1 JPY False False 0.03 -0.06 -0.02 0.00 32032322.73 -32032322.73 -0.06 -0.06 -0.66 999999999.0 -2 -2 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.00 25529668.89 -25529668.89 -0.05 -0.05 -0.61 999999999.0 -2 -2 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.00 13754210.03 -13754210.03 -0.01 -0.01 -0.61 999999999.0 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.08 -0.01 0.00 3248965.13 -3248965.13 -0.08 -0.08 -3.57 999999999.0 -24 -24 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.00 21134161.75 -21134161.75 0.00 0.00 -0.32 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.00 8653601.01 -8653601.01 0.00 0.00 -1.04 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.00 6223790.77 -6223790.77 0.00 0.00 -1.08 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.00 6345057.99 -6345057.99 0.00 0.00 -0.83 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.01 0.00 14960870.35 -14960870.35 -0.01 -0.01 -0.38 999999999.0 -1 -1 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.00 45223997.16 -45223997.16 0.00 0.00 -0.27 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.00 65340012.42 -65340012.42 0.00 0.00 -0.09 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.00 4241706.04 -4241706.04 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.08 -0.08 -0.00 0.00 82465141.86 -82465141.86 -0.08 -0.08 -0.06 999999999.0 -1 -1 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.00 0.00 26785282.70 -26785282.70 0.00 0.00 0.14 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.00 10271642.33 -10271642.33 0.02 0.02 0.20 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.00 0.00 23410069.12 -23410069.12 0.00 0.00 -0.09 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.00 582632.29 -582632.29 0.00 0.00 4.83 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.18 0.00 0.00 88380783.37 -88380783.37 0.18 0.27 0.03 999999999.0 2 3 caleb_strategy_v1 SP500 False False 0.07 0.07 0.00 0.00 69951945.48 -69951945.48 0.07 0.07 0.03 999999999.0 1 1 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.00 20876082.44 -20876082.44 0.00 0.00 -0.17 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.00 14278956.97 -14278956.97 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.00 10205512.19 -10205512.19 0.00 0.00 -0.42 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.00 17600922.90 -17600922.90 0.00 0.00 0.48 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.00 5913752.07 -5913752.07 0.00 0.00 1.33 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.00 13276183.60 -13276183.60 0.00 0.00 0.45 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.03 0.01 0.00 33436360.05 -33436360.05 0.03 0.03 0.24 999999999.0 1 1 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.00 22010171.38 -22010171.38 0.04 0.04 0.48 999999999.0 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.02 0.00 14353226.15 -14353226.15 0.00 0.00 1.07 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.08 0.02 0.00 26385495.95 -26385495.95 0.08 0.08 0.67 999999999.0 3 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.00 5246264.60 -5246264.60 0.01 0.01 3.54 999999999.0 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.00 7498917.26 -7498917.26 0.02 0.02 2.68 999999999.0 3 3 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.00 20128897.75 -20128897.75 0.00 0.00 0.87 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.06 0.06 0.02 0.00 58595486.42 -58595486.42 0.06 0.12 0.32 999999999.0 1 2 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.00 33150952.68 -33150952.68 0.00 0.00 0.54 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.01 0.03 0.00 12257264.16 -12257264.16 0.01 0.01 2.24 999999999.0 1 1 caleb_strategy_v1 CAC False False 0.02 0.02 0.03 0.00 24345681.89 -24345681.89 0.02 0.00 1.09 999999999.0 1 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.00 31098341.88 -31098341.88 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.03 0.00 8842544.27 -8842544.27 0.01 0.01 2.94 999999999.0 1 1 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.04 0.00 14548630.53 -14548630.53 0.06 0.06 2.57 999999999.0 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.04 0.00 44354325.72 -44354325.72 0.04 0.04 0.87 999999999.0 1 1 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.00 42143898.64 -42143898.64 0.13 0.13 1.25 999999999.0 3 3 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.00 49206940.60 -49206940.60 0.00 0.00 1.21 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.08 0.00 23682319.17 -23682319.17 0.05 0.05 3.24 999999999.0 2 2 caleb_strategy_v1 NIKKEI True False 0.01 0.06 0.17 0.06 0.06 0.06 0.06 0.06 23.97 0.0 8 8 caleb_strategy_v1 BUND False False 0.05 0.10 0.18 0.00 51056527.39 -51056527.39 0.10 0.05 3.61 999999999.0 2 1 caleb_strategy_v1 BOBL False False 0.04 0.17 0.41 0.00 43099338.21 -43099338.21 0.17 0.17 9.62 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 12.0 Shocked risk 38.2 Sum abs risk 33.7 Leverage 2.29 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2910926.9, 'annual_cash_vol_target': 727731.725, 'daily_cash_vol_target': 45483.2328125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0064 0.6814 0.9350 14.9601 BITCOIN 953.0213 16960.0000 5.6192 89.9077 BOBL 0.3984 119.5400 0.3332 5.3318 BTP 1.0451 116.8900 0.8941 14.3053 BUND 0.8456 141.6100 0.5971 9.5542 BUXL 2.1096 162.5200 1.2980 20.7688 CAC 55.7258 6752.5000 0.8253 13.2042 CAD 0.0044 0.7432 0.5930 9.4884 CANOLA 11.6526 838.9000 1.3890 22.2245 CHF 0.0076 1.0684 0.7095 11.3523 COCOA 29.6582 2519.0000 1.1774 18.8381 COFFEE 0.0379 1.6205 2.3369 37.3903 COPPER 0.0671 3.8600 1.7383 27.8125 CORN 4.6288 598.0000 0.7740 12.3848 COTTON2 0.0204 0.8313 2.4593 39.3487 CRUDE_W 1.3909 77.9700 1.7839 28.5427 DAX 125.8150 14551.0000 0.8646 13.8344 DOW 350.8571 34429.0000 1.0191 16.3052 EUR 0.0075 1.0532 0.7112 11.3784 EUROSTX 35.0756 3981.0000 0.8811 14.0972 FEEDCOW 1.3711 185.2500 0.7401 11.8418 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 20.1213 905.2500 2.2227 35.5638 GASOILINE 0.0508 2.3174 2.1917 35.0668 GAS_US 0.2419 6.1520 3.9317 62.9071 GBP 0.0114 1.2289 0.9262 14.8188 GOLD_micro 16.6931 1811.7000 0.9214 14.7425 HEATOIL 0.0646 3.0741 2.1027 33.6428 JPY 0.0001 0.0075 0.8499 13.5978 LEANHOG 1.5430 89.2000 1.7299 27.6777 LIVECOW 0.8441 155.8000 0.5418 8.6686 MXP 0.0003 0.0515 0.6473 10.3569 NASDAQ 203.7289 12002.5000 1.6974 27.1582 NIKKEI 243.8289 28250.0000 0.8631 13.8098 NZD 0.0058 0.6407 0.9032 14.4511 OAT 0.8930 136.4800 0.6543 10.4686 OJ 0.0359 1.9805 1.8147 29.0354 PALLAD 45.3756 1902.0000 2.3857 38.1708 PLAT 18.9756 1024.7000 1.8518 29.6291 REDWHEAT 14.4514 871.0000 1.6592 26.5468 ROBUSTA 23.1307 1847.0000 1.2523 20.0374 RUSSELL 28.3646 1891.5000 1.4996 23.9933 SILVER-mini 0.4393 23.4375 1.8744 29.9901 SOYBEAN 12.8473 1378.7500 0.9318 14.9089 SOYMEAL 4.7324 423.5000 1.1175 17.8794 SOYOIL 1.2235 64.4100 1.8996 30.3936 SP400 34.5247 2572.7000 1.3420 21.4714 SP500 52.5562 4072.5000 1.2905 20.6482 SUGAR11 0.0024 0.1949 1.2164 19.4617 US10 0.5388 114.7969 0.4693 7.5095 US10U 0.7420 121.7656 0.6094 9.7499 US20 1.0642 130.0938 0.8180 13.0885 US30 1.6806 142.8438 1.1765 18.8244 US5 0.3621 109.3672 0.3311 5.2975 VIX 0.5008 24.8500 2.0153 32.2446 WHEAT 12.0667 800.7500 1.5069 24.1107 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 681.45 0.94 637.16 1.00 637.16 45483.23 71.38 -0.80 -5.72 BITCOIN 16.96 5.62 95.30 1.00 95.30 45483.23 477.25 4.29 204.80 BOBL 1195.40 0.33 398.35 1.05 418.86 45483.23 108.59 12.27 133.27 BTP 1168.90 0.89 1045.09 1.05 1098.89 45483.23 41.39 14.91 61.72 BUND 1416.10 0.60 845.61 1.05 889.13 45483.23 51.15 9.79 50.07 BUXL 1625.20 1.30 2109.59 1.05 2218.18 45483.23 20.50 1.87 3.83 CAC 675.25 0.83 557.26 1.05 585.94 45483.23 77.62 5.01 38.87 CAD 743.15 0.59 440.71 1.00 440.71 45483.23 103.21 -3.33 -34.36 CANOLA 167.78 1.39 233.05 0.74 173.53 45483.23 262.10 3.78 98.98 CHF 1335.56 0.71 947.60 1.00 947.60 45483.23 48.00 -6.37 -30.56 COCOA 251.90 1.18 296.58 1.00 296.58 45483.23 153.36 -3.11 -47.75 COFFEE 607.69 2.34 1420.10 1.00 1420.10 45483.23 32.03 -4.10 -13.12 COPPER 965.00 1.74 1677.44 1.00 1677.44 45483.23 27.11 7.26 19.70 CORN 299.00 0.77 231.44 1.00 231.44 45483.23 196.52 1.13 22.24 COTTON2 415.65 2.46 1022.21 1.00 1022.21 45483.23 44.50 -0.60 -2.69 CRUDE_W 779.70 1.78 1390.92 1.00 1390.92 45483.23 32.70 0.32 1.03 DAX 145.51 0.86 125.82 1.05 132.29 45483.23 343.81 1.89 65.14 DOW 172.14 1.02 175.43 1.00 175.43 45483.23 259.27 1.79 46.53 EUR 1316.44 0.71 936.19 1.00 936.19 45483.23 48.58 -1.50 -7.27 EUROSTX 398.10 0.88 350.76 1.05 368.81 45483.23 123.32 3.08 38.00 FEEDCOW 926.25 0.74 685.53 1.00 685.53 45483.23 66.35 -15.21 -100.94 FTSE100 707.00 0.82 576.59 1.23 666.67 45483.23 68.22 -2.56 -17.49 GASOIL 905.25 2.22 2012.13 1.00 2012.13 45483.23 22.60 5.64 12.74 GASOILINE 973.31 2.19 2133.18 1.00 2133.18 45483.23 21.32 2.71 5.78 GAS_US 615.20 3.93 2418.78 1.00 2418.78 45483.23 18.80 -11.42 -21.47 GBP 768.06 0.93 711.36 1.00 711.36 45483.23 63.94 5.90 37.73 GOLD_micro 181.17 0.92 166.93 1.00 166.93 45483.23 272.47 -1.77 -48.10 HEATOIL 1291.12 2.10 2714.81 1.00 2714.81 45483.23 16.75 7.26 12.17 JPY 932.44 0.85 792.44 1.00 792.44 45483.23 57.40 -1.78 -10.20 LEANHOG 356.80 1.73 617.21 1.00 617.21 45483.23 73.69 6.50 47.88 LIVECOW 623.20 0.54 337.64 1.00 337.64 45483.23 134.71 -15.96 -214.95 MXP 257.40 0.65 166.62 1.00 166.62 45483.23 272.98 8.80 240.36 NASDAQ 2400.50 1.70 4074.58 1.00 4074.58 45483.23 11.16 -0.91 -1.02 NIKKEI 28250.00 0.86 24382.89 0.01 176.71 45483.23 257.39 4.90 126.18 NZD 640.70 0.90 578.68 1.00 578.68 45483.23 78.60 3.84 30.19 OAT 1364.80 0.65 892.97 1.05 938.94 45483.23 48.44 12.41 60.11 OJ 297.08 1.81 539.11 1.00 539.11 45483.23 84.37 -2.89 -24.35 PALLAD 1902.00 2.39 4537.56 1.00 4537.56 45483.23 10.02 -3.81 -3.82 PLAT 512.35 1.85 948.78 1.00 948.78 45483.23 47.94 4.19 20.10 REDWHEAT 435.50 1.66 722.57 1.00 722.57 45483.23 62.95 -11.40 -71.78 ROBUSTA 184.70 1.25 231.31 1.00 231.31 45483.23 196.64 -3.26 -64.15 RUSSELL 94.58 1.50 141.82 1.00 141.82 45483.23 320.70 -2.15 -68.89 SILVER-mini 585.94 1.87 1098.27 1.00 1098.27 45483.23 41.41 9.42 39.03 SOYBEAN 689.38 0.93 642.37 1.00 642.37 45483.23 70.81 7.76 54.97 SOYMEAL 423.50 1.12 473.24 1.00 473.24 45483.23 96.11 4.53 43.54 SOYOIL 386.46 1.90 734.12 1.00 734.12 45483.23 61.96 7.87 48.79 SP400 2572.70 1.34 3452.47 1.00 3452.47 45483.23 13.17 0.39 0.51 SP500 2036.25 1.29 2627.81 1.00 2627.81 45483.23 17.31 0.56 0.98 SUGAR11 218.29 1.22 265.52 1.00 265.52 45483.23 171.30 11.54 197.66 US10 1147.97 0.47 538.79 1.00 538.79 45483.23 84.42 -5.60 -47.26 US10U 1217.66 0.61 742.00 1.00 742.00 45483.23 61.30 -1.71 -10.48 US20 1300.94 0.82 1064.20 1.00 1064.20 45483.23 42.74 -2.31 -9.88 US30 1428.44 1.18 1680.59 1.00 1680.59 45483.23 27.06 -2.47 -6.70 US5 1093.67 0.33 362.11 1.00 362.11 45483.23 125.61 -5.02 -63.06 VIX 248.50 2.02 500.80 1.00 500.80 45483.23 90.82 -16.59 -150.67 WHEAT 400.38 1.51 603.33 1.00 603.33 45483.23 75.39 -15.19 -114.52 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -5.716 0.006 2.5 -0.091 BITCOIN 204.805 0.009 2.5 4.825 BOBL 133.271 0.029 2.5 9.617 BTP 61.718 0.008 2.5 1.246 BUND 50.065 0.029 2.5 3.613 BUXL 3.830 0.034 2.5 0.321 CAC 38.870 0.011 2.5 1.093 CAD -34.357 0.007 2.5 -0.613 CANOLA 98.980 0.004 2.5 0.909 CHF -30.560 0.015 2.5 -1.144 COCOA -47.745 0.009 2.5 -1.040 COFFEE -13.120 0.005 2.5 -0.170 COPPER 19.698 0.011 2.5 0.538 CORN 22.244 0.004 2.5 0.201 COTTON2 -2.686 0.006 2.5 -0.040 CRUDE_W 1.035 0.053 2.5 0.137 DAX 65.137 0.022 2.5 3.538 DOW 46.529 0.011 2.5 1.326 EUR -7.273 0.015 2.5 -0.272 EUROSTX 37.998 0.011 2.5 1.068 FEEDCOW -100.939 0.011 2.5 -2.712 FTSE100 -17.486 0.041 2.5 -1.803 GASOIL 12.740 0.029 2.5 0.909 GASOILINE 5.778 0.016 2.5 0.237 GAS_US -21.468 0.006 2.5 -0.323 GBP 37.732 0.007 2.5 0.674 GOLD_micro -48.102 0.009 2.5 -1.076 HEATOIL 12.168 0.029 2.5 0.868 JPY -10.202 0.026 2.5 -0.660 LEANHOG 47.881 0.019 2.5 2.237 LIVECOW -214.951 0.011 2.5 -5.776 MXP 240.356 0.005 2.5 2.943 NASDAQ -1.016 0.022 2.5 -0.055 NIKKEI 126.180 0.076 2.5 23.966 NZD 30.194 0.006 2.5 0.482 OAT 60.106 0.008 2.5 1.214 OJ -24.353 0.007 2.5 -0.425 PALLAD -3.823 0.010 2.5 -0.092 PLAT 20.099 0.010 2.5 0.484 REDWHEAT -71.780 0.002 2.5 -0.383 ROBUSTA -64.153 0.005 2.5 -0.832 RUSSELL -68.893 0.021 2.5 -3.568 SILVER-mini 39.026 0.009 2.5 0.873 SOYBEAN 54.975 0.024 2.5 3.241 SOYMEAL 43.542 0.024 2.5 2.567 SOYOIL 48.786 0.004 2.5 0.448 SP400 0.509 0.021 2.5 0.026 SP500 0.977 0.011 2.5 0.028 SUGAR11 197.659 0.005 2.5 2.682 US10 -47.260 0.015 2.5 -1.813 US10U -10.484 0.058 2.5 -1.527 US20 -9.882 0.029 2.5 -0.728 US30 -6.698 0.034 2.5 -0.562 US5 -63.057 0.015 2.5 -2.419 VIX -150.669 0.075 2.5 -28.394 WHEAT -114.522 0.002 2.5 -0.611 ==================== Position diags ==================== AUD 1.14 BITCOIN 11.24 BOBL 7.84 BTP 0.84 BUND 3.69 BUXL 1.72 CAC 2.18 CAD 1.84 CANOLA 2.41 CHF 1.80 COCOA 3.34 COFFEE 0.42 COPPER 0.74 CORN 1.77 COTTON2 0.67 CRUDE_W 4.32 DAX 18.67 DOW 7.39 EUR 1.82 EUROSTX 3.47 FEEDCOW 1.78 FTSE100 7.03 GASOIL 1.61 GASOILINE 0.88 GAS_US 0.28 GBP 1.14 GOLD_micro 6.10 HEATOIL 1.20 JPY 3.72 LEANHOG 3.44 LIVECOW 3.62 MXP 3.34 NASDAQ 0.61 NIKKEI 48.89 NZD 1.26 OAT 0.98 OJ 1.47 PALLAD 0.24 PLAT 1.15 REDWHEAT 0.34 ROBUSTA 2.55 RUSSELL 16.61 SILVER-mini 0.93 SOYBEAN 4.17 SOYMEAL 5.67 SOYOIL 0.57 SP400 0.68 SP500 0.49 SUGAR11 2.32 US10 3.24 US10U 8.93 US20 3.15 US30 2.27 US5 4.82 VIX 17.12 WHEAT 0.40 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.1 -0.2 0.0 0.0 0 BITCOIN 4.8 3.7 5.9 NaN 0 BOBL 9.6 8.8 10.4 4.0 4 BTP 1.2 1.2 1.3 3.0 3 BUND 3.6 3.2 4.0 2.0 2 BUXL 0.3 0.1 0.5 1.0 1 CAC 1.1 0.9 1.3 1.0 1 CAD -0.6 -0.8 -0.4 -2.0 -2 CANOLA 0.9 0.7 1.1 NaN 0 CHF -1.1 -1.3 -1.0 -2.0 -2 COCOA -1.0 -1.4 -0.7 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.5 0.5 0.6 0.0 0 CORN 0.2 0.0 0.4 2.0 2 COTTON2 -0.0 -0.1 0.0 NaN 0 CRUDE_W 0.1 -0.3 0.6 0.0 0 DAX 3.5 1.7 5.4 2.0 2 DOW 1.3 0.6 2.1 0.0 0 EUR -0.3 -0.5 -0.1 0.0 0 EUROSTX 1.1 0.7 1.4 0.0 0 FEEDCOW -2.7 -2.9 -2.5 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 0.9 0.7 1.1 0.0 0 GASOILINE 0.2 0.1 0.3 1.0 1 GAS_US -0.3 -0.4 -0.3 0.0 0 GBP 0.7 0.6 0.8 3.0 3 GOLD_micro -1.1 -1.7 -0.5 0.0 0 HEATOIL 0.9 0.7 1.0 1.0 1 JPY -0.7 -1.0 -0.3 -2.0 -2 LEANHOG 2.2 1.9 2.6 1.0 1 LIVECOW -5.8 -6.1 -5.4 -5.0 -5 MXP 2.9 2.6 3.3 1.0 1 NASDAQ -0.1 -0.1 0.0 -1.0 -1 NIKKEI 24.0 19.1 28.9 8.0 8 NZD 0.5 0.4 0.6 2.0 2 OAT 1.2 1.1 1.3 0.0 0 OJ -0.4 -0.6 -0.3 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 -3.6 -5.2 -1.9 -24.0 -24 SILVER-mini 0.9 0.8 1.0 NaN 0 SOYBEAN 3.2 2.8 3.7 2.0 2 SOYMEAL 2.6 2.0 3.1 4.0 4 SOYOIL 0.4 0.4 0.5 0.0 0 SP400 0.0 -0.0 0.1 2.0 2 SP500 0.0 -0.0 0.1 1.0 1 SUGAR11 2.7 2.4 2.9 3.0 3 US10 -1.8 -2.1 -1.5 NaN 0 US10U -1.5 -2.4 -0.6 0.0 0 US20 -0.7 -1.0 -0.4 -2.0 -2 US30 -0.6 -0.8 -0.3 -1.0 -1 US5 -2.4 -2.9 -1.9 -6.0 -6 VIX -28.4 -30.1 -26.7 -17.0 -17 WHEAT -0.6 -0.7 -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 -0.0 0.1 -0.1 0.1 0.1 -0.2 0.1 -0.3 0.1 0.0 -0.2 -0.1 -0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.2 -0.0 0.0 0.0 -0.0 0.0 -0.1 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 0.1 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 0.1 -0.2 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.2 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 0.1 -0.2 0.1 0.0 -0.1 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 0.0 0.3 0.2 BUND 0.2 0.3 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.2 0.8 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 0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 0.1 -0.3 0.1 -0.1 0.4 -0.1 0.1 0.0 0.1 -0.2 0.0 -0.3 0.0 0.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 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 0.1 0.2 0.1 -0.1 0.1 0.4 -0.0 0.2 0.0 0.0 0.2 0.2 0.0 0.1 0.0 -1.6 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.9 0.0 0.2 0.3 0.2 CAD 0.1 0.2 -0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.2 -0.0 -0.3 0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.2 -0.2 -0.4 -0.2 -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 0.8 0.5 0.2 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 1.2 -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 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.2 0.1 0.2 -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 -0.0 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 -0.1 -0.1 0.0 -0.0 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 -2.7 0.1 0.4 0.2 0.2 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 -0.2 -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 -1.6 0.1 -0.1 -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 -0.1 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 -0.1 0.2 1.5 0.6 0.3 0.3 -0.0 0.1 -0.0 0.2 -0.0 -2.3 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.3 -0.0 -0.4 -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 0.9 0.0 0.2 0.0 -0.5 CRUDE_W -0.1 0.1 -0.1 -0.1 0.0 -0.0 -0.1 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 0.4 -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 0.4 -0.2 -0.1 -0.1 -0.0 0.3 0.2 0.0 -0.1 0.0 -1.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.3 -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 0.3 0.1 0.0 -0.0 0.0 -0.6 -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 0.1 -0.3 0.1 0.3 -0.5 -0.3 -0.1 -0.2 0.2 -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 0.1 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 0.1 -0.1 0.1 0.3 -0.1 0.1 -0.0 0.0 0.2 0.2 0.0 0.0 0.0 -2.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.5 -0.0 0.3 0.3 0.3 FEEDCOW 0.1 0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.1 -1.6 -0.8 -0.4 -0.4 -0.0 -0.0 0.0 -0.0 0.0 -1.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.0 0.3 0.2 -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 0.0 -0.0 0.3 -0.0 -0.1 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 0.0 -0.1 -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 0.4 0.9 0.4 0.4 -0.1 -0.0 -0.0 0.1 -0.0 -0.6 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.2 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 -0.5 -0.5 -0.3 -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 0.1 0.1 GBP 0.2 0.3 0.3 0.0 0.0 -0.0 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 -0.0 0.1 -0.1 GOLD_micro 0.2 0.3 0.0 0.0 0.1 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.1 0.1 -0.8 -0.3 -0.2 -0.2 0.1 -0.0 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 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 0.1 -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 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.2 0.1 -0.4 0.1 0.0 -0.8 -0.4 -0.2 -0.2 0.1 -0.1 0.0 -0.3 0.0 2.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.9 0.2 0.4 -0.0 -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 0.2 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 2.7 -0.1 -0.0 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 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.1 0.0 0.0 0.0 -2.9 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.8 0.0 0.2 0.3 0.1 MXP 0.0 0.2 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.4 0.0 0.4 0.1 0.4 1.4 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 2.2 -0.0 -0.2 0.1 0.3 NASDAQ 0.2 0.2 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.3 0.1 -0.2 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.2 0.0 1.3 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.6 0.0 0.0 -0.2 -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 -0.1 -0.2 -0.1 0.0 NZD 0.2 0.3 0.1 0.0 0.0 -0.0 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 0.2 -0.0 0.0 -0.1 0.0 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.0 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 0.1 0.0 -0.2 0.0 -0.3 0.1 -0.1 1.1 0.5 0.3 0.3 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 2.7 0.0 0.0 0.1 -0.0 OJ -0.0 0.1 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 1.0 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 -0.3 0.3 0.3 PALLAD 0.0 -0.2 -0.1 0.0 0.0 0.0 0.1 -0.0 0.1 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 0.3 -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 0.2 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 -0.5 -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 0.1 -0.3 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.3 0.0 -0.1 -0.0 -0.3 0.8 0.3 0.2 0.2 -0.2 -0.2 0.0 -0.1 -0.0 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -1.2 0.0 0.2 -0.3 -0.2 RUSSELL 0.1 0.3 0.1 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 -0.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 -0.1 -0.3 -0.1 0.1 SILVER-mini 0.1 0.3 0.4 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.2 0.1 0.3 -0.2 -0.1 -0.1 -0.1 0.2 0.0 0.0 -0.1 0.0 3.3 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.1 0.2 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 1.4 0.8 0.4 0.4 0.0 0.0 -0.0 0.1 0.0 -2.9 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 2.5 0.0 0.0 0.2 0.2 SOYMEAL 0.1 0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 0.0 0.0 0.2 0.0 0.1 0.7 0.6 0.3 0.3 0.1 0.0 0.0 0.1 0.0 -1.9 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 0.5 0.2 0.4 0.2 0.2 SOYOIL -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 1.6 0.8 0.4 0.4 0.1 0.1 -0.0 0.1 -0.0 -2.9 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.4 -0.1 -0.2 0.3 0.3 SP400 0.2 0.3 0.1 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 -0.2 0.1 0.2 -0.0 -0.0 -0.0 -0.0 0.2 0.0 0.0 -0.0 0.0 -1.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 0.1 SP500 0.2 0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 0.8 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.5 0.0 0.0 -0.0 -0.0 SUGAR11 0.1 0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.1 0.0 0.0 0.0 0.2 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.0 0.0 -2.3 -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 0.3 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.1 -0.2 -0.4 0.1 -0.1 -0.1 -0.0 -0.2 0.0 -0.2 0.0 -0.9 -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 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 0.0 -0.3 0.1 -0.2 0.1 0.2 0.0 0.0 -0.0 -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 0.3 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 0.0 -0.3 0.1 -0.1 0.1 0.1 0.0 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 0.3 0.0 0.1 -0.0 -0.0 US30 0.2 0.3 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.3 0.1 -0.4 0.1 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 -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 0.2 -0.1 0.0 US5 0.2 0.3 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.2 -0.5 0.1 -0.1 -0.1 -0.0 -0.2 0.0 -0.3 0.0 -0.6 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -0.3 0.0 0.0 0.0 -0.0 VIX -0.2 -1.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.4 -0.0 -0.3 -0.1 -0.4 -3.1 -1.5 -0.6 -0.6 -0.3 -0.2 -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 -0.2 -0.1 -0.0 -0.0 -0.0 -1.6 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -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 20.0 -3.1 2.2 4.9 -1.7 4.9 -3.9 4.8 13.0 -7.5 14.1 -10.3 13.6 0.1 -2.9 -1.8 -2.6 -2.2 5.6 -5.8 14.7 -10.4 14.4 1.5 -0.0 1.4 4.7 -2.9 5.1 -4.7 4.8 -0.3 -4.7 -4.0 -8.0 -4.6 BITCOIN -9.6 15.1 11.2 3.0 6.1 0.7 5.2 -0.1 4.7 11.7 -15.8 -7.9 -15.9 -9.3 -12.2 1.1 -1.1 0.5 -0.1 -10.5 -16.5 -0.3 -20.0 -7.0 20.0 -0.0 -5.0 1.4 -5.2 -1.1 -4.7 -4.1 1.4 -10.4 -20.0 -20.0 -18.6 BOBL 17.6 15.1 -15.5 -0.3 4.8 -4.5 4.6 -6.8 3.6 9.7 -12.3 12.1 -12.9 7.5 -11.0 20.0 19.7 20.0 20.0 -5.9 -18.6 12.4 -20.0 6.8 10.9 -0.0 -1.7 5.8 -7.9 5.0 -12.3 3.1 20.0 -0.3 -13.6 -0.8 -7.2 BTP 20.0 20.0 7.5 -0.3 4.8 -4.5 4.6 -6.8 3.6 4.7 -5.6 11.8 -11.5 13.5 0.8 20.0 16.0 20.0 20.0 9.9 -5.9 14.3 -17.9 18.1 6.0 -0.0 2.8 2.5 -2.8 4.2 -7.6 5.4 20.0 -5.4 1.4 20.0 13.5 BUND 20.0 20.0 -11.5 -0.3 4.8 -4.5 4.6 -6.8 3.6 11.4 -10.4 13.2 -12.5 12.1 -8.1 9.3 15.6 12.0 14.1 -1.6 -16.8 14.9 -20.0 11.8 8.7 -0.0 -0.4 4.8 -6.2 5.0 -10.1 4.1 20.0 1.5 -4.9 3.9 -6.4 BUXL 20.0 20.0 -2.2 -0.3 4.8 -4.5 4.6 -6.8 3.6 13.6 -8.0 14.9 -11.9 14.2 -3.3 5.0 -2.5 5.2 1.9 5.9 -13.0 20.0 -20.0 20.0 6.0 -0.0 1.4 7.3 -3.8 7.5 -6.8 6.1 -3.7 20.0 11.1 8.7 0.4 CAC 20.0 20.0 7.5 2.8 3.2 -0.2 4.0 -1.7 4.6 13.3 9.5 15.4 -2.0 16.3 14.4 -0.2 3.9 0.7 2.0 20.0 13.3 18.3 4.0 20.0 -14.3 -0.0 5.1 2.6 2.4 3.9 0.5 5.5 6.7 1.4 8.0 19.4 14.1 CAD 9.3 14.2 -8.9 2.2 4.9 -1.7 4.9 -3.9 4.8 2.1 -8.5 -1.0 -10.8 6.3 -4.3 -2.0 -0.8 -1.7 -1.3 -1.6 -9.1 -2.0 -10.9 1.7 1.5 -0.0 -1.3 -0.9 -5.2 -1.0 -6.2 0.5 1.3 -20.0 -20.0 -12.9 -11.8 CANOLA -20.0 8.7 -6.0 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 5.5 -10.3 -7.9 -2.3 -7.9 1.5 10.5 13.4 9.7 9.3 -7.2 -7.3 -7.7 -0.9 -11.1 5.5 -0.0 -2.5 0.8 -1.0 -3.3 1.5 -4.7 -2.2 -6.5 -20.0 -6.6 6.2 CHF 20.0 20.0 9.7 2.2 4.9 -1.7 4.9 -3.9 4.8 12.2 -0.1 13.9 -7.3 13.2 7.6 -11.1 -11.3 -11.8 -12.0 11.2 1.0 14.6 -5.7 17.2 -3.8 -0.0 3.1 3.8 -0.6 4.5 -3.5 5.3 -16.9 -4.8 11.6 -2.6 6.4 COCOA 8.7 15.4 4.7 -2.6 -2.3 -2.9 -3.3 0.0 -2.7 13.0 -3.6 5.4 -9.5 8.6 8.3 -0.7 -3.2 0.1 -1.2 10.2 1.5 9.6 -6.4 11.8 2.2 -0.0 3.7 2.4 0.9 1.3 -1.8 3.1 -20.0 10.6 19.1 17.5 10.5 COFFEE 3.5 -20.0 -20.0 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -3.3 -12.5 2.2 -6.2 -12.1 -13.8 0.8 4.5 5.2 6.2 -20.0 -20.0 -2.4 -10.2 -15.3 13.0 -0.0 -5.4 -1.3 -4.6 -1.0 -1.9 -3.4 -11.6 20.0 -7.5 -20.0 -20.0 COPPER 8.8 20.0 13.2 3.0 6.1 0.7 5.2 -0.1 4.7 13.3 -8.7 3.9 -9.8 5.7 5.0 0.1 0.2 0.4 0.2 7.3 -2.8 13.9 -9.3 11.2 17.5 -0.0 3.7 7.0 -0.3 5.9 -2.3 5.6 2.7 6.8 -3.8 8.3 5.3 CORN -15.7 -7.9 15.9 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -13.0 1.4 -13.6 5.4 -13.7 7.6 18.4 13.8 15.9 14.0 -3.5 5.3 -14.5 15.7 -11.7 -15.4 -0.0 -3.5 -9.5 1.2 -8.4 6.7 -7.1 2.2 -11.6 -20.0 -7.8 11.2 COTTON2 11.3 -2.1 -20.0 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 7.5 -11.4 2.3 -0.4 4.2 -9.2 3.9 17.4 7.4 13.4 -10.4 -14.3 2.6 -3.9 -1.8 -3.8 -0.0 -2.3 2.8 -3.2 3.0 1.5 1.3 6.7 17.5 17.7 1.6 -16.7 CRUDE_W -5.0 6.4 -7.0 -3.4 1.9 -0.9 -2.7 5.9 -4.1 12.3 -4.9 -3.5 3.7 0.5 5.3 7.2 13.7 8.5 11.1 0.9 -0.2 3.6 5.8 0.8 3.2 -0.0 1.1 6.8 1.6 3.0 6.8 1.3 -20.0 14.2 12.1 14.2 8.3 DAX 20.0 20.0 10.7 2.8 3.2 -0.2 4.0 -1.7 4.6 9.6 5.9 14.3 -5.9 15.7 14.0 -4.3 -1.6 -3.6 -2.7 20.0 11.6 16.2 -4.2 20.0 -9.5 -0.0 5.1 1.5 2.1 2.7 -0.8 5.1 -2.0 -7.6 19.0 20.0 20.0 DOW 18.2 20.0 6.0 2.8 3.2 -0.2 4.0 -1.7 4.6 8.0 4.8 13.1 -2.6 15.4 12.8 -5.2 -1.8 -4.6 -3.6 20.0 8.2 15.2 -0.7 20.0 -4.8 -0.0 4.6 2.0 1.7 3.5 -0.0 5.3 -3.0 -1.8 2.5 19.0 12.8 EUR 20.0 20.0 19.6 1.9 5.2 -1.9 4.6 -4.1 4.6 12.8 -4.9 14.8 -11.9 14.9 11.3 -6.9 -8.2 -7.5 -8.1 12.4 -2.4 15.8 -14.5 18.6 3.7 -0.0 3.4 5.4 -2.0 4.9 -6.9 5.6 -11.0 -4.1 3.2 5.8 7.6 EUROSTX 20.0 20.0 11.3 2.8 3.2 -0.2 4.0 -1.7 4.6 13.8 8.3 15.6 -4.0 16.4 14.4 -1.1 2.4 -0.5 0.5 20.0 14.5 20.0 1.1 20.0 -15.2 -0.0 5.3 2.0 2.6 3.5 0.2 5.5 4.0 -0.5 18.9 20.0 20.0 FEEDCOW 6.2 5.8 -8.7 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 11.4 -1.6 7.5 -2.1 9.0 -4.4 -20.0 -20.0 -19.9 -20.0 -0.2 -3.2 9.4 -2.8 4.7 -7.5 -0.0 0.2 9.3 -2.0 6.7 -1.6 4.0 -20.0 20.0 16.0 14.3 -10.5 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 -6.5 -7.9 -3.7 -4.5 -1.0 -4.5 5.6 -4.7 -1.1 1.9 -9.9 10.6 -10.0 -2.7 20.0 20.0 20.0 20.0 -5.7 4.3 -8.9 17.4 -11.7 -5.0 -0.0 -2.6 -1.2 1.2 -3.6 7.1 -4.9 0.0 1.2 -5.1 -0.9 14.4 GASOILINE -14.7 2.4 -14.7 -3.7 -4.5 -1.0 -4.5 5.6 -4.7 -1.1 -8.3 -9.3 4.2 -7.6 -2.0 5.4 20.0 17.3 20.0 -5.5 -2.0 -9.2 9.2 -9.1 -4.8 -0.0 -0.8 -0.7 1.5 -1.9 9.4 -2.2 1.3 16.0 1.7 9.2 4.6 GAS_US 16.3 -4.9 -20.0 -3.7 -4.5 -1.0 -4.5 5.6 -4.7 -11.5 -7.0 -2.5 1.5 3.5 -8.5 -5.8 -10.8 -15.7 -13.8 -5.3 -6.3 -5.3 2.1 1.1 -11.1 -0.0 0.8 -6.3 0.7 1.6 4.9 3.6 -20.0 20.0 20.0 6.4 7.4 GBP 20.0 20.0 20.0 2.2 4.9 -1.7 4.9 -3.9 4.8 13.3 -3.0 14.9 -9.2 15.4 9.5 -1.8 -1.4 -1.8 -1.7 12.1 -2.3 20.0 -11.8 20.0 15.2 -0.0 1.8 6.8 -4.2 6.3 -7.8 5.6 0.3 5.8 -0.5 3.9 -9.9 GOLD_micro 20.0 20.0 1.4 3.0 6.1 0.7 5.2 -0.1 4.7 11.6 -8.5 13.0 -10.7 12.2 4.6 -10.1 -7.9 -10.0 -9.3 9.5 -3.3 18.6 -8.6 17.8 10.9 -0.0 3.0 6.0 -0.7 5.8 -1.9 5.6 -12.2 0.3 10.8 1.4 -7.2 HEATOIL -17.1 -4.0 -13.1 -3.7 -4.5 -1.0 -4.5 5.6 -4.7 0.1 1.0 -8.1 9.7 -5.8 0.4 20.0 20.0 20.0 20.0 -3.7 4.6 -10.0 16.3 -10.0 -14.7 -0.0 -1.2 -2.6 4.1 -4.1 13.5 -4.3 8.9 0.6 -2.6 5.2 17.1 JPY 20.0 20.0 15.8 2.2 4.9 -1.7 4.9 -3.9 4.8 14.1 -9.0 15.0 -13.9 14.1 0.1 -11.0 -10.0 -12.0 -11.6 8.2 -10.0 20.0 -20.0 20.0 15.7 -0.0 2.2 8.5 -3.4 7.5 -7.8 6.2 -15.4 14.8 18.3 -3.5 -5.9 LEANHOG -6.1 12.7 -2.3 -2.6 -2.3 -2.9 -3.3 0.0 -2.7 2.9 -2.2 -3.1 -0.4 8.3 8.7 -20.0 20.0 8.5 20.0 3.6 2.8 -5.0 3.5 -1.2 1.5 -0.0 0.6 2.8 0.4 -3.3 1.3 -1.6 20.0 -9.4 -2.5 20.0 -1.0 LIVECOW -1.8 10.1 8.2 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -0.1 6.5 6.4 -1.5 6.9 7.3 -20.0 -20.0 -20.0 -20.0 6.8 5.2 4.2 0.7 5.4 -17.6 -0.0 3.8 3.1 3.5 3.1 2.5 3.5 -20.0 14.7 9.0 20.0 9.8 MXP 3.9 12.9 9.7 2.2 4.9 -1.7 4.9 -3.9 4.8 4.3 16.0 10.6 15.4 14.7 15.8 19.1 20.0 19.1 19.6 18.6 17.2 9.5 15.3 15.8 -20.0 -0.0 6.0 0.4 4.7 3.2 3.5 5.4 20.0 -8.7 -12.4 7.9 20.0 NASDAQ 16.9 14.7 -3.5 2.8 3.2 -0.2 4.0 -1.7 4.6 10.2 -9.7 13.2 -12.0 12.3 -6.3 -4.4 -3.0 -4.4 -3.9 0.8 -8.4 10.8 -12.0 8.9 11.2 -0.0 0.8 5.0 -3.5 5.9 -4.4 4.9 -4.4 0.2 1.4 -16.5 -10.5 NIKKEI 10.4 13.2 0.4 2.7 3.5 -0.4 4.0 -1.7 4.6 1.3 6.7 8.8 1.4 13.1 6.9 4.4 8.4 6.0 8.0 9.9 6.1 5.0 2.9 10.0 -10.8 -0.0 3.3 1.8 0.5 2.2 -0.8 4.2 16.0 -9.3 -10.6 -6.5 2.1 NZD 20.0 20.0 5.0 2.2 4.9 -1.7 4.9 -3.9 4.8 13.7 -4.5 15.1 -10.0 15.5 6.0 -1.1 0.5 -0.9 -0.4 15.3 -1.6 20.0 -11.3 20.0 3.1 -0.0 3.4 6.8 -1.1 6.5 -3.5 6.3 3.2 12.5 9.7 14.3 1.5 OAT 20.0 20.0 -1.0 -0.3 4.8 -4.5 4.6 -6.8 3.6 11.0 -8.0 13.1 -11.9 13.2 -4.6 13.2 12.4 14.0 13.9 3.8 -11.5 17.2 -20.0 16.0 10.2 -0.0 0.9 4.6 -5.0 5.3 -9.4 5.0 20.0 3.9 0.7 11.0 -0.7 OJ -20.0 7.7 16.6 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -5.5 13.3 -5.2 13.9 5.0 11.2 14.3 11.9 16.2 15.6 16.3 20.0 -4.7 20.0 4.2 -20.0 -0.0 4.3 -1.8 7.3 -2.9 7.8 -0.3 2.8 1.5 -10.7 20.0 20.0 PALLAD 2.3 -13.2 -3.5 3.0 6.1 0.7 5.2 -0.1 4.7 3.6 -10.6 -8.0 -6.7 -10.0 -9.8 -1.5 -1.2 -1.7 -1.5 -10.3 -8.0 -4.2 -6.3 -9.4 1.6 -0.0 -3.1 2.4 -2.2 0.2 -1.4 -2.2 0.0 -20.0 -20.0 -20.0 -7.6 PLAT 5.5 20.0 18.7 3.0 6.1 0.7 5.2 -0.1 4.7 5.0 6.7 7.7 -3.6 11.2 12.3 0.1 -0.2 0.3 0.1 15.2 8.8 11.6 0.6 14.6 -3.0 -0.0 5.3 2.7 2.4 5.1 -0.5 6.1 2.2 9.0 -0.0 14.3 12.7 REDWHEAT -12.7 -6.7 -0.4 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -12.9 -10.2 -14.5 -3.9 -15.1 -0.6 4.7 -0.3 2.7 1.4 -8.6 -5.6 -18.1 0.6 -14.9 -12.2 -0.0 -3.0 -8.8 0.5 -8.7 5.3 -7.0 -20.0 -10.9 -13.6 -7.4 8.0 ROBUSTA 9.0 -20.0 -20.0 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 12.2 -11.6 11.5 -2.9 -10.7 -13.5 10.3 6.9 8.4 7.4 -20.0 -19.9 9.9 -6.0 -8.1 3.2 -0.0 -4.2 2.8 -3.7 2.2 -1.1 -1.3 -9.0 20.0 9.5 -20.0 -16.4 RUSSELL 9.3 16.0 3.4 2.8 3.2 -0.2 4.0 -1.7 4.6 10.1 -3.0 11.8 -10.1 12.9 0.5 -4.0 -2.1 -3.7 -3.1 6.3 -0.7 8.1 -6.5 9.1 -2.8 -0.0 3.1 4.0 0.1 4.0 -1.8 4.5 -2.8 -5.5 -13.0 -7.4 3.6 SILVER-mini 12.3 20.0 20.0 3.0 6.1 0.7 5.2 -0.1 4.7 13.5 -4.5 13.1 -8.5 12.8 11.2 -3.9 -3.2 -4.0 -3.7 14.0 3.0 20.0 -6.0 19.5 15.4 -0.0 4.7 8.9 0.6 7.6 -2.7 6.8 -3.5 20.0 5.2 8.4 9.2 SOYBEAN -0.3 6.1 2.1 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -5.1 -0.4 0.5 4.1 6.7 9.2 17.5 20.0 18.1 20.0 3.9 2.7 -0.1 5.9 3.2 -19.2 -0.0 3.9 -5.5 5.6 -1.1 10.6 2.2 18.6 12.4 0.8 12.2 11.4 SOYMEAL 8.1 4.2 2.3 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 13.9 0.8 13.7 7.4 12.1 3.5 8.9 14.2 12.1 14.1 6.3 4.0 20.0 6.2 12.8 -13.9 -0.0 4.6 13.6 4.4 11.8 7.1 7.7 3.6 20.0 19.1 16.8 12.7 SOYOIL -20.0 14.8 3.9 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -11.8 4.3 -8.8 6.6 3.9 9.1 20.0 20.0 20.0 20.0 8.6 9.0 -18.3 9.9 -1.7 -20.0 -0.0 3.6 -11.5 4.3 -6.0 5.1 -0.3 17.8 -15.8 -12.3 20.0 20.0 SP400 16.0 20.0 3.4 2.8 3.2 -0.2 4.0 -1.7 4.6 7.4 0.6 12.8 -5.8 14.4 6.8 -0.6 -1.1 -0.4 -0.7 12.5 3.4 12.0 -2.5 16.0 -6.7 -0.0 4.3 2.5 1.5 4.0 0.1 5.5 0.0 -3.6 -1.4 1.4 9.5 SP500 17.9 20.0 -1.6 2.8 3.2 -0.2 4.0 -1.7 4.6 9.6 -5.1 13.6 -8.4 14.4 0.6 -4.7 -3.0 -4.5 -3.9 8.1 -2.1 13.4 -6.6 14.6 7.0 -0.0 3.0 4.1 -1.2 5.5 -3.0 5.8 -4.2 1.5 1.8 -3.4 -0.8 SUGAR11 11.0 16.0 8.1 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -4.9 3.4 2.3 0.0 8.5 9.1 20.0 20.0 20.0 20.0 14.6 8.4 2.4 3.6 11.6 -13.9 -0.0 5.1 -0.1 3.2 2.0 1.8 4.6 20.0 3.1 20.0 20.0 20.0 US10 20.0 17.4 -7.8 -0.3 4.8 -4.5 4.6 -6.8 3.6 13.7 -10.4 15.2 -13.4 13.5 -6.8 -5.2 1.4 -4.2 -2.4 -0.7 -17.3 20.0 -20.0 16.0 -5.9 -0.0 0.2 6.3 -4.8 6.8 -7.6 5.3 -2.8 10.7 7.6 3.0 -0.3 US10U 20.0 16.0 -8.9 -0.3 4.8 -4.5 4.6 -6.8 3.6 13.8 -10.3 15.4 -13.2 13.2 -6.7 1.2 4.9 0.8 1.9 -0.6 -17.3 20.0 -20.0 16.7 -6.9 -0.0 0.3 6.5 -4.5 7.0 -6.9 5.4 3.9 12.5 8.3 1.6 0.9 US20 20.0 16.2 -12.5 -0.3 4.8 -4.5 4.6 -6.8 3.6 13.8 -9.9 15.5 -13.0 13.0 -6.0 1.7 2.8 1.7 2.1 -1.1 -18.6 20.0 -20.0 18.8 -5.8 -0.0 -0.0 5.8 -4.4 6.8 -6.0 5.2 2.2 14.4 15.2 -3.5 -2.1 US30 20.0 20.0 -6.1 -0.3 4.8 -4.5 4.6 -6.8 3.6 13.6 -10.8 15.2 -14.3 12.1 -5.8 -0.1 0.3 -0.8 -0.6 -1.8 -19.2 20.0 -20.0 17.5 -2.3 -0.0 -0.0 7.8 -4.6 8.0 -6.6 5.6 -2.2 20.0 10.7 -6.4 3.2 US5 20.0 18.9 -4.8 -0.3 4.8 -4.5 4.6 -6.8 3.6 13.5 -10.4 14.3 -13.7 12.7 -7.0 -6.3 2.5 -5.2 -2.9 -1.9 -18.2 20.0 -20.0 14.2 -4.0 -0.0 -0.1 6.5 -5.3 6.7 -8.8 4.9 -2.2 9.4 5.8 2.2 -1.2 VIX -17.0 -19.3 -1.8 -4.2 -6.6 -2.2 -6.8 -1.4 -6.1 -13.7 -10.9 -14.1 -9.2 -15.3 -11.9 -20.0 -18.6 -13.7 -14.0 -17.4 -10.3 -20.0 -7.5 -20.0 NaN -0.0 -5.4 -6.4 -2.7 -8.7 -1.7 -8.3 NaN NaN NaN NaN NaN WHEAT -19.5 -8.9 -4.0 -2.9 -5.7 -3.0 -4.7 -0.0 -3.4 -12.9 -11.4 -15.0 -6.7 -15.4 -2.1 -5.5 -4.0 -4.5 -4.2 -13.9 -10.4 -20.0 -3.6 -20.0 -10.4 -0.0 -4.5 -7.1 -1.2 -7.9 2.8 -7.5 -20.0 -10.0 -20.0 -10.8 1.6 End of report for caleb_strategy_v1