******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221206_204253 produced at 2022-12-06 21:35:18.552981 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 0.0 8674850.84 -8674850.84 -0.15 -0.15 -28.77 999999999.0 -17 -17 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.13 0.0 21456486.23 -21456486.23 -0.11 -0.11 -5.85 999999999.0 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.09 0.0 32027239.50 -32027239.50 -0.10 -0.10 -2.70 999999999.0 -3 -3 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.08 0.0 37409218.51 -37409218.51 -0.22 -0.19 -2.25 999999999.0 -6 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 39194964.09 -39194964.09 0.00 0.00 -1.75 999999999.0 0 0 caleb_strategy_v1 US10U False False 0.04 0.00 -0.06 0.0 41529342.36 -41529342.36 0.00 0.00 -1.38 999999999.0 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 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 0.0 45719389.98 -45719389.98 -0.09 -0.05 -1.14 999999999.0 -2 -1 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.03 0.0 44385459.55 -44385459.55 -0.09 -0.09 -0.62 999999999.0 -2 -2 caleb_strategy_v1 US30 False False 0.05 -0.05 -0.03 0.0 48666945.95 -48666945.95 -0.05 -0.05 -0.52 999999999.0 -1 -1 caleb_strategy_v1 JPY False False 0.03 -0.06 -0.02 0.0 31532394.33 -31532394.33 -0.06 -0.06 -0.65 999999999.0 -2 -2 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25327466.30 -25327466.30 -0.05 -0.03 -0.63 999999999.0 -2 -1 caleb_strategy_v1 NASDAQ False False 0.08 -0.08 -0.01 0.0 81003140.94 -81003140.94 -0.08 -0.08 -0.06 999999999.0 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 13412455.40 -13412455.40 -0.01 -0.01 -0.61 999999999.0 -1 -1 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 18981399.82 -18981399.82 0.00 0.00 -0.32 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 64407325.11 -64407325.11 0.00 0.00 -0.10 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8729929.26 -8729929.26 0.00 0.00 -1.03 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6126785.53 -6126785.53 0.00 0.00 -1.17 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6385654.09 -6385654.09 0.00 0.00 -0.84 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.01 0.0 14518326.76 -14518326.76 -0.01 -0.03 -0.39 999999999.0 -1 -2 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 45385907.37 -45385907.37 0.00 0.00 -0.21 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.08 -0.01 0.0 3169418.72 -3169418.72 -0.08 -0.03 -4.30 999999999.0 -24 -11 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4266964.56 -4266964.56 0.00 0.00 0.93 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.00 0.0 26888595.21 -26888595.21 0.00 0.00 0.17 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10245446.36 -10245446.36 0.02 0.02 0.17 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 -0.00 0.0 23065808.76 -23065808.76 0.00 -0.02 -0.12 999999999.0 0 -1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 579011.87 -579011.87 0.00 0.00 4.97 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.17 -0.00 0.0 86383613.91 -86383613.91 0.17 0.09 -0.01 999999999.0 2 1 caleb_strategy_v1 GASOILINE False False 0.03 0.03 0.00 0.0 32422255.02 -32422255.02 0.03 0.03 0.15 999999999.0 1 1 caleb_strategy_v1 SP500 False False 0.07 0.07 0.00 0.0 68899658.58 -68899658.58 0.07 0.21 0.01 999999999.0 1 3 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21099767.41 -21099767.41 0.00 0.00 -0.18 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14408169.92 -14408169.92 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10285894.57 -10285894.57 0.00 0.00 -0.48 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17280853.66 -17280853.66 0.00 0.00 0.43 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 5843131.67 -5843131.67 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14230379.37 -14230379.37 0.00 0.00 0.99 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 12900742.47 -12900742.47 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 19277446.32 -19277446.32 0.00 0.00 0.78 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 21735320.72 -21735320.72 0.04 0.04 0.47 999999999.0 2 2 caleb_strategy_v1 GBP False False 0.03 0.08 0.02 0.0 26194521.08 -26194521.08 0.08 0.08 0.67 999999999.0 3 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.0 5199672.54 -5199672.54 0.01 0.01 3.12 999999999.0 2 2 caleb_strategy_v1 CAC False False 0.02 0.00 0.02 0.0 24065552.96 -24065552.96 0.00 0.00 0.97 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 8705832.45 -8705832.45 0.01 0.03 2.25 999999999.0 1 3 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 32522084.66 -32522084.66 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 29458347.65 -29458347.65 0.00 0.00 0.74 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.06 0.12 0.02 0.0 58333747.53 -58333747.53 0.12 0.18 0.38 999999999.0 2 3 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7541337.00 -7541337.00 0.02 0.02 2.67 999999999.0 3 3 caleb_strategy_v1 LEANHOG False False 0.01 0.01 0.03 0.0 12451164.88 -12451164.88 0.01 0.02 2.42 999999999.0 1 2 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.03 0.0 42227728.09 -42227728.09 0.04 0.04 0.71 999999999.0 1 1 caleb_strategy_v1 SOYMEAL False False 0.01 0.06 0.04 0.0 14829864.06 -14829864.06 0.06 0.06 2.55 999999999.0 4 4 caleb_strategy_v1 BTP False False 0.04 0.13 0.05 0.0 42139936.07 -42139936.07 0.13 0.08 1.25 999999999.0 3 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.0 48948902.40 -48948902.40 0.00 0.00 1.19 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.08 0.0 23731052.78 -23731052.78 0.05 0.05 3.29 999999999.0 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.06 0.13 0.0 0.00 -0.00 0.06 0.03 18.34 0.0 8 4 caleb_strategy_v1 BUND False False 0.05 0.05 0.19 0.0 50764626.76 -50764626.76 0.05 0.05 3.73 999999999.0 1 1 caleb_strategy_v1 BOBL False False 0.04 0.17 0.41 0.0 42939719.42 -42939719.42 0.17 0.17 9.49 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 11.5 Shocked risk 36.6 Sum abs risk 32.9 Leverage 2.21 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2904949.08, 'annual_cash_vol_target': 726237.27, 'daily_cash_vol_target': 45389.829375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0066 0.6700 0.9919 15.8700 BITCOIN 935.2130 16820.0000 5.5601 88.9620 BOBL 0.3954 119.1900 0.3318 5.3084 BTP 1.0240 116.9700 0.8754 14.0067 BUND 0.8363 140.9100 0.5935 9.4958 BUXL 2.0454 161.9200 1.2632 20.2112 CAC 56.8749 6680.0000 0.8514 13.6227 CAD 0.0045 0.7358 0.6156 9.8496 CANOLA 11.6287 846.6000 1.3736 21.9772 CHF 0.0075 1.0625 0.7097 11.3545 COCOA 29.2409 2536.0000 1.1530 18.4485 COFFEE 0.0370 1.6345 2.2618 36.1889 COPPER 0.0675 3.7790 1.7866 28.5860 CORN 4.5552 595.2500 0.7653 12.2440 COTTON2 0.0199 0.8371 2.3808 38.0926 CRUDE_W 1.3585 78.1100 1.7392 27.8279 DAX 126.0459 14433.0000 0.8733 13.9731 DOW 355.9279 33948.0000 1.0485 16.7752 EUR 0.0073 1.0548 0.6950 11.1203 EUROSTX 35.3797 3950.0000 0.8957 14.3310 FEEDCOW 1.3467 186.0750 0.7238 11.5801 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 20.8118 855.7500 2.4320 38.9120 GASOILINE 0.0515 2.2425 2.2984 36.7750 GAS_US 0.2615 5.5140 4.7418 75.8685 GBP 0.0115 1.2175 0.9410 15.0562 GOLD_micro 17.6528 1779.8000 0.9918 15.8695 HEATOIL 0.0690 2.9207 2.3620 37.7916 JPY 0.0001 0.0073 0.9210 14.7360 LEANHOG 1.5215 90.4250 1.6826 26.9221 LIVECOW 0.8295 155.8250 0.5323 8.5172 MXP 0.0004 0.0506 0.7448 11.9165 NASDAQ 203.3421 11765.5000 1.7283 27.6527 NIKKEI 261.5561 27725.0000 0.9434 15.0943 NZD 0.0061 0.6314 0.9595 15.3523 OAT 0.8820 135.8700 0.6491 10.3859 OJ 0.0348 1.9920 1.7489 27.9823 PALLAD 44.5253 1871.0000 2.3798 38.0762 PLAT 19.1113 1004.0000 1.9035 30.4562 REDWHEAT 14.8520 843.5000 1.7608 28.1722 ROBUSTA 22.7849 1855.0000 1.2283 19.6527 RUSSELL 29.2713 1841.4000 1.5896 25.4340 SILVER-mini 0.4818 22.4000 2.1510 34.4159 SOYBEAN 12.5341 1378.7500 0.9091 14.5454 SOYMEAL 4.8142 430.8000 1.1175 17.8802 SOYOIL 1.2325 62.4600 1.9732 31.5712 SP400 35.8297 2509.4000 1.4278 22.8451 SP500 52.9403 4003.0000 1.3225 21.1603 SUGAR11 0.0023 0.1956 1.1901 19.0417 US10 0.5619 113.8594 0.4935 7.8967 US10U 0.7635 120.6406 0.6329 10.1263 US20 1.0767 128.9375 0.8350 13.3603 US30 1.6719 141.3750 1.1826 18.9214 US5 0.3808 108.6719 0.3504 5.6064 VIX 0.5035 25.2000 1.9978 31.9655 WHEAT 12.3210 779.2500 1.5811 25.2982 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.05 0.99 664.61 1.00 664.61 45389.83 68.30 -1.13 -7.73 BITCOIN 16.82 5.56 93.52 1.00 93.52 45389.83 485.34 4.35 210.96 BOBL 1191.90 0.33 395.44 1.05 416.60 45389.83 108.95 12.07 131.52 BTP 1169.70 0.88 1023.98 1.05 1078.76 45389.83 42.08 14.73 61.97 BUND 1409.10 0.59 836.29 1.05 881.03 45389.83 51.52 10.04 51.73 BUXL 1619.20 1.26 2045.37 1.05 2154.80 45389.83 21.06 2.16 4.55 CAC 668.00 0.85 568.75 1.05 599.18 45389.83 75.75 4.57 34.61 CAD 735.75 0.62 452.93 1.00 452.93 45389.83 100.21 -3.51 -35.16 CANOLA 169.32 1.37 232.57 0.74 172.82 45389.83 262.65 3.87 101.58 CHF 1328.12 0.71 942.51 1.00 942.51 45389.83 48.16 -6.33 -30.47 COCOA 253.60 1.15 292.41 1.00 292.41 45389.83 155.23 -3.04 -47.19 COFFEE 612.94 2.26 1386.35 1.00 1386.35 45389.83 32.74 -4.14 -13.57 COPPER 944.75 1.79 1687.91 1.00 1687.91 45389.83 26.89 7.14 19.20 CORN 297.62 0.77 227.76 1.00 227.76 45389.83 199.29 0.97 19.26 COTTON2 418.55 2.38 996.48 1.00 996.48 45389.83 45.55 -0.75 -3.43 CRUDE_W 781.10 1.74 1358.52 1.00 1358.52 45389.83 33.41 0.37 1.25 DAX 144.33 0.87 126.05 1.05 132.79 45389.83 341.82 1.68 57.41 DOW 169.74 1.05 177.96 1.00 177.96 45389.83 255.05 1.25 31.76 EUR 1318.44 0.70 916.34 1.00 916.34 45389.83 49.53 -1.13 -5.62 EUROSTX 395.00 0.90 353.80 1.05 372.73 45389.83 121.78 2.89 35.23 FEEDCOW 930.38 0.72 673.37 1.00 673.37 45389.83 67.41 -14.90 -100.44 FTSE100 707.00 0.82 576.59 1.22 666.67 45389.83 68.08 -2.56 -17.45 GASOIL 855.75 2.43 2081.18 1.00 2081.18 45389.83 21.81 4.76 10.38 GASOILINE 941.85 2.30 2164.79 1.00 2164.79 45389.83 20.97 1.74 3.65 GAS_US 551.40 4.74 2614.62 1.00 2614.62 45389.83 17.36 -12.21 -21.20 GBP 760.94 0.94 716.05 1.00 716.05 45389.83 63.39 5.95 37.73 GOLD_micro 177.98 0.99 176.53 1.00 176.53 45389.83 257.13 -2.04 -52.35 HEATOIL 1226.69 2.36 2897.42 1.00 2897.42 45389.83 15.67 6.33 9.92 JPY 916.00 0.92 843.64 1.00 843.64 45389.83 53.80 -1.87 -10.07 LEANHOG 361.70 1.68 608.61 1.00 608.61 45389.83 74.58 6.94 51.79 LIVECOW 623.30 0.53 331.80 1.00 331.80 45389.83 136.80 -15.93 -217.86 MXP 252.90 0.74 188.36 1.00 188.36 45389.83 240.98 7.62 183.60 NASDAQ 2353.10 1.73 4066.84 1.00 4066.84 45389.83 11.16 -1.04 -1.16 NIKKEI 27725.00 0.94 26155.61 0.01 193.29 45389.83 234.82 4.11 96.59 NZD 631.40 0.96 605.84 1.00 605.84 45389.83 74.92 3.93 29.42 OAT 1358.70 0.65 881.96 1.05 929.15 45389.83 48.85 12.03 58.78 OJ 298.80 1.75 522.57 1.00 522.57 45389.83 86.86 -3.14 -27.29 PALLAD 1871.00 2.38 4452.53 1.00 4452.53 45389.83 10.19 -3.89 -3.96 PLAT 502.00 1.90 955.56 1.00 955.56 45389.83 47.50 3.74 17.75 REDWHEAT 421.75 1.76 742.60 1.00 742.60 45389.83 61.12 -12.07 -73.77 ROBUSTA 185.50 1.23 227.85 1.00 227.85 45389.83 199.21 -3.24 -64.49 RUSSELL 92.07 1.59 146.36 1.00 146.36 45389.83 310.13 -2.67 -82.93 SILVER-mini 560.00 2.15 1204.56 1.00 1204.56 45389.83 37.68 9.22 34.76 SOYBEAN 689.38 0.91 626.70 1.00 626.70 45389.83 72.43 7.71 55.83 SOYMEAL 430.80 1.12 481.42 1.00 481.42 45389.83 94.28 4.58 43.19 SOYOIL 374.76 1.97 739.48 1.00 739.48 45389.83 61.38 6.94 42.62 SP400 2509.40 1.43 3582.97 1.00 3582.97 45389.83 12.67 -0.14 -0.17 SP500 2001.50 1.32 2647.02 1.00 2647.02 45389.83 17.15 0.19 0.32 SUGAR11 219.07 1.19 260.72 1.00 260.72 45389.83 174.09 11.30 196.79 US10 1138.59 0.49 561.95 1.00 561.95 45389.83 80.77 -5.66 -45.71 US10U 1206.41 0.63 763.53 1.00 763.53 45389.83 59.45 -1.59 -9.47 US20 1289.38 0.84 1076.65 1.00 1076.65 45389.83 42.16 -2.00 -8.41 US30 1413.75 1.18 1671.88 1.00 1671.88 45389.83 27.15 -2.28 -6.20 US5 1086.72 0.35 380.79 1.00 380.79 45389.83 119.20 -4.93 -58.76 VIX 252.00 2.00 503.46 1.00 503.46 45389.83 90.16 -16.94 -152.69 WHEAT 389.62 1.58 616.05 1.00 616.05 45389.83 73.68 -15.60 -114.95 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -7.725 0.006 2.5 -0.123 BITCOIN 210.961 0.009 2.5 4.970 BOBL 131.520 0.029 2.5 9.490 BTP 61.974 0.008 2.5 1.252 BUND 51.734 0.029 2.5 3.733 BUXL 4.552 0.034 2.5 0.382 CAC 34.614 0.011 2.5 0.973 CAD -35.157 0.007 2.5 -0.628 CANOLA 101.579 0.004 2.5 0.932 CHF -30.467 0.015 2.5 -1.140 COCOA -47.194 0.009 2.5 -1.028 COFFEE -13.566 0.005 2.5 -0.176 COPPER 19.201 0.011 2.5 0.525 CORN 19.264 0.004 2.5 0.174 COTTON2 -3.429 0.006 2.5 -0.052 CRUDE_W 1.253 0.053 2.5 0.166 DAX 57.410 0.022 2.5 3.118 DOW 31.759 0.011 2.5 0.905 EUR -5.621 0.015 2.5 -0.210 EUROSTX 35.228 0.011 2.5 0.990 FEEDCOW -100.440 0.011 2.5 -2.699 FTSE100 -17.451 0.041 2.5 -1.799 GASOIL 10.382 0.029 2.5 0.741 GASOILINE 3.650 0.016 2.5 0.150 GAS_US -21.199 0.006 2.5 -0.319 GBP 37.728 0.007 2.5 0.674 GOLD_micro -52.354 0.009 2.5 -1.171 HEATOIL 9.918 0.029 2.5 0.707 JPY -10.069 0.026 2.5 -0.652 LEANHOG 51.792 0.019 2.5 2.420 LIVECOW -217.864 0.011 2.5 -5.854 MXP 183.604 0.005 2.5 2.248 NASDAQ -1.161 0.022 2.5 -0.063 NIKKEI 96.586 0.076 2.5 18.345 NZD 29.423 0.006 2.5 0.470 OAT 58.777 0.008 2.5 1.187 OJ -27.285 0.007 2.5 -0.476 PALLAD -3.962 0.010 2.5 -0.095 PLAT 17.746 0.010 2.5 0.427 REDWHEAT -73.766 0.002 2.5 -0.394 ROBUSTA -64.488 0.005 2.5 -0.836 RUSSELL -82.931 0.021 2.5 -4.295 SILVER-mini 34.758 0.009 2.5 0.778 SOYBEAN 55.831 0.024 2.5 3.292 SOYMEAL 43.195 0.024 2.5 2.547 SOYOIL 42.618 0.004 2.5 0.391 SP400 -0.173 0.021 2.5 -0.009 SP500 0.317 0.011 2.5 0.009 SUGAR11 196.789 0.005 2.5 2.670 US10 -45.708 0.015 2.5 -1.754 US10U -9.471 0.058 2.5 -1.380 US20 -8.411 0.029 2.5 -0.620 US30 -6.199 0.034 2.5 -0.520 US5 -58.761 0.015 2.5 -2.254 VIX -152.691 0.075 2.5 -28.774 WHEAT -114.947 0.002 2.5 -0.614 ==================== Position diags ==================== AUD 1.09 BITCOIN 11.43 BOBL 7.86 BTP 0.85 BUND 3.72 BUXL 1.77 CAC 2.13 CAD 1.79 CANOLA 2.41 CHF 1.80 COCOA 3.38 COFFEE 0.42 COPPER 0.73 CORN 1.80 COTTON2 0.69 CRUDE_W 4.41 DAX 18.56 DOW 7.27 EUR 1.85 EUROSTX 3.42 FEEDCOW 1.81 FTSE100 7.02 GASOIL 1.56 GASOILINE 0.86 GAS_US 0.26 GBP 1.13 GOLD_micro 5.75 HEATOIL 1.12 JPY 3.48 LEANHOG 3.48 LIVECOW 3.68 MXP 2.95 NASDAQ 0.61 NIKKEI 44.60 NZD 1.20 OAT 0.99 OJ 1.52 PALLAD 0.25 PLAT 1.14 REDWHEAT 0.33 ROBUSTA 2.58 RUSSELL 16.06 SILVER-mini 0.84 SOYBEAN 4.27 SOYMEAL 5.56 SOYOIL 0.56 SP400 0.66 SP500 0.49 SUGAR11 2.36 US10 3.10 US10U 8.66 US20 3.11 US30 2.28 US5 4.57 VIX 16.99 WHEAT 0.39 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 5.0 3.8 6.1 NaN 0 BOBL 9.5 8.7 10.3 4.0 4 BTP 1.3 1.2 1.3 3.0 3 BUND 3.7 3.4 4.1 1.0 1 BUXL 0.4 0.2 0.6 2.0 2 CAC 1.0 0.8 1.2 0.0 0 CAD -0.6 -0.8 -0.4 -2.0 -2 CANOLA 0.9 0.7 1.2 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 -0.1 -0.1 0.0 NaN 0 CRUDE_W 0.2 -0.3 0.6 0.0 0 DAX 3.1 1.3 5.0 2.0 2 DOW 0.9 0.2 1.6 0.0 0 EUR -0.2 -0.4 -0.0 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 0.7 0.6 0.9 0.0 0 GASOILINE 0.1 0.1 0.2 1.0 1 GAS_US -0.3 -0.3 -0.3 0.0 0 GBP 0.7 0.6 0.8 3.0 3 GOLD_micro -1.2 -1.7 -0.6 0.0 0 HEATOIL 0.7 0.6 0.8 1.0 1 JPY -0.7 -1.0 -0.3 -2.0 -2 LEANHOG 2.4 2.1 2.8 1.0 1 LIVECOW -5.9 -6.2 -5.5 -5.0 -5 MXP 2.2 2.0 2.5 1.0 1 NASDAQ -0.1 -0.1 -0.0 -1.0 -1 NIKKEI 18.3 13.9 22.8 8.0 8 NZD 0.5 0.4 0.6 2.0 2 OAT 1.2 1.1 1.3 0.0 0 OJ -0.5 -0.6 -0.3 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.4 0.3 0.5 NaN 0 REDWHEAT -0.4 -0.4 -0.4 -1.0 -1 ROBUSTA -0.8 -1.1 -0.6 0.0 0 RUSSELL -4.3 -5.9 -2.7 -24.0 -24 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.3 2.9 3.7 2.0 2 SOYMEAL 2.5 2.0 3.1 4.0 4 SOYOIL 0.4 0.3 0.4 0.0 0 SP400 -0.0 -0.1 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 -1.4 NaN 0 US10U -1.4 -2.2 -0.5 0.0 0 US20 -0.6 -0.9 -0.3 -2.0 -2 US30 -0.5 -0.7 -0.3 -1.0 -1 US5 -2.3 -2.7 -1.8 -6.0 -6 VIX -28.8 -30.5 -27.1 -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 -0.0 0.0 0.0 -0.0 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 0.1 -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 0.0 -0.0 0.0 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 4.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.4 -0.3 -0.3 BOBL 0.1 0.2 -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 1.5 0.8 0.4 0.4 -0.1 -0.2 0.0 -0.2 0.0 1.7 -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 -0.1 0.0 -0.3 0.1 0.0 1.5 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 0.0 0.0 0.3 0.2 BUND 0.2 0.3 -0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.2 0.9 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 0.0 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 0.3 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 0.0 -0.0 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 0.1 0.2 0.2 CAD 0.1 0.2 -0.1 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 0.3 -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 0.7 0.5 0.2 0.2 -0.1 -0.1 -0.0 -0.0 -0.0 1.3 -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 0.3 -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 0.2 -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 0.0 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 -0.2 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 -0.1 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 0.1 -0.5 CRUDE_W -0.0 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 0.3 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -2.7 0.1 0.3 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 0.2 0.0 -0.2 0.1 0.4 -0.2 -0.1 -0.1 -0.0 0.3 0.2 0.0 -0.1 0.0 -1.5 -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 0.0 -0.1 0.1 0.3 -0.4 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 -0.6 -0.0 0.1 -0.0 0.0 0.0 0.0 0.0 -0.3 -0.0 0.0 0.3 0.2 EUR 0.2 0.3 0.4 0.0 0.0 -0.0 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 0.0 -0.1 0.1 0.3 -0.1 0.1 -0.0 0.0 0.2 0.2 0.0 0.0 0.0 -2.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.6 0.0 0.3 0.3 0.3 FEEDCOW 0.1 0.1 -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 -1.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.0 0.4 0.2 -0.1 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 -0.1 -0.0 -0.2 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 0.0 -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 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.2 -0.0 0.1 -0.0 -0.1 0.3 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 0.1 0.0 0.0 0.1 0.1 GAS_US 0.2 -0.1 -0.3 -0.1 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 -0.2 -0.4 -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 0.1 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 -0.1 0.0 2.2 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.0 0.0 0.1 -0.1 GOLD_micro 0.2 0.3 0.1 0.0 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.0 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 -0.3 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 0.0 -0.0 0.3 -0.0 -0.0 1.7 0.9 0.5 0.5 -0.1 0.0 -0.0 0.2 -0.0 -1.4 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 1.2 0.0 -0.0 0.0 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 0.0 -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 -0.0 0.0 -0.0 0.0 0.2 -1.6 0.8 0.1 0.4 0.0 0.0 0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.0 2.7 0.0 0.1 0.3 -0.0 LIVECOW 0.0 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 0.2 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 0.2 MXP -0.0 0.1 0.1 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.4 0.0 0.4 0.0 0.3 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 -0.3 0.0 0.3 NASDAQ 0.2 0.3 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.3 0.1 -0.2 -0.3 -0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.2 0.0 1.2 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 0.1 0.1 -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 -0.2 -0.3 -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 0.2 -0.1 0.0 -0.0 -0.0 0.2 -0.0 0.0 -0.1 0.0 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.4 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 0.1 -0.1 0.9 0.5 0.3 0.3 0.1 -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 0.2 -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 0.0 -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 0.0 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 -0.2 -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 -1.6 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.2 -0.4 -0.2 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 -0.3 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 0.0 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 0.1 0.1 0.7 0.6 0.3 0.3 0.1 0.1 0.0 0.1 0.0 -2.0 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.5 0.2 0.4 0.3 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 0.0 -0.0 0.1 -0.0 2.4 -0.1 -0.4 0.3 0.3 SP400 0.1 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 -0.1 -0.0 -0.0 -0.0 0.1 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 -0.1 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 0.0 -0.2 0.1 0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 0.8 -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 -2.4 -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 -0.1 -0.5 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 0.3 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.1 -0.1 0.1 0.2 0.0 0.0 0.0 -0.2 0.0 -0.3 0.0 -1.0 -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 0.0 0.0 -0.2 0.0 -0.3 0.1 -0.1 0.2 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 0.2 -0.0 -0.0 US30 0.2 0.3 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 0.0 -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 0.1 US5 0.2 0.3 -0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.2 -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 -0.1 -0.5 -0.2 -0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -1.5 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.1 -0.4 -0.2 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 18.9 20.0 -2.1 2.2 1.2 -1.6 3.7 -3.9 4.5 0.5 -7.2 11.4 -10.1 12.9 0.4 -2.9 -1.9 -2.6 -2.3 5.2 -5.3 8.5 -9.9 11.9 1.8 -0.0 1.4 -0.6 -2.9 3.0 -4.8 4.2 -0.4 -5.9 -4.5 -7.7 -4.8 BITCOIN -8.1 15.1 11.6 3.1 2.1 0.8 4.0 -0.1 4.4 10.1 -15.8 -7.5 -15.9 -9.0 -12.1 1.0 -1.0 0.5 -0.1 -10.3 -16.6 -0.1 -20.0 -6.4 20.0 -0.0 -5.0 0.9 -5.3 -0.9 -4.8 -3.9 1.4 -6.3 -20.0 -20.0 -18.9 BOBL 15.7 17.1 -14.7 -0.2 1.9 -4.5 3.6 -6.9 3.4 2.9 -12.2 10.1 -12.9 7.5 -10.9 18.5 19.4 20.0 20.0 -5.6 -18.4 9.0 -20.0 6.1 11.1 -0.0 -1.6 2.3 -7.9 3.8 -12.6 2.9 20.0 -1.4 -13.4 -0.8 -7.2 BTP 20.0 20.0 8.5 -0.2 1.9 -4.5 3.6 -6.9 3.4 4.2 -5.2 11.8 -11.4 13.6 1.4 18.4 15.7 20.0 19.5 10.4 -5.4 13.4 -17.9 18.0 5.8 -0.0 2.9 2.0 -2.6 3.9 -7.6 5.3 20.0 0.7 1.5 20.0 13.5 BUND 20.0 20.0 -10.7 -0.2 1.9 -4.5 3.6 -6.9 3.4 4.2 -10.2 12.0 -12.5 11.9 -7.9 10.8 15.7 12.4 14.3 -1.3 -16.5 11.6 -20.0 11.1 8.9 -0.0 -0.3 2.1 -6.2 3.9 -10.2 3.9 20.0 0.6 -4.9 4.5 -6.5 BUXL 20.0 20.0 -1.6 -0.2 1.9 -4.5 3.6 -6.9 3.4 13.9 -7.5 15.3 -11.8 14.7 -2.6 5.0 -2.3 5.2 2.1 7.4 -12.4 20.0 -20.0 20.0 5.8 -0.0 1.7 5.9 -3.5 7.0 -6.6 6.1 -3.4 20.0 12.8 11.1 1.0 CAC 19.0 20.0 8.2 2.8 -0.2 -0.2 2.6 -1.7 4.2 -0.7 9.8 12.9 -1.8 15.9 14.4 -0.2 3.9 0.7 1.9 20.0 13.3 12.7 4.2 20.0 -14.6 -0.0 5.0 -0.0 2.5 2.7 0.6 5.1 6.9 0.3 6.5 18.4 14.3 CAD 5.3 15.2 -8.0 2.2 1.2 -1.6 3.7 -3.9 4.5 -8.8 -8.6 -6.1 -10.8 4.8 -4.7 -2.0 -0.8 -1.8 -1.3 -2.4 -8.9 -6.9 -10.7 -0.8 2.0 -0.0 -1.7 -6.0 -5.3 -3.3 -6.3 -0.6 1.3 -20.0 -20.0 -14.6 -12.2 CANOLA -20.0 8.2 -5.4 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 11.7 -10.3 -5.1 -2.4 -6.5 1.8 10.3 13.3 9.7 9.3 -6.5 -7.2 -2.2 -0.9 -8.6 5.7 -0.0 -2.4 3.3 -1.0 -1.4 1.5 -4.0 -2.3 7.6 -20.0 -6.1 6.8 CHF 20.0 20.0 10.5 2.2 1.2 -1.6 3.7 -3.9 4.5 6.5 0.5 13.1 -7.1 13.3 8.2 -11.1 -11.3 -11.8 -12.0 11.4 1.3 12.1 -5.5 16.5 -3.9 -0.0 3.2 1.6 -0.5 3.7 -3.4 5.1 -16.9 -2.0 12.1 -2.2 6.3 COCOA 6.9 16.6 5.0 -2.8 -4.9 -3.0 -4.4 -0.0 -3.2 13.7 -3.1 7.2 -9.3 9.7 9.0 -0.8 -3.2 0.0 -1.2 11.0 2.0 12.3 -6.2 13.3 1.6 -0.0 3.9 4.3 1.0 2.7 -1.7 3.7 -20.0 17.7 20.0 18.0 11.6 COFFEE 4.2 -20.0 -20.0 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 -7.9 -12.5 2.4 -6.4 -12.1 -13.8 0.5 4.5 4.9 6.1 -20.0 -20.0 -3.1 -10.7 -15.1 12.9 -0.0 -5.4 -1.0 -4.7 -1.0 -2.0 -3.4 -11.8 15.6 -3.5 -20.0 -20.0 COPPER 5.8 20.0 13.9 3.1 2.1 0.8 4.0 -0.1 4.4 8.2 -8.5 2.9 -9.7 6.0 5.3 -0.0 0.2 0.3 0.2 7.6 -2.4 11.7 -9.0 11.1 17.3 -0.0 3.8 3.5 -0.1 4.9 -2.2 5.5 2.7 8.6 -2.6 8.3 5.6 CORN -16.1 -9.2 15.5 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 -13.7 1.2 -14.4 5.3 -14.3 6.9 18.4 13.9 16.0 14.1 -4.9 4.6 -17.9 15.6 -13.9 -15.0 -0.0 -3.9 -9.5 0.7 -8.8 6.0 -7.5 2.3 -13.1 -20.0 -10.6 10.5 COTTON2 9.8 -0.5 -20.0 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 8.3 -11.3 2.6 -0.5 4.7 -9.1 3.9 17.3 7.3 13.3 -10.1 -14.4 3.1 -4.1 -1.2 -3.8 -0.0 -2.0 2.4 -3.2 3.0 1.5 1.5 6.4 20.0 15.8 2.0 -17.7 CRUDE_W -3.8 6.6 -6.7 -3.6 -1.6 -1.0 -3.3 5.8 -4.3 13.5 -4.9 -1.0 3.7 1.1 5.6 6.9 13.6 8.4 11.0 1.5 -0.0 5.8 6.0 2.3 2.7 -0.0 1.4 6.2 1.7 3.8 6.8 2.0 -20.0 20.0 14.7 15.1 9.1 DAX 20.0 20.0 11.9 2.8 -0.2 -0.2 2.6 -1.7 4.2 0.5 6.3 13.2 -5.7 15.6 14.1 -4.5 -1.7 -3.6 -2.7 20.0 12.0 12.8 -3.8 20.0 -10.0 -0.0 5.1 0.3 2.2 2.2 -0.7 4.8 -1.8 -5.4 18.0 20.0 20.0 DOW 14.4 20.0 6.8 2.8 -0.2 -0.2 2.6 -1.7 4.2 -4.8 5.2 10.4 -2.4 14.9 12.8 -5.3 -1.9 -4.6 -3.6 19.8 8.3 9.5 -0.5 20.0 -5.0 -0.0 4.6 -0.7 1.8 2.2 0.0 4.8 -2.8 -3.0 0.8 18.8 12.5 EUR 20.0 20.0 20.0 2.2 5.2 -1.7 5.0 -3.9 4.8 13.6 -4.3 15.2 -11.7 15.3 11.9 -7.0 -8.2 -7.5 -8.1 13.6 -1.8 18.4 -14.4 20.0 3.8 -0.0 3.6 5.8 -1.7 5.5 -6.6 5.9 -11.0 -2.4 4.3 5.5 8.2 EUROSTX 20.0 20.0 12.4 2.8 -0.2 -0.2 2.6 -1.7 4.2 2.4 8.7 14.5 -3.7 16.2 14.5 -1.1 2.3 -0.6 0.5 20.0 14.8 15.7 1.5 20.0 -15.6 -0.0 5.2 0.5 2.7 2.7 0.2 5.2 4.2 1.1 17.7 20.0 20.0 FEEDCOW 7.9 6.6 -8.6 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 13.2 -1.2 10.4 -2.0 10.5 -3.7 -20.0 -20.0 -20.0 -20.0 1.0 -2.7 13.1 -2.7 7.2 -8.0 -0.0 0.9 10.0 -1.6 8.0 -1.4 5.0 -20.0 20.0 20.0 18.0 -9.3 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 -8.1 -8.5 -3.8 -9.7 -1.1 -6.6 5.0 -5.2 -8.8 1.2 -11.4 10.5 -11.0 -3.7 20.0 20.0 20.0 20.0 -6.7 3.5 -15.0 16.4 -13.6 -5.0 -0.0 -3.0 -7.9 0.9 -6.0 6.6 -5.6 0.0 0.7 -6.1 -3.5 14.0 GASOILINE -16.9 1.6 -14.7 -3.8 -9.7 -1.1 -6.6 5.0 -5.2 -9.7 -8.7 -11.6 4.1 -9.3 -3.0 4.0 20.0 16.4 20.0 -6.6 -2.5 -13.5 8.8 -11.0 -4.9 -0.0 -1.4 -6.8 1.3 -4.7 9.3 -3.4 0.8 18.1 2.8 10.1 4.9 GAS_US 14.0 -3.3 -20.0 -3.8 -9.7 -1.1 -6.6 5.0 -5.2 -13.2 -7.6 -7.2 1.3 -0.5 -9.4 -4.5 -10.7 -14.9 -13.4 -7.0 -6.5 -16.9 1.6 -5.1 -11.0 -0.0 -0.0 -13.0 0.5 -3.5 4.7 1.0 -20.0 6.2 20.0 6.3 6.2 GBP 20.0 20.0 20.0 2.2 1.2 -1.6 3.7 -3.9 4.5 8.3 -2.4 13.9 -9.0 15.1 10.0 -1.9 -1.4 -1.8 -1.8 12.5 -1.7 17.7 -11.4 19.7 15.0 -0.0 2.0 3.7 -4.0 5.5 -7.7 5.5 0.4 6.1 1.7 4.0 -9.2 GOLD_micro 18.2 20.0 2.9 3.1 2.1 0.8 4.0 -0.1 4.4 1.8 -8.1 9.6 -10.6 11.6 5.1 -10.1 -7.9 -10.0 -9.3 9.0 -2.8 12.1 -8.0 15.2 10.9 -0.0 3.0 1.0 -0.6 3.9 -1.8 5.2 -12.3 -3.2 10.5 1.7 -7.0 HEATOIL -18.6 -5.9 -15.1 -3.8 -9.7 -1.1 -6.6 5.0 -5.2 -9.2 0.3 -10.7 9.6 -7.8 -0.6 20.0 20.0 20.0 20.0 -5.1 3.5 -16.3 14.9 -12.5 -14.5 -0.0 -1.9 -10.1 3.3 -7.3 12.1 -5.5 9.0 0.4 -2.5 3.9 16.7 JPY 20.0 20.0 14.6 2.2 1.2 -1.6 3.7 -3.9 4.5 7.4 -8.6 13.2 -13.8 13.6 0.9 -10.9 -10.0 -11.9 -11.6 8.3 -8.7 20.0 -20.0 19.8 15.3 -0.0 2.4 3.9 -3.2 6.1 -7.8 6.0 -15.4 15.5 20.0 -3.4 -5.7 LEANHOG -5.3 12.1 -2.0 -2.8 -4.9 -3.0 -4.4 -0.0 -3.2 10.4 -1.6 2.9 -0.3 9.6 9.2 -20.0 20.0 6.1 20.0 4.3 3.2 2.3 3.7 1.6 1.0 -0.0 1.0 7.3 0.6 0.4 1.4 -0.1 20.0 5.3 6.8 20.0 -0.6 LIVECOW 1.1 9.7 8.1 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 3.1 6.8 7.4 -1.3 7.2 7.6 -20.0 -20.0 -20.0 -20.0 7.2 5.5 5.0 0.9 5.9 -18.1 -0.0 3.9 3.1 3.6 3.3 2.5 3.7 -20.0 8.5 11.6 20.0 10.4 MXP -1.6 8.9 6.8 2.2 1.2 -1.6 3.7 -3.9 4.5 -8.6 15.7 1.1 15.3 11.8 14.6 18.7 20.0 19.0 19.5 14.8 14.8 -1.9 13.5 9.5 -20.0 -0.0 5.6 -6.9 4.7 -0.5 3.6 3.8 20.0 -19.3 -18.6 3.6 20.0 NASDAQ 14.8 15.9 -3.1 2.8 -0.2 -0.2 2.6 -1.7 4.2 2.0 -9.5 11.2 -12.0 11.6 -6.3 -4.4 -3.0 -4.4 -4.0 0.8 -8.2 6.7 -11.9 7.6 10.9 -0.0 0.8 0.7 -3.5 4.1 -4.5 4.5 -4.1 3.8 3.1 -15.6 -10.7 NIKKEI 6.8 12.1 0.1 2.8 2.8 -0.3 3.9 -1.7 4.6 -8.9 6.7 3.7 1.4 11.9 6.7 4.4 8.4 5.9 7.9 8.4 5.5 -0.7 2.7 6.9 -10.5 -0.0 3.0 -5.2 0.4 -0.7 -0.8 3.0 16.0 -17.4 -14.5 -9.1 2.1 NZD 20.0 20.0 6.1 2.2 1.2 -1.6 3.7 -3.9 4.5 7.0 -3.8 13.5 -9.8 15.1 6.7 -1.1 0.4 -0.9 -0.4 15.1 -0.9 20.0 -10.4 20.0 2.9 -0.0 3.5 3.2 -0.9 5.4 -3.4 6.1 3.2 11.8 10.5 15.3 1.6 OAT 20.0 20.0 0.0 -0.2 1.9 -4.5 3.6 -6.9 3.4 5.6 -7.7 12.3 -11.9 13.1 -4.3 11.4 12.2 13.2 13.4 4.2 -11.2 14.3 -20.0 15.4 10.2 -0.0 1.1 2.4 -4.9 4.4 -9.5 4.8 20.0 3.5 0.8 11.8 -0.7 OJ -17.3 7.0 17.8 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 -1.8 13.2 -3.9 13.9 4.7 11.1 13.7 11.9 15.9 15.5 16.3 20.0 -2.4 20.0 4.4 -20.0 -0.0 4.3 -0.0 7.4 -2.1 8.0 -0.2 2.6 -1.9 -13.0 20.0 20.0 PALLAD -1.0 -13.4 -3.8 3.1 2.1 0.8 4.0 -0.1 4.4 -2.1 -10.7 -9.3 -6.8 -10.1 -10.2 -1.5 -1.3 -1.7 -1.5 -10.6 -8.4 -5.7 -6.5 -9.7 1.8 -0.0 -3.2 -0.7 -2.3 -0.7 -1.5 -2.4 0.0 -13.0 -18.8 -20.0 -7.8 PLAT 2.0 19.3 19.1 3.1 2.1 0.8 4.0 -0.1 4.4 -3.5 6.9 2.5 -3.4 10.4 12.1 0.0 -0.3 0.2 0.0 14.5 8.7 5.9 0.7 12.4 -3.3 -0.0 5.3 -1.0 2.5 3.1 -0.4 5.4 2.2 1.9 -2.5 13.3 12.7 REDWHEAT -15.1 -7.8 -0.8 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 -13.7 -10.5 -15.0 -4.0 -15.4 -1.8 4.8 -0.2 2.8 1.4 -10.3 -6.3 -20.0 0.2 -18.0 -11.8 -0.0 -3.6 -13.3 0.0 -10.6 4.3 -7.8 -20.0 -20.0 -18.1 -11.8 7.3 ROBUSTA 11.2 -20.0 -20.0 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 13.4 -11.6 12.9 -3.1 -10.1 -13.3 10.2 6.9 8.5 7.5 -20.0 -19.9 10.6 -6.2 -6.3 2.8 -0.0 -4.1 2.7 -3.7 2.4 -1.2 -0.9 -9.0 20.0 13.4 -20.0 -17.4 RUSSELL 6.4 16.5 4.1 2.8 -0.2 -0.2 2.6 -1.7 4.2 -4.3 -2.9 8.5 -10.0 11.9 0.4 -4.0 -2.1 -3.8 -3.2 5.6 -0.7 2.7 -6.2 6.9 -2.9 -0.0 3.0 -2.1 0.1 1.5 -1.8 3.6 -2.6 -6.3 -12.6 -8.0 2.9 SILVER-mini 8.8 20.0 20.0 3.1 2.1 0.8 4.0 -0.1 4.4 5.8 -3.9 9.5 -8.3 12.3 11.2 -3.9 -3.2 -4.0 -3.7 12.9 3.1 16.4 -5.2 16.9 15.2 -0.0 4.7 3.4 0.7 5.9 -2.6 6.4 -3.5 16.2 4.5 8.6 9.9 SOYBEAN -0.8 6.1 2.4 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 -5.4 -0.3 -0.9 4.1 6.0 9.0 17.8 20.0 18.2 20.0 3.8 2.7 -1.0 6.0 2.6 -19.5 -0.0 3.6 -4.3 5.5 -1.8 10.6 1.5 18.6 9.6 1.4 11.9 11.8 SOYMEAL 11.4 5.5 2.7 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 14.0 1.6 14.5 7.6 13.0 4.8 8.5 14.1 11.9 13.9 8.2 4.7 20.0 6.4 16.2 -14.8 -0.0 4.7 14.5 4.0 12.1 5.9 8.1 3.4 20.0 20.0 19.8 14.4 SOYOIL -20.0 12.3 3.6 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 -13.3 3.9 -11.2 6.5 0.1 7.2 20.0 20.0 20.0 20.0 5.7 8.0 -20.0 9.5 -7.5 -20.0 -0.0 2.6 -12.8 3.9 -8.3 4.9 -2.1 17.4 -20.0 -20.0 20.0 20.0 SP400 12.0 20.0 4.0 2.8 -0.2 -0.2 2.6 -1.7 4.2 -7.1 0.9 9.4 -5.7 13.3 6.7 -1.5 -1.2 -0.8 -0.9 11.4 3.3 5.2 -2.3 12.8 -6.7 -0.0 4.2 -2.3 1.5 1.8 0.1 4.6 0.0 -6.6 -2.9 0.5 8.9 SP500 15.3 20.0 -1.0 2.8 -0.2 -0.2 2.6 -1.7 4.2 -0.6 -4.8 11.4 -8.4 13.6 0.7 -4.7 -3.0 -4.5 -3.9 7.8 -1.9 8.3 -6.4 12.7 6.7 -0.0 3.1 -0.1 -1.1 3.6 -3.0 5.2 -4.0 1.9 2.3 -3.0 -1.1 SUGAR11 8.1 16.2 8.6 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 -0.6 3.7 0.8 0.2 8.3 9.1 20.0 20.0 20.0 20.0 14.5 8.7 2.4 3.9 11.0 -14.6 -0.0 5.1 0.2 3.3 1.8 1.8 4.4 20.0 6.2 20.0 20.0 20.0 US10 20.0 20.0 -5.3 -0.2 1.9 -4.5 3.6 -6.9 3.4 5.0 -10.1 13.1 -13.4 13.0 -6.4 -5.9 1.3 -4.5 -2.6 -0.1 -16.0 15.7 -20.0 14.3 -6.0 -0.0 0.4 1.8 -4.7 5.1 -7.6 4.9 -3.1 9.8 6.7 2.9 0.0 US10U 20.0 19.3 -6.9 -0.2 1.9 -4.5 3.6 -6.9 3.4 6.3 -10.0 13.7 -13.1 12.9 -6.3 1.2 4.8 0.8 1.9 0.1 -16.1 17.8 -20.0 15.5 -7.0 -0.0 0.5 2.6 -4.4 5.5 -6.9 5.2 3.9 12.3 8.3 1.8 1.2 US20 20.0 19.3 -11.1 -0.2 1.9 -4.5 3.6 -6.9 3.4 7.9 -9.6 14.5 -12.9 13.1 -5.5 2.0 2.9 1.8 2.1 0.0 -17.5 20.0 -20.0 18.3 -5.9 -0.0 0.3 3.1 -4.2 5.8 -5.9 5.1 2.2 16.3 16.7 -2.8 -1.5 US30 20.0 20.0 -5.4 -0.2 1.9 -4.5 3.6 -6.9 3.4 10.6 -10.4 14.6 -14.2 12.6 -5.1 -0.0 0.3 -0.7 -0.6 -0.4 -18.4 20.0 -20.0 18.2 -2.6 -0.0 0.4 5.3 -4.3 7.2 -6.5 5.7 -2.2 20.0 13.6 -4.9 4.2 US5 20.0 20.0 -2.0 -0.2 1.9 -4.5 3.6 -6.9 3.4 4.4 -10.2 12.1 -13.7 12.2 -6.6 -6.1 2.4 -5.2 -2.9 -1.4 -16.8 14.3 -20.0 12.3 -4.0 -0.0 0.0 1.6 -5.3 4.8 -8.9 4.5 -2.3 8.7 4.6 1.9 -1.0 VIX -17.0 -20.0 -2.2 -4.3 -4.4 -2.3 -6.1 -1.4 -6.0 -10.4 -11.2 -13.7 -9.4 -15.3 -12.3 -20.0 -18.8 -14.8 -14.6 -17.9 -10.8 -19.8 -7.8 -20.0 NaN -0.0 -5.5 -4.0 -2.8 -7.3 -1.7 -7.9 NaN NaN NaN NaN NaN WHEAT -20.0 -10.1 -4.3 -3.0 -4.4 -3.0 -4.5 -0.1 -3.5 -13.7 -11.7 -15.3 -6.9 -15.7 -3.4 -5.7 -4.0 -4.6 -4.3 -15.5 -11.1 -20.0 -3.9 -20.0 -10.1 -0.0 -4.7 -11.0 -1.4 -9.4 2.3 -7.9 -20.0 -19.5 -20.0 -14.6 1.0 End of report for caleb_strategy_v1