******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221208_204249 produced at 2022-12-08 21:35:25.674943 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.18 -0.26 0.0 8730536.26 -8730536.26 -0.18 -0.20 -29.54 999999999.0 -21 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 21246605.44 -21246605.44 -0.11 -0.11 -5.78 999999999.0 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.09 0.0 31928571.84 -31928571.84 -0.10 -0.10 -2.66 999999999.0 -3 -3 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.08 0.0 37621860.65 -37621860.65 -0.15 -0.15 -2.14 999999999.0 -4 -4 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 39484756.08 -39484756.08 0.00 0.00 -1.72 999999999.0 0 0 caleb_strategy_v1 CHF False False 0.05 -0.05 -0.06 0.0 46117850.02 -46117850.02 -0.05 -0.05 -1.23 999999999.0 -1 -1 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.79 999999999.0 0 0 caleb_strategy_v1 US10U False False 0.04 0.00 -0.03 0.0 41970413.94 -41970413.94 0.00 0.00 -0.82 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.02 0.00 -0.02 0.0 24914810.99 -24914810.99 0.00 0.00 -0.65 999999999.0 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.02 0.0 45205543.49 -45205543.49 -0.09 -0.09 -0.45 999999999.0 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.03 -0.02 0.0 3155761.03 -3155761.03 -0.03 -0.01 -6.59 999999999.0 -8 -3 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25404825.28 -25404825.28 -0.05 -0.05 -0.70 999999999.0 -2 -2 caleb_strategy_v1 JPY False False 0.03 -0.09 -0.02 0.0 31589961.62 -31589961.62 -0.09 -0.09 -0.78 999999999.0 -3 -3 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 20045725.35 -20045725.35 0.00 0.00 -0.34 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.05 -0.01 0.0 50112156.63 -50112156.63 -0.05 0.00 -0.24 999999999.0 -1 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 80322659.01 -80322659.01 0.00 0.00 -0.13 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13436571.37 -13436571.37 -0.03 -0.03 -0.64 999999999.0 -2 -2 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 66686803.66 -66686803.66 0.00 0.00 -0.09 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8599405.68 -8599405.68 0.00 0.00 -1.45 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6212138.88 -6212138.88 0.00 0.00 -1.33 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6463357.48 -6463357.48 0.00 0.00 -0.86 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 45393181.00 -45393181.00 0.00 0.00 -0.19 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.01 0.0 14609845.02 -14609845.02 -0.01 -0.01 -0.41 999999999.0 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 86021663.21 -86021663.21 0.00 0.00 -0.08 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12547126.42 -12547126.42 0.00 0.00 0.28 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4370673.92 -4370673.92 0.00 0.00 1.14 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10253203.90 -10253203.90 0.02 0.02 0.17 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.00 0.0 23367125.02 -23367125.02 -0.02 -0.02 -0.10 999999999.0 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.02 0.00 0.0 5859466.63 -5859466.63 0.02 0.02 0.17 999999999.0 3 4 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 596126.54 -596126.54 0.00 0.00 5.07 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.03 -0.00 0.0 30165072.53 -30165072.53 0.03 0.00 -0.05 999999999.0 1 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 68882378.24 -68882378.24 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20672477.78 -20672477.78 0.00 0.00 -0.22 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 13948153.19 -13948153.19 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10624165.42 -10624165.42 0.00 0.00 -0.41 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22036839.75 -22036839.75 0.04 0.04 0.56 999999999.0 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14316912.06 -14316912.06 0.00 0.00 0.95 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 5202539.98 -5202539.98 0.01 0.01 1.02 999999999.0 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 27753097.98 -27753097.98 0.00 0.00 0.44 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17478326.55 -17478326.55 0.00 0.00 0.36 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 40284350.70 -40284350.70 0.04 0.04 0.53 999999999.0 1 1 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26407284.09 -26407284.09 0.05 0.05 0.74 999999999.0 2 2 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.0 24220353.65 -24220353.65 0.05 0.05 0.91 999999999.0 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7617720.71 -7617720.71 0.02 0.02 2.54 999999999.0 3 3 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 8777122.13 -8777122.13 0.03 0.03 1.99 999999999.0 3 3 caleb_strategy_v1 LEANHOG False False 0.01 0.02 0.02 0.0 11960489.60 -11960489.60 0.02 0.02 1.89 999999999.0 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 20090154.47 -20090154.47 0.00 0.00 0.83 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 33464180.00 -33464180.00 0.03 0.03 0.58 999999999.0 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15949620.00 -15949620.00 0.06 0.06 1.97 999999999.0 4 4 caleb_strategy_v1 BUXL False False 0.06 0.12 0.03 0.0 59395148.66 -59395148.66 0.12 0.18 0.56 999999999.0 2 3 caleb_strategy_v1 BTP False False 0.04 0.09 0.05 0.0 42790445.06 -42790445.06 0.09 0.09 1.26 999999999.0 2 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.0 49719393.34 -49719393.34 0.00 0.00 1.29 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.09 0.0 24112498.86 -24112498.86 0.02 0.02 3.85 999999999.0 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.01 0.12 0.0 0.00 -0.00 0.01 0.00 16.52 0.0 1 0 caleb_strategy_v1 BUND False False 0.05 0.05 0.22 0.0 51562741.30 -51562741.30 0.05 0.05 4.25 999999999.0 1 1 caleb_strategy_v1 BOBL False False 0.04 0.22 0.41 0.0 43519041.09 -43519041.09 0.22 0.22 9.34 999999999.0 5 5 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 10.6 Shocked risk 34.9 Sum abs risk 32.4 Leverage 2.20 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2897874.68, 'annual_cash_vol_target': 724468.67, 'daily_cash_vol_target': 45279.291875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0063 0.6772 0.9319 14.9104 BITCOIN 891.8724 17275.0000 5.1628 82.6047 BOBL 0.3838 119.4600 0.3213 5.1411 BTP 0.9950 117.4600 0.8471 13.5534 BUND 0.8087 141.5400 0.5713 9.1413 BUXL 1.9326 163.0400 1.1854 18.9658 CAC 53.8085 6648.5000 0.8093 12.9493 CAD 0.0044 0.7362 0.5950 9.5196 CANOLA 11.3174 860.1000 1.3158 21.0532 CHF 0.0071 1.0692 0.6620 10.5928 COCOA 30.3630 2492.0000 1.2184 19.4947 COFFEE 0.0349 1.5975 2.1828 34.9242 COPPER 0.0626 3.8790 1.6133 25.8123 CORN 4.4062 594.2500 0.7415 11.8636 COTTON2 0.0194 0.8084 2.3997 38.3950 CRUDE_W 1.4293 72.2000 1.9796 31.6733 DAX 122.2148 14281.0000 0.8558 13.6926 DOW 335.8827 33960.0000 0.9891 15.8249 EUR 0.0071 1.0523 0.6705 10.7276 EUROSTX 33.9286 3930.0000 0.8633 13.8132 FEEDCOW 1.4110 185.0500 0.7625 12.1999 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.1686 804.2500 2.6321 42.1135 GASOILINE 0.0502 2.0813 2.4143 38.6294 GAS_US 0.2586 5.8090 4.4510 71.2163 GBP 0.0108 1.2244 0.8805 14.0884 GOLD_micro 16.5066 1800.2000 0.9169 14.6709 HEATOIL 0.0684 2.7795 2.4595 39.3524 JPY 0.0001 0.0073 0.8700 13.9197 LEANHOG 1.5861 86.6500 1.8305 29.2883 LIVECOW 0.9095 153.9250 0.5909 9.4544 MXP 0.0004 0.0509 0.7213 11.5413 NASDAQ 193.7144 11638.2500 1.6645 26.6314 NIKKEI 249.8058 27660.0000 0.9031 14.4501 NZD 0.0057 0.6386 0.8944 14.3110 OAT 0.8496 136.4800 0.6225 9.9601 OJ 0.0355 2.0525 1.7316 27.7061 PALLAD 44.4354 1932.5000 2.2994 36.7899 PLAT 18.1392 1013.0000 1.7906 28.6502 REDWHEAT 14.6582 846.7500 1.7311 27.6978 ROBUSTA 22.0151 1873.0000 1.1754 18.8062 RUSSELL 27.6790 1829.0000 1.5133 24.2135 SILVER-mini 0.4605 23.2875 1.9774 31.6382 SOYBEAN 12.1000 1397.5000 0.8658 13.8533 SOYMEAL 5.4601 462.2000 1.1813 18.9013 SOYOIL 1.1717 60.6000 1.9334 30.9351 SP400 33.7307 2492.8000 1.3531 21.6500 SP500 50.3834 3992.2500 1.2620 20.1925 SUGAR11 0.0023 0.1971 1.1517 18.4277 US10 0.5561 114.4219 0.4860 7.7766 US10U 0.7578 121.6250 0.6230 9.9686 US20 1.0514 131.0000 0.8026 12.8420 US30 1.6727 145.2188 1.1519 18.4298 US5 0.3733 109.0234 0.3424 5.4780 VIX 0.5000 25.3000 1.9762 31.6187 WHEAT 12.2138 778.7500 1.5684 25.0941 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.15 0.93 631.03 1.00 631.03 45279.29 71.75 -0.87 -6.24 BITCOIN 17.28 5.16 89.19 1.00 89.19 45279.29 507.69 4.24 215.32 BOBL 1194.60 0.32 383.85 1.05 403.20 45279.29 112.30 11.52 129.40 BTP 1174.60 0.85 994.99 1.05 1045.17 45279.29 43.32 14.45 62.58 BUND 1415.40 0.57 808.66 1.05 849.45 45279.29 53.30 11.04 58.86 BUXL 1630.40 1.19 1932.62 1.05 2030.09 45279.29 22.30 3.00 6.70 CAC 664.85 0.81 538.09 1.05 565.22 45279.29 80.11 4.05 32.44 CAD 736.20 0.59 438.02 1.00 438.02 45279.29 103.37 -3.79 -39.18 CANOLA 172.02 1.32 226.35 0.73 165.78 45279.29 273.13 4.55 124.25 CHF 1336.44 0.66 884.79 1.00 884.79 45279.29 51.18 -6.42 -32.84 COCOA 249.20 1.22 303.63 1.00 303.63 45279.29 149.13 -4.48 -66.78 COFFEE 599.06 2.18 1307.61 1.00 1307.61 45279.29 34.63 -4.90 -16.98 COPPER 969.75 1.61 1564.47 1.00 1564.47 45279.29 28.94 7.31 21.14 CORN 297.12 0.74 220.31 1.00 220.31 45279.29 205.52 0.94 19.31 COTTON2 404.20 2.40 969.95 1.00 969.95 45279.29 46.68 -0.92 -4.27 CRUDE_W 722.00 1.98 1429.26 1.00 1429.26 45279.29 31.68 -1.56 -4.95 DAX 142.81 0.86 122.21 1.05 128.38 45279.29 352.70 0.53 18.82 DOW 169.80 0.99 167.94 1.00 167.94 45279.29 269.61 0.22 5.82 EUR 1315.44 0.67 881.97 1.00 881.97 45279.29 51.34 -0.98 -5.05 EUROSTX 393.00 0.86 339.29 1.05 356.40 45279.29 127.05 2.67 33.93 FEEDCOW 925.25 0.76 705.50 1.00 705.50 45279.29 64.18 -15.45 -99.15 FTSE100 707.00 0.82 576.59 1.22 666.67 45279.29 67.92 -2.56 -17.41 GASOIL 804.25 2.63 2116.86 1.00 2116.86 45279.29 21.39 2.85 6.10 GASOILINE 874.15 2.41 2110.48 1.00 2110.48 45279.29 21.45 -0.58 -1.25 GAS_US 580.90 4.45 2585.60 1.00 2585.60 45279.29 17.51 -12.76 -22.34 GBP 765.25 0.88 673.82 1.00 673.82 45279.29 67.20 6.13 41.19 GOLD_micro 180.02 0.92 165.07 1.00 165.07 45279.29 274.31 -2.17 -59.53 HEATOIL 1167.39 2.46 2871.22 1.00 2871.22 45279.29 15.77 4.75 7.49 JPY 915.44 0.87 796.41 1.00 796.41 45279.29 56.85 -2.11 -11.98 LEANHOG 346.60 1.83 634.46 1.00 634.46 45279.29 71.37 5.68 40.52 LIVECOW 615.70 0.59 363.82 1.00 363.82 45279.29 124.46 -17.27 -214.98 MXP 254.35 0.72 183.47 1.00 183.47 45279.29 246.79 6.60 162.93 NASDAQ 2327.65 1.66 3874.29 1.00 3874.29 45279.29 11.69 -2.06 -2.41 NIKKEI 27660.00 0.90 24980.58 0.01 182.42 45279.29 248.21 3.50 86.97 NZD 638.60 0.89 571.19 1.00 571.19 45279.29 79.27 4.39 34.78 OAT 1364.80 0.62 849.60 1.05 892.45 45279.29 50.74 12.57 63.78 OJ 307.88 1.73 533.13 1.00 533.13 45279.29 84.93 -2.76 -23.43 PALLAD 1932.50 2.30 4443.54 1.00 4443.54 45279.29 10.19 -3.52 -3.59 PLAT 506.50 1.79 906.96 1.00 906.96 45279.29 49.92 3.02 15.10 REDWHEAT 423.38 1.73 732.91 1.00 732.91 45279.29 61.78 -12.46 -76.96 ROBUSTA 187.30 1.18 220.15 1.00 220.15 45279.29 205.67 -3.21 -65.98 RUSSELL 91.45 1.51 138.40 1.00 138.40 45279.29 327.17 -3.89 -127.32 SILVER-mini 582.19 1.98 1151.21 1.00 1151.21 45279.29 39.33 9.39 36.92 SOYBEAN 698.75 0.87 605.00 1.00 605.00 45279.29 74.84 8.72 65.30 SOYMEAL 462.20 1.18 546.01 1.00 546.01 45279.29 82.93 4.03 33.43 SOYOIL 363.60 1.93 703.00 1.00 703.00 45279.29 64.41 4.68 30.16 SP400 2492.80 1.35 3373.07 1.00 3373.07 45279.29 13.42 -1.18 -1.59 SP500 1996.12 1.26 2519.17 1.00 2519.17 45279.29 17.97 -1.06 -1.90 SUGAR11 220.75 1.15 254.25 1.00 254.25 45279.29 178.09 10.50 187.00 US10 1144.22 0.49 556.13 1.00 556.13 45279.29 81.42 -5.51 -44.82 US10U 1216.25 0.62 757.77 1.00 757.77 45279.29 59.75 -0.95 -5.65 US20 1310.00 0.80 1051.44 1.00 1051.44 45279.29 43.06 -1.42 -6.09 US30 1452.19 1.15 1672.72 1.00 1672.72 45279.29 27.07 -1.04 -2.82 US5 1090.23 0.34 373.27 1.00 373.27 45279.29 121.30 -4.61 -55.89 VIX 253.00 1.98 499.97 1.00 499.97 45279.29 90.56 -17.31 -156.76 WHEAT 389.38 1.57 610.69 1.00 610.69 45279.29 74.14 -16.20 -120.09 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -6.238 0.006 2.5 -0.100 BITCOIN 215.324 0.009 2.5 5.073 BOBL 129.396 0.029 2.5 9.337 BTP 62.580 0.008 2.5 1.264 BUND 58.859 0.029 2.5 4.247 BUXL 6.701 0.034 2.5 0.562 CAC 32.441 0.011 2.5 0.912 CAD -39.183 0.007 2.5 -0.700 CANOLA 124.245 0.004 2.5 1.141 CHF -32.843 0.015 2.5 -1.229 COCOA -66.776 0.009 2.5 -1.455 COFFEE -16.977 0.005 2.5 -0.220 COPPER 21.143 0.011 2.5 0.578 CORN 19.305 0.004 2.5 0.174 COTTON2 -4.272 0.006 2.5 -0.064 CRUDE_W -4.947 0.053 2.5 -0.654 DAX 18.817 0.022 2.5 1.022 DOW 5.820 0.011 2.5 0.166 EUR -5.051 0.015 2.5 -0.189 EUROSTX 33.929 0.011 2.5 0.954 FEEDCOW -99.145 0.011 2.5 -2.664 FTSE100 -17.408 0.041 2.5 -1.795 GASOIL 6.099 0.029 2.5 0.435 GASOILINE -1.249 0.016 2.5 -0.051 GAS_US -22.340 0.006 2.5 -0.336 GBP 41.188 0.007 2.5 0.735 GOLD_micro -59.534 0.009 2.5 -1.332 HEATOIL 7.491 0.029 2.5 0.534 JPY -11.980 0.026 2.5 -0.775 LEANHOG 40.524 0.019 2.5 1.893 LIVECOW -214.984 0.011 2.5 -5.777 MXP 162.934 0.005 2.5 1.995 NASDAQ -2.412 0.022 2.5 -0.131 NIKKEI 86.970 0.076 2.5 16.518 NZD 34.781 0.006 2.5 0.556 OAT 63.785 0.008 2.5 1.288 OJ -23.434 0.007 2.5 -0.409 PALLAD -3.587 0.010 2.5 -0.086 PLAT 15.098 0.010 2.5 0.363 REDWHEAT -76.956 0.002 2.5 -0.411 ROBUSTA -65.980 0.005 2.5 -0.855 RUSSELL -127.324 0.021 2.5 -6.595 SILVER-mini 36.921 0.009 2.5 0.826 SOYBEAN 65.296 0.024 2.5 3.850 SOYMEAL 33.435 0.024 2.5 1.971 SOYOIL 30.158 0.004 2.5 0.277 SP400 -1.590 0.021 2.5 -0.082 SP500 -1.902 0.011 2.5 -0.054 SUGAR11 186.996 0.005 2.5 2.537 US10 -44.825 0.015 2.5 -1.720 US10U -5.651 0.058 2.5 -0.823 US20 -6.094 0.029 2.5 -0.449 US30 -2.821 0.034 2.5 -0.237 US5 -55.895 0.015 2.5 -2.144 VIX -156.765 0.075 2.5 -29.542 WHEAT -120.090 0.002 2.5 -0.641 ==================== Position diags ==================== AUD 1.15 BITCOIN 11.96 BOBL 8.10 BTP 0.87 BUND 3.85 BUXL 1.87 CAC 2.25 CAD 1.85 CANOLA 2.51 CHF 1.92 COCOA 3.25 COFFEE 0.45 COPPER 0.79 CORN 1.85 COTTON2 0.70 CRUDE_W 4.19 DAX 19.15 DOW 7.68 EUR 1.92 EUROSTX 3.57 FEEDCOW 1.72 FTSE100 7.00 GASOIL 1.53 GASOILINE 0.88 GAS_US 0.26 GBP 1.20 GOLD_micro 6.14 HEATOIL 1.12 JPY 3.68 LEANHOG 3.33 LIVECOW 3.34 MXP 3.02 NASDAQ 0.63 NIKKEI 47.14 NZD 1.27 OAT 1.02 OJ 1.48 PALLAD 0.25 PLAT 1.20 REDWHEAT 0.33 ROBUSTA 2.67 RUSSELL 16.95 SILVER-mini 0.88 SOYBEAN 4.41 SOYMEAL 4.89 SOYOIL 0.59 SP400 0.70 SP500 0.51 SUGAR11 2.42 US10 3.12 US10U 8.71 US20 3.17 US30 2.27 US5 4.65 VIX 17.07 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 -1.0 -1 BITCOIN 5.1 3.9 6.3 NaN 0 BOBL 9.3 8.5 10.1 5.0 5 BTP 1.3 1.2 1.4 2.0 2 BUND 4.2 3.9 4.6 1.0 1 BUXL 0.6 0.4 0.7 2.0 2 CAC 0.9 0.7 1.1 2.0 2 CAD -0.7 -0.9 -0.5 -2.0 -2 CANOLA 1.1 0.9 1.4 NaN 0 CHF -1.2 -1.4 -1.0 -1.0 -1 COCOA -1.5 -1.8 -1.1 NaN 0 COFFEE -0.2 -0.3 -0.2 NaN 0 COPPER 0.6 0.5 0.7 1.0 1 CORN 0.2 -0.0 0.4 2.0 2 COTTON2 -0.1 -0.1 0.0 NaN 0 CRUDE_W -0.7 -1.1 -0.2 0.0 0 DAX 1.0 -0.9 2.9 2.0 2 DOW 0.2 -0.6 0.9 3.0 3 EUR -0.2 -0.4 0.0 0.0 0 EUROSTX 1.0 0.6 1.3 0.0 0 FEEDCOW -2.7 -2.8 -2.5 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 0.4 0.3 0.6 0.0 0 GASOILINE -0.1 -0.1 0.0 1.0 1 GAS_US -0.3 -0.4 -0.3 0.0 0 GBP 0.7 0.6 0.9 2.0 2 GOLD_micro -1.3 -1.9 -0.7 0.0 0 HEATOIL 0.5 0.4 0.6 1.0 1 JPY -0.8 -1.1 -0.4 -3.0 -3 LEANHOG 1.9 1.6 2.2 2.0 2 LIVECOW -5.8 -6.1 -5.4 -5.0 -5 MXP 2.0 1.7 2.3 3.0 3 NASDAQ -0.1 -0.2 -0.1 0.0 0 NIKKEI 16.5 11.8 21.2 1.0 1 NZD 0.6 0.4 0.7 2.0 2 OAT 1.3 1.2 1.4 0.0 0 OJ -0.4 -0.6 -0.3 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.4 0.2 0.5 NaN 0 REDWHEAT -0.4 -0.4 -0.4 -1.0 -1 ROBUSTA -0.9 -1.1 -0.6 0.0 0 RUSSELL -6.6 -8.3 -4.9 -8.0 -8 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 3.8 3.4 4.3 1.0 1 SOYMEAL 2.0 1.5 2.5 4.0 4 SOYOIL 0.3 0.2 0.3 0.0 0 SP400 -0.1 -0.2 -0.0 0.0 0 SP500 -0.1 -0.1 -0.0 0.0 0 SUGAR11 2.5 2.3 2.8 3.0 3 US10 -1.7 -2.0 -1.4 NaN 0 US10U -0.8 -1.7 0.0 0.0 0 US20 -0.4 -0.8 -0.1 -2.0 -2 US30 -0.2 -0.5 -0.0 -1.0 -1 US5 -2.1 -2.6 -1.7 -4.0 -4 VIX -29.5 -31.2 -27.8 -21.0 -21 WHEAT -0.6 -0.7 -0.6 -2.0 -2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.1 0.3 -0.0 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.2 0.0 -0.2 0.1 0.0 -0.2 -0.1 -0.1 -0.0 0.1 -0.1 0.0 -0.1 0.0 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.1 BITCOIN -0.0 0.2 0.0 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 -0.1 -0.4 -0.3 -0.3 BOBL 0.2 0.3 -0.3 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.2 1.0 0.8 0.4 0.4 -0.0 -0.2 0.0 -0.2 0.0 1.8 -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 0.1 1.3 0.7 0.4 0.4 0.1 -0.0 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 -0.2 0.0 -0.3 0.1 -0.1 1.1 0.7 0.3 0.3 0.0 -0.2 0.0 -0.3 0.0 1.2 -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 -0.1 0.1 -0.3 0.1 0.0 0.4 -0.1 0.1 0.1 0.1 -0.1 0.0 -0.3 0.0 0.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.4 0.1 0.3 0.2 0.0 CAC 0.1 0.3 0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.3 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 -1.7 -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 -0.0 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 -0.1 -0.1 -0.0 -0.1 -0.0 0.5 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.2 -0.4 -0.3 -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 -0.1 -0.0 0.0 0.8 0.5 0.2 0.2 -0.0 -0.1 0.0 -0.0 -0.0 1.5 -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 0.1 0.0 -0.2 0.1 0.2 -0.8 -0.5 -0.2 -0.2 0.2 0.0 0.0 -0.1 0.0 -0.6 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -2.2 -0.0 0.2 -0.0 0.1 COCOA 0.0 0.3 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -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 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -2.7 0.1 0.1 0.3 0.2 COFFEE 0.1 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -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 2.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -1.7 -0.0 -0.0 -0.3 -0.3 COPPER 0.1 0.3 0.2 0.1 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 -0.0 0.0 -0.1 0.0 2.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.1 -0.0 0.1 0.1 CORN -0.2 -0.2 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.1 0.1 1.5 0.6 0.3 0.3 -0.1 0.0 -0.0 0.2 -0.0 -2.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.4 -0.0 -0.3 -0.2 0.1 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 0.2 0.6 0.1 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.8 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 0.7 0.0 0.1 0.1 -0.6 CRUDE_W -0.1 0.1 -0.1 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 0.5 0.6 0.2 0.2 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 0.1 0.3 0.2 0.2 DAX 0.2 0.3 0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.1 0.1 0.4 -0.2 -0.1 -0.1 -0.0 0.3 0.2 0.0 -0.0 0.0 -1.6 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.2 -0.0 0.2 0.3 0.3 DOW 0.1 0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 0.2 -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 -0.1 -0.0 0.2 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 0.0 -0.3 0.1 0.3 -0.5 -0.3 -0.1 -0.2 0.2 -0.0 0.0 -0.2 0.0 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.3 0.1 0.1 0.1 0.2 EUROSTX 0.2 0.3 0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.0 -0.1 0.1 0.4 0.0 0.1 -0.0 0.0 0.2 0.2 0.0 0.0 0.0 -2.2 -0.0 0.1 -0.0 0.0 0.0 0.0 0.0 0.6 0.0 0.2 0.3 0.3 FEEDCOW 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 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 -1.7 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.0 0.4 0.3 -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 -0.2 -0.2 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.1 -0.0 -0.1 0.3 -0.1 -0.1 1.5 0.9 0.4 0.4 -0.1 0.0 -0.0 0.2 -0.0 -0.5 -0.0 -0.0 -0.1 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.3 -0.1 0.2 GASOILINE -0.2 -0.0 -0.2 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.2 -0.0 0.1 -0.1 -0.2 0.1 0.9 0.3 0.4 -0.1 -0.1 -0.0 0.1 -0.0 -0.6 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.1 GAS_US 0.1 -0.0 -0.3 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.2 -0.0 0.0 -0.0 -0.3 -0.0 -0.4 -0.3 -0.3 -0.1 -0.1 -0.0 0.0 -0.0 -1.4 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.2 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 -0.0 0.0 -0.2 0.1 0.3 -0.1 -0.1 -0.0 -0.0 0.2 -0.0 0.0 -0.1 0.0 2.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.0 0.1 0.0 -0.1 GOLD_micro 0.1 0.3 0.1 0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 0.0 -0.3 0.1 0.2 -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 -1.6 -0.0 0.1 0.0 -0.1 HEATOIL -0.3 -0.2 -0.3 -0.1 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 -0.1 0.2 -0.1 -0.1 1.7 0.9 0.5 0.5 -0.1 0.0 -0.0 0.2 -0.0 -1.3 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.3 -0.0 -0.1 -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 -0.3 0.1 0.1 -0.8 -0.4 -0.2 -0.2 0.1 -0.1 0.0 -0.3 0.0 2.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.9 0.2 0.3 -0.0 -0.1 LEANHOG -0.1 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.0 0.2 -1.6 0.8 0.0 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 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -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 -3.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -2.8 -0.0 0.1 0.3 0.1 MXP -0.1 0.1 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.3 -0.0 0.4 0.0 0.3 1.3 0.8 0.4 0.4 0.1 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 -0.4 -0.1 0.3 NASDAQ 0.1 0.2 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.3 0.0 -0.2 -0.3 -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 0.0 0.2 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 0.0 0.0 0.2 0.3 0.3 0.1 0.1 0.1 0.1 -0.0 0.0 0.0 -1.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 2.1 -0.2 -0.3 -0.2 0.0 NZD 0.2 0.3 0.1 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 -0.0 0.0 -0.2 0.1 0.2 -0.1 0.0 -0.0 -0.0 0.2 0.0 0.0 -0.1 0.0 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.4 0.0 0.3 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 -0.0 1.0 0.5 0.3 0.3 0.1 -0.1 0.0 -0.2 0.0 1.4 -0.0 0.0 0.0 -0.0 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 0.3 0.0 -0.1 0.3 0.3 PALLAD -0.1 -0.2 -0.1 0.0 0.0 0.0 0.1 0.0 0.1 0.0 -0.3 -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 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.3 -0.3 -0.1 PLAT -0.0 0.3 0.3 0.1 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 -0.6 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.3 -0.0 -0.2 0.1 0.2 REDWHEAT -0.2 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.1 0.5 0.0 0.1 0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -1.5 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.2 -0.4 -0.2 0.1 ROBUSTA 0.2 -0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 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 0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -1.2 0.0 0.4 -0.3 -0.3 RUSSELL -0.0 0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.0 -0.3 0.0 -0.0 -0.3 -0.1 -0.1 -0.1 0.0 -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 -0.2 0.0 SILVER-mini 0.1 0.3 0.4 0.1 0.0 0.0 0.1 0.0 0.1 0.0 -0.0 0.0 -0.2 0.1 0.3 -0.3 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.1 0.0 3.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.2 0.2 SOYBEAN 0.0 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 0.0 0.1 0.0 0.2 1.6 0.8 0.4 0.4 0.1 0.0 0.0 0.1 0.0 -3.0 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 2.5 0.0 0.2 0.2 0.2 SOYMEAL 0.2 0.2 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.1 0.0 0.2 0.1 0.2 0.6 0.6 0.2 0.3 0.2 0.1 0.0 0.1 0.0 -2.6 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.4 0.2 0.4 0.3 0.3 SOYOIL -0.2 0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.0 0.0 1.3 0.8 0.4 0.4 -0.0 0.1 -0.0 0.1 -0.0 -2.9 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 2.2 -0.1 -0.4 0.2 0.3 SP400 0.1 0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.2 -0.1 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.0 0.0 -1.1 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.1 -0.0 0.1 SP500 0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.0 -0.4 -0.1 -0.1 -0.1 0.1 -0.0 -0.0 -0.1 0.0 0.7 -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 -0.0 0.2 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 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 0.1 0.0 -2.7 -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 -0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 0.0 -0.3 0.1 -0.1 -0.6 0.0 -0.1 -0.1 0.0 -0.2 0.0 -0.2 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.5 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 0.1 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 -0.0 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 0.1 -0.2 0.0 -0.3 0.0 -0.8 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.0 0.2 -0.0 -0.0 US30 0.2 0.3 -0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.2 0.1 -0.4 0.1 -0.0 0.0 0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.3 0.0 -0.4 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.1 0.4 -0.0 0.1 US5 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 -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 -0.4 0.0 -0.0 0.0 -0.0 VIX -0.2 -1.0 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 -0.0 -0.3 -0.1 -0.4 -3.1 -1.5 -0.7 -0.6 -0.3 -0.2 -0.0 -0.1 -0.0 NaN -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 NaN NaN NaN NaN NaN WHEAT -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.1 -0.2 -0.5 -0.2 -0.1 -0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -1.4 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.1 -0.4 -0.3 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 12.0 20.0 -2.2 2.4 1.3 -1.3 2.6 -3.9 4.0 3.2 -6.3 7.7 -9.7 12.6 1.8 -2.9 -1.9 -2.7 -2.3 5.7 -4.7 6.1 -9.9 10.4 2.5 -0.0 1.6 1.4 -2.7 2.1 -4.9 3.7 -0.4 -3.1 -3.6 -6.2 -5.0 BITCOIN -2.9 14.3 2.9 3.5 4.4 1.1 4.5 0.1 4.7 11.6 -15.7 5.0 -15.9 -7.9 -11.3 1.2 -1.0 0.7 0.1 -9.6 -16.9 1.5 -20.0 -4.4 20.0 -0.0 -4.9 1.5 -5.6 -0.1 -5.2 -3.1 1.6 -13.5 -20.0 -20.0 -20.0 BOBL 17.8 18.4 -15.3 0.6 2.9 -3.8 4.4 -6.5 4.1 8.0 -11.7 11.8 -12.7 10.9 -9.3 11.9 18.5 20.0 20.0 -2.9 -17.0 11.1 -20.0 9.0 11.8 -0.0 -0.6 2.5 -7.2 4.6 -12.4 4.0 20.0 0.9 -12.8 -2.3 -7.1 BTP 20.0 20.0 6.8 0.6 2.9 -3.8 4.4 -6.5 4.1 7.4 -3.6 13.0 -11.0 14.5 4.8 15.9 15.5 19.4 18.9 12.6 -3.6 14.5 -17.3 19.2 5.5 -0.0 3.4 2.0 -2.0 4.0 -7.1 5.4 20.0 -5.8 -0.5 20.0 13.8 BUND 20.0 20.0 -10.8 0.6 2.9 -3.8 4.4 -6.5 4.1 8.6 -9.5 13.2 -12.3 13.6 -6.1 12.8 15.9 13.1 14.6 1.5 -14.9 13.5 -20.0 13.5 9.3 -0.0 0.7 2.4 -5.4 4.5 -9.9 4.6 20.0 -2.6 -5.8 5.2 -6.5 BUXL 20.0 20.0 -2.4 0.6 2.9 -3.8 4.4 -6.5 4.1 12.8 -6.1 15.4 -11.4 15.5 0.5 5.4 -2.1 5.4 2.3 12.0 -9.9 20.0 -20.0 20.0 5.6 -0.0 2.6 3.9 -2.6 6.3 -5.9 6.3 -2.9 13.8 13.3 16.1 2.3 CAC 12.1 20.0 10.3 2.5 -3.0 -0.1 -0.5 -1.7 2.6 -12.6 10.5 4.6 -1.2 14.8 14.5 -0.4 3.7 0.5 1.8 20.0 14.8 4.4 5.2 20.0 -14.9 -0.0 4.9 -2.0 2.8 0.7 0.8 4.0 6.9 4.6 5.6 17.3 15.2 CAD -3.4 13.3 -8.3 2.4 1.3 -1.3 2.6 -3.9 4.0 -8.4 -9.0 -10.8 -10.9 1.0 -5.7 -1.9 -0.9 -1.8 -1.4 -4.8 -9.7 -11.4 -11.2 -5.7 3.9 -0.0 -2.7 -4.1 -5.5 -5.1 -6.5 -2.7 1.3 -20.0 -20.0 -18.9 -14.1 CANOLA -18.4 6.0 -3.5 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 13.5 -10.2 0.9 -2.6 -3.0 2.7 10.4 13.3 9.8 9.4 -4.8 -6.8 6.6 -0.9 -2.8 6.7 -0.0 -2.0 5.6 -1.1 1.7 1.5 -2.0 -2.5 20.0 -16.9 -4.3 8.8 CHF 14.7 20.0 8.7 2.4 1.3 -1.3 2.6 -3.9 4.0 11.4 2.4 13.5 -6.4 14.3 10.1 -11.3 -11.4 -11.8 -12.0 12.9 2.7 11.5 -5.1 16.5 -4.4 -0.0 3.5 2.3 -0.1 3.4 -3.3 4.9 -16.9 -0.8 10.2 -1.2 6.3 COCOA 1.4 17.5 6.8 -3.5 -4.6 -3.2 -5.4 -0.2 -4.4 -5.1 -2.2 -0.3 -9.0 9.0 9.2 -1.0 -3.1 -0.1 -1.2 9.9 2.4 3.8 -5.4 9.4 0.0 -0.0 3.5 -1.6 1.1 -0.4 -1.7 2.2 -20.0 9.8 4.2 19.3 12.5 COFFEE 6.3 -20.0 -20.0 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 -13.7 -12.9 -2.3 -7.0 -12.3 -14.1 -0.1 4.3 4.3 5.7 -20.0 -20.0 -8.1 -12.2 -16.3 12.4 -0.0 -5.6 -2.0 -5.0 -1.9 -2.2 -3.5 -12.5 -0.9 -0.8 -20.0 -20.0 COPPER 5.5 20.0 13.4 3.5 4.4 1.1 4.5 0.1 4.7 13.4 -7.4 6.8 -9.4 8.8 7.3 -0.9 0.1 -0.0 0.0 10.3 -1.0 14.9 -8.9 14.5 16.7 -0.0 4.3 4.3 0.4 5.1 -1.8 5.8 2.4 7.7 -0.2 7.9 5.4 CORN -17.8 -13.0 13.8 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 -12.0 0.8 -14.0 5.1 -14.9 4.7 18.8 14.1 16.4 14.5 -8.0 2.8 -18.0 15.1 -17.1 -13.5 -0.0 -4.4 -4.9 -0.1 -7.1 4.7 -7.3 2.6 -17.5 -15.8 -15.5 9.3 COTTON2 4.8 2.2 -20.0 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 -2.2 -11.3 -2.0 -0.7 5.5 -9.1 3.5 16.9 6.8 12.7 -9.8 -14.3 -2.7 -4.4 -2.5 -3.1 -0.0 -1.9 -3.2 -3.2 0.2 1.6 0.9 5.4 14.1 11.1 4.3 -20.0 CRUDE_W -8.5 4.9 -5.2 -4.0 -11.3 -1.3 -8.5 4.0 -6.0 -11.9 -5.2 -9.4 3.4 -5.9 4.4 6.2 13.4 8.0 10.7 -1.2 -0.8 -11.5 5.3 -4.5 1.2 -0.0 -0.2 -13.4 1.1 -6.5 6.5 -2.3 -20.0 20.0 16.5 16.5 11.3 DAX 13.0 20.0 12.8 2.5 -3.0 -0.1 -0.5 -1.7 2.6 -13.1 7.3 -0.8 -5.2 14.4 14.1 -4.6 -1.8 -3.8 -2.9 20.0 13.1 1.9 -2.9 20.0 -10.8 -0.0 4.9 -2.0 2.5 0.1 -0.6 3.6 -1.7 -4.4 9.1 20.0 20.0 DOW 7.2 20.0 7.9 2.5 -3.0 -0.1 -0.5 -1.7 2.6 -11.9 6.2 -3.6 -1.9 12.9 12.5 -5.1 -1.9 -4.6 -3.7 18.4 9.1 -0.5 0.1 13.9 -5.5 -0.0 4.3 -2.1 2.0 -0.3 0.1 3.2 -2.7 -4.2 -2.1 16.6 11.2 EUR 17.9 20.0 20.0 2.3 0.4 -1.4 2.4 -3.9 4.0 9.2 -2.8 13.6 -11.2 15.1 12.8 -7.1 -8.3 -7.6 -8.1 15.2 -0.1 14.6 -13.9 19.8 3.2 -0.0 3.9 2.5 -1.2 4.2 -6.3 5.6 -10.9 7.4 6.7 6.2 10.1 EUROSTX 16.1 20.0 14.1 2.5 -3.0 -0.1 -0.5 -1.7 2.6 -13.1 9.6 7.0 -3.0 15.3 14.7 0.2 2.4 -0.1 0.7 20.0 16.3 6.2 2.6 20.0 -16.5 -0.0 5.1 -1.3 3.0 0.9 0.4 4.2 4.7 3.2 12.9 20.0 20.0 FEEDCOW 10.4 6.7 -8.4 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 5.5 -0.8 7.2 -1.8 9.8 -2.8 -20.0 -20.0 -19.8 -20.0 1.8 -1.9 7.1 -2.3 6.3 -9.9 -0.0 1.5 2.8 -1.2 4.5 -1.3 4.6 -20.0 20.0 19.4 20.0 -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 -11.9 -11.5 -4.0 -11.3 -1.3 -8.5 4.0 -6.0 -13.4 -0.4 -13.9 10.2 -12.8 -5.9 18.6 20.0 20.0 20.0 -10.1 1.7 -20.0 15.3 -20.0 -4.8 -0.0 -3.6 -12.9 0.1 -9.6 5.1 -6.9 0.1 -7.0 -13.9 -6.3 12.6 GASOILINE -20.0 -2.9 -12.9 -4.1 -8.6 -1.5 -8.2 3.6 -6.2 -13.9 -9.9 -14.7 3.7 -12.8 -6.6 0.8 20.0 14.0 20.0 -11.9 -4.9 -20.0 7.9 -20.0 -5.2 -0.0 -3.3 -13.2 0.1 -10.3 6.7 -6.7 0.0 -1.9 -1.8 9.1 4.7 GAS_US 7.3 -2.5 -20.0 -4.1 -8.6 -1.5 -8.2 3.6 -6.2 -7.3 -8.6 -9.6 0.7 -5.6 -10.8 -0.5 -10.1 -12.4 -12.1 -10.8 -8.1 -19.7 0.8 -12.6 -11.4 -0.0 -1.4 -5.2 0.0 -5.3 4.4 -2.1 -20.0 -13.1 20.0 8.3 3.5 GBP 18.9 20.0 20.0 2.4 1.3 -1.3 2.6 -3.9 4.0 8.9 -0.8 12.7 -8.4 14.8 11.4 -1.9 -1.5 -1.8 -1.8 14.4 -0.1 15.0 -11.2 19.8 14.1 -0.0 2.5 2.8 -3.4 4.5 -7.5 5.4 0.4 6.3 7.0 2.9 -8.0 GOLD_micro 11.8 20.0 4.0 3.5 4.4 1.1 4.5 0.1 4.7 5.4 -7.0 7.4 -10.2 12.0 7.2 -10.3 -8.0 -10.1 -9.4 10.5 -1.6 10.8 -7.8 15.2 11.0 -0.0 3.4 2.0 -0.1 3.3 -1.7 4.9 -12.5 -6.7 3.2 1.6 -6.6 HEATOIL -20.0 -11.5 -18.3 -4.1 -8.6 -1.5 -8.2 3.6 -6.2 -11.9 -2.0 -13.5 9.2 -11.6 -4.5 20.0 20.0 20.0 20.0 -11.1 0.6 -20.0 13.7 -20.0 -13.8 -0.0 -3.4 -10.0 1.3 -9.8 8.1 -7.3 9.4 -3.5 -7.4 -0.4 14.2 JPY 20.0 20.0 15.1 2.4 1.3 -1.3 2.6 -3.9 4.0 0.4 -7.5 8.7 -13.5 12.6 3.5 -10.8 -10.1 -11.8 -11.6 10.0 -7.4 13.6 -20.0 18.6 14.3 -0.0 2.8 1.0 -2.7 3.9 -7.5 5.4 -15.4 12.5 16.0 -1.3 -4.7 LEANHOG -8.0 8.3 -2.0 -3.5 -4.6 -3.2 -5.4 -0.2 -4.4 -1.0 -0.4 1.1 -0.2 7.6 9.5 -20.0 20.0 1.2 20.0 3.6 2.9 -2.6 3.6 0.5 -0.8 -0.0 0.8 -3.5 0.6 -1.6 1.4 -0.4 20.0 -3.7 4.5 20.0 -0.5 LIVECOW -0.6 4.3 7.2 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 -10.4 6.6 -2.7 -1.3 2.5 5.8 -20.0 -20.0 -20.0 -20.0 3.8 4.2 -7.2 0.7 -0.9 -19.0 -0.0 2.4 -7.0 3.3 -4.2 2.6 -0.3 -20.0 -3.9 6.5 20.0 8.3 MXP -9.8 6.9 6.4 2.4 1.3 -1.3 2.6 -3.9 4.0 -7.5 14.8 -6.6 15.1 7.1 12.1 17.9 20.0 18.7 19.3 12.0 14.3 -7.2 13.7 3.5 -20.0 -0.0 4.8 -3.6 4.8 -2.8 3.9 1.6 20.0 -20.0 -20.0 -3.9 20.0 NASDAQ 8.3 14.7 -3.8 2.5 -3.0 -0.1 -0.5 -1.7 2.6 -8.7 -9.2 -2.5 -12.0 8.3 -6.3 -4.4 -3.1 -4.4 -4.0 -0.3 -8.3 -2.4 -12.3 3.0 10.3 -0.0 0.5 -2.7 -3.5 -0.1 -4.7 2.4 -3.9 4.6 3.4 -14.0 -11.1 NIKKEI 1.6 11.8 0.4 2.6 -3.7 -0.1 -0.0 -1.7 3.0 -12.3 6.7 -5.0 1.6 9.8 6.2 4.4 8.3 5.8 7.7 7.0 5.5 -5.2 2.9 3.2 -10.3 -0.0 2.3 -6.1 0.4 -3.4 -0.8 1.0 16.2 -13.0 -15.0 -11.9 2.5 NZD 20.0 20.0 7.7 2.4 1.3 -1.3 2.6 -3.9 4.0 9.5 -1.8 12.5 -9.1 14.9 8.8 -1.0 0.4 -0.9 -0.4 17.5 1.1 18.9 -9.9 20.0 2.3 -0.0 3.9 2.8 -0.4 4.4 -3.1 5.8 3.2 11.6 14.8 16.7 2.7 OAT 20.0 20.0 -0.7 0.6 2.9 -3.8 4.4 -6.5 4.1 8.7 -6.7 13.5 -11.6 14.3 -1.9 11.9 12.3 13.3 13.5 7.0 -9.4 15.5 -20.0 17.4 10.3 -0.0 1.9 2.3 -4.1 4.5 -9.0 5.2 20.0 -3.1 -0.8 12.9 -0.5 OJ -7.2 3.3 16.9 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 9.1 13.5 6.6 14.0 7.4 12.0 13.8 12.0 15.7 15.5 17.1 20.0 10.2 20.0 9.7 -20.0 -0.0 4.8 4.4 7.7 2.2 8.5 1.7 2.5 9.0 -2.2 20.0 20.0 PALLAD -6.8 -11.7 -4.7 3.5 4.4 1.1 4.5 0.1 4.7 3.6 -11.0 -9.7 -7.0 -9.5 -10.8 -1.4 -1.3 -1.6 -1.5 -10.5 -8.7 -2.7 -6.8 -8.3 2.7 -0.0 -3.2 3.6 -2.5 0.2 -1.7 -2.0 0.0 -11.5 -14.9 -20.0 -9.7 PLAT -2.6 18.7 19.9 3.5 4.4 1.1 4.5 0.1 4.7 -4.7 7.5 -3.1 -2.9 9.2 11.8 -0.3 -0.3 0.1 -0.0 13.7 9.3 1.6 1.2 9.3 -3.8 -0.0 5.2 -0.3 2.8 1.4 -0.2 4.3 2.1 -10.7 -9.4 10.2 11.8 REDWHEAT -20.0 -10.8 -2.1 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 -8.8 -11.2 -13.2 -4.5 -14.8 -4.9 6.2 0.1 3.5 1.9 -14.4 -8.5 -20.0 -0.8 -20.0 -11.0 -0.0 -4.3 -5.4 -0.8 -8.2 2.9 -7.6 -19.8 -20.0 -18.7 -15.9 6.5 ROBUSTA 20.0 -20.0 -20.0 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 12.1 -11.3 14.2 -3.6 -7.0 -12.3 10.7 7.1 8.8 7.7 -18.1 -19.2 13.4 -6.6 -0.6 1.2 -0.0 -3.4 2.8 -3.7 3.2 -1.3 0.3 -8.8 20.0 20.0 -20.0 -18.9 RUSSELL -0.4 14.5 3.2 2.5 -3.0 -0.1 -0.5 -1.7 2.6 -11.9 -3.0 -6.0 -10.1 7.8 -0.1 -4.1 -2.2 -3.8 -3.2 3.4 -1.1 -7.6 -6.5 0.7 -3.0 -0.0 1.9 -6.1 -0.1 -3.6 -2.0 0.5 -2.5 -5.8 -11.4 -10.8 1.2 SILVER-mini 7.3 20.0 20.0 3.5 4.4 1.1 4.5 0.1 4.7 10.5 -1.5 9.9 -7.6 12.9 11.9 -4.2 -3.3 -4.1 -3.8 15.0 4.8 16.8 -4.6 18.4 14.5 -0.0 5.0 4.2 1.2 5.1 -2.2 6.1 -3.7 6.5 4.3 10.7 12.0 SOYBEAN 0.3 7.1 3.4 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 11.4 -0.0 8.6 4.2 9.4 10.4 19.5 20.0 18.9 20.0 4.8 3.3 6.1 6.4 5.2 -20.0 -0.0 4.2 6.3 5.7 3.6 10.7 3.3 18.6 18.8 12.4 14.6 13.6 SOYMEAL 20.0 11.2 3.4 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 14.1 3.9 15.5 8.2 14.8 8.2 7.9 14.0 11.3 13.6 16.4 8.1 20.0 7.0 20.0 -19.0 -0.0 4.8 13.9 3.0 12.1 3.3 8.4 2.8 20.0 20.0 20.0 20.0 SOYOIL -20.0 4.7 2.9 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 -13.3 2.3 -14.2 6.0 -7.6 1.3 16.7 20.0 20.0 20.0 -2.5 5.0 -20.0 8.9 -20.0 -20.0 -0.0 0.0 -8.7 2.6 -9.4 4.1 -5.2 16.4 -20.0 -20.0 16.2 20.0 SP400 4.4 20.0 3.7 2.5 -3.0 -0.1 -0.5 -1.7 2.6 -11.2 1.4 -4.9 -5.5 9.9 6.6 -2.2 -1.3 -1.2 -1.1 9.5 3.4 -4.6 -2.3 6.4 -6.9 -0.0 3.5 -3.7 1.6 -1.7 0.2 2.3 0.0 -6.6 -4.8 -2.5 7.3 SP500 8.3 19.6 -1.2 2.5 -3.0 -0.1 -0.5 -1.7 2.6 -10.5 -4.2 -3.5 -8.3 10.6 0.7 -4.9 -3.1 -4.6 -4.0 6.4 -1.8 -2.4 -6.5 6.7 5.9 -0.0 2.6 -3.2 -1.0 -0.5 -3.1 3.0 -3.8 -0.6 1.2 -3.1 -2.2 SUGAR11 -2.4 17.0 10.0 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 8.7 4.4 -5.5 0.8 8.0 8.9 20.0 20.0 20.0 20.0 13.7 9.1 3.0 4.3 9.4 -16.5 -0.0 5.1 1.8 3.6 1.7 2.1 3.9 20.0 17.8 20.0 20.0 20.0 US10 20.0 20.0 -2.5 0.6 2.9 -3.8 4.4 -6.5 4.1 7.4 -9.1 11.9 -13.1 13.7 -4.3 -6.9 1.0 -5.0 -3.0 2.7 -13.9 14.8 -20.0 15.4 -5.9 -0.0 1.3 2.2 -4.0 4.5 -7.3 5.1 -3.7 9.0 2.3 1.7 0.2 US10U 20.0 20.0 -4.1 0.6 2.9 -3.8 4.4 -6.5 4.1 8.6 -8.9 13.1 -12.8 14.0 -3.9 1.3 4.8 0.9 1.9 3.8 -13.6 18.6 -20.0 18.1 -7.2 -0.0 1.6 3.0 -3.5 5.4 -6.3 5.6 3.9 13.8 7.5 1.6 1.7 US20 20.0 20.0 -8.7 0.6 2.9 -3.8 4.4 -6.5 4.1 11.3 -8.2 14.7 -12.5 14.6 -2.9 1.4 2.8 1.6 2.0 4.8 -14.8 20.0 -20.0 20.0 -6.1 -0.0 1.5 4.3 -3.2 6.1 -5.4 5.8 2.1 18.2 18.4 -1.6 -0.4 US30 20.0 20.0 -2.4 0.6 2.9 -3.8 4.4 -6.5 4.1 11.9 -8.6 14.9 -13.7 14.3 -1.5 0.3 0.4 -0.6 -0.5 5.5 -14.8 20.0 -20.0 20.0 -3.4 -0.0 1.9 6.0 -2.9 7.6 -5.4 6.6 -2.1 20.0 20.0 -1.3 6.5 US5 20.0 20.0 -0.0 0.6 2.9 -3.8 4.4 -6.5 4.1 7.2 -9.4 11.3 -13.4 13.1 -4.8 -6.0 2.1 -5.3 -3.1 1.1 -15.1 12.9 -20.0 13.4 -3.9 -0.0 0.8 1.8 -4.7 4.2 -8.7 4.7 -2.7 10.4 -0.9 0.3 -0.8 VIX -15.7 -20.0 -2.8 -4.4 -1.6 -2.5 -3.8 -1.6 -5.3 -5.1 -11.8 -10.7 -9.8 -14.5 -12.8 -20.0 -19.2 -16.4 -15.5 -18.0 -11.8 -11.4 -8.4 -19.2 NaN -0.0 -5.6 -1.2 -3.2 -4.1 -1.9 -6.5 NaN NaN NaN NaN NaN WHEAT -20.0 -13.6 -6.1 -3.7 -4.3 -3.3 -5.3 -0.3 -4.6 -8.6 -12.4 -13.6 -7.4 -15.2 -6.6 -5.9 -4.1 -4.8 -4.4 -19.6 -13.5 -20.0 -5.1 -20.0 -9.1 -0.0 -5.0 -5.1 -1.9 -7.7 1.4 -7.6 -20.0 -20.0 -20.0 -18.7 0.5 End of report for caleb_strategy_v1