******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221212_204259 produced at 2022-12-12 21:35:23.414709 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.20 -0.27 0.0 8803098.41 -8803098.41 -0.20 -0.20 -30.69 999999999.0 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 21718948.72 -21718948.72 -0.11 -0.11 -5.43 999999999.0 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.09 0.0 37806785.03 -37806785.03 -0.15 -0.15 -2.32 999999999.0 -4 -4 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.09 0.0 32206987.99 -32206987.99 -0.10 -0.10 -2.79 999999999.0 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 39590021.37 -39590021.37 0.00 0.00 -1.87 999999999.0 0 0 caleb_strategy_v1 CHF False False 0.05 -0.05 -0.06 0.0 46440258.51 -46440258.51 -0.05 -0.05 -1.30 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 -1.78 999999999.0 0 0 caleb_strategy_v1 US10U False False 0.04 0.00 -0.04 0.0 41916927.32 -41916927.32 0.00 0.00 -0.99 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.02 0.00 -0.03 0.0 24944431.81 -24944431.81 0.00 0.00 -1.13 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.03 -0.09 -0.03 0.0 31604602.06 -31604602.06 -0.09 -0.09 -1.04 999999999.0 -3 -3 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25518546.92 -25518546.92 -0.05 -0.05 -0.74 999999999.0 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 3190862.21 -3190862.21 -0.01 -0.01 -7.37 999999999.0 -3 -3 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.02 0.0 45091957.87 -45091957.87 -0.09 -0.09 -0.46 999999999.0 -2 -2 caleb_strategy_v1 US30 False False 0.05 0.00 -0.01 0.0 49528301.93 -49528301.93 0.00 0.00 -0.25 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13674378.16 -13674378.16 -0.03 -0.03 -0.63 999999999.0 -2 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 82030611.26 -82030611.26 0.00 0.00 -0.16 999999999.0 0 0 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 22306981.77 -22306981.77 0.00 0.00 -0.30 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 65605699.78 -65605699.78 0.00 0.00 -0.08 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8712631.78 -8712631.78 0.00 0.00 -1.35 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6238717.57 -6238717.57 0.00 0.00 -1.38 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6534473.84 -6534473.84 0.00 0.00 -0.85 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 45898763.58 -45898763.58 0.00 0.00 -0.17 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.01 0.0 14987883.95 -14987883.95 -0.01 -0.01 -0.39 999999999.0 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 87376840.78 -87376840.78 0.00 0.00 -0.11 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69720191.43 -69720191.43 0.00 0.00 -0.07 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12835126.25 -12835126.25 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10399312.40 -10399312.40 0.02 0.02 0.23 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.00 0.0 23463910.71 -23463910.71 -0.02 -0.02 -0.07 999999999.0 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.02 0.00 0.0 5940525.66 -5940525.66 0.02 0.02 0.10 999999999.0 4 4 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 593426.26 -593426.26 0.00 0.00 5.48 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.00 0.0 5251186.69 -5251186.69 0.01 0.01 0.44 999999999.0 2 2 caleb_strategy_v1 GASOILINE False False 0.03 0.00 -0.00 0.0 30776745.46 -30776745.46 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21829422.38 -21829422.38 0.00 0.00 -0.19 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 13787461.44 -13787461.44 0.00 0.00 -0.05 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10391483.55 -10391483.55 0.00 0.00 -0.36 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22239131.80 -22239131.80 0.04 0.04 0.60 999999999.0 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 28053352.13 -28053352.13 0.00 0.00 0.40 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4356453.32 -4356453.32 0.00 0.00 1.27 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17538346.84 -17538346.84 0.00 0.00 0.33 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 41908106.82 -41908106.82 0.04 0.04 0.53 999999999.0 1 1 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.02 0.0 14428590.08 -14428590.08 0.00 0.00 1.17 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.02 0.0 15633328.51 -15633328.51 0.06 0.06 1.39 999999999.0 4 4 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26670256.63 -26670256.63 0.05 0.05 0.79 999999999.0 2 2 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.0 24416205.85 -24416205.85 0.05 0.05 0.93 999999999.0 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7544638.08 -7544638.08 0.02 0.02 2.40 999999999.0 3 3 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 8742207.41 -8742207.41 0.03 0.03 1.80 999999999.0 3 3 caleb_strategy_v1 LEANHOG False False 0.01 0.02 0.02 0.0 11691071.40 -11691071.40 0.02 0.02 1.47 999999999.0 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 20441977.52 -20441977.52 0.00 0.00 0.88 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 33111654.23 -33111654.23 0.03 0.03 0.54 999999999.0 1 1 caleb_strategy_v1 BUXL False False 0.06 0.18 0.03 0.0 58578391.61 -58578391.61 0.18 0.18 0.59 999999999.0 3 3 caleb_strategy_v1 BTP False False 0.04 0.09 0.05 0.0 42659713.69 -42659713.69 0.09 0.09 1.23 999999999.0 2 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.0 49414534.48 -49414534.48 0.00 0.00 1.26 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.09 0.0 24064991.84 -24064991.84 0.02 0.02 3.90 999999999.0 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.01 0.12 0.0 0.00 -0.00 0.01 0.01 16.65 0.0 1 1 caleb_strategy_v1 BUND False False 0.05 0.05 0.22 0.0 51270737.26 -51270737.26 0.05 0.05 4.28 999999999.0 1 1 caleb_strategy_v1 BOBL False False 0.04 0.22 0.38 0.0 43443199.68 -43443199.68 0.22 0.22 8.64 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 10.4 Shocked risk 35.4 Sum abs risk 33.0 Leverage 2.22 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2873988.09, 'annual_cash_vol_target': 718497.0225, 'daily_cash_vol_target': 44906.06390625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6744 0.9205 14.7285 BITCOIN 857.0971 17055.0000 5.0255 80.4078 BOBL 0.3867 118.6600 0.3259 5.2138 BTP 0.9723 116.5200 0.8345 13.3515 BUND 0.8170 140.0400 0.5834 9.3341 BUXL 1.9783 160.0000 1.2364 19.7827 CAC 51.7646 6669.0000 0.7762 12.4192 CAD 0.0042 0.7334 0.5747 9.1959 CANOLA 10.8828 853.7000 1.2748 20.3965 CHF 0.0069 1.0678 0.6435 10.2966 COCOA 32.1401 2504.0000 1.2835 20.5368 COFFEE 0.0385 1.6730 2.2999 36.7979 COPPER 0.0611 3.8065 1.6062 25.6998 CORN 4.4281 597.7500 0.7408 11.8528 COTTON2 0.0187 0.7925 2.3642 37.8275 CRUDE_W 1.3682 71.6900 1.9084 30.5350 DAX 118.6857 14343.0000 0.8275 13.2397 DOW 335.7552 34146.0000 0.9833 15.7327 EUR 0.0068 1.0553 0.6456 10.3301 EUROSTX 32.9069 3941.0000 0.8350 13.3598 FEEDCOW 1.3510 185.1250 0.7298 11.6767 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 20.3454 806.2500 2.5235 40.3753 GASOILINE 0.0486 2.1060 2.3057 36.8915 GAS_US 0.2590 6.4110 4.0392 64.6275 GBP 0.0103 1.2264 0.8432 13.4911 GOLD_micro 16.2091 1793.0000 0.9040 14.4644 HEATOIL 0.0705 2.8677 2.4570 39.3122 JPY 0.0001 0.0073 0.8629 13.8070 LEANHOG 1.5568 84.0000 1.8533 29.6530 LIVECOW 0.9392 156.0500 0.6018 9.6293 MXP 0.0004 0.0503 0.7272 11.6358 NASDAQ 185.8728 11787.7500 1.5768 25.2293 NIKKEI 249.8058 27660.0000 0.9031 14.4501 NZD 0.0056 0.6392 0.8765 14.0247 OAT 0.8524 134.9700 0.6315 10.1045 OJ 0.0352 1.9910 1.7656 28.2498 PALLAD 44.3165 1885.5000 2.3504 37.6062 PLAT 18.7932 1008.1000 1.8642 29.8274 REDWHEAT 15.3501 861.5000 1.7818 28.5086 ROBUSTA 21.5641 1878.0000 1.1482 18.3720 RUSSELL 27.1520 1834.1000 1.4804 23.6864 SILVER-mini 0.4467 23.5000 1.9010 30.4168 SOYBEAN 12.0366 1383.2500 0.8702 13.9227 SOYMEAL 6.7802 449.3000 1.5091 24.1450 SOYOIL 1.1937 61.4800 1.9416 31.0649 SP400 33.0770 2511.2000 1.3172 21.0748 SP500 48.9278 4007.5000 1.2209 19.5345 SUGAR11 0.0023 0.1936 1.1657 18.6509 US10 0.5403 113.7812 0.4748 7.5975 US10U 0.7469 120.4688 0.6200 9.9201 US20 1.0546 129.5938 0.8138 13.0210 US30 1.7057 142.3438 1.1983 19.1729 US5 0.3597 108.6562 0.3311 5.2969 VIX 0.4895 25.3000 1.9349 30.9578 WHEAT 12.4490 786.0000 1.5838 25.3415 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.35 0.92 620.76 1.00 620.76 44906.06 72.34 -0.64 -4.62 BITCOIN 17.06 5.03 85.71 1.00 85.71 44906.06 523.93 4.44 232.42 BOBL 1186.60 0.33 386.67 1.05 407.74 44906.06 110.13 10.88 119.79 BTP 1165.20 0.83 972.32 1.05 1025.32 44906.06 43.80 13.89 60.84 BUND 1400.40 0.58 816.96 1.05 861.49 44906.06 52.13 11.38 59.35 BUXL 1600.00 1.24 1978.27 1.05 2086.09 44906.06 21.53 3.27 7.03 CAC 666.90 0.78 517.65 1.05 545.86 44906.06 82.27 4.01 32.99 CAD 733.40 0.57 421.52 1.00 421.52 44906.06 106.53 -3.89 -41.49 CANOLA 170.74 1.27 217.66 0.73 159.51 44906.06 281.52 4.92 138.54 CHF 1334.69 0.64 858.92 1.00 858.92 44906.06 52.28 -6.66 -34.83 COCOA 250.40 1.28 321.40 1.00 321.40 44906.06 139.72 -4.43 -61.90 COFFEE 627.38 2.30 1442.88 1.00 1442.88 44906.06 31.12 -4.80 -14.95 COPPER 951.62 1.61 1528.53 1.00 1528.53 44906.06 29.38 6.67 19.60 CORN 298.88 0.74 221.41 1.00 221.41 44906.06 202.82 1.26 25.60 COTTON2 396.25 2.36 936.82 1.00 936.82 44906.06 47.93 -0.68 -3.28 CRUDE_W 716.90 1.91 1368.16 1.00 1368.16 44906.06 32.82 -2.62 -8.59 DAX 143.43 0.83 118.69 1.05 125.15 44906.06 358.80 0.23 8.14 DOW 170.73 0.98 167.88 1.00 167.88 44906.06 267.49 0.13 3.57 EUR 1319.12 0.65 851.67 1.00 851.67 44906.06 52.73 -0.85 -4.46 EUROSTX 394.10 0.83 329.07 1.05 347.00 44906.06 129.41 3.22 41.62 FEEDCOW 925.62 0.73 675.52 1.00 675.52 44906.06 66.48 -15.62 -103.81 FTSE100 707.00 0.82 576.59 1.23 666.67 44906.06 67.36 -2.56 -17.26 GASOIL 806.25 2.52 2034.54 1.00 2034.54 44906.06 22.07 2.54 5.60 GASOILINE 884.52 2.31 2039.46 1.00 2039.46 44906.06 22.02 -1.33 -2.92 GAS_US 641.10 4.04 2589.54 1.00 2589.54 44906.06 17.34 -11.67 -20.24 GBP 766.50 0.84 646.31 1.00 646.31 44906.06 69.48 6.37 44.23 GOLD_micro 179.30 0.90 162.09 1.00 162.09 44906.06 277.04 -2.23 -61.74 HEATOIL 1204.43 2.46 2959.31 1.00 2959.31 44906.06 15.17 4.86 7.37 JPY 908.31 0.86 783.82 1.00 783.82 44906.06 57.29 -2.79 -15.99 LEANHOG 336.00 1.85 622.71 1.00 622.71 44906.06 72.11 4.36 31.42 LIVECOW 624.20 0.60 375.66 1.00 375.66 44906.06 119.54 -16.91 -202.17 MXP 251.25 0.73 182.72 1.00 182.72 44906.06 245.77 5.97 146.81 NASDAQ 2357.55 1.58 3717.46 1.00 3717.46 44906.06 12.08 -2.46 -2.97 NIKKEI 27660.00 0.90 24980.58 0.01 182.42 44906.06 246.17 3.56 87.65 NZD 639.15 0.88 560.24 1.00 560.24 44906.06 80.15 4.65 37.30 OAT 1349.70 0.63 852.38 1.05 898.84 44906.06 49.96 12.54 62.63 OJ 298.65 1.77 527.30 1.00 527.30 44906.06 85.16 -2.42 -20.63 PALLAD 1885.50 2.35 4431.65 1.00 4431.65 44906.06 10.13 -3.29 -3.33 PLAT 504.05 1.86 939.66 1.00 939.66 44906.06 47.79 2.88 13.74 REDWHEAT 430.75 1.78 767.51 1.00 767.51 44906.06 58.51 -12.62 -73.86 ROBUSTA 187.80 1.15 215.64 1.00 215.64 44906.06 208.24 -3.16 -65.76 RUSSELL 91.70 1.48 135.76 1.00 135.76 44906.06 330.78 -4.30 -142.27 SILVER-mini 587.50 1.90 1116.87 1.00 1116.87 44906.06 40.21 9.75 39.20 SOYBEAN 691.62 0.87 601.83 1.00 601.83 44906.06 74.62 8.85 66.06 SOYMEAL 449.30 1.51 678.02 1.00 678.02 44906.06 66.23 3.57 23.65 SOYOIL 368.88 1.94 716.20 1.00 716.20 44906.06 62.70 3.34 20.92 SP400 2511.20 1.32 3307.70 1.00 3307.70 44906.06 13.58 -1.59 -2.16 SP500 2003.75 1.22 2446.39 1.00 2446.39 44906.06 18.36 -1.37 -2.52 SUGAR11 216.83 1.17 252.76 1.00 252.76 44906.06 177.67 9.97 177.17 US10 1137.81 0.47 540.28 1.00 540.28 44906.06 83.12 -5.86 -48.71 US10U 1204.69 0.62 746.91 1.00 746.91 44906.06 60.12 -1.13 -6.79 US20 1295.94 0.81 1054.65 1.00 1054.65 44906.06 42.58 -1.47 -6.28 US30 1423.44 1.20 1705.72 1.00 1705.72 44906.06 26.33 -1.14 -3.01 US5 1086.56 0.33 359.71 1.00 359.71 44906.06 124.84 -4.85 -60.51 VIX 253.00 1.93 489.52 1.00 489.52 44906.06 91.73 -17.75 -162.85 WHEAT 393.00 1.58 622.45 1.00 622.45 44906.06 72.14 -16.43 -118.50 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -4.616 0.006 2.5 -0.074 BITCOIN 232.420 0.009 2.5 5.476 BOBL 119.790 0.029 2.5 8.644 BTP 60.837 0.008 2.5 1.229 BUND 59.345 0.029 2.5 4.282 BUXL 7.030 0.034 2.5 0.590 CAC 32.986 0.011 2.5 0.927 CAD -41.495 0.007 2.5 -0.741 CANOLA 138.538 0.004 2.5 1.272 CHF -34.834 0.015 2.5 -1.304 COCOA -61.903 0.009 2.5 -1.348 COFFEE -14.953 0.005 2.5 -0.194 COPPER 19.600 0.011 2.5 0.536 CORN 25.602 0.004 2.5 0.231 COTTON2 -3.276 0.006 2.5 -0.049 CRUDE_W -8.591 0.053 2.5 -1.135 DAX 8.137 0.022 2.5 0.442 DOW 3.566 0.011 2.5 0.102 EUR -4.462 0.015 2.5 -0.167 EUROSTX 41.617 0.011 2.5 1.170 FEEDCOW -103.810 0.011 2.5 -2.790 FTSE100 -17.265 0.041 2.5 -1.780 GASOIL 5.603 0.029 2.5 0.400 GASOILINE -2.924 0.016 2.5 -0.120 GAS_US -20.243 0.006 2.5 -0.305 GBP 44.225 0.007 2.5 0.790 GOLD_micro -61.743 0.009 2.5 -1.381 HEATOIL 7.374 0.029 2.5 0.526 JPY -15.992 0.026 2.5 -1.035 LEANHOG 31.422 0.019 2.5 1.468 LIVECOW -202.167 0.011 2.5 -5.432 MXP 146.807 0.005 2.5 1.797 NASDAQ -2.968 0.022 2.5 -0.161 NIKKEI 87.649 0.076 2.5 16.647 NZD 37.296 0.006 2.5 0.596 OAT 62.627 0.008 2.5 1.265 OJ -20.634 0.007 2.5 -0.360 PALLAD -3.332 0.010 2.5 -0.080 PLAT 13.740 0.010 2.5 0.331 REDWHEAT -73.863 0.002 2.5 -0.394 ROBUSTA -65.761 0.005 2.5 -0.853 RUSSELL -142.275 0.021 2.5 -7.369 SILVER-mini 39.204 0.009 2.5 0.877 SOYBEAN 66.064 0.024 2.5 3.895 SOYMEAL 23.645 0.024 2.5 1.394 SOYOIL 20.923 0.004 2.5 0.192 SP400 -2.156 0.021 2.5 -0.112 SP500 -2.521 0.011 2.5 -0.072 SUGAR11 177.175 0.005 2.5 2.404 US10 -48.707 0.015 2.5 -1.869 US10U -6.794 0.058 2.5 -0.990 US20 -6.277 0.029 2.5 -0.463 US30 -3.006 0.034 2.5 -0.252 US5 -60.513 0.015 2.5 -2.322 VIX -162.852 0.075 2.5 -30.689 WHEAT -118.500 0.002 2.5 -0.633 ==================== Position diags ==================== AUD 1.16 BITCOIN 12.34 BOBL 7.95 BTP 0.88 BUND 3.76 BUXL 1.81 CAC 2.31 CAD 1.90 CANOLA 2.58 CHF 1.96 COCOA 3.04 COFFEE 0.40 COPPER 0.80 CORN 1.83 COTTON2 0.72 CRUDE_W 4.34 DAX 19.49 DOW 7.62 EUR 1.97 EUROSTX 3.64 FEEDCOW 1.79 FTSE100 6.94 GASOIL 1.57 GASOILINE 0.90 GAS_US 0.26 GBP 1.24 GOLD_micro 6.20 HEATOIL 1.08 JPY 3.71 LEANHOG 3.37 LIVECOW 3.21 MXP 3.01 NASDAQ 0.66 NIKKEI 46.76 NZD 1.28 OAT 1.01 OJ 1.49 PALLAD 0.24 PLAT 1.15 REDWHEAT 0.31 ROBUSTA 2.70 RUSSELL 17.13 SILVER-mini 0.90 SOYBEAN 4.40 SOYMEAL 3.91 SOYOIL 0.58 SP400 0.70 SP500 0.52 SUGAR11 2.41 US10 3.19 US10U 8.76 US20 3.14 US30 2.21 US5 4.79 VIX 17.29 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 -1.0 -1 BITCOIN 5.5 4.2 6.7 NaN 0 BOBL 8.6 7.8 9.4 5.0 5 BTP 1.2 1.1 1.3 2.0 2 BUND 4.3 3.9 4.7 1.0 1 BUXL 0.6 0.4 0.8 3.0 3 CAC 0.9 0.7 1.2 2.0 2 CAD -0.7 -0.9 -0.6 -2.0 -2 CANOLA 1.3 1.0 1.5 NaN 0 CHF -1.3 -1.5 -1.1 -1.0 -1 COCOA -1.3 -1.7 -1.0 NaN 0 COFFEE -0.2 -0.2 -0.2 NaN 0 COPPER 0.5 0.5 0.6 1.0 1 CORN 0.2 0.0 0.4 2.0 2 COTTON2 -0.0 -0.1 0.0 NaN 0 CRUDE_W -1.1 -1.6 -0.7 0.0 0 DAX 0.4 -1.5 2.4 2.0 2 DOW 0.1 -0.7 0.9 4.0 4 EUR -0.2 -0.4 0.0 0.0 0 EUROSTX 1.2 0.8 1.5 0.0 0 FEEDCOW -2.8 -3.0 -2.6 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOILINE -0.1 -0.2 -0.0 0.0 0 GAS_US -0.3 -0.3 -0.3 0.0 0 GBP 0.8 0.7 0.9 2.0 2 GOLD_micro -1.4 -2.0 -0.8 0.0 0 HEATOIL 0.5 0.4 0.6 1.0 1 JPY -1.0 -1.4 -0.7 -3.0 -3 LEANHOG 1.5 1.1 1.8 2.0 2 LIVECOW -5.4 -5.8 -5.1 -5.0 -5 MXP 1.8 1.5 2.1 3.0 3 NASDAQ -0.2 -0.2 -0.1 0.0 0 NIKKEI 16.6 12.0 21.3 1.0 1 NZD 0.6 0.5 0.7 2.0 2 OAT 1.3 1.2 1.4 0.0 0 OJ -0.4 -0.5 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT -0.4 -0.4 -0.4 -1.0 -1 ROBUSTA -0.9 -1.1 -0.6 0.0 0 RUSSELL -7.4 -9.1 -5.7 -3.0 -3 SILVER-mini 0.9 0.8 1.0 NaN 0 SOYBEAN 3.9 3.5 4.3 1.0 1 SOYMEAL 1.4 1.0 1.8 4.0 4 SOYOIL 0.2 0.1 0.2 0.0 0 SP400 -0.1 -0.2 -0.0 0.0 0 SP500 -0.1 -0.1 -0.0 0.0 0 SUGAR11 2.4 2.2 2.6 3.0 3 US10 -1.9 -2.2 -1.5 NaN 0 US10U -1.0 -1.9 -0.1 0.0 0 US20 -0.5 -0.8 -0.1 -2.0 -2 US30 -0.3 -0.5 -0.0 0.0 0 US5 -2.3 -2.8 -1.8 -4.0 -4 VIX -30.7 -32.4 -29.0 -23.0 -23 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 -0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.2 0.1 0.1 -0.2 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 -0.1 BITCOIN -0.0 0.2 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.4 0.0 -0.4 -0.0 -0.2 0.1 -0.0 0.0 0.0 -0.1 -0.2 0.0 -0.3 -0.0 4.4 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.3 -0.3 -0.3 BOBL 0.1 0.2 -0.2 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.3 0.0 -0.3 0.0 -0.2 0.7 0.8 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 -0.2 0.0 2.8 -0.0 -0.1 -0.1 -0.1 BTP 0.2 0.3 0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.1 0.0 -0.3 0.1 0.1 1.1 0.6 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 -0.0 0.1 0.3 0.2 BUND 0.2 0.3 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.1 1.2 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 -0.0 0.0 -0.1 BUXL 0.2 0.3 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 -0.1 0.0 -0.3 0.1 0.1 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 -0.3 0.1 0.4 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 -0.1 0.2 -0.2 0.0 0.0 -0.0 0.0 -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 0.7 -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 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.1 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 -0.1 -0.0 0.1 CHF 0.2 0.3 0.1 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 0.1 0.0 -0.2 0.1 0.3 -0.8 -0.5 -0.2 -0.2 0.2 0.0 0.0 -0.1 0.0 -0.7 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.2 0.0 0.1 -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 -0.0 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 -0.1 -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 0.2 -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 1.9 -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 2.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.0 -0.1 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 0.0 1.6 0.6 0.4 0.3 -0.1 0.0 -0.0 0.2 -0.0 -1.9 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.4 -0.0 -0.2 -0.2 0.1 COTTON2 0.0 0.0 -0.9 -0.1 -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 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.6 0.0 0.1 0.1 -0.6 CRUDE_W -0.1 0.0 -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 0.4 0.6 0.2 0.2 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -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 0.1 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 -0.1 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 0.1 0.3 0.3 DOW 0.0 0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.0 0.1 0.3 -0.4 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.0 0.0 -0.7 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 -0.3 -0.0 -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 -0.0 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 0.4 -0.0 0.1 0.0 -0.0 0.0 -0.1 0.0 -1.3 0.1 0.1 0.1 0.2 EUROSTX 0.1 0.3 0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.0 -0.1 0.1 0.4 0.2 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 0.7 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 -0.0 -1.6 -0.8 -0.4 -0.4 0.0 -0.0 0.0 -0.0 0.0 -1.9 -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 -0.2 1.5 0.9 0.4 0.4 -0.2 -0.0 -0.0 0.2 -0.0 -0.5 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.3 -0.1 0.2 GASOILINE -0.2 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.3 -0.0 0.1 -0.1 -0.2 -0.1 0.9 0.3 0.4 -0.2 -0.1 -0.0 0.1 -0.0 -0.7 -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 -0.0 -0.0 -0.1 0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.0 -0.3 0.2 -0.4 -0.2 -0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.5 -0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 -2.7 -0.2 0.4 0.2 0.1 GBP 0.2 0.3 0.3 0.0 0.0 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.2 0.1 0.3 -0.2 -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 0.1 0.2 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 -0.1 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 -0.0 0.0 -0.1 HEATOIL -0.3 -0.2 -0.4 -0.1 -0.0 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 -0.2 1.7 0.9 0.5 0.5 -0.2 -0.0 -0.0 0.2 -0.0 -1.3 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.5 -0.0 -0.1 -0.0 0.2 JPY 0.2 0.3 0.3 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.2 0.0 -0.3 0.0 0.1 -0.8 -0.4 -0.2 -0.2 0.1 -0.1 0.0 -0.3 0.0 1.9 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -1.9 0.0 0.2 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 -0.3 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 2.7 -0.1 -0.0 0.3 -0.0 LIVECOW -0.0 0.0 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.2 0.0 -0.0 0.0 0.1 -1.6 -0.8 -0.4 -0.4 0.0 0.0 0.0 0.0 0.0 -3.3 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.8 0.0 0.4 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 0.2 1.3 0.8 0.4 0.4 0.1 0.2 -0.0 0.2 -0.0 -3.6 -0.0 0.0 -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 1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.5 0.1 0.0 -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 0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.4 0.0 0.3 0.2 0.1 OAT 0.2 0.3 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.2 0.0 -0.3 0.1 -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 0.0 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 0.0 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 0.2 0.3 0.3 PALLAD -0.1 -0.1 -0.1 0.1 0.0 0.0 0.0 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 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.3 -0.3 -0.2 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 -0.1 0.1 0.2 REDWHEAT -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.2 0.5 0.0 0.1 0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -1.5 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.1 -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 0.9 0.3 0.2 0.2 -0.2 -0.2 0.0 -0.1 0.0 0.1 -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 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -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 -0.2 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.1 0.0 2.9 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 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 2.6 0.0 0.2 0.2 0.2 SOYMEAL 0.2 0.2 0.0 -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 -2.8 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.3 0.2 0.4 0.3 0.3 SOYOIL -0.2 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 -0.0 1.2 0.8 0.4 0.4 -0.1 0.0 -0.0 0.1 -0.0 -2.9 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 2.1 -0.1 -0.4 0.2 0.3 SP400 0.0 0.3 0.0 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 -0.1 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 0.6 -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 -2.9 -0.0 0.1 -0.0 0.0 0.0 0.0 0.0 2.7 0.0 0.3 0.3 0.3 US10 0.2 0.3 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.1 -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 -0.6 -0.0 0.0 0.0 0.0 US10U 0.2 0.3 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.2 0.0 -0.3 0.0 -0.1 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 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.1 -0.0 0.1 0.1 0.0 0.0 0.1 -0.2 0.0 -0.3 0.0 -0.9 -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 0.0 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.1 -0.0 0.0 0.0 -0.0 -0.0 0.1 -0.2 0.0 -0.3 0.0 -0.5 -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 0.0 -0.2 0.0 -0.0 -0.2 0.0 -0.3 0.0 -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 -0.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -3.1 -1.5 -0.7 -0.7 -0.3 -0.2 -0.0 -0.2 -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 -1.3 -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 10.4 20.0 -3.2 2.6 0.4 -1.1 2.2 -3.8 3.8 1.1 -5.6 8.0 -9.4 12.9 2.8 -2.9 -1.9 -2.7 -2.3 6.2 -4.0 6.1 -9.7 10.3 2.8 -0.0 1.8 0.5 -2.5 2.2 -4.9 3.7 -0.4 -0.5 -3.2 -4.8 -5.2 BITCOIN -0.5 11.0 0.4 3.6 2.1 1.4 4.0 0.2 4.8 10.4 -15.6 9.7 -15.9 -7.4 -10.8 1.4 -0.9 0.8 0.1 -9.3 -17.2 1.5 -20.0 -3.7 20.0 -0.0 -4.8 0.8 -5.8 -0.0 -5.5 -2.7 1.7 -14.0 -14.8 -20.0 -20.0 BOBL 15.7 16.4 -13.0 0.7 -1.8 -3.8 1.9 -6.7 3.4 -9.2 -11.6 2.4 -12.8 8.8 -9.0 8.7 17.9 19.1 20.0 -3.2 -16.4 -0.1 -20.0 5.0 12.3 -0.0 -0.8 -6.1 -7.3 -0.1 -12.8 2.4 20.0 -5.2 -9.3 -4.4 -7.0 BTP 16.8 20.0 8.1 0.7 -1.8 -3.8 1.9 -6.7 3.4 -4.4 -2.9 7.9 -10.9 13.6 6.1 13.8 15.3 18.3 18.4 12.4 -3.0 6.7 -17.1 16.0 5.3 -0.0 3.4 -1.6 -1.8 1.8 -7.2 4.5 20.0 -2.6 3.1 19.5 14.3 BUND 19.1 20.0 -8.0 0.7 -1.8 -3.8 1.9 -6.7 3.4 -9.2 -9.3 5.9 -12.2 12.1 -5.4 14.9 16.1 14.0 15.1 1.2 -14.1 2.6 -20.0 9.4 9.7 -0.0 0.5 -4.3 -5.5 0.8 -10.2 3.3 20.0 -5.6 -2.8 3.7 -6.2 BUXL 20.0 20.0 1.1 0.7 -1.8 -3.8 1.9 -6.7 3.4 1.0 -5.4 12.2 -11.2 14.7 2.2 5.5 -1.9 5.5 2.5 12.1 -8.4 15.2 -20.0 20.0 5.4 -0.0 2.7 -0.8 -2.3 3.4 -5.9 5.5 -2.4 8.5 18.6 17.1 3.1 CAC 9.3 20.0 11.4 2.5 -1.0 -0.0 -0.5 -1.7 2.2 -11.1 10.9 3.2 -0.9 14.3 14.6 -0.5 3.7 0.4 1.7 20.0 15.7 3.5 6.0 18.2 -15.0 -0.0 4.9 -0.8 3.0 0.5 0.9 3.6 6.9 2.8 5.1 16.2 15.8 CAD -6.9 12.2 -10.3 2.6 0.4 -1.1 2.2 -3.8 3.8 -10.3 -9.2 -12.3 -11.0 -1.9 -6.2 -1.9 -0.9 -1.7 -1.4 -6.0 -10.3 -11.4 -11.7 -7.3 5.0 -0.0 -3.2 -3.9 -5.7 -5.1 -6.7 -3.4 1.3 -20.0 -20.0 -20.0 -15.3 CANOLA -10.4 5.1 -2.5 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 11.1 -10.1 3.0 -2.7 -1.0 3.4 11.0 13.3 10.1 9.6 -3.6 -6.6 7.6 -0.9 -0.1 6.7 -0.0 -1.6 3.0 -1.1 2.2 1.6 -1.1 -2.4 20.0 -10.7 -2.7 9.6 CHF 13.5 20.0 8.4 2.6 0.4 -1.1 2.2 -3.8 3.8 9.9 3.7 13.1 -5.9 14.8 11.2 -11.4 -11.4 -11.9 -12.0 13.8 3.6 11.1 -4.7 16.7 -4.9 -0.0 3.7 1.5 0.2 3.2 -3.1 4.8 -16.9 2.3 2.9 -0.4 6.4 COCOA 1.6 18.8 8.1 -4.0 -4.9 -3.5 -5.7 -0.4 -4.9 0.6 -1.5 4.6 -8.7 10.1 10.0 -0.9 -3.1 -0.2 -1.2 9.8 2.9 5.9 -4.7 9.6 -0.9 -0.0 3.7 1.2 1.4 1.3 -1.6 2.8 -20.0 16.3 3.6 19.7 13.4 COFFEE 16.4 -20.0 -20.0 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 0.6 -13.0 0.0 -7.4 -11.5 -14.1 -0.5 4.2 3.8 5.4 -20.0 -20.0 -2.3 -11.4 -12.6 12.2 -0.0 -5.5 1.8 -5.2 -0.6 -2.4 -3.1 -12.8 9.8 2.1 -20.0 -20.0 COPPER 7.0 20.0 13.1 3.6 2.1 1.4 4.0 0.2 4.8 7.5 -6.9 8.7 -9.1 9.4 8.0 -1.2 0.0 -0.2 -0.1 10.9 -0.2 10.3 -8.6 13.8 16.0 -0.0 4.5 0.4 0.7 3.4 -1.7 5.3 2.3 3.1 -3.8 5.8 3.7 CORN -17.4 -15.0 11.5 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 -9.0 0.6 -12.7 5.0 -14.7 2.2 19.6 14.3 16.9 14.8 -9.0 1.7 -13.4 14.5 -16.2 -12.7 -0.0 -4.6 -1.1 -0.5 -5.0 4.4 -6.6 2.9 -17.0 -9.8 -16.4 8.3 COTTON2 2.0 3.9 -20.0 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 -10.6 -11.4 -7.6 -0.9 4.2 -9.4 3.0 16.7 6.4 12.3 -10.7 -14.9 -7.9 -4.9 -5.2 -1.9 -0.0 -2.3 -5.4 -3.4 -2.2 1.5 -0.4 4.8 8.4 8.3 4.7 -20.0 CRUDE_W -11.4 2.5 -4.6 -4.2 -7.7 -1.6 -8.2 3.2 -6.4 -13.5 -5.6 -12.9 3.2 -9.5 3.0 5.4 13.2 7.6 10.4 -3.8 -1.9 -17.8 5.1 -9.6 0.3 -0.0 -1.7 -12.1 0.5 -9.7 6.3 -5.1 -20.0 11.1 15.1 17.2 12.1 DAX 7.4 20.0 12.7 2.5 -1.0 -0.0 -0.5 -1.7 2.2 -6.9 8.0 -3.7 -4.8 14.0 14.2 -4.7 -1.8 -3.9 -2.9 20.0 13.9 2.2 -2.3 18.8 -11.0 -0.0 4.8 -0.6 2.7 0.3 -0.5 3.3 -1.8 -2.8 4.7 20.0 20.0 DOW 2.4 20.0 7.1 2.5 -1.0 -0.0 -0.5 -1.7 2.2 -6.6 6.8 -6.1 -1.6 11.9 12.4 -5.1 -2.0 -4.7 -3.8 17.1 9.2 -0.6 0.4 11.3 -5.9 -0.0 4.2 -0.4 2.2 -0.2 0.2 2.7 -2.7 -0.6 -1.3 15.4 10.5 EUR 15.8 20.0 20.0 2.5 1.9 -1.2 2.8 -3.8 4.0 12.3 -1.8 14.4 -10.8 15.5 13.5 -7.2 -8.3 -7.6 -8.1 16.7 1.1 15.5 -13.6 20.0 2.7 -0.0 4.2 2.9 -0.8 4.4 -5.9 5.6 -10.9 7.5 6.5 5.4 11.1 EUROSTX 11.7 20.0 14.6 2.5 -1.0 -0.0 -0.5 -1.7 2.2 -7.8 10.1 5.2 -2.6 14.9 14.8 2.7 2.6 0.9 1.1 20.0 17.3 5.2 3.3 20.0 -16.8 -0.0 5.1 -0.4 3.2 0.8 0.6 3.8 5.4 1.9 10.1 20.0 20.0 FEEDCOW 10.0 7.0 -8.0 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 7.2 -0.4 8.7 -1.7 10.0 -1.5 -19.8 -20.0 -19.2 -20.0 2.8 -1.4 7.9 -2.2 7.3 -11.0 -0.0 2.0 3.1 -0.8 4.6 -1.2 4.8 -20.0 20.0 20.0 20.0 -8.6 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 -15.5 -13.0 -4.2 -7.7 -1.6 -8.2 3.2 -6.4 -13.1 -2.0 -14.6 9.9 -14.0 -7.8 17.9 20.0 20.0 20.0 -13.9 -0.2 -20.0 14.9 -20.0 -4.5 -0.0 -4.1 -8.1 -0.4 -9.0 4.2 -7.3 1.1 -5.9 -13.0 -7.9 11.4 GASOILINE -20.0 -7.1 -13.7 -4.3 -3.7 -1.7 -6.6 3.0 -6.1 -12.5 -10.6 -14.7 3.4 -13.8 -8.4 -0.7 20.0 12.6 20.0 -15.0 -6.6 -20.0 7.3 -20.0 -5.3 -0.0 -3.9 -7.0 -0.5 -8.8 5.7 -7.0 0.0 -8.3 -3.1 9.4 5.1 GAS_US 6.5 -0.4 -20.0 -4.3 -3.7 -1.7 -6.6 3.0 -6.1 1.0 -8.8 -5.1 0.5 -4.4 -10.6 2.6 -9.6 -10.5 -11.1 -10.0 -8.0 -5.9 0.5 -8.8 -12.1 -0.0 -1.2 3.6 0.0 -0.9 4.6 -1.1 -20.0 -13.7 20.0 14.2 3.7 GBP 18.3 20.0 18.4 2.6 0.4 -1.1 2.2 -3.8 3.8 11.6 0.3 13.7 -7.9 15.2 12.4 -2.0 -1.5 -1.9 -1.8 15.8 1.0 14.6 -10.9 20.0 13.7 -0.0 2.8 2.5 -3.0 4.2 -7.2 5.4 0.4 8.8 11.5 1.1 -6.7 GOLD_micro 10.2 20.0 4.6 3.6 2.1 1.4 4.0 0.2 4.8 3.9 -6.0 7.2 -10.0 12.5 8.4 -10.3 -8.1 -10.1 -9.5 11.2 -0.7 9.3 -7.4 14.8 10.9 -0.0 3.6 0.6 0.2 2.8 -1.5 4.7 -12.6 -4.0 -0.4 1.5 -6.4 HEATOIL -20.0 -14.8 -20.0 -4.3 -3.7 -1.7 -6.6 3.0 -6.1 -8.2 -3.3 -12.2 8.9 -12.1 -6.3 20.0 20.0 20.0 20.0 -12.7 -0.9 -20.0 12.5 -20.0 -13.6 -0.0 -3.9 -2.9 0.7 -7.0 7.3 -6.9 10.5 -2.1 -4.6 -1.4 12.8 JPY 18.1 20.0 16.8 2.6 0.4 -1.1 2.2 -3.8 3.8 -6.2 -6.9 5.7 -13.2 11.7 4.7 -10.8 -10.1 -11.8 -11.6 10.2 -6.6 7.6 -20.0 16.0 13.8 -0.0 2.9 -1.3 -2.4 2.2 -7.6 4.7 -15.4 0.9 8.2 1.1 -4.5 LEANHOG -13.6 4.7 -2.2 -4.0 -4.9 -3.5 -5.7 -0.4 -4.9 -12.1 -0.2 -7.8 -0.4 0.3 8.2 -20.0 20.0 -0.1 20.0 1.3 2.2 -11.9 3.4 -4.4 -1.7 -0.0 -0.3 -8.8 0.2 -5.7 1.3 -2.7 20.0 -13.8 -0.6 20.0 -0.4 LIVECOW -1.4 2.4 7.1 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 10.5 7.2 3.7 -1.1 3.5 6.5 -20.0 -20.0 -20.0 -20.0 4.4 4.3 2.8 0.9 2.2 -20.0 -0.0 2.9 6.0 3.5 1.5 2.7 1.5 -20.0 13.0 20.0 20.0 8.8 MXP -13.8 5.1 6.6 2.6 0.4 -1.1 2.2 -3.8 3.8 -13.1 14.2 -11.5 14.9 3.9 10.3 17.5 20.0 18.5 19.2 9.6 13.5 -12.1 13.6 -0.8 -20.0 -0.0 4.0 -6.5 4.7 -4.8 4.1 -0.0 20.0 -20.0 -20.0 -8.5 20.0 NASDAQ 5.9 13.7 -7.7 2.5 -1.0 -0.0 -0.5 -1.7 2.2 -7.1 -9.0 -6.0 -12.0 7.4 -6.1 -4.5 -3.1 -4.4 -4.0 -0.6 -8.4 -2.2 -12.6 1.9 9.8 -0.0 0.4 -0.6 -3.3 -0.1 -4.7 1.9 -3.9 4.0 0.9 -12.2 -10.9 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 16.4 -13.0 -15.0 -11.9 2.5 NZD 20.0 20.0 6.4 2.6 0.4 -1.1 2.2 -3.8 3.8 10.4 -0.4 13.2 -8.6 15.2 10.2 -0.8 0.4 -0.8 -0.4 19.0 2.5 18.4 -9.3 20.0 1.6 -0.0 4.1 2.3 -0.0 4.2 -2.9 5.7 3.3 17.7 17.5 18.0 3.8 OAT 20.0 20.0 1.7 0.7 -1.8 -3.8 1.9 -6.7 3.4 -9.0 -6.3 7.5 -11.5 12.9 -0.8 12.0 12.3 13.3 13.5 6.5 -8.7 4.5 -19.8 13.1 10.4 -0.0 1.8 -3.5 -4.0 1.2 -9.2 4.0 20.0 -4.6 2.3 11.5 -0.1 OJ -7.7 2.0 16.9 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 -0.4 13.3 2.4 14.0 4.7 11.8 13.6 12.0 15.5 15.4 15.9 20.0 2.2 20.0 7.0 -20.0 -0.0 4.6 -1.4 8.0 0.1 9.0 1.1 2.4 2.5 7.2 20.0 20.0 PALLAD -5.9 -9.9 -6.4 3.6 2.1 1.4 4.0 0.2 4.8 1.9 -10.9 -8.4 -7.2 -8.2 -10.7 -1.5 -1.3 -1.6 -1.5 -9.6 -8.6 -0.5 -6.9 -6.2 3.3 -0.0 -2.8 1.0 -2.5 1.1 -1.7 -1.1 0.0 -11.9 -15.7 -20.0 -10.4 PLAT -2.2 16.5 18.4 3.6 2.1 1.4 4.0 0.2 4.8 -4.6 8.0 -1.6 -2.5 9.5 11.9 -0.4 -0.3 0.0 -0.1 13.0 9.2 2.5 1.5 8.6 -4.1 -0.0 5.2 -0.3 3.0 1.5 -0.1 4.1 2.1 -13.0 -6.8 6.5 11.9 REDWHEAT -20.0 -11.4 -3.1 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 -4.8 -11.6 -11.9 -4.8 -14.2 -6.6 6.4 0.1 3.7 2.0 -14.8 -9.1 -17.1 -1.3 -20.0 -10.9 -0.0 -4.5 -0.6 -1.2 -5.6 2.5 -6.9 -19.8 -18.1 -19.5 -15.9 6.2 ROBUSTA 20.0 -20.0 -20.0 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 12.6 -11.2 14.6 -3.9 -4.9 -11.9 11.3 7.3 9.2 8.0 -16.0 -18.7 12.1 -6.9 1.3 0.7 -0.0 -3.1 2.2 -3.7 3.0 -1.4 0.7 -8.6 20.0 20.0 -20.0 -19.6 RUSSELL -2.9 13.2 0.9 2.5 -1.0 -0.0 -0.5 -1.7 2.2 -9.3 -3.0 -8.8 -10.1 5.4 -0.2 -4.5 -2.2 -4.0 -3.3 2.2 -1.4 -7.8 -6.6 -1.4 -3.1 -0.0 1.3 -3.3 -0.2 -3.8 -2.0 -0.6 -2.5 -4.8 -12.2 -11.4 0.4 SILVER-mini 11.0 20.0 19.1 3.6 2.1 1.4 4.0 0.2 4.8 12.1 0.3 12.4 -7.0 13.9 12.8 -4.1 -3.3 -4.1 -3.8 17.2 6.2 19.8 -4.0 20.0 13.5 -0.0 5.2 4.1 1.6 5.3 -1.9 6.2 -3.6 17.6 10.1 12.9 13.8 SOYBEAN 1.7 7.6 3.4 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 3.7 0.1 7.5 4.3 9.9 10.8 20.0 20.0 19.4 20.0 4.9 3.5 3.2 6.5 4.8 -20.0 -0.0 4.1 -1.9 5.8 1.4 10.8 2.9 18.7 4.5 12.8 15.4 14.0 SOYMEAL 20.0 11.9 3.0 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 8.3 4.9 12.8 8.6 13.9 9.1 7.6 13.9 11.0 13.3 16.6 8.3 20.0 6.4 20.0 -20.0 -0.0 5.0 5.0 3.1 8.9 3.0 7.9 2.4 20.0 20.0 20.0 20.0 SOYOIL -20.0 -0.5 1.1 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 -10.9 1.4 -13.6 5.7 -9.8 -1.7 14.8 20.0 19.9 20.0 -6.1 3.1 -20.0 8.0 -20.0 -20.0 -0.0 -0.9 -4.0 2.0 -7.5 3.8 -5.6 15.7 -20.0 -20.0 11.7 19.5 SP400 1.0 19.4 2.6 2.5 -1.0 -0.0 -0.5 -1.7 2.2 -9.6 1.7 -8.5 -5.4 8.4 6.7 -2.5 -1.4 -1.4 -1.2 8.3 3.3 -5.0 -2.1 4.0 -7.1 -0.0 3.2 -2.1 1.6 -1.9 0.2 1.5 0.0 -5.3 -6.5 -2.9 6.5 SP500 5.4 19.1 -3.1 2.5 -1.0 -0.0 -0.5 -1.7 2.2 -8.6 -3.8 -7.5 -8.2 9.0 1.1 -5.0 -3.2 -4.6 -4.0 5.8 -1.7 -2.4 -6.5 5.0 5.3 -0.0 2.5 -1.0 -1.0 -0.6 -3.2 2.4 -3.8 0.8 -0.3 -2.5 -2.6 SUGAR11 -3.7 18.0 10.6 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 -7.0 4.7 -9.1 1.2 7.5 8.6 20.0 20.0 20.0 20.0 12.8 9.2 -0.4 4.6 7.3 -17.5 -0.0 5.0 -1.5 3.8 0.5 2.3 3.3 20.0 8.9 17.4 20.0 20.0 US10 20.0 20.0 -1.4 0.7 -1.8 -3.8 1.9 -6.7 3.4 -1.3 -8.8 6.1 -13.0 12.3 -3.5 -7.7 0.8 -5.5 -3.3 2.9 -13.4 6.5 -20.0 12.5 -5.9 -0.0 1.3 -1.9 -3.9 2.0 -7.5 4.2 -4.0 -1.1 0.1 1.8 0.1 US10U 20.0 20.0 -1.9 0.7 -1.8 -3.8 1.9 -6.7 3.4 -1.1 -8.4 7.0 -12.7 12.4 -3.0 1.3 4.8 0.9 1.9 4.0 -12.8 8.3 -20.0 14.6 -7.2 -0.0 1.6 -2.0 -3.3 2.4 -6.5 4.6 3.9 0.5 5.2 1.8 1.7 US20 20.0 20.0 -5.5 0.7 -1.8 -3.8 1.9 -6.7 3.4 3.6 -7.6 10.5 -12.3 13.7 -1.7 0.9 2.7 1.4 1.9 5.7 -13.3 14.7 -20.0 19.5 -6.3 -0.0 1.7 -0.1 -3.0 3.7 -5.4 5.1 2.0 6.9 16.9 -0.1 0.1 US30 20.0 20.0 1.1 0.7 -1.8 -3.8 1.9 -6.7 3.4 4.0 -7.8 10.6 -13.5 13.2 -0.2 0.3 0.4 -0.6 -0.5 6.5 -13.1 17.6 -20.0 20.0 -3.8 -0.0 2.2 0.5 -2.6 4.7 -5.3 5.8 -2.0 13.5 20.0 0.9 7.3 US5 19.5 20.0 -1.1 0.7 -1.8 -3.8 1.9 -6.7 3.4 -0.5 -9.0 6.0 -13.3 12.0 -4.1 -6.0 1.9 -5.3 -3.2 1.4 -14.7 5.8 -20.0 10.9 -3.8 -0.0 0.9 -1.8 -4.6 1.9 -9.0 3.9 -2.9 2.0 -3.5 0.7 -0.9 VIX -14.2 -20.0 -5.3 -4.4 -1.3 -2.7 -3.1 -1.7 -4.9 -4.9 -12.2 -10.3 -10.1 -14.2 -13.1 -20.0 -19.4 -17.1 -15.9 -18.2 -12.6 -9.3 -9.0 -17.6 NaN -0.0 -5.6 -1.1 -3.4 -3.2 -2.1 -5.9 NaN NaN NaN NaN NaN WHEAT -20.0 -14.8 -7.0 -4.2 -4.2 -3.6 -5.6 -0.4 -5.1 -6.7 -12.8 -12.9 -7.7 -14.9 -8.1 -6.2 -4.2 -5.0 -4.5 -20.0 -14.3 -20.0 -5.6 -20.0 -8.7 -0.0 -5.1 -1.6 -2.2 -5.7 1.1 -7.0 -20.0 -18.3 -20.0 -19.4 0.4 End of report for caleb_strategy_v1