******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221213_204245 produced at 2022-12-13 21:36:14.217524 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 8645315.21 -8645315.21 -0.20 -0.20 -31.35 999999999.0 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 21731336.50 -21731336.50 -0.11 -0.11 -5.48 999999999.0 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.09 0.0 32268031.40 -32268031.40 -0.10 -0.10 -2.82 999999999.0 -3 -3 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.08 0.0 37964304.60 -37964304.60 -0.15 -0.15 -2.14 999999999.0 -4 -4 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 39830512.20 -39830512.20 0.00 0.00 -1.80 999999999.0 0 0 caleb_strategy_v1 CHF False False 0.05 -0.05 -0.06 0.0 46748500.37 -46748500.37 -0.05 -0.05 -1.26 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 JPY False False 0.03 -0.10 -0.03 0.0 32046690.50 -32046690.50 -0.10 -0.10 -0.93 999999999.0 -3 -3 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.03 0.0 25713736.71 -25713736.71 0.00 0.00 -1.15 999999999.0 0 0 caleb_strategy_v1 US10U False False 0.04 0.00 -0.03 0.0 42217521.92 -42217521.92 0.00 0.00 -0.78 999999999.0 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.02 0.0 45526785.40 -45526785.40 -0.09 -0.09 -0.39 999999999.0 -2 -2 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25611312.30 -25611312.30 -0.05 -0.05 -0.67 999999999.0 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 3199634.63 -3199634.63 -0.01 -0.01 -7.62 999999999.0 -3 -3 caleb_strategy_v1 US30 False False 0.05 0.00 -0.01 0.0 49964453.47 -49964453.47 0.00 0.00 -0.19 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 82599216.37 -82599216.37 0.00 0.00 -0.15 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13597275.37 -13597275.37 -0.03 -0.03 -0.66 999999999.0 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 23331935.01 -23331935.01 0.00 0.00 -0.28 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 67374434.37 -67374434.37 0.00 0.00 -0.08 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6327745.77 -6327745.77 0.00 0.00 -1.12 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6489194.43 -6489194.43 0.00 0.00 -0.83 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 46453379.17 -46453379.17 0.00 0.00 -0.13 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15016461.15 -15016461.15 -0.02 -0.02 -0.39 999999999.0 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 87539892.49 -87539892.49 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8766835.70 -8766835.70 0.00 0.00 -1.33 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13067966.82 -13067966.82 0.00 0.00 0.16 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10342262.12 -10342262.12 0.02 0.02 0.25 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.00 0.0 23798920.92 -23798920.92 -0.02 -0.02 -0.01 999999999.0 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.02 0.00 0.0 5947560.22 -5947560.22 0.02 0.02 0.29 999999999.0 4 4 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 615761.71 -615761.71 0.00 0.00 6.06 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.00 0.0 5374592.89 -5374592.89 0.01 0.01 0.78 999999999.0 2 2 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14150193.62 -14150193.62 0.00 0.00 -0.04 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 -0.00 0.0 31974958.69 -31974958.69 0.00 0.00 -0.11 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10343130.12 -10343130.12 0.00 0.00 -0.39 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21925769.29 -21925769.29 0.00 0.00 -0.19 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 70117325.54 -70117325.54 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22467403.49 -22467403.49 0.04 0.04 0.62 999999999.0 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18106553.73 -18106553.73 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.01 0.0 8858844.08 -8858844.08 0.03 0.03 1.60 999999999.0 3 3 caleb_strategy_v1 LEANHOG False False 0.01 0.02 0.01 0.0 11784015.99 -11784015.99 0.02 0.02 1.23 999999999.0 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 30406163.82 -30406163.82 0.00 0.00 0.46 999999999.0 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4392332.49 -4392332.49 0.00 0.00 1.36 999999999.0 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.02 0.0 15658783.77 -15658783.77 0.06 0.06 1.40 999999999.0 4 4 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.02 0.0 14676772.90 -14676772.90 0.00 0.00 1.39 999999999.0 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 43442604.75 -43442604.75 0.04 0.04 0.57 999999999.0 1 1 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26838669.29 -26838669.29 0.05 0.05 0.82 999999999.0 2 2 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 33344355.79 -33344355.79 0.03 0.03 0.54 999999999.0 1 1 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.0 24798430.67 -24798430.67 0.05 0.05 0.96 999999999.0 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 20766984.57 -20766984.57 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7668429.31 -7668429.31 0.02 0.02 2.30 999999999.0 3 3 caleb_strategy_v1 BUXL False False 0.06 0.18 0.03 0.0 58780918.42 -58780918.42 0.18 0.18 0.58 999999999.0 3 3 caleb_strategy_v1 BTP False False 0.04 0.09 0.05 0.0 43122248.74 -43122248.74 0.09 0.09 1.22 999999999.0 2 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.07 0.0 49962304.12 -49962304.12 0.00 0.00 1.31 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.10 0.0 24169558.43 -24169558.43 0.02 0.02 3.96 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 16.84 0.0 1 1 caleb_strategy_v1 BUND False False 0.05 0.05 0.23 0.0 51867036.22 -51867036.22 0.05 0.05 4.45 999999999.0 1 1 caleb_strategy_v1 BOBL False False 0.04 0.22 0.39 0.0 43938035.16 -43938035.16 0.22 0.22 8.77 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 10.7 Shocked risk 35.9 Sum abs risk 32.8 Leverage 2.22 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2880172.6, 'annual_cash_vol_target': 720043.15, 'daily_cash_vol_target': 45002.696875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0064 0.6854 0.9329 14.9261 BITCOIN 851.2837 17735.0000 4.8000 76.8003 BOBL 0.3741 119.0300 0.3143 5.0291 BTP 0.9514 116.8200 0.8144 13.0300 BUND 0.7932 140.5100 0.5645 9.0318 BUXL 1.9683 159.2400 1.2361 19.7772 CAC 52.3186 6718.0000 0.7788 12.4605 CAD 0.0042 0.7376 0.5746 9.1933 CANOLA 10.6167 857.7000 1.2378 19.8050 CHF 0.0069 1.0772 0.6395 10.2325 COCOA 31.2433 2525.0000 1.2374 19.7977 COFFEE 0.0375 1.6840 2.2260 35.6162 COPPER 0.0599 3.8415 1.5581 24.9301 CORN 4.3076 595.7500 0.7231 11.5688 COTTON2 0.0187 0.8151 2.2996 36.7941 CRUDE_W 1.3587 74.0600 1.8346 29.3535 DAX 119.7451 14560.0000 0.8224 13.1588 DOW 331.6284 34260.0000 0.9680 15.4876 EUR 0.0068 1.0704 0.6374 10.1986 EUROSTX 33.4360 3976.0000 0.8409 13.4551 FEEDCOW 1.3258 185.8750 0.7133 11.4122 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 23.6159 875.7500 2.6967 43.1464 GASOILINE 0.0507 2.1927 2.3102 36.9632 GAS_US 0.2588 6.7200 3.8515 61.6237 GBP 0.0103 1.2368 0.8288 13.2610 GOLD_micro 16.6807 1822.5000 0.9153 14.6442 HEATOIL 0.0723 2.9791 2.4279 38.8465 JPY 0.0001 0.0074 0.8797 14.0750 LEANHOG 1.5085 84.8500 1.7778 28.4454 LIVECOW 0.9230 156.4750 0.5899 9.4383 MXP 0.0004 0.0510 0.7769 12.4297 NASDAQ 182.2245 11895.0000 1.5319 24.5111 NIKKEI 249.8058 27660.0000 0.9031 14.4501 NZD 0.0057 0.6471 0.8746 13.9940 OAT 0.8273 135.3500 0.6112 9.7798 OJ 0.0348 1.9860 1.7511 28.0181 PALLAD 44.1903 1940.5000 2.2773 36.4362 PLAT 19.3868 1043.0000 1.8588 29.7401 REDWHEAT 15.0696 865.0000 1.7422 27.8744 ROBUSTA 21.5953 1869.0000 1.1554 18.4871 RUSSELL 26.5250 1843.1000 1.4391 23.0264 SILVER-mini 0.4416 23.9250 1.8456 29.5303 SOYBEAN 11.9321 1392.2500 0.8570 13.7126 SOYMEAL 6.7222 451.0000 1.4905 23.8482 SOYOIL 1.2196 62.7300 1.9442 31.1071 SP400 32.2784 2521.3000 1.2802 20.4837 SP500 48.1783 4039.0000 1.1928 19.0852 SUGAR11 0.0023 0.1972 1.1689 18.7025 US10 0.5513 114.7188 0.4805 7.6884 US10U 0.7530 121.5938 0.6193 9.9087 US20 1.0617 131.1250 0.8097 12.9549 US30 1.6843 143.9062 1.1704 18.7268 US5 0.3679 109.3438 0.3365 5.3834 VIX 0.4856 24.9000 1.9500 31.2001 WHEAT 12.0747 783.2500 1.5416 24.6659 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 685.45 0.93 639.44 1.00 639.44 45002.7 70.38 -0.12 -0.85 BITCOIN 17.74 4.80 85.13 1.00 85.13 45002.7 528.65 4.86 257.11 BOBL 1190.30 0.31 374.14 1.05 393.67 45002.7 114.32 10.63 121.52 BTP 1168.20 0.81 951.35 1.05 1001.02 45002.7 44.96 13.48 60.59 BUND 1405.10 0.56 793.16 1.05 834.57 45002.7 53.92 11.43 61.62 BUXL 1592.40 1.24 1968.33 1.05 2071.09 45002.7 21.73 3.18 6.91 CAC 671.80 0.78 523.19 1.05 550.50 45002.7 81.75 4.16 34.04 CAD 737.65 0.57 423.84 1.00 423.84 45002.7 106.18 -3.55 -37.68 CANOLA 171.54 1.24 212.33 0.73 155.71 45002.7 289.02 5.12 147.91 CHF 1346.44 0.64 861.09 1.00 861.09 45002.7 52.26 -6.43 -33.62 COCOA 252.50 1.24 312.43 1.00 312.43 45002.7 144.04 -4.24 -61.14 COFFEE 631.50 2.23 1405.73 1.00 1405.73 45002.7 32.01 -4.62 -14.79 COPPER 960.38 1.56 1496.39 1.00 1496.39 45002.7 30.07 6.61 19.87 CORN 297.88 0.72 215.38 1.00 215.38 45002.7 208.95 1.34 28.04 COTTON2 407.55 2.30 937.21 1.00 937.21 45002.7 48.02 -0.52 -2.49 CRUDE_W 740.60 1.83 1358.70 1.00 1358.70 45002.7 33.12 -2.63 -8.70 DAX 145.60 0.82 119.75 1.05 126.00 45002.7 357.17 0.40 14.29 DOW 171.30 0.97 165.81 1.00 165.81 45002.7 271.40 0.38 10.25 EUR 1337.94 0.64 852.82 1.00 852.82 45002.7 52.77 -0.68 -3.60 EUROSTX 397.60 0.84 334.36 1.05 351.82 45002.7 127.91 3.86 49.33 FEEDCOW 929.38 0.71 662.89 1.00 662.89 45002.7 67.89 -15.45 -104.91 FTSE100 707.00 0.82 576.59 1.23 666.67 45002.7 67.50 -2.56 -17.30 GASOIL 875.75 2.70 2361.59 1.00 2361.59 45002.7 19.06 3.37 6.42 GASOILINE 920.93 2.31 2127.54 1.00 2127.54 45002.7 21.15 -1.21 -2.56 GAS_US 672.00 3.85 2588.20 1.00 2588.20 45002.7 17.39 -10.61 -18.45 GBP 773.00 0.83 640.67 1.00 640.67 45002.7 70.24 6.58 46.19 GOLD_micro 182.25 0.92 166.81 1.00 166.81 45002.7 269.79 -1.85 -49.92 HEATOIL 1251.22 2.43 3037.85 1.00 3037.85 45002.7 14.81 5.35 7.92 JPY 923.00 0.88 811.95 1.00 811.95 45002.7 55.43 -2.60 -14.41 LEANHOG 339.40 1.78 603.40 1.00 603.40 45002.7 74.58 3.53 26.35 LIVECOW 625.90 0.59 369.21 1.00 369.21 45002.7 121.89 -16.74 -204.08 MXP 255.15 0.78 198.22 1.00 198.22 45002.7 227.04 5.74 130.36 NASDAQ 2379.00 1.53 3644.49 1.00 3644.49 45002.7 12.35 -2.24 -2.77 NIKKEI 27660.00 0.90 24980.58 0.01 182.42 45002.7 246.70 3.59 88.69 NZD 647.10 0.87 565.97 1.00 565.97 45002.7 79.51 4.85 38.54 OAT 1353.50 0.61 827.31 1.05 870.50 45002.7 51.70 12.53 64.79 OJ 297.90 1.75 521.66 1.00 521.66 45002.7 86.27 -2.61 -22.50 PALLAD 1940.50 2.28 4419.03 1.00 4419.03 45002.7 10.18 -3.08 -3.14 PLAT 521.50 1.86 969.34 1.00 969.34 45002.7 46.43 3.05 14.17 REDWHEAT 432.50 1.74 753.48 1.00 753.48 45002.7 59.73 -12.24 -73.10 ROBUSTA 186.90 1.16 215.95 1.00 215.95 45002.7 208.39 -3.06 -63.80 RUSSELL 92.16 1.44 132.62 1.00 132.62 45002.7 339.32 -4.34 -147.21 SILVER-mini 598.12 1.85 1103.92 1.00 1103.92 45002.7 40.77 9.99 40.71 SOYBEAN 696.12 0.86 596.61 1.00 596.61 45002.7 75.43 8.89 67.09 SOYMEAL 451.00 1.49 672.22 1.00 672.22 45002.7 66.95 3.54 23.72 SOYOIL 376.38 1.94 731.76 1.00 731.76 45002.7 61.50 2.91 17.88 SP400 2521.30 1.28 3227.84 1.00 3227.84 45002.7 13.94 -1.65 -2.30 SP500 2019.50 1.19 2408.91 1.00 2408.91 45002.7 18.68 -1.12 -2.09 SUGAR11 220.86 1.17 258.17 1.00 258.17 45002.7 174.31 9.70 169.16 US10 1147.19 0.48 551.25 1.00 551.25 45002.7 81.64 -5.76 -47.01 US10U 1215.94 0.62 753.02 1.00 753.02 45002.7 59.76 -0.90 -5.36 US20 1311.25 0.81 1061.69 1.00 1061.69 45002.7 42.39 -1.26 -5.32 US30 1439.06 1.17 1684.32 1.00 1684.32 45002.7 26.72 -0.86 -2.29 US5 1093.44 0.34 367.90 1.00 367.90 45002.7 122.32 -4.55 -55.69 VIX 249.00 1.95 485.55 1.00 485.55 45002.7 92.68 -17.95 -166.35 WHEAT 391.62 1.54 603.74 1.00 603.74 45002.7 74.54 -16.49 -122.95 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -0.851 0.006 2.5 -0.014 BITCOIN 257.115 0.009 2.5 6.058 BOBL 121.519 0.029 2.5 8.769 BTP 60.588 0.008 2.5 1.224 BUND 61.625 0.029 2.5 4.447 BUXL 6.914 0.034 2.5 0.580 CAC 34.041 0.011 2.5 0.957 CAD -37.677 0.007 2.5 -0.673 CANOLA 147.909 0.004 2.5 1.358 CHF -33.622 0.015 2.5 -1.258 COCOA -61.143 0.009 2.5 -1.332 COFFEE -14.786 0.005 2.5 -0.192 COPPER 19.867 0.011 2.5 0.543 CORN 28.042 0.004 2.5 0.253 COTTON2 -2.492 0.006 2.5 -0.038 CRUDE_W -8.695 0.053 2.5 -1.149 DAX 14.295 0.022 2.5 0.776 DOW 10.253 0.011 2.5 0.292 EUR -3.604 0.015 2.5 -0.135 EUROSTX 49.334 0.011 2.5 1.387 FEEDCOW -104.910 0.011 2.5 -2.819 FTSE100 -17.302 0.041 2.5 -1.784 GASOIL 6.424 0.029 2.5 0.458 GASOILINE -2.560 0.016 2.5 -0.105 GAS_US -18.450 0.006 2.5 -0.278 GBP 46.186 0.007 2.5 0.825 GOLD_micro -49.920 0.009 2.5 -1.117 HEATOIL 7.922 0.029 2.5 0.565 JPY -14.408 0.026 2.5 -0.933 LEANHOG 26.348 0.019 2.5 1.231 LIVECOW -204.084 0.011 2.5 -5.484 MXP 130.358 0.005 2.5 1.596 NASDAQ -2.770 0.022 2.5 -0.150 NIKKEI 88.687 0.076 2.5 16.845 NZD 38.543 0.006 2.5 0.616 OAT 64.789 0.008 2.5 1.308 OJ -22.502 0.007 2.5 -0.393 PALLAD -3.136 0.010 2.5 -0.075 PLAT 14.169 0.010 2.5 0.341 REDWHEAT -73.105 0.002 2.5 -0.390 ROBUSTA -63.805 0.005 2.5 -0.827 RUSSELL -147.209 0.021 2.5 -7.625 SILVER-mini 40.714 0.009 2.5 0.911 SOYBEAN 67.088 0.024 2.5 3.956 SOYMEAL 23.717 0.024 2.5 1.398 SOYOIL 17.875 0.004 2.5 0.164 SP400 -2.302 0.021 2.5 -0.119 SP500 -2.090 0.011 2.5 -0.060 SUGAR11 169.162 0.005 2.5 2.295 US10 -47.013 0.015 2.5 -1.804 US10U -5.359 0.058 2.5 -0.781 US20 -5.325 0.029 2.5 -0.392 US30 -2.289 0.034 2.5 -0.192 US5 -55.690 0.015 2.5 -2.136 VIX -166.353 0.075 2.5 -31.349 WHEAT -122.948 0.002 2.5 -0.656 ==================== Position diags ==================== AUD 1.12 BITCOIN 12.46 BOBL 8.25 BTP 0.91 BUND 3.89 BUXL 1.82 CAC 2.30 CAD 1.90 CANOLA 2.65 CHF 1.96 COCOA 3.14 COFFEE 0.42 COPPER 0.82 CORN 1.88 COTTON2 0.72 CRUDE_W 4.38 DAX 19.40 DOW 7.73 EUR 1.97 EUROSTX 3.60 FEEDCOW 1.82 FTSE100 6.96 GASOIL 1.36 GASOILINE 0.87 GAS_US 0.26 GBP 1.25 GOLD_micro 6.04 HEATOIL 1.06 JPY 3.59 LEANHOG 3.48 LIVECOW 3.28 MXP 2.78 NASDAQ 0.67 NIKKEI 46.86 NZD 1.27 OAT 1.04 OJ 1.50 PALLAD 0.25 PLAT 1.12 REDWHEAT 0.32 ROBUSTA 2.70 RUSSELL 17.58 SILVER-mini 0.91 SOYBEAN 4.45 SOYMEAL 3.95 SOYOIL 0.56 SP400 0.72 SP500 0.53 SUGAR11 2.37 US10 3.13 US10U 8.71 US20 3.12 US30 2.24 US5 4.69 VIX 17.47 WHEAT 0.40 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.0 -0.1 0.1 -1.0 -1 BITCOIN 6.1 4.8 7.3 NaN 0 BOBL 8.8 7.9 9.6 5.0 5 BTP 1.2 1.1 1.3 2.0 2 BUND 4.4 4.1 4.8 1.0 1 BUXL 0.6 0.4 0.8 3.0 3 CAC 1.0 0.7 1.2 2.0 2 CAD -0.7 -0.9 -0.5 -2.0 -2 CANOLA 1.4 1.1 1.6 NaN 0 CHF -1.3 -1.5 -1.1 -1.0 -1 COCOA -1.3 -1.6 -1.0 NaN 0 COFFEE -0.2 -0.2 -0.2 NaN 0 COPPER 0.5 0.5 0.6 1.0 1 CORN 0.3 0.1 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 0.8 -1.2 2.7 2.0 2 DOW 0.3 -0.5 1.1 4.0 4 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 1.4 1.0 1.7 0.0 0 FEEDCOW -2.8 -3.0 -2.6 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 0.5 0.3 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 1.0 2.0 2 GOLD_micro -1.1 -1.7 -0.5 0.0 0 HEATOIL 0.6 0.5 0.7 1.0 1 JPY -0.9 -1.3 -0.6 -3.0 -3 LEANHOG 1.2 0.9 1.6 2.0 2 LIVECOW -5.5 -5.8 -5.2 -5.0 -5 MXP 1.6 1.3 1.9 3.0 3 NASDAQ -0.2 -0.2 -0.1 0.0 0 NIKKEI 16.8 12.2 21.5 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 0.5 NaN 0 REDWHEAT -0.4 -0.4 -0.4 -1.0 -1 ROBUSTA -0.8 -1.1 -0.6 0.0 0 RUSSELL -7.6 -9.4 -5.9 -3.0 -3 SILVER-mini 0.9 0.8 1.0 NaN 0 SOYBEAN 4.0 3.5 4.4 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 2.3 2.1 2.5 3.0 3 US10 -1.8 -2.1 -1.5 NaN 0 US10U -0.8 -1.7 0.1 0.0 0 US20 -0.4 -0.7 -0.1 -2.0 -2 US30 -0.2 -0.4 0.0 0.0 0 US5 -2.1 -2.6 -1.7 -4.0 -4 VIX -31.3 -33.1 -29.6 -23.0 -23 WHEAT -0.7 -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 -0.1 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 -0.2 -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 0.6 0.7 0.4 0.4 -0.0 -0.2 0.0 -0.2 0.0 1.9 -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 0.2 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.1 0.0 -0.3 0.1 0.2 1.1 0.6 0.4 0.4 0.1 -0.0 0.0 -0.2 0.0 0.6 -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 -0.1 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 0.5 -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 -0.0 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 0.1 -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 0.8 -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 0.9 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 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 0.1 0.3 -0.8 -0.5 -0.2 -0.2 0.2 0.1 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 0.0 -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 -0.2 -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 1.9 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -1.8 0.0 0.2 -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 1.9 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 -0.0 -0.1 0.1 0.0 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 -0.1 -0.2 -0.2 0.1 COTTON2 0.0 0.1 -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 -0.3 -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 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 0.5 0.6 0.2 0.2 -0.1 -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 0.0 0.2 0.2 0.2 DAX 0.1 0.3 0.3 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 -1.7 -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 0.3 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 0.3 -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 0.3 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.3 0.0 -0.1 0.1 0.4 0.4 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 0.8 0.0 0.1 0.3 0.3 FEEDCOW 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.5 -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 -0.3 -0.3 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 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 0.3 0.0 -0.2 -0.1 0.1 GASOILINE -0.2 -0.1 -0.3 -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 -0.2 0.3 -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 -0.1 0.4 0.2 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 -0.2 -0.1 -0.0 -0.0 0.2 0.0 0.0 -0.1 0.0 1.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.0 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 1.3 -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 -0.3 -0.4 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 -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 0.1 -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 -0.2 0.0 1.8 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.9 -0.0 0.1 0.0 -0.1 LEANHOG -0.2 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -1.6 0.8 -0.0 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.7 0.0 -0.1 0.2 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 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.1 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 0.0 0.1 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 0.3 -0.0 0.4 0.0 0.2 1.3 0.8 0.4 0.4 0.1 0.1 -0.0 0.2 0.0 -3.6 -0.0 0.0 -0.0 0.1 -0.0 0.1 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 -0.1 -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 2.2 -0.2 -0.3 -0.2 0.0 NZD 0.2 0.3 0.1 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 0.0 -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 -0.1 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 -0.1 0.0 0.1 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 0.9 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 0.3 0.3 0.3 PALLAD -0.0 -0.1 -0.1 0.1 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 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.3 -0.2 PLAT -0.0 0.2 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 -2.6 -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 -0.2 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 -1.1 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 0.2 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 2.8 -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 0.3 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 0.1 -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 -2.8 -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 -0.1 1.1 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 0.1 0.3 SP400 0.0 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 -0.1 -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 0.6 -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 0.3 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 -3.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 2.7 0.0 0.2 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 -0.1 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 0.1 -0.1 0.1 0.2 0.0 0.0 0.1 -0.1 0.0 -0.3 0.0 -1.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.6 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 0.1 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 0.1 -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 -0.4 -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 -1.6 -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 11.1 20.0 -1.9 2.7 3.2 -0.9 3.2 -3.7 4.1 9.8 -5.1 10.6 -9.2 13.6 3.6 -2.9 -1.9 -2.7 -2.3 6.8 -3.4 9.7 -9.2 11.4 3.0 -0.0 2.1 4.6 -2.3 3.8 -4.7 4.2 -0.4 -1.5 -3.6 -4.3 -5.4 BITCOIN 1.8 11.0 1.2 3.8 3.8 1.5 4.5 0.3 4.9 13.3 -15.6 12.1 -15.9 -6.4 -10.1 1.5 -0.9 0.8 0.2 -8.6 -16.9 4.0 -20.0 -2.2 20.0 -0.0 -4.6 2.8 -5.9 1.0 -5.6 -2.2 1.7 -13.4 -10.0 -20.0 -20.0 BOBL 15.1 14.6 -13.1 0.9 0.3 -3.7 2.2 -6.7 3.5 -9.7 -11.5 1.3 -12.7 8.8 -8.8 7.3 17.6 18.2 20.0 -3.1 -16.5 0.2 -20.0 4.8 12.6 -0.0 -0.7 -3.3 -7.4 0.0 -13.1 2.3 20.0 -12.1 -7.6 -5.4 -7.0 BTP 15.3 20.0 8.8 0.9 0.3 -3.7 2.2 -6.7 3.5 -3.9 -2.5 5.7 -10.8 13.3 6.7 12.9 15.1 17.8 18.1 12.5 -2.7 5.6 -17.2 15.1 5.2 -0.0 3.4 -0.9 -1.7 1.5 -7.2 4.2 20.0 -9.3 1.9 18.3 14.4 BUND 18.0 20.0 -7.9 0.9 0.3 -3.7 2.2 -6.7 3.5 -9.0 -9.1 3.8 -12.2 11.9 -4.9 14.9 16.1 14.0 15.1 1.4 -14.0 2.1 -20.0 8.8 9.9 -0.0 0.6 -2.8 -5.4 0.5 -10.4 3.1 20.0 -12.5 -2.4 2.6 -6.0 BUXL 20.0 20.0 1.8 0.9 0.3 -3.7 2.2 -6.7 3.5 -2.2 -5.1 10.4 -11.1 14.3 2.9 5.6 -1.8 5.5 2.6 12.2 -7.9 11.4 -20.0 20.0 5.5 -0.0 2.8 -1.6 -2.2 2.5 -5.9 5.1 -2.2 -3.7 18.0 16.5 3.4 CAC 6.9 20.0 11.8 2.5 1.0 0.0 0.4 -1.7 2.3 -2.1 11.1 4.5 -0.7 14.3 14.6 -0.5 3.7 0.4 1.7 20.0 15.8 4.9 6.1 17.4 -15.0 -0.0 4.9 0.9 3.1 1.0 1.0 3.6 7.0 1.5 4.5 15.7 15.9 CAD -6.7 12.5 -9.8 2.7 3.2 -0.9 3.2 -3.7 4.1 -4.5 -9.2 -10.3 -11.0 -2.2 -6.2 -1.8 -0.9 -1.7 -1.4 -5.9 -10.2 -7.7 -11.6 -6.4 5.6 -0.0 -3.2 -0.1 -5.8 -3.5 -6.8 -3.1 1.3 -20.0 -20.0 -20.0 -16.1 CANOLA -6.7 5.1 -2.1 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 11.8 -10.0 5.1 -2.8 -0.2 3.7 11.8 13.4 10.5 9.8 -3.1 -6.5 7.8 -0.9 0.9 6.5 -0.0 -1.5 2.9 -1.1 2.4 1.6 -0.7 -2.2 20.0 -10.1 -2.6 9.9 CHF 14.1 20.0 9.1 2.7 3.2 -0.9 3.2 -3.7 4.1 12.7 4.4 14.1 -5.6 15.1 11.8 -11.5 -11.5 -11.9 -12.1 14.4 4.2 13.8 -4.4 17.6 -5.2 -0.0 3.9 3.8 0.3 4.0 -3.0 5.1 -17.0 5.0 1.6 -0.3 6.7 COCOA 2.3 19.6 8.7 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 3.5 -0.7 6.2 -8.5 10.6 10.5 -1.0 -3.1 -0.3 -1.2 10.1 3.4 5.9 -4.5 9.4 -1.3 -0.0 3.8 2.2 1.5 1.7 -1.5 2.9 -20.0 14.8 6.7 20.0 15.0 COFFEE 15.4 -20.0 -20.0 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 7.1 -13.0 4.2 -7.6 -10.2 -13.9 -0.5 4.2 3.7 5.3 -20.0 -20.0 2.3 -11.8 -10.3 12.0 -0.0 -5.3 3.2 -5.3 0.5 -2.5 -2.5 -13.0 6.7 9.7 -20.0 -20.0 COPPER 8.7 20.0 13.9 3.8 3.8 1.5 4.5 0.3 4.9 4.3 -6.6 9.7 -9.0 9.8 8.4 -1.2 0.0 -0.2 -0.1 11.3 0.1 9.8 -8.5 13.8 15.7 -0.0 4.5 1.0 0.9 3.2 -1.6 5.1 2.3 -1.1 -3.8 5.3 2.7 CORN -17.1 -15.8 11.2 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 -8.8 0.5 -12.7 5.0 -14.7 0.5 20.0 14.4 17.2 15.0 -9.6 1.3 -12.5 14.6 -16.3 -12.4 -0.0 -4.7 -1.2 -0.7 -4.5 4.2 -6.4 3.2 -20.0 -10.1 -16.7 7.3 COTTON2 2.5 5.6 -20.0 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 -5.6 -11.4 -6.8 -1.0 4.3 -9.4 2.7 16.5 6.2 12.1 -10.5 -14.7 -5.5 -5.0 -4.8 -1.4 -0.0 -2.3 -1.7 -3.5 -1.4 1.5 -0.3 4.4 8.4 7.7 5.3 -20.0 CRUDE_W -10.8 0.9 -5.1 -4.2 0.8 -1.7 -4.4 3.0 -5.5 -5.7 -5.8 -9.4 3.0 -9.6 2.4 5.8 13.2 7.6 10.4 -4.5 -2.3 -10.4 4.8 -8.9 -0.7 -0.0 -2.1 -0.5 0.3 -5.4 6.1 -4.6 -20.0 3.5 11.5 16.9 12.6 DAX 4.6 20.0 13.7 2.5 1.0 0.0 0.4 -1.7 2.3 2.5 8.3 -0.4 -4.6 14.2 14.3 -4.8 -1.8 -3.9 -3.0 20.0 14.1 5.1 -2.0 18.5 -11.2 -0.0 4.8 1.2 2.8 0.9 -0.4 3.3 -1.6 0.5 3.5 20.0 20.0 DOW 1.4 20.0 7.9 2.5 1.0 0.0 0.4 -1.7 2.3 -2.1 7.1 -3.7 -1.4 12.0 12.6 -5.3 -2.1 -4.8 -3.8 17.2 9.6 2.2 0.7 11.6 -6.1 -0.0 4.2 1.1 2.3 0.6 0.3 2.9 -2.7 -0.3 0.4 15.1 10.5 EUR 15.5 20.0 18.3 2.7 3.2 -0.9 3.2 -3.7 4.1 12.8 -0.8 14.4 -10.5 15.7 14.1 -7.3 -8.3 -7.6 -8.1 17.5 2.3 16.3 -12.8 20.0 2.4 -0.0 4.4 4.4 -0.4 4.6 -5.6 5.7 -10.9 9.5 6.9 4.5 12.6 EUROSTX 8.7 20.0 15.2 2.5 1.0 0.0 0.4 -1.7 2.3 3.0 10.4 7.4 -2.4 15.1 14.9 4.7 2.9 1.7 1.6 20.0 17.3 7.1 3.6 20.0 -16.9 -0.0 5.1 1.2 3.3 1.3 0.6 3.8 6.0 2.3 8.8 20.0 20.0 FEEDCOW 9.1 7.5 -7.8 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 8.9 -0.1 10.3 -1.6 10.9 -0.7 -19.2 -20.0 -19.1 -20.0 3.5 -1.1 9.4 -2.1 8.3 -11.2 -0.0 2.3 4.6 -0.6 5.2 -1.1 5.1 -20.0 20.0 20.0 20.0 -7.6 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 -18.2 -15.6 -4.2 0.8 -1.7 -4.4 3.0 -5.5 -3.8 -3.0 -10.4 9.7 -12.7 -8.6 18.2 20.0 20.0 20.0 -12.4 -1.1 -14.4 12.3 -19.0 -4.4 -0.0 -4.2 1.9 -0.7 -4.7 4.0 -6.3 2.2 2.4 -12.5 -8.7 10.4 GASOILINE -20.0 -7.5 -14.7 -4.2 0.8 -1.7 -4.4 3.0 -5.5 -6.6 -10.8 -11.8 3.3 -13.1 -8.6 -1.3 20.0 11.9 20.0 -14.3 -6.6 -18.7 6.8 -20.0 -5.4 -0.0 -3.9 -0.5 -0.6 -5.9 5.8 -6.3 0.0 -5.6 -2.0 9.5 5.6 GAS_US 5.4 1.4 -20.0 -4.2 0.8 -1.7 -4.4 3.0 -5.5 7.9 -8.7 -2.1 0.4 -2.9 -10.2 4.2 -9.3 -9.4 -10.6 -9.0 -7.8 1.5 0.5 -5.6 -12.2 -0.0 -0.8 7.3 0.2 1.7 4.7 0.0 -20.0 -8.5 20.0 17.3 4.3 GBP 18.8 20.0 19.4 2.7 3.2 -0.9 3.2 -3.7 4.1 13.2 0.9 14.4 -7.7 15.5 12.8 -2.0 -1.5 -1.9 -1.8 16.6 1.7 16.6 -10.7 20.0 13.5 -0.0 3.1 4.2 -2.7 4.8 -7.0 5.6 0.4 7.7 11.7 0.4 -6.2 GOLD_micro 10.6 20.0 6.3 3.8 3.8 1.5 4.5 0.3 4.9 10.7 -5.5 10.2 -9.8 13.3 9.3 -10.4 -8.1 -10.2 -9.5 11.6 -0.1 12.4 -6.9 15.5 10.8 -0.0 3.8 3.9 0.3 3.9 -1.4 5.0 -12.7 0.5 -0.5 1.7 -6.4 HEATOIL -20.0 -15.9 -19.9 -4.2 0.8 -1.7 -4.4 3.0 -5.5 -2.4 -3.6 -9.1 8.8 -11.0 -6.5 20.0 20.0 20.0 20.0 -12.0 -1.1 -13.5 11.9 -18.7 -13.5 -0.0 -3.8 2.4 0.7 -4.2 7.3 -6.1 11.1 -3.8 -4.4 -1.4 12.2 JPY 18.0 20.0 17.6 2.7 3.2 -0.9 3.2 -3.7 4.1 0.5 -6.5 7.3 -13.1 12.0 5.6 -10.7 -10.1 -11.7 -11.5 10.4 -5.7 10.0 -19.7 15.9 13.5 -0.0 3.1 1.8 -2.3 3.0 -7.5 4.9 -15.3 -1.1 6.7 2.9 -4.3 LEANHOG -16.6 2.4 -1.8 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 -10.7 -0.1 -10.6 -0.5 -4.4 7.1 -20.0 20.0 -1.1 20.0 -0.4 1.6 -12.5 3.3 -6.9 -2.9 -0.0 -1.0 -4.7 -0.2 -5.7 1.2 -3.6 20.0 6.9 -4.7 12.7 0.3 LIVECOW -1.8 2.1 7.3 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 12.9 7.5 7.1 -1.0 4.7 7.2 -20.0 -20.0 -20.0 -20.0 5.1 4.6 6.6 1.0 4.0 -20.0 -0.0 3.2 8.0 3.6 3.7 2.8 2.5 -20.0 16.1 20.0 20.0 9.5 MXP -14.2 2.6 4.6 2.7 3.2 -0.9 3.2 -3.7 4.1 -5.5 14.0 -8.3 14.8 4.1 10.1 17.2 20.0 18.4 19.1 8.7 12.3 -6.0 12.5 0.1 -20.0 -0.0 4.0 -0.4 4.8 -2.7 4.2 0.3 20.0 -20.0 -20.0 -9.4 20.0 NASDAQ 6.0 10.7 -7.5 2.5 1.0 0.0 0.4 -1.7 2.3 -2.2 -8.8 -3.8 -12.0 7.9 -5.7 -4.6 -3.1 -4.5 -4.1 -0.2 -8.3 0.7 -12.8 2.7 9.6 -0.0 0.6 1.9 -3.2 1.1 -4.6 2.2 -3.8 6.2 0.2 -11.6 -10.8 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 16.5 -13.0 -15.0 -11.9 2.5 NZD 20.0 20.0 7.9 2.7 3.2 -0.9 3.2 -3.7 4.1 12.7 0.3 14.0 -8.4 15.5 10.8 -0.7 0.4 -0.8 -0.4 19.6 3.3 20.0 -8.8 20.0 1.3 -0.0 4.2 3.9 0.2 4.7 -2.8 5.8 3.3 15.3 17.0 17.8 4.1 OAT 18.9 20.0 2.1 0.9 0.3 -3.7 2.2 -6.7 3.5 -8.3 -6.1 5.3 -11.4 12.7 -0.2 12.1 12.3 13.3 13.5 6.7 -8.5 3.5 -20.0 12.4 10.5 -0.0 1.8 -2.5 -4.0 0.9 -9.3 3.7 20.0 -11.1 2.2 10.4 0.1 OJ -8.4 0.5 16.9 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 -2.7 13.2 -0.2 14.0 3.0 11.5 13.0 12.0 15.3 15.3 15.1 20.0 -0.9 20.0 5.4 -20.0 -0.0 4.4 -2.2 8.0 -0.9 9.2 0.6 2.2 3.6 9.6 18.1 20.0 PALLAD -3.5 -8.7 -6.5 3.8 3.8 1.5 4.5 0.3 4.9 7.6 -10.8 -6.4 -7.2 -7.1 -10.5 -1.3 -1.2 -1.6 -1.5 -8.9 -8.5 2.2 -6.9 -4.6 3.5 -0.0 -2.6 3.9 -2.5 2.3 -1.8 -0.4 0.0 -8.3 -18.4 -20.0 -10.4 PLAT -2.0 15.9 18.0 3.8 3.8 1.5 4.5 0.3 4.9 4.1 8.4 2.4 -2.3 10.5 12.3 -0.5 -0.3 -0.0 -0.1 13.0 9.2 6.3 1.6 9.6 -4.1 -0.0 5.3 3.1 3.1 2.7 0.0 4.4 2.0 -12.5 -3.9 5.4 12.0 REDWHEAT -20.0 -11.6 -3.5 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 -1.5 -11.7 -10.0 -4.9 -13.2 -7.0 6.8 0.3 4.0 2.3 -14.9 -9.4 -12.2 -1.5 -18.9 -10.9 -0.0 -4.5 1.6 -1.3 -3.8 2.5 -6.2 -19.4 -10.6 -18.1 -15.2 6.3 ROBUSTA 20.0 -20.0 -20.0 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 6.2 -11.1 13.8 -4.0 -4.1 -11.7 11.7 7.3 9.4 8.1 -14.9 -18.3 10.8 -6.9 1.9 0.5 -0.0 -2.9 1.4 -3.7 2.7 -1.4 0.8 -8.4 20.0 20.0 -20.0 -20.0 RUSSELL -3.3 11.8 1.0 2.5 1.0 0.0 0.4 -1.7 2.3 -6.5 -3.0 -7.9 -10.1 5.1 -0.1 -4.7 -2.3 -4.1 -3.4 2.0 -1.4 -5.6 -6.7 -1.3 -3.2 -0.0 1.2 -0.6 -0.2 -2.7 -2.1 -0.5 -2.5 -6.5 -12.9 -11.7 -0.1 SILVER-mini 12.9 20.0 20.0 3.8 3.8 1.5 4.5 0.3 4.9 13.3 1.1 13.6 -6.7 14.4 13.2 -4.1 -3.3 -4.1 -3.8 18.3 7.0 20.0 -3.6 20.0 13.1 -0.0 5.3 4.8 1.7 5.5 -1.7 6.3 -3.7 17.7 13.2 13.5 14.5 SOYBEAN 1.9 7.7 3.5 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 6.3 0.2 8.0 4.3 10.2 11.0 20.0 20.0 19.6 20.0 5.0 3.6 3.3 6.5 4.8 -20.0 -0.0 4.1 0.3 5.8 1.6 10.7 2.8 18.7 1.9 12.0 15.8 14.0 SOYMEAL 20.0 12.7 3.2 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 5.8 5.2 11.1 8.7 13.0 9.1 7.3 13.8 10.8 13.2 17.4 9.0 20.0 6.7 20.0 -20.0 -0.0 5.1 2.7 3.2 7.2 3.1 7.4 2.2 20.0 20.0 20.0 20.0 SOYOIL -20.0 -2.1 0.8 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 -6.6 1.2 -11.1 5.6 -9.4 -2.3 13.9 20.0 19.4 20.0 -6.3 2.6 -20.0 7.7 -20.0 -20.0 -0.0 -1.0 -0.1 1.9 -5.4 3.8 -5.1 15.4 -20.0 -20.0 10.1 19.0 SP400 0.0 18.5 2.9 2.5 1.0 0.0 0.4 -1.7 2.3 -7.2 1.9 -8.0 -5.4 8.2 7.0 -2.8 -1.4 -1.5 -1.3 8.2 3.5 -3.2 -2.1 4.0 -7.1 -0.0 3.2 -0.3 1.7 -1.2 0.3 1.5 0.0 -7.3 -7.7 -3.4 6.1 SP500 5.1 17.0 -2.7 2.5 1.0 0.0 0.4 -1.7 2.3 -3.0 -3.5 -4.8 -8.1 9.3 1.6 -5.1 -3.2 -4.7 -4.1 6.1 -1.4 1.0 -6.4 5.8 5.0 -0.0 2.7 1.9 -0.9 0.8 -3.2 2.8 -3.8 2.7 0.2 -2.2 -2.5 SUGAR11 -4.7 18.7 10.8 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 7.1 5.1 -6.8 1.4 7.9 8.8 20.0 20.0 20.0 20.0 12.6 9.2 2.8 4.6 7.9 -18.1 -0.0 5.1 1.6 3.9 1.4 2.4 3.5 20.0 10.6 13.6 20.0 20.0 US10 20.0 20.0 1.2 0.9 0.3 -3.7 2.2 -6.7 3.5 3.9 -8.5 8.1 -12.9 12.8 -2.8 -8.0 0.7 -5.7 -3.5 3.6 -12.5 9.1 -20.0 12.9 -6.0 -0.0 1.6 1.8 -3.7 2.9 -7.4 4.4 -4.2 7.1 1.0 2.4 0.3 US10U 20.0 20.0 0.0 0.9 0.3 -3.7 2.2 -6.7 3.5 0.4 -8.1 7.7 -12.6 12.5 -2.3 1.3 4.8 0.9 1.9 4.6 -12.1 9.7 -20.0 14.6 -7.3 -0.0 1.8 0.9 -3.2 2.9 -6.4 4.6 4.0 7.3 5.3 2.3 1.8 US20 20.0 20.0 -3.6 0.9 0.3 -3.7 2.2 -6.7 3.5 7.6 -7.2 11.5 -12.2 14.0 -0.9 0.7 2.7 1.3 1.8 6.6 -12.4 16.1 -20.0 19.8 -6.4 -0.0 2.0 2.2 -2.8 4.0 -5.3 5.2 2.0 14.5 17.4 1.1 0.5 US30 20.0 20.0 2.1 0.9 0.3 -3.7 2.2 -6.7 3.5 5.4 -7.3 10.4 -13.4 13.1 0.6 0.3 0.4 -0.6 -0.5 7.3 -12.4 17.1 -20.0 20.0 -4.0 -0.0 2.4 1.5 -2.4 4.4 -5.2 5.7 -2.0 18.8 20.0 2.1 7.6 US5 20.0 20.0 1.7 0.9 0.3 -3.7 2.2 -6.7 3.5 7.1 -8.7 9.0 -13.2 12.8 -3.3 -5.8 1.9 -5.3 -3.3 2.2 -13.7 9.2 -20.0 11.7 -3.9 -0.0 1.2 2.5 -4.3 3.1 -8.9 4.2 -3.0 9.7 -2.4 1.5 -0.8 VIX -13.6 -20.0 -5.6 -4.5 -2.5 -2.8 -3.4 -1.7 -4.9 -10.8 -12.4 -12.1 -10.3 -14.7 -13.5 -20.0 -19.5 -17.4 -16.1 -18.6 -13.1 -11.3 -9.3 -18.1 NaN -0.0 -5.6 -2.5 -3.5 -3.6 -2.1 -5.8 NaN NaN NaN NaN NaN WHEAT -20.0 -16.0 -7.8 -4.4 -1.8 -3.8 -4.7 -0.5 -5.1 -6.0 -13.0 -12.1 -7.9 -14.6 -8.7 -6.3 -4.2 -5.1 -4.6 -20.0 -15.2 -18.2 -6.1 -20.0 -8.5 -0.0 -5.2 -0.8 -2.3 -4.7 1.0 -6.6 -20.0 -16.7 -20.0 -19.5 0.3 End of report for caleb_strategy_v1