******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221215_204252 produced at 2022-12-15 21:35:26.903801 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 8570018.97 -8570018.97 -0.20 -0.20 -31.89 999999999.0 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 21475053.57 -21475053.57 -0.11 -0.11 -5.58 999999999.0 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.09 0.0 31943581.78 -31943581.78 -0.10 -0.10 -2.88 999999999.0 -3 -3 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.08 0.0 37782122.75 -37782122.75 -0.15 -0.15 -2.10 999999999.0 -4 -4 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 39643881.77 -39643881.77 0.00 0.00 -1.83 999999999.0 0 0 caleb_strategy_v1 CHF False False 0.05 -0.05 -0.06 0.0 47150192.40 -47150192.40 -0.05 -0.05 -1.23 999999999.0 -1 -1 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.80 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.03 0.0 32217322.32 -32217322.32 -0.10 -0.10 -0.90 999999999.0 -3 -3 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.03 0.0 25896286.70 -25896286.70 0.00 0.00 -1.07 999999999.0 0 0 caleb_strategy_v1 US10U False False 0.04 0.00 -0.03 0.0 42020251.47 -42020251.47 0.00 0.00 -0.62 999999999.0 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.02 0.0 45274961.89 -45274961.89 -0.09 -0.09 -0.36 999999999.0 -2 -2 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25501410.58 -25501410.58 -0.05 -0.05 -0.64 999999999.0 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 3172114.06 -3172114.06 -0.01 -0.01 -7.87 999999999.0 -3 -3 caleb_strategy_v1 US30 False False 0.05 0.00 -0.01 0.0 49618168.19 -49618168.19 0.00 0.00 -0.17 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 82006632.24 -82006632.24 0.00 0.00 -0.16 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13493037.92 -13493037.92 -0.03 -0.03 -0.68 999999999.0 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.01 0.0 21192260.19 -21192260.19 0.00 0.00 -0.25 999999999.0 0 0 caleb_strategy_v1 PALLAD False False 0.07 0.00 -0.01 0.0 66215035.91 -66215035.91 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 6272840.04 -6272840.04 0.00 0.00 -1.07 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.01 0.0 6449068.60 -6449068.60 0.00 0.00 -0.81 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.01 0.0 14549202.23 -14549202.23 -0.01 -0.01 -0.40 999999999.0 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 87069323.52 -87069323.52 0.00 0.00 -0.12 999999999.0 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8739005.26 -8739005.26 0.00 0.00 -1.27 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 46380701.26 -46380701.26 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12893309.02 -12893309.02 0.00 0.00 0.14 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10311612.36 -10311612.36 0.02 0.02 0.29 999999999.0 2 2 caleb_strategy_v1 AUD False False 0.02 -0.02 0.00 0.0 23759817.18 -23759817.18 -0.02 -0.02 0.02 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10333166.74 -10333166.74 0.00 0.00 -0.40 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.02 0.00 0.0 5915899.61 -5915899.61 0.02 0.02 0.37 999999999.0 4 4 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 615765.35 -615765.35 0.00 0.00 6.72 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.00 0.0 5328843.51 -5328843.51 0.01 0.01 0.26 999999999.0 2 2 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.00 0.0 14036208.13 -14036208.13 0.00 0.00 -0.02 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 -0.00 0.0 32777063.54 -32777063.54 0.00 0.00 -0.07 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21726808.66 -21726808.66 0.00 0.00 -0.19 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 69646492.20 -69646492.20 0.00 0.00 -0.06 999999999.0 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17898751.89 -17898751.89 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.01 0.0 8647614.72 -8647614.72 0.03 0.03 1.63 999999999.0 3 3 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22299292.82 -22299292.82 0.04 0.04 0.65 999999999.0 2 2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4386027.21 -4386027.21 0.00 0.00 1.45 999999999.0 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.03 0.01 0.0 12501536.73 -12501536.73 0.03 0.03 1.04 999999999.0 2 2 caleb_strategy_v1 CAC False False 0.02 0.05 0.02 0.0 24640006.48 -24640006.48 0.05 0.05 0.89 999999999.0 2 2 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26863215.90 -26863215.90 0.05 0.05 0.88 999999999.0 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.02 0.0 15522597.74 -15522597.74 0.06 0.06 1.51 999999999.0 4 4 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.02 0.0 14567372.25 -14567372.25 0.00 0.00 1.39 999999999.0 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 33279952.95 -33279952.95 0.03 0.03 0.57 999999999.0 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 31693551.04 -31693551.04 0.00 0.00 0.58 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 20821524.96 -20821524.96 0.00 0.00 0.95 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7848688.92 -7848688.92 0.02 0.02 2.10 999999999.0 3 3 caleb_strategy_v1 BUXL False False 0.06 0.17 0.03 0.0 57643173.06 -57643173.06 0.17 0.17 0.51 999999999.0 3 3 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.03 0.0 45133823.85 -45133823.85 0.05 0.05 0.64 999999999.0 1 1 caleb_strategy_v1 BTP False False 0.04 0.09 0.05 0.0 42832642.85 -42832642.85 0.09 0.09 1.19 999999999.0 2 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.07 0.0 49747907.82 -49747907.82 0.00 0.00 1.31 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.10 0.0 24020194.02 -24020194.02 0.02 0.02 4.14 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 17.06 0.0 1 1 caleb_strategy_v1 BUND False False 0.05 0.05 0.23 0.0 51667382.01 -51667382.01 0.05 0.05 4.46 999999999.0 1 1 caleb_strategy_v1 BOBL False False 0.04 0.22 0.38 0.0 43805274.68 -43805274.68 0.22 0.22 8.65 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 10.9 Shocked risk 36.3 Sum abs risk 32.8 Leverage 2.21 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2899643.52, 'annual_cash_vol_target': 724910.88, 'daily_cash_vol_target': 45306.93} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0063 0.6889 0.9126 14.6015 BITCOIN 836.1148 17855.0000 4.6828 74.9249 BOBL 0.3700 118.9000 0.3112 4.9789 BTP 0.9433 116.2600 0.8114 12.9822 BUND 0.7861 140.2400 0.5605 8.9682 BUXL 2.0496 156.4600 1.3100 20.9601 CAC 54.7746 6688.0000 0.8190 13.1040 CAD 0.0042 0.7395 0.5624 8.9989 CANOLA 10.3740 861.2000 1.2046 19.2736 CHF 0.0068 1.0938 0.6207 9.9305 COCOA 31.3571 2534.0000 1.2375 19.7993 COFFEE 0.0366 1.6800 2.1766 34.8255 COPPER 0.0585 3.8600 1.5166 24.2652 CORN 4.2719 598.0000 0.7144 11.4299 COTTON2 0.0184 0.8140 2.2551 36.0816 CRUDE_W 1.3450 75.0900 1.7911 28.6581 DAX 120.3294 14464.0000 0.8319 13.3108 DOW 324.7946 34308.0000 0.9467 15.1472 EUR 0.0067 1.0759 0.6269 10.0297 EUROSTX 34.4326 3954.0000 0.8708 13.9333 FEEDCOW 1.3026 185.2500 0.7031 11.2502 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 24.2443 919.0000 2.6381 42.2099 GASOILINE 0.0517 2.2629 2.2827 36.5238 GAS_US 0.2788 6.1450 4.5363 72.5809 GBP 0.0101 1.2463 0.8081 12.9298 GOLD_micro 16.3567 1818.9000 0.8993 14.3882 HEATOIL 0.0751 3.1160 2.4095 38.5513 JPY 0.0001 0.0075 0.8524 13.6384 LEANHOG 1.4732 90.6250 1.6256 26.0096 LIVECOW 0.9174 155.6750 0.5893 9.4289 MXP 0.0004 0.0502 0.7794 12.4705 NASDAQ 179.1325 11889.5000 1.5066 24.1063 NIKKEI 249.8058 27660.0000 0.9031 14.4501 NZD 0.0056 0.6466 0.8663 13.8614 OAT 0.8196 135.0300 0.6070 9.7118 OJ 0.0340 1.9975 1.7040 27.2644 PALLAD 42.9170 1920.0000 2.2353 35.7642 PLAT 19.0479 1038.0000 1.8351 29.3610 REDWHEAT 14.8859 843.7500 1.7643 28.2281 ROBUSTA 21.1190 1870.0000 1.1294 18.0697 RUSSELL 26.0105 1839.6000 1.4139 22.6227 SILVER-mini 0.4322 24.1500 1.7897 28.6359 SOYBEAN 11.6660 1393.0000 0.8375 13.3996 SOYMEAL 6.5810 450.1000 1.4621 23.3937 SOYOIL 1.1930 62.3100 1.9147 30.6349 SP400 31.6772 2524.7000 1.2547 20.0751 SP500 47.3285 4039.0000 1.1718 18.7486 SUGAR11 0.0025 0.2032 1.2417 19.8675 US10 0.5398 114.9531 0.4696 7.5134 US10U 0.7389 121.8438 0.6064 9.7030 US20 1.0363 131.2812 0.7894 12.6298 US30 1.6503 143.8750 1.1470 18.3525 US5 0.3605 109.5547 0.3291 5.2655 VIX 0.4871 24.8500 1.9602 31.3636 WHEAT 11.8061 782.5000 1.5088 24.1402 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 688.95 0.91 628.73 1.00 628.73 45306.93 72.06 0.21 1.52 BITCOIN 17.86 4.68 83.61 1.00 83.61 45306.93 541.87 5.27 285.31 BOBL 1189.00 0.31 369.99 1.07 393.37 45306.93 115.18 10.41 119.85 BTP 1162.60 0.81 943.32 1.07 1002.91 45306.93 45.18 13.09 59.15 BUND 1402.40 0.56 786.07 1.07 835.72 45306.93 54.21 11.41 61.85 BUXL 1564.60 1.31 2049.63 1.07 2179.11 45306.93 20.79 2.93 6.10 CAC 668.80 0.82 547.75 1.07 582.35 45306.93 77.80 4.09 31.84 CAD 739.45 0.56 415.89 1.00 415.89 45306.93 108.94 -3.32 -36.12 CANOLA 172.24 1.20 207.48 0.74 153.01 45306.93 296.10 5.35 158.29 CHF 1367.19 0.62 848.55 1.00 848.55 45306.93 53.39 -6.13 -32.73 COCOA 253.40 1.24 313.57 1.00 313.57 45306.93 144.49 -4.03 -58.21 COFFEE 630.00 2.18 1371.25 1.00 1371.25 45306.93 33.04 -4.52 -14.92 COPPER 965.00 1.52 1463.49 1.00 1463.49 45306.93 30.96 6.70 20.74 CORN 299.00 0.71 213.60 1.00 213.60 45306.93 212.12 1.51 32.01 COTTON2 407.00 2.26 917.83 1.00 917.83 45306.93 49.36 -0.25 -1.25 CRUDE_W 750.90 1.79 1344.96 1.00 1344.96 45306.93 33.69 -2.41 -8.13 DAX 144.64 0.83 120.33 1.07 127.93 45306.93 354.15 0.13 4.77 DOW 171.54 0.95 162.40 1.00 162.40 45306.93 278.99 0.47 13.02 EUR 1344.88 0.63 843.04 1.00 843.04 45306.93 53.74 -0.30 -1.59 EUROSTX 395.40 0.87 344.33 1.07 366.08 45306.93 123.76 4.01 49.62 FEEDCOW 926.25 0.70 651.28 1.00 651.28 45306.93 69.57 -15.38 -107.02 FTSE100 707.00 0.82 576.59 1.24 666.67 45306.93 67.96 -2.56 -17.42 GASOIL 919.00 2.64 2424.43 1.00 2424.43 45306.93 18.69 4.36 8.15 GASOILINE 950.42 2.28 2169.55 1.00 2169.55 45306.93 20.88 -0.84 -1.75 GAS_US 614.50 4.54 2787.56 1.00 2787.56 45306.93 16.25 -10.24 -16.64 GBP 778.94 0.81 629.47 1.00 629.47 45306.93 71.98 6.85 49.27 GOLD_micro 181.89 0.90 163.57 1.00 163.57 45306.93 276.99 -1.73 -47.90 HEATOIL 1308.72 2.41 3153.31 1.00 3153.31 45306.93 14.37 6.26 8.99 JPY 934.19 0.85 796.30 1.00 796.30 45306.93 56.90 -2.45 -13.96 LEANHOG 362.50 1.63 589.28 1.00 589.28 45306.93 76.89 2.88 22.17 LIVECOW 622.70 0.59 366.96 1.00 366.96 45306.93 123.47 -16.81 -207.59 MXP 250.75 0.78 195.44 1.00 195.44 45306.93 231.82 5.73 132.95 NASDAQ 2377.90 1.51 3582.65 1.00 3582.65 45306.93 12.65 -2.33 -2.95 NIKKEI 27660.00 0.90 24980.58 0.01 182.42 45306.93 248.37 3.62 89.80 NZD 646.60 0.87 560.18 1.00 560.18 45306.93 80.88 4.99 40.37 OAT 1350.30 0.61 819.61 1.07 871.39 45306.93 51.99 12.46 64.81 OJ 299.62 1.70 510.57 1.00 510.57 45306.93 88.74 -2.58 -22.92 PALLAD 1920.00 2.24 4291.70 1.00 4291.70 45306.93 10.56 -3.01 -3.18 PLAT 519.00 1.84 952.40 1.00 952.40 45306.93 47.57 3.29 15.66 REDWHEAT 421.88 1.76 744.30 1.00 744.30 45306.93 60.87 -12.45 -75.76 ROBUSTA 187.00 1.13 211.19 1.00 211.19 45306.93 214.53 -2.92 -62.68 RUSSELL 91.98 1.41 130.05 1.00 130.05 45306.93 348.37 -4.36 -151.96 SILVER-mini 603.75 1.79 1080.56 1.00 1080.56 45306.93 41.93 10.10 42.34 SOYBEAN 696.50 0.84 583.30 1.00 583.30 45306.93 77.67 9.05 70.29 SOYMEAL 450.10 1.46 658.10 1.00 658.10 45306.93 68.85 3.73 25.69 SOYOIL 373.86 1.91 715.82 1.00 715.82 45306.93 63.29 2.47 15.63 SP400 2524.70 1.25 3167.72 1.00 3167.72 45306.93 14.30 -1.57 -2.25 SP500 2019.50 1.17 2366.42 1.00 2366.42 45306.93 19.15 -1.12 -2.15 SUGAR11 227.58 1.24 282.60 1.00 282.60 45306.93 160.32 9.66 154.93 US10 1149.53 0.47 539.80 1.00 539.80 45306.93 83.93 -5.68 -47.65 US10U 1218.44 0.61 738.91 1.00 738.91 45306.93 61.32 -0.69 -4.25 US20 1312.81 0.79 1036.28 1.00 1036.28 45306.93 43.72 -1.13 -4.94 US30 1438.75 1.15 1650.29 1.00 1650.29 45306.93 27.45 -0.75 -2.06 US5 1095.55 0.33 360.54 1.00 360.54 45306.93 125.67 -4.35 -54.65 VIX 248.50 1.96 487.12 1.00 487.12 45306.93 93.01 -18.20 -169.24 WHEAT 391.25 1.51 590.30 1.00 590.30 45306.93 76.75 -16.61 -127.50 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 1.525 0.006 2.5 0.024 BITCOIN 285.313 0.009 2.5 6.722 BOBL 119.847 0.029 2.5 8.648 BTP 59.152 0.008 2.5 1.195 BUND 61.853 0.029 2.5 4.463 BUXL 6.100 0.034 2.5 0.512 CAC 31.836 0.011 2.5 0.895 CAD -36.117 0.007 2.5 -0.645 CANOLA 158.294 0.004 2.5 1.453 CHF -32.735 0.015 2.5 -1.225 COCOA -58.209 0.009 2.5 -1.268 COFFEE -14.925 0.005 2.5 -0.193 COPPER 20.740 0.011 2.5 0.567 CORN 32.014 0.004 2.5 0.289 COTTON2 -1.250 0.006 2.5 -0.019 CRUDE_W -8.125 0.053 2.5 -1.073 DAX 4.770 0.022 2.5 0.259 DOW 13.024 0.011 2.5 0.371 EUR -1.591 0.015 2.5 -0.060 EUROSTX 49.616 0.011 2.5 1.395 FEEDCOW -107.015 0.011 2.5 -2.876 FTSE100 -17.419 0.041 2.5 -1.796 GASOIL 8.154 0.029 2.5 0.582 GASOILINE -1.752 0.016 2.5 -0.072 GAS_US -16.636 0.006 2.5 -0.250 GBP 49.272 0.007 2.5 0.880 GOLD_micro -47.897 0.009 2.5 -1.072 HEATOIL 8.988 0.029 2.5 0.641 JPY -13.960 0.026 2.5 -0.904 LEANHOG 22.166 0.019 2.5 1.036 LIVECOW -207.594 0.011 2.5 -5.578 MXP 132.949 0.005 2.5 1.628 NASDAQ -2.946 0.022 2.5 -0.160 NIKKEI 89.805 0.076 2.5 17.057 NZD 40.371 0.006 2.5 0.645 OAT 64.809 0.008 2.5 1.309 OJ -22.924 0.007 2.5 -0.400 PALLAD -3.181 0.010 2.5 -0.077 PLAT 15.661 0.010 2.5 0.377 REDWHEAT -75.757 0.002 2.5 -0.404 ROBUSTA -62.683 0.005 2.5 -0.813 RUSSELL -151.958 0.021 2.5 -7.871 SILVER-mini 42.341 0.009 2.5 0.947 SOYBEAN 70.287 0.024 2.5 4.144 SOYMEAL 25.686 0.024 2.5 1.514 SOYOIL 15.633 0.004 2.5 0.143 SP400 -2.250 0.021 2.5 -0.117 SP500 -2.152 0.011 2.5 -0.061 SUGAR11 154.935 0.005 2.5 2.102 US10 -47.649 0.015 2.5 -1.828 US10U -4.253 0.058 2.5 -0.620 US20 -4.942 0.029 2.5 -0.364 US30 -2.063 0.034 2.5 -0.173 US5 -54.654 0.015 2.5 -2.097 VIX -169.245 0.075 2.5 -31.894 WHEAT -127.502 0.002 2.5 -0.681 ==================== Position diags ==================== AUD 1.15 BITCOIN 12.77 BOBL 8.31 BTP 0.91 BUND 3.91 BUXL 1.75 CAC 2.19 CAD 1.95 CANOLA 2.72 CHF 2.00 COCOA 3.15 COFFEE 0.43 COPPER 0.85 CORN 1.91 COTTON2 0.74 CRUDE_W 4.45 DAX 19.23 DOW 7.95 EUR 2.01 EUROSTX 3.48 FEEDCOW 1.87 FTSE100 7.01 GASOIL 1.33 GASOILINE 0.86 GAS_US 0.24 GBP 1.29 GOLD_micro 6.20 HEATOIL 1.02 JPY 3.68 LEANHOG 3.59 LIVECOW 3.32 MXP 2.84 NASDAQ 0.69 NIKKEI 47.17 NZD 1.29 OAT 1.05 OJ 1.55 PALLAD 0.25 PLAT 1.14 REDWHEAT 0.32 ROBUSTA 2.78 RUSSELL 18.04 SILVER-mini 0.94 SOYBEAN 4.58 SOYMEAL 4.06 SOYOIL 0.58 SP400 0.74 SP500 0.55 SUGAR11 2.18 US10 3.22 US10U 8.93 US20 3.22 US30 2.30 US5 4.82 VIX 17.53 WHEAT 0.41 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 6.7 5.4 8.0 NaN 0 BOBL 8.6 7.8 9.5 5.0 5 BTP 1.2 1.1 1.3 2.0 2 BUND 4.5 4.1 4.9 1.0 1 BUXL 0.5 0.3 0.7 3.0 3 CAC 0.9 0.7 1.1 2.0 2 CAD -0.6 -0.8 -0.5 -2.0 -2 CANOLA 1.5 1.2 1.7 NaN 0 CHF -1.2 -1.4 -1.0 -1.0 -1 COCOA -1.3 -1.6 -1.0 NaN 0 COFFEE -0.2 -0.2 -0.2 NaN 0 COPPER 0.6 0.5 0.7 1.0 1 CORN 0.3 0.1 0.5 2.0 2 COTTON2 -0.0 -0.1 0.1 NaN 0 CRUDE_W -1.1 -1.5 -0.6 0.0 0 DAX 0.3 -1.7 2.2 2.0 2 DOW 0.4 -0.4 1.2 4.0 4 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 1.4 1.0 1.7 0.0 0 FEEDCOW -2.9 -3.1 -2.7 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 0.6 0.4 0.7 0.0 0 GASOILINE -0.1 -0.2 0.0 0.0 0 GAS_US -0.3 -0.3 -0.2 0.0 0 GBP 0.9 0.8 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 -0.5 -3.0 -3 LEANHOG 1.0 0.7 1.4 2.0 2 LIVECOW -5.6 -5.9 -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 17.1 12.3 21.8 1.0 1 NZD 0.6 0.5 0.8 2.0 2 OAT 1.3 1.2 1.4 0.0 0 OJ -0.4 -0.6 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.4 0.3 0.5 NaN 0 REDWHEAT -0.4 -0.4 -0.4 -1.0 -1 ROBUSTA -0.8 -1.1 -0.5 0.0 0 RUSSELL -7.9 -9.7 -6.1 -3.0 -3 SILVER-mini 0.9 0.9 1.0 NaN 0 SOYBEAN 4.1 3.7 4.6 1.0 1 SOYMEAL 1.5 1.1 1.9 4.0 4 SOYOIL 0.1 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 2.1 1.9 2.3 3.0 3 US10 -1.8 -2.1 -1.5 NaN 0 US10U -0.6 -1.5 0.3 0.0 0 US20 -0.4 -0.7 -0.0 -2.0 -2 US30 -0.2 -0.4 0.1 0.0 0 US5 -2.1 -2.6 -1.6 -4.0 -4 VIX -31.9 -33.6 -30.1 -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 0.1 -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 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.1 -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 -0.0 -0.1 -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 0.5 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 0.1 -0.2 0.0 -0.0 -0.1 0.0 -0.3 0.1 0.2 1.0 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 0.2 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 1.3 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 0.0 2.8 -0.0 -0.1 0.0 -0.1 BUXL 0.2 0.3 0.1 0.0 0.0 -0.1 0.1 -0.2 0.0 -0.0 -0.1 0.0 -0.3 0.1 0.1 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 -0.1 0.3 0.2 0.0 CAC 0.0 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 0.9 -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 1.4 -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 0.1 -0.1 0.1 0.3 -0.8 -0.5 -0.2 -0.2 0.2 0.1 0.0 -0.1 0.0 -0.8 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.2 0.1 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 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.0 -0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.7 0.1 0.2 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 0.3 -0.3 -0.3 COPPER 0.1 0.3 0.3 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 -0.0 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 -1.8 -0.0 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.5 -0.0 -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 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.5 0.0 0.1 0.2 -0.6 CRUDE_W -0.1 0.0 -0.1 -0.1 0.1 -0.0 -0.0 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 0.0 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 0.0 0.3 0.3 DOW 0.0 0.3 0.2 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 0.4 -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 0.5 0.1 0.0 0.0 0.2 0.2 0.0 0.0 0.0 -2.3 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.9 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 0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 -0.0 -0.2 1.5 0.9 0.4 0.4 -0.1 -0.0 -0.0 0.2 -0.0 -0.5 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.4 0.0 -0.2 -0.1 0.1 GASOILINE -0.2 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.3 -0.0 0.1 -0.0 -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 0.0 0.0 -0.3 -0.1 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.2 -0.0 0.0 -0.0 -0.2 0.4 -0.4 -0.2 -0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.4 -0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 -2.7 -0.2 0.4 0.2 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 -0.1 -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 0.1 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 -0.2 0.1 0.2 -0.8 -0.3 -0.2 -0.2 0.2 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 -0.3 -0.1 0.1 -0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 -0.0 -0.1 1.7 0.9 0.5 0.5 -0.1 -0.0 -0.0 0.1 -0.0 -1.3 -0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 1.6 -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 -0.1 0.0 -0.3 0.1 0.2 -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 0.1 -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 0.1 -1.6 0.8 -0.1 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.7 0.0 -0.1 0.1 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 0.0 -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 0.2 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 0.0 0.0 -0.2 0.1 0.3 -0.0 0.0 -0.0 -0.0 0.2 0.0 0.0 -0.1 0.0 0.2 -0.0 0.1 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 0.1 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.1 0.0 -0.3 0.0 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 -0.1 -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 0.3 0.2 0.3 PALLAD -0.0 -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 0.7 -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 0.3 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 -0.0 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 -0.2 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 -0.1 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 0.1 0.0 -0.2 0.1 0.4 -0.3 -0.1 -0.1 -0.1 0.3 0.1 0.0 -0.0 0.0 2.7 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.3 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 0.3 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 0.0 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 -0.1 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 1.0 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 2.0 -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 0.1 -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 0.1 -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 -3.1 -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 0.1 -0.0 -0.7 0.0 -0.1 -0.1 0.1 -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 -0.0 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 -0.0 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 0.1 0.0 0.0 0.1 -0.1 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 0.1 0.0 0.0 -0.1 0.1 -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 -0.1 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 -0.0 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 -0.3 -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 -1.2 -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 11.8 20.0 -1.2 2.9 4.1 -0.8 3.8 -3.6 4.3 12.6 -4.7 12.4 -9.0 14.2 4.4 -2.8 -1.9 -2.7 -2.3 7.6 -2.9 12.2 -9.0 12.7 3.3 -0.0 2.4 5.5 -2.0 4.7 -4.6 4.7 -0.4 -4.4 -3.7 -4.1 -5.6 BITCOIN 3.7 10.7 1.3 3.8 2.8 1.6 4.1 0.3 4.9 13.8 -15.4 13.4 -15.9 -5.5 -9.5 1.7 -0.8 0.9 0.2 -8.0 -16.9 5.6 -20.0 -1.0 20.0 -0.0 -4.5 3.4 -6.0 1.7 -5.8 -1.7 1.8 -8.6 -5.9 -20.0 -20.0 BOBL 14.2 15.1 -12.5 1.0 0.8 -3.6 2.3 -6.7 3.4 -11.7 -11.5 -1.1 -12.8 8.2 -8.6 6.0 17.4 17.3 20.0 -3.2 -16.5 -1.2 -20.0 3.8 12.8 -0.0 -0.8 -3.6 -7.4 -0.6 -13.4 1.9 20.0 -11.8 -7.2 -6.4 -7.3 BTP 13.2 20.0 9.9 1.0 0.8 -3.6 2.3 -6.7 3.4 -10.4 -2.2 2.9 -10.7 12.9 7.2 12.0 15.0 17.4 17.8 12.2 -2.4 3.1 -17.1 13.6 5.0 -0.0 3.3 -1.9 -1.7 0.7 -7.3 3.8 20.0 -9.2 0.4 16.6 14.2 BUND 16.6 20.0 -6.9 1.0 0.8 -3.6 2.3 -6.7 3.4 -11.4 -9.0 1.3 -12.1 11.4 -4.7 14.9 16.1 14.0 15.1 1.3 -13.8 0.4 -20.0 7.7 10.0 -0.0 0.5 -3.2 -5.5 -0.1 -10.6 2.7 20.0 -11.9 -3.2 1.2 -6.1 BUXL 20.0 20.0 4.8 1.0 0.8 -3.6 2.3 -6.7 3.4 -9.0 -4.9 6.9 -11.0 13.5 3.4 5.7 -1.7 5.5 2.7 11.1 -7.2 4.5 -20.0 17.7 5.7 -0.0 2.7 -4.4 -2.2 0.8 -5.9 4.3 -2.0 -11.7 14.3 14.3 3.1 CAC 3.2 20.0 11.9 2.6 1.3 0.1 1.0 -1.7 2.5 -2.1 11.4 5.4 -0.5 14.4 14.8 -0.5 3.7 0.4 1.7 20.0 15.3 4.9 6.1 16.1 -15.2 -0.0 4.9 0.5 3.2 1.2 1.1 3.6 7.1 2.0 4.0 15.3 16.1 CAD -7.1 12.7 -9.7 2.9 4.1 -0.8 3.8 -3.6 4.3 -1.1 -9.2 -8.3 -10.9 -2.2 -6.1 -1.9 -0.9 -1.8 -1.4 -5.8 -10.3 -4.7 -11.8 -5.5 6.2 -0.0 -3.2 1.8 -5.9 -2.0 -7.0 -2.6 1.3 -20.0 -20.0 -20.0 -16.8 CANOLA -2.6 4.6 -1.5 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 13.4 -9.9 8.8 -2.8 0.7 4.1 12.4 13.5 10.7 10.0 -2.4 -6.4 8.7 -0.9 2.1 6.4 -0.0 -1.3 3.4 -1.0 2.8 1.7 -0.2 -2.0 20.0 -6.2 -2.5 10.3 CHF 14.7 20.0 9.8 2.9 4.1 -0.8 3.8 -3.6 4.3 13.6 5.0 14.7 -5.3 15.4 12.3 -11.5 -11.5 -11.9 -12.1 15.5 4.9 17.2 -4.1 19.3 -5.5 -0.0 4.1 5.4 0.5 5.0 -2.8 5.4 -17.0 8.2 1.7 0.8 7.0 COCOA 3.0 19.9 8.7 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 9.8 -0.0 9.7 -8.3 11.6 11.1 -1.2 -3.1 -0.3 -1.2 10.5 3.7 7.8 -4.2 10.2 -1.7 -0.0 4.0 3.7 1.7 2.9 -1.4 3.4 -20.0 18.5 9.4 20.0 15.9 COFFEE 14.5 -20.0 -20.0 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 11.5 -12.9 6.5 -7.7 -9.1 -13.7 -0.5 4.1 3.5 5.2 -20.0 -20.0 4.4 -12.2 -8.7 11.8 -0.0 -5.2 3.0 -5.4 1.0 -2.6 -2.1 -13.1 7.3 15.0 -20.0 -20.0 COPPER 9.9 20.0 14.6 3.8 2.8 1.6 4.1 0.3 4.9 7.0 -6.4 11.2 -8.9 10.2 8.9 -1.2 -0.0 -0.3 -0.1 11.9 0.6 10.2 -8.5 14.1 15.4 -0.0 4.6 1.7 1.0 3.2 -1.5 5.1 2.3 -3.3 -1.4 5.4 2.3 CORN -15.7 -16.4 10.6 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 -0.8 0.4 -10.8 4.9 -14.2 -0.7 20.0 14.5 17.4 15.2 -9.6 1.0 -9.3 14.4 -15.0 -12.1 -0.0 -4.7 0.4 -0.8 -3.3 4.2 -5.9 3.3 -9.0 -9.1 -16.4 6.5 COTTON2 2.0 7.2 -20.0 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 -4.2 -11.3 -5.6 -1.1 4.4 -9.4 2.4 16.4 6.0 11.9 -10.5 -14.9 -4.3 -5.2 -4.6 -0.7 -0.0 -2.3 -0.6 -3.5 -0.9 1.5 -0.3 4.1 1.3 7.4 7.0 -20.0 CRUDE_W -10.0 0.6 -4.2 -4.0 5.8 -1.7 -1.3 3.1 -4.3 -1.4 -5.8 -6.0 2.9 -8.6 2.5 5.9 13.1 7.6 10.3 -4.2 -2.3 -5.2 4.8 -7.2 -1.0 -0.0 -1.9 4.0 0.3 -2.5 6.0 -3.6 -20.0 -2.0 9.6 15.1 12.4 DAX 1.2 20.0 14.6 2.6 1.3 0.1 1.0 -1.7 2.5 -0.7 8.6 -1.3 -4.5 14.1 14.4 -5.6 -2.0 -4.3 -3.2 20.0 14.2 4.3 -1.6 17.3 -11.4 -0.0 4.8 0.4 2.8 0.8 -0.4 3.2 -1.9 3.7 1.7 20.0 20.0 DOW 0.3 20.0 8.8 2.6 1.3 0.1 1.0 -1.7 2.5 2.6 7.5 -1.5 -1.2 12.2 12.8 -5.4 -2.1 -4.8 -3.9 17.5 10.0 4.1 0.9 12.1 -6.2 -0.0 4.3 1.5 2.4 1.1 0.4 3.0 -2.7 -2.3 0.4 14.7 10.5 EUR 16.6 20.0 19.6 2.9 4.1 -0.8 3.8 -3.6 4.3 13.7 -0.1 14.9 -10.2 15.9 14.4 -7.4 -8.3 -7.6 -8.1 18.6 3.1 20.0 -12.5 20.0 2.3 -0.0 4.5 6.0 -0.2 5.6 -5.3 6.0 -10.9 13.0 7.3 4.8 13.3 EUROSTX 4.7 20.0 15.7 2.6 1.3 0.1 1.0 -1.7 2.5 0.6 10.7 7.6 -2.2 15.1 15.0 5.6 3.0 2.2 1.8 20.0 17.0 6.6 3.8 19.6 -17.2 -0.0 5.1 0.7 3.4 1.3 0.7 3.7 6.4 4.1 7.2 20.0 20.0 FEEDCOW 8.3 7.9 -7.7 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 5.3 0.0 10.0 -1.5 10.8 -0.1 -18.8 -20.0 -18.9 -20.0 3.8 -0.9 8.2 -2.1 8.2 -11.5 -0.0 2.5 2.5 -0.5 4.4 -1.1 5.0 -20.0 20.0 20.0 20.0 -6.8 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 -18.2 -18.5 -14.6 -4.0 5.8 -1.7 -1.3 3.1 -4.3 4.7 -3.1 -3.6 9.7 -10.3 -8.0 18.6 20.0 20.0 20.0 -10.9 -1.0 -2.5 11.8 -13.8 -4.6 -0.0 -4.0 7.3 -0.7 -1.1 4.0 -4.9 2.8 3.0 -10.0 -8.4 9.7 GASOILINE -20.0 -7.6 -14.1 -4.0 5.8 -1.7 -1.3 3.1 -4.3 0.4 -10.9 -7.8 3.3 -11.9 -8.4 -1.5 20.0 11.4 20.0 -13.4 -6.6 -9.8 6.4 -17.0 -5.4 -0.0 -3.7 4.9 -0.6 -2.7 5.8 -5.2 0.0 -8.0 -1.8 8.2 6.2 GAS_US 2.8 1.7 -20.0 -4.0 5.8 -1.7 -1.3 3.1 -4.3 4.4 -8.8 -2.6 0.3 -3.0 -10.2 5.3 -9.1 -8.6 -10.1 -8.3 -7.2 -0.7 0.4 -5.2 -11.9 -0.0 -0.9 1.6 0.1 0.7 4.8 -0.1 -20.0 -13.1 20.0 17.6 4.1 GBP 19.5 20.0 20.0 2.9 4.1 -0.8 3.8 -3.6 4.3 13.8 1.5 14.9 -7.5 15.7 13.2 -1.9 -1.5 -1.8 -1.8 17.8 2.5 19.1 -10.4 20.0 13.3 -0.0 3.3 5.3 -2.4 5.5 -6.7 5.8 0.4 10.5 11.6 0.3 -5.6 GOLD_micro 11.3 20.0 5.6 3.8 2.8 1.6 4.1 0.3 4.9 11.3 -5.0 11.5 -9.6 13.8 10.0 -10.4 -8.1 -10.2 -9.6 12.3 0.5 13.2 -6.8 16.2 10.6 -0.0 3.9 3.7 0.5 4.0 -1.3 5.1 -12.7 2.8 -0.3 2.6 -6.2 HEATOIL -20.0 -15.5 -18.1 -4.0 5.8 -1.7 -1.3 3.1 -4.3 7.9 -3.7 -3.1 8.8 -8.9 -5.9 20.0 20.0 20.0 20.0 -10.3 -0.9 -2.0 11.4 -13.3 -13.5 -0.0 -3.5 7.8 0.7 -0.6 7.5 -4.6 11.7 -2.9 -3.8 -1.0 11.3 JPY 18.4 20.0 18.8 2.9 4.1 -0.8 3.8 -3.6 4.3 3.1 -6.1 8.5 -13.0 12.4 6.5 -10.9 -10.2 -11.8 -11.6 11.0 -5.2 11.5 -19.7 16.5 13.3 -0.0 3.2 2.5 -2.1 3.3 -7.4 4.9 -15.4 0.2 5.1 4.1 -4.3 LEANHOG -18.4 1.3 -1.8 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 -12.4 -0.1 -12.2 -0.6 -6.6 6.5 -20.0 20.0 -3.2 20.0 -1.2 1.2 -13.2 3.2 -8.1 -3.4 -0.0 -1.4 -5.0 -0.3 -5.9 1.1 -4.0 20.0 5.6 -7.3 8.7 1.0 LIVECOW -2.8 1.7 7.1 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 9.2 7.7 6.2 -0.9 4.6 7.3 -20.0 -20.0 -20.0 -20.0 5.2 4.7 5.4 1.1 4.0 -20.0 -0.0 3.3 3.8 3.7 3.0 2.9 2.5 -20.0 10.6 20.0 18.9 10.1 MXP -14.4 2.0 4.9 2.9 4.1 -0.8 3.8 -3.6 4.3 -4.2 13.9 -6.9 14.8 3.9 9.8 17.3 20.0 18.4 19.2 8.5 12.3 -3.9 12.7 0.5 -20.0 -0.0 4.0 0.5 4.9 -1.8 4.3 0.4 20.0 -20.0 -20.0 -10.6 20.0 NASDAQ 5.7 11.0 -7.4 2.6 1.3 0.1 1.0 -1.7 2.5 0.2 -8.6 -2.0 -11.9 8.3 -5.3 -4.7 -3.2 -4.5 -4.1 0.1 -8.1 2.3 -12.8 3.4 9.5 -0.0 0.8 2.2 -3.0 1.7 -4.6 2.4 -3.8 0.3 -0.2 -10.9 -10.7 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 16.6 -13.0 -15.0 -11.9 2.5 NZD 20.0 20.0 9.1 2.9 4.1 -0.8 3.8 -3.6 4.3 12.2 1.0 14.3 -8.1 15.6 11.4 -0.6 0.4 -0.8 -0.4 20.0 4.1 20.0 -8.5 20.0 1.2 -0.0 4.4 3.6 0.3 4.7 -2.6 5.8 3.3 9.4 16.2 17.2 4.4 OAT 17.0 20.0 3.2 1.0 0.8 -3.6 2.3 -6.7 3.4 -11.2 -6.0 2.9 -11.3 12.2 0.2 12.1 12.4 13.3 13.5 6.5 -8.3 1.3 -20.0 10.9 10.5 -0.0 1.8 -3.0 -4.0 0.2 -9.5 3.3 20.0 -11.4 0.8 8.9 0.1 OJ -9.3 -0.4 17.4 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 -1.7 13.2 -0.6 14.0 2.2 11.5 13.4 12.0 15.3 15.3 14.9 20.0 -0.9 20.0 4.9 -20.0 -0.0 4.3 -1.1 8.2 -0.8 9.4 0.5 2.3 14.7 9.9 16.2 20.0 PALLAD -1.9 -7.8 -6.9 3.8 2.8 1.6 4.1 0.3 4.9 5.4 -10.8 -5.1 -7.2 -6.8 -10.5 -1.3 -1.3 -1.6 -1.5 -8.9 -8.7 1.8 -7.2 -4.3 3.8 -0.0 -2.5 2.3 -2.5 2.0 -1.8 -0.3 0.0 -7.0 -19.9 -20.0 -10.6 PLAT -1.6 16.1 18.5 3.8 2.8 1.6 4.1 0.3 4.9 5.4 8.7 4.3 -2.1 10.9 12.5 -0.6 -0.3 -0.1 -0.1 13.3 9.6 7.4 1.9 10.1 -4.0 -0.0 5.4 3.0 3.3 3.0 0.1 4.5 2.0 -15.4 -1.4 5.2 12.4 REDWHEAT -19.9 -13.3 -3.9 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 -3.2 -11.9 -9.7 -5.0 -13.0 -7.6 6.4 0.3 4.0 2.3 -15.3 -9.9 -11.8 -1.7 -18.5 -10.8 -0.0 -4.6 -0.4 -1.4 -3.7 2.4 -6.0 -19.4 -13.8 -17.9 -15.2 5.9 ROBUSTA 20.0 -18.7 -20.0 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 5.0 -11.0 13.4 -4.2 -3.5 -11.4 12.0 7.4 9.6 8.3 -14.3 -18.3 9.7 -7.1 2.2 0.4 -0.0 -2.8 0.9 -3.8 2.4 -1.5 0.9 -8.3 19.7 20.0 -19.0 -20.0 RUSSELL -4.1 11.0 1.2 2.6 1.3 0.1 1.0 -1.7 2.5 -5.4 -2.9 -7.2 -10.1 5.0 0.0 -4.6 -2.3 -4.1 -3.4 1.9 -1.4 -4.3 -6.8 -1.1 -3.1 -0.0 1.2 -0.1 -0.2 -2.0 -2.1 -0.4 -2.4 -9.9 -12.8 -11.7 -0.6 SILVER-mini 14.9 20.0 20.0 3.8 2.8 1.6 4.1 0.3 4.9 13.8 1.9 14.4 -6.4 14.9 13.6 -4.5 -3.3 -4.2 -3.9 19.7 7.9 20.0 -3.3 20.0 12.5 -0.0 5.4 5.0 1.9 5.7 -1.5 6.3 -3.8 17.0 17.0 14.5 15.5 SOYBEAN 2.3 7.6 3.7 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 7.7 0.3 8.6 4.4 10.6 11.2 20.0 20.0 19.8 20.0 5.2 3.8 3.4 6.7 4.9 -20.0 -0.0 4.1 1.1 5.8 1.7 10.7 2.8 18.8 3.7 14.2 15.9 14.0 SOYMEAL 20.0 13.5 3.7 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 6.0 5.6 10.6 8.9 12.5 9.3 7.7 13.8 10.8 13.2 18.5 9.8 20.0 7.1 20.0 -20.0 -0.0 5.1 2.6 3.3 6.3 3.1 7.1 2.2 20.0 20.0 20.0 20.0 SOYOIL -20.0 -3.7 0.7 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 -1.7 0.9 -9.7 5.5 -9.2 -2.9 13.1 20.0 18.9 20.0 -6.8 2.2 -17.3 7.6 -19.5 -20.0 -0.0 -1.1 0.5 1.8 -4.2 3.8 -4.8 15.0 -20.0 -20.0 7.9 18.6 SP400 -1.2 18.1 3.3 2.6 1.3 0.1 1.0 -1.7 2.5 -4.0 2.2 -6.7 -5.3 8.3 7.3 -2.9 -1.5 -1.6 -1.4 8.3 3.6 -1.3 -2.0 4.3 -7.0 -0.0 3.3 0.7 1.8 -0.4 0.3 1.7 0.0 -9.2 -7.7 -3.1 5.7 SP500 4.3 17.0 -2.4 2.6 1.3 0.1 1.0 -1.7 2.5 -0.2 -3.1 -2.9 -8.0 9.6 2.1 -5.1 -3.2 -4.7 -4.1 6.4 -1.2 2.8 -6.4 6.4 4.8 -0.0 2.8 2.3 -0.7 1.6 -3.1 3.0 -3.8 -1.7 -0.0 -1.8 -2.6 SUGAR11 -5.0 18.2 10.7 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 11.7 5.7 1.1 1.8 9.6 9.7 20.0 20.0 20.0 20.0 12.7 8.9 11.3 4.5 10.6 -18.9 -0.0 5.2 7.5 3.9 4.3 2.4 4.5 20.0 20.0 16.2 20.0 20.0 US10 20.0 20.0 2.1 1.0 0.8 -3.6 2.3 -6.7 3.4 9.1 -8.2 10.4 -12.8 13.4 -2.1 -8.2 0.5 -5.8 -3.6 4.5 -12.0 11.6 -20.0 13.9 -6.0 -0.0 1.8 3.4 -3.4 3.6 -7.3 4.6 -4.4 2.4 2.8 3.2 0.5 US10U 20.0 20.0 0.9 1.0 0.8 -3.6 2.3 -6.7 3.4 3.4 -7.8 8.9 -12.5 12.8 -1.6 1.3 4.8 0.9 1.9 5.4 -11.6 11.2 -20.0 15.1 -7.4 -0.0 2.0 2.2 -3.0 3.3 -6.3 4.7 4.0 3.5 6.0 3.1 2.0 US20 20.0 20.0 -2.9 1.0 0.8 -3.6 2.3 -6.7 3.4 8.8 -6.8 12.3 -12.1 14.3 -0.1 0.5 2.7 1.3 1.8 7.6 -11.9 16.8 -20.0 20.0 -6.5 -0.0 2.2 2.7 -2.5 4.1 -5.2 5.2 1.9 12.1 17.2 2.2 0.9 US30 20.0 20.0 3.0 1.0 0.8 -3.6 2.3 -6.7 3.4 1.9 -6.9 10.3 -13.3 13.1 1.2 0.3 0.4 -0.6 -0.5 8.1 -11.9 16.2 -20.0 20.0 -4.2 -0.0 2.6 1.6 -2.2 4.1 -5.2 5.6 -1.9 17.5 20.0 2.9 7.9 US5 20.0 20.0 2.6 1.0 0.8 -3.6 2.3 -6.7 3.4 11.8 -8.4 11.4 -13.1 13.6 -2.6 -5.8 1.8 -5.3 -3.3 3.3 -13.2 12.5 -20.0 13.2 -3.9 -0.0 1.5 4.4 -4.1 4.1 -8.7 4.6 -3.1 3.5 0.4 2.6 -0.6 VIX -13.0 -20.0 -5.9 -4.5 -4.4 -2.8 -4.3 -1.7 -5.1 -13.0 -12.7 -13.4 -10.4 -15.1 -13.9 -20.0 -19.6 -18.0 -16.4 -19.5 -13.7 -15.9 -9.6 -19.7 NaN -0.0 -5.7 -4.6 -3.6 -4.5 -2.2 -6.0 NaN NaN NaN NaN NaN WHEAT -20.0 -18.5 -8.5 -4.5 -1.9 -3.9 -4.5 -0.6 -5.2 -5.3 -13.2 -11.3 -8.0 -14.4 -9.2 -6.4 -4.3 -5.2 -4.7 -20.0 -15.9 -15.9 -6.5 -20.0 -8.3 -0.0 -5.2 -0.6 -2.4 -4.0 0.9 -6.3 -20.0 -16.7 -20.0 -19.2 0.1 End of report for caleb_strategy_v1