******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221216_204245 produced at 2022-12-16 21:35:22.238796 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.21 -0.24 0.0 9153407.21 -9153407.21 -0.21 -0.21 -26.54 999999999.0 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 21852444.58 -21852444.58 -0.11 -0.11 -5.57 999999999.0 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.09 0.0 32444620.11 -32444620.11 -0.10 -0.10 -2.90 999999999.0 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 40243428.27 -40243428.27 0.00 0.00 -1.88 999999999.0 0 0 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.08 0.0 38396745.90 -38396745.90 -0.15 -0.12 -2.01 999999999.0 -4 -3 caleb_strategy_v1 CHF False False 0.05 -0.05 -0.06 0.0 47439461.76 -47439461.76 -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 -1.77 999999999.0 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.04 0.0 25380539.47 -25380539.47 0.00 0.00 -1.45 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.03 0.0 32479690.63 -32479690.63 -0.10 -0.10 -1.04 999999999.0 -3 -3 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.03 0.0 3100409.83 -3100409.83 -0.01 -0.01 -9.48 999999999.0 -3 -3 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 85137208.24 -85137208.24 0.00 0.00 -0.18 999999999.0 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.02 0.0 45953348.24 -45953348.24 -0.09 -0.09 -0.41 999999999.0 -2 -2 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25638307.83 -25638307.83 -0.05 -0.05 -0.67 999999999.0 -2 -2 caleb_strategy_v1 US10U False False 0.04 0.00 -0.02 0.0 42687405.53 -42687405.53 0.00 0.00 -0.37 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 79497867.71 -79497867.71 0.00 0.00 -0.23 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13782716.61 -13782716.61 -0.03 -0.03 -0.68 999999999.0 -2 -2 caleb_strategy_v1 US30 False False 0.05 0.00 -0.01 0.0 50359083.03 -50359083.03 0.00 0.00 -0.17 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6322514.38 -6322514.38 0.00 0.00 -1.26 999999999.0 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68128880.03 -68128880.03 0.00 0.00 -0.13 999999999.0 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 -0.01 0.0 5190074.76 -5190074.76 0.01 0.01 -2.72 999999999.0 2 1 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.01 0.0 14751539.88 -14751539.88 -0.01 -0.01 -0.40 999999999.0 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.02 -0.01 0.0 5790494.50 -5790494.50 0.02 0.01 -0.94 999999999.0 4 2 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8662419.85 -8662419.85 0.00 0.00 -1.44 999999999.0 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12972587.46 -12972587.46 0.00 0.00 0.11 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6540653.05 -6540653.05 0.00 0.00 -0.67 999999999.0 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 46768737.96 -46768737.96 0.00 0.00 -0.07 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.02 -0.02 -0.00 0.0 23544597.44 -23544597.44 -0.02 -0.05 -0.07 999999999.0 -1 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.00 0.0 22140022.89 -22140022.89 0.00 0.00 -0.21 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 587782.01 -587782.01 0.00 0.00 7.03 999999999.0 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10771035.21 -10771035.21 0.00 0.00 -0.38 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14371901.44 -14371901.44 0.00 0.00 0.00 999999999.0 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 -0.00 0.0 31734968.02 -31734968.02 0.00 0.00 -0.10 999999999.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21745917.86 -21745917.86 0.00 0.00 -0.17 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10477319.56 -10477319.56 0.02 0.02 0.33 999999999.0 2 2 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 60093345.83 -60093345.83 0.00 0.00 -0.07 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22410065.94 -22410065.94 0.04 0.04 0.58 999999999.0 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17547537.55 -17547537.55 0.00 0.00 0.34 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14150694.42 -14150694.42 0.00 0.00 0.70 999999999.0 0 0 caleb_strategy_v1 CAC False False 0.02 0.05 0.01 0.0 24011947.97 -24011947.97 0.05 0.02 0.39 999999999.0 2 1 caleb_strategy_v1 LEANHOG False False 0.01 0.03 0.01 0.0 13021686.20 -13021686.20 0.03 0.03 0.38 999999999.0 2 2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4385737.04 -4385737.04 0.00 0.00 1.59 999999999.0 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.01 0.0 8702750.96 -8702750.96 0.03 0.03 1.51 999999999.0 3 3 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26732508.23 -26732508.23 0.05 0.05 0.71 999999999.0 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7891148.85 -7891148.85 0.02 0.02 2.07 999999999.0 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 30581498.43 -30581498.43 0.00 0.00 0.67 999999999.0 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 20516257.55 -20516257.55 0.00 0.00 0.86 999999999.0 0 0 caleb_strategy_v1 BUXL False False 0.06 0.17 0.02 0.0 56379756.47 -56379756.47 0.17 0.17 0.33 999999999.0 3 3 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 33067121.94 -33067121.94 0.03 0.03 0.51 999999999.0 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15872919.94 -15872919.94 0.06 0.06 1.71 999999999.0 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.03 0.0 43746973.79 -43746973.79 0.04 0.04 0.68 999999999.0 1 1 caleb_strategy_v1 BTP False False 0.04 0.08 0.04 0.0 41868511.14 -41868511.14 0.08 0.04 0.89 999999999.0 2 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.06 0.0 49525571.95 -49525571.95 0.00 0.00 1.16 999999999.0 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.10 0.0 24352096.30 -24352096.30 0.02 0.02 4.31 999999999.0 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.12 0.0 0.00 0.00 0.00 0.00 16.97 0.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.05 0.20 0.0 51164777.68 -51164777.68 0.05 0.05 3.83 999999999.0 1 1 caleb_strategy_v1 BOBL False False 0.04 0.22 0.31 0.0 43816229.52 -43816229.52 0.22 0.22 7.14 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 9.6 Shocked risk 30.2 Sum abs risk 32.8 Leverage 2.08 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2851397.23, 'annual_cash_vol_target': 712849.3075, 'daily_cash_vol_target': 44553.08171875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0067 0.6714 0.9945 15.9114 BITCOIN 820.3399 16760.0000 4.8946 78.3141 BOBL 0.4222 117.8800 0.3581 5.7303 BTP 1.0382 112.6400 0.9217 14.7478 BUND 0.8293 137.6500 0.6024 9.6391 BUXL 2.0504 151.6800 1.3518 21.6282 CAC 62.8331 6460.0000 0.9726 15.5624 CAD 0.0041 0.7310 0.5620 8.9919 CANOLA 9.9051 856.0000 1.1571 18.5142 CHF 0.0067 1.0822 0.6229 9.9659 COCOA 32.0912 2470.0000 1.2992 20.7879 COFFEE 0.0377 1.6535 2.2798 36.4766 COPPER 0.0585 3.7715 1.5514 24.8220 CORN 4.1222 597.5000 0.6899 11.0386 COTTON2 0.0176 0.8196 2.1493 34.3891 CRUDE_W 1.3339 72.3700 1.8432 29.4917 DAX 148.4421 13963.0000 1.0631 17.0098 DOW 358.7906 33022.0000 1.0865 17.3843 EUR 0.0066 1.0668 0.6185 9.8957 EUROSTX 43.8180 3807.0000 1.1510 18.4157 FEEDCOW 1.2601 185.0250 0.6810 10.8965 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 23.2620 872.0000 2.6677 42.6826 GASOILINE 0.0510 2.1545 2.3649 37.8389 GAS_US 0.2755 6.3130 4.3640 69.8233 GBP 0.0106 1.2196 0.8700 13.9200 GOLD_micro 17.0801 1802.8000 0.9474 15.1587 HEATOIL 0.0756 2.9700 2.5442 40.7078 JPY 0.0001 0.0074 0.9086 14.5379 LEANHOG 1.6107 92.8250 1.7352 27.7635 LIVECOW 0.9189 155.7750 0.5899 9.4378 MXP 0.0004 0.0496 0.7732 12.3706 NASDAQ 188.4333 11334.0000 1.6625 26.6008 NIKKEI 249.8058 27660.0000 0.9031 14.4501 NZD 0.0058 0.6390 0.9016 14.4259 OAT 0.8763 133.2400 0.6577 10.5230 OJ 0.0346 2.0475 1.6891 27.0251 PALLAD 48.8668 1713.5000 2.8519 45.6299 PLAT 19.0780 1000.7000 1.9065 30.5034 REDWHEAT 14.4321 841.2500 1.7156 27.4489 ROBUSTA 20.5591 1865.0000 1.1024 17.6378 RUSSELL 26.8271 1768.1000 1.5173 24.2765 SILVER-mini 0.4537 23.4000 1.9387 31.0194 SOYBEAN 11.2412 1388.7500 0.8094 12.9512 SOYMEAL 6.4245 452.6000 1.4195 22.7116 SOYOIL 1.1387 61.6500 1.8471 29.5537 SP400 32.9467 2427.6000 1.3572 21.7147 SP500 50.1068 3885.2500 1.2897 20.6347 SUGAR11 0.0025 0.2009 1.2511 20.0181 US10 0.5186 114.7500 0.4520 7.2314 US10U 0.7180 121.7188 0.5899 9.4384 US20 1.0247 131.0312 0.7821 12.5130 US30 1.6260 143.5938 1.1324 18.1179 US5 0.3443 109.4844 0.3144 5.0310 VIX 0.5531 26.1000 2.1191 33.9056 WHEAT 11.3570 786.0000 1.4449 23.1185 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.35 0.99 667.63 1.00 667.63 44553.08 66.73 -0.64 -4.24 BITCOIN 16.76 4.89 82.03 1.00 82.03 44553.08 543.11 5.49 298.28 BOBL 1178.80 0.36 422.18 1.07 451.05 44553.08 98.78 10.02 98.97 BTP 1126.40 0.92 1038.25 1.07 1109.15 44553.08 40.17 10.94 43.95 BUND 1376.50 0.60 829.27 1.07 885.90 44553.08 50.29 10.56 53.09 BUXL 1516.80 1.35 2050.35 1.07 2190.37 44553.08 20.34 1.94 3.94 CAC 646.00 0.97 628.33 1.07 671.24 44553.08 66.37 2.11 14.00 CAD 731.05 0.56 410.85 1.00 410.85 44553.08 108.44 -3.45 -37.44 CANOLA 171.20 1.16 198.10 0.74 146.27 44553.08 304.58 5.67 172.69 CHF 1352.69 0.62 842.54 1.00 842.54 44553.08 52.88 -6.39 -33.79 COCOA 247.00 1.30 320.91 1.00 320.91 44553.08 138.83 -4.76 -66.13 COFFEE 620.06 2.28 1413.61 1.00 1413.61 44553.08 31.52 -4.20 -13.23 COPPER 942.88 1.55 1462.75 1.00 1462.75 44553.08 30.46 6.16 18.77 CORN 298.75 0.69 206.11 1.00 206.11 44553.08 216.16 1.71 36.95 COTTON2 409.80 2.15 880.79 1.00 880.79 44553.08 50.58 0.00 0.02 CRUDE_W 723.70 1.84 1333.95 1.00 1333.95 44553.08 33.40 -3.29 -10.99 DAX 139.63 1.06 148.44 1.07 158.58 44553.08 280.95 -1.78 -50.10 DOW 165.11 1.09 179.40 1.00 179.40 44553.08 248.35 -1.32 -32.83 EUR 1333.56 0.62 824.78 1.00 824.78 44553.08 54.02 -0.34 -1.84 EUROSTX 380.70 1.15 438.18 1.07 468.10 44553.08 95.18 2.63 25.05 FEEDCOW 925.12 0.68 630.04 1.00 630.04 44553.08 70.71 -15.24 -107.79 FTSE100 707.00 0.82 576.59 1.24 666.67 44553.08 66.83 -2.56 -17.13 GASOIL 872.00 2.67 2326.20 1.00 2326.20 44553.08 19.15 4.88 9.35 GASOILINE 904.89 2.36 2140.00 1.00 2140.00 44553.08 20.82 -1.22 -2.54 GAS_US 631.30 4.36 2754.96 1.00 2754.96 44553.08 16.17 -8.48 -13.72 GBP 762.25 0.87 663.16 1.00 663.16 44553.08 67.18 5.90 39.63 GOLD_micro 180.28 0.95 170.80 1.00 170.80 44553.08 260.85 -2.16 -56.25 HEATOIL 1247.40 2.54 3173.69 1.00 3173.69 44553.08 14.04 6.78 9.52 JPY 926.12 0.91 841.49 1.00 841.49 44553.08 52.95 -3.05 -16.13 LEANHOG 371.30 1.74 644.29 1.00 644.29 44553.08 69.15 1.19 8.24 LIVECOW 623.10 0.59 367.54 1.00 367.54 44553.08 121.22 -17.10 -207.34 MXP 248.15 0.77 191.86 1.00 191.86 44553.08 232.22 5.30 123.13 NASDAQ 2266.80 1.66 3768.67 1.00 3768.67 44553.08 11.82 -3.63 -4.29 NIKKEI 27660.00 0.90 24980.58 0.01 182.42 44553.08 244.23 3.66 89.32 NZD 639.00 0.90 576.13 1.00 576.13 44553.08 77.33 4.68 36.18 OAT 1332.40 0.66 876.30 1.07 936.23 44553.08 47.59 12.02 57.21 OJ 307.12 1.69 518.75 1.00 518.75 44553.08 85.88 -2.52 -21.62 PALLAD 1713.50 2.85 4886.68 1.00 4886.68 44553.08 9.12 -3.20 -2.92 PLAT 500.35 1.91 953.90 1.00 953.90 44553.08 46.71 2.99 13.95 REDWHEAT 420.62 1.72 721.60 1.00 721.60 44553.08 61.74 -12.12 -74.83 ROBUSTA 186.50 1.10 205.59 1.00 205.59 44553.08 216.71 -2.40 -52.02 RUSSELL 88.40 1.52 134.14 1.00 134.14 44553.08 332.15 -5.51 -182.99 SILVER-mini 585.00 1.94 1134.15 1.00 1134.15 44553.08 39.28 9.74 38.28 SOYBEAN 694.38 0.81 562.06 1.00 562.06 44553.08 79.27 9.21 73.04 SOYMEAL 452.60 1.42 642.45 1.00 642.45 44553.08 69.35 4.19 29.03 SOYOIL 369.90 1.85 683.24 1.00 683.24 44553.08 65.21 1.81 11.78 SP400 2427.60 1.36 3294.67 1.00 3294.67 44553.08 13.52 -2.61 -3.53 SP500 1942.62 1.29 2505.34 1.00 2505.34 44553.08 17.78 -2.54 -4.52 SUGAR11 225.01 1.25 281.51 1.00 281.51 44553.08 158.26 9.63 152.41 US10 1147.50 0.45 518.62 1.00 518.62 44553.08 85.91 -5.71 -49.02 US10U 1217.19 0.59 718.02 1.00 718.02 44553.08 62.05 -0.41 -2.57 US20 1310.31 0.78 1024.74 1.00 1024.74 44553.08 43.48 -1.28 -5.59 US30 1435.94 1.13 1626.01 1.00 1626.01 44553.08 27.40 -0.73 -2.00 US5 1094.84 0.31 344.26 1.00 344.26 44553.08 129.42 -4.05 -52.39 VIX 261.00 2.12 553.09 1.00 553.09 44553.08 80.55 -17.48 -140.83 WHEAT 393.00 1.44 567.85 1.00 567.85 44553.08 78.46 -16.34 -128.19 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -4.240 0.006 2.5 -0.068 BITCOIN 298.282 0.009 2.5 7.028 BOBL 98.970 0.029 2.5 7.141 BTP 43.946 0.008 2.5 0.888 BUND 53.092 0.029 2.5 3.831 BUXL 3.939 0.034 2.5 0.331 CAC 13.997 0.011 2.5 0.393 CAD -37.442 0.007 2.5 -0.669 CANOLA 172.692 0.004 2.5 1.585 CHF -33.790 0.015 2.5 -1.265 COCOA -66.133 0.009 2.5 -1.441 COFFEE -13.230 0.005 2.5 -0.172 COPPER 18.769 0.011 2.5 0.513 CORN 36.951 0.004 2.5 0.333 COTTON2 0.022 0.006 2.5 0.000 CRUDE_W -10.988 0.053 2.5 -1.452 DAX -50.098 0.022 2.5 -2.721 DOW -32.826 0.011 2.5 -0.935 EUR -1.837 0.015 2.5 -0.069 EUROSTX 25.049 0.011 2.5 0.704 FEEDCOW -107.787 0.011 2.5 -2.896 FTSE100 -17.129 0.041 2.5 -1.766 GASOIL 9.352 0.029 2.5 0.667 GASOILINE -2.545 0.016 2.5 -0.104 GAS_US -13.716 0.006 2.5 -0.207 GBP 39.632 0.007 2.5 0.708 GOLD_micro -56.255 0.009 2.5 -1.259 HEATOIL 9.515 0.029 2.5 0.679 JPY -16.126 0.026 2.5 -1.044 LEANHOG 8.240 0.019 2.5 0.385 LIVECOW -207.343 0.011 2.5 -5.572 MXP 123.127 0.005 2.5 1.507 NASDAQ -4.291 0.022 2.5 -0.233 NIKKEI 89.322 0.076 2.5 16.965 NZD 36.181 0.006 2.5 0.578 OAT 57.212 0.008 2.5 1.155 OJ -21.615 0.007 2.5 -0.377 PALLAD -2.920 0.010 2.5 -0.070 PLAT 13.953 0.010 2.5 0.336 REDWHEAT -74.834 0.002 2.5 -0.399 ROBUSTA -52.018 0.005 2.5 -0.674 RUSSELL -182.988 0.021 2.5 -9.478 SILVER-mini 38.281 0.009 2.5 0.857 SOYBEAN 73.044 0.024 2.5 4.307 SOYMEAL 29.030 0.024 2.5 1.712 SOYOIL 11.783 0.004 2.5 0.108 SP400 -3.528 0.021 2.5 -0.183 SP500 -4.520 0.011 2.5 -0.129 SUGAR11 152.412 0.005 2.5 2.068 US10 -49.016 0.015 2.5 -1.880 US10U -2.568 0.058 2.5 -0.374 US20 -5.586 0.029 2.5 -0.412 US30 -2.002 0.034 2.5 -0.168 US5 -52.390 0.015 2.5 -2.010 VIX -140.829 0.075 2.5 -26.539 WHEAT -128.190 0.002 2.5 -0.684 ==================== Position diags ==================== AUD 1.07 BITCOIN 12.80 BOBL 7.13 BTP 0.81 BUND 3.63 BUXL 1.71 CAC 1.87 CAD 1.94 CANOLA 2.80 CHF 1.98 COCOA 3.02 COFFEE 0.41 COPPER 0.83 CORN 1.95 COTTON2 0.76 CRUDE_W 4.41 DAX 15.26 DOW 7.08 EUR 2.02 EUROSTX 2.68 FEEDCOW 1.90 FTSE100 6.89 GASOIL 1.37 GASOILINE 0.85 GAS_US 0.24 GBP 1.20 GOLD_micro 5.84 HEATOIL 1.00 JPY 3.43 LEANHOG 3.23 LIVECOW 3.26 MXP 2.84 NASDAQ 0.64 NIKKEI 46.39 NZD 1.24 OAT 0.96 OJ 1.50 PALLAD 0.22 PLAT 1.12 REDWHEAT 0.33 ROBUSTA 2.81 RUSSELL 17.20 SILVER-mini 0.88 SOYBEAN 4.67 SOYMEAL 4.09 SOYOIL 0.60 SP400 0.70 SP500 0.51 SUGAR11 2.15 US10 3.30 US10U 9.04 US20 3.20 US30 2.30 US5 4.96 VIX 15.18 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.1 -0.2 0.0 -1.0 -1 BITCOIN 7.0 5.7 8.3 NaN 0 BOBL 7.1 6.4 7.9 5.0 5 BTP 0.9 0.8 1.0 2.0 2 BUND 3.8 3.5 4.2 1.0 1 BUXL 0.3 0.2 0.5 3.0 3 CAC 0.4 0.2 0.6 2.0 2 CAD -0.7 -0.9 -0.5 -2.0 -2 CANOLA 1.6 1.3 1.9 NaN 0 CHF -1.3 -1.5 -1.1 -1.0 -1 COCOA -1.4 -1.7 -1.1 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 1.0 1 CORN 0.3 0.1 0.5 2.0 2 COTTON2 0.0 -0.1 0.1 NaN 0 CRUDE_W -1.5 -1.9 -1.0 0.0 0 DAX -2.7 -4.2 -1.2 2.0 2 DOW -0.9 -1.6 -0.2 4.0 4 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 0.7 0.4 1.0 0.0 0 FEEDCOW -2.9 -3.1 -2.7 -3.0 -3 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 0.7 0.5 0.8 0.0 0 GASOILINE -0.1 -0.2 -0.0 0.0 0 GAS_US -0.2 -0.2 -0.2 0.0 0 GBP 0.7 0.6 0.8 2.0 2 GOLD_micro -1.3 -1.8 -0.7 0.0 0 HEATOIL 0.7 0.6 0.8 1.0 1 JPY -1.0 -1.4 -0.7 -3.0 -3 LEANHOG 0.4 0.1 0.7 2.0 2 LIVECOW -5.6 -5.9 -5.2 -5.0 -5 MXP 1.5 1.2 1.8 3.0 3 NASDAQ -0.2 -0.3 -0.2 0.0 0 NIKKEI 17.0 12.3 21.6 0.0 0 NZD 0.6 0.5 0.7 2.0 2 OAT 1.2 1.1 1.3 0.0 0 OJ -0.4 -0.5 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT -0.4 -0.4 -0.4 -1.0 -1 ROBUSTA -0.7 -1.0 -0.4 0.0 0 RUSSELL -9.5 -11.2 -7.8 -3.0 -3 SILVER-mini 0.9 0.8 0.9 NaN 0 SOYBEAN 4.3 3.8 4.8 1.0 1 SOYMEAL 1.7 1.3 2.1 4.0 4 SOYOIL 0.1 0.0 0.2 0.0 0 SP400 -0.2 -0.3 -0.1 0.0 0 SP500 -0.1 -0.2 -0.1 0.0 0 SUGAR11 2.1 1.9 2.3 3.0 3 US10 -1.9 -2.2 -1.6 NaN 0 US10U -0.4 -1.3 0.5 0.0 0 US20 -0.4 -0.7 -0.1 -2.0 -2 US30 -0.2 -0.4 0.1 0.0 0 US5 -2.0 -2.5 -1.5 -4.0 -4 VIX -26.5 -28.1 -25.0 -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 0.0 -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 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.1 BITCOIN 0.0 0.2 0.0 0.1 -0.0 0.0 0.0 0.0 0.0 -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 0.2 0.0 -0.1 -0.3 -0.3 BOBL 0.1 0.3 -0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.3 -0.0 -0.3 0.0 -0.2 0.3 0.7 0.3 0.4 -0.0 -0.2 -0.0 -0.2 -0.0 2.0 -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 0.0 0.3 0.3 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.2 0.9 0.6 0.3 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 -0.3 -0.2 0.1 0.2 BUND 0.1 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 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 -0.1 -0.2 -0.0 -0.1 BUXL 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 0.1 0.4 -0.1 0.1 0.1 0.1 -0.1 -0.0 -0.3 0.0 0.8 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.2 0.1 0.1 0.0 CAC -0.1 0.3 0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 -0.0 0.0 0.3 -0.0 0.2 0.0 0.0 0.2 0.2 -0.0 0.1 0.0 -1.7 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 1.0 -0.0 0.0 0.2 0.2 CAD -0.1 0.2 -0.2 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 1.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 -0.4 -0.3 -0.3 CANOLA 0.0 0.0 -0.0 -0.1 -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 -0.2 0.0 0.0 -0.0 0.2 CHF 0.1 0.3 0.2 0.0 -0.0 -0.0 0.0 -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 -0.0 0.0 -0.9 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -2.2 0.1 0.1 0.0 0.1 COCOA 0.0 0.3 0.2 -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 -0.0 0.0 -0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -2.7 -0.0 0.2 0.3 0.2 COFFEE 0.2 -0.2 -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 1.8 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -1.8 0.1 0.4 -0.3 -0.3 COPPER 0.1 0.3 0.3 0.1 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 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 1.8 -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 -0.3 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.0 -0.0 0.1 -0.1 -0.1 1.6 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 0.0 -0.0 0.5 0.0 -0.1 -0.2 0.1 COTTON2 0.0 0.0 -0.9 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.1 0.6 0.1 0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.5 -0.0 0.1 0.3 -0.6 CRUDE_W -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 0.0 0.5 0.6 0.2 0.2 -0.1 -0.0 -0.0 0.1 -0.0 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -2.7 -0.1 0.1 0.2 0.2 DAX -0.2 0.3 0.3 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 -0.1 0.0 0.3 -0.2 -0.1 -0.1 -0.1 0.2 0.1 -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 -0.1 0.3 0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.2 -0.0 -0.0 0.0 0.3 -0.4 -0.1 -0.1 -0.1 0.2 0.1 -0.0 0.0 0.0 -0.7 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.3 -0.0 -0.0 0.2 0.2 EUR 0.2 0.3 0.4 0.0 -0.0 -0.0 0.0 -0.1 0.1 0.0 0.0 0.0 -0.3 0.1 0.4 -0.5 -0.3 -0.1 -0.2 0.2 0.1 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 0.2 0.1 0.2 EUROSTX -0.2 0.3 0.3 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 -0.1 0.0 0.3 0.5 0.1 0.1 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 0.0 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 -1.4 -0.8 -0.4 -0.4 0.0 -0.0 0.0 -0.0 0.0 -2.0 -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 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.2 -0.0 -0.2 1.6 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 0.5 -0.1 -0.1 -0.1 0.1 GASOILINE -0.2 -0.2 -0.3 -0.1 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.3 -0.0 0.1 -0.0 -0.2 -0.2 0.9 0.2 0.4 -0.2 -0.1 -0.0 0.1 -0.0 -0.6 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.1 GAS_US 0.0 0.0 -0.3 -0.1 0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.2 -0.0 0.0 -0.0 -0.2 0.8 -0.4 -0.1 -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 0.1 0.4 0.3 0.1 GBP 0.1 0.3 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 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 1.8 -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 0.0 0.0 0.1 -0.0 -0.1 0.0 -0.2 0.1 0.3 -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 0.1 -0.1 HEATOIL -0.2 -0.3 -0.3 -0.1 0.0 -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 1.8 -0.0 -0.1 -0.0 0.1 JPY 0.2 0.3 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.1 0.0 -0.3 0.0 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 -2.0 -0.1 0.1 0.1 -0.1 LEANHOG -0.2 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -1.6 0.8 -0.1 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.6 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 2.5 -0.1 -0.2 0.0 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 0.3 0.2 0.2 MXP -0.2 -0.0 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.3 -0.0 0.4 0.0 0.2 1.3 0.8 0.4 0.4 0.1 0.1 -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 -0.2 0.3 NASDAQ 0.0 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -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 1.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.5 0.0 0.0 -0.1 -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 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.2 0.1 0.3 -0.0 0.0 -0.0 -0.0 0.2 0.1 0.0 -0.1 0.0 0.1 -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 0.1 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 -0.1 0.1 -0.0 OJ -0.0 -0.1 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 0.4 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 0.0 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 -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 -0.0 -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 0.0 0.0 0.0 -0.0 0.2 -0.0 -0.0 0.0 0.3 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 0.0 -0.6 -0.0 0.1 -0.0 0.0 0.0 0.0 0.0 0.2 -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 -0.0 -0.2 0.5 0.0 0.1 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -1.4 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.6 -0.1 -0.3 -0.2 0.1 ROBUSTA 0.2 -0.2 -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 1.0 0.3 0.2 0.2 -0.1 -0.2 0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -1.0 0.0 0.4 -0.2 -0.3 RUSSELL -0.1 0.1 0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.4 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.1 -0.2 -0.2 -0.0 SILVER-mini 0.1 0.3 0.4 0.1 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 0.0 -0.2 0.1 0.3 -0.3 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 2.5 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.3 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 0.7 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 0.9 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 -0.1 0.3 0.1 0.0 -0.0 -0.0 -0.1 -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 -0.0 0.3 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 0.0 0.0 -0.4 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 0.0 0.5 -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 0.1 0.0 0.2 1.6 0.8 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -3.3 -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 0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.1 -0.0 -0.7 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 0.1 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 0.2 0.0 0.0 0.1 -0.1 0.0 -0.3 0.0 -1.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.6 0.0 0.2 0.1 0.0 US20 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 -0.1 0.1 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 0.2 0.0 0.2 0.1 0.0 US30 0.2 0.3 0.1 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.0 -0.1 0.0 -0.3 0.1 0.1 0.0 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.3 0.0 -0.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 0.1 0.4 0.1 0.1 US5 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 -0.4 0.1 -0.1 -0.1 0.1 -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 -0.1 -1.0 -0.3 -0.1 0.0 -0.1 -0.0 -0.1 -0.1 0.0 -0.4 -0.0 -0.4 -0.1 -0.4 -3.1 -1.6 -0.8 -0.7 -0.2 -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 -0.2 -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 -1.1 -0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.0 -0.3 -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 6.4 20.0 0.9 2.8 -1.4 -0.7 1.4 -3.6 3.5 -10.8 -4.4 2.8 -8.8 11.7 4.7 -2.9 -1.9 -2.7 -2.4 5.9 -2.6 -0.1 -8.3 7.2 4.0 -0.0 2.0 -4.6 -2.1 -0.2 -4.8 2.9 -0.4 -5.0 -6.2 -5.3 -6.6 BITCOIN 4.7 10.1 2.3 3.6 -3.5 1.7 0.6 0.4 3.5 -6.4 -15.3 9.1 -15.9 -5.8 -9.2 1.8 -0.8 1.0 0.3 -7.7 -16.8 1.2 -20.0 -1.6 20.0 -0.0 -4.5 -1.5 -6.2 0.1 -6.0 -1.8 1.9 6.8 -3.6 -20.0 -20.0 BOBL 12.4 18.4 -6.5 1.0 -0.7 -3.5 1.5 -6.8 3.1 -11.9 -11.6 -4.8 -12.8 5.5 -8.9 3.9 16.8 15.7 18.9 -3.8 -14.5 -8.7 -20.0 -0.1 13.3 -0.0 -1.3 -11.6 -7.3 -4.5 -13.1 0.0 20.0 -20.0 -10.6 -8.8 -7.9 BTP 1.5 20.0 14.7 0.9 -2.7 -3.6 0.3 -6.9 2.6 -13.7 -2.2 -7.4 -10.7 8.8 6.4 10.4 14.8 16.2 17.1 7.8 -2.7 -13.7 -15.4 3.5 5.0 -0.0 2.3 -10.7 -1.9 -5.0 -7.4 0.9 20.0 -20.0 -11.0 10.4 13.0 BUND 8.1 20.0 -2.7 0.9 -2.7 -3.6 0.3 -6.9 2.6 -13.8 -9.2 -7.9 -12.2 6.9 -4.9 14.9 16.1 14.2 15.2 -1.4 -13.4 -14.2 -20.0 -0.5 10.7 -0.0 -0.5 -11.9 -5.6 -5.9 -10.6 -0.4 20.0 -20.0 -10.8 -2.9 -6.8 BUXL 17.1 20.0 7.0 0.9 -2.7 -3.6 0.3 -6.9 2.6 -13.5 -4.8 -3.3 -11.0 10.5 3.7 5.5 -1.5 5.5 2.8 8.5 -7.2 -10.5 -20.0 8.9 6.1 -0.0 2.0 -9.2 -2.4 -3.5 -6.1 2.0 -1.6 -20.0 4.7 10.6 2.6 CAC -10.2 20.0 11.1 1.7 -9.1 -0.1 -4.5 -1.7 -0.0 -12.7 11.2 -6.5 -0.4 10.4 13.7 -0.5 3.7 0.4 1.7 16.2 12.5 -12.2 5.3 5.5 -15.3 -0.0 4.0 -8.7 3.0 -4.0 1.1 1.1 7.2 -3.7 1.0 13.2 16.1 CAD -10.3 12.4 -9.2 2.8 -1.4 -0.7 1.4 -3.6 3.5 -12.7 -9.5 -12.8 -11.1 -6.2 -6.8 -2.0 -0.9 -1.8 -1.4 -7.2 -10.8 -10.4 -12.1 -8.1 7.3 -0.0 -3.8 -5.4 -6.0 -4.8 -7.0 -3.8 1.3 -14.2 -20.0 -20.0 -18.0 CANOLA 5.5 3.4 -0.4 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 8.8 -9.8 11.5 -3.0 1.4 4.6 12.3 13.5 10.8 10.1 -1.8 -6.3 6.5 -0.9 2.6 6.4 -0.0 -1.1 1.0 -1.0 2.0 1.7 0.0 -1.8 20.0 4.2 -3.5 10.7 CHF 11.5 20.0 10.9 2.8 -1.4 -0.7 1.4 -3.6 3.5 1.9 5.9 11.3 -4.8 14.9 12.6 -12.0 -11.6 -12.1 -12.2 15.7 5.6 11.2 -3.6 17.6 -6.4 -0.0 4.2 0.4 0.8 3.2 -2.7 5.0 -17.1 13.5 4.5 3.3 7.8 COCOA 1.4 19.0 9.8 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 -8.0 0.8 3.1 -8.1 10.5 10.9 -1.3 -3.1 -0.5 -1.3 9.2 3.7 0.1 -3.9 6.8 -2.3 -0.0 3.7 -5.2 1.7 -0.9 -1.4 2.0 -20.0 -4.3 9.9 20.0 15.7 COFFEE 19.0 -16.0 -20.0 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 5.0 -12.8 6.8 -7.9 -7.2 -13.3 -0.4 4.1 3.3 5.0 -19.5 -20.0 4.9 -12.0 -5.5 11.2 -0.0 -4.9 1.1 -5.5 1.3 -2.8 -1.5 -13.1 14.0 20.0 -20.0 -20.0 COPPER 8.5 20.0 15.4 3.6 -3.5 1.7 0.6 0.4 3.5 -11.7 -6.1 7.4 -8.8 9.1 8.8 -1.2 -0.0 -0.3 -0.1 10.9 0.8 2.3 -8.1 10.4 14.7 -0.0 4.4 -2.7 1.1 0.6 -1.5 3.9 2.2 -0.2 2.2 4.8 1.0 CORN -15.6 -17.8 9.5 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 10.1 0.2 -9.6 4.8 -13.8 -3.2 20.0 14.7 17.8 15.5 -10.1 0.3 -6.6 14.4 -13.7 -11.7 -0.0 -4.7 0.6 -1.0 -2.2 4.1 -5.2 4.0 2.8 -8.0 -16.4 4.9 COTTON2 1.9 4.8 -20.0 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 -1.7 -11.3 -3.5 -1.3 4.6 -9.5 1.8 16.1 5.5 11.5 -10.5 -15.3 -2.4 -5.6 -4.2 -0.0 -0.0 -2.3 0.8 -3.6 -0.2 1.5 -0.2 3.7 -1.0 9.4 10.2 -20.0 CRUDE_W -10.0 -1.2 -4.5 -3.8 2.3 -1.8 -0.1 3.1 -3.3 -7.3 -6.1 -7.8 2.7 -9.6 1.9 5.9 13.0 7.5 10.2 -5.0 -2.8 -7.7 4.6 -7.9 -1.3 -0.0 -2.3 -4.2 -0.0 -4.0 5.9 -4.0 -20.0 -19.0 5.0 11.6 11.9 DAX -15.5 20.0 16.0 1.7 -9.1 -0.1 -4.5 -1.7 -0.0 -11.9 8.7 -8.1 -4.3 11.0 13.5 -5.9 -2.1 -4.4 -3.3 17.2 10.9 -11.5 -1.2 6.2 -11.5 -0.0 4.1 -7.3 2.8 -3.4 -0.4 1.2 -1.9 -4.4 -3.8 20.0 20.0 DOW -9.1 20.0 9.6 1.7 -9.1 -0.1 -4.5 -1.7 -0.0 -12.2 7.5 -9.6 -1.1 8.0 11.8 -5.4 -2.2 -4.9 -3.9 12.6 8.4 -10.7 0.9 3.7 -6.4 -0.0 3.5 -7.7 2.2 -3.6 0.4 0.8 -2.6 -1.8 -1.2 12.6 10.5 EUR 14.7 20.0 20.0 2.8 -1.4 -0.7 1.4 -3.6 3.5 6.2 0.8 13.1 -9.9 15.5 14.6 -7.4 -8.3 -7.6 -8.1 19.3 4.2 14.9 -12.0 20.0 2.0 -0.0 4.7 1.7 0.1 4.1 -5.1 5.6 -10.8 17.1 9.1 6.2 14.8 EUROSTX -13.5 20.0 15.1 1.7 -9.1 -0.1 -4.5 -1.7 -0.0 -11.4 10.6 -4.3 -2.0 12.0 14.1 6.4 3.1 2.7 2.1 17.8 12.8 -9.9 3.1 7.6 -17.4 -0.0 4.4 -7.4 3.3 -3.1 0.7 1.7 6.9 -3.0 2.3 20.0 20.0 FEEDCOW 8.7 8.6 -7.5 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 1.7 0.3 8.9 -1.4 10.4 0.8 -17.6 -20.0 -18.5 -20.0 4.1 -0.5 5.4 -2.0 7.5 -11.9 -0.0 2.6 0.3 -0.3 2.9 -1.0 4.5 -20.0 7.2 20.0 19.7 -5.4 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 -13.2 -19.1 -14.8 -3.8 2.3 -1.8 -0.1 3.1 -3.3 6.4 -3.7 -0.3 9.6 -8.3 -7.8 19.7 20.0 20.0 20.0 -10.4 -1.2 0.4 11.9 -10.6 -5.0 -0.0 -3.8 2.9 -0.8 -0.0 4.1 -3.8 4.0 -5.1 -6.6 -8.7 8.2 GASOILINE -19.6 -10.3 -14.8 -3.8 2.3 -1.8 -0.1 3.1 -3.3 -1.5 -11.3 -7.6 3.1 -11.7 -8.9 -2.3 20.0 10.2 20.0 -13.8 -7.3 -9.6 6.0 -15.8 -5.1 -0.0 -3.9 -1.0 -0.9 -2.8 5.8 -4.8 0.0 -13.9 -2.2 5.6 6.7 GAS_US 0.6 2.6 -20.0 -3.8 2.3 -1.8 -0.1 3.1 -3.3 6.3 -8.8 -1.3 0.2 -2.0 -9.8 9.4 -8.4 -6.1 -8.8 -7.5 -7.1 1.1 0.2 -3.4 -11.8 -0.0 -0.6 1.4 0.2 1.2 5.0 0.4 -20.0 7.4 20.0 20.0 3.9 GBP 12.8 20.0 20.0 2.8 -1.4 -0.7 1.4 -3.6 3.5 -8.8 2.2 8.5 -7.2 14.0 13.1 -2.2 -1.5 -2.0 -1.9 15.8 2.8 6.4 -9.4 16.5 12.8 -0.0 3.2 -2.4 -2.3 1.7 -6.9 4.5 0.4 2.2 7.7 -0.3 -5.0 GOLD_micro 8.8 20.0 8.0 3.6 -3.5 1.7 0.6 0.4 3.5 -0.6 -4.3 7.2 -9.4 13.1 10.4 -10.4 -8.2 -10.2 -9.6 11.2 0.9 5.9 -6.1 12.6 10.4 -0.0 3.9 -0.3 0.7 1.9 -1.3 4.2 -12.8 2.4 0.7 4.9 -5.9 HEATOIL -16.3 -16.1 -17.8 -3.8 2.3 -1.8 -0.1 3.1 -3.3 6.1 -4.1 0.6 8.7 -7.0 -5.6 20.0 20.0 20.0 20.0 -9.2 -1.1 0.7 11.0 -9.3 -13.5 -0.0 -3.2 2.5 0.7 0.4 7.7 -3.4 13.1 -2.3 -3.6 -1.2 9.7 JPY 13.5 20.0 20.0 2.8 -1.4 -0.7 1.4 -3.6 3.5 -2.8 -5.7 5.7 -12.8 11.3 7.1 -11.2 -10.2 -11.8 -11.6 9.9 -4.4 4.7 -18.1 12.4 12.9 -0.0 3.1 -0.6 -2.0 1.5 -7.5 4.1 -15.5 -6.1 4.9 5.8 -4.0 LEANHOG -18.7 -0.5 -3.2 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 -5.3 0.1 -9.4 -0.7 -7.3 5.8 -20.0 20.0 -6.8 18.2 -2.0 0.6 -7.8 2.7 -7.2 -4.2 -0.0 -1.7 1.1 -0.6 -3.7 1.0 -3.9 18.1 -15.9 -8.8 3.1 2.0 LIVECOW -3.0 1.0 7.0 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 6.3 8.0 4.3 -0.7 3.9 7.4 -20.0 -20.0 -20.0 -20.0 5.0 4.7 3.1 1.2 3.5 -20.0 -0.0 3.2 1.5 3.7 1.7 2.9 2.1 -20.0 3.1 16.7 14.6 11.0 MXP -17.9 -0.1 4.5 2.8 -1.4 -0.7 1.4 -3.6 3.5 -7.0 13.3 -9.6 14.6 0.9 8.6 17.4 20.0 18.4 19.2 7.1 11.9 -7.0 12.8 -1.6 -20.0 -0.0 3.5 -3.2 4.9 -3.1 4.5 -0.4 20.0 -16.4 -20.0 -11.9 20.0 NASDAQ 1.4 11.0 -5.3 1.7 -9.1 -0.1 -4.5 -1.7 -0.0 -12.5 -8.9 -9.8 -12.0 4.5 -5.9 -4.7 -3.2 -4.5 -4.1 -1.9 -8.1 -9.8 -12.3 -2.3 9.0 -0.0 -0.2 -9.3 -3.2 -4.2 -4.6 -0.3 -3.7 2.3 0.8 -10.2 -10.4 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 16.7 -13.0 -15.0 -11.9 2.5 NZD 14.7 20.0 11.6 2.8 -1.4 -0.7 1.4 -3.6 3.5 -2.0 1.9 10.0 -7.7 14.4 11.7 -0.4 0.4 -0.7 -0.3 19.2 4.6 10.5 -7.6 20.0 0.8 -0.0 4.3 -0.1 0.5 2.5 -2.6 5.0 3.4 6.2 13.9 16.1 4.9 OAT 12.2 20.0 6.4 1.0 -0.7 -3.5 1.5 -6.8 3.1 -13.1 -6.0 -3.0 -11.3 10.6 0.3 12.2 12.4 13.3 13.5 4.9 -7.8 -6.5 -18.7 6.3 10.8 -0.0 1.4 -8.2 -4.1 -2.6 -9.6 2.0 20.0 -20.0 -3.5 6.2 -0.4 OJ -10.2 -4.1 16.5 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 0.5 13.2 2.4 14.0 2.6 11.7 13.6 12.1 15.3 15.3 14.4 20.0 3.7 20.0 5.9 -20.0 -0.0 4.5 3.1 8.4 1.0 9.9 1.1 2.6 20.0 13.1 14.8 20.0 PALLAD -2.9 -5.5 -6.5 3.6 -3.5 1.7 0.6 0.4 3.5 -11.8 -11.4 -11.0 -7.5 -10.1 -11.7 -1.3 -1.3 -1.5 -1.5 -10.1 -8.5 -15.1 -6.7 -10.3 4.3 -0.0 -3.4 -15.1 -2.6 -7.2 -1.8 -3.8 0.0 -20.0 -20.0 -20.0 -12.8 PLAT -4.0 14.8 18.8 3.6 -3.5 1.7 0.6 0.4 3.5 -7.1 8.9 -2.1 -1.8 8.9 12.2 -0.7 -0.3 -0.2 -0.2 12.0 9.4 -0.4 2.0 6.8 -3.9 -0.0 5.2 -2.9 3.4 0.3 0.2 3.4 2.0 -3.7 2.3 3.7 13.2 REDWHEAT -19.9 -15.3 -4.6 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 2.0 -12.2 -8.7 -5.3 -12.5 -8.6 6.2 0.4 4.1 2.4 -15.7 -10.7 -9.9 -2.2 -17.2 -10.1 -0.0 -4.6 -1.2 -1.7 -3.0 2.3 -5.4 -19.1 -7.2 -14.9 -14.8 5.7 ROBUSTA 20.0 -15.5 -20.0 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 -0.3 -10.9 12.9 -4.4 -0.5 -10.9 12.9 7.6 10.2 8.6 -12.9 -18.0 7.4 -7.3 2.7 0.0 -0.0 -2.5 -0.0 -3.8 1.9 -1.6 1.0 -7.6 13.7 20.0 -14.9 -20.0 RUSSELL -8.6 8.2 1.9 1.7 -9.1 -0.1 -4.5 -1.7 -0.0 -13.1 -3.4 -12.0 -10.2 -1.6 -0.7 -4.5 -2.3 -4.1 -3.4 -0.6 -2.2 -13.9 -6.7 -6.1 -3.2 -0.0 -0.2 -11.4 -0.7 -7.5 -2.1 -3.2 -2.3 -4.6 -9.3 -10.7 -1.2 SILVER-mini 12.3 20.0 20.0 3.6 -3.5 1.7 0.6 0.4 3.5 3.1 3.0 10.7 -6.0 13.7 13.4 -4.2 -3.3 -4.2 -3.9 18.5 8.2 13.1 -2.5 20.0 11.5 -0.0 5.3 0.2 2.1 3.3 -1.4 5.5 -3.8 9.9 20.0 16.6 17.2 SOYBEAN 2.2 6.3 3.9 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 1.9 0.3 6.4 4.4 10.3 11.4 20.0 20.0 20.0 20.0 5.1 3.9 1.5 7.0 4.1 -20.0 -0.0 3.8 -1.1 5.7 0.4 10.7 2.1 19.2 12.6 16.1 15.2 13.9 SOYMEAL 20.0 14.9 4.7 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 5.3 6.2 10.0 9.1 11.8 9.7 8.7 13.8 11.0 13.2 20.0 11.2 20.0 7.9 20.0 -20.0 -0.0 5.2 2.2 3.5 5.0 3.2 6.5 2.4 20.0 20.0 20.0 20.0 SOYOIL -20.0 -7.6 0.4 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 4.6 0.5 -8.8 5.3 -9.2 -4.1 11.8 20.0 18.1 20.0 -8.0 1.3 -13.6 7.6 -18.2 -20.0 -0.0 -1.4 -0.5 1.6 -3.3 3.8 -4.4 14.7 -13.4 -20.0 4.1 17.5 SP400 -7.1 15.2 3.7 1.7 -9.1 -0.1 -4.5 -1.7 -0.0 -13.0 1.9 -11.9 -5.3 4.0 6.4 -3.1 -1.5 -1.8 -1.5 5.3 2.8 -12.1 -2.0 -1.5 -7.1 -0.0 2.1 -9.4 1.5 -5.4 0.3 -0.9 0.0 -3.2 -5.6 -2.0 5.1 SP500 -1.4 15.5 -1.0 1.7 -9.1 -0.1 -4.5 -1.7 -0.0 -12.5 -3.2 -10.2 -8.1 5.2 1.8 -5.2 -3.3 -4.8 -4.2 3.7 -1.6 -9.7 -6.1 0.2 4.4 -0.0 1.8 -9.3 -1.0 -4.3 -3.2 0.3 -3.7 0.5 0.8 -1.6 -2.5 SUGAR11 -3.6 18.2 11.8 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 7.6 6.5 4.8 2.4 11.0 10.5 20.0 20.0 20.0 20.0 13.3 9.5 11.6 4.9 11.8 -20.0 -0.0 5.4 4.5 4.1 4.3 2.5 4.8 20.0 20.0 18.6 20.0 20.0 US10 20.0 20.0 3.8 0.9 -2.7 -3.6 0.3 -6.9 2.6 8.3 -7.6 11.9 -12.6 14.1 -0.7 -8.4 0.4 -6.1 -3.8 5.7 -11.3 11.2 -20.0 14.4 -6.2 -0.0 2.1 2.0 -3.1 3.4 -7.2 4.6 -4.6 8.5 9.8 5.5 1.3 US10U 20.0 20.0 3.2 0.9 -2.7 -3.6 0.3 -6.9 2.6 3.9 -7.3 9.8 -12.3 13.2 -0.4 1.3 4.8 0.9 1.9 6.5 -10.7 10.9 -20.0 15.1 -7.8 -0.0 2.3 1.7 -2.6 3.2 -6.2 4.7 4.1 9.2 12.1 5.9 2.6 US20 20.0 20.0 0.4 0.9 -2.7 -3.6 0.3 -6.9 2.6 6.9 -6.1 12.8 -11.8 14.7 1.4 -1.0 2.4 0.6 1.4 9.2 -10.4 15.7 -20.0 20.0 -7.0 -0.0 2.5 1.7 -2.2 3.8 -5.0 5.1 1.6 17.1 20.0 7.3 2.0 US30 20.0 20.0 5.6 0.9 -2.7 -3.6 0.3 -6.9 2.6 -0.6 -6.1 10.2 -13.1 13.2 2.5 0.3 0.4 -0.6 -0.5 9.3 -10.6 13.7 -20.0 19.9 -5.0 -0.0 2.8 0.9 -1.9 3.4 -5.0 5.2 -1.8 16.4 20.0 7.8 8.5 US5 20.0 20.0 3.9 0.9 -2.7 -3.6 0.3 -6.9 2.6 12.3 -7.8 13.4 -13.0 14.5 -1.1 -5.3 1.7 -5.2 -3.3 4.8 -12.5 12.9 -20.0 14.4 -4.0 -0.0 1.9 3.1 -3.7 4.1 -8.5 4.7 -3.1 10.7 9.0 4.7 0.3 VIX -5.6 -18.4 -4.2 -4.5 0.9 -3.0 -2.0 -1.8 -4.3 7.4 -12.7 -5.6 -10.6 -13.2 -13.5 -20.0 -19.7 -18.4 -16.7 -16.1 -12.2 -5.2 -8.7 -13.7 NaN -0.0 -5.6 1.2 -3.8 -1.9 -2.4 -5.0 NaN NaN NaN NaN NaN WHEAT -20.0 -20.0 -9.6 -4.7 -2.9 -4.0 -4.4 -0.7 -5.1 8.5 -13.4 -9.2 -8.3 -13.7 -9.8 -6.7 -4.3 -5.4 -4.8 -20.0 -17.0 -10.9 -7.2 -20.0 -7.5 -0.0 -5.2 0.4 -2.7 -2.5 0.8 -5.5 -20.0 -7.0 -16.1 -19.0 0.2 End of report for caleb_strategy_v1