******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221219_204355 produced at 2022-12-19 21:35:37.036565 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 0.0 9181269.63 -9181269.63 -0.21 -0.21 -26.84 999999999 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22081041.91 -22081041.91 -0.11 -0.11 -5.65 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.10 0.0 32554588.51 -32554588.51 -0.10 -0.10 -2.93 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 40400239.91 -40400239.91 0.00 0.00 -1.92 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.08 0.0 38603568.05 -38603568.05 -0.12 -0.12 -2.02 999999999 -3 -3 caleb_strategy_v1 CHF False False 0.05 -0.05 -0.06 0.0 48002649.59 -48002649.59 -0.05 -0.05 -1.29 999999999 -1 -1 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.75 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.04 0.0 25895072.22 -25895072.22 0.00 0.00 -1.52 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.04 0.0 32673998.08 -32673998.08 -0.10 -0.10 -1.08 999999999 -3 -3 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.03 0.0 3087489.38 -3087489.38 -0.01 -0.01 -10.18 999999999 -3 -2 caleb_strategy_v1 DAX False False 0.01 0.01 -0.02 0.0 5236070.48 -5236070.48 0.01 0.01 -3.60 999999999 1 1 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.02 0.0 45917404.59 -45917404.59 -0.09 -0.09 -0.54 999999999 -2 -2 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 25919838.65 -25919838.65 -0.05 -0.05 -0.66 999999999 -2 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 78946535.59 -78946535.59 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 SP400 False False 0.08 0.00 -0.02 0.0 84761339.69 -84761339.69 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 0.00 -0.02 0.0 42760790.33 -42760790.33 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13802862.48 -13802862.48 -0.03 -0.03 -0.69 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 0.00 -0.01 0.0 50107796.19 -50107796.19 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6355419.90 -6355419.90 0.00 0.00 -1.26 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 67762723.15 -67762723.15 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.01 0.0 14828900.32 -14828900.32 -0.01 -0.01 -0.40 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.02 -0.01 0.0 5805782.04 -5805782.04 0.02 0.01 -1.28 999999999 4 2 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8831001.54 -8831001.54 0.00 0.00 -1.42 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.03 0.00 0.0 13161588.83 -13161588.83 0.03 0.01 0.19 999999999 2 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13303818.91 -13303818.91 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6580794.42 -6580794.42 0.00 0.00 -0.62 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47199951.89 -47199951.89 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 23779311.44 -23779311.44 -0.05 -0.05 -0.07 999999999 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.00 0.0 19997123.68 -19997123.68 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10539000.74 -10539000.74 0.02 0.02 0.34 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 581834.22 -581834.22 0.00 0.00 6.91 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 -0.00 0.0 32696146.35 -32696146.35 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21825416.96 -21825416.96 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10781357.95 -10781357.95 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 58873343.59 -58873343.59 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14897008.00 -14897008.00 0.00 0.00 0.03 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17410800.71 -17410800.71 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14251537.68 -14251537.68 0.00 0.00 0.63 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.17 0.01 0.0 56090570.12 -56090570.12 0.17 0.17 0.20 999999999 3 3 caleb_strategy_v1 CAC False False 0.02 0.02 0.01 0.0 24191591.22 -24191591.22 0.02 0.02 0.32 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4373181.79 -4373181.79 0.00 0.00 1.59 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.01 0.0 8804466.08 -8804466.08 0.03 0.03 1.48 999999999 3 3 caleb_strategy_v1 NZD False False 0.02 0.05 0.01 0.0 22542758.94 -22542758.94 0.05 0.05 0.57 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.02 0.0 15549780.35 -15549780.35 0.06 0.06 1.56 999999999 4 4 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26920225.55 -26920225.55 0.05 0.05 0.67 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7996585.11 -7996585.11 0.02 0.02 2.14 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 30613077.25 -30613077.25 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 20421248.80 -20421248.80 0.00 0.00 0.83 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 33200284.73 -33200284.73 0.03 0.03 0.50 999999999 1 1 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.03 0.0 43655291.89 -43655291.89 0.04 0.04 0.69 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 41910327.64 -41910327.64 0.04 0.04 0.84 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 49418839.20 -49418839.20 0.00 0.00 1.04 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.10 0.0 24443582.49 -24443582.49 0.02 0.02 4.26 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.15 0.0 0.00 0.00 0.00 0.00 21.44 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.05 0.19 0.0 51482647.98 -51482647.98 0.05 0.05 3.64 999999999 1 1 caleb_strategy_v1 BOBL False False 0.04 0.22 0.29 0.0 44071698.29 -44071698.29 0.22 0.22 6.61 999999999 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 9.3 Shocked risk 30.6 Sum abs risk 33.3 Leverage 2.10 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2826406.48, 'annual_cash_vol_target': 706601.62, 'daily_cash_vol_target': 44162.60125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0065 0.6721 0.9717 15.5475 BITCOIN 807.2742 16445.0000 4.9089 78.5429 BOBL 0.4088 117.4500 0.3480 5.5684 BTP 1.0297 111.6900 0.9220 14.7514 BUND 0.8189 137.2000 0.5969 9.5497 BUXL 2.0374 149.4800 1.3630 21.8074 CAC 61.7536 6447.0000 0.9579 15.3258 CAD 0.0040 0.7326 0.5520 8.8318 CANOLA 9.9499 844.4000 1.1783 18.8535 CHF 0.0066 1.0854 0.6089 9.7426 COCOA 31.4977 2496.0000 1.2619 20.1908 COFFEE 0.0375 1.6450 2.2767 36.4279 COPPER 0.0573 3.7535 1.5263 24.4212 CORN 4.0604 595.7500 0.6816 10.9048 COTTON2 0.0177 0.8421 2.1055 33.6873 CRUDE_W 1.3121 73.1900 1.7928 28.6844 DAX 145.4438 13954.0000 1.0423 16.6769 DOW 350.7949 32819.0000 1.0689 17.1020 EUR 0.0065 1.0672 0.6059 9.6945 EUROSTX 42.9210 3798.0000 1.1301 18.0815 FEEDCOW 1.2430 184.0250 0.6755 10.8073 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.6392 865.2500 2.6165 41.8640 GASOILINE 0.0503 2.2003 2.2879 36.6066 GAS_US 0.2926 5.6520 5.1778 82.8448 GBP 0.0104 1.2174 0.8543 13.6682 GOLD_micro 16.7500 1796.3000 0.9325 14.9195 HEATOIL 0.0736 2.9378 2.5050 40.0796 JPY 0.0001 0.0074 0.8935 14.2965 LEANHOG 1.5664 93.0000 1.6843 26.9485 LIVECOW 0.9016 156.0250 0.5779 9.2457 MXP 0.0004 0.0498 0.7586 12.1373 NASDAQ 185.6565 11156.7500 1.6641 26.6252 NIKKEI 250.0864 27110.0000 0.9225 14.7598 NZD 0.0057 0.6372 0.8903 14.2452 OAT 0.8612 131.7000 0.6539 10.4625 OJ 0.0335 2.0315 1.6514 26.4229 PALLAD 48.3429 1664.0000 2.9052 46.4836 PLAT 18.9318 984.2000 1.9236 30.7772 REDWHEAT 14.1962 838.2500 1.6936 27.0969 ROBUSTA 20.1981 1860.0000 1.0859 17.3747 RUSSELL 26.4470 1745.3000 1.5153 24.2453 SILVER-mini 0.4496 23.0875 1.9472 31.1554 SOYBEAN 11.1250 1381.7500 0.8051 12.8822 SOYMEAL 6.8440 439.5000 1.5572 24.9155 SOYOIL 1.1207 62.6700 1.7883 28.6126 SP400 32.5492 2395.7000 1.3586 21.7384 SP500 49.6063 3830.5000 1.2950 20.7206 SUGAR11 0.0025 0.2018 1.2211 19.5384 US10 0.5210 114.1875 0.4563 7.3005 US10U 0.7286 120.8594 0.6029 9.6457 US20 1.0406 129.7812 0.8018 12.8289 US30 1.6568 141.6250 1.1699 18.7177 US5 0.3452 109.1094 0.3164 5.0618 VIX 0.5438 25.9500 2.0956 33.5296 WHEAT 11.1182 780.2500 1.4250 22.7993 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.10 0.97 653.09 1.00 653.09 44162.6 67.62 -0.68 -4.61 BITCOIN 16.44 4.91 80.73 1.00 80.73 44162.6 547.06 5.36 293.29 BOBL 1174.50 0.35 408.75 1.06 433.22 44162.6 101.94 8.99 91.64 BTP 1116.90 0.92 1029.74 1.06 1091.39 44162.6 40.46 10.26 41.52 BUND 1372.00 0.60 818.89 1.06 867.92 44162.6 50.88 9.92 50.48 BUXL 1494.80 1.36 2037.36 1.06 2159.33 44162.6 20.45 1.19 2.43 CAC 644.70 0.96 617.54 1.06 654.51 44162.6 67.47 1.66 11.23 CAD 732.60 0.55 404.38 1.00 404.38 44162.6 109.21 -3.41 -37.20 CANOLA 168.88 1.18 199.00 0.73 145.36 44162.6 303.81 5.70 173.22 CHF 1356.75 0.61 826.15 1.00 826.15 44162.6 53.46 -6.44 -34.44 COCOA 249.60 1.26 314.98 1.00 314.98 44162.6 140.21 -4.64 -65.11 COFFEE 616.88 2.28 1404.46 1.00 1404.46 44162.6 31.44 -4.35 -13.68 COPPER 938.38 1.53 1432.26 1.00 1432.26 44162.6 30.83 5.95 18.36 CORN 297.88 0.68 203.02 1.00 203.02 44162.6 217.53 1.75 38.11 COTTON2 421.05 2.11 886.50 1.00 886.50 44162.6 49.82 0.42 2.11 CRUDE_W 731.90 1.79 1312.13 1.00 1312.13 44162.6 33.66 -3.41 -11.49 DAX 139.54 1.04 145.44 1.06 154.15 44162.6 286.49 -2.32 -66.38 DOW 164.10 1.07 175.40 1.00 175.40 44162.6 251.79 -1.78 -44.76 EUR 1334.06 0.61 808.32 1.00 808.32 44162.6 54.64 -0.40 -2.20 EUROSTX 379.80 1.13 429.21 1.06 454.91 44162.6 97.08 2.31 22.42 FEEDCOW 920.12 0.68 621.50 1.00 621.50 44162.6 71.06 -15.33 -108.94 FTSE100 707.00 0.82 576.59 1.22 666.67 44162.6 66.24 -2.56 -16.98 GASOIL 865.25 2.62 2263.92 1.00 2263.92 44162.6 19.51 5.04 9.83 GASOILINE 924.13 2.29 2114.32 1.00 2114.32 44162.6 20.89 -1.19 -2.48 GAS_US 565.20 5.18 2926.49 1.00 2926.49 44162.6 15.09 -8.95 -13.51 GBP 760.88 0.85 649.98 1.00 649.98 44162.6 67.94 5.56 37.80 GOLD_micro 179.63 0.93 167.50 1.00 167.50 44162.6 263.66 -2.13 -56.13 HEATOIL 1233.88 2.50 3090.83 1.00 3090.83 44162.6 14.29 6.80 9.72 JPY 923.50 0.89 825.18 1.00 825.18 44162.6 53.52 -3.11 -16.65 LEANHOG 372.00 1.68 626.55 1.00 626.55 44162.6 70.48 0.59 4.14 LIVECOW 624.10 0.58 360.64 1.00 360.64 44162.6 122.46 -17.16 -210.08 MXP 248.85 0.76 188.77 1.00 188.77 44162.6 233.95 5.16 120.82 NASDAQ 2231.35 1.66 3713.13 1.00 3713.13 44162.6 11.89 -4.16 -4.95 NIKKEI 27110.00 0.92 25008.64 0.01 183.09 44162.6 241.20 4.68 112.91 NZD 637.15 0.89 567.27 1.00 567.27 44162.6 77.85 4.58 35.68 OAT 1317.00 0.65 861.19 1.06 912.75 44162.6 48.38 10.69 51.71 OJ 304.72 1.65 503.23 1.00 503.23 44162.6 87.76 -2.59 -22.76 PALLAD 1664.00 2.91 4834.29 1.00 4834.29 44162.6 9.14 -3.41 -3.11 PLAT 492.10 1.92 946.59 1.00 946.59 44162.6 46.65 2.62 12.23 REDWHEAT 419.12 1.69 709.81 1.00 709.81 44162.6 62.22 -11.90 -74.04 ROBUSTA 186.00 1.09 201.98 1.00 201.98 44162.6 218.65 -2.18 -47.76 RUSSELL 87.26 1.52 132.24 1.00 132.24 44162.6 333.97 -5.88 -196.53 SILVER-mini 577.19 1.95 1123.91 1.00 1123.91 44162.6 39.29 9.46 37.17 SOYBEAN 690.88 0.81 556.25 1.00 556.25 44162.6 79.39 9.10 72.27 SOYMEAL 439.50 1.56 684.40 1.00 684.40 44162.6 64.53 4.09 26.39 SOYOIL 376.02 1.79 672.43 1.00 672.43 44162.6 65.68 1.81 11.91 SP400 2395.70 1.36 3254.92 1.00 3254.92 44162.6 13.57 -3.19 -4.32 SP500 1915.25 1.30 2480.32 1.00 2480.32 44162.6 17.81 -3.18 -5.66 SUGAR11 226.02 1.22 276.00 1.00 276.00 44162.6 160.01 9.86 157.74 US10 1141.88 0.46 521.02 1.00 521.02 44162.6 84.76 -5.90 -49.97 US10U 1208.59 0.60 728.61 1.00 728.61 44162.6 60.61 -0.46 -2.80 US20 1297.81 0.80 1040.60 1.00 1040.60 44162.6 42.44 -1.71 -7.27 US30 1416.25 1.17 1656.81 1.00 1656.81 44162.6 26.66 -0.96 -2.56 US5 1091.09 0.32 345.18 1.00 345.18 44162.6 127.94 -4.11 -52.62 VIX 259.50 2.10 543.81 1.00 543.81 44162.6 81.21 -17.54 -142.44 WHEAT 390.12 1.42 555.91 1.00 555.91 44162.6 79.44 -16.22 -128.88 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -4.605 0.006 2.5 -0.074 BITCOIN 293.291 0.009 2.5 6.910 BOBL 91.636 0.029 2.5 6.612 BTP 41.520 0.008 2.5 0.839 BUND 50.476 0.029 2.5 3.642 BUXL 2.434 0.034 2.5 0.204 CAC 11.230 0.011 2.5 0.316 CAD -37.204 0.007 2.5 -0.664 CANOLA 173.220 0.004 2.5 1.590 CHF -34.437 0.015 2.5 -1.289 COCOA -65.114 0.009 2.5 -1.418 COFFEE -13.680 0.005 2.5 -0.177 COPPER 18.356 0.011 2.5 0.502 CORN 38.107 0.004 2.5 0.344 COTTON2 2.106 0.006 2.5 0.032 CRUDE_W -11.487 0.053 2.5 -1.518 DAX -66.377 0.022 2.5 -3.605 DOW -44.757 0.011 2.5 -1.275 EUR -2.204 0.015 2.5 -0.082 EUROSTX 22.425 0.011 2.5 0.630 FEEDCOW -108.938 0.011 2.5 -2.927 FTSE100 -16.979 0.041 2.5 -1.750 GASOIL 9.831 0.029 2.5 0.701 GASOILINE -2.477 0.016 2.5 -0.102 GAS_US -13.512 0.006 2.5 -0.203 GBP 37.798 0.007 2.5 0.675 GOLD_micro -56.131 0.009 2.5 -1.256 HEATOIL 9.723 0.029 2.5 0.694 JPY -16.651 0.026 2.5 -1.078 LEANHOG 4.138 0.019 2.5 0.193 LIVECOW -210.078 0.011 2.5 -5.645 MXP 120.823 0.005 2.5 1.479 NASDAQ -4.950 0.022 2.5 -0.269 NIKKEI 112.906 0.076 2.5 21.445 NZD 35.681 0.006 2.5 0.570 OAT 51.713 0.008 2.5 1.044 OJ -22.763 0.007 2.5 -0.397 PALLAD -3.113 0.010 2.5 -0.075 PLAT 12.230 0.010 2.5 0.294 REDWHEAT -74.040 0.002 2.5 -0.395 ROBUSTA -47.755 0.005 2.5 -0.619 RUSSELL -196.530 0.021 2.5 -10.179 SILVER-mini 37.172 0.009 2.5 0.832 SOYBEAN 72.272 0.024 2.5 4.261 SOYMEAL 26.391 0.024 2.5 1.556 SOYOIL 11.908 0.004 2.5 0.109 SP400 -4.324 0.021 2.5 -0.224 SP500 -5.660 0.011 2.5 -0.161 SUGAR11 157.743 0.005 2.5 2.140 US10 -49.972 0.015 2.5 -1.917 US10U -2.796 0.058 2.5 -0.407 US20 -7.265 0.029 2.5 -0.535 US30 -2.558 0.034 2.5 -0.215 US5 -52.617 0.015 2.5 -2.019 VIX -142.444 0.075 2.5 -26.844 WHEAT -128.876 0.002 2.5 -0.688 ==================== Position diags ==================== AUD 1.08 BITCOIN 12.89 BOBL 7.36 BTP 0.82 BUND 3.67 BUXL 1.72 CAC 1.90 CAD 1.95 CANOLA 2.79 CHF 2.00 COCOA 3.05 COFFEE 0.41 COPPER 0.84 CORN 1.96 COTTON2 0.75 CRUDE_W 4.45 DAX 15.56 DOW 7.18 EUR 2.04 EUROSTX 2.73 FEEDCOW 1.91 FTSE100 6.83 GASOIL 1.39 GASOILINE 0.86 GAS_US 0.23 GBP 1.21 GOLD_micro 5.90 HEATOIL 1.02 JPY 3.46 LEANHOG 3.29 LIVECOW 3.29 MXP 2.86 NASDAQ 0.65 NIKKEI 45.81 NZD 1.24 OAT 0.98 OJ 1.53 PALLAD 0.22 PLAT 1.12 REDWHEAT 0.33 ROBUSTA 2.83 RUSSELL 17.30 SILVER-mini 0.88 SOYBEAN 4.68 SOYMEAL 3.80 SOYOIL 0.60 SP400 0.70 SP500 0.51 SUGAR11 2.17 US10 3.25 US10U 8.83 US20 3.13 US30 2.24 US5 4.91 VIX 15.30 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 -2.0 -2 BITCOIN 6.9 5.6 8.2 NaN 0 BOBL 6.6 5.9 7.3 5.0 5 BTP 0.8 0.8 0.9 1.0 1 BUND 3.6 3.3 4.0 1.0 1 BUXL 0.2 0.0 0.4 3.0 3 CAC 0.3 0.1 0.5 1.0 1 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 -0.0 0.1 NaN 0 CRUDE_W -1.5 -2.0 -1.1 0.0 0 DAX -3.6 -5.2 -2.0 1.0 1 DOW -1.3 -2.0 -0.6 4.0 4 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 0.6 0.4 0.9 0.0 0 FEEDCOW -2.9 -3.1 -2.7 -3.0 -3 FTSE100 -1.8 -2.4 -1.1 0.0 0 GASOIL 0.7 0.6 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 -1.1 -1.4 -0.7 -3.0 -3 LEANHOG 0.2 -0.1 0.5 2.0 2 LIVECOW -5.6 -6.0 -5.3 -5.0 -5 MXP 1.5 1.2 1.8 3.0 3 NASDAQ -0.3 -0.3 -0.2 0.0 0 NIKKEI 21.4 16.9 26.0 0.0 0 NZD 0.6 0.4 0.7 2.0 2 OAT 1.0 0.9 1.1 0.0 0 OJ -0.4 -0.6 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT -0.4 -0.4 -0.4 -1.0 -1 ROBUSTA -0.6 -0.9 -0.3 0.0 0 RUSSELL -10.2 -11.9 -8.4 -3.0 -3 SILVER-mini 0.8 0.7 0.9 NaN 0 SOYBEAN 4.3 3.8 4.7 1.0 1 SOYMEAL 1.6 1.2 1.9 4.0 4 SOYOIL 0.1 0.0 0.2 0.0 0 SP400 -0.2 -0.3 -0.2 0.0 0 SP500 -0.2 -0.2 -0.1 0.0 0 SUGAR11 2.1 1.9 2.4 3.0 3 US10 -1.9 -2.2 -1.6 NaN 0 US10U -0.4 -1.3 0.5 0.0 0 US20 -0.5 -0.8 -0.2 -2.0 -2 US30 -0.2 -0.4 0.0 0.0 0 US5 -2.0 -2.5 -1.5 -3.0 -3 VIX -26.8 -28.4 -25.3 -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 0.0 -0.1 -0.1 -0.0 -0.2 0.0 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 0.0 -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 0.0 0.2 -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 0.2 0.7 0.3 0.4 -0.1 -0.2 -0.0 -0.2 -0.0 2.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 -0.0 -0.2 -0.2 -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 0.1 0.9 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 -0.3 -0.3 0.1 0.2 BUND 0.0 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 1.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 -0.1 -0.2 -0.1 -0.1 BUXL 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 0.1 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 0.0 0.1 0.0 CAC -0.2 0.3 0.2 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 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 0.0 -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 1.1 -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 0.1 -0.1 0.2 CHF 0.1 0.3 0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.0 0.2 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 0.1 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 0.1 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 0.0 -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 0.1 0.1 0.0 CORN -0.2 -0.3 0.1 -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 0.6 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 0.2 0.4 -0.6 CRUDE_W -0.1 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.2 -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 0.1 0.2 DAX -0.2 0.3 0.3 0.0 -0.1 -0.0 -0.2 -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 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.1 0.3 0.3 DOW -0.2 0.3 0.2 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 0.2 -0.0 -0.0 0.0 0.3 -0.4 -0.1 -0.1 -0.1 0.1 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 0.0 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 -0.0 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 0.0 -0.0 0.0 -0.0 0.0 0.0 1.0 -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 0.2 -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 -0.1 -0.3 -0.2 -0.1 0.0 -0.1 -0.0 0.1 -0.0 0.0 -0.1 -0.0 0.2 -0.0 -0.2 1.7 0.9 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 0.6 -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 0.1 -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 -0.3 -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 0.3 0.3 0.0 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 0.1 -0.0 -0.1 GOLD_micro 0.1 0.3 0.2 0.1 -0.0 0.0 -0.0 0.0 0.0 -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 0.1 0.0 0.1 -0.1 HEATOIL -0.2 -0.3 -0.3 -0.1 0.0 -0.1 -0.0 0.1 -0.0 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 1.9 0.0 -0.0 -0.0 0.1 JPY 0.1 0.3 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.3 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 -0.2 0.4 -0.0 0.0 -0.0 0.0 -0.0 -0.7 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 2.3 -0.1 -0.1 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 -0.2 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 1.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.5 0.0 0.1 -0.1 -0.2 NIKKEI -0.2 0.1 0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.0 0.1 0.6 0.3 0.1 0.2 0.0 0.1 -0.0 0.0 -0.0 -1.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 2.3 0.2 -0.1 -0.1 0.0 NZD 0.1 0.3 0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 0.1 0.3 -0.0 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 0.2 0.2 0.1 OAT 0.0 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 -0.0 1.0 0.5 0.3 0.3 0.0 -0.1 -0.0 -0.2 -0.0 1.5 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.7 -0.1 -0.2 0.0 -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 0.5 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 0.0 -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 0.9 -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 -0.1 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 -0.1 -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 0.0 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 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -1.3 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.6 0.0 -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 1.1 0.3 0.2 0.2 -0.1 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -1.0 0.0 0.4 -0.2 -0.3 RUSSELL -0.2 0.1 0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -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 0.0 -0.2 -0.1 -0.0 SILVER-mini 0.1 0.3 0.4 0.1 -0.0 0.0 -0.0 0.0 0.0 -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 2.4 -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 2.7 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 0.0 -0.4 0.0 0.3 SP400 -0.1 0.2 0.1 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.2 -0.1 -0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -1.2 -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 0.2 -0.0 0.0 -0.1 -0.0 -0.2 -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 -0.1 -0.0 -0.0 -0.0 -0.0 -0.5 0.0 0.0 -0.0 -0.0 SUGAR11 -0.0 0.3 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.2 0.0 0.1 0.0 0.2 1.6 0.8 0.4 0.4 0.2 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 0.4 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 -0.2 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 -0.7 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.2 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 -0.1 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 0.1 0.0 VIX -0.1 -0.9 -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 -1.0 -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 4.6 20.0 1.2 2.8 -1.5 -0.6 0.8 -3.7 3.2 -12.0 -4.3 -0.9 -8.8 10.9 4.9 -2.8 -2.0 -2.7 -2.4 5.6 -2.6 -2.1 -8.4 5.9 4.3 -0.0 1.9 -4.2 -2.1 -1.0 -4.9 2.3 -0.4 -3.7 -6.3 -5.4 -7.0 BITCOIN 4.6 9.7 2.3 3.5 -4.5 1.7 -0.7 0.4 2.8 -11.4 -15.3 4.9 -15.9 -6.6 -9.4 1.9 -0.7 1.1 0.4 -8.0 -17.0 -1.6 -20.0 -2.6 20.0 -0.0 -4.6 -3.2 -6.3 -1.1 -6.2 -2.2 2.1 2.6 -3.6 -20.0 -20.0 BOBL 4.9 16.0 -6.7 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -13.6 -12.1 -10.9 -13.0 -1.8 -10.2 3.0 16.6 14.9 18.4 -6.9 -15.7 -20.0 -20.0 -7.7 13.8 -0.0 -2.6 -13.1 -7.0 -9.0 -12.0 -3.3 20.0 -20.0 -15.7 -12.8 -8.5 BTP -2.0 20.0 15.2 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -13.9 -2.4 -10.2 -10.7 5.4 5.6 11.0 14.8 16.3 17.2 5.7 -3.2 -20.0 -15.5 -1.4 4.9 -0.0 1.6 -11.9 -2.1 -7.2 -7.4 -0.7 20.0 -20.0 -13.5 7.3 12.5 BUND 4.1 20.0 -3.4 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -14.0 -9.4 -10.6 -12.3 3.7 -5.4 14.8 16.1 14.1 15.1 -3.0 -13.9 -19.8 -20.0 -4.5 10.7 -0.0 -1.1 -12.3 -5.6 -7.8 -10.4 -1.9 20.0 -20.0 -12.6 -4.7 -6.9 BUXL 12.1 20.0 5.5 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -13.9 -4.9 -7.5 -11.0 7.9 3.4 5.4 -1.4 5.4 2.8 6.5 -7.6 -18.0 -20.0 3.7 6.1 -0.0 1.4 -10.7 -2.5 -5.6 -6.2 0.5 -1.3 -20.0 1.3 8.7 2.3 CAC -14.2 20.0 11.5 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -13.6 11.0 -9.6 -0.4 7.8 13.1 -0.5 3.7 0.4 1.7 14.6 12.2 -16.7 5.4 1.9 -15.3 -0.0 3.5 -8.7 2.9 -5.4 1.1 -0.0 7.4 -1.2 0.7 12.8 16.2 CAD -11.3 11.9 -9.5 2.8 -1.5 -0.6 0.8 -3.7 3.2 -9.8 -9.7 -13.0 -11.1 -7.4 -7.0 -2.0 -1.0 -1.8 -1.4 -7.6 -11.1 -10.2 -12.3 -8.6 7.8 -0.0 -3.9 -3.9 -6.1 -4.7 -7.1 -4.0 1.3 -11.3 -20.0 -20.0 -18.4 CANOLA 9.1 2.5 0.0 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 -2.0 -9.8 9.9 -3.1 0.8 4.4 11.8 13.4 10.7 10.0 -2.0 -6.3 1.9 -0.9 1.2 6.6 -0.0 -1.2 -3.0 -1.1 0.1 1.7 -0.5 -1.7 8.3 7.5 -4.9 10.8 CHF 11.0 20.0 11.4 2.8 -1.5 -0.6 0.8 -3.7 3.2 2.5 6.3 10.2 -4.6 14.7 12.8 -12.0 -11.6 -12.1 -12.2 16.0 6.1 10.1 -3.4 17.2 -6.7 -0.0 4.3 0.7 0.9 2.9 -2.6 4.8 -17.1 11.2 5.3 4.3 8.1 COCOA 0.9 18.9 10.1 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 -6.2 1.2 2.7 -8.0 10.3 10.9 -1.4 -3.1 -0.5 -1.3 9.1 3.8 -0.1 -3.9 6.3 -2.7 -0.0 3.6 -3.0 1.8 -1.0 -1.4 1.8 -20.0 6.6 11.4 20.0 15.9 COFFEE 18.0 -15.2 -20.0 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 0.6 -12.9 3.7 -8.1 -7.1 -13.3 -0.4 4.0 3.2 4.9 -19.3 -20.0 1.8 -12.2 -6.0 11.0 -0.0 -4.9 -0.4 -5.6 0.5 -2.9 -1.6 -13.0 12.3 19.9 -20.0 -20.0 COPPER 8.5 20.0 16.0 3.5 -4.5 1.7 -0.7 0.4 2.8 -13.3 -6.0 5.4 -8.7 8.4 8.6 -1.2 -0.0 -0.4 -0.2 10.5 0.9 -0.4 -8.1 8.8 14.3 -0.0 4.3 -3.4 1.2 -0.4 -1.5 3.3 2.2 -0.9 3.4 4.7 0.8 CORN -15.6 -18.6 9.1 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 4.3 0.1 -10.2 4.7 -13.9 -4.3 20.0 14.8 18.0 15.6 -10.3 -0.0 -6.9 14.4 -13.5 -11.6 -0.0 -4.7 -0.7 -1.2 -2.4 4.0 -5.1 4.3 6.3 -6.3 -16.3 3.6 COTTON2 4.0 4.6 -20.0 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 7.4 -11.2 1.8 -1.4 5.7 -9.2 1.7 16.0 5.4 11.3 -9.5 -14.8 2.5 -5.5 -2.1 0.1 -0.0 -1.9 5.4 -3.5 2.0 1.6 0.7 3.6 6.2 17.5 13.2 -20.0 CRUDE_W -9.0 -2.0 -4.5 -3.9 0.2 -1.9 -0.6 3.1 -3.3 -3.0 -6.2 -7.8 2.6 -9.8 1.9 5.9 13.0 7.5 10.1 -5.3 -3.0 -7.1 4.5 -7.8 -1.6 -0.0 -2.4 -2.5 -0.1 -3.6 5.8 -4.0 -20.0 -17.1 5.6 11.2 11.5 DAX -19.5 20.0 16.3 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -13.4 8.6 -10.7 -4.3 9.2 13.0 -6.1 -2.1 -4.6 -3.4 15.7 10.7 -15.2 -1.1 3.0 -11.6 -0.0 3.7 -7.0 2.7 -4.4 -0.4 0.3 -1.9 -3.7 -4.3 20.0 20.0 DOW -12.9 20.0 10.0 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -13.5 7.4 -11.7 -1.1 5.1 11.2 -5.4 -2.2 -4.9 -4.0 11.1 8.1 -15.7 0.9 0.3 -6.4 -0.0 3.0 -8.7 2.1 -5.1 0.4 -0.2 -2.6 1.3 -1.2 11.6 10.7 EUR 14.0 20.0 20.0 2.8 -1.5 -0.6 0.8 -3.7 3.2 5.3 1.2 12.1 -9.7 15.3 14.6 -7.4 -8.3 -7.6 -8.1 19.7 4.7 13.0 -11.9 20.0 2.0 -0.0 4.7 1.1 0.2 3.5 -5.0 5.4 -10.8 11.4 10.1 6.1 15.2 EUROSTX -17.3 20.0 15.4 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -13.2 10.5 -8.2 -1.9 10.0 13.5 6.8 3.2 2.9 2.3 16.4 12.6 -14.2 3.2 4.3 -17.6 -0.0 4.1 -7.4 3.3 -4.3 0.8 0.7 7.1 -2.5 1.6 20.0 20.0 FEEDCOW 8.6 8.7 -7.2 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 -3.6 0.3 6.5 -1.4 9.1 0.9 -17.5 -20.0 -18.5 -20.0 3.8 -0.5 2.0 -2.0 6.1 -12.0 -0.0 2.5 -2.9 -0.3 1.0 -1.0 3.7 -20.0 -2.9 20.0 17.6 -4.4 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 -10.7 -19.7 -13.6 -3.9 0.2 -1.9 -0.6 3.1 -3.3 4.2 -4.0 -0.5 9.5 -8.0 -7.9 20.0 20.0 20.0 20.0 -10.5 -1.5 -1.1 12.0 -10.3 -5.2 -0.0 -3.8 0.9 -0.9 -0.4 4.1 -3.7 4.6 -5.1 -4.8 -8.8 7.5 GASOILINE -17.3 -11.4 -15.0 -3.9 0.2 -1.9 -0.6 3.1 -3.3 2.8 -11.4 -6.6 3.0 -11.3 -9.0 -2.5 20.0 9.7 20.0 -13.7 -7.5 -7.2 5.9 -14.6 -5.1 -0.0 -3.9 0.7 -0.9 -1.9 5.8 -4.4 0.0 -7.8 0.7 5.3 7.0 GAS_US -1.8 3.4 -20.0 -3.9 0.2 -1.9 -0.6 3.1 -3.3 -2.7 -9.1 -4.5 -0.0 -3.8 -10.3 9.9 -8.2 -5.4 -8.4 -7.9 -7.0 -6.3 0.0 -5.7 -11.8 -0.0 -1.1 -6.2 0.1 -2.1 4.9 -0.8 -20.0 6.3 15.4 20.0 3.4 GBP 10.6 20.0 20.0 2.8 -1.5 -0.6 0.8 -3.7 3.2 -12.3 2.5 5.6 -7.0 13.2 13.0 -2.1 -1.5 -2.0 -1.9 15.5 3.0 3.1 -9.4 14.7 12.7 -0.0 3.1 -3.1 -2.3 0.6 -7.0 4.0 0.4 -3.5 5.3 -0.9 -4.6 GOLD_micro 8.0 20.0 8.9 3.5 -4.5 1.7 -0.7 0.4 2.8 -3.5 -3.9 5.9 -9.3 12.9 10.5 -10.4 -8.2 -10.3 -9.6 11.2 1.1 4.2 -6.1 11.6 10.3 -0.0 3.8 -0.9 0.7 1.3 -1.3 3.9 -12.8 8.1 1.8 5.8 -5.6 HEATOIL -14.0 -17.1 -17.8 -3.9 0.2 -1.9 -0.6 3.1 -3.3 2.8 -4.5 -0.2 8.6 -7.1 -5.8 20.0 20.0 20.0 20.0 -9.5 -1.4 -2.0 11.1 -9.6 -13.5 -0.0 -3.3 -0.3 0.6 -0.5 7.7 -3.4 13.7 1.8 -2.9 -1.7 9.0 JPY 12.1 20.0 20.0 2.8 -1.5 -0.6 0.8 -3.7 3.2 -4.0 -5.5 4.5 -12.7 11.0 7.4 -11.3 -10.3 -11.9 -11.7 9.8 -4.2 3.3 -18.2 11.5 12.8 -0.0 3.1 -0.9 -1.9 1.1 -7.5 3.8 -15.5 -6.5 5.7 6.5 -3.6 LEANHOG -17.5 -0.8 -3.5 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 5.0 0.4 -6.6 -0.7 -6.3 5.9 -20.0 20.0 -8.4 16.9 -1.8 0.6 -3.9 2.8 -5.9 -4.8 -0.0 -1.7 3.6 -0.6 -1.7 1.0 -3.2 16.7 -14.8 -6.8 1.6 2.5 LIVECOW -2.2 1.1 7.0 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 9.3 8.3 6.7 -0.6 5.0 7.8 -20.0 -20.0 -20.0 -20.0 5.3 4.9 4.5 1.3 4.2 -20.0 -0.0 3.3 3.3 3.8 2.5 3.0 2.5 -20.0 5.4 14.4 12.0 11.8 MXP -19.4 -1.2 4.5 2.8 -1.5 -0.6 0.8 -3.7 3.2 -4.7 13.1 -9.9 14.6 0.0 8.1 17.4 20.0 18.4 19.2 6.6 11.8 -6.7 12.9 -2.0 -20.0 -0.0 3.4 -2.3 4.9 -2.9 4.6 -0.6 20.0 -7.1 -19.8 -12.6 20.0 NASDAQ -1.8 11.0 -5.2 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -13.5 -9.1 -11.8 -12.1 2.0 -6.5 -4.8 -3.2 -4.6 -4.2 -3.3 -8.6 -15.3 -12.5 -5.5 8.9 -0.0 -0.8 -11.9 -3.4 -6.9 -4.7 -1.9 -3.6 2.5 2.3 -10.1 -10.2 NIKKEI -12.7 7.0 0.2 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -14.1 5.9 -15.4 1.6 -3.9 5.0 10.1 8.7 7.5 8.5 1.9 4.2 -15.2 2.6 -7.6 -8.4 -0.0 -0.4 -6.3 -0.3 -10.3 -0.9 -5.7 17.7 14.8 -3.6 -10.0 1.5 NZD 12.9 20.0 12.3 2.8 -1.5 -0.6 0.8 -3.7 3.2 -4.3 2.3 8.4 -7.5 13.9 11.8 -0.3 0.4 -0.6 -0.3 19.1 5.0 8.1 -7.5 19.7 0.6 -0.0 4.3 -0.6 0.6 1.9 -2.6 4.7 3.4 4.5 13.0 16.1 5.1 OAT 2.8 20.0 5.5 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -14.0 -6.4 -10.2 -11.4 5.0 -0.5 12.2 12.4 13.2 13.5 1.4 -8.7 -20.0 -19.1 -2.6 10.9 -0.0 0.1 -11.7 -4.3 -7.3 -9.5 -1.2 20.0 -20.0 -11.1 1.8 -0.8 OJ -10.4 -4.8 17.1 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 -0.3 13.3 3.1 14.1 2.8 11.7 13.4 12.1 15.2 15.3 14.7 20.0 4.3 20.0 6.2 -20.0 -0.0 4.5 2.5 8.5 1.2 10.1 1.3 2.7 17.6 12.1 13.4 20.0 PALLAD -4.5 -5.5 -7.2 3.5 -4.5 1.7 -0.7 0.4 2.8 -13.3 -11.7 -12.7 -7.7 -11.3 -12.3 -1.5 -1.3 -1.6 -1.5 -12.0 -9.4 -20.0 -7.1 -14.5 4.8 -0.0 -3.8 -15.8 -2.6 -9.5 -1.7 -5.2 0.0 -20.0 -20.0 -20.0 -14.4 PLAT -4.8 14.2 18.9 3.5 -4.5 1.7 -0.7 0.4 2.8 -12.0 8.9 -6.9 -1.8 7.0 11.7 -0.9 -0.4 -0.2 -0.2 10.9 9.1 -5.5 2.1 4.2 -3.8 -0.0 4.9 -5.5 3.4 -1.6 0.2 2.5 2.0 -4.3 -0.1 2.5 13.2 REDWHEAT -19.7 -16.0 -5.1 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 -0.8 -12.4 -9.4 -5.4 -12.8 -9.2 6.2 0.5 4.1 2.5 -16.3 -11.3 -10.9 -2.5 -17.5 -9.7 -0.0 -4.7 -2.1 -1.8 -3.4 2.2 -5.4 -18.8 3.8 -14.4 -14.7 5.1 ROBUSTA 20.0 -14.1 -20.0 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 -9.3 -10.9 11.7 -4.6 0.8 -10.8 13.5 7.7 10.5 8.8 -12.7 -18.0 5.0 -7.5 2.1 -0.3 -0.0 -2.5 -0.9 -3.8 1.2 -1.6 0.8 -7.2 9.9 20.0 -12.0 -20.0 RUSSELL -11.4 7.3 1.9 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -13.8 -3.8 -13.4 -10.3 -4.3 -1.4 -4.6 -2.4 -4.1 -3.5 -2.1 -2.7 -18.3 -6.9 -9.0 -3.3 -0.0 -1.0 -12.9 -0.9 -9.2 -2.1 -4.4 -2.3 0.0 -7.6 -9.9 -1.4 SILVER-mini 11.5 20.0 20.0 3.5 -4.5 1.7 -0.7 0.4 2.8 -0.7 3.4 8.8 -5.8 12.9 13.2 -4.3 -3.4 -4.2 -3.9 18.2 8.5 8.8 -2.3 18.1 11.1 -0.0 5.3 -1.3 2.2 2.2 -1.3 5.0 -3.8 13.6 20.0 16.6 17.9 SOYBEAN 1.8 5.7 3.7 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 -8.6 0.3 3.5 4.4 9.2 11.2 20.0 20.0 20.0 20.0 4.7 3.9 -0.7 7.0 3.0 -20.0 -0.0 3.5 -4.3 5.6 -1.3 10.7 1.3 19.4 10.4 15.1 15.4 13.9 SOYMEAL 20.0 14.4 3.8 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 -7.7 6.3 8.1 9.2 10.7 9.5 8.9 13.8 11.0 13.2 18.4 10.7 13.7 7.5 20.0 -20.0 -0.0 5.2 -0.7 3.6 3.5 3.2 6.0 2.5 20.0 20.0 20.0 20.0 SOYOIL -20.0 -9.9 0.1 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 10.7 0.3 -7.8 5.3 -8.8 -4.4 11.4 20.0 17.7 20.0 -8.0 1.1 -9.7 7.5 -16.5 -20.0 -0.0 -1.5 0.9 1.6 -2.3 3.9 -4.0 14.6 5.3 -20.0 3.1 17.3 SP400 -10.9 14.4 3.7 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -13.7 1.6 -13.2 -5.4 0.5 5.6 -3.3 -1.6 -1.9 -1.6 3.7 2.3 -17.5 -2.1 -4.9 -7.2 -0.0 1.3 -11.6 1.2 -7.6 0.2 -2.3 0.0 1.3 -5.3 -1.4 4.9 SP500 -5.3 15.0 -0.8 1.0 -10.6 -0.3 -6.5 -1.7 -1.4 -13.6 -3.5 -12.1 -8.2 2.2 1.1 -5.2 -3.3 -4.8 -4.2 2.0 -2.1 -16.0 -6.2 -3.6 4.2 -0.0 1.0 -12.1 -1.2 -7.1 -3.2 -1.4 -3.6 1.2 0.8 -2.0 -2.5 SUGAR11 -1.3 18.7 12.3 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 9.6 7.0 7.3 2.7 11.8 11.0 20.0 20.0 20.0 20.0 14.0 10.0 12.8 5.2 12.9 -20.0 -0.0 5.5 4.4 4.2 4.5 2.6 5.0 20.0 20.0 20.0 20.0 20.0 US10 20.0 20.0 5.2 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -1.2 -7.5 9.0 -12.5 13.5 -0.4 -8.6 0.3 -6.3 -4.0 5.5 -10.8 6.6 -20.0 12.5 -6.4 -0.0 2.1 -1.2 -3.1 2.0 -7.3 4.1 -4.7 15.5 13.2 6.7 1.7 US10U 20.0 20.0 4.8 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -4.7 -7.1 6.8 -12.3 12.6 -0.0 1.3 4.8 0.9 1.9 6.1 -10.2 6.1 -20.0 13.0 -8.0 -0.0 2.3 -1.5 -2.6 1.8 -6.3 4.1 4.3 14.0 14.9 7.7 2.9 US20 20.0 20.0 2.2 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -5.7 -5.9 9.5 -11.7 14.1 1.7 -2.1 2.3 0.1 1.1 8.8 -9.8 9.6 -20.0 17.8 -7.4 -0.0 2.5 -1.3 -2.1 2.3 -5.0 4.6 1.3 19.1 20.0 10.4 2.4 US30 20.0 20.0 7.5 0.6 -6.0 -3.7 -1.9 -7.1 1.5 -9.2 -5.8 7.5 -13.0 12.5 2.8 0.3 0.4 -0.6 -0.5 8.8 -10.0 7.9 -20.0 17.1 -5.5 -0.0 2.8 -1.8 -1.8 2.0 -5.1 4.7 -1.7 15.9 20.0 10.8 8.7 US5 20.0 20.0 5.6 0.6 -6.0 -3.7 -1.9 -7.1 1.5 3.6 -7.7 11.3 -12.9 14.1 -0.7 -5.5 1.6 -5.2 -3.4 4.7 -12.0 8.7 -20.0 12.9 -4.1 -0.0 1.9 -0.0 -3.6 2.8 -8.6 4.3 -3.1 19.2 13.5 5.8 0.9 VIX -5.4 -18.0 -4.5 -4.5 0.7 -3.0 -1.5 -1.9 -4.0 7.5 -12.8 -3.6 -10.7 -12.4 -13.3 -20.0 -19.9 -18.8 -17.0 -15.9 -12.4 -3.8 -8.9 -12.7 NaN -0.0 -5.5 0.9 -3.9 -1.5 -2.5 -4.6 NaN NaN NaN NaN NaN WHEAT -20.0 -20.0 -10.7 -4.7 -4.1 -4.0 -4.8 -0.7 -5.2 5.3 -13.6 -9.7 -8.5 -13.8 -10.3 -6.8 -4.4 -5.5 -4.8 -20.0 -17.7 -11.5 -7.6 -20.0 -7.0 -0.0 -5.2 -0.9 -2.8 -2.8 0.7 -5.4 -20.0 2.9 -14.6 -19.0 -0.5 End of report for caleb_strategy_v1