******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221220_204340 produced at 2022-12-20 21:35:34.852737 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 9176751.15 -9176751.15 -0.21 -0.21 -27.31 999999999 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.13 0.0 22181009.38 -22181009.38 -0.11 -0.11 -5.69 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.10 0.0 32965028.40 -32965028.40 -0.10 -0.10 -2.88 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 40443412.38 -40443412.38 0.00 0.00 -1.99 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.08 0.0 38753397.83 -38753397.83 -0.12 -0.12 -2.10 999999999 -3 -3 caleb_strategy_v1 CHF False False 0.05 -0.05 -0.06 0.0 48527640.12 -48527640.12 -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 -1.74 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.04 0.0 26236598.82 -26236598.82 0.00 0.00 -1.55 999999999 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.03 0.0 45627608.57 -45627608.57 -0.09 -0.09 -0.63 999999999 -2 -2 caleb_strategy_v1 US10U False False 0.04 0.00 -0.03 0.0 42670779.16 -42670779.16 0.00 0.00 -0.68 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.03 0.0 3137023.38 -3137023.38 -0.01 -0.00 -10.46 999999999 -2 -1 caleb_strategy_v1 DAX False False 0.01 0.01 -0.02 0.0 5291058.09 -5291058.09 0.01 0.01 -3.73 999999999 1 1 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 26204524.74 -26204524.74 -0.05 -0.05 -0.64 999999999 -2 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 79648854.30 -79648854.30 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 86243641.87 -86243641.87 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.02 0.0 34221263.27 -34221263.27 -0.10 -0.10 -0.47 999999999 -3 -3 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13907678.20 -13907678.20 -0.03 -0.03 -0.69 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 0.00 -0.01 0.0 49458679.44 -49458679.44 0.00 0.00 -0.30 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6511038.58 -6511038.58 0.00 0.00 -0.89 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68598442.21 -68598442.21 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.01 0.0 14967904.79 -14967904.79 -0.01 -0.01 -0.39 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.02 -0.01 0.0 5885059.42 -5885059.42 0.02 0.01 -1.39 999999999 4 2 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 8891648.20 -8891648.20 0.00 0.00 -1.47 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.01 -0.00 0.0 13128990.77 -13128990.77 0.01 0.01 -0.00 999999999 1 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13657143.98 -13657143.98 0.00 0.00 0.12 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6667845.20 -6667845.20 0.00 0.00 -0.53 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47596600.81 -47596600.81 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 23859552.99 -23859552.99 -0.05 -0.05 -0.10 999999999 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.00 0.0 18649296.61 -18649296.61 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10624539.56 -10624539.56 0.02 0.02 0.36 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 600854.46 -600854.46 0.00 0.00 6.81 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.17 0.00 0.0 55056064.64 -55056064.64 0.17 0.17 0.05 999999999 3 3 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10950626.06 -10950626.06 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 -0.00 0.0 33495177.33 -33495177.33 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22565452.89 -22565452.89 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.00 0.0 15682444.05 -15682444.05 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 61528780.04 -61528780.04 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18043452.84 -18043452.84 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14428094.46 -14428094.46 0.00 0.00 0.65 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.02 0.01 0.0 24442243.95 -24442243.95 0.02 0.02 0.27 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4459593.90 -4459593.90 0.00 0.00 1.62 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.01 0.0 8866701.69 -8866701.69 0.03 0.03 1.47 999999999 3 3 caleb_strategy_v1 NZD False False 0.02 0.05 0.01 0.0 22633610.31 -22633610.31 0.05 0.05 0.56 999999999 2 2 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 27156055.83 -27156055.83 0.05 0.05 0.67 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8230351.91 -8230351.91 0.02 0.02 2.07 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 30648566.95 -30648566.95 0.00 0.00 0.75 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 21716826.14 -21716826.14 0.00 0.00 0.76 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 33900522.45 -33900522.45 0.03 0.03 0.50 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41944775.02 -41944775.02 0.04 0.04 0.79 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15741246.54 -15741246.54 0.06 0.06 1.63 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.03 0.0 44049047.00 -44049047.00 0.04 0.04 0.72 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 49259096.18 -49259096.18 0.00 0.00 0.96 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.11 0.0 24741590.24 -24741590.24 0.02 0.02 4.27 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.16 0.0 0.00 0.00 0.00 0.00 22.05 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.05 0.17 0.0 51419715.63 -51419715.63 0.05 0.05 3.37 999999999 1 1 caleb_strategy_v1 BOBL False False 0.04 0.22 0.28 0.0 44245399.57 -44245399.57 0.22 0.22 6.22 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 9.2 Shocked risk 30.9 Sum abs risk 33.2 Leverage 2.08 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2806003.95, 'annual_cash_vol_target': 701500.9875, 'daily_cash_vol_target': 43843.81171875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0064 0.6695 0.9565 15.3047 BITCOIN 796.7511 16860.0000 4.7257 75.6110 BOBL 0.4059 116.9300 0.3472 5.5545 BTP 1.0138 110.8500 0.9146 14.6338 BUND 0.8250 135.8900 0.6071 9.7140 BUXL 2.0995 145.5000 1.4429 23.0871 CAC 60.7376 6459.5000 0.9403 15.0445 CAD 0.0040 0.7353 0.5455 8.7282 CANOLA 9.7160 851.6000 1.1409 18.2547 CHF 0.0065 1.0894 0.5960 9.5358 COCOA 31.0067 2495.0000 1.2428 19.8841 COFFEE 0.0378 1.6885 2.2367 35.7865 COPPER 0.0564 3.8050 1.4820 23.7124 CORN 4.0166 596.2500 0.6736 10.7784 COTTON2 0.0187 0.8801 2.1218 33.9492 CRUDE_W 1.2887 73.6200 1.7504 28.0070 DAX 143.0263 13983.0000 1.0229 16.3657 DOW 341.1379 33027.0000 1.0329 16.5265 EUR 0.0063 1.0684 0.5931 9.4889 EUROSTX 42.0948 3813.0000 1.1040 17.6637 FEEDCOW 1.2464 185.0000 0.6737 10.7793 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.2807 860.0000 2.5908 41.4525 GASOILINE 0.0499 2.2378 2.2291 35.6658 GAS_US 0.2926 5.2330 5.5922 89.4752 GBP 0.0102 1.2192 0.8352 13.3635 GOLD_micro 17.2407 1827.0000 0.9437 15.0985 HEATOIL 0.0716 2.9429 2.4326 38.9214 JPY 0.0001 0.0077 1.0911 17.4579 LEANHOG 1.5400 92.1000 1.6721 26.7536 LIVECOW 0.8907 155.6000 0.5724 9.1592 MXP 0.0004 0.0498 0.7464 11.9425 NASDAQ 180.4121 11174.7500 1.6145 25.8314 NIKKEI 250.0861 27220.0000 0.9188 14.7001 NZD 0.0056 0.6351 0.8791 14.0650 OAT 0.8748 130.1800 0.6720 10.7522 OJ 0.0329 2.0485 1.6038 25.6614 PALLAD 48.9153 1726.5000 2.8332 45.3313 PLAT 19.1056 1012.6000 1.8868 30.1885 REDWHEAT 13.8989 840.0000 1.6546 26.4741 ROBUSTA 20.0573 1871.0000 1.0720 17.1522 RUSSELL 25.9124 1760.5000 1.4719 23.5500 SILVER-mini 0.4885 24.3750 2.0043 32.0686 SOYBEAN 11.0272 1388.5000 0.7942 12.7069 SOYMEAL 6.6856 441.7000 1.5136 24.2175 SOYOIL 1.1181 63.8700 1.7507 28.0106 SP400 31.8393 2420.0000 1.3157 21.0508 SP500 48.2358 3849.7500 1.2530 20.0473 SUGAR11 0.0026 0.2062 1.2446 19.9134 US10 0.5276 113.4844 0.4649 7.4386 US10U 0.7461 119.7344 0.6231 9.9695 US20 1.0763 128.0312 0.8407 13.4508 US30 1.7221 138.7812 1.2409 19.8536 US5 0.3453 108.7422 0.3176 5.0810 VIX 0.5350 25.7500 2.0776 33.2416 WHEAT 10.8840 780.5000 1.3945 22.3118 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 669.50 0.96 640.40 1.00 640.40 43843.81 68.46 -0.89 -6.11 BITCOIN 16.86 4.73 79.68 1.00 79.68 43843.81 550.28 5.25 289.00 BOBL 1169.30 0.35 405.93 1.06 430.52 43843.81 101.84 8.47 86.22 BTP 1108.50 0.91 1013.85 1.06 1075.26 43843.81 40.78 9.53 38.87 BUND 1358.90 0.61 825.02 1.06 875.00 43843.81 50.11 9.31 46.67 BUXL 1455.00 1.44 2099.48 1.06 2226.66 43843.81 19.69 0.29 0.57 CAC 645.95 0.94 607.38 1.06 644.17 43843.81 68.06 1.41 9.58 CAD 735.30 0.55 401.11 1.00 401.11 43843.81 109.31 -3.28 -35.89 CANOLA 170.32 1.14 194.32 0.73 142.22 43843.81 308.27 5.72 176.29 CHF 1361.69 0.60 811.55 1.00 811.55 43843.81 54.02 -6.40 -34.56 COCOA 249.50 1.24 310.07 1.00 310.07 43843.81 141.40 -4.79 -67.68 COFFEE 633.19 2.24 1416.22 1.00 1416.22 43843.81 30.96 -4.32 -13.36 COPPER 951.25 1.48 1409.78 1.00 1409.78 43843.81 31.10 5.84 18.18 CORN 298.12 0.67 200.83 1.00 200.83 43843.81 218.31 1.85 40.31 COTTON2 440.05 2.12 933.71 1.00 933.71 43843.81 46.96 0.71 3.33 CRUDE_W 736.20 1.75 1288.67 1.00 1288.67 43843.81 34.02 -3.44 -11.72 DAX 139.83 1.02 143.03 1.06 151.69 43843.81 289.04 -2.38 -68.71 DOW 165.14 1.03 170.57 1.00 170.57 43843.81 257.04 -1.90 -48.93 EUR 1335.56 0.59 792.06 1.00 792.06 43843.81 55.35 -0.32 -1.77 EUROSTX 381.30 1.10 420.95 1.06 446.45 43843.81 98.21 2.34 22.98 FEEDCOW 925.00 0.67 623.18 1.00 623.18 43843.81 70.36 -15.25 -107.30 FTSE100 707.00 0.82 576.59 1.21 666.67 43843.81 65.77 -2.56 -16.86 GASOIL 860.00 2.59 2228.07 1.00 2228.07 43843.81 19.68 5.37 10.58 GASOILINE 939.88 2.23 2095.09 1.00 2095.09 43843.81 20.93 -1.08 -2.25 GAS_US 523.30 5.59 2926.40 1.00 2926.40 43843.81 14.98 -10.31 -15.44 GBP 762.00 0.84 636.44 1.00 636.44 43843.81 68.89 5.41 37.28 GOLD_micro 182.70 0.94 172.41 1.00 172.41 43843.81 254.30 -1.56 -39.64 HEATOIL 1236.02 2.43 3006.72 1.00 3006.72 43843.81 14.58 6.96 10.15 JPY 960.25 1.09 1047.75 1.00 1047.75 43843.81 41.85 -1.73 -7.26 LEANHOG 368.40 1.67 616.00 1.00 616.00 43843.81 71.17 -0.01 -0.04 LIVECOW 622.40 0.57 356.29 1.00 356.29 43843.81 123.06 -17.22 -211.91 MXP 248.80 0.75 185.71 1.00 185.71 43843.81 236.09 5.07 119.77 NASDAQ 2234.95 1.61 3608.24 1.00 3608.24 43843.81 12.15 -4.46 -5.42 NIKKEI 27220.00 0.92 25008.61 0.01 183.09 43843.81 239.46 4.85 116.10 NZD 635.10 0.88 558.29 1.00 558.29 43843.81 78.53 4.46 35.02 OAT 1301.80 0.67 874.82 1.06 927.82 43843.81 47.25 10.02 47.35 OJ 307.28 1.60 492.82 1.00 492.82 43843.81 88.97 -2.60 -23.09 PALLAD 1726.50 2.83 4891.53 1.00 4891.53 43843.81 8.96 -3.29 -2.95 PLAT 506.30 1.89 955.28 1.00 955.28 43843.81 45.90 2.58 11.84 REDWHEAT 420.00 1.65 694.94 1.00 694.94 43843.81 63.09 -11.62 -73.33 ROBUSTA 187.10 1.07 200.57 1.00 200.57 43843.81 218.59 -1.88 -41.07 RUSSELL 88.02 1.47 129.56 1.00 129.56 43843.81 338.40 -5.97 -201.96 SILVER-mini 609.38 2.00 1221.36 1.00 1221.36 43843.81 35.90 9.41 33.77 SOYBEAN 694.25 0.79 551.36 1.00 551.36 43843.81 79.52 9.11 72.45 SOYMEAL 441.70 1.51 668.56 1.00 668.56 43843.81 65.58 4.22 27.66 SOYOIL 383.22 1.75 670.89 1.00 670.89 43843.81 65.35 1.99 12.98 SP400 2420.00 1.32 3183.93 1.00 3183.93 43843.81 13.77 -3.46 -4.77 SP500 1924.88 1.25 2411.79 1.00 2411.79 43843.81 18.18 -3.40 -6.18 SUGAR11 230.94 1.24 287.43 1.00 287.43 43843.81 152.54 10.02 152.83 US10 1134.84 0.46 527.61 1.00 527.61 43843.81 83.10 -6.23 -51.79 US10U 1197.34 0.62 746.06 1.00 746.06 43843.81 58.77 -0.79 -4.64 US20 1280.31 0.84 1076.33 1.00 1076.33 43843.81 40.73 -2.10 -8.55 US30 1387.81 1.24 1722.07 1.00 1722.07 43843.81 25.46 -1.39 -3.54 US5 1087.42 0.32 345.33 1.00 345.33 43843.81 126.96 -4.30 -54.62 VIX 257.50 2.08 534.98 1.00 534.98 43843.81 81.95 -17.68 -144.91 WHEAT 390.25 1.39 544.20 1.00 544.20 43843.81 80.57 -16.05 -129.29 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -6.113 0.006 2.5 -0.098 BITCOIN 289.000 0.009 2.5 6.809 BOBL 86.224 0.029 2.5 6.222 BTP 38.870 0.008 2.5 0.785 BUND 46.666 0.029 2.5 3.367 BUXL 0.572 0.034 2.5 0.048 CAC 9.581 0.011 2.5 0.269 CAD -35.889 0.007 2.5 -0.641 CANOLA 176.289 0.004 2.5 1.618 CHF -34.557 0.015 2.5 -1.293 COCOA -67.676 0.009 2.5 -1.474 COFFEE -13.364 0.005 2.5 -0.173 COPPER 18.175 0.011 2.5 0.497 CORN 40.309 0.004 2.5 0.364 COTTON2 3.332 0.006 2.5 0.050 CRUDE_W -11.719 0.053 2.5 -1.548 DAX -68.713 0.022 2.5 -3.732 DOW -48.928 0.011 2.5 -1.394 EUR -1.769 0.015 2.5 -0.066 EUROSTX 22.980 0.011 2.5 0.646 FEEDCOW -107.295 0.011 2.5 -2.883 FTSE100 -16.856 0.041 2.5 -1.738 GASOIL 10.576 0.029 2.5 0.754 GASOILINE -2.253 0.016 2.5 -0.093 GAS_US -15.445 0.006 2.5 -0.233 GBP 37.279 0.007 2.5 0.666 GOLD_micro -39.644 0.009 2.5 -0.887 HEATOIL 10.150 0.029 2.5 0.724 JPY -7.257 0.026 2.5 -0.470 LEANHOG -0.036 0.019 2.5 -0.002 LIVECOW -211.908 0.011 2.5 -5.694 MXP 119.767 0.005 2.5 1.466 NASDAQ -5.421 0.022 2.5 -0.294 NIKKEI 116.099 0.076 2.5 22.051 NZD 35.015 0.006 2.5 0.559 OAT 47.347 0.008 2.5 0.956 OJ -23.092 0.007 2.5 -0.403 PALLAD -2.945 0.010 2.5 -0.071 PLAT 11.842 0.010 2.5 0.285 REDWHEAT -73.327 0.002 2.5 -0.391 ROBUSTA -41.074 0.005 2.5 -0.533 RUSSELL -201.960 0.021 2.5 -10.461 SILVER-mini 33.769 0.009 2.5 0.756 SOYBEAN 72.451 0.024 2.5 4.272 SOYMEAL 27.659 0.024 2.5 1.631 SOYOIL 12.981 0.004 2.5 0.119 SP400 -4.769 0.021 2.5 -0.247 SP500 -6.181 0.011 2.5 -0.176 SUGAR11 152.832 0.005 2.5 2.074 US10 -51.794 0.015 2.5 -1.987 US10U -4.640 0.058 2.5 -0.676 US20 -8.550 0.029 2.5 -0.630 US30 -3.545 0.034 2.5 -0.298 US5 -54.621 0.015 2.5 -2.095 VIX -144.910 0.075 2.5 -27.308 WHEAT -129.295 0.002 2.5 -0.690 ==================== Position diags ==================== AUD 1.09 BITCOIN 12.97 BOBL 7.35 BTP 0.82 BUND 3.62 BUXL 1.65 CAC 1.91 CAD 1.95 CANOLA 2.83 CHF 2.02 COCOA 3.08 COFFEE 0.40 COPPER 0.85 CORN 1.97 COTTON2 0.71 CRUDE_W 4.49 DAX 15.70 DOW 7.33 EUR 2.07 EUROSTX 2.76 FEEDCOW 1.89 FTSE100 6.78 GASOIL 1.40 GASOILINE 0.86 GAS_US 0.23 GBP 1.23 GOLD_micro 5.69 HEATOIL 1.04 JPY 2.71 LEANHOG 3.33 LIVECOW 3.31 MXP 2.89 NASDAQ 0.66 NIKKEI 45.48 NZD 1.25 OAT 0.95 OJ 1.55 PALLAD 0.22 PLAT 1.10 REDWHEAT 0.34 ROBUSTA 2.83 RUSSELL 17.53 SILVER-mini 0.80 SOYBEAN 4.69 SOYMEAL 3.87 SOYOIL 0.60 SP400 0.71 SP500 0.52 SUGAR11 2.07 US10 3.19 US10U 8.56 US20 3.00 US30 2.14 US5 4.87 VIX 15.44 WHEAT 0.43 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 6.8 5.5 8.1 NaN 0 BOBL 6.2 5.5 7.0 5.0 5 BTP 0.8 0.7 0.9 1.0 1 BUND 3.4 3.0 3.7 1.0 1 BUXL 0.0 -0.1 0.2 3.0 3 CAC 0.3 0.1 0.5 1.0 1 CAD -0.6 -0.8 -0.4 -2.0 -2 CANOLA 1.6 1.3 1.9 NaN 0 CHF -1.3 -1.5 -1.1 -1.0 -1 COCOA -1.5 -1.8 -1.2 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 1.0 1 CORN 0.4 0.2 0.6 2.0 2 COTTON2 0.1 -0.0 0.1 NaN 0 CRUDE_W -1.5 -2.0 -1.1 0.0 0 DAX -3.7 -5.3 -2.2 1.0 1 DOW -1.4 -2.1 -0.7 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 -1.7 -2.4 -1.1 0.0 0 GASOIL 0.8 0.6 0.9 0.0 0 GASOILINE -0.1 -0.2 -0.0 0.0 0 GAS_US -0.2 -0.3 -0.2 0.0 0 GBP 0.7 0.5 0.8 2.0 2 GOLD_micro -0.9 -1.5 -0.3 0.0 0 HEATOIL 0.7 0.6 0.8 1.0 1 JPY -0.5 -0.7 -0.2 -3.0 -3 LEANHOG -0.0 -0.3 0.3 1.0 1 LIVECOW -5.7 -6.0 -5.4 -5.0 -5 MXP 1.5 1.2 1.8 3.0 3 NASDAQ -0.3 -0.4 -0.2 0.0 0 NIKKEI 22.1 17.5 26.6 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 -0.0 NaN 0 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT -0.4 -0.4 -0.4 -1.0 -1 ROBUSTA -0.5 -0.8 -0.2 0.0 0 RUSSELL -10.5 -12.2 -8.7 -2.0 -2 SILVER-mini 0.8 0.7 0.8 NaN 0 SOYBEAN 4.3 3.8 4.7 1.0 1 SOYMEAL 1.6 1.2 2.0 4.0 4 SOYOIL 0.1 0.1 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 2.3 3.0 3 US10 -2.0 -2.3 -1.7 NaN 0 US10U -0.7 -1.5 0.2 0.0 0 US20 -0.6 -0.9 -0.3 -2.0 -2 US30 -0.3 -0.5 -0.1 0.0 0 US5 -2.1 -2.6 -1.6 -3.0 -3 VIX -27.3 -28.9 -25.8 -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 0.0 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 -0.2 -0.1 -0.1 BITCOIN 0.1 0.1 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 -0.1 -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 -0.1 0.3 0.3 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.1 0.9 0.6 0.3 0.4 0.0 -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 -0.0 0.0 -0.1 -0.1 -0.1 -0.2 0.0 -0.0 -0.2 -0.0 -0.3 0.0 -0.1 1.2 0.7 0.3 0.3 -0.1 -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 -0.1 -0.1 -0.1 -0.2 0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.1 0.4 -0.1 0.1 0.1 0.0 -0.1 -0.0 -0.2 -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 -0.1 0.0 0.2 0.2 CAD -0.1 0.1 -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 -0.0 -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 0.8 0.5 0.2 0.2 -0.0 -0.1 0.0 -0.0 0.0 1.5 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.2 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 -1.0 -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 -0.5 -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 1.7 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -1.8 0.1 0.3 -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 1.7 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.3 -0.1 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 -1.7 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.6 0.0 -0.1 -0.2 0.0 COTTON2 0.0 0.1 -0.9 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.1 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 0.3 0.4 -0.6 CRUDE_W -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -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 -0.3 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 -0.8 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.3 0.0 -0.1 0.1 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 0.6 0.1 0.1 0.1 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 -2.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -2.7 0.0 0.3 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 0.7 0.0 -0.1 -0.1 0.1 GASOILINE -0.2 -0.2 -0.3 -0.1 0.0 -0.1 -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 -0.1 0.0 -0.3 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.2 -0.0 -0.0 -0.0 -0.3 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 0.1 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 0.1 0.1 -0.1 HEATOIL -0.1 -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 2.0 0.0 -0.1 -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 -0.0 0.0 -0.2 0.0 1.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -2.0 0.2 0.3 0.1 -0.0 LEANHOG -0.1 -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 0.3 -0.0 0.0 -0.0 0.0 -0.0 -0.8 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 2.1 -0.0 -0.1 -0.0 0.0 LIVECOW -0.0 0.0 0.1 -0.1 -0.0 -0.1 -0.0 -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 0.2 0.1 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 -0.1 -0.3 0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -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 -0.1 0.1 0.0 0.0 -0.1 -0.0 -0.1 -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 0.5 -0.0 0.2 0.2 0.1 OAT -0.0 0.3 0.1 0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.2 -0.0 -0.3 0.0 -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 1.0 -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 -0.3 -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 -2.5 0.1 -0.3 -0.2 0.1 ROBUSTA 0.2 -0.2 -0.3 -0.1 -0.0 -0.1 -0.0 -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 -0.9 0.0 0.4 -0.1 -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 -0.0 -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 0.4 -0.3 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 2.3 -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 0.2 0.0 0.2 0.0 0.2 0.8 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 0.4 0.1 0.4 0.3 0.3 SOYOIL -0.2 -0.2 -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 -2.8 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 2.0 0.1 -0.4 0.0 0.2 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 -0.1 -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 -0.4 0.0 -0.0 -0.0 -0.0 SUGAR11 -0.0 0.3 0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.2 0.0 0.1 0.0 0.3 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 -0.1 -0.2 0.0 -0.0 -0.2 0.0 -0.3 0.0 -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 -0.7 0.0 0.0 0.1 0.0 US10U 0.2 0.3 0.1 0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.2 0.0 -0.3 0.0 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 0.1 0.0 -0.0 -0.1 -0.1 -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 -0.1 -0.1 -0.1 -0.2 0.0 -0.0 -0.1 0.0 -0.3 0.0 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 0.2 0.1 US5 0.2 0.3 0.1 0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 -0.2 0.0 -0.3 0.1 -0.0 -0.4 0.1 -0.1 -0.1 0.0 -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 -0.6 -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 3.9 20.0 1.4 2.8 -1.0 -0.6 0.6 -3.7 3.0 -13.5 -4.2 -5.0 -8.7 9.8 5.0 -2.8 -2.0 -2.7 -2.4 5.0 -2.7 -4.4 -8.5 4.3 4.6 -0.0 1.6 -4.8 -2.2 -2.1 -5.0 1.6 -0.4 -6.8 -7.3 -6.0 -7.5 BITCOIN 5.2 8.1 2.7 3.5 -0.5 1.8 0.2 0.5 2.9 -7.9 -15.2 3.3 -15.9 -6.7 -9.3 2.1 -0.7 1.2 0.4 -7.9 -17.0 -1.5 -20.0 -2.7 20.0 -0.0 -4.6 -1.6 -6.4 -1.0 -6.3 -2.2 2.2 -3.7 -5.3 -20.0 -20.0 BOBL 2.0 16.0 -5.8 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -14.0 -12.4 -12.6 -13.1 -4.6 -10.9 2.2 16.3 14.1 17.9 -8.7 -16.2 -20.0 -20.0 -11.5 13.9 -0.0 -3.1 -13.5 -6.8 -10.2 -11.3 -4.6 20.0 -20.0 -16.0 -14.3 -8.5 BTP -5.7 20.0 15.5 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -14.0 -2.7 -12.2 -10.8 2.2 4.7 10.9 14.8 16.2 17.1 3.7 -3.8 -20.0 -15.8 -5.7 4.6 -0.0 0.9 -12.0 -2.2 -8.6 -7.3 -2.1 20.0 -20.0 -14.2 4.9 12.3 BUND 0.5 20.0 -2.8 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -14.0 -9.7 -12.4 -12.3 0.1 -6.1 14.6 16.1 14.1 15.1 -5.1 -14.3 -20.0 -20.0 -9.2 10.8 -0.0 -1.8 -13.8 -5.5 -9.7 -9.8 -3.5 20.0 -20.0 -14.1 -6.8 -7.0 BUXL 6.3 20.0 3.5 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -14.0 -5.1 -10.4 -11.0 4.8 2.8 5.2 -1.4 5.4 2.8 3.7 -7.9 -20.0 -19.7 -2.5 6.2 -0.0 0.7 -13.1 -2.6 -8.0 -6.1 -1.2 -1.2 -20.0 -2.3 6.0 1.9 CAC -16.0 20.0 11.8 0.7 -8.1 -0.4 -6.5 -1.8 -1.9 -13.1 10.9 -11.1 -0.3 6.2 12.6 -0.5 3.7 0.4 1.7 13.4 12.0 -17.0 5.5 -0.1 -15.3 -0.0 3.2 -7.0 2.9 -5.6 1.1 -0.6 7.5 -7.5 0.4 11.8 16.2 CAD -10.7 6.7 -9.1 2.8 -1.0 -0.6 0.6 -3.7 3.0 -2.3 -9.7 -11.6 -11.1 -7.8 -7.0 -1.9 -1.0 -1.8 -1.4 -7.7 -11.2 -7.6 -12.4 -8.0 8.2 -0.0 -4.0 -0.7 -6.2 -3.5 -7.2 -3.7 1.3 -4.6 -20.0 -20.0 -18.6 CANOLA 10.9 1.5 0.3 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 -2.6 -9.8 10.3 -3.2 0.9 4.5 11.3 13.4 10.6 10.0 -1.9 -6.3 1.6 -1.0 1.1 6.7 -0.0 -1.2 -1.5 -1.1 0.1 1.8 -0.5 -1.6 9.7 11.6 -4.7 10.6 CHF 11.3 20.0 12.0 2.8 -1.0 -0.6 0.6 -3.7 3.0 6.0 6.8 10.9 -4.3 14.8 13.1 -12.2 -11.6 -12.2 -12.3 16.5 6.6 11.0 -3.2 17.4 -7.2 -0.0 4.3 1.9 1.0 3.1 -2.6 4.9 -17.2 11.1 6.4 5.7 8.7 COCOA 0.0 17.7 10.6 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 -5.6 1.6 2.3 -7.9 10.2 10.9 -1.4 -3.0 -0.6 -1.3 8.9 3.9 -0.4 -3.8 5.7 -3.0 -0.0 3.5 -2.2 1.8 -1.1 -1.4 1.6 -20.0 5.7 11.0 20.0 15.9 COFFEE 19.9 -13.3 -20.0 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 5.5 -12.8 5.4 -8.2 -5.1 -13.1 -0.4 4.0 3.1 4.8 -18.1 -20.0 3.9 -12.2 -4.6 10.7 -0.0 -4.8 1.4 -5.7 1.0 -3.0 -1.3 -13.0 14.0 17.8 -20.0 -20.0 COPPER 9.3 19.2 16.3 3.5 -0.5 1.8 0.2 0.5 2.9 -7.0 -5.8 6.3 -8.6 8.5 8.8 -1.5 -0.1 -0.5 -0.2 10.6 1.2 1.1 -8.0 8.7 14.1 -0.0 4.3 -0.7 1.3 0.2 -1.4 3.3 2.2 -5.7 2.8 4.7 0.5 CORN -15.5 -19.4 8.4 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 3.6 0.0 -10.4 4.6 -14.0 -5.3 20.0 14.9 18.2 15.8 -10.5 -0.4 -6.6 14.2 -13.1 -11.4 -0.0 -4.8 -0.6 -1.3 -2.3 3.9 -4.9 4.7 7.3 -5.6 -17.0 2.4 COTTON2 8.6 5.7 -20.0 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 11.7 -11.0 6.4 -1.5 7.7 -8.7 1.8 15.9 5.3 11.1 -7.3 -13.3 10.9 -5.1 1.9 0.2 -0.0 -1.0 12.3 -3.0 6.0 1.6 2.5 3.5 14.9 20.0 15.9 -20.0 CRUDE_W -7.8 -3.2 -4.4 -3.8 0.8 -2.0 -0.2 3.1 -2.9 0.8 -6.2 -7.1 2.5 -9.6 2.0 5.8 12.9 7.4 10.0 -5.3 -3.1 -5.4 4.5 -7.3 -1.9 -0.0 -2.4 -0.4 -0.2 -2.7 5.7 -3.6 -20.0 -14.3 5.2 10.5 11.1 DAX -20.0 20.0 17.0 0.7 -8.1 -0.4 -6.5 -1.8 -1.9 -12.4 8.6 -11.4 -4.2 8.0 12.6 -5.8 -2.2 -4.6 -3.4 14.7 10.5 -15.3 -1.1 1.2 -11.6 -0.0 3.4 -5.6 2.7 -4.5 -0.4 -0.2 -1.9 -5.4 -4.8 20.0 20.0 DOW -13.3 20.0 10.4 0.7 -8.1 -0.4 -6.5 -1.8 -1.9 -12.8 7.4 -12.7 -1.0 3.2 10.8 -5.5 -2.2 -5.0 -4.0 10.2 7.9 -15.8 0.9 -1.4 -6.5 -0.0 2.7 -6.5 2.1 -5.2 0.4 -0.8 -2.6 2.1 -2.4 10.6 10.8 EUR 14.4 20.0 20.0 2.8 -1.0 -0.6 0.6 -3.7 3.0 4.4 1.6 11.7 -9.5 15.2 14.7 -7.4 -8.3 -7.6 -8.1 20.0 5.3 12.0 -11.7 20.0 2.0 -0.0 4.8 1.1 0.4 3.2 -4.9 5.3 -10.8 10.7 10.9 6.1 15.3 EUROSTX -19.1 20.0 16.0 0.7 -8.1 -0.4 -6.5 -1.8 -1.9 -12.9 10.5 -10.1 -1.8 8.8 13.2 7.1 3.3 3.2 2.4 15.5 12.5 -14.3 3.3 2.5 -17.6 -0.0 3.8 -5.8 3.3 -4.4 0.8 0.2 7.4 -4.7 0.9 20.0 20.0 FEEDCOW 9.6 9.1 -6.8 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 2.1 0.5 6.9 -1.4 9.0 1.3 -17.1 -20.0 -18.3 -20.0 3.8 -0.4 2.5 -1.9 5.8 -12.2 -0.0 2.5 -0.0 -0.2 1.4 -1.0 3.6 -20.0 3.7 19.1 16.8 -3.8 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL -8.1 -20.0 -14.0 -3.8 0.8 -2.0 -0.2 3.1 -2.9 3.2 -4.2 -0.6 9.4 -7.7 -7.9 20.0 20.0 20.0 20.0 -10.4 -1.7 -1.9 12.0 -9.8 -5.3 -0.0 -3.8 -0.2 -1.0 -0.6 4.1 -3.5 5.1 2.1 -4.3 -9.0 6.7 GASOILINE -13.8 -12.7 -15.3 -3.8 0.8 -2.0 -0.2 3.1 -2.9 8.2 -11.5 -4.2 2.9 -10.5 -8.9 -2.7 20.0 9.3 19.8 -13.2 -7.6 -3.3 5.7 -12.6 -5.1 -0.0 -3.7 3.2 -1.0 -0.4 5.9 -3.7 0.0 -4.9 1.0 4.8 7.4 GAS_US -5.5 1.6 -20.0 -3.8 0.8 -2.0 -0.2 3.1 -2.9 -10.2 -9.5 -8.2 -0.2 -6.1 -10.9 9.6 -8.1 -5.0 -8.1 -9.2 -7.5 -14.1 -0.3 -9.1 -11.5 -0.0 -1.6 -10.9 -0.2 -5.3 4.6 -2.3 -20.0 -5.6 3.0 18.6 2.1 GBP 10.1 20.0 20.0 2.8 -1.0 -0.6 0.6 -3.7 3.0 -12.0 2.8 3.2 -6.9 12.7 12.9 -2.1 -1.5 -2.0 -1.9 15.3 3.3 1.6 -9.3 13.4 12.6 -0.0 3.0 -2.5 -2.3 0.2 -7.1 3.6 0.4 -5.2 4.0 -1.7 -4.3 GOLD_micro 8.3 20.0 10.2 3.5 -0.5 1.8 0.2 0.5 2.9 8.3 -3.4 9.3 -9.1 13.6 11.2 -10.4 -8.3 -10.3 -9.7 11.4 1.6 8.4 -5.6 12.5 10.1 -0.0 4.0 3.4 0.9 2.8 -1.2 4.3 -12.9 12.1 3.5 6.7 -5.2 HEATOIL -11.0 -18.4 -17.7 -3.8 0.8 -2.0 -0.2 3.1 -2.9 2.2 -4.7 -0.4 8.6 -7.0 -5.9 20.0 20.0 20.0 20.0 -9.6 -1.6 -3.0 11.2 -9.5 -13.4 -0.0 -3.3 -0.8 0.5 -0.8 7.8 -3.3 14.3 0.7 -3.1 -2.2 8.1 JPY 9.7 20.0 20.0 2.8 -1.0 -0.6 0.6 -3.7 3.0 7.9 -4.9 8.3 -12.5 12.0 8.3 -11.1 -10.3 -11.8 -11.6 9.1 -2.5 12.6 -14.0 12.6 12.4 -0.0 3.5 7.7 -1.5 4.5 -7.0 4.8 -15.5 15.7 14.3 10.4 -2.3 LEANHOG -12.7 -1.1 -3.4 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 5.5 0.5 -5.8 -0.7 -6.1 5.8 -20.0 20.0 -10.2 15.5 -2.0 0.5 -3.3 2.8 -5.5 -5.3 -0.0 -1.7 1.9 -0.7 -1.4 1.0 -3.0 15.1 -7.5 -7.5 -0.4 2.5 LIVECOW -1.7 1.2 7.1 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 7.5 8.4 7.0 -0.5 5.3 7.9 -20.0 -20.0 -20.0 -20.0 5.4 5.0 3.6 1.4 4.0 -20.0 -0.0 3.3 1.2 3.8 2.0 3.0 2.4 -20.0 14.8 11.3 9.8 12.0 MXP -20.0 -2.0 4.4 2.8 -1.0 -0.6 0.6 -3.7 3.0 -3.9 12.9 -10.1 14.5 -0.7 7.7 17.5 20.0 18.4 19.2 6.2 11.7 -6.2 13.1 -2.3 -20.0 -0.0 3.2 -1.8 4.9 -2.7 4.7 -0.8 20.0 -4.4 -20.0 -12.6 20.0 NASDAQ -3.7 10.7 -5.6 0.7 -8.1 -0.4 -6.5 -1.8 -1.9 -13.9 -9.3 -13.2 -12.2 0.2 -7.0 -4.9 -3.3 -4.6 -4.2 -4.4 -9.1 -17.3 -13.0 -7.7 8.8 -0.0 -1.3 -10.5 -3.6 -7.7 -4.8 -2.8 -3.6 0.9 2.0 -10.2 -10.2 NIKKEI -12.2 7.1 0.2 1.2 -9.3 -0.2 -6.0 -1.7 -1.1 -13.4 5.9 -15.1 1.6 -3.5 5.2 10.2 8.7 7.5 8.5 2.3 4.3 -13.7 2.7 -6.8 -8.4 -0.0 -0.2 -5.2 -0.2 -9.4 -0.9 -5.2 17.8 14.2 -3.8 -10.1 1.4 NZD 12.7 20.0 13.3 2.8 -1.0 -0.6 0.6 -3.7 3.0 -11.0 2.7 6.5 -7.4 13.3 11.9 -0.2 0.4 -0.6 -0.3 18.9 5.4 5.3 -7.3 17.9 0.4 -0.0 4.3 -1.3 0.7 1.2 -2.5 4.3 3.5 -0.4 11.0 15.7 5.1 OAT -1.5 20.0 6.1 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -14.0 -6.7 -12.1 -11.5 1.4 -1.3 12.2 12.4 13.2 13.5 -0.9 -9.1 -20.0 -18.9 -7.6 10.9 -0.0 -0.7 -13.5 -4.3 -9.3 -9.2 -2.8 20.0 -20.0 -13.5 -0.9 -1.0 OJ -8.4 -4.8 17.3 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 2.8 13.3 5.0 14.1 3.6 11.9 13.5 12.2 15.2 15.3 15.1 20.0 6.4 20.0 7.2 -20.0 -0.0 4.7 3.5 8.7 2.1 10.3 1.7 3.0 12.0 10.7 12.4 20.0 PALLAD -3.8 -5.5 -7.5 3.5 -0.5 1.8 0.2 0.5 2.9 -10.0 -11.9 -11.6 -7.9 -11.5 -12.4 -1.5 -1.3 -1.6 -1.5 -12.6 -9.7 -20.0 -7.2 -15.4 5.3 -0.0 -4.1 -10.0 -2.8 -8.8 -1.7 -5.6 0.0 -20.0 -20.0 -20.0 -15.8 PLAT -5.4 13.4 18.9 3.5 -0.5 1.8 0.2 0.5 2.9 -4.8 9.0 -5.9 -1.6 6.9 11.7 -1.1 -0.4 -0.3 -0.2 10.5 9.0 -3.0 2.2 4.1 -3.7 -0.0 4.9 -1.5 3.5 -0.7 0.3 2.5 1.9 -0.0 -1.9 2.0 13.4 REDWHEAT -18.6 -16.9 -5.8 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 -1.2 -12.5 -9.6 -5.6 -12.9 -9.7 6.1 0.5 4.2 2.5 -16.7 -11.8 -10.3 -2.8 -17.2 -9.2 -0.0 -4.8 -1.5 -1.9 -3.2 2.1 -5.3 -18.5 9.6 -13.5 -14.8 4.5 ROBUSTA 20.0 -12.8 -20.0 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 -3.1 -10.9 11.7 -4.7 3.0 -10.6 14.1 7.9 10.8 9.0 -12.1 -17.8 4.9 -7.6 2.1 -0.6 -0.0 -2.4 0.0 -3.8 1.3 -1.7 0.8 -6.8 3.5 20.0 -9.7 -20.0 RUSSELL -12.3 6.4 1.7 0.7 -8.1 -0.4 -6.5 -1.8 -1.9 -11.8 -4.0 -13.5 -10.4 -6.2 -1.8 -4.6 -2.4 -4.2 -3.5 -3.1 -3.2 -18.1 -7.2 -10.3 -3.4 -0.0 -1.4 -9.4 -1.1 -8.9 -2.1 -5.0 -2.2 1.2 -7.1 -10.1 -1.6 SILVER-mini 11.5 20.0 20.0 3.5 -0.5 1.8 0.2 0.5 2.9 9.4 4.1 11.3 -5.5 13.7 13.6 -4.4 -3.4 -4.2 -4.0 17.6 8.4 13.7 -1.8 18.3 10.5 -0.0 5.4 3.6 2.3 3.7 -1.2 5.3 -3.8 20.0 20.0 17.5 19.0 SOYBEAN 0.8 5.0 3.6 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 -4.3 0.4 3.7 4.4 9.0 11.3 20.0 20.0 20.0 20.0 4.6 3.9 -0.3 7.1 2.9 -20.0 -0.0 3.4 -1.4 5.6 -0.8 10.8 1.2 19.7 5.6 14.5 14.8 13.9 SOYMEAL 20.0 15.1 4.0 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 -10.2 6.5 7.1 9.3 10.0 9.3 9.3 13.8 11.1 13.2 18.6 11.2 10.6 7.9 20.0 -20.0 -0.0 5.2 -0.9 3.7 2.7 3.3 5.5 2.7 15.1 20.0 20.0 20.0 SOYOIL -20.0 -11.9 -0.1 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 13.0 0.2 -6.1 5.2 -8.0 -4.4 11.2 20.0 17.5 19.8 -7.5 0.9 -4.1 7.4 -13.7 -19.8 -0.0 -1.4 2.9 1.6 -1.0 3.9 -3.4 14.5 19.2 -20.0 2.3 17.1 SP400 -12.0 13.4 3.8 0.7 -8.1 -0.4 -6.5 -1.8 -1.9 -11.5 1.5 -13.3 -5.5 -1.6 5.1 -3.5 -1.6 -2.1 -1.7 2.7 2.0 -17.2 -2.2 -6.4 -7.2 -0.0 0.9 -8.3 1.0 -7.4 0.2 -2.9 0.0 2.8 -6.0 -1.5 4.7 SP500 -7.1 14.4 -0.9 0.7 -8.1 -0.4 -6.5 -1.8 -1.9 -13.2 -3.6 -13.1 -8.2 0.4 0.8 -5.2 -3.3 -4.8 -4.2 1.0 -2.5 -17.1 -6.5 -5.6 4.0 -0.0 0.5 -9.7 -1.3 -7.4 -3.3 -2.3 -3.6 1.3 -0.1 -2.4 -2.5 SUGAR11 -0.2 18.3 12.5 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 12.3 7.5 9.9 3.1 12.6 11.6 20.0 20.0 20.0 20.0 14.5 10.1 17.2 5.3 14.8 -20.0 -0.0 5.6 7.2 4.2 5.8 2.6 5.5 20.0 20.0 20.0 20.0 20.0 US10 17.1 20.0 7.1 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -10.1 -7.4 3.1 -12.5 12.2 -0.3 -8.8 0.1 -6.4 -4.1 4.6 -10.6 -0.4 -20.0 9.2 -6.5 -0.0 1.9 -5.1 -3.1 -0.4 -7.5 3.1 -4.8 19.2 13.8 7.6 1.9 US10U 18.0 20.0 6.7 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -11.1 -7.1 0.8 -12.2 11.2 0.0 1.3 4.8 0.9 1.9 5.0 -9.9 -1.6 -20.0 9.1 -8.2 -0.0 2.0 -5.8 -2.7 -0.7 -6.5 3.0 4.3 13.7 14.5 8.7 3.1 US20 20.0 20.0 4.2 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -11.5 -5.8 3.7 -11.7 12.8 1.9 -2.6 2.2 -0.2 0.9 7.5 -9.3 0.7 -20.0 13.1 -7.6 -0.0 2.3 -5.2 -2.1 -0.0 -5.1 3.6 1.2 17.2 20.0 12.4 2.6 US30 20.0 20.0 8.4 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -12.5 -5.7 2.3 -12.9 11.1 2.8 0.3 0.4 -0.6 -0.5 7.4 -9.5 -0.8 -20.0 12.4 -5.9 -0.0 2.5 -5.5 -1.8 -0.3 -5.2 3.6 -1.6 12.7 20.0 12.7 8.5 US5 18.7 20.0 7.5 0.1 -9.0 -3.8 -4.3 -7.1 0.2 -7.9 -7.6 6.8 -12.9 13.0 -0.5 -5.5 1.5 -5.3 -3.5 4.2 -11.8 2.8 -20.0 10.3 -4.2 -0.0 1.8 -3.5 -3.7 0.8 -8.8 3.6 -3.2 20.0 15.9 7.1 1.4 VIX -4.9 -17.7 -5.2 -4.5 -0.1 -3.1 -1.6 -2.0 -3.9 4.3 -12.8 -3.7 -10.8 -12.1 -13.3 -20.0 -20.0 -19.2 -17.2 -16.0 -12.8 -4.5 -9.2 -12.5 NaN -0.0 -5.5 -0.0 -4.0 -1.6 -2.5 -4.5 NaN NaN NaN NaN NaN WHEAT -20.0 -20.0 -11.5 -4.7 -1.8 -4.1 -4.0 -0.8 -5.0 4.7 -13.7 -9.6 -8.6 -13.8 -10.7 -6.9 -4.4 -5.6 -4.9 -20.0 -18.3 -10.8 -8.1 -20.0 -6.6 -0.0 -5.3 -0.9 -2.9 -2.6 0.6 -5.2 -20.0 9.4 -13.2 -19.2 -0.9 End of report for caleb_strategy_v1