******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221221_204348 produced at 2022-12-21 21:35:36.617919 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.21 -0.24 0.0 8919795.42 -8919795.42 -0.21 -0.21 -27.19 999999999 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22454383.21 -22454383.21 -0.11 -0.11 -5.13 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.10 0.0 33084251.19 -33084251.19 -0.10 -0.10 -2.90 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 40426168.63 -40426168.63 0.00 0.00 -2.15 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.12 -0.09 0.0 38748699.62 -38748699.62 -0.12 -0.15 -2.31 999999999 -3 -4 caleb_strategy_v1 CHF False False 0.05 -0.05 -0.06 0.0 48491372.87 -48491372.87 -0.05 -0.10 -1.30 999999999 -1 -2 caleb_strategy_v1 US10U False False 0.04 0.00 -0.05 0.0 42657230.23 -42657230.23 0.00 0.00 -1.06 999999999 0 0 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 26705974.32 -26705974.32 0.00 0.00 -1.42 999999999 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.03 0.0 45611578.64 -45611578.64 -0.09 -0.09 -0.75 999999999 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.00 -0.03 0.0 3183530.18 -3183530.18 -0.00 -0.01 -9.91 999999999 -1 -2 caleb_strategy_v1 CAD False False 0.03 -0.05 -0.02 0.0 26175415.63 -26175415.63 -0.05 -0.03 -0.61 999999999 -2 -1 caleb_strategy_v1 DAX False False 0.01 0.01 -0.02 0.0 5344114.15 -5344114.15 0.01 0.00 -3.57 999999999 1 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 49461689.94 -49461689.94 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 87549305.42 -87549305.42 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 80632458.07 -80632458.07 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15258013.33 -15258013.33 -0.02 -0.02 -0.37 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69533455.14 -69533455.14 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9023058.52 -9023058.52 0.00 0.00 -1.41 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 14189774.36 -14189774.36 -0.03 -0.01 -0.65 999999999 -2 -1 caleb_strategy_v1 DOW False False 0.01 0.02 -0.01 0.0 5969497.42 -5969497.42 0.02 0.00 -1.13 999999999 4 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.01 0.0 34023411.28 -34023411.28 -0.10 -0.07 -0.32 999999999 -3 -2 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 23937454.98 -23937454.98 -0.05 -0.05 -0.09 999999999 -2 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13611500.99 -13611500.99 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6697858.36 -6697858.36 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47514379.31 -47514379.31 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.01 -0.00 0.0 13609364.51 -13609364.51 0.01 0.00 -0.01 999999999 1 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.00 0.0 6491332.16 -6491332.16 0.00 0.00 -0.76 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.00 0.0 17312592.95 -17312592.95 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.00 0.0 10731350.68 -10731350.68 0.02 0.03 0.41 999999999 2 3 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 17825347.66 -17825347.66 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 594653.03 -594653.03 0.00 0.00 6.83 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.16 -0.00 0.0 54756011.19 -54756011.19 0.16 0.05 -0.08 999999999 3 1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 11093661.73 -11093661.73 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 -0.00 0.0 34080241.60 -34080241.60 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22593254.28 -22593254.28 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.00 0.0 15745842.46 -15745842.46 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 59518714.77 -59518714.77 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14641149.83 -14641149.83 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.02 0.01 0.0 24861617.00 -24861617.00 0.02 0.00 0.32 999999999 1 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4467933.58 -4467933.58 0.00 0.00 1.63 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.01 0.0 8926917.02 -8926917.02 0.03 0.03 1.51 999999999 3 3 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22438359.62 -22438359.62 0.04 0.04 0.53 999999999 2 2 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26935200.60 -26935200.60 0.05 0.03 0.62 999999999 2 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8271303.15 -8271303.15 0.02 0.02 2.21 999999999 3 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.02 0.0 21520564.31 -21520564.31 0.00 0.02 0.75 999999999 0 1 caleb_strategy_v1 COPPER False False 0.03 0.03 0.02 0.0 33987803.32 -33987803.32 0.03 0.00 0.52 999999999 1 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 31753403.47 -31753403.47 0.00 0.00 0.80 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 42015377.07 -42015377.07 0.04 0.04 0.74 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15852666.36 -15852666.36 0.06 0.06 1.69 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.04 0.0 45767844.20 -45767844.20 0.05 0.05 0.77 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 49141366.38 -49141366.38 0.00 0.00 0.92 999999999 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.09 0.0 0.00 0.00 0.00 0.00 12.63 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.11 0.0 24751987.20 -24751987.20 0.02 0.02 4.38 999999999 1 1 caleb_strategy_v1 BUND False False 0.05 0.05 0.17 0.0 51306367.37 -51306367.37 0.05 0.15 3.26 999999999 1 3 caleb_strategy_v1 BOBL False False 0.04 0.22 0.26 0.0 44138816.09 -44138816.09 0.22 0.18 5.98 999999999 5 4 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 8.9 Shocked risk 28.7 Sum abs risk 32.5 Leverage 2.02 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2808360.37, 'annual_cash_vol_target': 702090.0925, 'daily_cash_vol_target': 43880.63078125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0063 0.6722 0.9337 14.9392 BITCOIN 782.4941 16700.0000 4.6856 74.9695 BOBL 0.3967 116.8200 0.3396 5.4331 BTP 1.0007 111.2000 0.8999 14.3979 BUND 0.8054 135.7900 0.5931 9.4895 BUXL 2.0493 144.9200 1.4141 22.6254 CAC 64.7399 6580.0000 0.9839 15.7422 CAD 0.0039 0.7351 0.5348 8.5562 CANOLA 9.5511 854.0000 1.1184 17.8943 CHF 0.0064 1.0894 0.5851 9.3620 COCOA 31.2905 2534.0000 1.2348 19.7572 COFFEE 0.0366 1.6920 2.1631 34.6102 COPPER 0.0552 3.8180 1.4451 23.1211 CORN 4.2404 602.7500 0.7035 11.2560 COTTON2 0.0181 0.8844 2.0500 32.8006 CRUDE_W 1.2974 75.0000 1.7299 27.6781 DAX 146.2554 14144.0000 1.0340 16.5447 DOW 343.8742 33529.0000 1.0256 16.4096 EUR 0.0062 1.0675 0.5839 9.3421 EUROSTX 43.7216 3875.0000 1.1283 18.0528 FEEDCOW 1.2301 185.8250 0.6620 10.5919 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.8202 891.7500 2.5590 40.9446 GASOILINE 0.0495 2.2788 2.1715 34.7447 GAS_US 0.2849 4.8620 5.8600 93.7602 GBP 0.0102 1.2103 0.8392 13.4268 GOLD_micro 16.9395 1823.0000 0.9292 14.8674 HEATOIL 0.0729 3.0603 2.3828 38.1248 JPY 0.0001 0.0076 1.0805 17.2881 LEANHOG 1.6369 95.5500 1.7132 27.4106 LIVECOW 0.9671 157.6500 0.6134 9.8152 MXP 0.0004 0.0501 0.7399 11.8387 NASDAQ 178.2277 11322.2500 1.5741 25.1862 NIKKEI 277.5650 26430.0000 1.0502 16.8030 NZD 0.0056 0.6302 0.8867 14.1869 OAT 0.8562 130.0600 0.6583 10.5333 OJ 0.0328 2.0770 1.5810 25.2957 PALLAD 48.2507 1671.5000 2.8867 46.1867 PLAT 18.8798 1001.2000 1.8857 30.1714 REDWHEAT 14.0325 857.0000 1.6374 26.1984 ROBUSTA 19.8058 1881.0000 1.0529 16.8470 RUSSELL 25.9699 1788.1000 1.4524 23.2380 SILVER-mini 0.4894 24.1750 2.0242 32.3879 SOYBEAN 10.8335 1390.2500 0.7792 12.4680 SOYMEAL 6.5419 445.2000 1.4694 23.5108 SOYOIL 1.0918 63.7100 1.7137 27.4187 SP400 31.9976 2458.7000 1.3014 20.8224 SP500 48.2525 3905.5000 1.2355 19.7680 SUGAR11 0.0025 0.2074 1.2033 19.2529 US10 0.5157 113.5312 0.4543 7.2680 US10U 0.7253 119.7969 0.6054 9.6869 US20 1.0504 128.0938 0.8200 13.1201 US30 1.6786 138.9062 1.2084 19.3346 US5 0.3369 108.8203 0.3096 4.9538 VIX 0.5411 25.0500 2.1600 34.5600 WHEAT 11.2363 797.0000 1.4098 22.5572 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.25 0.93 627.68 1.00 627.68 43880.63 69.91 -0.81 -5.69 BITCOIN 16.70 4.69 78.25 1.00 78.25 43880.63 560.78 5.17 289.82 BOBL 1168.20 0.34 396.69 1.06 421.19 43880.63 104.18 7.96 82.89 BTP 1112.00 0.90 1000.65 1.06 1062.46 43880.63 41.30 8.92 36.86 BUND 1357.90 0.59 805.36 1.06 855.11 43880.63 51.32 8.80 45.18 BUXL 1449.20 1.41 2049.29 1.06 2175.88 43880.63 20.17 -0.49 -0.99 CAC 658.00 0.98 647.40 1.06 687.39 43880.63 63.84 1.80 11.47 CAD 735.10 0.53 393.11 1.00 393.11 43880.63 111.63 -3.08 -34.34 CANOLA 170.80 1.12 191.02 0.73 140.35 43880.63 312.66 5.69 177.95 CHF 1361.81 0.59 796.83 1.00 796.83 43880.63 55.07 -6.30 -34.69 COCOA 253.40 1.23 312.90 1.00 312.90 43880.63 140.24 -4.62 -64.74 COFFEE 634.50 2.16 1372.51 1.00 1372.51 43880.63 31.97 -4.29 -13.71 COPPER 954.50 1.45 1379.32 1.00 1379.32 43880.63 31.81 5.99 19.05 CORN 301.38 0.70 212.02 1.00 212.02 43880.63 206.97 2.19 45.40 COTTON2 442.20 2.05 906.53 1.00 906.53 43880.63 48.41 0.90 4.34 CRUDE_W 750.00 1.73 1297.41 1.00 1297.41 43880.63 33.82 -3.17 -10.73 DAX 141.44 1.03 146.26 1.06 155.29 43880.63 282.57 -2.33 -65.77 DOW 167.64 1.03 171.94 1.00 171.94 43880.63 255.21 -1.56 -39.75 EUR 1334.38 0.58 779.12 1.00 779.12 43880.63 56.32 -0.33 -1.86 EUROSTX 387.50 1.13 437.22 1.06 464.22 43880.63 94.52 2.58 24.43 FEEDCOW 929.12 0.66 615.07 1.00 615.07 43880.63 71.34 -15.14 -108.05 FTSE100 707.00 0.82 576.59 1.22 666.67 43880.63 65.82 -2.56 -16.87 GASOIL 891.75 2.56 2282.02 1.00 2282.02 43880.63 19.23 5.83 11.21 GASOILINE 957.10 2.17 2078.38 1.00 2078.38 43880.63 21.11 -0.87 -1.83 GAS_US 486.20 5.86 2849.14 1.00 2849.14 43880.63 15.40 -10.95 -16.87 GBP 756.44 0.84 634.78 1.00 634.78 43880.63 69.13 5.06 34.99 GOLD_micro 182.30 0.93 169.40 1.00 169.40 43880.63 259.04 -1.31 -33.93 HEATOIL 1285.33 2.38 3062.67 1.00 3062.67 43880.63 14.33 7.52 10.78 JPY 955.50 1.08 1032.43 1.00 1032.43 43880.63 42.50 -1.18 -5.01 LEANHOG 382.20 1.71 654.77 1.00 654.77 43880.63 67.02 -0.05 -0.30 LIVECOW 630.60 0.61 386.84 1.00 386.84 43880.63 113.43 -16.83 -190.89 MXP 250.70 0.74 185.50 1.00 185.50 43880.63 236.56 5.23 123.73 NASDAQ 2264.45 1.57 3564.55 1.00 3564.55 43880.63 12.31 -4.31 -5.31 NIKKEI 26430.00 1.05 27756.50 0.01 210.90 43880.63 208.06 3.20 66.50 NZD 630.15 0.89 558.74 1.00 558.74 43880.63 78.53 4.20 33.01 OAT 1300.60 0.66 856.22 1.06 909.11 43880.63 48.27 9.39 45.31 OJ 311.55 1.58 492.56 1.00 492.56 43880.63 89.09 -2.67 -23.81 PALLAD 1671.50 2.89 4825.07 1.00 4825.07 43880.63 9.09 -3.35 -3.04 PLAT 500.60 1.89 943.99 1.00 943.99 43880.63 46.48 2.45 11.40 REDWHEAT 428.50 1.64 701.63 1.00 701.63 43880.63 62.54 -11.22 -70.14 ROBUSTA 188.10 1.05 198.06 1.00 198.06 43880.63 221.55 -1.39 -30.69 RUSSELL 89.40 1.45 129.85 1.00 129.85 43880.63 337.93 -5.66 -191.38 SILVER-mini 604.38 2.02 1223.40 1.00 1223.40 43880.63 35.87 9.33 33.45 SOYBEAN 695.12 0.78 541.68 1.00 541.68 43880.63 81.01 9.17 74.30 SOYMEAL 445.20 1.47 654.19 1.00 654.19 43880.63 67.08 4.28 28.69 SOYOIL 382.26 1.71 655.07 1.00 655.07 43880.63 66.99 2.16 14.46 SP400 2458.70 1.30 3199.76 1.00 3199.76 43880.63 13.71 -3.44 -4.72 SP500 1952.75 1.24 2412.63 1.00 2412.63 43880.63 18.19 -3.17 -5.77 SUGAR11 232.29 1.20 279.51 1.00 279.51 43880.63 156.99 10.36 162.72 US10 1135.31 0.45 515.72 1.00 515.72 43880.63 85.09 -6.59 -56.07 US10U 1197.97 0.61 725.28 1.00 725.28 43880.63 60.50 -1.20 -7.29 US20 1280.94 0.82 1050.38 1.00 1050.38 43880.63 41.78 -2.42 -10.12 US30 1389.06 1.21 1678.56 1.00 1678.56 43880.63 26.14 -1.83 -4.79 US5 1088.20 0.31 336.92 1.00 336.92 43880.63 130.24 -4.62 -60.20 VIX 250.50 2.16 541.08 1.00 541.08 43880.63 81.10 -17.79 -144.28 WHEAT 398.50 1.41 561.82 1.00 561.82 43880.63 78.11 -15.64 -122.17 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -5.687 0.006 2.5 -0.091 BITCOIN 289.823 0.009 2.5 6.828 BOBL 82.885 0.029 2.5 5.981 BTP 36.856 0.008 2.5 0.744 BUND 45.176 0.029 2.5 3.260 BUXL -0.985 0.034 2.5 -0.083 CAC 11.472 0.011 2.5 0.323 CAD -34.343 0.007 2.5 -0.613 CANOLA 177.946 0.004 2.5 1.633 CHF -34.691 0.015 2.5 -1.298 COCOA -64.738 0.009 2.5 -1.410 COFFEE -13.712 0.005 2.5 -0.178 COPPER 19.051 0.011 2.5 0.521 CORN 45.405 0.004 2.5 0.410 COTTON2 4.335 0.006 2.5 0.065 CRUDE_W -10.729 0.053 2.5 -1.417 DAX -65.768 0.022 2.5 -3.572 DOW -39.748 0.011 2.5 -1.133 EUR -1.857 0.015 2.5 -0.070 EUROSTX 24.426 0.011 2.5 0.687 FEEDCOW -108.046 0.011 2.5 -2.903 FTSE100 -16.870 0.041 2.5 -1.739 GASOIL 11.205 0.029 2.5 0.799 GASOILINE -1.829 0.016 2.5 -0.075 GAS_US -16.865 0.006 2.5 -0.254 GBP 34.993 0.007 2.5 0.625 GOLD_micro -33.931 0.009 2.5 -0.759 HEATOIL 10.781 0.029 2.5 0.769 JPY -5.011 0.026 2.5 -0.324 LEANHOG -0.303 0.019 2.5 -0.014 LIVECOW -190.890 0.011 2.5 -5.129 MXP 123.726 0.005 2.5 1.515 NASDAQ -5.310 0.022 2.5 -0.288 NIKKEI 66.501 0.076 2.5 12.631 NZD 33.011 0.006 2.5 0.527 OAT 45.307 0.008 2.5 0.915 OJ -23.807 0.007 2.5 -0.415 PALLAD -3.044 0.010 2.5 -0.073 PLAT 11.399 0.010 2.5 0.274 REDWHEAT -70.143 0.002 2.5 -0.374 ROBUSTA -30.688 0.005 2.5 -0.398 RUSSELL -191.380 0.021 2.5 -9.913 SILVER-mini 33.452 0.009 2.5 0.748 SOYBEAN 74.304 0.024 2.5 4.381 SOYMEAL 28.691 0.024 2.5 1.692 SOYOIL 14.456 0.004 2.5 0.133 SP400 -4.723 0.021 2.5 -0.245 SP500 -5.770 0.011 2.5 -0.164 SUGAR11 162.716 0.005 2.5 2.208 US10 -56.067 0.015 2.5 -2.151 US10U -7.286 0.058 2.5 -1.062 US20 -10.125 0.029 2.5 -0.746 US30 -4.786 0.034 2.5 -0.402 US5 -60.204 0.015 2.5 -2.310 VIX -144.277 0.075 2.5 -27.189 WHEAT -122.171 0.002 2.5 -0.652 ==================== Position diags ==================== AUD 1.12 BITCOIN 13.21 BOBL 7.52 BTP 0.83 BUND 3.70 BUXL 1.69 CAC 1.79 CAD 1.99 CANOLA 2.87 CHF 2.06 COCOA 3.05 COFFEE 0.41 COPPER 0.87 CORN 1.87 COTTON2 0.73 CRUDE_W 4.47 DAX 15.35 DOW 7.27 EUR 2.11 EUROSTX 2.66 FEEDCOW 1.92 FTSE100 6.79 GASOIL 1.37 GASOILINE 0.87 GAS_US 0.23 GBP 1.23 GOLD_micro 5.80 HEATOIL 1.02 JPY 2.75 LEANHOG 3.13 LIVECOW 3.05 MXP 2.90 NASDAQ 0.67 NIKKEI 39.52 NZD 1.25 OAT 0.97 OJ 1.55 PALLAD 0.22 PLAT 1.12 REDWHEAT 0.33 ROBUSTA 2.87 RUSSELL 17.50 SILVER-mini 0.80 SOYBEAN 4.78 SOYMEAL 3.95 SOYOIL 0.61 SP400 0.71 SP500 0.52 SUGAR11 2.13 US10 3.26 US10U 8.82 US20 3.08 US30 2.19 US5 5.00 VIX 15.28 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 6.8 5.5 8.1 NaN 0 BOBL 6.0 5.2 6.7 5.0 5 BTP 0.7 0.7 0.8 1.0 1 BUND 3.3 2.9 3.6 1.0 1 BUXL -0.1 -0.3 0.1 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 -1.4 -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 0.4 0.2 0.6 2.0 2 COTTON2 0.1 -0.0 0.1 NaN 0 CRUDE_W -1.4 -1.9 -1.0 0.0 0 DAX -3.6 -5.1 -2.0 1.0 1 DOW -1.1 -1.9 -0.4 4.0 4 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 0.7 0.4 1.0 0.0 0 FEEDCOW -2.9 -3.1 -2.7 -3.0 -3 FTSE100 -1.7 -2.4 -1.1 0.0 0 GASOIL 0.8 0.7 0.9 0.0 0 GASOILINE -0.1 -0.2 0.0 0.0 0 GAS_US -0.3 -0.3 -0.2 0.0 0 GBP 0.6 0.5 0.7 2.0 2 GOLD_micro -0.8 -1.3 -0.2 0.0 0 HEATOIL 0.8 0.7 0.9 1.0 1 JPY -0.3 -0.6 -0.0 -3.0 -3 LEANHOG -0.0 -0.3 0.3 1.0 1 LIVECOW -5.1 -5.4 -4.8 -5.0 -5 MXP 1.5 1.2 1.8 3.0 3 NASDAQ -0.3 -0.4 -0.2 0.0 0 NIKKEI 12.6 8.7 16.6 0.0 0 NZD 0.5 0.4 0.7 2.0 2 OAT 0.9 0.8 1.0 0.0 0 OJ -0.4 -0.6 -0.3 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 -0.3 -1.0 -1 ROBUSTA -0.4 -0.7 -0.1 0.0 0 RUSSELL -9.9 -11.7 -8.2 -1.0 -1 SILVER-mini 0.7 0.7 0.8 NaN 0 SOYBEAN 4.4 3.9 4.9 1.0 1 SOYMEAL 1.7 1.3 2.1 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 2.2 2.0 2.4 3.0 3 US10 -2.2 -2.5 -1.8 NaN 0 US10U -1.1 -1.9 -0.2 0.0 0 US20 -0.7 -1.1 -0.4 -2.0 -2 US30 -0.4 -0.6 -0.2 0.0 0 US5 -2.3 -2.8 -1.8 -3.0 -3 VIX -27.2 -28.7 -25.7 -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 0.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 BITCOIN 0.1 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 -0.3 0.1 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 -0.1 -0.0 -0.2 -0.0 0.5 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.7 -0.3 -0.3 0.0 0.2 BUND -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 -0.2 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 -0.3 -0.1 -0.1 BUXL 0.0 0.3 0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.0 0.4 -0.1 0.1 0.1 0.0 -0.1 -0.0 -0.3 -0.0 0.8 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.2 -0.1 0.1 0.0 CAC -0.2 0.3 0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 -0.0 0.0 0.3 -0.0 0.2 0.0 0.0 0.1 0.1 -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 0.1 -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 -0.2 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 1.2 -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 0.2 0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.0 0.0 -0.2 0.0 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 -0.5 -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 -0.0 -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 -0.2 -0.0 1.7 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -1.7 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 -0.0 0.1 0.1 0.0 CORN -0.1 -0.3 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.0 -0.0 0.1 -0.0 -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 0.7 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 0.5 -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 0.1 0.5 0.6 0.2 0.2 -0.1 -0.0 -0.0 0.1 -0.0 -0.3 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -2.7 -0.1 0.1 0.1 0.2 DAX -0.3 0.3 0.3 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 -0.1 0.0 0.3 -0.3 -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 -0.3 -0.0 -0.1 0.3 0.3 DOW -0.2 0.3 0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 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 0.1 -0.0 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 -0.2 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 -0.0 -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 0.1 -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 -0.0 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 0.4 0.2 -0.0 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 -0.3 -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 0.1 -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 -0.1 -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 1.0 -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 -0.3 -0.2 0.2 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 0.0 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 -0.1 0.0 -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 1.2 -0.0 0.1 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 2.1 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 0.1 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 0.4 0.2 -0.0 LEANHOG -0.1 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 0.0 -0.0 -0.0 -0.0 0.1 -1.6 0.8 -0.2 0.3 -0.0 0.0 0.0 0.0 -0.0 -0.9 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.9 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 -0.0 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 0.1 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 -0.3 -0.1 0.3 NASDAQ -0.1 0.2 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 -0.0 -0.3 -0.0 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.5 0.0 0.0 -0.1 -0.2 NIKKEI -0.2 0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.0 0.0 0.7 0.3 0.2 0.2 -0.0 0.0 -0.0 0.0 -0.0 -1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 2.4 -0.2 -0.3 -0.2 -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 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 0.5 -0.0 0.1 0.2 0.1 OAT -0.1 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 -0.1 1.0 0.5 0.3 0.3 -0.0 -0.1 -0.0 -0.2 -0.0 1.4 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.7 -0.1 -0.3 -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 0.5 0.0 0.2 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 -0.2 -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 -0.3 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 -0.5 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 0.2 -0.0 -0.1 0.0 0.2 REDWHEAT -0.2 -0.3 -0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.1 0.0 -0.3 -0.0 -0.1 -0.0 -0.2 0.5 0.0 0.1 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -1.2 -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 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 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 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 0.0 -0.1 -0.1 -0.0 SILVER-mini 0.1 0.3 0.4 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.1 0.1 0.4 -0.3 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 2.1 -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 -0.0 -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 0.2 0.2 0.2 SOYMEAL 0.2 0.2 0.1 -0.1 0.0 -0.1 -0.0 -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 -0.0 0.4 0.3 0.3 SOYOIL -0.2 -0.2 -0.0 -0.1 0.0 -0.1 -0.0 -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 -0.2 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 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.4 -0.1 -0.1 -0.1 0.0 -0.0 -0.0 -0.1 -0.0 0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.4 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 -0.0 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 0.0 -0.1 -0.0 -0.2 0.0 -1.0 -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 0.0 -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 0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.1 0.0 -0.3 0.0 0.0 -0.2 0.1 -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 0.2 0.0 0.2 0.2 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 -0.8 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.2 0.0 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 0.0 -0.0 -0.5 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 -0.5 0.0 0.1 0.1 0.0 VIX -0.0 -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 -0.0 -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 -0.9 -0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -2.7 0.0 -0.2 -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 3.1 20.0 1.9 2.8 -0.9 -0.5 0.4 -3.7 2.8 -11.6 -4.1 -6.0 -8.6 9.4 5.2 -2.9 -2.0 -2.7 -2.4 4.8 -2.7 -4.0 -8.6 3.6 4.8 -0.0 1.6 -3.0 -2.2 -1.9 -5.1 1.4 -0.4 -5.2 -6.9 -6.4 -7.8 BITCOIN 5.2 7.4 1.6 3.5 0.0 1.8 0.4 0.5 2.8 -9.2 -15.2 1.0 -15.9 -7.0 -9.4 2.2 -0.7 1.2 0.5 -8.0 -17.2 -2.1 -20.0 -3.0 20.0 -0.0 -4.6 -1.7 -6.5 -1.3 -6.5 -2.3 2.2 0.3 -6.5 -20.0 -20.0 BOBL -2.3 15.8 -5.9 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -14.0 -12.6 -13.8 -13.2 -6.8 -11.5 1.4 16.1 13.4 17.4 -10.5 -17.1 -20.0 -20.0 -14.8 14.0 -0.0 -3.5 -11.8 -6.6 -10.4 -10.7 -5.4 20.0 -20.0 -15.4 -15.4 -8.6 BTP -9.5 20.0 15.9 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -12.9 -2.9 -12.8 -10.8 -0.3 4.0 10.4 14.7 15.7 16.8 2.0 -4.3 -20.0 -16.1 -8.6 4.3 -0.0 0.3 -9.5 -2.3 -8.6 -7.2 -3.0 20.0 -19.4 -15.2 3.3 12.1 BUND -3.9 20.0 -3.6 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -14.1 -10.0 -13.6 -12.4 -3.0 -6.8 14.5 16.1 14.1 15.1 -7.0 -15.2 -20.0 -20.0 -12.8 10.7 -0.0 -2.4 -12.1 -5.4 -10.1 -9.4 -4.5 20.0 -20.0 -15.4 -8.4 -7.1 BUXL 0.5 20.0 2.3 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -14.1 -5.3 -12.2 -11.1 2.1 2.1 5.0 -1.3 5.3 2.9 1.5 -8.7 -20.0 -20.0 -7.4 6.2 -0.0 -0.0 -12.2 -2.7 -9.0 -6.0 -2.5 -1.1 -20.0 -6.9 3.9 1.4 CAC -18.7 20.0 11.6 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -5.8 10.9 -8.4 -0.2 5.9 12.5 -0.5 3.7 0.4 1.7 12.0 11.1 -10.4 5.2 0.3 -15.2 -0.0 3.1 -1.7 2.9 -3.9 1.2 -0.5 7.5 -2.3 2.1 12.3 16.6 CAD -9.4 6.2 -8.8 2.8 -0.9 -0.5 0.4 -3.7 2.8 -0.1 -9.8 -10.7 -11.1 -8.2 -7.1 -2.0 -1.0 -1.8 -1.5 -7.8 -11.4 -6.0 -12.7 -7.5 8.5 -0.0 -4.0 0.1 -6.3 -2.7 -7.4 -3.5 1.3 0.2 -20.0 -20.0 -18.7 CANOLA 10.7 0.7 0.5 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 0.8 -9.8 11.2 -3.3 1.2 4.7 10.6 13.3 10.3 9.9 -1.6 -6.2 2.4 -1.0 1.5 6.8 -0.0 -1.1 -0.1 -1.1 0.5 1.8 -0.4 -1.6 2.2 14.3 -5.7 10.6 CHF 12.1 20.0 10.9 2.8 -0.9 -0.5 0.4 -3.7 2.8 6.8 7.2 11.5 -4.1 15.0 13.4 -12.2 -11.6 -12.2 -12.3 17.0 7.1 11.2 -3.0 17.6 -7.6 -0.0 4.4 2.0 1.1 3.2 -2.5 4.8 -17.2 13.0 7.2 6.9 9.4 COCOA -0.0 16.4 11.3 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 5.6 2.1 5.8 -7.8 10.9 11.3 -1.5 -3.0 -0.6 -1.3 9.1 4.1 3.3 -3.6 6.6 -3.4 -0.0 3.7 3.3 1.9 1.2 -1.4 2.2 -20.0 7.5 11.7 20.0 15.9 COFFEE 16.5 -12.4 -20.0 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 7.2 -12.8 6.4 -8.3 -3.5 -12.9 -0.3 4.0 3.0 4.8 -17.7 -20.0 5.0 -12.6 -3.7 10.7 -0.0 -4.7 1.9 -5.8 1.3 -3.1 -1.1 -12.9 15.8 15.2 -20.0 -20.0 COPPER 9.6 18.7 16.9 3.5 0.0 1.8 0.4 0.5 2.8 -2.7 -5.6 7.2 -8.6 8.7 9.0 -1.5 -0.1 -0.5 -0.3 10.7 1.4 2.5 -8.0 8.8 13.8 -0.0 4.3 0.6 1.4 0.8 -1.4 3.3 2.1 -2.1 3.6 3.7 0.2 CORN -13.4 -19.5 6.2 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 10.6 0.0 -6.7 4.6 -12.8 -5.7 20.0 15.0 18.4 16.0 -9.2 -0.4 -0.9 13.3 -9.8 -11.2 -0.0 -4.5 4.3 -1.3 -0.0 4.0 -3.9 5.1 9.1 -5.2 -16.8 1.6 COTTON2 11.0 6.1 -20.0 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 13.3 -10.8 9.6 -1.6 9.3 -8.0 2.0 15.8 5.3 11.0 -5.9 -13.0 16.0 -5.1 5.1 0.2 -0.0 -0.3 12.5 -2.6 7.8 1.6 3.7 3.5 20.0 20.0 17.8 -20.0 CRUDE_W -7.1 -3.9 -4.4 -3.6 3.9 -2.0 1.3 3.2 -2.1 9.0 -6.2 -4.6 2.5 -8.7 2.3 6.1 12.9 7.5 10.0 -4.9 -3.1 -1.2 4.4 -5.6 -2.2 -0.0 -2.2 4.4 -0.2 -0.3 5.7 -2.6 -20.0 -14.0 5.0 9.9 10.7 DAX -20.0 20.0 17.8 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -7.7 8.7 -10.1 -4.1 7.3 12.4 -6.7 -2.3 -5.0 -3.7 13.4 10.1 -11.9 -1.0 0.6 -11.4 -0.0 3.3 -2.8 2.7 -3.8 -0.4 -0.4 -2.1 -3.9 -4.4 20.0 20.0 DOW -14.7 19.9 11.2 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -5.6 7.5 -10.2 -0.9 2.8 10.7 -5.5 -2.3 -5.0 -4.1 9.7 7.8 -10.6 1.0 -0.9 -6.7 -0.0 2.6 -1.9 2.1 -3.6 0.4 -0.6 -2.6 4.0 -1.7 10.6 11.2 EUR 14.4 20.0 20.0 2.8 -0.9 -0.5 0.4 -3.7 2.8 2.8 2.0 11.2 -9.3 15.1 14.7 -7.5 -8.3 -7.7 -8.1 20.0 5.8 10.7 -11.6 20.0 1.9 -0.0 4.8 0.7 0.5 2.8 -4.9 5.1 -10.8 9.8 11.4 5.9 15.1 EUROSTX -20.0 20.0 16.4 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -6.5 10.5 -8.1 -1.7 8.4 13.0 7.4 3.3 3.4 2.6 14.2 11.9 -9.7 3.3 2.2 -17.6 -0.0 3.7 -2.2 3.3 -3.4 0.8 0.1 7.6 -3.4 1.0 20.0 20.0 FEEDCOW 10.8 9.4 -6.2 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 10.2 0.7 8.9 -1.3 10.0 1.8 -17.1 -20.0 -18.3 -20.0 4.3 -0.1 5.1 -1.8 6.7 -12.5 -0.0 2.8 3.6 0.0 2.9 -0.9 4.0 -20.0 9.4 19.9 15.6 -3.2 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 -5.0 -20.0 -14.5 -3.6 3.9 -2.0 1.3 3.2 -2.1 7.4 -4.4 1.0 9.4 -6.9 -7.8 20.0 20.0 20.0 20.0 -9.6 -1.7 0.9 11.6 -7.9 -5.4 -0.0 -3.7 2.3 -1.0 0.3 4.1 -3.0 5.6 2.7 -4.1 -9.0 6.0 GASOILINE -11.5 -13.4 -15.3 -3.6 3.9 -2.0 1.3 3.2 -2.1 12.0 -11.5 -1.4 2.9 -9.6 -8.5 -2.9 20.0 8.8 19.4 -12.5 -7.6 1.1 5.7 -10.0 -5.1 -0.0 -3.5 5.9 -1.0 1.4 6.0 -2.7 0.0 -4.6 0.5 4.1 7.8 GAS_US -8.9 0.3 -20.0 -3.6 3.9 -2.0 1.3 3.2 -2.1 -12.6 -9.9 -10.7 -0.4 -8.0 -11.5 12.6 -7.6 -3.4 -7.2 -10.5 -8.2 -17.8 -0.5 -11.7 -11.3 -0.0 -2.1 -10.2 -0.4 -6.6 4.4 -3.2 -20.0 -20.0 -10.8 16.5 0.2 GBP 8.3 20.0 20.0 2.8 -0.9 -0.5 0.4 -3.7 2.8 -13.3 3.0 -0.4 -6.7 11.8 12.7 -2.0 -1.5 -1.9 -1.9 14.4 3.3 -1.8 -9.2 11.1 12.5 -0.0 2.9 -4.1 -2.3 -1.0 -7.2 2.9 0.4 -9.7 1.4 -2.9 -4.2 GOLD_micro 8.7 20.0 11.3 3.5 0.0 1.8 0.4 0.5 2.8 10.0 -2.9 10.8 -9.0 14.0 11.7 -10.4 -8.3 -10.3 -9.7 12.0 2.0 9.8 -5.5 13.2 9.9 -0.0 4.1 3.5 1.0 3.2 -1.1 4.5 -12.9 13.5 4.7 7.4 -4.8 HEATOIL -8.9 -18.7 -18.1 -3.6 3.9 -2.0 1.3 3.2 -2.1 7.4 -4.9 2.0 8.5 -6.0 -5.6 20.0 20.0 20.0 20.0 -8.7 -1.5 1.4 10.8 -7.1 -13.4 -0.0 -3.1 3.2 0.5 0.7 7.9 -2.6 14.7 5.5 -1.2 -2.5 7.4 JPY 10.2 20.0 20.0 2.8 -0.9 -0.5 0.4 -3.7 2.8 9.9 -4.4 9.8 -12.3 12.6 9.0 -11.1 -10.3 -11.8 -11.6 10.3 -1.9 16.2 -13.8 14.7 12.1 -0.0 3.7 7.7 -1.2 5.6 -6.7 5.3 -15.5 20.0 19.3 13.1 -1.3 LEANHOG -8.6 -1.2 -3.6 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 11.3 1.1 -0.7 -0.6 -3.3 6.5 -20.0 20.0 -11.6 14.3 -0.9 0.7 3.9 2.7 -2.2 -6.0 -0.0 -1.2 9.0 -0.5 2.4 1.0 -1.3 13.8 3.9 -3.7 -1.4 3.1 LIVECOW -0.6 0.9 6.9 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 11.8 8.9 9.9 -0.4 7.4 8.8 -19.8 -20.0 -20.0 -20.0 5.8 4.9 9.1 1.4 6.1 -20.0 -0.0 3.9 10.3 4.0 5.8 3.1 4.0 -20.0 20.0 13.6 8.7 12.8 MXP -20.0 -3.3 4.2 2.8 -0.9 -0.5 0.4 -3.7 2.8 5.2 12.8 -7.9 14.5 -0.7 7.6 17.6 20.0 18.4 19.2 6.3 11.6 -2.5 13.1 -1.2 -20.0 -0.0 3.3 1.7 5.0 -1.1 4.9 -0.3 20.0 0.9 -17.1 -10.6 20.0 NASDAQ -4.3 10.7 -5.1 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -10.6 -9.4 -12.6 -12.2 -0.7 -7.2 -4.8 -3.3 -4.6 -4.2 -5.0 -9.4 -15.1 -13.2 -8.2 8.7 -0.0 -1.6 -5.9 -3.7 -6.6 -4.8 -3.1 -3.6 0.5 1.5 -9.4 -10.2 NIKKEI -19.6 2.6 -0.6 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -14.1 4.5 -15.8 1.4 -9.3 2.0 12.5 8.9 8.5 9.0 -3.1 2.0 -20.0 1.9 -14.4 -7.5 -0.0 -2.8 -8.7 -1.0 -10.5 -1.0 -7.9 18.4 -17.9 -14.8 -12.1 -0.3 NZD 10.4 20.0 14.6 2.8 -0.9 -0.5 0.4 -3.7 2.8 -12.9 3.0 3.7 -7.2 12.4 11.7 -0.1 0.4 -0.5 -0.3 18.0 5.4 1.0 -7.1 15.3 0.2 -0.0 4.2 -2.9 0.7 0.1 -2.6 3.7 3.5 -6.4 7.8 14.9 5.0 OAT -6.0 20.0 5.2 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -14.1 -7.0 -13.4 -11.6 -1.6 -2.1 12.2 12.5 13.2 13.5 -3.0 -9.9 -20.0 -19.4 -11.6 10.8 -0.0 -1.3 -12.0 -4.3 -9.9 -8.9 -3.9 20.0 -20.0 -16.0 -3.0 -1.3 OJ -7.2 -6.7 16.7 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 9.6 13.4 7.4 14.1 4.8 12.2 13.7 12.2 15.2 15.3 15.4 20.0 9.1 20.0 8.5 -20.0 -0.0 4.8 5.4 8.7 3.2 10.4 2.2 3.2 0.9 9.4 11.0 20.0 PALLAD -4.3 -6.2 -8.1 3.5 0.0 1.8 0.4 0.5 2.8 -12.5 -12.1 -12.9 -8.1 -12.4 -12.9 -1.5 -1.3 -1.6 -1.5 -13.9 -10.4 -20.0 -7.6 -17.6 5.7 -0.0 -4.3 -9.7 -2.8 -9.0 -1.7 -6.1 0.0 -20.0 -20.0 -20.0 -17.5 PLAT -6.6 12.4 19.1 3.5 0.0 1.8 0.4 0.5 2.8 -6.1 9.1 -7.0 -1.5 6.2 11.6 -1.3 -0.4 -0.5 -0.3 10.0 9.0 -3.6 2.2 3.3 -3.3 -0.0 4.8 -1.9 3.6 -1.0 0.4 2.2 1.8 -0.7 -3.5 0.3 13.4 REDWHEAT -15.4 -16.8 -6.2 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 8.8 -12.6 -7.1 -5.7 -12.2 -9.8 6.0 0.5 4.2 2.6 -15.9 -11.7 -5.5 -2.9 -14.8 -8.7 -0.0 -4.7 2.1 -2.0 -1.5 2.1 -4.6 -18.3 7.7 -13.4 -14.8 3.9 ROBUSTA 20.0 -10.9 -20.0 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 5.5 -10.8 12.5 -4.9 5.3 -10.3 14.7 8.0 11.2 9.2 -11.4 -17.6 6.1 -7.7 2.7 -0.8 -0.0 -2.3 1.4 -3.8 1.7 -1.7 1.0 -6.3 2.4 20.0 -6.2 -20.0 RUSSELL -12.6 5.9 2.1 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -5.8 -4.2 -11.7 -10.4 -6.6 -1.8 -4.6 -2.4 -4.2 -3.5 -3.4 -3.3 -13.9 -7.2 -9.8 -3.6 -0.0 -1.6 -3.5 -1.2 -6.8 -2.2 -4.8 -2.2 2.6 -5.8 -9.8 -1.7 SILVER-mini 12.0 20.0 20.0 3.5 0.0 1.8 0.4 0.5 2.8 8.5 4.7 12.0 -5.2 14.0 13.8 -4.5 -3.4 -4.3 -4.0 18.1 8.9 14.8 -1.5 18.8 9.9 -0.0 5.4 3.6 2.4 4.0 -1.1 5.4 -3.9 20.0 20.0 18.3 20.0 SOYBEAN -0.1 4.6 3.6 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 -0.6 0.4 4.9 4.5 9.3 11.5 20.0 20.0 20.0 20.0 4.7 4.0 0.8 7.2 3.1 -20.0 -0.0 3.4 0.6 5.6 0.0 10.8 1.4 20.0 -3.6 12.4 14.0 13.9 SOYMEAL 20.0 15.9 4.6 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 -8.3 6.7 7.0 9.4 9.7 9.4 9.7 13.8 11.2 13.2 19.0 11.8 10.2 8.3 20.0 -20.0 -0.0 5.2 -0.1 3.8 2.5 3.4 5.3 2.9 -4.5 20.0 20.0 20.0 SOYOIL -20.0 -13.4 -0.1 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 13.0 0.1 -5.2 5.2 -7.5 -4.5 11.1 20.0 17.2 19.6 -7.3 0.8 -1.4 7.5 -11.9 -19.3 -0.0 -1.3 2.8 1.5 -0.3 4.0 -2.9 14.5 20.0 -20.0 0.4 16.5 SP400 -13.1 12.7 4.3 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -4.9 1.5 -11.2 -5.5 -2.3 5.0 -3.5 -1.6 -2.1 -1.7 2.3 1.8 -12.6 -2.2 -5.9 -7.4 -0.0 0.8 -2.8 1.0 -5.5 0.2 -2.7 0.0 4.0 -5.1 -1.1 4.7 SP500 -8.0 14.1 -0.2 0.5 -3.9 -0.4 -5.4 -1.8 -2.1 -8.0 -3.6 -11.6 -8.3 -0.2 0.8 -5.2 -3.3 -4.8 -4.2 0.5 -2.6 -13.4 -6.4 -5.6 3.8 -0.0 0.3 -4.2 -1.4 -5.8 -3.3 -2.3 -3.6 2.5 -0.3 -2.0 -2.3 SUGAR11 2.2 19.2 13.3 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 13.5 8.0 11.9 3.4 13.4 12.1 20.0 20.0 20.0 20.0 16.0 11.0 20.0 5.7 17.4 -20.0 -0.0 5.7 7.6 4.2 6.5 2.6 5.8 20.0 20.0 20.0 20.0 20.0 US10 15.4 20.0 3.0 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -12.2 -7.4 -0.4 -12.4 11.2 -0.1 -8.8 0.2 -6.4 -4.1 4.0 -10.7 -3.7 -20.0 7.1 -6.6 -0.0 1.7 -5.2 -3.2 -1.5 -7.6 2.4 -4.8 18.7 14.5 8.3 2.4 US10U 16.0 20.0 1.9 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -13.1 -7.0 -2.7 -12.2 10.1 0.1 1.3 4.8 0.9 1.9 4.4 -10.1 -5.1 -20.0 6.9 -8.3 -0.0 1.8 -5.9 -2.7 -1.9 -6.6 2.3 4.3 12.8 14.8 9.4 3.3 US20 20.0 20.0 0.8 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -13.1 -5.7 0.1 -11.6 11.8 2.1 -2.6 2.2 -0.2 0.9 6.8 -9.4 -3.6 -20.0 10.5 -7.8 -0.0 2.1 -5.4 -2.2 -1.2 -5.3 2.8 1.1 14.9 19.8 13.7 2.9 US30 20.0 20.0 4.8 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -13.4 -5.6 -1.1 -12.9 10.0 2.9 0.3 0.4 -0.6 -0.5 6.7 -9.6 -5.0 -20.0 9.6 -6.2 -0.0 2.3 -5.7 -1.9 -1.5 -5.3 2.9 -1.7 8.2 20.0 13.8 8.5 US5 17.8 20.0 4.2 -0.3 -8.7 -3.8 -5.5 -7.1 -0.8 -9.6 -7.5 4.7 -12.8 12.4 -0.3 -5.6 1.4 -5.3 -3.5 4.0 -11.8 0.5 -20.0 8.9 -4.4 -0.0 1.7 -3.3 -3.7 -0.0 -9.0 3.1 -3.3 20.0 18.4 8.4 2.0 VIX -4.0 -16.9 -5.3 -4.5 -2.4 -3.2 -2.4 -2.0 -4.1 -5.0 -13.0 -6.8 -10.9 -12.7 -13.6 -20.0 -20.0 -19.9 -17.6 -16.2 -13.0 -8.1 -9.3 -13.3 NaN -0.0 -5.6 -2.6 -4.1 -2.5 -2.6 -4.6 NaN NaN NaN NaN NaN WHEAT -15.8 -20.0 -11.4 -4.6 3.4 -4.1 -1.4 -0.9 -4.1 11.0 -13.8 -6.3 -8.7 -13.1 -10.7 -7.0 -4.4 -5.6 -5.0 -20.0 -17.7 -5.0 -8.0 -18.0 -6.2 -0.0 -5.1 2.8 -3.0 -0.9 0.6 -4.4 -20.0 9.6 -12.0 -19.2 -1.3 End of report for caleb_strategy_v1