******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221222_204322 produced at 2022-12-22 21:35:33.002650 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.23 0.0 9211561.63 -9211561.63 -0.21 -0.21 -25.40 999999999 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 22291979.15 -22291979.15 -0.11 -0.11 -5.12 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.10 0.0 33011048.28 -33011048.28 -0.10 -0.10 -2.99 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 40223081.02 -40223081.02 0.00 0.00 -2.30 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.09 0.0 38534663.78 -38534663.78 -0.15 -0.15 -2.45 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.07 0.0 47973192.98 -47973192.98 -0.10 -0.10 -1.37 999999999 -2 -2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.75 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 0.00 -0.05 0.0 42481685.08 -42481685.08 0.00 0.00 -1.17 999999999 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.04 0.0 45493157.15 -45493157.15 -0.09 -0.09 -0.84 999999999 -2 -2 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.04 0.0 26398209.90 -26398209.90 0.00 0.00 -1.42 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.03 0.0 3109964.92 -3109964.92 -0.01 -0.02 -10.34 999999999 -2 -5 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5244293.56 -5244293.56 0.00 0.00 -3.71 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 85702952.27 -85702952.27 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 49334998.36 -49334998.36 0.00 0.00 -0.44 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 77979412.13 -77979412.13 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.02 0.0 25969517.99 -25969517.99 -0.03 -0.03 -0.64 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14047631.49 -14047631.49 -0.01 -0.01 -0.66 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.02 -0.01 0.0 5856427.45 -5856427.45 0.02 0.01 -1.39 999999999 4 2 caleb_strategy_v1 BUXL False False 0.05 0.05 -0.01 0.0 53992991.62 -53992991.62 0.05 0.05 -0.19 999999999 1 1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9289505.62 -9289505.62 0.00 0.00 -1.14 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15221219.87 -15221219.87 -0.02 -0.02 -0.37 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 67802407.98 -67802407.98 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6368732.00 -6368732.00 0.00 0.00 -0.94 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33799345.38 -33799345.38 -0.07 -0.07 -0.26 999999999 -2 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13428331.12 -13428331.12 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6660667.64 -6660667.64 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47187110.19 -47187110.19 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.00 0.0 13569338.87 -13569338.87 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 23671941.94 -23671941.94 -0.05 -0.05 -0.12 999999999 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.00 0.0 15918287.08 -15918287.08 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 17305335.69 -17305335.69 0.00 0.00 0.22 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 587237.05 -587237.05 0.00 0.00 7.03 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 11000730.33 -11000730.33 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.03 0.00 -0.00 0.0 33968554.68 -33968554.68 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22486396.25 -22486396.25 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14933358.57 -14933358.57 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 59450001.62 -59450001.62 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10642010.87 -10642010.87 0.03 0.03 0.48 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14359598.63 -14359598.63 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 24419949.95 -24419949.95 0.00 0.00 0.31 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4468222.11 -4468222.11 0.00 0.00 1.69 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.01 0.0 8922814.60 -8922814.60 0.03 0.03 1.63 999999999 3 3 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22157348.64 -22157348.64 0.04 0.04 0.48 999999999 2 2 caleb_strategy_v1 GBP False False 0.03 0.03 0.02 0.0 26709100.10 -26709100.10 0.03 0.03 0.58 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8297207.85 -8297207.85 0.02 0.02 2.32 999999999 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.02 0.0 20947445.44 -20947445.44 0.02 0.02 0.72 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 33316624.12 -33316624.12 0.00 0.00 0.49 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 31283880.47 -31283880.47 0.00 0.00 0.86 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41626322.12 -41626322.12 0.04 0.04 0.73 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15624225.69 -15624225.69 0.06 0.06 1.68 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.04 0.0 45042410.64 -45042410.64 0.05 0.05 0.81 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 48652241.79 -48652241.79 0.00 0.00 0.89 999999999 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.08 0.0 0.00 0.00 0.00 0.00 11.29 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.11 0.0 24494782.40 -24494782.40 0.02 0.02 4.34 999999999 1 1 caleb_strategy_v1 BUND False False 0.05 0.15 0.16 0.0 50795297.41 -50795297.41 0.15 0.10 3.15 999999999 3 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.25 0.0 43795649.88 -43795649.88 0.18 0.18 5.77 999999999 4 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 8.5 Shocked risk 27.3 Sum abs risk 32.3 Leverage 2.01 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2822539.87, 'annual_cash_vol_target': 705634.9675, 'daily_cash_vol_target': 44102.18546875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6682 0.9288 14.8604 BITCOIN 768.9911 16575.0000 4.6395 74.2314 BOBL 0.3878 116.6900 0.3323 5.3167 BTP 0.9775 110.9100 0.8813 14.1013 BUND 0.7898 135.3400 0.5836 9.3375 BUXL 2.0090 143.8600 1.3965 22.3443 CAC 65.0943 6506.5000 1.0004 16.0072 CAD 0.0039 0.7330 0.5283 8.4527 CANOLA 9.3616 861.0000 1.0873 17.3967 CHF 0.0064 1.0832 0.5917 9.4667 COCOA 35.6506 2622.0000 1.3597 21.7547 COFFEE 0.0358 1.6925 2.1155 33.8473 COPPER 0.0552 3.7615 1.4668 23.4687 CORN 4.1403 600.7500 0.6892 11.0270 COTTON2 0.0195 0.8430 2.3106 36.9704 CRUDE_W 1.2689 74.5100 1.7030 27.2485 DAX 148.1918 13973.0000 1.0606 16.9689 DOW 355.6950 33060.0000 1.0759 17.2145 EUR 0.0061 1.0655 0.5765 9.2239 EUROSTX 43.9096 3826.0000 1.1477 18.3626 FEEDCOW 1.2075 186.3500 0.6480 10.3673 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.8421 883.0000 2.4736 39.5780 GASOILINE 0.0485 2.2828 2.1242 33.9867 GAS_US 0.2855 4.4930 6.3550 101.6799 GBP 0.0100 1.2062 0.8264 13.2227 GOLD_micro 17.4250 1797.6000 0.9693 15.5095 HEATOIL 0.0718 3.0270 2.3708 37.9335 JPY 0.0001 0.0076 1.0591 16.9463 LEANHOG 1.5817 95.7500 1.6519 26.4303 LIVECOW 0.9585 157.3000 0.6094 9.7498 MXP 0.0004 0.0504 0.7288 11.6606 NASDAQ 184.8573 11005.0000 1.6798 26.8761 NIKKEI 284.3152 26065.0000 1.0908 17.4527 NZD 0.0056 0.6254 0.8888 14.2204 OAT 0.8384 129.6300 0.6468 10.3487 OJ 0.0327 2.0700 1.5778 25.2453 PALLAD 46.7170 1678.0000 2.7841 44.5454 PLAT 19.0866 976.9000 1.9538 31.2606 REDWHEAT 13.7284 859.2500 1.5977 25.5636 ROBUSTA 19.4054 1880.0000 1.0322 16.5152 RUSSELL 26.3459 1755.6000 1.5007 24.0109 SILVER-mini 0.4931 23.6500 2.0849 33.3585 SOYBEAN 10.7445 1382.7500 0.7770 12.4326 SOYMEAL 6.4750 441.0000 1.4683 23.4922 SOYOIL 1.0707 63.1700 1.6949 27.1191 SP400 32.4999 2419.0000 1.3435 21.4964 SP500 49.7761 3827.5000 1.3005 20.8078 SUGAR11 0.0025 0.2091 1.1732 18.7713 US10 0.5051 113.5312 0.4449 7.1179 US10U 0.7094 119.9062 0.5917 9.4666 US20 1.0286 128.4062 0.8010 12.8164 US30 1.6434 139.2500 1.1802 18.8825 US5 0.3299 108.7656 0.3033 4.8532 VIX 0.5711 26.0000 2.1964 35.1431 WHEAT 11.0434 793.0000 1.3926 22.2818 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.15 0.93 620.56 1.00 620.56 44102.19 71.07 -1.08 -7.68 BITCOIN 16.58 4.64 76.90 1.00 76.90 44102.19 573.51 5.20 298.39 BOBL 1166.90 0.33 387.75 1.06 411.44 44102.19 107.19 7.46 79.95 BTP 1109.10 0.88 977.48 1.06 1037.21 44102.19 42.52 8.52 36.23 BUND 1353.40 0.58 789.83 1.06 838.09 44102.19 52.62 8.29 43.63 BUXL 1438.60 1.40 2009.03 1.06 2131.79 44102.19 20.69 -1.08 -2.23 CAC 650.65 1.00 650.94 1.06 690.72 44102.19 63.85 1.75 11.15 CAD 733.00 0.53 387.24 1.00 387.24 44102.19 113.89 -3.16 -35.95 CANOLA 172.20 1.09 187.23 0.73 137.55 44102.19 320.63 5.75 184.29 CHF 1354.06 0.59 801.15 1.00 801.15 44102.19 55.05 -6.63 -36.50 COCOA 262.20 1.36 356.51 1.00 356.51 44102.19 123.71 -4.23 -52.28 COFFEE 634.69 2.12 1342.65 1.00 1342.65 44102.19 32.85 -4.12 -13.54 COPPER 940.38 1.47 1379.33 1.00 1379.33 44102.19 31.97 5.65 18.06 CORN 300.38 0.69 207.02 1.00 207.02 44102.19 213.04 2.52 53.76 COTTON2 421.50 2.31 973.94 1.00 973.94 44102.19 45.28 1.12 5.09 CRUDE_W 745.10 1.70 1268.93 1.00 1268.93 44102.19 34.76 -3.09 -10.75 DAX 139.73 1.06 148.19 1.06 157.25 44102.19 280.47 -2.44 -68.29 DOW 165.30 1.08 177.85 1.00 177.85 44102.19 247.98 -1.97 -48.75 EUR 1331.88 0.58 767.82 1.00 767.82 44102.19 57.44 -0.44 -2.53 EUROSTX 382.60 1.15 439.10 1.06 465.92 44102.19 94.66 2.58 24.41 FEEDCOW 931.75 0.65 603.73 1.00 603.73 44102.19 73.05 -15.26 -111.44 FTSE100 707.00 0.82 576.59 1.21 666.67 44102.19 66.15 -2.56 -16.96 GASOIL 883.00 2.47 2184.21 1.00 2184.21 44102.19 20.19 5.94 11.99 GASOILINE 958.78 2.12 2036.60 1.00 2036.60 44102.19 21.65 -0.74 -1.60 GAS_US 449.30 6.35 2855.30 1.00 2855.30 44102.19 15.45 -11.11 -17.16 GBP 753.88 0.83 623.02 1.00 623.02 44102.19 70.79 4.58 32.43 GOLD_micro 179.76 0.97 174.25 1.00 174.25 44102.19 253.10 -1.67 -42.20 HEATOIL 1271.34 2.37 3014.15 1.00 3014.15 44102.19 14.63 7.77 11.37 JPY 954.00 1.06 1010.43 1.00 1010.43 44102.19 43.65 -0.91 -3.95 LEANHOG 383.00 1.65 632.68 1.00 632.68 44102.19 69.71 -0.25 -1.77 LIVECOW 629.20 0.61 383.41 1.00 383.41 44102.19 115.03 -16.58 -190.68 MXP 251.85 0.73 183.54 1.00 183.54 44102.19 240.28 5.53 132.91 NASDAQ 2201.00 1.68 3697.15 1.00 3697.15 44102.19 11.93 -4.88 -5.82 NIKKEI 26065.00 1.09 28431.52 0.01 214.95 44102.19 205.17 2.90 59.45 NZD 625.40 0.89 555.84 1.00 555.84 44102.19 79.34 3.81 30.27 OAT 1296.30 0.65 838.44 1.06 889.67 44102.19 49.57 8.85 43.88 OJ 310.50 1.58 489.92 1.00 489.92 44102.19 90.02 -2.55 -22.94 PALLAD 1678.00 2.78 4671.70 1.00 4671.70 44102.19 9.44 -3.51 -3.31 PLAT 488.45 1.95 954.33 1.00 954.33 44102.19 46.21 1.97 9.11 REDWHEAT 429.62 1.60 686.42 1.00 686.42 44102.19 64.25 -10.79 -69.35 ROBUSTA 188.00 1.03 194.05 1.00 194.05 44102.19 227.27 -1.06 -24.05 RUSSELL 87.78 1.50 131.73 1.00 131.73 44102.19 334.79 -5.96 -199.61 SILVER-mini 591.25 2.08 1232.70 1.00 1232.70 44102.19 35.78 9.05 32.37 SOYBEAN 691.38 0.78 537.22 1.00 537.22 44102.19 82.09 8.96 73.60 SOYMEAL 441.00 1.47 647.50 1.00 647.50 44102.19 68.11 4.19 28.53 SOYOIL 379.02 1.69 642.42 1.00 642.42 44102.19 68.65 2.27 15.61 SP400 2419.00 1.34 3249.99 1.00 3249.99 44102.19 13.57 -3.67 -4.98 SP500 1913.75 1.30 2488.80 1.00 2488.80 44102.19 17.72 -3.66 -6.49 SUGAR11 234.19 1.17 274.76 1.00 274.76 44102.19 160.51 10.65 170.98 US10 1135.31 0.44 505.07 1.00 505.07 44102.19 87.32 -6.86 -59.92 US10U 1199.06 0.59 709.44 1.00 709.44 44102.19 62.16 -1.29 -8.04 US20 1284.06 0.80 1028.57 1.00 1028.57 44102.19 42.88 -2.65 -11.38 US30 1392.50 1.18 1643.36 1.00 1643.36 44102.19 26.84 -1.95 -5.24 US5 1087.66 0.30 329.92 1.00 329.92 44102.19 133.68 -4.78 -63.96 VIX 260.00 2.20 571.08 1.00 571.08 44102.19 77.23 -17.45 -134.77 WHEAT 396.50 1.39 552.17 1.00 552.17 44102.19 79.87 -15.39 -122.91 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -7.679 0.006 2.5 -0.123 BITCOIN 298.391 0.009 2.5 7.030 BOBL 79.947 0.029 2.5 5.769 BTP 36.234 0.008 2.5 0.732 BUND 43.634 0.029 2.5 3.149 BUXL -2.233 0.034 2.5 -0.187 CAC 11.154 0.011 2.5 0.314 CAD -35.948 0.007 2.5 -0.642 CANOLA 184.286 0.004 2.5 1.692 CHF -36.501 0.015 2.5 -1.366 COCOA -52.278 0.009 2.5 -1.139 COFFEE -13.535 0.005 2.5 -0.175 COPPER 18.055 0.011 2.5 0.493 CORN 53.756 0.004 2.5 0.485 COTTON2 5.093 0.006 2.5 0.077 CRUDE_W -10.747 0.053 2.5 -1.420 DAX -68.294 0.022 2.5 -3.709 DOW -48.749 0.011 2.5 -1.389 EUR -2.533 0.015 2.5 -0.095 EUROSTX 24.405 0.011 2.5 0.686 FEEDCOW -111.437 0.011 2.5 -2.994 FTSE100 -16.955 0.041 2.5 -1.748 GASOIL 11.991 0.029 2.5 0.855 GASOILINE -1.598 0.016 2.5 -0.066 GAS_US -17.156 0.006 2.5 -0.258 GBP 32.429 0.007 2.5 0.579 GOLD_micro -42.202 0.009 2.5 -0.944 HEATOIL 11.369 0.029 2.5 0.811 JPY -3.954 0.026 2.5 -0.256 LEANHOG -1.767 0.019 2.5 -0.083 LIVECOW -190.684 0.011 2.5 -5.124 MXP 132.912 0.005 2.5 1.627 NASDAQ -5.824 0.022 2.5 -0.316 NIKKEI 59.446 0.076 2.5 11.291 NZD 30.269 0.006 2.5 0.484 OAT 43.880 0.008 2.5 0.886 OJ -22.937 0.007 2.5 -0.400 PALLAD -3.311 0.010 2.5 -0.080 PLAT 9.110 0.010 2.5 0.219 REDWHEAT -69.349 0.002 2.5 -0.370 ROBUSTA -24.051 0.005 2.5 -0.312 RUSSELL -199.614 0.021 2.5 -10.339 SILVER-mini 32.365 0.009 2.5 0.724 SOYBEAN 73.596 0.024 2.5 4.339 SOYMEAL 28.534 0.024 2.5 1.682 SOYOIL 15.608 0.004 2.5 0.143 SP400 -4.981 0.021 2.5 -0.258 SP500 -6.490 0.011 2.5 -0.185 SUGAR11 170.979 0.005 2.5 2.320 US10 -59.920 0.015 2.5 -2.299 US10U -8.041 0.058 2.5 -1.172 US20 -11.380 0.029 2.5 -0.839 US30 -5.237 0.034 2.5 -0.440 US5 -63.961 0.015 2.5 -2.454 VIX -134.775 0.075 2.5 -25.398 WHEAT -122.910 0.002 2.5 -0.656 ==================== Position diags ==================== AUD 1.14 BITCOIN 13.51 BOBL 7.73 BTP 0.86 BUND 3.80 BUXL 1.74 CAC 1.79 CAD 2.03 CANOLA 2.94 CHF 2.06 COCOA 2.69 COFFEE 0.43 COPPER 0.87 CORN 1.92 COTTON2 0.68 CRUDE_W 4.59 DAX 15.23 DOW 7.07 EUR 2.15 EUROSTX 2.66 FEEDCOW 1.96 FTSE100 6.82 GASOIL 1.44 GASOILINE 0.89 GAS_US 0.23 GBP 1.26 GOLD_micro 5.66 HEATOIL 1.04 JPY 2.83 LEANHOG 3.26 LIVECOW 3.09 MXP 2.94 NASDAQ 0.65 NIKKEI 38.97 NZD 1.27 OAT 1.00 OJ 1.57 PALLAD 0.23 PLAT 1.11 REDWHEAT 0.34 ROBUSTA 2.95 RUSSELL 17.34 SILVER-mini 0.80 SOYBEAN 4.84 SOYMEAL 4.02 SOYOIL 0.63 SP400 0.70 SP500 0.50 SUGAR11 2.18 US10 3.35 US10U 9.06 US20 3.16 US30 2.25 US5 5.13 VIX 14.55 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 7.0 5.7 8.4 NaN 0 BOBL 5.8 5.0 6.5 4.0 4 BTP 0.7 0.6 0.8 1.0 1 BUND 3.1 2.8 3.5 3.0 3 BUXL -0.2 -0.4 -0.0 1.0 1 CAC 0.3 0.1 0.5 0.0 0 CAD -0.6 -0.8 -0.4 -1.0 -1 CANOLA 1.7 1.4 2.0 NaN 0 CHF -1.4 -1.6 -1.2 -2.0 -2 COCOA -1.1 -1.4 -0.9 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 0.5 0.3 0.7 3.0 3 COTTON2 0.1 0.0 0.1 NaN 0 CRUDE_W -1.4 -1.9 -1.0 0.0 0 DAX -3.7 -5.2 -2.2 0.0 0 DOW -1.4 -2.1 -0.7 4.0 4 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 0.7 0.4 1.0 0.0 0 FEEDCOW -3.0 -3.2 -2.8 -3.0 -3 FTSE100 -1.7 -2.4 -1.1 0.0 0 GASOIL 0.9 0.7 1.0 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 1.0 1 GOLD_micro -0.9 -1.5 -0.4 0.0 0 HEATOIL 0.8 0.7 0.9 1.0 1 JPY -0.3 -0.5 0.0 -2.0 -2 LEANHOG -0.1 -0.4 0.2 0.0 0 LIVECOW -5.1 -5.4 -4.8 -5.0 -5 MXP 1.6 1.3 1.9 3.0 3 NASDAQ -0.3 -0.4 -0.3 0.0 0 NIKKEI 11.3 7.4 15.2 0.0 0 NZD 0.5 0.4 0.6 2.0 2 OAT 0.9 0.8 1.0 0.0 0 OJ -0.4 -0.6 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.2 0.1 0.3 NaN 0 REDWHEAT -0.4 -0.4 -0.3 -1.0 -1 ROBUSTA -0.3 -0.6 -0.0 0.0 0 RUSSELL -10.3 -12.1 -8.6 -2.0 -2 SILVER-mini 0.7 0.6 0.8 1.0 1 SOYBEAN 4.3 3.9 4.8 1.0 1 SOYMEAL 1.7 1.3 2.1 4.0 4 SOYOIL 0.1 0.1 0.2 0.0 0 SP400 -0.3 -0.3 -0.2 0.0 0 SP500 -0.2 -0.2 -0.1 0.0 0 SUGAR11 2.3 2.1 2.5 2.0 2 US10 -2.3 -2.6 -2.0 NaN 0 US10U -1.2 -2.1 -0.3 0.0 0 US20 -0.8 -1.2 -0.5 -2.0 -2 US30 -0.4 -0.7 -0.2 0.0 0 US5 -2.5 -3.0 -1.9 -4.0 -4 VIX -25.4 -26.9 -23.9 -23.0 -23 WHEAT -0.7 -0.7 -0.6 -1.0 -1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.2 -0.1 -0.1 BITCOIN 0.0 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 -0.1 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 0.0 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 -0.2 -0.3 0.0 0.2 BUND -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 -0.2 1.2 0.7 0.3 0.3 -0.1 -0.2 -0.0 -0.3 -0.0 1.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 -0.1 -0.3 -0.1 -0.1 BUXL -0.1 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 -0.1 -0.2 -0.2 0.0 0.0 CAC -0.2 0.3 0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 -0.0 0.0 0.3 -0.0 0.2 0.0 0.0 0.1 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 0.1 0.2 0.2 CAD -0.1 0.1 -0.1 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 1.2 -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 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.1 0.0 0.1 0.7 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 0.2 -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 -1.1 -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 -0.0 0.0 0.1 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 -0.6 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.7 0.1 0.3 0.3 0.2 COFFEE 0.2 -0.1 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 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 -0.2 -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 0.0 0.0 CORN -0.1 -0.3 0.1 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 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 -1.6 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.8 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 0.1 -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 0.1 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 -0.2 -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 -0.3 -0.0 -0.1 0.3 0.3 DOW -0.2 0.3 0.2 0.0 -0.1 -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 0.0 -0.0 0.1 0.2 EUR 0.2 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 0.4 -0.5 -0.3 -0.1 -0.2 0.2 0.1 0.0 -0.1 0.0 0.2 -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 1.1 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 0.1 -1.4 -0.8 -0.4 -0.4 0.1 0.0 0.0 -0.0 0.0 -2.2 -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 -0.2 -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 0.8 0.0 -0.1 -0.1 0.1 GASOILINE -0.1 -0.2 -0.2 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.0 -0.3 0.0 0.1 -0.0 -0.2 -0.3 0.9 0.2 0.4 -0.1 -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 0.0 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 1.2 -0.3 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -1.3 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -2.7 -0.3 -0.4 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 0.0 -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 2.1 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 1.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.9 0.2 0.4 0.2 -0.0 LEANHOG -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.2 -1.6 0.8 -0.3 0.3 -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 1.7 0.1 -0.0 -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 -0.2 -0.1 0.3 NASDAQ -0.1 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 -0.1 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 0.8 0.3 0.2 0.2 -0.1 0.0 -0.0 0.0 -0.0 -1.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 2.5 -0.2 -0.4 -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 0.0 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 -0.1 -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 -0.1 -0.0 OJ -0.0 -0.1 0.4 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.0 0.5 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 -0.1 -0.1 -0.2 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 1.1 -0.0 -0.1 -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 -0.0 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 -1.1 -0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -2.4 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 1.2 0.3 0.2 0.2 -0.1 -0.2 0.0 -0.1 0.0 -0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.8 -0.0 0.4 -0.0 -0.3 RUSSELL -0.2 0.1 0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.3 -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 -0.0 -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 2.0 -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 -0.0 -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 -0.0 -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 -0.2 0.4 0.3 0.3 SOYOIL -0.2 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.1 0.9 0.8 0.4 0.4 -0.1 0.0 -0.0 0.1 -0.0 -2.7 -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 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 0.0 -0.4 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.4 -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 0.1 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 0.1 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 0.0 -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 0.1 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 0.0 -0.1 -0.0 -0.3 0.0 -1.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.6 0.0 0.3 0.1 0.1 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 0.1 -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 0.1 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 0.1 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 0.0 -0.0 -0.5 0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.3 0.0 -0.7 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.5 0.0 0.1 0.1 0.0 VIX -0.0 -0.8 -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 -0.1 -0.3 -0.2 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.3 -0.0 -0.2 -0.0 -0.2 -0.6 -0.2 -0.1 -0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -0.8 -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 0.9 20.0 1.4 2.7 -1.8 -0.5 -0.2 -3.8 2.5 -13.1 -4.0 -8.9 -8.5 8.5 5.2 -2.8 -2.0 -2.7 -2.4 4.2 -2.7 -5.6 -8.6 2.3 4.9 -0.0 1.3 -4.2 -2.3 -2.7 -5.2 0.8 -0.4 -6.9 -7.1 -6.7 -8.1 BITCOIN 4.3 6.7 1.6 3.4 -2.7 1.8 -0.7 0.5 2.2 -11.1 -15.2 -1.1 -15.9 -7.4 -9.5 2.4 -0.6 1.4 0.5 -8.1 -17.3 -2.8 -20.0 -3.4 20.0 -0.0 -4.7 -1.9 -6.6 -1.5 -6.6 -2.5 2.3 6.5 -5.6 -20.0 -20.0 BOBL -5.5 15.2 -5.5 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -14.1 -12.8 -14.5 -13.3 -8.6 -12.0 0.6 15.8 12.7 16.9 -12.2 -18.0 -20.0 -20.0 -17.5 14.0 -0.0 -3.9 -10.1 -6.4 -10.1 -10.3 -6.0 20.0 -20.0 -14.9 -16.8 -8.9 BTP -12.5 20.0 15.1 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -13.2 -3.1 -13.7 -10.8 -2.5 3.3 10.6 14.7 15.8 16.9 0.4 -4.9 -20.0 -16.5 -11.1 3.9 -0.0 -0.2 -8.0 -2.5 -8.5 -7.2 -3.7 20.0 -17.0 -15.8 1.3 11.8 BUND -7.7 19.4 -3.1 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -14.1 -10.2 -14.4 -12.5 -5.4 -7.5 14.2 16.1 14.0 15.0 -8.9 -16.0 -20.0 -20.0 -16.1 10.7 -0.0 -2.8 -10.8 -5.4 -10.2 -9.1 -5.3 20.0 -20.0 -16.9 -10.0 -7.4 BUXL -4.8 20.0 2.4 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -14.1 -5.6 -13.5 -11.1 -0.3 1.4 4.8 -1.3 5.2 2.9 -0.8 -9.5 -20.0 -20.0 -11.5 6.1 -0.0 -0.6 -10.9 -2.8 -9.4 -5.9 -3.5 -1.0 -20.0 -10.7 2.5 1.1 CAC -20.0 19.1 12.0 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -7.8 10.8 -9.0 -0.2 4.9 12.2 -0.5 3.7 0.4 1.7 11.0 10.8 -10.2 5.2 -0.7 -15.1 -0.0 2.9 -2.4 2.9 -3.8 1.2 -0.8 7.6 1.7 3.0 12.4 16.9 CAD -10.1 5.4 -8.6 2.7 -1.8 -0.5 -0.2 -3.8 2.5 -4.5 -9.9 -11.3 -11.2 -8.9 -7.2 -2.0 -1.0 -1.9 -1.5 -8.1 -11.6 -6.5 -12.9 -7.7 8.9 -0.0 -4.2 -1.6 -6.4 -3.0 -7.5 -3.6 1.3 -0.6 -20.0 -20.0 -18.9 CANOLA 11.1 -0.0 0.8 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 11.1 -9.7 13.2 -3.3 2.0 5.1 9.9 13.2 10.1 9.7 -1.0 -6.0 5.0 -0.9 2.7 6.8 -0.0 -0.8 2.4 -1.0 1.7 1.8 0.2 -1.5 -1.0 19.9 -5.6 10.9 CHF 10.8 20.0 11.8 2.7 -1.8 -0.5 -0.2 -3.8 2.5 -1.3 7.6 9.8 -3.9 14.7 13.4 -12.4 -11.7 -12.3 -12.3 16.5 7.2 7.6 -2.8 15.9 -8.0 -0.0 4.4 -0.4 1.2 2.1 -2.5 4.5 -17.3 10.5 6.7 7.9 9.8 COCOA -0.5 15.1 11.7 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 10.8 2.9 8.7 -7.6 11.9 11.8 -1.3 -3.0 -0.5 -1.3 9.2 4.2 11.6 -2.8 9.2 -4.0 -0.0 4.1 13.8 2.0 6.3 -1.0 4.1 -20.0 13.1 17.2 20.0 16.6 COFFEE 16.1 -10.7 -20.0 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 8.4 -12.7 7.7 -8.4 -2.0 -12.7 -0.2 3.9 2.9 4.7 -17.1 -20.0 5.9 -12.9 -2.6 10.6 -0.0 -4.6 1.9 -5.9 1.6 -3.3 -0.8 -12.8 18.5 13.9 -18.4 -20.0 COPPER 7.6 18.0 15.8 3.4 -2.7 1.8 -0.7 0.5 2.2 -10.3 -5.5 5.6 -8.5 8.2 8.8 -1.3 -0.1 -0.5 -0.2 10.1 1.5 -0.2 -7.9 7.3 13.5 -0.0 4.2 -1.9 1.4 -0.2 -1.4 2.8 2.1 -1.1 4.1 2.9 0.3 CORN -12.1 -19.4 6.8 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 9.9 -0.0 -5.5 4.6 -12.3 -6.3 20.0 15.1 18.6 16.1 -9.0 -0.5 0.4 13.5 -8.8 -10.8 -0.0 -4.4 3.6 -1.4 0.6 4.0 -3.5 5.5 8.3 -5.9 -17.1 0.9 COTTON2 9.7 8.0 -20.0 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 5.4 -10.7 7.2 -1.8 9.2 -7.6 2.2 15.7 5.2 10.9 -5.2 -11.9 10.1 -4.8 4.3 0.5 -0.0 -0.2 4.1 -2.5 5.6 1.6 3.5 3.5 15.3 20.0 18.5 -20.0 CRUDE_W -7.7 -4.5 -3.3 -3.5 3.0 -2.0 1.5 3.2 -1.8 9.1 -6.2 -3.7 2.4 -8.3 2.5 6.1 12.9 7.4 10.0 -4.7 -3.1 -0.0 4.4 -4.7 -2.5 -0.0 -2.0 3.6 -0.2 0.4 5.7 -2.1 -19.6 -12.4 5.0 9.6 10.4 DAX -20.0 20.0 18.1 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -10.8 8.7 -11.4 -4.0 6.2 12.0 -6.7 -2.3 -5.0 -3.7 12.0 9.6 -12.5 -0.9 -1.0 -11.3 -0.0 3.0 -3.5 2.6 -4.1 -0.4 -0.8 -2.0 -0.9 -4.7 19.2 20.0 DOW -16.9 17.7 11.8 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -9.3 7.5 -11.1 -0.9 1.3 10.3 -5.5 -2.3 -5.0 -4.1 8.4 7.2 -11.1 1.0 -2.1 -6.8 -0.0 2.3 -3.6 2.0 -4.0 0.4 -1.1 -2.6 3.1 -1.1 10.0 11.3 EUR 13.6 20.0 19.4 2.7 -1.8 -0.5 -0.2 -3.8 2.5 -0.4 2.3 10.2 -9.2 14.9 14.7 -7.4 -8.3 -7.6 -8.1 20.0 6.2 8.5 -11.4 18.9 1.7 -0.0 4.8 -0.2 0.6 2.2 -4.9 4.8 -10.8 9.0 11.9 6.7 15.3 EUROSTX -20.0 20.0 16.6 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -9.2 10.5 -9.4 -1.6 7.4 12.6 7.7 3.4 3.7 2.7 13.0 11.6 -10.2 3.3 0.9 -17.5 -0.0 3.4 -2.9 3.3 -3.5 0.9 -0.3 7.8 0.1 1.1 20.0 20.0 FEEDCOW 10.7 10.0 -5.7 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 12.8 0.9 11.1 -1.2 11.1 2.4 -17.6 -20.0 -18.5 -20.0 4.9 0.2 7.5 -1.7 7.7 -13.1 -0.0 3.0 5.7 0.2 4.2 -0.8 4.5 -20.0 5.9 20.0 15.0 -3.1 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 -5.9 -20.0 -12.2 -3.5 3.0 -2.0 1.5 3.2 -1.8 6.7 -4.7 1.0 9.3 -6.7 -7.8 20.0 20.0 20.0 20.0 -9.8 -1.9 0.8 11.9 -7.6 -5.6 -0.0 -3.7 1.7 -1.1 0.3 4.2 -2.8 6.1 2.7 -4.0 -9.2 5.3 GASOILINE -10.9 -13.9 -13.9 -3.5 3.0 -2.0 1.5 3.2 -1.8 13.4 -11.6 0.7 2.8 -8.7 -8.2 -3.0 20.0 8.4 19.0 -11.8 -7.6 4.0 5.7 -8.0 -5.1 -0.0 -3.2 6.2 -0.9 2.6 6.1 -1.9 0.0 0.9 1.2 4.0 8.3 GAS_US -11.6 -0.9 -20.0 -3.5 3.0 -2.0 1.5 3.2 -1.8 -13.4 -10.3 -12.3 -0.7 -9.5 -12.0 15.1 -7.2 -2.0 -6.4 -12.0 -8.8 -20.0 -0.8 -14.7 -11.0 -0.0 -2.6 -11.5 -0.6 -8.1 4.1 -4.3 -20.0 -20.0 -20.0 15.5 -2.0 GBP 6.1 20.0 14.7 2.7 -1.8 -0.5 -0.2 -3.8 2.5 -13.8 3.2 -3.8 -6.6 10.9 12.4 -2.0 -1.5 -1.9 -1.9 13.7 3.3 -4.9 -9.2 8.9 12.5 -0.0 2.6 -5.1 -2.4 -2.1 -7.3 2.1 0.4 -10.3 -0.2 -3.6 -4.0 GOLD_micro 6.4 20.0 11.4 3.4 -2.7 1.8 -0.7 0.5 2.2 -1.0 -2.6 8.2 -8.9 13.5 11.7 -10.4 -8.3 -10.3 -9.7 11.2 2.1 5.3 -5.1 11.2 9.8 -0.0 4.1 -0.6 1.1 1.8 -1.0 4.0 -13.0 13.7 4.7 7.7 -4.6 HEATOIL -8.8 -19.3 -16.0 -3.5 3.0 -2.0 1.5 3.2 -1.8 7.5 -5.0 2.8 8.5 -5.5 -5.4 20.0 20.0 20.0 20.0 -8.3 -1.6 2.2 10.8 -6.1 -13.4 -0.0 -3.0 2.6 0.5 1.1 8.1 -2.2 15.2 2.3 -0.1 -2.7 6.9 JPY 10.2 20.0 20.0 2.7 -1.8 -0.5 -0.2 -3.8 2.5 10.1 -3.9 10.7 -12.1 13.0 9.6 -10.8 -10.3 -11.6 -11.6 11.3 -1.3 17.3 -13.8 16.1 12.0 -0.0 3.9 6.2 -1.0 5.8 -6.4 5.6 -15.4 20.0 20.0 15.5 -0.2 LEANHOG -5.7 -1.2 -2.5 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 13.2 1.5 2.7 -0.6 -1.1 7.0 -20.0 19.9 -13.0 13.1 -0.1 0.9 7.7 2.8 0.0 -6.9 -0.0 -0.7 9.9 -0.4 4.3 1.1 -0.1 12.5 13.7 -1.2 -1.0 3.4 LIVECOW 0.1 1.2 7.3 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 10.7 9.2 10.9 -0.2 8.6 9.4 -19.7 -20.0 -20.0 -20.0 6.5 5.3 10.8 1.6 7.5 -20.0 -0.0 4.2 9.3 4.0 6.8 3.1 4.7 -20.0 20.0 14.7 7.5 13.1 MXP -20.0 -3.4 5.8 2.7 -1.8 -0.5 -0.2 -3.8 2.5 11.2 12.8 -5.3 14.5 -0.3 7.8 17.8 20.0 18.5 19.2 6.6 11.7 1.3 13.2 0.3 -20.0 -0.0 3.5 4.3 5.2 0.7 5.0 0.4 20.0 8.5 -13.3 -9.1 20.0 NASDAQ -8.0 11.1 -3.7 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -12.6 -9.7 -13.5 -12.3 -2.7 -7.9 -4.9 -3.3 -4.6 -4.2 -6.0 -9.4 -17.7 -12.8 -10.1 8.6 -0.0 -2.2 -9.7 -3.8 -8.2 -4.9 -4.2 -3.6 -4.7 0.4 -7.9 -10.5 NIKKEI -20.0 0.2 -0.6 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -13.7 3.7 -15.6 1.2 -10.8 0.3 13.5 9.1 9.0 9.2 -5.3 1.0 -20.0 1.5 -17.0 -7.0 -0.0 -3.4 -9.2 -1.3 -10.0 -1.0 -8.1 18.8 -19.8 -17.7 -13.1 -1.3 NZD 7.4 20.0 14.2 2.7 -1.8 -0.5 -0.2 -3.8 2.5 -13.7 3.2 0.1 -7.1 11.2 11.5 -0.0 0.4 -0.5 -0.2 16.8 5.4 -4.0 -7.0 12.1 0.1 -0.0 4.0 -4.5 0.7 -1.2 -2.6 2.9 3.5 -10.2 4.9 13.7 4.7 OAT -10.0 20.0 5.5 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -14.1 -7.3 -14.3 -11.7 -4.3 -3.0 12.2 12.5 13.2 13.5 -5.0 -10.7 -20.0 -19.9 -15.0 10.7 -0.0 -1.8 -10.7 -4.3 -10.0 -8.6 -4.8 20.0 -20.0 -18.3 -5.3 -1.8 OJ -4.9 -5.6 16.4 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 10.0 13.6 9.5 14.2 6.0 12.5 13.8 12.3 15.2 15.3 15.8 20.0 10.5 20.0 9.6 -20.0 -0.0 5.0 4.9 8.8 3.8 10.5 2.7 3.4 3.6 9.0 10.8 20.0 PALLAD -6.0 -7.0 -9.1 3.4 -2.7 1.8 -0.7 0.5 2.2 -12.5 -12.3 -13.2 -8.2 -12.9 -13.2 -1.3 -1.3 -1.5 -1.5 -15.2 -11.2 -20.0 -8.1 -19.0 6.0 -0.0 -4.5 -7.7 -2.9 -8.3 -1.8 -6.3 0.0 -20.0 -20.0 -20.0 -18.6 PLAT -9.2 10.4 16.9 3.4 -2.7 1.8 -0.7 0.5 2.2 -11.3 8.9 -9.9 -1.5 4.6 11.0 -1.4 -0.4 -0.5 -0.3 8.8 8.5 -7.5 2.2 1.0 -3.1 -0.0 4.4 -5.2 3.6 -2.6 0.4 1.3 1.7 0.0 -4.9 -1.6 13.3 REDWHEAT -14.0 -17.1 -6.6 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 12.3 -12.7 -5.3 -5.8 -11.6 -9.8 6.0 0.6 4.3 2.6 -15.6 -11.9 -2.4 -3.1 -13.1 -8.0 -0.0 -4.5 3.2 -2.1 -0.3 2.1 -4.0 -18.0 8.6 -13.1 -14.7 3.7 ROBUSTA 20.0 -9.2 -20.0 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 7.8 -10.7 12.9 -5.0 7.1 -10.1 15.1 8.1 11.4 9.4 -10.9 -17.6 6.5 -7.9 3.1 -1.0 -0.0 -2.2 1.5 -3.8 1.9 -1.7 1.1 -5.9 -0.8 20.0 -3.7 -20.0 RUSSELL -14.6 5.2 2.6 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -9.8 -4.5 -12.5 -10.5 -8.1 -2.2 -4.6 -2.4 -4.2 -3.6 -4.2 -3.6 -14.5 -7.2 -10.6 -3.7 -0.0 -2.0 -5.8 -1.4 -7.1 -2.2 -5.1 -2.2 2.3 -4.6 -9.8 -1.8 SILVER-mini 10.9 20.0 20.0 3.4 -2.7 1.8 -0.7 0.5 2.2 0.8 5.1 10.8 -5.0 13.6 13.8 -4.3 -3.4 -4.2 -4.0 17.7 9.0 11.2 -1.2 17.4 9.3 -0.0 5.4 1.1 2.5 3.1 -1.0 5.1 -3.9 20.0 20.0 18.9 20.0 SOYBEAN -1.6 4.1 3.8 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 -7.6 0.4 2.8 4.5 8.0 11.3 20.0 20.0 20.0 20.0 4.4 4.0 -1.0 7.2 2.2 -20.0 -0.0 3.1 -2.9 5.5 -1.3 10.8 0.8 20.0 -10.7 9.6 12.8 13.7 SOYMEAL 20.0 16.1 4.8 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 -11.0 6.9 6.3 9.5 9.1 9.2 9.9 13.8 11.2 13.2 18.8 12.1 7.5 8.5 18.8 -20.0 -0.0 5.2 -0.8 3.9 1.9 3.5 4.9 3.1 -20.0 20.0 20.0 20.0 SOYOIL -20.0 -14.5 0.9 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 11.1 0.0 -4.9 5.1 -7.2 -4.7 10.9 20.0 17.0 19.5 -7.2 0.6 -1.3 7.5 -10.9 -18.8 -0.0 -1.3 1.5 1.5 -0.3 4.1 -2.7 14.5 19.8 -20.0 -1.4 16.4 SP400 -15.2 11.6 4.8 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -8.4 1.3 -11.8 -5.5 -3.9 4.6 -3.5 -1.7 -2.2 -1.8 1.4 1.5 -13.0 -2.2 -6.8 -7.5 -0.0 0.4 -4.7 0.8 -5.8 0.1 -3.2 0.0 2.5 -4.2 -0.9 4.7 SP500 -10.8 13.5 0.7 0.1 -5.3 -0.5 -5.8 -1.8 -2.6 -11.8 -3.8 -12.8 -8.3 -1.9 0.3 -5.2 -3.4 -4.8 -4.3 -0.6 -2.9 -15.1 -6.3 -7.2 3.7 -0.0 -0.2 -7.2 -1.5 -6.8 -3.3 -3.1 -3.5 -0.6 -0.7 -1.5 -2.5 SUGAR11 4.3 19.7 14.1 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 13.9 8.5 13.3 3.8 14.0 12.6 20.0 20.0 20.0 20.0 17.5 11.8 20.0 6.2 20.0 -20.0 -0.0 5.8 7.7 4.2 7.0 2.5 6.2 20.0 20.0 20.0 20.0 20.0 US10 11.8 20.0 4.0 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -12.4 -7.3 -2.4 -12.4 10.5 0.1 -8.8 -0.0 -6.6 -4.3 3.6 -10.8 -5.1 -20.0 5.6 -6.8 -0.0 1.5 -4.5 -3.2 -2.0 -7.8 1.9 -5.1 20.0 17.8 9.4 3.0 US10U 12.5 20.0 2.2 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -13.0 -7.0 -4.8 -12.2 9.3 0.3 1.3 4.8 0.9 1.9 3.8 -10.2 -6.6 -20.0 5.1 -8.5 -0.0 1.6 -4.9 -2.8 -2.4 -6.8 1.7 4.3 17.2 17.7 10.6 3.8 US20 17.6 20.0 0.8 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -11.7 -5.6 -1.4 -11.6 11.2 2.3 -2.9 2.1 -0.4 0.8 6.5 -9.4 -4.6 -20.0 8.9 -8.1 -0.0 2.0 -4.1 -2.2 -1.5 -5.4 2.4 1.0 16.8 20.0 15.9 3.5 US30 19.2 20.0 5.0 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -12.7 -5.4 -3.0 -12.8 9.1 3.1 0.3 0.4 -0.6 -0.5 6.1 -9.7 -6.6 -20.0 7.6 -6.6 -0.0 2.2 -4.6 -1.9 -1.9 -5.4 2.3 -1.6 9.3 20.0 15.6 8.8 US5 13.9 20.0 5.5 -0.7 -7.9 -3.9 -6.1 -7.2 -1.6 -11.3 -7.4 2.9 -12.8 11.8 -0.2 -5.6 1.3 -5.3 -3.6 3.7 -11.8 -1.3 -20.0 7.6 -4.5 -0.0 1.6 -3.2 -3.7 -0.6 -9.2 2.6 -3.4 20.0 20.0 9.5 2.5 VIX -0.5 -15.3 -5.2 -4.5 0.3 -3.3 -1.5 -2.1 -3.7 5.8 -13.1 -4.1 -11.0 -11.5 -13.4 -20.0 -20.0 -20.0 -17.8 -14.7 -12.2 -4.0 -8.9 -11.0 NaN -0.0 -5.5 0.4 -4.2 -1.4 -2.7 -4.2 NaN NaN NaN NaN NaN WHEAT -14.3 -20.0 -12.0 -4.4 4.3 -4.1 -0.0 -0.9 -3.4 10.2 -13.9 -4.8 -8.9 -12.7 -10.7 -7.1 -4.5 -5.7 -5.0 -20.0 -18.0 -3.0 -8.3 -16.4 -5.4 -0.0 -5.0 2.5 -3.0 -0.2 0.6 -4.0 -20.0 8.3 -11.7 -19.6 -1.6 End of report for caleb_strategy_v1