******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221223_204309 produced at 2022-12-23 21:35:25.858107 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 9309655.55 -9309655.55 -0.21 -0.21 -24.93 999999999 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 22554025.39 -22554025.39 -0.11 -0.11 -5.06 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.10 0.0 33401292.95 -33401292.95 -0.10 -0.10 -3.04 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.10 0.0 40411454.64 -40411454.64 0.00 0.00 -2.45 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.16 -0.10 0.0 38758588.73 -38758588.73 -0.16 -0.16 -2.69 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.07 0.0 48261450.90 -48261450.90 -0.10 -0.10 -1.46 999999999 -2 -2 caleb_strategy_v1 US10U False False 0.04 0.00 -0.07 0.0 42600385.17 -42600385.17 0.00 0.00 -1.61 999999999 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.05 0.0 45453812.46 -45453812.46 -0.09 -0.09 -1.02 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 -1.73 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.03 0.0 27267820.27 -27267820.27 0.00 0.00 -1.17 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.03 0.0 49016408.57 -49016408.57 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 79083826.32 -79083826.32 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.03 0.0 3165997.64 -3165997.64 -0.02 -0.02 -10.41 999999999 -5 -6 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5315624.57 -5315624.57 0.00 -0.01 -4.02 999999999 0 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 87453581.90 -87453581.90 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.05 -0.02 0.0 54127829.21 -54127829.21 0.05 0.05 -0.29 999999999 1 1 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.02 0.0 26301117.08 -26301117.08 -0.03 -0.03 -0.58 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14375466.19 -14375466.19 -0.01 -0.01 -0.63 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.01 -0.01 0.0 5959251.68 -5959251.68 0.01 0.01 -1.28 999999999 1 1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9424016.00 -9424016.00 0.00 0.00 -1.06 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15541406.74 -15541406.74 -0.02 -0.02 -0.35 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69089794.94 -69089794.94 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6449572.12 -6449572.12 0.00 0.00 -0.99 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33986496.83 -33986496.83 -0.07 -0.07 -0.23 999999999 -2 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13663215.00 -13663215.00 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6722250.32 -6722250.32 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47718685.48 -47718685.48 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.00 0.0 13623188.84 -13623188.84 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 24067514.50 -24067514.50 -0.05 -0.05 -0.11 999999999 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.00 0.0 15885381.53 -15885381.53 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 18426327.83 -18426327.83 0.00 0.00 0.22 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 595389.10 -595389.10 0.00 0.00 6.46 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10892833.05 -10892833.05 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.00 0.0 35876446.25 -35876446.25 0.00 0.00 -0.01 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 23023975.37 -23023975.37 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.00 0.0 15213513.88 -15213513.88 0.00 0.00 0.09 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 62415790.44 -62415790.44 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10752562.81 -10752562.81 0.03 0.03 0.56 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14509233.70 -14509233.70 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 24699475.00 -24699475.00 0.00 0.00 0.31 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26966283.92 -26966283.92 0.03 0.03 0.55 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4540641.64 -4540641.64 0.00 0.00 1.73 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.05 0.01 0.0 22511140.22 -22511140.22 0.05 0.05 0.46 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8405493.22 -8405493.22 0.02 0.02 2.41 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9093442.82 -9093442.82 0.03 0.03 1.67 999999999 3 3 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.02 0.0 21364408.66 -21364408.66 0.02 0.02 0.73 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 34080308.14 -34080308.14 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 32699941.74 -32699941.74 0.00 0.00 0.92 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41983035.11 -41983035.11 0.04 0.04 0.71 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15867512.71 -15867512.71 0.06 0.06 1.84 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.04 0.0 46838110.00 -46838110.00 0.05 0.05 0.85 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 48939724.98 -48939724.98 0.00 0.00 0.84 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 11.90 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.11 0.0 24927004.77 -24927004.77 0.02 0.02 4.31 999999999 1 1 caleb_strategy_v1 BUND False False 0.05 0.10 0.15 0.0 51118197.42 -51118197.42 0.10 0.10 2.97 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.24 0.0 44115964.57 -44115964.57 0.18 0.18 5.36 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 8.6 Shocked risk 27.5 Sum abs risk 32.8 Leverage 2.06 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2798170.12, 'annual_cash_vol_target': 699542.53, 'daily_cash_vol_target': 43721.408125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6734 0.9179 14.6856 BITCOIN 755.5550 16660.0000 4.5351 72.5623 BOBL 0.3831 116.2400 0.3296 5.2728 BTP 0.9560 110.6200 0.8642 13.8277 BUND 0.7757 134.6900 0.5759 9.2145 BUXL 1.9677 142.6200 1.3797 22.0753 CAC 63.3324 6508.0000 0.9731 15.5704 CAD 0.0038 0.7360 0.5224 8.3590 CANOLA 9.1528 863.7000 1.0597 16.9556 CHF 0.0063 1.0804 0.5844 9.3510 COCOA 33.8058 2637.0000 1.2820 20.5117 COFFEE 0.0355 1.7180 2.0647 33.0351 COPPER 0.0545 3.8145 1.4284 22.8545 CORN 4.0668 601.7500 0.6758 10.8133 COTTON2 0.0191 0.8514 2.2400 35.8400 CRUDE_W 1.2838 76.3000 1.6826 26.9212 DAX 146.2222 14006.0000 1.0440 16.7039 DOW 342.2315 33350.0000 1.0262 16.4189 EUR 0.0060 1.0682 0.5641 9.0264 EUROSTX 43.1822 3823.0000 1.1295 18.0726 FEEDCOW 1.1869 186.9250 0.6350 10.1593 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.0115 915.0000 2.4056 38.4901 GASOILINE 0.0513 2.3902 2.1443 34.3082 GAS_US 0.2772 4.4450 6.2362 99.7798 GBP 0.0098 1.2073 0.8099 12.9590 GOLD_micro 16.8857 1804.7000 0.9356 14.9704 HEATOIL 0.0723 3.1205 2.3169 37.0708 JPY 0.0001 0.0076 1.0428 16.6852 LEANHOG 1.5577 95.3000 1.6346 26.1529 LIVECOW 0.9420 157.7750 0.5971 9.5532 MXP 0.0004 0.0509 0.7371 11.7938 NASDAQ 178.4000 11064.5000 1.6124 25.7978 NIKKEI 274.6879 26205.0000 1.0482 16.7716 NZD 0.0055 0.6299 0.8808 14.0922 OAT 0.8228 128.9500 0.6381 10.2093 OJ 0.0327 2.0320 1.6099 25.7592 PALLAD 47.8457 1746.5000 2.7395 43.8323 PLAT 20.5265 1031.2000 1.9905 31.8487 REDWHEAT 13.5811 869.7500 1.5615 24.9840 ROBUSTA 19.0756 1881.0000 1.0141 16.2259 RUSSELL 25.4785 1771.8000 1.4380 23.0081 SILVER-mini 0.4776 23.9125 1.9973 31.9575 SOYBEAN 10.8994 1395.0000 0.7813 12.5011 SOYMEAL 6.3176 444.0000 1.4229 22.7663 SOYOIL 1.0540 63.7200 1.6542 26.4670 SP400 31.5500 2447.1000 1.2893 20.6285 SP500 47.7980 3866.5000 1.2362 19.7793 SUGAR11 0.0024 0.2100 1.1443 18.3088 US10 0.4997 113.0781 0.4419 7.0703 US10U 0.7078 119.2031 0.5938 9.5001 US20 1.0272 127.1875 0.8076 12.9217 US30 1.6686 137.1562 1.2165 19.4646 US5 0.3267 108.4531 0.3013 4.8204 VIX 0.5751 26.0500 2.2076 35.3208 WHEAT 11.0366 804.5000 1.3719 21.9497 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.45 0.92 618.13 1.00 618.13 43721.41 70.73 -0.95 -6.70 BITCOIN 16.66 4.54 75.56 1.00 75.56 43721.41 578.67 4.74 274.08 BOBL 1162.40 0.33 383.07 1.06 405.81 43721.41 107.74 6.90 74.35 BTP 1106.20 0.86 956.01 1.06 1012.75 43721.41 43.17 8.18 35.32 BUND 1346.90 0.58 775.69 1.06 821.72 43721.41 53.21 7.75 41.22 BUXL 1426.20 1.38 1967.73 1.06 2084.51 43721.41 20.97 -1.67 -3.50 CAC 650.80 0.97 633.32 1.06 670.91 43721.41 65.17 1.71 11.15 CAD 735.95 0.52 384.49 1.00 384.49 43721.41 113.71 -2.86 -32.54 CANOLA 172.74 1.06 183.06 0.73 134.07 43721.41 326.11 5.79 188.83 CHF 1350.44 0.58 789.25 1.00 789.25 43721.41 55.40 -7.06 -39.12 COCOA 263.70 1.28 338.06 1.00 338.06 43721.41 129.33 -3.77 -48.79 COFFEE 644.25 2.06 1330.18 1.00 1330.18 43721.41 32.87 -3.81 -12.51 COPPER 953.62 1.43 1362.16 1.00 1362.16 43721.41 32.10 6.02 19.31 CORN 300.88 0.68 203.34 1.00 203.34 43721.41 215.01 2.90 62.39 COTTON2 425.70 2.24 953.57 1.00 953.57 43721.41 45.85 1.27 5.84 CRUDE_W 763.00 1.68 1283.80 1.00 1283.80 43721.41 34.06 -2.60 -8.86 DAX 140.06 1.04 146.22 1.06 154.90 43721.41 282.26 -2.63 -74.10 DOW 166.75 1.03 171.12 1.00 171.12 43721.41 255.51 -1.76 -45.08 EUR 1335.25 0.56 753.28 1.00 753.28 43721.41 58.04 -0.37 -2.12 EUROSTX 382.30 1.13 431.82 1.06 457.45 43721.41 95.58 2.60 24.88 FEEDCOW 934.62 0.63 593.45 1.00 593.45 43721.41 73.67 -15.37 -113.24 FTSE100 707.00 0.82 576.59 1.20 666.67 43721.41 65.58 -2.56 -16.81 GASOIL 915.00 2.41 2201.15 1.00 2201.15 43721.41 19.86 6.46 12.84 GASOILINE 1003.88 2.14 2152.59 1.00 2152.59 43721.41 20.31 -0.13 -0.26 GAS_US 444.50 6.24 2772.01 1.00 2772.01 43721.41 15.77 -10.55 -16.64 GBP 754.56 0.81 611.15 1.00 611.15 43721.41 71.54 4.34 31.01 GOLD_micro 180.47 0.94 168.86 1.00 168.86 43721.41 258.93 -1.72 -44.47 HEATOIL 1310.61 2.32 3036.59 1.00 3036.59 43721.41 14.40 8.32 11.98 JPY 951.00 1.04 991.73 1.00 991.73 43721.41 44.09 -0.82 -3.59 LEANHOG 381.20 1.63 623.09 1.00 623.09 43721.41 70.17 -0.72 -5.07 LIVECOW 631.10 0.60 376.81 1.00 376.81 43721.41 116.03 -16.23 -188.36 MXP 254.45 0.74 187.56 1.00 187.56 43721.41 233.11 5.85 136.27 NASDAQ 2212.90 1.61 3568.00 1.00 3568.00 43721.41 12.25 -5.22 -6.40 NIKKEI 26205.00 1.05 27468.79 0.01 207.38 43721.41 210.82 2.97 62.68 NZD 629.90 0.88 554.79 1.00 554.79 43721.41 78.81 3.65 28.78 OAT 1289.50 0.64 822.81 1.06 871.64 43721.41 50.16 8.32 41.74 OJ 304.80 1.61 490.71 1.00 490.71 43721.41 89.10 -2.79 -24.88 PALLAD 1746.50 2.74 4784.57 1.00 4784.57 43721.41 9.14 -3.42 -3.12 PLAT 515.60 1.99 1026.32 1.00 1026.32 43721.41 42.60 2.17 9.23 REDWHEAT 434.88 1.56 679.06 1.00 679.06 43721.41 64.39 -10.16 -65.39 ROBUSTA 188.10 1.01 190.76 1.00 190.76 43721.41 229.20 -0.72 -16.41 RUSSELL 88.59 1.44 127.39 1.00 127.39 43721.41 343.20 -5.85 -200.93 SILVER-mini 597.81 2.00 1194.04 1.00 1194.04 43721.41 36.62 8.88 32.52 SOYBEAN 697.50 0.78 544.97 1.00 544.97 43721.41 80.23 9.10 73.03 SOYMEAL 444.00 1.42 631.76 1.00 631.76 43721.41 69.21 4.51 31.19 SOYOIL 382.32 1.65 632.43 1.00 632.43 43721.41 69.13 2.40 16.60 SP400 2447.10 1.29 3155.00 1.00 3155.00 43721.41 13.86 -3.69 -5.12 SP500 1933.25 1.24 2389.90 1.00 2389.90 43721.41 18.29 -3.66 -6.69 SUGAR11 235.20 1.14 269.14 1.00 269.14 43721.41 162.45 10.95 177.92 US10 1130.78 0.44 499.68 1.00 499.68 43721.41 87.50 -7.30 -63.90 US10U 1192.03 0.59 707.78 1.00 707.78 43721.41 61.77 -1.79 -11.05 US20 1271.88 0.81 1027.17 1.00 1027.17 43721.41 42.56 -3.26 -13.87 US30 1371.56 1.22 1668.56 1.00 1668.56 43721.41 26.20 -2.37 -6.22 US5 1084.53 0.30 326.75 1.00 326.75 43721.41 133.81 -5.24 -70.18 VIX 260.50 2.21 575.07 1.00 575.07 43721.41 76.03 -17.40 -132.32 WHEAT 402.25 1.37 551.83 1.00 551.83 43721.41 79.23 -14.89 -117.97 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -6.697 0.006 2.5 -0.107 BITCOIN 274.083 0.009 2.5 6.458 BOBL 74.349 0.029 2.5 5.365 BTP 35.321 0.008 2.5 0.713 BUND 41.215 0.029 2.5 2.974 BUXL -3.499 0.034 2.5 -0.294 CAC 11.145 0.011 2.5 0.313 CAD -32.536 0.007 2.5 -0.581 CANOLA 188.829 0.004 2.5 1.733 CHF -39.116 0.015 2.5 -1.464 COCOA -48.788 0.009 2.5 -1.063 COFFEE -12.512 0.005 2.5 -0.162 COPPER 19.308 0.011 2.5 0.528 CORN 62.389 0.004 2.5 0.563 COTTON2 5.845 0.006 2.5 0.088 CRUDE_W -8.860 0.053 2.5 -1.170 DAX -74.101 0.022 2.5 -4.024 DOW -45.084 0.011 2.5 -1.285 EUR -2.124 0.015 2.5 -0.079 EUROSTX 24.879 0.011 2.5 0.699 FEEDCOW -113.237 0.011 2.5 -3.043 FTSE100 -16.809 0.041 2.5 -1.733 GASOIL 12.840 0.029 2.5 0.916 GASOILINE -0.260 0.016 2.5 -0.011 GAS_US -16.639 0.006 2.5 -0.251 GBP 31.013 0.007 2.5 0.554 GOLD_micro -44.466 0.009 2.5 -0.995 HEATOIL 11.983 0.029 2.5 0.855 JPY -3.593 0.026 2.5 -0.233 LEANHOG -5.071 0.019 2.5 -0.237 LIVECOW -188.359 0.011 2.5 -5.061 MXP 136.270 0.005 2.5 1.668 NASDAQ -6.399 0.022 2.5 -0.348 NIKKEI 62.678 0.076 2.5 11.905 NZD 28.781 0.006 2.5 0.460 OAT 41.737 0.008 2.5 0.843 OJ -24.875 0.007 2.5 -0.434 PALLAD -3.124 0.010 2.5 -0.075 PLAT 9.230 0.010 2.5 0.222 REDWHEAT -65.389 0.002 2.5 -0.349 ROBUSTA -16.411 0.005 2.5 -0.213 RUSSELL -200.931 0.021 2.5 -10.407 SILVER-mini 32.518 0.009 2.5 0.728 SOYBEAN 73.029 0.024 2.5 4.306 SOYMEAL 31.189 0.024 2.5 1.839 SOYOIL 16.597 0.004 2.5 0.152 SP400 -5.116 0.021 2.5 -0.265 SP500 -6.687 0.011 2.5 -0.191 SUGAR11 177.921 0.005 2.5 2.414 US10 -63.900 0.015 2.5 -2.451 US10U -11.052 0.058 2.5 -1.610 US20 -13.870 0.029 2.5 -1.022 US30 -6.216 0.034 2.5 -0.522 US5 -70.179 0.015 2.5 -2.692 VIX -132.316 0.075 2.5 -24.935 WHEAT -117.971 0.002 2.5 -0.630 ==================== Position diags ==================== AUD 1.13 BITCOIN 13.63 BOBL 7.77 BTP 0.87 BUND 3.84 BUXL 1.76 CAC 1.83 CAD 2.03 CANOLA 2.99 CHF 2.07 COCOA 2.82 COFFEE 0.43 COPPER 0.88 CORN 1.94 COTTON2 0.69 CRUDE_W 4.50 DAX 15.33 DOW 7.28 EUR 2.17 EUROSTX 2.69 FEEDCOW 1.98 FTSE100 6.76 GASOIL 1.42 GASOILINE 0.83 GAS_US 0.24 GBP 1.28 GOLD_micro 5.79 HEATOIL 1.03 JPY 2.85 LEANHOG 3.28 LIVECOW 3.12 MXP 2.85 NASDAQ 0.67 NIKKEI 40.04 NZD 1.26 OAT 1.01 OJ 1.55 PALLAD 0.22 PLAT 1.03 REDWHEAT 0.34 ROBUSTA 2.97 RUSSELL 17.78 SILVER-mini 0.82 SOYBEAN 4.73 SOYMEAL 4.08 SOYOIL 0.63 SP400 0.72 SP500 0.52 SUGAR11 2.20 US10 3.36 US10U 9.00 US20 3.14 US30 2.20 US5 5.13 VIX 14.33 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 6.5 5.1 7.8 NaN 0 BOBL 5.4 4.6 6.1 4.0 4 BTP 0.7 0.6 0.8 1.0 1 BUND 3.0 2.6 3.4 2.0 2 BUXL -0.3 -0.5 -0.1 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 -1.5 -1.7 -1.3 -2.0 -2 COCOA -1.1 -1.3 -0.8 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 0.6 0.4 0.8 3.0 3 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W -1.2 -1.6 -0.7 0.0 0 DAX -4.0 -5.6 -2.5 0.0 0 DOW -1.3 -2.0 -0.6 1.0 1 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 0.8 1.1 0.0 0 GASOILINE -0.0 -0.1 0.1 0.0 0 GAS_US -0.3 -0.3 -0.2 0.0 0 GBP 0.6 0.4 0.7 1.0 1 GOLD_micro -1.0 -1.6 -0.4 0.0 0 HEATOIL 0.9 0.8 1.0 1.0 1 JPY -0.2 -0.5 0.1 -2.0 -2 LEANHOG -0.2 -0.6 0.1 0.0 0 LIVECOW -5.1 -5.4 -4.7 -5.0 -5 MXP 1.7 1.4 2.0 3.0 3 NASDAQ -0.3 -0.4 -0.3 0.0 0 NIKKEI 11.9 7.9 15.9 0.0 0 NZD 0.5 0.3 0.6 2.0 2 OAT 0.8 0.7 0.9 0.0 0 OJ -0.4 -0.6 -0.3 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.2 0.1 0.3 NaN 0 REDWHEAT -0.3 -0.4 -0.3 -1.0 -1 ROBUSTA -0.2 -0.5 0.1 0.0 0 RUSSELL -10.4 -12.2 -8.6 -5.0 -5 SILVER-mini 0.7 0.6 0.8 1.0 1 SOYBEAN 4.3 3.8 4.8 1.0 1 SOYMEAL 1.8 1.4 2.2 4.0 4 SOYOIL 0.2 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 2.4 2.2 2.6 2.0 2 US10 -2.5 -2.8 -2.1 NaN 0 US10U -1.6 -2.5 -0.7 0.0 0 US20 -1.0 -1.3 -0.7 -2.0 -2 US30 -0.5 -0.7 -0.3 0.0 0 US5 -2.7 -3.2 -2.2 -4.0 -4 VIX -24.9 -26.4 -23.5 -23.0 -23 WHEAT -0.6 -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 -0.0 -0.1 -0.0 -0.2 0.0 0.1 -0.2 -0.1 -0.1 -0.1 0.0 -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 0.0 -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 0.1 -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 -0.2 -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 -0.2 0.3 0.3 -0.0 -0.1 -0.1 -0.2 -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 0.4 -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 -0.2 0.3 -0.0 -0.0 -0.0 -0.1 -0.2 -0.2 -0.0 -0.0 -0.3 -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 -0.2 -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 -0.3 0.0 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 0.1 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 1.3 -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 1.6 -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 -0.9 -0.5 -0.2 -0.2 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 -2.2 0.0 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 0.1 0.0 -0.0 0.0 -0.7 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.7 0.2 0.4 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 -0.0 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 0.1 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 -0.2 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 0.5 0.1 0.2 -0.0 -0.1 0.0 -0.0 0.0 0.2 -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 -0.0 -0.0 0.1 -0.1 0.1 0.1 -0.0 0.0 -0.2 -0.0 0.1 -0.0 0.1 0.5 0.5 0.2 0.2 -0.0 -0.0 0.0 0.1 -0.0 -0.3 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -2.6 -0.1 0.0 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 -0.3 -0.1 -0.1 -0.1 0.1 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 -0.1 -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 0.1 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 0.3 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 0.1 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 -1.5 -0.8 -0.4 -0.4 0.1 0.0 0.0 -0.0 0.0 -2.3 -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 -0.0 0.1 -0.1 0.1 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 0.9 0.0 -0.1 -0.1 0.1 GASOILINE -0.1 -0.2 -0.2 -0.0 0.0 -0.0 0.1 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 0.1 0.1 GAS_US -0.2 -0.0 -0.3 -0.0 0.1 -0.0 0.1 0.1 -0.0 -0.0 -0.3 -0.0 -0.0 -0.0 -0.3 1.5 -0.3 -0.0 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -1.3 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.3 -0.4 0.2 -0.1 GBP 0.0 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 0.1 -0.1 -0.0 -0.1 -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 -0.4 -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 0.1 -0.1 0.1 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 2.2 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 -0.0 -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 -1.1 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 1.5 0.1 -0.0 -0.0 0.1 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 -1.5 -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 -0.1 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 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -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 -0.0 -0.1 -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 -0.1 -0.0 0.8 0.3 0.2 0.2 -0.1 0.0 -0.0 0.0 -0.0 -0.9 -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 0.0 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 -0.2 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 -0.1 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 -0.4 -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 0.1 0.1 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 0.1 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 -0.0 -0.0 0.2 REDWHEAT -0.1 -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 -1.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -2.4 0.1 -0.2 -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 0.1 -0.0 -0.0 -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 -0.1 -0.0 -0.1 -0.0 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 0.1 -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 1.9 -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 0.3 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 0.2 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 -2.6 -0.0 -0.0 0.0 0.0 0.0 0.1 -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 -0.0 -0.0 0.1 SP500 -0.2 0.2 0.0 -0.0 -0.0 -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 0.1 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 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.2 -0.0 -0.3 0.0 0.0 -0.7 -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 -0.2 -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 0.2 0.1 0.1 US20 0.1 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 -0.3 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 0.1 US30 0.2 0.3 0.1 -0.0 -0.1 -0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 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============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -1.1 20.0 2.2 2.7 -0.5 -0.5 0.1 -3.8 2.4 -8.6 -3.9 -8.3 -8.5 8.4 5.4 -2.9 -2.0 -2.7 -2.4 4.1 -2.6 -3.8 -8.6 2.2 5.1 -0.0 1.3 -1.2 -2.3 -1.8 -5.3 0.8 -0.4 -7.5 -6.8 -6.5 -8.3 BITCOIN 4.2 -8.5 1.9 3.3 -1.7 1.9 -0.6 0.6 2.1 -8.0 -15.1 -0.7 -15.9 -7.4 -9.4 2.2 -0.6 1.3 0.5 -8.0 -17.4 -1.9 -20.0 -3.2 20.0 -0.0 -4.7 -0.8 -6.7 -1.1 -6.8 -2.3 2.3 10.8 -5.4 -20.0 -20.0 BOBL -11.4 12.7 -4.7 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -14.1 -13.1 -15.0 -13.4 -10.1 -12.5 -0.1 15.6 12.0 16.4 -14.2 -18.8 -20.0 -20.0 -20.0 14.0 -0.0 -4.2 -10.4 -6.2 -10.3 -9.6 -6.5 20.0 -20.0 -15.1 -17.7 -9.2 BTP -16.2 20.0 14.8 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -13.9 -3.3 -14.5 -10.9 -4.5 2.5 10.7 14.7 15.6 16.8 -1.2 -5.6 -20.0 -16.9 -13.3 3.6 -0.0 -0.7 -7.0 -2.6 -8.3 -7.2 -4.2 20.0 -13.0 -14.6 -0.2 11.9 BUND -13.0 16.8 -2.7 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -14.1 -10.6 -14.9 -12.6 -7.5 -8.4 14.1 16.1 14.0 15.0 -11.0 -16.9 -20.0 -20.0 -19.5 10.7 -0.0 -3.3 -10.4 -5.3 -10.2 -8.6 -5.9 20.0 -20.0 -17.3 -11.3 -7.6 BUXL -10.9 20.0 2.6 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -14.1 -5.9 -14.3 -11.2 -2.7 0.6 4.7 -1.2 5.1 2.9 -3.1 -10.3 -20.0 -20.0 -15.5 6.1 -0.0 -1.2 -10.0 -2.9 -9.6 -5.8 -4.4 -0.9 -20.0 -13.3 0.8 0.9 CAC -20.0 18.1 12.9 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -8.2 10.8 -9.1 -0.1 4.2 12.0 -0.5 3.7 0.4 1.7 10.5 10.8 -9.6 5.4 -1.3 -15.0 -0.0 2.7 -2.2 2.9 -3.5 1.2 -1.0 7.7 -3.1 2.7 12.5 17.2 CAD -9.9 4.9 -8.2 2.7 -0.5 -0.5 0.1 -3.8 2.4 1.4 -9.9 -9.3 -11.2 -8.9 -7.2 -2.0 -1.0 -1.9 -1.5 -7.9 -11.6 -4.1 -13.0 -6.8 9.3 -0.0 -4.1 0.9 -6.6 -1.8 -7.7 -3.2 1.3 4.1 -20.0 -20.0 -19.1 CANOLA 11.8 -0.5 1.1 -4.0 6.3 -4.1 1.7 -0.9 -2.4 13.1 -9.6 14.1 -3.4 2.6 5.4 9.3 13.2 9.9 9.6 -0.4 -5.8 6.7 -0.9 3.7 7.0 -0.0 -0.6 3.4 -1.0 2.5 1.8 0.7 -1.5 -3.9 20.0 -5.6 11.1 CHF 8.9 20.0 11.7 2.7 -0.5 -0.5 0.1 -3.8 2.4 -8.2 7.8 7.5 -3.7 14.2 13.3 -12.6 -11.7 -12.4 -12.4 16.1 7.4 3.9 -2.6 14.1 -8.4 -0.0 4.3 -2.1 1.3 1.0 -2.5 3.9 -17.3 3.2 5.6 8.1 9.9 COCOA 1.0 15.1 12.5 -4.0 6.3 -4.1 1.7 -0.9 -2.4 13.0 3.6 11.1 -7.4 12.8 12.3 -1.1 -3.0 -0.5 -1.2 10.8 5.0 17.4 -2.7 12.4 -4.6 -0.0 4.3 14.7 2.1 8.5 -0.8 5.2 -20.0 19.9 20.0 20.0 17.0 COFFEE 16.7 -8.3 -20.0 -4.0 6.3 -4.1 1.7 -0.9 -2.4 12.0 -12.6 10.3 -8.5 -0.1 -12.4 -0.1 3.9 2.9 4.6 -16.1 -20.0 8.1 -13.1 -1.1 10.4 -0.0 -4.4 3.0 -5.9 2.2 -3.3 -0.4 -12.7 20.0 13.4 -14.9 -20.0 COPPER 6.3 17.8 16.7 3.3 -1.7 1.9 -0.6 0.6 2.1 -2.7 -5.3 6.6 -8.4 8.4 9.0 -1.2 -0.1 -0.5 -0.2 10.2 1.7 1.5 -7.8 7.4 13.3 -0.0 4.3 0.4 1.5 0.4 -1.3 2.9 2.1 6.1 5.3 3.2 0.5 CORN -9.8 -18.8 6.7 -4.0 6.3 -4.1 1.7 -0.9 -2.4 11.7 -0.0 -3.8 4.5 -11.6 -6.6 20.0 15.3 18.9 16.3 -8.6 -0.6 2.2 13.5 -7.3 -10.5 -0.0 -4.3 3.8 -1.4 1.3 4.1 -2.8 5.9 8.7 -6.5 -17.4 0.1 COTTON2 9.4 8.1 -20.0 -4.0 6.3 -4.1 1.7 -0.9 -2.4 4.5 -10.6 6.5 -1.9 9.5 -7.2 2.1 15.6 5.1 10.8 -4.7 -11.8 8.7 -4.9 4.6 0.6 -0.0 0.0 2.7 -2.4 4.8 1.6 3.6 3.4 12.1 20.0 19.9 -20.0 CRUDE_W -7.1 -4.1 -2.5 -3.1 6.4 -1.9 3.4 3.2 -0.7 12.6 -6.2 -0.0 2.4 -6.6 3.1 6.3 12.8 7.5 10.0 -3.7 -2.8 5.0 4.4 -2.1 -2.7 -0.0 -1.5 8.6 -0.1 3.3 5.6 -0.7 -19.1 -11.9 2.2 9.4 10.3 DAX -20.0 20.0 18.9 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -11.1 8.6 -12.0 -4.0 5.3 11.7 -7.1 -2.4 -5.2 -3.9 11.1 9.4 -12.1 -0.9 -2.0 -11.1 -0.0 2.8 -2.9 2.6 -3.9 -0.4 -1.1 -2.2 -8.0 -5.6 18.6 20.0 DOW -18.0 16.9 12.8 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -6.5 7.6 -9.9 -0.8 0.9 10.2 -5.6 -2.3 -5.0 -4.1 8.2 7.4 -8.8 1.1 -1.9 -6.9 -0.0 2.3 -1.7 2.1 -3.1 0.5 -1.0 -2.5 7.5 0.0 8.5 11.5 EUR 12.5 20.0 20.0 2.7 -0.5 -0.5 0.1 -3.8 2.4 1.9 2.7 10.4 -9.0 14.8 14.8 -7.5 -8.3 -7.7 -8.1 20.0 6.6 8.2 -11.2 18.4 1.5 -0.0 4.8 0.5 0.7 2.1 -4.8 4.6 -10.8 10.4 12.2 7.1 15.4 EUROSTX -20.0 20.0 17.3 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -10.6 10.4 -10.6 -1.5 6.5 12.3 7.7 3.4 3.7 2.7 12.2 11.5 -10.4 3.4 -0.3 -17.3 -0.0 3.2 -2.8 3.3 -3.6 0.9 -0.6 8.0 -6.9 0.2 20.0 20.0 FEEDCOW 10.7 10.7 -4.9 -4.0 6.3 -4.1 1.7 -0.9 -2.4 13.6 1.2 12.8 -1.1 12.2 3.2 -18.5 -20.0 -18.8 -20.0 5.7 0.7 10.2 -1.5 9.2 -13.6 -0.0 3.3 7.2 0.4 5.5 -0.7 5.1 -20.0 4.4 20.0 14.4 -2.9 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 -4.8 -20.0 -12.7 -3.1 6.4 -1.9 3.4 3.2 -0.7 11.7 -4.7 4.0 9.3 -5.3 -7.3 20.0 20.0 20.0 20.0 -8.5 -1.7 6.0 11.7 -4.7 -5.8 -0.0 -3.4 5.0 -1.0 2.0 4.3 -1.9 6.5 2.7 -3.5 -9.3 4.5 GASOILINE -6.9 -12.5 -14.0 -3.1 6.4 -1.9 3.4 3.2 -0.7 13.8 -11.4 5.8 2.8 -6.8 -7.2 -3.0 20.0 8.0 18.6 -9.4 -6.7 11.4 5.4 -3.3 -5.1 -0.0 -2.3 12.1 -0.7 6.1 6.1 0.1 0.0 6.8 0.3 4.9 8.9 GAS_US -14.1 -1.8 -20.0 -3.1 6.4 -1.9 3.4 3.2 -0.7 -13.9 -10.6 -13.5 -1.0 -10.8 -12.5 18.0 -6.7 -0.3 -5.4 -13.6 -9.7 -20.0 -1.2 -17.5 -10.6 -0.0 -3.0 -10.4 -0.8 -8.6 3.8 -5.0 -20.0 -20.0 -20.0 13.5 -3.9 GBP 3.5 20.0 15.3 2.7 -0.5 -0.5 0.1 -3.8 2.4 -13.1 3.3 -6.0 -6.5 10.1 12.2 -2.0 -1.5 -1.9 -1.9 13.0 3.3 -6.2 -9.2 7.1 12.5 -0.0 2.4 -4.5 -2.4 -2.6 -7.5 1.6 0.4 -13.2 -2.5 -5.2 -3.7 GOLD_micro 4.8 20.0 12.0 3.3 -1.7 1.9 -0.6 0.6 2.1 -1.2 -2.3 7.7 -8.8 13.4 11.8 -10.5 -8.4 -10.3 -9.7 11.4 2.4 4.3 -5.1 10.8 9.6 -0.0 4.1 -0.6 1.2 1.4 -1.0 3.8 -13.1 13.2 4.6 8.1 -4.5 HEATOIL -6.6 -18.1 -15.1 -3.1 6.4 -1.9 3.4 3.2 -0.7 11.8 -5.0 5.3 8.5 -4.4 -4.9 20.0 20.0 20.0 20.0 -7.3 -1.4 6.2 10.7 -3.6 -13.5 -0.0 -2.7 5.5 0.6 2.7 8.2 -1.3 15.8 3.4 -2.7 -3.6 6.3 JPY 8.9 20.0 20.0 2.7 -0.5 -0.5 0.1 -3.8 2.4 8.7 -3.5 10.4 -12.0 13.2 10.1 -10.8 -10.3 -11.7 -11.6 12.0 -0.8 16.1 -13.7 16.6 11.8 -0.0 4.0 4.4 -0.8 5.4 -6.2 5.6 -15.5 20.0 20.0 17.3 0.7 LEANHOG -4.6 -1.4 -1.4 -4.0 6.3 -4.1 1.7 -0.9 -2.4 11.8 2.0 4.8 -0.5 0.7 7.6 -20.0 19.3 -14.5 11.9 0.6 1.2 9.1 2.9 1.7 -7.6 -0.0 -0.3 8.0 -0.3 5.0 1.1 0.8 11.0 15.5 -0.5 -1.5 3.9 LIVECOW 1.3 2.0 7.8 -4.0 6.3 -4.1 1.7 -0.9 -2.4 13.0 9.6 12.6 0.0 10.1 10.2 -19.1 -20.0 -20.0 -20.0 7.4 5.7 12.8 1.8 9.0 -20.0 -0.0 4.4 9.4 4.1 7.6 3.0 5.3 -20.0 16.1 15.4 6.7 13.1 MXP -20.0 -4.1 5.8 2.7 -0.5 -0.5 0.1 -3.8 2.4 13.1 12.9 -0.6 14.5 1.6 8.3 18.0 20.0 18.5 19.3 7.2 11.7 7.4 13.0 3.1 -20.0 -0.0 3.8 8.7 5.2 3.5 5.0 1.7 20.0 20.0 -9.7 -7.9 20.0 NASDAQ -11.0 10.4 -3.6 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -13.2 -9.9 -14.1 -12.4 -4.1 -8.4 -4.9 -3.3 -4.7 -4.3 -7.1 -10.1 -18.2 -13.3 -11.6 8.5 -0.0 -2.6 -8.2 -4.0 -8.2 -4.9 -4.7 -3.5 -7.2 -0.5 -8.3 -10.7 NIKKEI -20.0 -1.2 -0.5 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -13.1 3.0 -15.4 1.1 -11.9 -1.0 14.2 9.2 9.4 9.5 -7.0 0.2 -20.0 1.3 -18.7 -6.5 -0.0 -3.8 -6.6 -1.6 -8.7 -1.0 -7.9 19.1 -20.0 -18.7 -13.9 -2.2 NZD 3.9 20.0 14.7 2.7 -0.5 -0.5 0.1 -3.8 2.4 -9.8 3.5 -0.9 -7.0 10.6 11.4 0.0 0.4 -0.4 -0.2 16.0 5.5 -4.3 -6.8 10.4 0.1 -0.0 3.9 -2.9 0.8 -1.3 -2.6 2.6 3.5 -13.3 3.8 12.8 4.4 OAT -15.4 19.4 5.8 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -14.1 -7.7 -14.8 -11.8 -6.6 -4.0 12.3 12.5 13.2 13.5 -7.3 -11.6 -20.0 -20.0 -18.7 10.6 -0.0 -2.4 -10.1 -4.3 -10.1 -8.2 -5.5 20.0 -20.0 -19.0 -7.1 -2.1 OJ -3.5 -7.5 17.3 -4.0 6.3 -4.1 1.7 -0.9 -2.4 3.0 13.5 7.7 14.2 5.5 12.4 13.8 12.3 15.2 15.3 15.2 20.0 6.4 20.0 8.3 -20.0 -0.0 5.0 0.7 8.9 2.3 10.8 2.4 3.6 -1.2 5.0 8.8 20.0 PALLAD -7.0 -6.4 -8.8 3.3 -1.7 1.9 -0.6 0.6 2.1 -8.0 -12.4 -11.2 -8.4 -12.6 -13.2 -1.3 -1.3 -1.5 -1.5 -14.9 -11.2 -16.8 -8.0 -17.4 6.2 -0.0 -4.6 -2.5 -3.0 -6.3 -1.9 -5.9 0.0 -20.0 -20.0 -20.0 -19.4 PLAT -11.6 8.8 17.3 3.3 -1.7 1.9 -0.6 0.6 2.1 1.8 9.2 -4.8 -1.3 5.9 11.4 -1.4 -0.4 -0.5 -0.4 8.6 8.1 -0.2 2.2 2.9 -3.1 -0.0 4.6 2.6 3.7 0.3 0.5 2.1 1.7 9.2 -1.2 -1.4 13.8 REDWHEAT -11.4 -16.7 -6.8 -4.0 6.3 -4.1 1.7 -0.9 -2.4 13.5 -12.7 -1.5 -5.9 -10.7 -9.7 5.9 0.6 4.3 2.7 -14.7 -11.9 1.8 -3.2 -10.6 -7.5 -0.0 -4.3 5.2 -2.1 1.3 2.1 -3.1 -17.8 14.2 -12.3 -14.2 3.7 ROBUSTA 20.0 -7.3 -20.0 -4.0 6.3 -4.1 1.7 -0.9 -2.4 9.4 -10.7 13.2 -5.1 8.7 -9.9 15.4 8.2 11.7 9.6 -10.4 -17.5 6.6 -8.1 3.5 -1.2 -0.0 -2.1 1.5 -3.8 1.9 -1.8 1.3 -5.5 -1.5 20.0 -1.3 -20.0 RUSSELL -16.0 4.4 2.9 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -7.8 -4.6 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0.8 -4.5 0.1 -3.0 0.0 6.7 -2.6 -1.0 4.7 SP500 -13.1 12.8 1.1 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -11.0 -3.9 -12.8 -8.4 -2.5 0.2 -5.2 -3.4 -4.9 -4.3 -1.2 -3.2 -13.3 -6.6 -7.5 3.5 -0.0 -0.4 -4.4 -1.6 -5.8 -3.4 -3.1 -3.5 1.4 -0.1 -2.0 -2.5 SUGAR11 6.4 20.0 15.2 -4.0 6.3 -4.1 1.7 -0.9 -2.4 14.0 8.9 14.2 4.1 14.5 13.1 20.0 20.0 20.0 20.0 19.1 12.7 20.0 6.6 20.0 -20.0 -0.0 5.8 7.1 4.2 7.0 2.5 6.4 20.0 20.0 20.0 20.0 20.0 US10 7.6 20.0 -0.7 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -13.7 -7.3 -6.6 -12.4 9.2 0.1 -8.6 -0.1 -6.6 -4.3 2.6 -10.9 -8.8 -20.0 3.0 -6.9 -0.0 1.1 -6.2 -3.3 -3.4 -8.0 0.9 -5.1 20.0 16.6 10.5 3.6 US10U 8.0 20.0 -2.2 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -13.6 -7.0 -8.5 -12.2 8.1 0.3 1.3 4.8 0.9 1.9 2.8 -10.2 -10.0 -20.0 2.5 -8.7 -0.0 1.2 -6.4 -2.9 -3.7 -6.9 0.8 4.4 17.3 16.5 11.6 4.4 US20 12.6 20.0 -2.6 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -13.5 -5.6 -5.4 -11.5 10.0 2.4 -3.4 2.0 -0.7 0.6 5.3 -9.4 -9.1 -20.0 5.6 -8.3 -0.0 1.6 -5.8 -2.3 -2.9 -5.5 1.5 0.9 16.7 20.0 17.4 4.2 US30 13.5 20.0 4.5 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -13.4 -5.4 -6.4 -12.8 7.9 3.1 0.3 0.4 -0.6 -0.5 4.8 -9.6 -10.7 -20.0 4.3 -7.0 -0.0 1.9 -6.3 -2.0 -3.2 -5.5 1.4 -1.6 9.7 20.0 16.7 9.3 US5 9.9 20.0 2.3 -1.2 -8.8 -3.9 -7.2 -7.0 -2.6 -13.5 -7.4 -1.0 -12.7 10.6 -0.2 -5.7 1.2 -5.4 -3.6 2.9 -11.9 -5.5 -20.0 5.0 -4.7 -0.0 1.3 -5.4 -3.8 -2.2 -9.4 1.7 -3.5 20.0 20.0 10.5 3.0 VIX -0.3 -15.1 -5.1 -4.5 0.4 -3.3 -1.4 -2.1 -3.7 6.5 -13.0 -3.9 -11.0 -11.4 -13.4 -20.0 -20.0 -20.0 -17.8 -14.6 -12.1 -3.7 -8.8 -10.8 NaN -0.0 -5.5 0.6 -4.2 -1.4 -2.7 -4.2 NaN NaN NaN NaN NaN WHEAT -11.0 -20.0 -12.1 -4.0 6.3 -4.1 1.7 -0.9 -2.4 12.9 -13.9 -1.4 -9.0 -11.9 -10.6 -7.2 -4.5 -5.8 -5.1 -20.0 -17.9 1.5 -8.4 -13.5 -4.9 -0.0 -4.8 4.7 -3.1 1.2 0.6 -3.1 -20.0 14.5 -10.4 -19.4 -1.7 End of report for caleb_strategy_v1