******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221226_204312 produced at 2022-12-26 21:35:23.142534 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 9276784.60 -9276784.60 -0.21 -0.21 -25.02 999999999 -23 -23 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 22470829.50 -22470829.50 -0.11 -0.11 -5.08 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.10 0.0 33252198.17 -33252198.17 -0.10 -0.10 -3.06 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.10 0.0 40307718.13 -40307718.13 0.00 0.00 -2.47 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.10 0.0 38635648.93 -38635648.93 -0.15 -0.15 -2.71 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.07 0.0 48077692.96 -48077692.96 -0.10 -0.10 -1.47 999999999 -2 -2 caleb_strategy_v1 US10U False False 0.04 0.00 -0.07 0.0 42444405.57 -42444405.57 0.00 0.00 -1.61 999999999 0 0 caleb_strategy_v1 US20 False False 0.05 -0.09 -0.05 0.0 45360093.63 -45360093.63 -0.09 -0.09 -1.04 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 -1.74 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.03 0.0 27185786.44 -27185786.44 0.00 0.00 -1.16 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.03 0.0 48821082.12 -48821082.12 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 78822399.40 -78822399.40 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.03 0.0 3153216.48 -3153216.48 -0.02 -0.02 -10.44 999999999 -5 -6 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5301381.25 -5301381.25 0.00 0.00 -3.99 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 87208897.57 -87208897.57 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.05 -0.02 0.0 54259370.15 -54259370.15 0.05 0.05 -0.28 999999999 1 1 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.02 0.0 26201129.65 -26201129.65 -0.03 -0.03 -0.59 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14324708.66 -14324708.66 -0.01 -0.01 -0.63 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.01 -0.01 0.0 5939991.06 -5939991.06 0.01 0.00 -1.26 999999999 1 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9358690.96 -9358690.96 0.00 0.00 -1.08 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15473178.16 -15473178.16 -0.02 -0.02 -0.35 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68877009.68 -68877009.68 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6431073.06 -6431073.06 0.00 0.00 -0.99 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33862044.38 -33862044.38 -0.07 -0.07 -0.23 999999999 -2 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13625655.76 -13625655.76 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6677148.23 -6677148.23 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47554649.68 -47554649.68 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.00 0.0 13585770.93 -13585770.93 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 23971852.42 -23971852.42 -0.05 -0.05 -0.11 999999999 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.00 0.0 15921882.52 -15921882.52 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 18355925.62 -18355925.62 0.00 0.00 0.22 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 592930.76 -592930.76 0.00 0.00 6.47 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10907789.34 -10907789.34 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.00 0.0 35710884.40 -35710884.40 0.00 0.00 -0.01 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22969389.90 -22969389.90 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.00 0.0 15172261.35 -15172261.35 0.00 0.00 0.09 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 62409078.77 -62409078.77 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10714597.19 -10714597.19 0.03 0.02 0.57 999999999 3 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14462098.38 -14462098.38 0.00 0.00 0.73 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 24621533.20 -24621533.20 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26851038.74 -26851038.74 0.03 0.03 0.55 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4532698.48 -4532698.48 0.00 0.00 1.74 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22417412.32 -22417412.32 0.04 0.04 0.46 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8367837.77 -8367837.77 0.02 0.02 2.42 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9063115.86 -9063115.86 0.03 0.03 1.67 999999999 3 3 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.02 0.0 21344617.17 -21344617.17 0.02 0.02 0.73 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 33946621.59 -33946621.59 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 31854448.48 -31854448.48 0.00 0.00 0.90 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41830294.50 -41830294.50 0.04 0.04 0.71 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15807925.86 -15807925.86 0.06 0.06 1.84 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.04 0.0 46784908.03 -46784908.03 0.05 0.05 0.86 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 48921265.77 -48921265.77 0.00 0.00 0.85 999999999 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.09 0.0 0.00 0.00 0.00 0.00 13.05 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.11 0.0 24812282.81 -24812282.81 0.02 0.02 4.33 999999999 1 1 caleb_strategy_v1 BUND False False 0.05 0.10 0.15 0.0 51090580.53 -51090580.53 0.10 0.10 3.01 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.23 0.0 44045039.93 -44045039.93 0.18 0.18 5.26 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 8.7 Shocked risk 27.6 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': 2808085.03, 'annual_cash_vol_target': 702021.2575, 'daily_cash_vol_target': 43876.32859375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6732 0.9168 14.6690 BITCOIN 755.4899 16650.0000 4.5375 72.5996 BOBL 0.3809 116.3400 0.3274 5.2379 BTP 0.9564 110.4900 0.8656 13.8498 BUND 0.7727 134.9500 0.5726 9.1613 BUXL 1.9634 143.3200 1.3700 21.9195 CAC 63.3586 6503.5000 0.9742 15.5876 CAD 0.0038 0.7358 0.5218 8.3480 CANOLA 9.1620 864.7000 1.0596 16.9529 CHF 0.0063 1.0800 0.5852 9.3631 COCOA 33.5880 2628.0000 1.2781 20.4493 COFFEE 0.0355 1.7200 2.0659 33.0550 COPPER 0.0544 3.8130 1.4278 22.8447 CORN 4.0668 601.7500 0.6758 10.8133 COTTON2 0.0191 0.8521 2.2393 35.8288 CRUDE_W 1.2858 76.3400 1.6843 26.9489 DAX 146.1806 14003.0000 1.0439 16.7028 DOW 342.4054 33360.0000 1.0264 16.4223 EUR 0.0060 1.0683 0.5642 9.0271 EUROSTX 43.1799 3820.0000 1.1304 18.0858 FEEDCOW 1.1856 186.7500 0.6349 10.1576 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.4096 894.5000 2.3935 38.2956 GASOILINE 0.0511 2.3876 2.1389 34.2227 GAS_US 0.2772 4.4710 6.2004 99.2066 GBP 0.0098 1.2064 0.8102 12.9628 GOLD_micro 16.8950 1805.9000 0.9355 14.9687 HEATOIL 0.0726 3.1280 2.3224 37.1580 JPY 0.0001 0.0076 1.0432 16.6911 LEANHOG 1.5563 95.3750 1.6317 26.1079 LIVECOW 0.9417 157.7500 0.5969 9.5511 MXP 0.0004 0.0509 0.7381 11.8094 NASDAQ 178.4246 11067.0000 1.6122 25.7956 NIKKEI 272.4825 26375.0000 1.0331 16.5297 NZD 0.0055 0.6295 0.8793 14.0692 OAT 0.8203 129.2200 0.6348 10.1569 OJ 0.0324 2.0420 1.5879 25.4058 PALLAD 48.1856 1752.5000 2.7495 43.9925 PLAT 20.5016 1030.9000 1.9887 31.8194 REDWHEAT 13.5603 869.0000 1.5605 24.9673 ROBUSTA 19.0839 1875.0000 1.0178 16.2850 RUSSELL 25.4655 1770.9000 1.4380 23.0079 SILVER-mini 0.4781 23.9750 1.9942 31.9077 SOYBEAN 10.8294 1393.5000 0.7771 12.4341 SOYMEAL 6.3168 443.9000 1.4230 22.7685 SOYOIL 1.0552 63.7700 1.6547 26.4751 SP400 31.5920 2448.9000 1.2900 20.6408 SP500 47.8287 3868.2500 1.2364 19.7831 SUGAR11 0.0024 0.2098 1.1451 18.3209 US10 0.4971 113.1875 0.4392 7.0266 US10U 0.7084 119.1875 0.5943 9.5093 US20 1.0206 127.3750 0.8013 12.8201 US30 1.6718 137.0938 1.2194 19.5109 US5 0.3258 108.4922 0.3003 4.8041 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 673.15 0.92 617.15 1.00 617.15 43876.33 71.09 -0.96 -6.85 BITCOIN 16.65 4.54 75.55 1.00 75.55 43876.33 580.77 4.73 274.78 BOBL 1163.40 0.33 380.86 1.06 403.46 43876.33 108.75 6.71 72.96 BTP 1104.90 0.87 956.42 1.06 1013.17 43876.33 43.31 8.08 34.98 BUND 1349.50 0.57 772.70 1.06 818.56 43876.33 53.60 7.78 41.71 BUXL 1433.20 1.37 1963.44 1.06 2079.96 43876.33 21.09 -1.61 -3.39 CAC 650.35 0.97 633.59 1.06 671.19 43876.33 65.37 1.55 10.15 CAD 735.75 0.52 383.88 1.00 383.88 43876.33 114.30 -2.88 -32.94 CANOLA 172.94 1.06 183.24 0.74 134.20 43876.33 326.94 5.79 189.39 CHF 1350.06 0.59 790.04 1.00 790.04 43876.33 55.54 -7.07 -39.27 COCOA 262.80 1.28 335.88 1.00 335.88 43876.33 130.63 -3.81 -49.80 COFFEE 645.00 2.07 1332.53 1.00 1332.53 43876.33 32.93 -3.80 -12.50 COPPER 953.25 1.43 1361.04 1.00 1361.04 43876.33 32.24 5.99 19.32 CORN 300.88 0.68 203.34 1.00 203.34 43876.33 215.78 2.90 62.66 COTTON2 426.05 2.24 954.05 1.00 954.05 43876.33 45.99 1.27 5.85 CRUDE_W 763.40 1.68 1285.80 1.00 1285.80 43876.33 34.12 -2.58 -8.81 DAX 140.03 1.04 146.18 1.06 154.86 43876.33 283.34 -2.60 -73.55 DOW 166.80 1.03 171.20 1.00 171.20 43876.33 256.28 -1.73 -44.31 EUR 1335.38 0.56 753.41 1.00 753.41 43876.33 58.24 -0.36 -2.09 EUROSTX 382.00 1.13 431.80 1.06 457.42 43876.33 95.92 2.72 26.11 FEEDCOW 933.75 0.63 592.79 1.00 592.79 43876.33 74.02 -15.39 -113.87 FTSE100 707.00 0.82 576.59 1.20 666.67 43876.33 65.81 -2.56 -16.87 GASOIL 894.50 2.39 2140.96 1.00 2140.96 43876.33 20.49 6.14 12.59 GASOILINE 1002.79 2.14 2144.89 1.00 2144.89 43876.33 20.46 -0.15 -0.31 GAS_US 447.10 6.20 2772.20 1.00 2772.20 43876.33 15.83 -10.54 -16.69 GBP 754.00 0.81 610.87 1.00 610.87 43876.33 71.83 4.32 31.01 GOLD_micro 180.59 0.94 168.95 1.00 168.95 43876.33 259.70 -1.70 -44.08 HEATOIL 1313.76 2.32 3051.04 1.00 3051.04 43876.33 14.38 8.34 12.00 JPY 950.88 1.04 991.95 1.00 991.95 43876.33 44.23 -0.82 -3.63 LEANHOG 381.50 1.63 622.51 1.00 622.51 43876.33 70.48 -0.71 -5.02 LIVECOW 631.00 0.60 376.67 1.00 376.67 43876.33 116.48 -16.23 -189.06 MXP 254.50 0.74 187.84 1.00 187.84 43876.33 233.58 5.84 136.42 NASDAQ 2213.40 1.61 3568.49 1.00 3568.49 43876.33 12.30 -5.19 -6.38 NIKKEI 26375.00 1.03 27248.25 0.01 205.09 43876.33 213.94 3.21 68.70 NZD 629.50 0.88 553.54 1.00 553.54 43876.33 79.27 3.65 28.96 OAT 1292.20 0.63 820.30 1.06 868.98 43876.33 50.49 8.37 42.27 OJ 306.30 1.59 486.36 1.00 486.36 43876.33 90.21 -2.68 -24.15 PALLAD 1752.50 2.75 4818.56 1.00 4818.56 43876.33 9.11 -3.38 -3.08 PLAT 515.45 1.99 1025.08 1.00 1025.08 43876.33 42.80 2.16 9.24 REDWHEAT 434.50 1.56 678.02 1.00 678.02 43876.33 64.71 -10.18 -65.85 ROBUSTA 187.50 1.02 190.84 1.00 190.84 43876.33 229.91 -0.75 -17.15 RUSSELL 88.54 1.44 127.33 1.00 127.33 43876.33 344.59 -5.85 -201.62 SILVER-mini 599.38 1.99 1195.29 1.00 1195.29 43876.33 36.71 8.90 32.66 SOYBEAN 696.75 0.78 541.47 1.00 541.47 43876.33 81.03 9.07 73.52 SOYMEAL 443.90 1.42 631.68 1.00 631.68 43876.33 69.46 4.50 31.26 SOYOIL 382.62 1.65 633.12 1.00 633.12 43876.33 69.30 2.40 16.62 SP400 2448.90 1.29 3159.20 1.00 3159.20 43876.33 13.89 -3.70 -5.14 SP500 1934.12 1.24 2391.43 1.00 2391.43 43876.33 18.35 -3.62 -6.63 SUGAR11 234.98 1.15 269.06 1.00 269.06 43876.33 163.07 10.95 178.51 US10 1131.88 0.44 497.08 1.00 497.08 43876.33 88.27 -7.30 -64.47 US10U 1191.88 0.59 708.37 1.00 708.37 43876.33 61.94 -1.78 -11.06 US20 1273.75 0.80 1020.60 1.00 1020.60 43876.33 42.99 -3.30 -14.17 US30 1370.94 1.22 1671.77 1.00 1671.77 43876.33 26.25 -2.37 -6.22 US5 1084.92 0.30 325.75 1.00 325.75 43876.33 134.69 -5.24 -70.63 VIX 260.50 2.21 575.07 1.00 575.07 43876.33 76.30 -17.40 -132.79 WHEAT 402.25 1.37 551.83 1.00 551.83 43876.33 79.51 -14.89 -118.39 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -6.850 0.006 2.5 -0.109 BITCOIN 274.781 0.009 2.5 6.474 BOBL 72.956 0.029 2.5 5.264 BTP 34.977 0.008 2.5 0.706 BUND 41.707 0.029 2.5 3.009 BUXL -3.395 0.034 2.5 -0.285 CAC 10.147 0.011 2.5 0.285 CAD -32.935 0.007 2.5 -0.588 CANOLA 189.387 0.004 2.5 1.738 CHF -39.274 0.015 2.5 -1.470 COCOA -49.802 0.009 2.5 -1.085 COFFEE -12.500 0.005 2.5 -0.162 COPPER 19.325 0.011 2.5 0.528 CORN 62.655 0.004 2.5 0.565 COTTON2 5.851 0.006 2.5 0.088 CRUDE_W -8.811 0.053 2.5 -1.164 DAX -73.553 0.022 2.5 -3.995 DOW -44.314 0.011 2.5 -1.263 EUR -2.085 0.015 2.5 -0.078 EUROSTX 26.106 0.011 2.5 0.734 FEEDCOW -113.875 0.011 2.5 -3.060 FTSE100 -16.869 0.041 2.5 -1.739 GASOIL 12.586 0.029 2.5 0.898 GASOILINE -0.307 0.016 2.5 -0.013 GAS_US -16.687 0.006 2.5 -0.251 GBP 31.014 0.007 2.5 0.554 GOLD_micro -44.076 0.009 2.5 -0.986 HEATOIL 12.000 0.029 2.5 0.856 JPY -3.627 0.026 2.5 -0.235 LEANHOG -5.018 0.019 2.5 -0.234 LIVECOW -189.058 0.011 2.5 -5.080 MXP 136.424 0.005 2.5 1.670 NASDAQ -6.385 0.022 2.5 -0.347 NIKKEI 68.698 0.076 2.5 13.048 NZD 28.956 0.006 2.5 0.463 OAT 42.271 0.008 2.5 0.854 OJ -24.149 0.007 2.5 -0.421 PALLAD -3.076 0.010 2.5 -0.074 PLAT 9.241 0.010 2.5 0.222 REDWHEAT -65.846 0.002 2.5 -0.352 ROBUSTA -17.150 0.005 2.5 -0.222 RUSSELL -201.620 0.021 2.5 -10.443 SILVER-mini 32.658 0.009 2.5 0.731 SOYBEAN 73.519 0.024 2.5 4.335 SOYMEAL 31.264 0.024 2.5 1.843 SOYOIL 16.625 0.004 2.5 0.153 SP400 -5.142 0.021 2.5 -0.266 SP500 -6.634 0.011 2.5 -0.189 SUGAR11 178.511 0.005 2.5 2.422 US10 -64.474 0.015 2.5 -2.473 US10U -11.056 0.058 2.5 -1.611 US20 -14.174 0.029 2.5 -1.045 US30 -6.219 0.034 2.5 -0.522 US5 -70.632 0.015 2.5 -2.710 VIX -132.785 0.075 2.5 -25.023 WHEAT -118.394 0.002 2.5 -0.632 ==================== Position diags ==================== AUD 1.14 BITCOIN 13.68 BOBL 7.85 BTP 0.87 BUND 3.87 BUXL 1.77 CAC 1.84 CAD 2.04 CANOLA 3.00 CHF 2.08 COCOA 2.85 COFFEE 0.43 COPPER 0.88 CORN 1.95 COTTON2 0.69 CRUDE_W 4.51 DAX 15.39 DOW 7.30 EUR 2.18 EUROSTX 2.70 FEEDCOW 1.99 FTSE100 6.78 GASOIL 1.46 GASOILINE 0.84 GAS_US 0.24 GBP 1.28 GOLD_micro 5.81 HEATOIL 1.03 JPY 2.86 LEANHOG 3.29 LIVECOW 3.13 MXP 2.86 NASDAQ 0.67 NIKKEI 40.63 NZD 1.27 OAT 1.02 OJ 1.57 PALLAD 0.22 PLAT 1.03 REDWHEAT 0.35 ROBUSTA 2.98 RUSSELL 17.85 SILVER-mini 0.82 SOYBEAN 4.78 SOYMEAL 4.10 SOYOIL 0.64 SP400 0.72 SP500 0.52 SUGAR11 2.21 US10 3.39 US10U 9.02 US20 3.17 US30 2.20 US5 5.17 VIX 14.38 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 5.3 4.5 6.0 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 -1.4 -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 -5.5 -2.5 0.0 0 DOW -1.3 -2.0 -0.5 1.0 1 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 0.7 0.5 1.0 0.0 0 FEEDCOW -3.1 -3.3 -2.9 -3.0 -3 FTSE100 -1.7 -2.4 -1.1 0.0 0 GASOIL 0.9 0.8 1.0 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 -4.8 -5.0 -5 MXP 1.7 1.4 2.0 3.0 3 NASDAQ -0.3 -0.4 -0.3 0.0 0 NIKKEI 13.0 9.0 17.1 0.0 0 NZD 0.5 0.3 0.6 2.0 2 OAT 0.9 0.8 1.0 0.0 0 OJ -0.4 -0.6 -0.3 NaN 0 PALLAD -0.1 -0.1 -0.1 NaN 0 PLAT 0.2 0.1 0.3 NaN 0 REDWHEAT -0.4 -0.4 -0.3 -1.0 -1 ROBUSTA -0.2 -0.5 0.1 0.0 0 RUSSELL -10.4 -12.2 -8.7 -5.0 -5 SILVER-mini 0.7 0.6 0.8 1.0 1 SOYBEAN 4.3 3.9 4.8 1.0 1 SOYMEAL 1.8 1.4 2.3 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 -1.4 -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 -25.0 -26.5 -23.6 -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 0.0 -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 -0.1 0.6 0.2 0.3 -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 -0.1 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 -0.0 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 -0.1 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 -0.8 -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 0.1 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 0.2 -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 -0.1 -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 -0.1 -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 -2.0 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 -1.2 -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 -0.4 -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 -0.0 0.0 -0.1 -0.0 0.9 0.3 0.2 0.2 -0.1 -0.0 -0.0 0.0 -0.0 -0.8 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 2.6 -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 -0.3 -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 0.1 0.1 0.3 PALLAD -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.2 -0.1 -0.0 -0.1 -0.0 1.1 -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 0.2 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 -0.1 -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 0.2 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 0.1 0.0 0.0 -0.0 -0.0 0.1 -0.1 -0.0 -0.3 0.0 -0.9 -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 0.1 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 -0.5 0.0 -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 -0.7 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 -2.7 0.1 -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 -1.1 20.0 2.2 2.7 -0.6 -0.5 0.1 -3.8 2.4 -8.9 -3.9 -8.4 -8.5 8.3 5.4 -2.9 -2.0 -2.7 -2.4 4.0 -2.7 -4.0 -8.6 2.1 5.1 -0.0 1.3 -1.4 -2.3 -1.9 -5.3 0.7 -0.4 -7.7 -6.9 -6.6 -8.3 BITCOIN 4.2 -8.5 1.9 3.3 -1.3 1.9 -0.5 0.6 2.1 -8.2 -15.1 -0.8 -15.9 -7.4 -9.4 2.3 -0.6 1.4 0.6 -8.0 -17.4 -2.0 -20.0 -3.2 20.0 -0.0 -4.7 -0.8 -6.7 -1.1 -6.8 -2.4 2.3 10.1 -5.7 -20.0 -20.0 BOBL -11.3 12.6 -4.9 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -14.1 -13.1 -15.0 -13.4 -10.1 -12.5 -0.8 15.3 11.3 15.9 -14.1 -18.9 -20.0 -20.0 -20.0 14.0 -0.0 -4.2 -9.9 -6.2 -10.1 -9.7 -6.5 20.0 -19.8 -14.8 -17.6 -9.2 BTP -16.3 20.0 14.8 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -13.9 -3.4 -14.5 -10.9 -4.6 2.5 10.5 14.7 15.4 16.6 -1.3 -5.6 -20.0 -16.9 -13.5 3.6 -0.0 -0.7 -7.3 -2.6 -8.4 -7.1 -4.3 20.0 -14.4 -15.1 -0.4 11.8 BUND -12.9 16.8 -2.8 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -14.1 -10.5 -14.9 -12.6 -7.5 -8.3 14.1 16.1 14.0 15.0 -10.9 -16.9 -20.0 -20.0 -19.2 10.6 -0.0 -3.3 -9.7 -5.3 -10.0 -8.7 -5.9 20.0 -20.0 -16.9 -11.1 -7.6 BUXL -10.7 20.0 2.5 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -14.1 -5.8 -14.3 -11.2 -2.5 0.7 4.5 -1.2 5.1 2.9 -3.0 -10.3 -20.0 -20.0 -15.1 6.1 -0.0 -1.2 -9.4 -2.9 -9.4 -5.8 -4.3 -0.8 -20.0 -12.9 0.9 1.0 CAC -20.0 18.1 12.9 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -8.5 10.8 -9.3 -0.1 4.2 12.0 -1.0 3.6 0.3 1.6 10.5 10.8 -9.8 5.4 -1.4 -15.0 -0.0 2.7 -2.4 2.9 -3.6 1.2 -1.0 7.6 -3.4 2.6 12.5 17.2 CAD -10.0 4.8 -8.2 2.7 -0.6 -0.5 0.1 -3.8 2.4 0.9 -9.9 -9.4 -11.2 -8.9 -7.2 -2.0 -1.0 -1.9 -1.5 -8.0 -11.6 -4.2 -13.0 -6.9 9.3 -0.0 -4.2 0.8 -6.6 -1.9 -7.7 -3.3 1.3 4.0 -20.0 -20.0 -19.1 CANOLA 11.9 -0.5 1.1 -4.0 6.1 -4.1 1.6 -0.9 -2.4 13.1 -9.6 14.1 -3.4 2.7 5.4 9.3 13.2 9.9 9.6 -0.4 -5.8 7.0 -0.9 3.8 6.9 -0.0 -0.6 3.7 -1.0 2.6 1.8 0.7 -1.6 -3.2 20.0 -5.5 11.2 CHF 8.8 20.0 11.7 2.7 -0.6 -0.5 0.1 -3.8 2.4 -8.6 7.8 7.4 -3.7 14.2 13.3 -12.5 -11.7 -12.3 -12.4 16.1 7.4 3.8 -2.6 14.1 -8.3 -0.0 4.3 -2.2 1.3 0.9 -2.5 3.9 -17.3 3.0 5.6 8.1 9.9 COCOA 0.9 15.1 12.5 -4.0 6.1 -4.1 1.6 -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 4.9 16.7 -2.7 12.1 -4.6 -0.0 4.3 14.0 2.1 8.2 -0.9 5.1 -20.0 18.7 19.8 20.0 16.9 COFFEE 16.8 -8.2 -20.0 -4.0 6.1 -4.1 1.6 -0.9 -2.4 12.0 -12.6 10.3 -8.5 -0.0 -12.3 -0.1 3.9 2.9 4.6 -16.0 -20.0 8.2 -13.0 -1.0 10.4 -0.0 -4.4 3.1 -5.9 2.2 -3.3 -0.3 -12.7 20.0 13.5 -14.8 -20.0 COPPER 6.3 17.8 16.6 3.3 -1.3 1.9 -0.5 0.6 2.1 -3.0 -5.3 6.6 -8.4 8.4 9.0 -1.2 -0.1 -0.5 -0.2 10.2 1.7 1.4 -7.8 7.4 13.3 -0.0 4.2 0.3 1.5 0.4 -1.3 2.9 2.1 5.3 5.0 3.1 0.5 CORN -9.8 -18.8 6.7 -4.0 6.1 -4.1 1.6 -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 8.8 -6.4 -17.4 0.1 COTTON2 9.4 8.1 -20.0 -4.0 6.1 -4.1 1.6 -0.9 -2.4 4.7 -10.6 6.6 -1.9 9.5 -7.2 2.1 15.6 5.1 10.8 -4.7 -11.7 8.8 -4.9 4.6 0.6 -0.0 0.0 2.8 -2.4 4.9 1.6 3.6 3.4 12.4 20.0 19.9 -20.0 CRUDE_W -7.1 -4.1 -2.6 -3.1 6.4 -1.9 3.4 3.2 -0.7 12.6 -6.2 0.1 2.4 -6.6 3.1 6.3 12.8 7.5 10.0 -3.7 -2.8 5.1 4.4 -2.1 -2.7 -0.0 -1.5 8.7 -0.0 3.4 5.6 -0.6 -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 -11.2 8.6 -12.1 -4.0 5.3 11.7 -7.0 -2.4 -5.2 -3.8 11.1 9.4 -12.2 -0.9 -2.0 -11.1 -0.0 2.8 -3.0 2.6 -4.0 -0.4 -1.1 -2.1 -8.1 -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 -6.4 7.6 -9.9 -0.8 0.9 10.2 -5.6 -2.3 -5.0 -4.1 8.2 7.4 -8.7 1.1 -1.9 -6.9 -0.0 2.3 -1.6 2.1 -3.1 0.5 -1.0 -2.4 7.6 0.1 8.5 11.5 EUR 12.5 20.0 20.0 2.7 -0.6 -0.5 0.1 -3.8 2.4 2.1 2.7 10.4 -9.0 14.8 14.8 -7.5 -8.3 -7.7 -8.1 20.0 6.6 8.3 -11.2 18.5 1.5 -0.0 4.8 0.5 0.7 2.1 -4.8 4.6 -10.8 10.5 12.3 7.1 15.5 EUROSTX -20.0 20.0 17.3 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -10.9 10.4 -10.7 -1.5 6.4 12.3 7.9 3.5 3.9 2.8 12.2 11.5 -10.6 3.4 -0.4 -17.3 -0.0 3.2 -2.9 3.3 -3.6 0.9 -0.6 8.2 -7.3 0.1 20.0 20.0 FEEDCOW 10.6 10.7 -4.9 -4.0 6.1 -4.1 1.6 -0.9 -2.4 13.6 1.2 12.8 -1.1 12.2 3.1 -18.5 -20.0 -18.8 -20.0 5.7 0.6 9.8 -1.5 9.0 -13.6 -0.0 3.3 6.6 0.4 5.3 -0.7 5.0 -20.0 3.8 20.0 14.4 -3.0 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 -3.1 6.4 -1.9 3.4 3.2 -0.7 9.2 -4.8 2.5 9.3 -5.9 -7.5 20.0 20.0 20.0 20.0 -9.2 -1.9 3.2 12.0 -6.0 -5.7 -0.0 -3.5 2.9 -1.1 1.1 4.2 -2.3 6.6 -2.3 -5.2 -10.0 4.3 GASOILINE -7.0 -12.6 -13.9 -3.1 6.4 -1.9 3.4 3.2 -0.7 13.8 -11.4 5.8 2.8 -6.9 -7.3 -3.1 20.0 8.0 18.6 -9.5 -6.8 11.3 5.4 -3.3 -5.1 -0.0 -2.4 12.0 -0.7 6.1 6.1 0.1 0.0 6.4 0.1 4.8 8.9 GAS_US -14.0 -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 -17.4 -10.6 -0.0 -3.0 -10.2 -0.8 -8.5 3.8 -5.0 -20.0 -20.0 -20.0 13.5 -3.9 GBP 3.5 20.0 15.3 2.7 -0.6 -0.5 0.1 -3.8 2.4 -13.5 3.3 -6.2 -6.5 10.1 12.2 -2.0 -1.6 -1.9 -1.9 13.0 3.3 -6.5 -9.2 7.0 12.5 -0.0 2.4 -4.7 -2.4 -2.7 -7.5 1.5 0.4 -13.6 -2.6 -5.3 -3.7 GOLD_micro 4.9 20.0 12.0 3.3 -1.3 1.9 -0.5 0.6 2.1 -0.6 -2.3 7.9 -8.8 13.5 11.9 -10.5 -8.4 -10.3 -9.7 11.4 2.4 4.5 -5.1 10.9 9.6 -0.0 4.1 -0.4 1.2 1.5 -1.0 3.8 -13.1 12.9 4.4 8.1 -4.6 HEATOIL -6.5 -18.1 -15.1 -3.1 6.4 -1.9 3.4 3.2 -0.7 11.8 -5.0 5.4 8.5 -4.3 -4.8 20.0 20.0 20.0 20.0 -7.2 -1.4 6.5 10.6 -3.5 -13.5 -0.0 -2.7 5.8 0.6 2.8 8.2 -1.3 15.8 3.8 -2.5 -3.6 6.4 JPY 8.9 20.0 20.0 2.7 -0.6 -0.5 0.1 -3.8 2.4 8.6 -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 16.5 11.8 -0.0 4.0 4.3 -0.8 5.3 -6.2 5.6 -15.5 20.0 20.0 17.3 0.7 LEANHOG -4.6 -1.4 -1.4 -4.0 6.1 -4.1 1.6 -0.9 -2.4 12.0 2.0 4.9 -0.5 0.8 7.6 -20.0 19.3 -14.5 11.9 0.6 1.2 9.3 2.9 1.7 -7.6 -0.0 -0.3 8.1 -0.3 5.1 1.1 0.8 11.0 15.9 -0.4 -1.5 3.9 LIVECOW 1.2 2.0 7.8 -4.0 6.1 -4.1 1.6 -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 12.7 1.8 9.0 -20.0 -0.0 4.4 9.3 4.1 7.6 3.0 5.3 -20.0 16.1 15.4 6.7 13.1 MXP -20.0 -4.1 5.7 2.7 -0.6 -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 19.2 7.2 11.7 7.4 13.0 3.1 -20.0 -0.0 3.8 8.8 5.2 3.5 5.0 1.7 20.0 20.0 -9.6 -7.9 20.0 NASDAQ -11.0 10.4 -3.6 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -13.1 -9.9 -14.1 -12.4 -4.1 -8.3 -4.9 -3.3 -4.7 -4.3 -7.1 -10.0 -18.1 -13.3 -11.6 8.5 -0.0 -2.6 -8.2 -4.0 -8.1 -4.9 -4.7 -3.4 -7.1 -0.4 -8.3 -10.7 NIKKEI -20.0 -2.9 -0.5 -0.2 -1.3 -0.7 -4.1 -1.9 -2.7 -10.6 2.4 -14.2 1.0 -12.1 -2.0 15.0 9.3 9.9 9.7 -8.0 -0.5 -20.0 1.1 -18.5 -6.0 -0.0 -4.0 -3.7 -1.8 -7.2 -1.1 -7.4 19.5 -19.6 -19.5 -14.9 -2.8 NZD 3.9 20.0 14.6 2.7 -0.6 -0.5 0.1 -3.8 2.4 -10.1 3.5 -1.0 -7.0 10.6 11.3 0.1 0.4 -0.4 -0.2 16.0 5.5 -4.5 -6.8 10.4 0.1 -0.0 3.9 -3.0 0.8 -1.3 -2.6 2.6 3.6 -13.6 3.7 12.8 4.4 OAT -15.2 19.4 5.7 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -14.1 -7.7 -14.8 -11.8 -6.6 -3.9 12.4 12.5 13.2 13.5 -7.1 -11.6 -20.0 -20.0 -18.4 10.6 -0.0 -2.3 -9.5 -4.3 -9.9 -8.3 -5.4 20.0 -20.0 -18.7 -7.0 -2.1 OJ -3.1 -7.1 17.7 -4.0 6.1 -4.1 1.6 -0.9 -2.4 4.7 13.6 8.4 14.2 5.8 12.5 13.9 12.3 15.2 15.3 15.5 20.0 7.4 20.0 8.8 -20.0 -0.0 5.0 1.6 8.9 2.7 10.8 2.5 3.6 0.5 5.6 9.1 20.0 PALLAD -6.7 -6.2 -8.7 3.3 -1.3 1.9 -0.5 0.6 2.1 -7.6 -12.4 -11.0 -8.4 -12.5 -13.2 -1.3 -1.3 -1.5 -1.5 -14.7 -11.1 -16.3 -8.0 -17.1 6.2 -0.0 -4.6 -2.2 -3.0 -6.2 -1.9 -5.9 0.0 -20.0 -20.0 -20.0 -19.4 PLAT -11.6 8.8 17.3 3.3 -1.3 1.9 -0.5 0.6 2.1 1.7 9.2 -4.9 -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 0.2 0.5 2.1 1.7 8.4 -1.4 -1.5 13.8 REDWHEAT -11.4 -16.8 -6.8 -4.0 6.1 -4.1 1.6 -0.9 -2.4 13.5 -12.7 -1.7 -5.9 -10.7 -9.7 5.9 0.6 4.3 2.7 -14.8 -11.9 1.7 -3.2 -10.7 -7.5 -0.0 -4.3 5.1 -2.1 1.2 2.1 -3.1 -17.8 14.1 -12.3 -14.2 3.7 ROBUSTA 20.0 -7.3 -20.0 -4.0 6.1 -4.1 1.6 -0.9 -2.4 5.0 -10.7 12.3 -5.1 8.4 -10.0 15.4 8.2 11.7 9.6 -10.5 -17.5 5.7 -8.1 3.1 -1.2 -0.0 -2.1 0.8 -3.9 1.6 -1.8 1.1 -5.5 -3.0 20.0 -1.5 -20.0 RUSSELL -16.0 4.3 2.9 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -8.0 -4.6 -11.9 -10.6 -8.6 -2.3 -4.6 -2.5 -4.2 -3.6 -4.7 -4.0 -12.6 -7.5 -10.6 -3.8 -0.0 -2.2 -3.5 -1.5 -6.1 -2.2 -5.0 -2.0 5.0 -3.3 -10.3 -1.9 SILVER-mini 9.7 20.0 20.0 3.3 -1.3 1.9 -0.5 0.6 2.1 3.3 5.6 11.3 -4.7 13.7 13.9 -4.3 -3.4 -4.2 -4.0 18.4 9.7 11.3 -0.9 17.7 8.8 -0.0 5.5 1.5 2.6 3.1 -0.9 5.1 -3.9 20.0 20.0 19.2 20.0 SOYBEAN 0.4 3.7 3.7 -4.0 6.1 -4.1 1.6 -0.9 -2.4 6.5 0.5 4.9 4.5 8.3 11.6 20.0 20.0 20.0 20.0 4.5 4.0 1.0 7.2 2.7 -20.0 -0.0 3.2 2.1 5.6 0.4 11.0 1.3 20.0 -11.1 8.7 11.6 13.5 SOYMEAL 20.0 16.8 5.5 -4.0 6.1 -4.1 1.6 -0.9 -2.4 -6.5 7.1 6.2 9.6 8.9 9.2 10.3 13.8 11.3 13.2 19.1 12.7 7.2 8.9 18.3 -20.0 -0.0 5.2 -0.2 4.0 1.8 3.6 4.7 3.2 -20.0 20.0 20.0 20.0 SOYOIL -20.0 -16.1 1.1 -4.0 6.1 -4.1 1.6 -0.9 -2.4 12.1 -0.1 -4.4 5.1 -6.8 -4.7 10.8 20.0 16.8 19.3 -7.0 0.5 0.2 7.5 -9.5 -18.3 -0.0 -1.3 2.0 1.5 0.1 4.1 -2.4 14.4 20.0 -20.0 -2.8 16.0 SP400 -16.5 11.0 5.5 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -4.9 1.3 -10.4 -5.5 -4.3 4.5 -3.8 -1.8 -2.4 -1.9 1.1 1.4 -10.0 -2.3 -6.4 -7.6 -0.0 0.3 -1.7 0.8 -4.5 0.1 -3.0 0.0 7.0 -2.5 -0.9 4.7 SP500 -13.0 12.8 1.1 -0.1 -3.6 -0.6 -5.2 -1.9 -2.8 -10.8 -3.9 -12.7 -8.4 -2.5 0.2 -5.2 -3.4 -4.9 -4.3 -1.1 -3.1 -13.2 -6.6 -7.5 3.5 -0.0 -0.4 -4.3 -1.6 -5.7 -3.4 -3.1 -3.4 1.6 -0.1 -1.9 -2.5 SUGAR11 6.4 20.0 15.1 -4.0 6.1 -4.1 1.6 -0.9 -2.4 14.0 8.9 14.2 4.1 14.5 13.1 20.0 20.0 20.0 20.0 19.0 12.7 20.0 6.6 20.0 -20.0 -0.0 5.8 6.9 4.2 7.0 2.5 6.3 20.0 20.0 20.0 20.0 20.0 US10 7.7 20.0 -0.8 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -13.7 -7.3 -6.0 -12.4 9.3 0.1 -8.7 -0.1 -6.6 -4.3 2.7 -10.9 -8.2 -20.0 3.2 -6.9 -0.0 1.2 -5.7 -3.3 -3.1 -8.0 1.0 -5.1 20.0 16.7 10.5 3.6 US10U 7.9 20.0 -2.2 -1.2 -8.5 -3.9 -7.0 -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 -6.5 -2.9 -3.7 -6.9 0.8 4.4 16.5 16.2 11.4 4.3 US20 12.8 20.0 -2.8 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -13.5 -5.6 -5.0 -11.5 10.0 2.4 -3.4 1.9 -0.8 0.5 5.4 -9.5 -8.6 -20.0 5.9 -8.3 -0.0 1.7 -5.4 -2.3 -2.7 -5.5 1.6 0.8 17.0 20.0 17.4 4.2 US30 13.4 20.0 4.5 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -13.4 -5.4 -6.4 -12.8 7.8 3.1 0.3 0.4 -0.6 -0.5 4.8 -9.6 -10.8 -20.0 4.3 -7.0 -0.0 1.9 -6.3 -2.0 -3.3 -5.5 1.4 -1.5 8.8 20.0 16.6 9.3 US5 10.0 20.0 2.2 -1.2 -8.5 -3.9 -7.0 -7.0 -2.6 -13.5 -7.4 -0.7 -12.7 10.7 -0.2 -5.6 1.2 -5.4 -3.7 3.0 -11.9 -5.1 -20.0 5.2 -4.7 -0.0 1.3 -5.1 -3.8 -2.1 -9.4 1.8 -3.6 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 6.1 -4.1 1.6 -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 14.6 -10.4 -19.3 -1.7 End of report for caleb_strategy_v1