******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221227_204323 produced at 2022-12-27 21:35:34.746104 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 9065826.64 -9065826.64 -0.21 -0.21 -24.99 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.12 0.0 38410329.83 -38410329.83 -0.15 -0.19 -3.00 999999999 -4 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22998757.85 -22998757.85 -0.11 -0.14 -5.05 999999999 -5 -6 caleb_strategy_v1 US10 False False 0.04 0.00 -0.11 0.0 39962963.75 -39962963.75 0.00 0.00 -2.67 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.10 -0.11 0.0 33601330.99 -33601330.99 -0.10 -0.13 -3.19 999999999 -3 -4 caleb_strategy_v1 US10U False False 0.04 0.00 -0.09 0.0 42012773.81 -42012773.81 0.00 -0.04 -2.04 999999999 0 -1 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.07 0.0 48237752.57 -48237752.57 -0.10 -0.10 -1.55 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.06 0.0 44584757.72 -44584757.72 -0.09 -0.09 -1.25 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 US30 False False 0.05 0.00 -0.03 0.0 47851121.73 -47851121.73 0.00 0.00 -0.67 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 77724353.71 -77724353.71 0.00 0.00 -0.39 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.03 0.0 3127710.19 -3127710.19 -0.02 -0.02 -10.94 999999999 -6 -7 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5319996.67 -5319996.67 0.00 0.00 -3.89 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 87124371.61 -87124371.61 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.02 0.0 27268584.44 -27268584.44 0.00 0.00 -0.83 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.05 -0.02 0.0 52253752.15 -52253752.15 0.05 0.00 -0.43 999999999 1 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14296453.09 -14296453.09 -0.01 -0.01 -0.60 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5945049.14 -5945049.14 0.00 -0.01 -1.41 999999999 0 -2 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9371576.09 -9371576.09 0.00 0.00 -1.10 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.01 0.0 15554114.33 -15554114.33 -0.02 -0.02 -0.33 999999999 -1 -1 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68602532.26 -68602532.26 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.01 0.0 6420382.87 -6420382.87 0.00 -0.01 -0.99 999999999 0 -1 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33639105.26 -33639105.26 -0.07 -0.07 -0.25 999999999 -2 -2 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.01 0.0 26315783.83 -26315783.83 -0.03 -0.03 -0.46 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.00 0.0 13705396.74 -13705396.74 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13940041.67 -13940041.67 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6666049.00 -6666049.00 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47571147.67 -47571147.67 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 24017330.14 -24017330.14 -0.05 -0.05 -0.09 999999999 -2 -2 caleb_strategy_v1 GAS_US False False 0.02 0.00 -0.00 0.0 15696323.38 -15696323.38 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 18382296.72 -18382296.72 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 583590.37 -583590.37 0.00 0.00 6.45 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10878991.97 -10878991.97 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.00 0.0 37918193.21 -37918193.21 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22197943.17 -22197943.17 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14944393.05 -14944393.05 0.00 0.00 0.09 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 64953981.44 -64953981.44 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10772335.18 -10772335.18 0.02 0.02 0.66 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14507361.44 -14507361.44 0.00 0.00 0.74 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 24770004.41 -24770004.41 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26779740.84 -26779740.84 0.03 0.03 0.52 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4547437.30 -4547437.30 0.00 0.00 1.74 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22335708.18 -22335708.18 0.04 0.04 0.43 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8059271.02 -8059271.02 0.02 0.02 2.42 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9001832.57 -9001832.57 0.03 0.03 1.75 999999999 3 3 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.02 0.0 21553558.43 -21553558.43 0.02 0.02 0.71 999999999 1 1 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 34192387.33 -34192387.33 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 33739096.00 -33739096.00 0.00 0.03 1.03 999999999 0 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41387424.29 -41387424.29 0.04 0.04 0.64 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15682102.47 -15682102.47 0.06 0.06 1.94 999999999 4 4 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 48343993.64 -48343993.64 0.00 0.00 0.77 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.05 0.0 46404020.26 -46404020.26 0.05 0.05 0.98 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.09 0.0 0.00 0.00 0.00 0.00 13.51 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.11 0.0 24748817.92 -24748817.92 0.02 0.05 4.28 999999999 1 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.14 0.0 50505147.67 -50505147.67 0.10 0.10 2.71 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.21 0.0 43840012.40 -43840012.40 0.18 0.18 4.75 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 8.9 Shocked risk 27.3 Sum abs risk 33.6 Leverage 2.09 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2812760.6, 'annual_cash_vol_target': 703190.15, 'daily_cash_vol_target': 43949.384375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6756 0.9136 14.6178 BITCOIN 755.2933 16415.0000 4.6012 73.6198 BOBL 0.3809 115.8300 0.3289 5.2618 BTP 0.9565 109.3500 0.8748 13.9961 BUND 0.7728 133.4400 0.5791 9.2662 BUXL 1.9637 138.0600 1.4224 22.7578 CAC 63.3613 6544.5000 0.9682 15.4906 CAD 0.0038 0.7402 0.5186 8.2978 CANOLA 9.1620 864.7000 1.0596 16.9529 CHF 0.0063 1.0854 0.5823 9.3169 COCOA 33.5867 2636.0000 1.2742 20.3865 COFFEE 0.0355 1.6650 2.1343 34.1491 COPPER 0.0544 3.8470 1.4153 22.6446 CORN 4.0662 606.0000 0.6710 10.7359 COTTON2 0.0191 0.8407 2.2699 36.3187 CRUDE_W 1.2859 76.7000 1.6765 26.8236 DAX 146.1902 14056.0000 1.0401 16.6409 DOW 342.4571 33444.0000 1.0240 16.3835 EUR 0.0060 1.0704 0.5631 9.0089 EUROSTX 43.1811 3833.0000 1.1266 18.0250 FEEDCOW 1.1855 189.0250 0.6272 10.0351 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.4131 949.0000 2.2564 36.1022 GASOILINE 0.0511 2.5394 2.0112 32.1798 GAS_US 0.2773 4.4150 6.2803 100.4847 GBP 0.0098 1.2052 0.8110 12.9764 GOLD_micro 16.8950 1805.9000 0.9355 14.9687 HEATOIL 0.0727 3.1077 2.3379 37.4070 JPY 0.0001 0.0076 1.0485 16.7761 LEANHOG 1.5564 96.3750 1.6149 25.8392 LIVECOW 0.9416 161.7250 0.5823 9.3160 MXP 0.0004 0.0506 0.7418 11.8693 NASDAQ 178.4576 10931.0000 1.6326 26.1213 NIKKEI 275.8660 26210.0000 1.0525 16.8404 NZD 0.0055 0.6282 0.8811 14.0979 OAT 0.8205 127.7300 0.6423 10.2775 OJ 0.0324 2.0400 1.5896 25.4329 PALLAD 48.1934 1827.0000 2.6378 42.2055 PLAT 20.5034 1034.1000 1.9827 31.7236 REDWHEAT 13.5614 875.0000 1.5499 24.7980 ROBUSTA 19.0839 1875.0000 1.0178 16.2850 RUSSELL 25.4684 1759.5000 1.4475 23.1597 SILVER-mini 0.4782 24.2500 1.9718 31.5491 SOYBEAN 10.8291 1392.2500 0.7778 12.4450 SOYMEAL 6.3175 441.1000 1.4322 22.9153 SOYOIL 1.0554 65.3500 1.6149 25.8391 SP400 31.5967 2450.6000 1.2893 20.6296 SP500 47.8369 3859.2500 1.2395 19.8326 SUGAR11 0.0024 0.2024 1.1869 18.9900 US10 0.4971 112.4062 0.4422 7.0760 US10U 0.7085 118.1719 0.5995 9.5922 US20 1.0207 125.4062 0.8139 13.0221 US30 1.6719 134.5938 1.2422 19.8745 US5 0.3258 108.0391 0.3015 4.8247 VIX 0.5750 25.5000 2.2549 36.0784 WHEAT 11.0371 804.2500 1.3723 21.9575 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 675.55 0.91 617.19 1.00 617.19 43949.38 71.21 -0.79 -5.63 BITCOIN 16.42 4.60 75.53 1.00 75.53 43949.38 581.89 4.70 273.73 BOBL 1158.30 0.33 380.92 1.06 404.96 43949.38 108.53 6.06 65.81 BTP 1093.50 0.87 956.54 1.06 1016.91 43949.38 43.22 7.33 31.67 BUND 1334.40 0.58 772.80 1.06 821.57 43949.38 53.49 7.01 37.52 BUXL 1380.60 1.42 1963.71 1.06 2087.64 43949.38 21.05 -2.43 -5.12 CAC 654.45 0.97 633.61 1.06 673.60 43949.38 65.25 1.42 9.28 CAD 740.20 0.52 383.88 1.00 383.88 43949.38 114.49 -2.26 -25.85 CANOLA 172.94 1.06 183.24 0.74 134.20 43949.38 327.48 5.79 189.70 CHF 1356.81 0.58 790.08 1.00 790.08 43949.38 55.63 -7.43 -41.34 COCOA 263.60 1.27 335.87 1.00 335.87 43949.38 130.85 -3.88 -50.72 COFFEE 624.38 2.13 1332.62 1.00 1332.62 43949.38 32.98 -3.83 -12.64 COPPER 961.75 1.42 1361.15 1.00 1361.15 43949.38 32.29 6.04 19.51 CORN 303.00 0.67 203.31 1.00 203.31 43949.38 216.17 3.40 73.52 COTTON2 420.35 2.27 954.16 1.00 954.16 43949.38 46.06 1.27 5.83 CRUDE_W 767.00 1.68 1285.86 1.00 1285.86 43949.38 34.18 -1.83 -6.27 DAX 140.56 1.04 146.19 1.06 155.42 43949.38 282.79 -2.53 -71.62 DOW 167.22 1.02 171.23 1.00 171.23 43949.38 256.67 -1.92 -49.38 EUR 1338.06 0.56 753.41 1.00 753.41 43949.38 58.33 -0.44 -2.58 EUROSTX 383.30 1.13 431.81 1.06 459.06 43949.38 95.74 2.73 26.16 FEEDCOW 945.12 0.63 592.77 1.00 592.77 43949.38 74.14 -16.04 -118.90 FTSE100 707.00 0.82 576.59 1.21 666.67 43949.38 65.92 -2.56 -16.90 GASOIL 949.00 2.26 2141.31 1.00 2141.31 43949.38 20.52 7.03 14.42 GASOILINE 1066.55 2.01 2145.08 1.00 2145.08 43949.38 20.49 -1.18 -2.42 GAS_US 441.50 6.28 2772.75 1.00 2772.75 43949.38 15.85 -10.06 -15.95 GBP 753.25 0.81 610.91 1.00 610.91 43949.38 71.94 4.05 29.15 GOLD_micro 180.59 0.94 168.95 1.00 168.95 43949.38 260.13 -1.70 -44.26 HEATOIL 1305.23 2.34 3051.55 1.00 3051.55 43949.38 14.40 9.59 13.81 JPY 946.19 1.05 992.08 1.00 992.08 43949.38 44.30 -0.86 -3.80 LEANHOG 385.50 1.61 622.56 1.00 622.56 43949.38 70.59 -0.87 -6.17 LIVECOW 646.90 0.58 376.66 1.00 376.66 43949.38 116.68 -16.09 -187.77 MXP 253.20 0.74 187.83 1.00 187.83 43949.38 233.98 6.11 142.86 NASDAQ 2186.20 1.63 3569.15 1.00 3569.15 43949.38 12.31 -5.82 -7.16 NIKKEI 26210.00 1.05 27586.60 0.01 207.58 43949.38 211.72 3.36 71.12 NZD 628.25 0.88 553.56 1.00 553.56 43949.38 79.39 3.35 26.62 OAT 1277.30 0.64 820.46 1.06 872.24 43949.38 50.39 7.55 38.07 OJ 306.00 1.59 486.40 1.00 486.40 43949.38 90.36 -2.42 -21.86 PALLAD 1827.00 2.64 4819.34 1.00 4819.34 43949.38 9.12 -3.08 -2.81 PLAT 517.05 1.98 1025.17 1.00 1025.17 43949.38 42.87 2.28 9.77 REDWHEAT 437.50 1.55 678.07 1.00 678.07 43949.38 64.82 -9.45 -61.28 ROBUSTA 187.50 1.02 190.84 1.00 190.84 43949.38 230.30 -0.75 -17.18 RUSSELL 87.98 1.45 127.34 1.00 127.34 43949.38 345.13 -6.12 -211.30 SILVER-mini 606.25 1.97 1195.42 1.00 1195.42 43949.38 36.76 8.61 31.65 SOYBEAN 696.12 0.78 541.46 1.00 541.46 43949.38 81.17 8.95 72.66 SOYMEAL 441.10 1.43 631.75 1.00 631.75 43949.38 69.57 4.73 32.88 SOYOIL 392.10 1.61 633.22 1.00 633.22 43949.38 69.41 2.38 16.53 SP400 2450.60 1.29 3159.67 1.00 3159.67 43949.38 13.91 -3.77 -5.25 SP500 1929.62 1.24 2391.85 1.00 2391.85 43949.38 18.37 -4.00 -7.35 SUGAR11 226.69 1.19 269.05 1.00 269.05 43949.38 163.35 10.94 178.69 US10 1124.06 0.44 497.11 1.00 497.11 43949.38 88.41 -7.89 -69.71 US10U 1181.72 0.60 708.46 1.00 708.46 43949.38 62.04 -2.26 -14.01 US20 1254.06 0.81 1020.66 1.00 1020.66 43949.38 43.06 -3.95 -17.01 US30 1345.94 1.24 1671.86 1.00 1671.86 43949.38 26.29 -3.02 -7.93 US5 1080.39 0.30 325.78 1.00 325.78 43949.38 134.90 -5.79 -78.17 VIX 255.00 2.25 575.00 1.00 575.00 43949.38 76.43 -17.35 -132.60 WHEAT 402.12 1.37 551.85 1.00 551.85 43949.38 79.64 -14.12 -112.45 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -5.634 0.006 2.5 -0.090 BITCOIN 273.735 0.009 2.5 6.449 BOBL 65.809 0.029 2.5 4.749 BTP 31.670 0.008 2.5 0.640 BUND 37.525 0.029 2.5 2.708 BUXL -5.122 0.034 2.5 -0.430 CAC 9.280 0.011 2.5 0.261 CAD -25.847 0.007 2.5 -0.461 CANOLA 189.702 0.004 2.5 1.741 CHF -41.338 0.015 2.5 -1.547 COCOA -50.724 0.009 2.5 -1.105 COFFEE -12.641 0.005 2.5 -0.164 COPPER 19.506 0.011 2.5 0.533 CORN 73.516 0.004 2.5 0.663 COTTON2 5.827 0.006 2.5 0.088 CRUDE_W -6.265 0.053 2.5 -0.828 DAX -71.615 0.022 2.5 -3.889 DOW -49.381 0.011 2.5 -1.407 EUR -2.578 0.015 2.5 -0.096 EUROSTX 26.161 0.011 2.5 0.735 FEEDCOW -118.897 0.011 2.5 -3.195 FTSE100 -16.897 0.041 2.5 -1.742 GASOIL 14.422 0.029 2.5 1.029 GASOILINE -2.420 0.016 2.5 -0.099 GAS_US -15.947 0.006 2.5 -0.240 GBP 29.148 0.007 2.5 0.520 GOLD_micro -44.256 0.009 2.5 -0.990 HEATOIL 13.806 0.029 2.5 0.985 JPY -3.802 0.026 2.5 -0.246 LEANHOG -6.174 0.019 2.5 -0.288 LIVECOW -187.770 0.011 2.5 -5.046 MXP 142.856 0.005 2.5 1.749 NASDAQ -7.163 0.022 2.5 -0.389 NIKKEI 71.124 0.076 2.5 13.509 NZD 26.625 0.006 2.5 0.425 OAT 38.065 0.008 2.5 0.769 OJ -21.860 0.007 2.5 -0.381 PALLAD -2.809 0.010 2.5 -0.068 PLAT 9.766 0.010 2.5 0.235 REDWHEAT -61.277 0.002 2.5 -0.327 ROBUSTA -17.178 0.005 2.5 -0.223 RUSSELL -211.305 0.021 2.5 -10.945 SILVER-mini 31.645 0.009 2.5 0.708 SOYBEAN 72.658 0.024 2.5 4.284 SOYMEAL 32.877 0.024 2.5 1.938 SOYOIL 16.527 0.004 2.5 0.152 SP400 -5.249 0.021 2.5 -0.272 SP500 -7.354 0.011 2.5 -0.210 SUGAR11 178.694 0.005 2.5 2.425 US10 -69.714 0.015 2.5 -2.675 US10U -14.010 0.058 2.5 -2.041 US20 -17.005 0.029 2.5 -1.253 US30 -7.932 0.034 2.5 -0.666 US5 -78.170 0.015 2.5 -2.999 VIX -132.603 0.075 2.5 -24.989 WHEAT -112.451 0.002 2.5 -0.600 ==================== Position diags ==================== AUD 1.14 BITCOIN 13.71 BOBL 7.83 BTP 0.87 BUND 3.86 BUXL 1.77 CAC 1.83 CAD 2.04 CANOLA 3.01 CHF 2.08 COCOA 2.85 COFFEE 0.43 COPPER 0.88 CORN 1.95 COTTON2 0.69 CRUDE_W 4.52 DAX 15.36 DOW 7.31 EUR 2.18 EUROSTX 2.69 FEEDCOW 1.99 FTSE100 6.80 GASOIL 1.46 GASOILINE 0.84 GAS_US 0.24 GBP 1.28 GOLD_micro 5.82 HEATOIL 1.03 JPY 2.87 LEANHOG 3.30 LIVECOW 3.14 MXP 2.86 NASDAQ 0.67 NIKKEI 40.21 NZD 1.27 OAT 1.02 OJ 1.58 PALLAD 0.22 PLAT 1.03 REDWHEAT 0.35 ROBUSTA 2.99 RUSSELL 17.88 SILVER-mini 0.82 SOYBEAN 4.79 SOYMEAL 4.10 SOYOIL 0.64 SP400 0.72 SP500 0.52 SUGAR11 2.22 US10 3.39 US10U 9.04 US20 3.17 US30 2.21 US5 5.18 VIX 14.40 WHEAT 0.43 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.1 -0.2 0.0 -2.0 -2 BITCOIN 6.4 5.1 7.8 NaN 0 BOBL 4.7 4.0 5.5 4.0 4 BTP 0.6 0.6 0.7 1.0 1 BUND 2.7 2.3 3.1 2.0 2 BUXL -0.4 -0.6 -0.3 1.0 1 CAC 0.3 0.1 0.4 0.0 0 CAD -0.5 -0.7 -0.3 -1.0 -1 CANOLA 1.7 1.4 2.0 NaN 0 CHF -1.5 -1.8 -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 0.7 0.5 0.9 2.0 2 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W -0.8 -1.3 -0.4 0.0 0 DAX -3.9 -5.4 -2.4 0.0 0 DOW -1.4 -2.1 -0.7 0.0 0 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 0.7 0.5 1.0 0.0 0 FEEDCOW -3.2 -3.4 -3.0 -3.0 -3 FTSE100 -1.7 -2.4 -1.1 0.0 0 GASOIL 1.0 0.9 1.2 0.0 0 GASOILINE -0.1 -0.2 -0.0 0.0 0 GAS_US -0.2 -0.3 -0.2 0.0 0 GBP 0.5 0.4 0.6 1.0 1 GOLD_micro -1.0 -1.6 -0.4 0.0 0 HEATOIL 1.0 0.9 1.1 1.0 1 JPY -0.2 -0.5 0.0 -2.0 -2 LEANHOG -0.3 -0.6 0.0 0.0 0 LIVECOW -5.0 -5.4 -4.7 -5.0 -5 MXP 1.7 1.5 2.0 3.0 3 NASDAQ -0.4 -0.5 -0.3 0.0 0 NIKKEI 13.5 9.5 17.5 0.0 0 NZD 0.4 0.3 0.6 2.0 2 OAT 0.8 0.7 0.9 0.0 0 OJ -0.4 -0.5 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.0 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 -10.9 -12.7 -9.2 -6.0 -6 SILVER-mini 0.7 0.6 0.8 1.0 1 SOYBEAN 4.3 3.8 4.8 1.0 1 SOYMEAL 1.9 1.5 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 -0.3 -0.2 0.0 0 SUGAR11 2.4 2.2 2.6 2.0 2 US10 -2.7 -3.0 -2.3 NaN 0 US10U -2.0 -2.9 -1.1 0.0 0 US20 -1.3 -1.6 -0.9 -2.0 -2 US30 -0.7 -0.9 -0.4 0.0 0 US5 -3.0 -3.5 -2.5 -4.0 -4 VIX -25.0 -26.4 -23.5 -23.0 -23 WHEAT -0.6 -0.6 -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 0.1 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 -0.2 0.1 -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 0.2 0.2 -0.0 -0.0 -0.1 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 0.0 0.8 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 0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.3 -0.1 -0.3 -0.0 -0.2 1.2 0.7 0.3 0.3 -0.2 -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 -0.0 -0.3 -0.2 -0.1 BUXL -0.2 0.3 0.0 -0.0 -0.0 -0.1 -0.2 -0.2 -0.1 -0.0 -0.2 -0.1 -0.3 -0.0 -0.0 0.4 -0.0 0.1 0.1 -0.1 -0.1 -0.0 -0.3 -0.0 0.8 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 -0.3 -0.0 0.0 CAC -0.2 0.2 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 0.1 0.0 0.0 0.1 0.1 -0.0 0.1 -0.0 -1.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.0 -0.0 -0.0 0.2 0.2 CAD -0.1 0.0 -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 1.4 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.1 -0.3 -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 0.2 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 0.1 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 -0.9 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.7 0.1 0.4 0.3 0.3 COFFEE 0.2 -0.1 -0.3 -0.0 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 1.6 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -1.7 0.0 0.2 -0.1 -0.3 COPPER 0.0 0.2 0.3 0.1 -0.0 0.1 -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 1.6 -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 -0.0 -0.2 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 0.4 -0.1 -0.0 0.0 0.2 -0.0 -1.5 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.9 0.0 -0.2 -0.2 -0.0 COTTON2 0.0 0.1 -0.9 -0.0 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 0.4 0.0 0.2 0.6 -0.6 CRUDE_W -0.1 -0.1 -0.0 -0.0 0.1 -0.0 0.1 0.1 0.0 0.0 -0.1 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 -0.4 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -2.3 -0.0 -0.0 0.1 0.1 DAX -0.3 0.3 0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -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 -1.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.1 0.2 0.3 DOW -0.2 0.2 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 0.1 0.3 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.1 0.0 -0.2 0.1 0.4 -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 -2.2 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 1.1 -0.0 -0.0 0.2 0.3 FEEDCOW 0.1 0.1 -0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -1.6 -0.8 -0.4 -0.4 0.1 0.0 0.0 -0.0 0.0 -2.5 -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 -0.0 -0.3 -0.2 -0.0 0.1 -0.0 0.1 0.1 0.0 0.1 -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 -0.7 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 1.2 -0.1 -0.1 -0.1 0.0 GASOILINE -0.0 -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 -0.9 0.9 0.1 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 -0.1 -0.0 -0.3 -0.0 0.0 -0.0 0.1 0.1 0.0 -0.0 -0.3 -0.1 -0.0 -0.0 -0.3 1.6 -0.3 0.0 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -1.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.3 -0.4 0.1 -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 0.1 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 -0.0 -0.3 -0.2 -0.0 0.1 -0.0 0.1 0.1 0.0 0.1 -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 2.5 -0.0 -0.1 -0.0 0.1 JPY 0.1 0.3 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.1 0.3 -0.8 -0.4 -0.2 -0.2 0.1 -0.0 0.0 -0.2 0.0 1.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -2.0 0.2 0.4 0.3 0.0 LEANHOG -0.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.0 0.0 0.2 -1.6 0.8 -0.3 0.2 0.0 0.0 0.0 0.0 0.0 -1.3 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 1.3 0.1 0.2 -0.0 0.1 LIVECOW 0.0 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.2 0.0 0.0 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.1 0.0 0.0 0.0 -3.3 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.8 0.0 0.3 0.1 0.2 MXP -0.1 -0.0 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.3 0.0 0.4 0.0 0.2 1.3 0.8 0.4 0.4 0.1 0.1 0.0 0.2 0.0 -3.6 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 2.2 0.0 -0.2 -0.1 0.3 NASDAQ -0.2 0.1 -0.0 -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 -0.2 -0.1 -0.1 -0.2 NIKKEI -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.1 0.9 0.3 0.2 0.2 -0.1 -0.0 -0.0 0.0 -0.0 -0.8 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 2.6 -0.2 -0.4 -0.2 -0.1 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 0.0 0.1 0.1 OAT -0.2 0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 1.0 0.5 0.3 0.3 -0.1 -0.2 -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 1.1 0.5 0.3 0.3 0.0 0.1 0.0 0.1 0.0 -5.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.5 0.0 0.2 0.1 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 1.2 -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 0.1 -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 -0.2 -0.1 -0.1 0.0 -0.1 0.1 -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 -0.8 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -2.4 0.0 -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 0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -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 -0.2 -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 1.7 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.3 0.3 SOYBEAN 0.0 0.1 0.1 -0.1 0.0 -0.1 0.1 -0.0 -0.0 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 0.0 0.1 0.2 SOYMEAL 0.2 0.3 0.1 -0.1 0.0 -0.1 0.1 -0.0 -0.0 -0.0 0.2 0.0 0.2 0.0 0.2 0.9 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 -0.1 0.4 0.3 0.3 SOYOIL -0.2 -0.3 0.0 -0.1 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.1 0.9 0.8 0.3 0.4 -0.1 0.0 0.0 0.1 -0.0 -2.5 -0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 1.9 0.0 -0.4 -0.1 0.2 SP400 -0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -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 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 -0.4 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.4 -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 0.2 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.2 0.0 0.1 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.1 0.0 -3.3 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 2.7 0.0 0.4 0.3 0.3 US10 0.0 0.3 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.2 -0.0 -0.3 0.0 -0.0 -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 0.0 0.3 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -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 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.3 0.0 0.1 -0.3 0.1 -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 0.1 0.0 0.2 0.2 0.1 US30 0.1 0.3 0.0 -0.0 -0.0 -0.1 -0.2 -0.2 -0.1 -0.0 -0.1 -0.0 -0.3 0.0 0.1 0.0 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 -1.8 16.6 2.8 2.7 0.0 -0.4 0.3 -3.8 2.2 -3.7 -3.7 -6.5 -8.4 8.5 5.8 -2.9 -2.0 -2.7 -2.4 4.0 -2.5 -0.8 -8.5 2.6 5.5 -0.0 1.3 -1.4 -2.3 -1.9 -5.3 0.7 -0.4 -6.7 -6.1 -6.6 -8.5 BITCOIN 3.7 -8.6 3.3 3.3 -0.7 2.0 -0.4 0.7 1.9 -12.1 -15.1 -6.7 -15.9 -7.8 -9.5 2.3 -0.6 1.4 0.6 -8.0 -17.3 -3.0 -20.0 -3.6 20.0 -0.0 -4.7 -0.8 -6.7 -1.1 -6.8 -2.4 2.3 5.7 -5.4 -20.0 -20.0 BOBL -16.9 3.7 -5.6 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.1 -13.3 -15.4 -13.5 -11.5 -13.0 -0.8 15.3 11.3 15.9 -16.5 -19.7 -20.0 -20.0 -20.0 14.2 -0.0 -4.2 -9.9 -6.2 -10.1 -9.7 -6.5 20.0 -17.0 -17.5 -19.4 -9.8 BTP -20.0 14.4 12.3 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.0 -3.7 -15.1 -11.0 -7.2 1.4 10.2 14.6 15.1 16.5 -3.5 -6.3 -20.0 -17.0 -17.1 3.0 -0.0 -0.7 -7.3 -2.6 -8.4 -7.1 -4.3 20.0 -12.1 -14.7 -2.1 11.7 BUND -19.3 7.8 -3.2 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.1 -10.9 -15.4 -12.7 -9.5 -9.2 14.1 16.1 14.0 15.0 -13.7 -17.9 -20.0 -20.0 -20.0 10.6 -0.0 -3.3 -9.7 -5.3 -10.0 -8.7 -5.9 20.0 -18.1 -18.7 -12.7 -7.8 BUXL -20.0 17.9 0.9 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.1 -6.3 -15.0 -11.3 -5.6 -0.7 4.5 -1.2 5.1 2.9 -6.5 -11.4 -20.0 -20.0 -20.0 6.1 -0.0 -1.2 -9.4 -2.9 -9.4 -5.8 -4.3 -0.7 -20.0 -17.3 -0.7 0.7 CAC -20.0 14.6 14.2 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -3.8 10.7 -8.0 -0.0 3.9 11.8 -1.3 3.5 0.1 1.5 9.9 10.6 -6.6 5.4 -1.2 -14.7 -0.0 2.7 -2.4 2.9 -3.6 1.2 -1.0 7.5 -4.4 -0.0 11.3 17.2 CAD -7.4 1.8 -7.3 2.7 0.0 -0.4 0.3 -3.8 2.2 12.2 -9.9 -3.7 -11.1 -7.7 -6.9 -1.9 -1.0 -1.8 -1.5 -7.2 -11.4 2.5 -12.9 -4.3 10.2 -0.0 -4.2 0.8 -6.6 -1.9 -7.7 -3.3 1.3 5.4 -16.6 -20.0 -19.5 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 6.9 20.0 10.6 2.7 0.0 -0.4 0.3 -3.8 2.2 -3.2 8.1 6.3 -3.5 14.1 13.4 -12.7 -11.8 -12.4 -12.4 15.9 7.7 4.4 -2.4 13.4 -9.0 -0.0 4.3 -2.2 1.3 0.9 -2.5 3.9 -17.4 0.8 4.2 8.8 10.2 COCOA 3.4 13.5 13.3 -3.4 4.9 -3.9 3.0 -0.9 -1.0 13.9 4.3 13.2 -7.1 13.6 12.9 -1.1 -3.0 -0.5 -1.2 12.1 5.6 20.0 -2.4 15.2 -5.8 -0.0 4.3 14.0 2.1 8.2 -0.9 5.1 -20.0 17.0 20.0 20.0 18.0 COFFEE 17.8 -6.4 -20.0 -3.4 4.9 -3.9 3.0 -0.9 -1.0 -3.5 -12.6 7.3 -8.6 0.2 -12.3 -0.0 3.9 2.8 4.6 -15.6 -20.0 3.3 -13.1 -1.7 10.2 -0.0 -4.4 3.1 -5.9 2.2 -3.3 -0.3 -12.8 4.2 10.6 -9.5 -20.0 COPPER 4.2 14.8 16.9 3.3 -0.7 2.0 -0.4 0.7 1.9 8.1 -5.1 6.7 -8.3 8.9 9.3 -1.2 -0.1 -0.5 -0.3 10.4 2.0 5.1 -7.5 8.3 12.9 -0.0 4.2 0.3 1.5 0.4 -1.3 2.9 2.0 9.1 5.9 3.2 1.0 CORN -4.0 -16.9 5.8 -3.4 4.9 -3.9 3.0 -0.9 -1.0 13.7 0.1 4.2 4.5 -9.8 -6.6 20.0 15.4 19.3 16.6 -7.5 -0.4 7.7 13.4 -4.3 -9.9 -0.0 -4.3 3.8 -1.4 1.3 4.1 -2.8 6.3 4.3 -9.2 -18.0 -0.9 COTTON2 8.6 8.2 -20.0 -3.4 4.9 -3.9 3.0 -0.9 -1.0 -1.3 -10.5 4.1 -2.1 7.9 -7.0 1.9 15.4 4.9 10.6 -4.5 -11.5 4.9 -4.9 3.9 1.0 -0.0 0.0 2.8 -2.4 4.9 1.6 3.6 3.1 11.4 17.3 20.0 -20.0 CRUDE_W -6.0 -4.0 -1.1 -2.4 5.6 -1.8 4.6 3.3 0.6 13.9 -6.1 3.9 2.4 -4.8 3.7 6.5 12.8 7.5 9.9 -2.7 -2.5 9.8 4.4 0.7 -3.2 -0.0 -1.5 8.9 -0.0 3.5 5.8 -0.7 -16.9 -7.7 -1.1 8.3 9.7 DAX -20.0 19.4 20.0 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -9.0 8.7 -11.4 -3.9 4.8 11.4 -7.1 -2.5 -5.3 -3.9 10.3 9.2 -9.6 -0.8 -2.3 -10.7 -0.0 2.8 -3.0 2.6 -4.0 -0.4 -1.1 -2.2 -7.7 -6.4 16.8 20.0 DOW -19.0 13.3 13.9 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -4.1 7.7 -8.9 -0.7 0.4 10.1 -5.6 -2.4 -5.1 -4.2 7.7 7.2 -6.2 1.1 -1.7 -7.1 -0.0 2.3 -1.6 2.1 -3.1 0.5 -1.0 -2.5 3.5 1.1 6.2 11.8 EUR 9.8 20.0 19.2 2.7 0.0 -0.4 0.3 -3.8 2.2 2.5 3.1 10.9 -8.8 15.0 14.9 -7.6 -8.3 -7.7 -8.1 20.0 7.1 9.2 -10.9 18.2 1.2 -0.0 4.8 0.5 0.7 2.1 -4.8 4.6 -10.8 8.7 12.5 8.3 15.7 EUROSTX -20.0 17.9 18.7 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -9.6 10.4 -10.8 -1.4 5.8 12.0 8.0 3.5 4.1 3.0 11.3 11.2 -9.0 3.5 -1.0 -17.1 -0.0 3.2 -2.9 3.3 -3.6 0.9 -0.6 8.3 -8.1 -2.9 18.2 20.0 FEEDCOW 7.1 9.6 -3.5 -3.4 4.9 -3.9 3.0 -0.9 -1.0 4.0 1.3 9.3 -1.0 11.9 3.5 -20.0 -20.0 -20.0 -20.0 5.7 0.8 6.5 -1.4 8.3 -14.9 -0.0 3.3 6.6 0.4 5.3 -0.7 5.0 -20.0 0.9 20.0 16.1 -2.4 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 -1.0 -20.0 -11.4 -2.4 5.6 -1.8 4.6 3.3 0.6 13.4 -4.6 8.3 9.3 -3.4 -6.6 20.0 20.0 20.0 20.0 -7.2 -1.5 15.5 12.0 -0.5 -6.1 -0.0 -3.5 2.9 -1.1 1.1 4.2 -2.3 8.9 -8.2 -5.5 -11.3 2.4 GASOILINE -2.2 -12.6 -12.2 -2.4 5.6 -1.8 4.6 3.3 0.6 12.4 -11.4 9.3 2.8 -5.3 -6.5 -10.9 20.0 4.8 16.8 -8.0 -6.4 14.9 5.4 0.0 -5.0 -0.0 -2.4 12.0 -0.7 6.1 6.1 0.1 0.0 11.1 2.1 5.0 9.4 GAS_US -12.3 -2.0 -20.0 -2.4 5.6 -1.8 4.6 3.3 0.6 -14.0 -11.0 -14.6 -1.2 -12.1 -13.0 20.0 -6.1 1.5 -4.3 -15.0 -10.3 -20.0 -1.5 -19.8 -9.7 -0.0 -3.0 -10.2 -0.8 -8.5 3.8 -5.0 -20.0 -20.0 -20.0 7.9 -7.6 GBP -0.8 20.0 15.4 2.7 0.0 -0.4 0.3 -3.8 2.2 -14.0 3.4 -10.4 -6.4 9.3 11.9 -2.0 -1.6 -1.9 -1.9 12.0 3.3 -7.8 -9.1 5.0 12.6 -0.0 2.4 -4.7 -2.4 -2.7 -7.5 1.5 0.4 -15.7 -4.5 -6.7 -3.6 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 -0.5 -17.3 -11.3 -2.4 5.6 -1.8 4.6 3.3 0.6 13.8 -4.9 9.9 8.5 -2.2 -3.8 20.0 20.0 20.0 20.0 -5.4 -1.0 15.3 10.6 0.9 -13.7 -0.0 -2.7 5.8 0.6 2.8 8.2 -1.3 18.2 -2.6 -3.2 -3.4 5.1 JPY 6.0 20.0 20.0 2.7 0.0 -0.4 0.3 -3.8 2.2 5.3 -3.1 8.2 -11.8 13.0 10.4 -10.8 -10.3 -11.6 -11.6 12.2 -0.4 12.4 -13.4 15.9 11.3 -0.0 4.0 4.3 -0.8 5.3 -6.2 5.6 -15.5 20.0 20.0 20.0 2.7 LEANHOG -5.5 -1.7 0.1 -3.4 4.9 -3.9 3.0 -0.9 -1.0 13.8 2.6 8.3 -0.5 3.3 8.3 -20.0 18.7 -15.5 10.9 1.6 1.5 12.3 3.0 4.1 -8.8 -0.0 -0.3 8.1 -0.3 5.1 1.1 0.8 9.7 15.2 9.3 -0.5 5.1 LIVECOW 1.3 3.3 8.7 -3.4 4.9 -3.9 3.0 -0.9 -1.0 13.1 10.0 13.7 0.2 11.4 10.9 -20.0 -20.0 -20.0 -20.0 8.0 6.0 13.1 2.0 10.1 -20.0 -0.0 4.4 9.3 4.1 7.6 3.0 5.3 -20.0 7.1 15.9 8.0 13.5 MXP -10.8 -3.0 6.1 2.7 0.0 -0.4 0.3 -3.8 2.2 9.0 12.9 1.6 14.5 2.3 8.6 18.0 20.0 18.5 19.2 7.6 11.7 8.9 13.0 4.6 -20.0 -0.0 3.8 8.8 5.2 3.5 5.0 1.7 20.0 20.0 -10.4 -7.1 20.0 NASDAQ -14.3 3.2 -2.8 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -13.9 -10.3 -14.9 -12.5 -6.3 -9.1 -4.9 -3.3 -4.7 -4.3 -8.4 -10.5 -20.0 -13.5 -13.9 8.5 -0.0 -2.6 -8.2 -4.0 -8.1 -4.9 -4.7 -3.4 -10.2 -2.5 -8.2 -11.1 NIKKEI -20.0 -4.7 -0.4 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -11.4 1.9 -14.0 0.8 -12.5 -2.9 15.5 9.4 10.2 9.9 -8.8 -1.1 -18.4 0.8 -18.1 -5.6 -0.0 -4.2 -3.6 -1.9 -6.3 -1.2 -7.1 19.7 -14.9 -19.6 -15.8 -3.5 NZD 0.1 20.0 14.7 2.7 0.0 -0.4 0.3 -3.8 2.2 -9.1 3.7 -5.4 -6.8 9.8 11.2 0.1 0.4 -0.4 -0.2 15.1 5.5 -5.4 -6.6 8.5 -0.1 -0.0 3.9 -3.0 0.8 -1.3 -2.6 2.6 3.6 -13.9 2.4 10.4 4.0 OAT -20.0 10.6 4.8 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.1 -8.2 -15.3 -11.9 -8.8 -5.3 12.4 12.5 13.2 13.5 -10.0 -12.6 -20.0 -20.0 -20.0 10.5 -0.0 -2.3 -9.5 -4.3 -9.9 -8.3 -5.4 20.0 -20.0 -20.0 -8.9 -2.5 OJ -1.7 -4.2 17.5 -3.4 4.9 -3.9 3.0 -0.9 -1.0 1.1 13.6 7.7 14.2 5.7 12.6 14.4 12.4 15.4 15.4 15.2 20.0 5.1 20.0 8.2 -20.0 -0.0 5.0 1.6 8.9 2.7 10.8 2.5 3.7 6.0 6.4 7.2 20.0 PALLAD -5.1 -7.7 -8.9 3.3 -0.7 2.0 -0.4 0.7 1.9 1.8 -12.2 -5.5 -8.4 -10.9 -12.7 -1.2 -1.3 -1.5 -1.5 -13.9 -11.0 -4.9 -8.0 -13.4 6.7 -0.0 -4.6 -2.2 -3.0 -6.2 -1.9 -5.9 0.0 -17.7 -20.0 -20.0 -20.0 PLAT -9.0 6.6 17.9 3.3 -0.7 2.0 -0.4 0.7 1.9 8.5 9.5 -0.9 -1.1 6.8 11.5 -1.4 -0.4 -0.6 -0.4 8.8 8.2 3.8 2.3 4.2 -3.1 -0.0 4.6 2.6 3.7 0.2 0.5 2.1 1.7 11.2 -0.8 -1.5 14.5 REDWHEAT -5.2 -16.0 -7.1 -3.4 4.9 -3.9 3.0 -0.9 -1.0 14.0 -12.7 2.6 -6.0 -8.9 -9.5 5.9 0.7 4.4 2.7 -13.6 -11.7 6.4 -3.3 -7.6 -6.1 -0.0 -4.3 5.1 -2.1 1.2 2.1 -3.1 -17.7 2.0 -8.6 -16.4 3.9 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 -17.1 0.3 2.9 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -10.5 -4.9 -12.8 -10.6 -9.9 -2.7 -4.6 -2.5 -4.2 -3.6 -5.4 -4.3 -13.2 -7.6 -11.3 -3.9 -0.0 -2.2 -3.5 -1.5 -6.1 -2.2 -5.0 -2.1 4.7 -2.9 -11.7 -2.1 SILVER-mini 9.1 20.0 20.0 3.3 -0.7 2.0 -0.4 0.7 1.9 8.8 6.2 12.0 -4.4 14.1 14.1 -4.3 -3.4 -4.2 -4.0 18.7 10.1 12.8 -0.6 18.1 7.9 -0.0 5.5 1.5 2.6 3.1 -0.9 5.1 -4.0 16.1 20.0 18.8 20.0 SOYBEAN 1.3 3.9 3.6 -3.4 4.9 -3.9 3.0 -0.9 -1.0 10.6 0.5 6.5 4.5 8.5 11.8 20.0 20.0 20.0 20.0 4.5 4.1 2.2 7.2 3.0 -20.0 -0.0 3.3 2.1 5.7 0.4 11.2 1.3 20.0 -5.0 2.2 8.7 13.6 SOYMEAL 16.1 17.8 5.5 -3.4 4.9 -3.9 3.0 -0.9 -1.0 -10.0 7.2 4.5 9.7 8.4 9.1 10.6 13.8 11.4 13.2 18.6 12.8 4.6 9.1 16.4 -20.0 -0.0 5.2 -0.2 4.0 1.8 3.6 4.7 3.2 -11.5 20.0 20.0 20.0 SOYOIL -17.5 -18.8 1.0 -3.4 4.9 -3.9 3.0 -0.9 -1.0 13.8 -0.0 -1.3 5.1 -5.5 -4.3 10.7 20.0 16.5 19.2 -5.8 0.6 7.9 7.5 -5.6 -17.7 -0.0 -1.3 2.0 1.5 0.1 4.1 -2.4 14.3 5.3 -20.0 -6.0 15.6 SP400 -16.5 6.9 6.2 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -3.3 1.3 -9.6 -5.5 -4.9 4.3 -3.8 -1.8 -2.4 -1.9 0.7 1.2 -7.7 -2.3 -6.1 -7.6 -0.0 0.3 -1.7 0.8 -4.5 0.1 -3.0 0.0 7.6 -1.3 -1.8 4.7 SP500 -15.1 7.4 2.0 -0.4 -2.0 -0.7 -3.8 -1.9 -2.7 -11.5 -4.0 -13.3 -8.4 -3.6 -0.0 -5.2 -3.4 -4.9 -4.3 -1.9 -3.4 -12.7 -6.6 -8.2 3.3 -0.0 -0.4 -4.3 -1.6 -5.8 -3.4 -3.1 -3.4 -2.0 -0.3 -2.4 -2.5 SUGAR11 6.2 17.7 15.8 -3.4 4.9 -3.9 3.0 -0.9 -1.0 -3.8 9.0 8.6 4.3 12.9 12.8 20.0 20.0 20.0 20.0 18.5 12.9 13.4 6.8 19.1 -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 1.7 20.0 -5.2 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.0 -7.4 -10.3 -12.4 7.2 -0.2 -8.8 -0.2 -6.7 -4.5 1.1 -11.2 -16.6 -20.0 -1.3 -7.2 -0.0 1.2 -5.7 -3.3 -3.1 -8.0 1.0 -5.2 18.9 17.3 12.2 3.8 US10U 1.2 20.0 -4.9 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.0 -7.2 -11.7 -12.2 5.9 -0.1 1.3 4.8 0.9 1.9 1.0 -10.5 -18.5 -20.0 -2.2 -9.0 -0.0 1.2 -6.5 -2.9 -3.7 -6.9 0.8 4.5 14.9 15.5 12.4 4.4 US20 4.9 20.0 -3.7 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.0 -5.7 -9.7 -11.5 8.0 2.1 -3.9 1.8 -1.0 0.4 3.4 -9.8 -19.1 -20.0 0.2 -8.8 -0.0 1.7 -5.4 -2.3 -2.7 -5.5 1.6 0.7 13.4 19.3 18.9 4.5 US30 4.7 20.0 2.8 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.0 -5.6 -10.5 -12.8 5.7 2.6 0.3 0.4 -0.6 -0.5 2.8 -9.9 -20.0 -20.0 -1.1 -7.7 -0.0 1.9 -6.3 -2.0 -3.3 -5.5 1.4 -1.4 7.8 19.5 17.1 9.2 US5 4.4 20.0 -4.6 -1.8 -5.9 -4.0 -6.8 -6.9 -3.6 -14.0 -7.5 -7.3 -12.7 8.7 -0.4 -5.6 1.2 -5.4 -3.7 1.5 -12.0 -13.3 -20.0 0.9 -4.9 -0.0 1.3 -5.1 -3.8 -2.1 -9.4 1.8 -3.5 20.0 20.0 12.6 3.0 VIX 5.1 -14.1 -6.2 -4.3 1.0 -3.5 -0.2 -2.3 -2.9 0.3 -13.2 -2.7 -11.1 -11.3 -13.5 -20.0 -20.0 -20.0 -18.1 -14.6 -12.3 -5.4 -9.0 -10.9 NaN -0.0 -5.5 0.6 -4.2 -1.4 -2.7 -4.2 NaN NaN NaN NaN NaN WHEAT -5.2 -20.0 -12.3 -3.4 4.9 -3.9 3.0 -0.9 -1.0 13.7 -14.0 1.4 -9.1 -10.8 -10.4 -7.3 -4.6 -5.9 -5.2 -18.8 -17.7 4.5 -8.5 -10.9 -3.4 -0.0 -4.8 4.7 -3.1 1.2 0.6 -3.1 -20.0 8.6 -7.4 -20.0 -1.5 End of report for caleb_strategy_v1