******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221228_204323 produced at 2022-12-28 21:35:44.253036 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 9069108.08 -9069108.08 -0.21 -0.21 -25.80 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.12 0.0 38382554.84 -38382554.84 -0.19 -0.19 -3.18 999999999 -5 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.14 -0.12 0.0 23003525.90 -23003525.90 -0.14 -0.14 -5.06 999999999 -6 -6 caleb_strategy_v1 US10 False False 0.04 0.00 -0.11 0.0 39894072.85 -39894072.85 0.00 0.00 -2.84 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 33680177.84 -33680177.84 -0.13 -0.13 -3.27 999999999 -4 -4 caleb_strategy_v1 US10U False False 0.04 -0.04 -0.10 0.0 41911282.55 -41911282.55 -0.04 -0.04 -2.43 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.08 0.0 48275217.95 -48275217.95 -0.10 -0.10 -1.58 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.06 0.0 44423069.84 -44423069.84 -0.09 -0.09 -1.37 999999999 -2 -2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.74 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.04 0.0 47557246.89 -47557246.89 0.00 0.00 -0.78 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.04 0.0 3079584.58 -3079584.58 -0.02 -0.02 -11.95 999999999 -7 -8 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.03 0.0 85704849.59 -85704849.59 0.00 0.00 -0.30 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.03 0.0 52179380.49 -52179380.49 0.00 0.00 -0.48 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 76667750.13 -76667750.13 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5270034.38 -5270034.38 0.00 0.00 -4.13 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.02 0.0 67769354.67 -67769354.67 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.02 0.0 27079289.77 -27079289.77 0.00 0.00 -0.58 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14479453.44 -14479453.44 -0.01 -0.01 -0.57 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9307394.45 -9307394.45 0.00 0.00 -1.11 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 37666033.06 -37666033.06 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33424553.47 -33424553.47 -0.07 -0.07 -0.26 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.01 0.0 6447246.71 -6447246.71 -0.01 -0.01 -1.07 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 47452774.32 -47452774.32 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.01 0.0 5894564.60 -5894564.60 -0.01 -0.01 -1.68 999999999 -2 -2 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.01 0.0 26165265.93 -26165265.93 -0.03 -0.03 -0.47 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.00 0.0 13685461.91 -13685461.91 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13742366.12 -13742366.12 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6636453.21 -6636453.21 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 24049140.71 -24049140.71 -0.05 -0.05 -0.06 999999999 -2 -2 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 14958693.56 -14958693.56 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 18070642.41 -18070642.41 0.00 0.00 0.22 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15595309.38 -15595309.38 -0.02 -0.02 -0.31 999999999 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 582379.00 -582379.00 0.00 0.00 6.56 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 23139562.52 -23139562.52 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 63234800.64 -63234800.64 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10816245.07 -10816245.07 0.00 0.00 -0.33 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14818211.30 -14818211.30 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10878484.05 -10878484.05 0.02 0.02 0.80 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14352915.98 -14352915.98 0.00 0.00 0.72 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21038997.05 -21038997.05 0.02 0.02 0.68 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4513268.33 -4513268.33 0.00 0.00 1.64 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26782765.50 -26782765.50 0.03 0.03 0.51 999999999 1 1 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 24511700.01 -24511700.01 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22478940.24 -22478940.24 0.04 0.04 0.43 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8026338.47 -8026338.47 0.02 0.02 2.40 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9035321.20 -9035321.20 0.03 0.03 1.88 999999999 3 3 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 34026937.86 -34026937.86 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 16164351.46 -16164351.46 0.06 0.06 1.96 999999999 4 4 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41322203.65 -41322203.65 0.04 0.04 0.66 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.04 0.0 33191157.31 -33191157.31 0.03 0.03 1.11 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 48257055.48 -48257055.48 0.00 0.00 0.77 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.05 0.0 45530550.19 -45530550.19 0.05 0.05 1.04 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.10 0.0 0.00 0.00 0.00 0.00 14.11 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.05 0.11 0.0 25140101.07 -25140101.07 0.05 0.05 4.28 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.14 0.0 50371109.38 -50371109.38 0.10 0.10 2.69 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.17 0.20 0.0 43730715.06 -43730715.06 0.17 0.17 4.56 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 9.1 Shocked risk 28.1 Sum abs risk 34.4 Leverage 2.15 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2811742.87, 'annual_cash_vol_target': 702935.7175, 'daily_cash_vol_target': 43933.48234375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0060 0.6762 0.8916 14.2653 BITCOIN 740.8947 16375.0000 4.5245 72.3928 BOBL 0.3715 115.8400 0.3207 5.1307 BTP 0.9344 109.4600 0.8536 13.6578 BUND 0.7544 133.4300 0.5654 9.0466 BUXL 1.9181 138.2200 1.3877 22.2032 CAC 62.8689 6493.0000 0.9683 15.4921 CAD 0.0038 0.7357 0.5222 8.3547 CANOLA 9.1635 863.0000 1.0618 16.9891 CHF 0.0062 1.0859 0.5686 9.0983 COCOA 33.2470 2617.0000 1.2704 20.3268 COFFEE 0.0370 1.7350 2.1310 34.0962 COPPER 0.0534 3.8270 1.3955 22.3281 CORN 4.1485 611.7500 0.6781 10.8501 COTTON2 0.0187 0.8333 2.2449 35.9176 CRUDE_W 1.2723 76.1400 1.6710 26.7357 DAX 143.8584 13960.0000 1.0305 16.4881 DOW 337.3614 33148.0000 1.0177 16.2839 EUR 0.0060 1.0674 0.5575 8.9203 EUROSTX 42.7488 3802.0000 1.1244 17.9900 FEEDCOW 1.1600 189.4000 0.6125 9.7993 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.2026 933.2500 2.2719 36.3506 GASOILINE 0.0502 2.5216 1.9895 31.8323 GAS_US 0.2721 4.2060 6.4684 103.4942 GBP 0.0095 1.2049 0.7924 12.6787 GOLD_micro 16.6088 1812.8000 0.9162 14.6592 HEATOIL 0.0720 3.0481 2.3630 37.8085 JPY 0.0001 0.0075 1.0425 16.6800 LEANHOG 1.5193 96.2000 1.5793 25.2690 LIVECOW 0.9229 161.7000 0.5707 9.1319 MXP 0.0004 0.0508 0.7255 11.6085 NASDAQ 174.6696 10778.5000 1.6205 25.9286 NIKKEI 269.1330 26055.0000 1.0329 16.5271 NZD 0.0054 0.6320 0.8611 13.7780 OAT 0.8004 127.8300 0.6262 10.0189 OJ 0.0316 2.0275 1.5610 24.9765 PALLAD 47.5342 1778.0000 2.6735 42.7755 PLAT 20.3233 1016.2000 1.9999 31.9988 REDWHEAT 13.2672 877.0000 1.5128 24.2046 ROBUSTA 19.0810 1866.0000 1.0226 16.3610 RUSSELL 25.3244 1731.8000 1.4623 23.3970 SILVER-mini 0.4839 23.6625 2.0449 32.7184 SOYBEAN 11.2961 1413.7500 0.7990 12.7843 SOYMEAL 6.6427 454.5000 1.4615 23.3846 SOYOIL 1.0471 64.4000 1.6259 26.0149 SP400 31.6467 2409.8000 1.3133 21.0120 SP500 47.1665 3811.0000 1.2376 19.8022 SUGAR11 0.0024 0.2015 1.1960 19.1363 US10 0.4880 112.1719 0.4350 6.9608 US10U 0.6924 117.8438 0.5875 9.4004 US20 1.0022 124.9062 0.8023 12.8375 US30 1.6372 133.7188 1.2243 19.5892 US5 0.3191 107.9219 0.2957 4.7307 VIX 0.5623 25.5000 2.2049 35.2786 WHEAT 11.0526 814.2500 1.3574 21.7184 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 676.20 0.89 602.89 1.00 602.89 43933.48 72.87 -0.55 -4.03 BITCOIN 16.38 4.52 74.09 1.00 74.09 43933.48 592.98 4.70 278.46 BOBL 1158.40 0.32 371.46 1.06 395.46 43933.48 111.10 5.69 63.17 BTP 1094.60 0.85 934.36 1.06 994.71 43933.48 44.17 7.39 32.65 BUND 1334.30 0.57 754.43 1.06 803.15 43933.48 54.70 6.81 37.27 BUXL 1382.20 1.39 1918.08 1.06 2041.96 43933.48 21.52 -2.68 -5.77 CAC 649.30 0.97 628.69 1.06 669.30 43933.48 65.64 1.27 8.36 CAD 735.70 0.52 384.16 1.00 384.16 43933.48 114.36 -2.31 -26.45 CANOLA 172.60 1.06 183.27 0.74 135.55 43933.48 324.12 5.52 178.88 CHF 1357.38 0.57 771.87 1.00 771.87 43933.48 56.92 -7.42 -42.23 COCOA 261.70 1.27 332.47 1.00 332.47 43933.48 132.14 -3.85 -50.91 COFFEE 650.63 2.13 1386.49 1.00 1386.49 43933.48 31.69 -3.31 -10.47 COPPER 956.75 1.40 1335.15 1.00 1335.15 43933.48 32.91 5.90 19.43 CORN 305.88 0.68 207.42 1.00 207.42 43933.48 211.81 4.19 88.68 COTTON2 416.65 2.24 935.32 1.00 935.32 43933.48 46.97 1.17 5.48 CRUDE_W 761.40 1.67 1272.29 1.00 1272.29 43933.48 34.53 -1.28 -4.41 DAX 139.60 1.03 143.86 1.06 153.15 43933.48 286.87 -2.65 -76.13 DOW 165.74 1.02 168.68 1.00 168.68 43933.48 260.45 -2.27 -59.07 EUR 1334.25 0.56 743.87 1.00 743.87 43933.48 59.06 -0.61 -3.63 EUROSTX 380.20 1.12 427.49 1.06 455.10 43933.48 96.54 2.67 25.73 FEEDCOW 947.00 0.61 579.99 1.00 579.99 43933.48 75.75 -16.07 -121.70 FTSE100 707.00 0.82 576.59 1.20 666.67 43933.48 65.90 -2.56 -16.89 GASOIL 933.25 2.27 2120.26 1.00 2120.26 43933.48 20.72 7.48 15.50 GASOILINE 1059.07 1.99 2107.04 1.00 2107.04 43933.48 20.85 -2.34 -4.88 GAS_US 420.60 6.47 2720.60 1.00 2720.60 43933.48 16.15 -10.21 -16.48 GBP 753.06 0.79 596.74 1.00 596.74 43933.48 73.62 3.92 28.83 GOLD_micro 181.28 0.92 166.09 1.00 166.09 43933.48 264.52 -1.81 -47.95 HEATOIL 1280.20 2.36 3025.16 1.00 3025.16 43933.48 14.52 10.05 14.60 JPY 939.81 1.04 979.75 1.00 979.75 43933.48 44.84 -0.90 -4.05 LEANHOG 384.80 1.58 607.72 1.00 607.72 43933.48 72.29 -1.04 -7.52 LIVECOW 646.80 0.57 369.16 1.00 369.16 43933.48 119.01 -15.83 -188.44 MXP 254.05 0.73 184.32 1.00 184.32 43933.48 238.35 6.44 153.41 NASDAQ 2155.70 1.62 3493.39 1.00 3493.39 43933.48 12.58 -6.36 -8.00 NIKKEI 26055.00 1.03 26913.30 0.01 201.68 43933.48 217.84 3.41 74.30 NZD 632.05 0.86 544.27 1.00 544.27 43933.48 80.72 3.34 26.93 OAT 1278.30 0.63 800.45 1.06 852.15 43933.48 51.56 7.35 37.90 OJ 304.12 1.56 474.75 1.00 474.75 43933.48 92.54 -2.02 -18.67 PALLAD 1778.00 2.67 4753.42 1.00 4753.42 43933.48 9.24 -3.03 -2.80 PLAT 508.10 2.00 1016.16 1.00 1016.16 43933.48 43.23 2.12 9.16 REDWHEAT 438.50 1.51 663.36 1.00 663.36 43933.48 66.23 -8.82 -58.40 ROBUSTA 186.60 1.02 190.81 1.00 190.81 43933.48 230.25 -0.70 -16.11 RUSSELL 86.59 1.46 126.62 1.00 126.62 43933.48 346.97 -6.65 -230.64 SILVER-mini 591.56 2.04 1209.69 1.00 1209.69 43933.48 36.32 8.35 30.31 SOYBEAN 706.88 0.80 564.81 1.00 564.81 43933.48 77.78 9.34 72.67 SOYMEAL 454.50 1.46 664.27 1.00 664.27 43933.48 66.14 5.03 33.28 SOYOIL 386.40 1.63 628.26 1.00 628.26 43933.48 69.93 2.36 16.47 SP400 2409.80 1.31 3164.67 1.00 3164.67 43933.48 13.88 -4.15 -5.76 SP500 1905.50 1.24 2358.32 1.00 2358.32 43933.48 18.63 -4.52 -8.42 SUGAR11 225.68 1.20 269.92 1.00 269.92 43933.48 162.77 10.88 177.11 US10 1121.72 0.44 488.00 1.00 488.00 43933.48 90.03 -8.21 -73.94 US10U 1178.44 0.59 692.36 1.00 692.36 43933.48 63.45 -2.62 -16.65 US20 1249.06 0.80 1002.18 1.00 1002.18 43933.48 43.84 -4.24 -18.58 US30 1337.19 1.22 1637.15 1.00 1637.15 43933.48 26.84 -3.45 -9.26 US5 1079.22 0.30 319.09 1.00 319.09 43933.48 137.68 -6.03 -83.00 VIX 255.00 2.20 562.25 1.00 562.25 43933.48 78.14 -17.52 -136.90 WHEAT 407.12 1.36 552.63 1.00 552.63 43933.48 79.50 -13.51 -107.44 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -4.031 0.006 2.5 -0.064 BITCOIN 278.461 0.009 2.5 6.561 BOBL 63.165 0.029 2.5 4.558 BTP 32.645 0.008 2.5 0.659 BUND 37.267 0.029 2.5 2.689 BUXL -5.770 0.034 2.5 -0.484 CAC 8.363 0.011 2.5 0.235 CAD -26.448 0.007 2.5 -0.472 CANOLA 178.876 0.004 2.5 1.642 CHF -42.226 0.015 2.5 -1.580 COCOA -50.906 0.009 2.5 -1.109 COFFEE -10.475 0.005 2.5 -0.136 COPPER 19.430 0.011 2.5 0.531 CORN 88.682 0.004 2.5 0.800 COTTON2 5.476 0.006 2.5 0.082 CRUDE_W -4.408 0.053 2.5 -0.582 DAX -76.132 0.022 2.5 -4.135 DOW -59.073 0.011 2.5 -1.683 EUR -3.626 0.015 2.5 -0.136 EUROSTX 25.728 0.011 2.5 0.723 FEEDCOW -121.703 0.011 2.5 -3.270 FTSE100 -16.891 0.041 2.5 -1.741 GASOIL 15.502 0.029 2.5 1.106 GASOILINE -4.880 0.016 2.5 -0.200 GAS_US -16.483 0.006 2.5 -0.248 GBP 28.827 0.007 2.5 0.515 GOLD_micro -47.947 0.009 2.5 -1.073 HEATOIL 14.598 0.029 2.5 1.041 JPY -4.049 0.026 2.5 -0.262 LEANHOG -7.518 0.019 2.5 -0.351 LIVECOW -188.437 0.011 2.5 -5.064 MXP 153.409 0.005 2.5 1.878 NASDAQ -7.995 0.022 2.5 -0.434 NIKKEI 74.299 0.076 2.5 14.112 NZD 26.931 0.006 2.5 0.430 OAT 37.904 0.008 2.5 0.766 OJ -18.674 0.007 2.5 -0.326 PALLAD -2.803 0.010 2.5 -0.067 PLAT 9.160 0.010 2.5 0.220 REDWHEAT -58.399 0.002 2.5 -0.312 ROBUSTA -16.105 0.005 2.5 -0.209 RUSSELL -230.643 0.021 2.5 -11.946 SILVER-mini 30.308 0.009 2.5 0.678 SOYBEAN 72.669 0.024 2.5 4.285 SOYMEAL 33.284 0.024 2.5 1.962 SOYOIL 16.472 0.004 2.5 0.151 SP400 -5.763 0.021 2.5 -0.298 SP500 -8.422 0.011 2.5 -0.240 SUGAR11 177.114 0.005 2.5 2.403 US10 -73.942 0.015 2.5 -2.837 US10U -16.654 0.058 2.5 -2.427 US20 -18.576 0.029 2.5 -1.369 US30 -9.261 0.034 2.5 -0.777 US5 -83.003 0.015 2.5 -3.184 VIX -136.904 0.075 2.5 -25.799 WHEAT -107.442 0.002 2.5 -0.574 ==================== Position diags ==================== AUD 1.16 BITCOIN 13.97 BOBL 8.02 BTP 0.89 BUND 3.95 BUXL 1.81 CAC 1.85 CAD 2.04 CANOLA 2.98 CHF 2.13 COCOA 2.88 COFFEE 0.41 COPPER 0.90 CORN 1.91 COTTON2 0.71 CRUDE_W 4.56 DAX 15.58 DOW 7.42 EUR 2.21 EUROSTX 2.71 FEEDCOW 2.04 FTSE100 6.79 GASOIL 1.48 GASOILINE 0.86 GAS_US 0.24 GBP 1.31 GOLD_micro 5.92 HEATOIL 1.04 JPY 2.90 LEANHOG 3.38 LIVECOW 3.20 MXP 2.92 NASDAQ 0.68 NIKKEI 41.38 NZD 1.29 OAT 1.04 OJ 1.61 PALLAD 0.22 PLAT 1.04 REDWHEAT 0.35 ROBUSTA 2.99 RUSSELL 17.97 SILVER-mini 0.81 SOYBEAN 4.59 SOYMEAL 3.90 SOYOIL 0.64 SP400 0.72 SP500 0.53 SUGAR11 2.21 US10 3.45 US10U 9.25 US20 3.23 US30 2.25 US5 5.28 VIX 14.73 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.1 -0.2 0.1 -2.0 -2 BITCOIN 6.6 5.2 8.0 NaN 0 BOBL 4.6 3.8 5.4 4.0 4 BTP 0.7 0.6 0.7 1.0 1 BUND 2.7 2.3 3.1 2.0 2 BUXL -0.5 -0.7 -0.3 0.0 0 CAC 0.2 0.1 0.4 0.0 0 CAD -0.5 -0.7 -0.3 -1.0 -1 CANOLA 1.6 1.3 1.9 NaN 0 CHF -1.6 -1.8 -1.4 -2.0 -2 COCOA -1.1 -1.4 -0.8 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 0.8 0.6 1.0 2.0 2 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W -0.6 -1.0 -0.1 0.0 0 DAX -4.1 -5.7 -2.6 0.0 0 DOW -1.7 -2.4 -0.9 -2.0 -2 EUR -0.1 -0.4 0.1 0.0 0 EUROSTX 0.7 0.5 1.0 0.0 0 FEEDCOW -3.3 -3.5 -3.1 -4.0 -4 FTSE100 -1.7 -2.4 -1.1 0.0 0 GASOIL 1.1 1.0 1.3 1.0 1 GASOILINE -0.2 -0.3 -0.1 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 -1.1 -1.7 -0.5 -1.0 -1 HEATOIL 1.0 0.9 1.1 1.0 1 JPY -0.3 -0.6 0.0 -2.0 -2 LEANHOG -0.4 -0.7 -0.0 0.0 0 LIVECOW -5.1 -5.4 -4.7 -6.0 -6 MXP 1.9 1.6 2.2 3.0 3 NASDAQ -0.4 -0.5 -0.4 0.0 0 NIKKEI 14.1 10.0 18.2 0.0 0 NZD 0.4 0.3 0.6 2.0 2 OAT 0.8 0.7 0.9 0.0 0 OJ -0.3 -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 -0.3 -0.3 -1.0 -1 ROBUSTA -0.2 -0.5 0.1 0.0 0 RUSSELL -11.9 -13.7 -10.1 -7.0 -7 SILVER-mini 0.7 0.6 0.8 1.0 1 SOYBEAN 4.3 3.8 4.7 2.0 2 SOYMEAL 2.0 1.6 2.4 4.0 4 SOYOIL 0.2 0.1 0.2 0.0 0 SP400 -0.3 -0.4 -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 -2.8 -3.2 -2.5 NaN 0 US10U -2.4 -3.4 -1.5 -1.0 -1 US20 -1.4 -1.7 -1.0 -2.0 -2 US30 -0.8 -1.0 -0.6 0.0 0 US5 -3.2 -3.7 -2.7 -5.0 -5 VIX -25.8 -27.3 -24.3 -23.0 -23 WHEAT -0.6 -0.6 -0.5 -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 0.1 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 0.1 -0.0 0.0 -0.1 0.0 0.6 -0.0 0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.1 -0.1 -0.1 -0.1 -0.1 BITCOIN 0.0 -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 0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -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 -0.1 -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 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.3 -0.0 0.0 0.9 0.6 0.3 0.4 -0.1 -0.1 -0.0 -0.2 -0.0 0.3 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.7 -0.1 -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 1.4 -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 -0.1 -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 -0.2 -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 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 0.0 0.0 0.3 -0.1 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 0.1 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 1.5 -0.0 -0.1 -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 0.6 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 -1.3 -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 -0.0 0.0 -0.1 0.1 -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 -1.0 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -2.7 0.1 0.4 0.3 0.3 COFFEE 0.2 -0.0 -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 -0.1 -0.2 0.0 -0.1 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 0.0 -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 -0.0 0.0 -0.1 0.1 -0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 -0.1 1.6 0.7 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 0.1 -0.0 0.9 0.0 -0.1 -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 0.3 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 0.4 0.0 0.2 0.6 -0.5 CRUDE_W -0.0 -0.1 -0.0 -0.0 0.0 -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 -2.0 -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 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 -0.0 -0.0 0.2 -0.4 -0.1 -0.1 -0.1 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 -0.3 0.1 0.0 0.1 0.2 EUR 0.1 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 0.0 0.2 0.1 0.2 EUROSTX -0.2 0.2 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 0.7 0.2 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 1.2 -0.0 -0.0 0.2 0.3 FEEDCOW 0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -1.6 -0.8 -0.4 -0.4 0.1 0.0 0.0 -0.0 0.0 -2.6 -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 0.0 -0.0 0.1 0.1 0.0 0.0 -0.1 0.0 0.2 -0.0 -0.1 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 1.5 -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 -0.1 -1.4 0.9 0.0 0.3 -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 0.1 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 -0.1 -0.3 1.6 -0.2 0.1 -0.1 -0.2 -0.1 -0.0 -0.0 -0.0 -1.1 -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 0.0 0.3 0.2 0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.0 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 1.1 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -1.7 0.1 0.1 0.1 -0.1 HEATOIL 0.1 -0.3 -0.2 -0.0 0.0 -0.0 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 2.8 -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 0.1 LEANHOG -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.1 -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 -1.4 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 1.2 0.1 0.2 0.0 0.1 LIVECOW 0.0 0.1 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 0.1 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 -0.1 -0.1 0.3 NASDAQ -0.2 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 -0.1 -0.3 -0.0 -0.3 -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 -0.1 -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 -0.1 0.0 -0.1 -0.1 1.0 0.3 0.2 0.2 -0.1 -0.0 -0.0 0.0 -0.0 -0.7 -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 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.0 0.3 0.0 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 0.1 0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.2 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 -0.0 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 0.6 0.0 0.3 0.1 0.3 PALLAD -0.0 -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 1.3 -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 0.0 -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 -0.0 -0.2 -0.1 -0.0 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.3 0.0 -0.2 -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 0.1 -0.1 -0.2 0.1 ROBUSTA 0.1 -0.0 -0.3 -0.0 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 -0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.7 -0.0 0.3 0.1 -0.3 RUSSELL -0.2 -0.0 0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.3 -0.1 -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 -0.2 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 1.6 -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 -0.0 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 0.1 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 0.1 0.1 0.2 SOYMEAL 0.1 0.3 0.1 -0.0 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 0.5 -0.0 0.4 0.3 0.3 SOYOIL -0.1 -0.3 0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 0.8 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 -0.2 -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 -0.1 -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 0.3 -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 0.3 -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 -0.1 -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 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.8 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 0.2 0.1 US20 -0.0 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 0.0 -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 -0.0 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 0.0 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 -1.4 16.0 3.4 2.7 0.1 -0.4 0.3 -3.9 2.1 9.1 -3.6 -5.1 -8.3 8.7 6.1 -2.9 -2.0 -2.8 -2.5 4.2 -2.4 0.8 -8.5 3.1 5.6 -0.0 1.3 0.7 -2.3 -0.7 -5.4 0.9 -0.4 -5.7 -6.8 -6.5 -8.5 BITCOIN 3.2 -8.3 3.0 3.1 -2.2 2.0 -1.1 0.7 1.5 -13.0 -15.1 -10.0 -15.9 -8.2 -9.7 2.0 -0.6 1.3 0.6 -8.1 -17.5 -3.3 -20.0 -3.9 20.0 -0.0 -4.7 -0.8 -6.9 -1.2 -6.9 -2.4 2.3 7.0 -3.5 -20.0 -20.0 BOBL -20.0 2.2 -5.6 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.1 -13.5 -15.6 -13.6 -12.6 -13.4 -1.4 15.1 10.6 15.4 -18.8 -20.0 -20.0 -20.0 -20.0 14.2 -0.0 -4.6 -7.7 -6.1 -10.1 -9.2 -7.2 20.0 -14.8 -16.9 -19.9 -9.8 BTP -20.0 12.9 12.9 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -13.8 -4.0 -15.4 -11.1 -9.1 0.5 10.8 14.7 15.2 16.5 -5.4 -7.1 -20.0 -17.5 -19.4 2.7 -0.0 -1.2 -5.2 -2.7 -8.0 -7.1 -4.9 20.0 -6.3 -12.6 -2.7 11.6 BUND -20.0 6.1 -3.0 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.1 -11.2 -15.6 -12.8 -11.0 -10.0 14.0 16.1 14.0 15.0 -16.3 -19.1 -20.0 -20.0 -20.0 10.7 -0.0 -3.7 -7.2 -5.3 -9.8 -8.4 -6.6 20.0 -13.1 -17.6 -13.4 -7.6 BUXL -20.0 16.2 0.3 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.0 -6.7 -15.4 -11.4 -7.9 -1.9 4.4 -1.1 5.0 2.9 -9.5 -12.7 -20.0 -20.0 -20.0 6.2 -0.0 -1.8 -6.7 -3.1 -9.1 -5.8 -5.2 -0.7 -16.2 -17.4 -1.7 0.6 CAC -20.0 12.8 14.9 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -4.6 10.7 -9.3 0.0 3.0 11.5 -1.4 3.5 0.1 1.5 9.1 10.4 -7.9 5.5 -2.1 -14.5 -0.0 2.2 -4.9 2.8 -5.1 1.2 -1.9 7.6 -0.5 0.4 10.5 17.4 CAD -5.6 1.1 -6.6 2.7 0.1 -0.4 0.3 -3.9 2.1 4.0 -9.9 -4.8 -11.1 -8.1 -6.9 -2.0 -1.0 -1.9 -1.5 -7.1 -11.3 0.2 -12.9 -4.3 10.7 -0.0 -4.4 -4.1 -6.7 -3.9 -7.8 -3.9 1.2 1.0 -17.3 -20.0 -20.0 CANOLA 9.9 -1.0 1.4 -3.2 4.3 -3.9 3.2 -1.0 -0.5 11.6 -9.5 14.6 -3.5 3.3 5.7 7.9 13.0 9.4 9.4 0.2 -5.5 7.5 -0.8 4.6 6.9 -0.0 -0.6 3.8 -1.0 2.7 1.8 0.7 -1.7 -2.9 16.9 -6.6 12.6 CHF 6.6 20.0 11.2 2.7 0.1 -0.4 0.3 -3.9 2.1 0.9 8.5 5.5 -3.3 14.1 13.5 -12.7 -11.8 -12.4 -12.4 16.1 8.1 4.7 -2.2 13.1 -9.1 -0.0 4.2 -2.1 1.3 -0.1 -2.5 3.4 -17.4 -2.1 4.5 9.0 10.1 COCOA 4.8 13.5 13.5 -3.2 4.3 -3.9 3.2 -1.0 -0.5 12.0 4.9 13.0 -6.9 13.9 13.2 -1.0 -2.9 -0.5 -1.2 12.9 6.1 19.5 -2.2 16.1 -6.3 -0.0 4.7 9.3 2.3 9.2 -0.7 6.2 -20.0 15.5 20.0 20.0 18.6 COFFEE 20.0 -2.6 -20.0 -3.2 4.3 -3.9 3.2 -1.0 -0.5 9.6 -12.4 11.0 -8.6 3.7 -11.9 0.1 3.9 2.7 4.5 -13.5 -20.0 8.4 -12.6 0.8 9.9 -0.0 -3.7 8.1 -5.7 5.8 -3.4 1.2 -12.7 11.6 12.5 -6.9 -20.0 COPPER 3.3 13.8 17.2 3.1 -2.2 2.0 -1.1 0.7 1.5 7.2 -5.0 5.0 -8.2 9.0 9.5 -0.9 -0.1 -0.4 -0.2 10.6 2.2 4.9 -7.5 8.4 12.7 -0.0 4.2 -0.8 1.6 -0.0 -1.3 2.6 2.1 8.3 4.6 3.0 1.5 CORN 1.1 -15.7 4.9 -3.2 4.3 -3.9 3.2 -1.0 -0.5 14.0 0.3 9.1 4.5 -7.1 -6.1 20.0 15.6 19.7 16.9 -5.6 -0.0 14.3 13.1 0.1 -9.8 -0.0 -3.8 8.1 -1.3 4.8 4.2 -1.2 6.8 9.9 -4.8 -16.7 -0.8 COTTON2 7.8 7.6 -20.0 -3.2 4.3 -3.9 3.2 -1.0 -0.5 -3.9 -10.5 1.9 -2.2 6.1 -6.8 1.8 15.3 4.8 10.4 -4.5 -11.5 1.9 -5.0 2.9 1.1 -0.0 0.1 -0.5 -2.4 2.8 1.7 3.3 3.0 7.8 12.3 20.0 -19.2 CRUDE_W -3.3 -3.8 -0.8 -2.4 1.8 -1.8 3.4 3.4 0.6 9.9 -6.0 5.3 2.3 -3.5 4.2 6.6 12.8 7.5 9.9 -1.9 -2.3 9.7 4.5 2.1 -3.5 -0.0 -1.2 4.6 0.0 3.8 5.7 0.2 -14.9 -1.6 -1.3 7.8 9.7 DAX -20.0 17.1 20.0 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -10.7 8.6 -12.8 -3.9 4.0 11.1 -7.2 -2.5 -5.3 -3.9 9.4 9.0 -10.6 -0.8 -3.4 -10.6 -0.0 2.4 -3.8 2.5 -4.7 -0.4 -1.8 -2.1 -6.8 -3.3 15.9 20.0 DOW -18.8 11.8 14.6 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -5.3 7.6 -10.2 -0.7 -0.8 9.7 -5.6 -2.4 -5.1 -4.2 6.9 7.0 -8.2 1.1 -3.0 -7.3 -0.0 1.9 -3.7 2.0 -4.1 0.5 -1.6 -2.5 4.7 0.9 5.8 11.9 EUR 9.0 20.0 20.0 2.7 0.1 -0.4 0.3 -3.9 2.1 -1.9 3.4 8.8 -8.7 14.9 14.9 -7.7 -8.3 -7.7 -8.2 20.0 7.4 7.0 -10.7 17.1 1.2 -0.0 4.8 -0.8 0.8 1.3 -4.8 4.2 -10.8 3.8 12.0 8.6 15.4 EUROSTX -20.0 15.7 19.2 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -12.7 10.3 -12.6 -1.4 4.9 11.7 8.3 3.6 4.3 3.1 10.3 10.9 -10.4 3.5 -2.3 -16.9 -0.0 2.8 -4.5 3.2 -4.8 0.9 -1.4 8.6 -8.9 -1.6 17.2 20.0 FEEDCOW 7.2 10.1 -2.9 -3.2 4.3 -3.9 3.2 -1.0 -0.5 5.6 1.5 9.1 -0.9 12.1 3.9 -20.0 -20.0 -20.0 -20.0 6.0 1.1 6.3 -1.3 8.4 -15.4 -0.0 3.6 6.6 0.6 6.7 -0.6 5.8 -20.0 2.4 20.0 16.8 -1.8 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 3.2 -19.7 -11.6 -2.4 1.8 -1.8 3.4 3.4 0.6 9.6 -4.5 9.6 9.3 -2.0 -5.9 20.0 20.0 20.0 20.0 -5.8 -1.1 16.6 12.0 2.2 -6.2 -0.0 -3.6 -0.6 -1.2 -0.1 4.3 -2.3 11.0 -11.5 -6.6 -10.7 1.6 GASOILINE 1.7 -12.1 -12.1 -2.4 1.8 -1.8 3.4 3.4 0.6 10.7 -11.3 10.7 2.8 -4.3 -5.8 -17.1 20.0 2.1 15.1 -7.0 -6.2 14.3 5.4 1.8 -5.0 -0.0 -1.6 9.5 -0.5 8.0 6.1 1.8 0.0 14.4 3.1 4.5 9.9 GAS_US -11.4 -3.0 -20.0 -2.4 1.8 -1.8 3.4 3.4 0.6 -14.1 -11.3 -15.1 -1.5 -13.1 -13.4 20.0 -5.7 2.8 -3.6 -16.6 -11.2 -20.0 -1.9 -20.0 -9.1 -0.0 -3.5 -10.4 -1.1 -10.3 3.4 -6.3 -20.0 -20.0 -20.0 5.8 -9.3 GBP -2.4 20.0 14.6 2.7 0.1 -0.4 0.3 -3.9 2.1 -14.1 3.6 -12.6 -6.3 8.6 11.6 -1.9 -1.6 -1.9 -1.9 11.4 3.3 -7.9 -9.1 3.7 12.6 -0.0 2.1 -3.7 -2.5 -3.3 -7.7 0.8 0.4 -17.1 -4.5 -7.0 -3.6 GOLD_micro 3.8 20.0 12.5 3.1 -2.2 2.0 -1.1 0.7 1.5 5.2 -1.5 8.2 -8.5 14.0 12.5 -10.6 -8.4 -10.4 -9.8 11.8 3.1 5.9 -4.8 11.1 9.0 -0.0 4.0 -2.4 1.3 -0.1 -1.0 3.2 -13.2 7.5 6.4 9.1 -4.6 HEATOIL 4.1 -16.6 -11.4 -2.4 1.8 -1.8 3.4 3.4 0.6 9.1 -4.8 10.6 8.5 -1.1 -3.2 20.0 20.0 20.0 20.0 -4.4 -0.7 14.6 10.7 2.8 -13.8 -0.0 -2.5 2.2 0.6 2.5 8.4 -0.8 20.0 -5.4 -4.2 -3.4 4.3 JPY 5.0 20.0 20.0 2.7 0.1 -0.4 0.3 -3.9 2.1 1.9 -2.8 5.2 -11.7 12.4 10.4 -10.9 -10.3 -11.6 -11.6 12.1 -0.1 7.9 -13.3 14.3 11.2 -0.0 4.2 1.1 -0.6 4.0 -6.1 5.4 -15.5 20.0 20.0 20.0 3.9 LEANHOG -2.6 -1.7 0.8 -3.2 4.3 -3.9 3.2 -1.0 -0.5 13.3 3.1 9.8 -0.4 5.0 8.9 -20.0 18.1 -16.4 10.0 2.4 1.8 12.4 3.2 5.6 -9.2 -0.0 0.0 4.7 -0.2 5.1 1.2 1.6 8.7 15.5 11.2 0.7 5.6 LIVECOW 5.3 4.5 8.8 -3.2 4.3 -3.9 3.2 -1.0 -0.5 13.2 10.4 14.4 0.4 12.5 11.5 -20.0 -20.0 -20.0 -20.0 8.7 6.4 12.6 2.2 10.8 -20.0 -0.0 4.7 6.5 4.1 7.8 3.0 6.0 -20.0 8.8 14.8 9.2 13.9 MXP -7.8 -3.0 6.4 2.7 0.1 -0.4 0.3 -3.9 2.1 11.3 13.0 4.0 14.5 3.5 9.1 18.0 20.0 18.6 19.3 8.4 12.1 10.7 13.4 6.3 -20.0 -0.0 4.3 10.2 5.2 7.1 5.0 3.5 20.0 20.0 -6.9 -7.1 20.0 NASDAQ -16.3 1.5 -3.3 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -14.0 -10.7 -15.3 -12.6 -8.6 -10.0 -4.9 -3.4 -4.7 -4.3 -10.1 -11.3 -20.0 -14.0 -16.9 8.4 -0.0 -3.2 -9.2 -4.0 -9.7 -4.8 -5.9 -3.4 -8.4 -4.3 -7.1 -11.3 NIKKEI -20.0 -6.4 -0.4 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -13.2 1.2 -14.6 0.7 -13.3 -4.1 16.3 9.6 10.8 10.2 -10.2 -1.9 -19.4 0.6 -19.3 -5.2 -0.0 -4.4 -4.4 -2.1 -6.2 -1.2 -6.9 20.0 -13.4 -17.3 -16.4 -3.9 NZD -1.2 20.0 15.9 2.7 0.1 -0.4 0.3 -3.9 2.1 -2.3 4.0 -5.4 -6.7 9.7 11.2 0.1 0.4 -0.4 -0.2 14.9 5.7 -2.7 -6.5 8.3 -0.3 -0.0 3.8 -0.1 0.8 -0.4 -2.6 2.5 3.6 -7.2 1.6 9.7 4.0 OAT -20.0 8.9 5.1 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.1 -8.6 -15.6 -12.0 -10.4 -6.5 12.4 12.6 13.2 13.5 -12.5 -13.7 -20.0 -20.0 -20.0 10.4 -0.0 -2.9 -7.1 -4.4 -9.7 -8.1 -6.2 20.0 -15.7 -19.1 -9.7 -2.7 OJ -2.6 -0.2 17.5 -3.2 4.3 -3.9 3.2 -1.0 -0.5 -2.5 13.6 6.1 14.2 5.1 12.5 14.6 12.4 15.4 15.4 14.9 20.0 2.2 20.0 7.0 -20.0 -0.0 5.1 -0.4 9.1 1.4 11.1 2.3 4.0 1.3 9.5 6.2 20.0 PALLAD -4.2 -8.3 -9.5 3.1 -2.2 2.0 -1.1 0.7 1.5 4.5 -12.2 -4.8 -8.5 -10.4 -12.6 -1.2 -1.3 -1.5 -1.5 -13.9 -11.2 -4.3 -8.2 -12.5 7.0 -0.0 -4.8 -3.2 -3.2 -5.9 -1.9 -6.0 0.0 -19.4 -20.0 -20.0 -20.0 PLAT -8.4 5.5 18.3 3.1 -2.2 2.0 -1.1 0.7 1.5 4.0 9.6 -2.1 -1.0 6.5 11.4 -1.5 -0.5 -0.6 -0.4 8.5 8.2 1.6 2.4 3.6 -3.2 -0.0 4.7 1.5 3.8 0.9 0.5 2.3 1.7 9.7 -2.6 -1.6 14.8 REDWHEAT -0.6 -16.1 -7.5 -3.2 4.3 -3.9 3.2 -1.0 -0.5 14.1 -12.7 6.3 -6.1 -7.7 -9.3 5.9 0.7 4.4 2.8 -12.9 -11.8 7.9 -3.4 -5.7 -5.4 -0.0 -4.0 6.2 -2.1 3.6 2.1 -1.8 -17.4 7.1 -7.1 -15.1 4.0 ROBUSTA 15.5 -2.7 -20.0 -3.2 4.3 -3.9 3.2 -1.0 -0.5 -2.9 -10.7 6.2 -5.2 9.3 -9.9 15.7 8.3 11.9 9.8 -10.1 -17.2 2.4 -8.1 2.3 -1.8 -0.0 -2.1 0.8 -3.9 1.6 -1.8 1.1 -5.2 -7.4 14.4 4.7 -20.0 RUSSELL -17.5 -1.1 3.0 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -13.0 -5.3 -14.0 -10.7 -11.3 -3.5 -4.7 -2.5 -4.3 -3.6 -6.6 -4.8 -16.3 -7.7 -13.1 -3.9 -0.0 -2.7 -7.8 -1.7 -8.2 -2.2 -6.0 -2.1 4.5 -3.7 -11.5 -2.2 SILVER-mini 7.4 20.0 20.0 3.1 -2.2 2.0 -1.1 0.7 1.5 0.3 6.6 8.8 -4.2 13.5 14.0 -3.9 -3.4 -4.1 -3.9 18.0 10.1 7.7 -0.4 15.9 7.6 -0.0 5.4 -1.8 2.8 1.2 -0.9 4.4 -3.9 8.9 20.0 17.0 20.0 SOYBEAN 2.5 4.0 3.2 -3.2 4.3 -3.9 3.2 -1.0 -0.5 13.8 0.8 10.9 4.6 10.6 12.5 20.0 20.0 20.0 20.0 5.4 4.3 9.6 7.1 6.0 -20.0 -0.0 4.3 18.4 6.0 10.4 11.3 4.8 20.0 3.1 4.2 8.3 14.4 SOYMEAL 12.7 17.6 5.1 -3.2 4.3 -3.9 3.2 -1.0 -0.5 7.1 7.5 6.6 9.9 9.2 9.5 10.9 13.9 11.5 13.3 18.2 12.6 10.4 8.9 17.0 -20.0 -0.0 5.4 4.3 4.1 4.0 3.6 5.2 3.5 -2.4 20.0 20.0 20.0 SOYOIL -12.2 -19.7 1.3 -3.2 4.3 -3.9 3.2 -1.0 -0.5 7.7 -0.0 3.4 5.1 -5.0 -4.1 10.4 20.0 16.2 19.0 -5.2 0.6 7.1 7.4 -4.1 -17.4 -0.0 -1.4 -1.2 1.4 -1.1 4.2 -2.5 14.2 -1.8 -20.0 -9.7 15.5 SP400 -16.7 5.5 6.6 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -8.9 1.1 -11.7 -5.6 -6.7 3.8 -3.9 -1.8 -2.5 -2.0 -0.3 0.8 -11.0 -2.4 -7.6 -7.7 -0.0 -0.3 -6.4 0.6 -6.6 0.1 -4.0 0.0 6.2 -2.2 -1.5 4.5 SP500 -15.8 6.0 2.2 -0.7 -4.5 -0.9 -4.7 -2.0 -3.2 -13.5 -4.3 -14.4 -8.5 -5.3 -0.6 -5.3 -3.5 -4.9 -4.3 -3.1 -3.9 -15.5 -6.8 -10.2 3.0 -0.0 -1.0 -7.0 -1.8 -7.5 -3.4 -4.3 -3.4 -1.3 -1.6 -1.9 -2.6 SUGAR11 6.3 16.2 16.2 -3.2 4.3 -3.9 3.2 -1.0 -0.5 -7.2 9.1 5.4 4.4 11.6 12.5 20.0 20.0 20.0 20.0 17.9 12.9 7.1 6.9 16.4 -20.0 -0.0 5.9 3.4 4.3 6.1 2.6 6.4 20.0 17.9 20.0 20.0 20.0 US10 -2.0 20.0 -4.8 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.1 -7.6 -12.5 -12.4 5.4 -0.5 -8.9 -0.3 -6.8 -4.6 -0.5 -11.6 -20.0 -20.0 -4.8 -7.3 -0.0 0.7 -7.1 -3.5 -5.3 -8.1 -0.3 -5.4 14.2 14.2 12.9 3.8 US10U -3.4 20.0 -4.7 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.1 -7.3 -13.4 -12.2 3.9 -0.6 1.3 4.8 0.9 1.9 -0.8 -11.1 -20.0 -20.0 -6.2 -9.1 -0.0 0.7 -7.0 -3.0 -5.7 -7.0 -0.6 4.5 14.2 13.3 12.9 4.4 US20 -0.2 20.0 -3.2 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.1 -5.8 -12.2 -11.5 6.2 1.8 -3.7 1.8 -1.0 0.4 1.5 -10.3 -20.0 -20.0 -4.1 -8.9 -0.0 1.2 -6.5 -2.4 -4.7 -5.6 0.3 0.7 10.3 17.4 19.6 4.5 US30 -1.1 20.0 3.2 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.1 -5.7 -12.7 -12.8 3.7 2.0 0.3 0.4 -0.6 -0.5 0.8 -10.5 -20.0 -20.0 -5.5 -8.0 -0.0 1.4 -7.1 -2.1 -5.3 -5.6 0.0 -1.5 8.0 18.6 17.1 9.1 US5 1.4 19.9 -4.2 -2.1 -5.3 -4.1 -6.6 -6.9 -3.9 -14.1 -7.5 -10.7 -12.7 7.1 -0.7 -5.4 1.1 -5.3 -3.7 0.2 -12.4 -16.6 -20.0 -2.3 -5.0 -0.0 0.9 -6.5 -3.9 -4.3 -9.6 0.5 -3.6 17.8 18.2 13.4 2.9 VIX 4.6 -14.2 -7.0 -4.3 0.8 -3.5 -0.1 -2.4 -2.7 -2.4 -13.3 -2.2 -11.2 -11.3 -13.6 -20.0 -20.0 -20.0 -18.4 -14.8 -12.7 -5.3 -9.3 -10.8 NaN -0.0 -5.4 1.5 -4.3 -0.1 -2.8 -3.6 NaN NaN NaN NaN NaN WHEAT 0.4 -20.0 -12.4 -3.2 4.3 -3.9 3.2 -1.0 -0.5 13.5 -14.0 5.8 -9.3 -9.5 -10.1 -7.3 -4.6 -6.0 -5.2 -17.4 -17.3 8.2 -8.5 -7.8 -2.8 -0.0 -4.3 8.3 -3.0 4.8 0.6 -1.4 -20.0 13.9 -5.0 -20.0 -1.4 End of report for caleb_strategy_v1