******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221229_204300 produced at 2022-12-29 21:35:29.761087 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.24 0.0 8935881.41 -8935881.41 -0.21 -0.21 -26.59 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.13 0.0 38369995.24 -38369995.24 -0.19 -0.19 -3.40 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 39938326.82 -39938326.82 0.00 0.00 -2.99 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.14 -0.12 0.0 23052086.91 -23052086.91 -0.14 -0.14 -5.06 999999999 -6 -6 caleb_strategy_v1 US10U False False 0.04 -0.04 -0.11 0.0 42031286.12 -42031286.12 -0.04 -0.08 -2.56 999999999 -1 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.14 -0.11 0.0 33789356.73 -33789356.73 -0.14 -0.14 -3.33 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.07 0.0 44568374.71 -44568374.71 -0.09 -0.09 -1.51 999999999 -2 -2 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.07 0.0 48521125.43 -48521125.43 -0.10 -0.10 -1.54 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 47854931.49 -47854931.49 0.00 0.00 -0.87 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 78420797.80 -78420797.80 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.03 0.0 52794275.97 -52794275.97 0.00 0.00 -0.49 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.03 -0.03 0.0 3155805.12 -3155805.12 -0.03 -0.03 -10.57 999999999 -8 -8 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5358706.26 -5358706.26 0.00 0.00 -3.64 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.02 0.0 68822275.49 -68822275.49 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 87177250.98 -87177250.98 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.01 0.0 13597462.48 -13597462.48 0.00 0.00 -0.57 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14292080.70 -14292080.70 -0.01 -0.01 -0.57 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9141957.40 -9141957.40 0.00 0.00 -1.17 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 37854525.46 -37854525.46 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33707192.81 -33707192.81 -0.07 -0.07 -0.24 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.01 0.0 6477892.24 -6477892.24 -0.01 -0.01 -1.02 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 47641749.43 -47641749.43 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 -0.01 0.0 26896470.08 -26896470.08 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.01 0.0 5931968.51 -5931968.51 -0.01 -0.01 -1.65 999999999 -2 -1 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.01 0.0 26253370.86 -26253370.86 -0.03 -0.03 -0.39 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13963425.02 -13963425.02 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6491393.77 -6491393.77 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 -0.00 0.0 24165963.18 -24165963.18 -0.05 -0.05 -0.00 999999999 -2 -2 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 14766410.79 -14766410.79 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 19037158.08 -19037158.08 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15318019.37 -15318019.37 -0.02 -0.02 -0.31 999999999 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 582875.29 -582875.29 0.00 0.00 6.71 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22650594.02 -22650594.02 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 64185565.65 -64185565.65 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10848302.15 -10848302.15 0.00 0.00 -0.30 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14674031.89 -14674031.89 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10872285.13 -10872285.13 0.02 0.02 0.95 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14615343.10 -14615343.10 0.00 0.00 0.81 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21484754.63 -21484754.63 0.02 0.02 0.68 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4598320.69 -4598320.69 0.00 0.00 1.57 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26840953.92 -26840953.92 0.03 0.03 0.53 999999999 1 1 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 24921568.70 -24921568.70 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.05 0.01 0.0 22574203.79 -22574203.79 0.05 0.05 0.45 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8090117.11 -8090117.11 0.02 0.02 2.46 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9031813.33 -9031813.33 0.03 0.03 1.98 999999999 3 3 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 34055834.31 -34055834.31 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.03 0.0 32661268.32 -32661268.32 0.03 0.03 1.04 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.03 0.0 15988654.61 -15988654.61 0.06 0.06 2.12 999999999 4 4 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41801474.43 -41801474.43 0.04 0.04 0.68 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 48773444.49 -48773444.49 0.00 0.00 0.77 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.05 0.0 45057734.13 -45057734.13 0.05 0.05 1.07 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 13.96 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.05 0.12 0.0 25128835.49 -25128835.49 0.05 0.05 4.63 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.14 0.0 50882484.40 -50882484.40 0.10 0.10 2.72 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.19 0.0 44085003.25 -44085003.25 0.18 0.18 4.41 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 9.4 Shocked risk 29.0 Sum abs risk 34.4 Leverage 2.18 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2814495.72, 'annual_cash_vol_target': 703623.93, 'daily_cash_vol_target': 43976.495625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0059 0.6802 0.8725 13.9594 BITCOIN 726.9914 16405.0000 4.4315 70.9044 BOBL 0.3709 116.2200 0.3192 5.1067 BTP 0.9419 110.2000 0.8547 13.6750 BUND 0.7535 134.1400 0.5618 8.9880 BUXL 1.8926 139.1800 1.3599 21.7577 CAC 62.3664 6570.0000 0.9493 15.1882 CAD 0.0038 0.7389 0.5157 8.2517 CANOLA 9.2162 876.4000 1.0516 16.8256 CHF 0.0062 1.0925 0.5634 9.0150 COCOA 34.4198 2573.0000 1.3377 21.4037 COFFEE 0.0370 1.7000 2.1760 34.8166 COPPER 0.0520 3.8340 1.3557 21.6908 CORN 4.0709 612.0000 0.6652 10.6429 COTTON2 0.0183 0.8260 2.2157 35.4518 CRUDE_W 1.2444 75.7000 1.6439 26.3027 DAX 142.9565 14127.0000 1.0119 16.1910 DOW 338.4266 33391.0000 1.0135 16.2164 EUR 0.0059 1.0727 0.5491 8.7859 EUROSTX 42.4630 3853.0000 1.1021 17.6332 FEEDCOW 1.1410 190.2000 0.5999 9.5985 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.3360 919.2500 2.4298 38.8769 GASOILINE 0.0489 2.5367 1.9278 30.8450 GAS_US 0.2637 4.1560 6.3444 101.5105 GBP 0.0094 1.2087 0.7742 12.3869 GOLD_micro 16.3444 1823.2000 0.8965 14.3434 HEATOIL 0.0703 3.0194 2.3276 37.2419 JPY 0.0001 0.0076 1.0180 16.2886 LEANHOG 1.4939 95.6750 1.5615 24.9837 LIVECOW 0.9044 162.2000 0.5576 8.9210 MXP 0.0004 0.0508 0.7104 11.3665 NASDAQ 178.3333 11035.7500 1.6160 25.8554 NIKKEI 271.8483 26285.0000 1.0342 16.5477 NZD 0.0053 0.6354 0.8419 13.4699 OAT 0.8026 128.5800 0.6242 9.9870 OJ 0.0310 2.0355 1.5246 24.3940 PALLAD 46.1538 1806.5000 2.5549 40.8780 PLAT 22.2340 1071.6000 2.0748 33.1975 REDWHEAT 13.2562 862.2500 1.5374 24.5984 ROBUSTA 20.9388 1827.0000 1.1461 18.3372 RUSSELL 26.1262 1776.4000 1.4707 23.5318 SILVER-mini 0.4795 24.1875 1.9825 31.7204 SOYBEAN 10.9437 1414.5000 0.7737 12.3789 SOYMEAL 6.4784 450.0000 1.4396 23.0344 SOYOIL 1.0504 65.5000 1.6036 25.6580 SP400 32.0526 2453.6000 1.3064 20.9016 SP500 47.8455 3874.0000 1.2350 19.7607 SUGAR11 0.0024 0.2033 1.1630 18.6072 US10 0.4786 112.4062 0.4258 6.8130 US10U 0.6829 118.2969 0.5773 9.2369 US20 0.9871 125.4375 0.7870 12.5914 US30 1.6148 134.6875 1.1989 19.1824 US5 0.3108 107.9922 0.2878 4.6053 VIX 0.5540 25.1500 2.2027 35.2429 WHEAT 10.9834 804.5000 1.3652 21.8439 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 680.15 0.87 593.40 1.00 593.40 43976.5 74.11 -0.00 -0.01 BITCOIN 16.40 4.43 72.70 1.00 72.70 43976.5 604.91 4.71 284.72 BOBL 1162.20 0.32 370.94 1.06 393.74 43976.5 111.69 5.48 61.17 BTP 1102.00 0.85 941.87 1.06 999.76 43976.5 43.99 7.61 33.49 BUND 1341.40 0.56 753.53 1.06 799.85 43976.5 54.98 6.85 37.69 BUXL 1391.80 1.36 1892.65 1.06 2008.97 43976.5 21.89 -2.68 -5.87 CAC 657.00 0.95 623.66 1.06 661.99 43976.5 66.43 1.49 9.91 CAD 738.90 0.52 381.07 1.00 381.07 43976.5 115.40 -1.89 -21.76 CANOLA 175.28 1.05 184.32 0.74 135.52 43976.5 324.50 5.27 170.92 CHF 1365.62 0.56 769.44 1.00 769.44 43976.5 57.15 -7.20 -41.15 COCOA 257.30 1.34 344.20 1.00 344.20 43976.5 127.77 -4.20 -53.69 COFFEE 637.50 2.18 1387.23 1.00 1387.23 43976.5 31.70 -3.18 -10.07 COPPER 958.50 1.36 1299.42 1.00 1299.42 43976.5 33.84 5.71 19.33 CORN 306.00 0.67 203.55 1.00 203.55 43976.5 216.05 4.87 105.27 COTTON2 413.00 2.22 915.10 1.00 915.10 43976.5 48.06 1.07 5.16 CRUDE_W 757.00 1.64 1244.45 1.00 1244.45 43976.5 35.34 -0.77 -2.73 DAX 141.27 1.01 142.96 1.06 151.74 43976.5 289.81 -2.32 -67.09 DOW 166.96 1.01 169.21 1.00 169.21 43976.5 259.89 -2.23 -58.06 EUR 1340.88 0.55 736.30 1.00 736.30 43976.5 59.73 -0.48 -2.89 EUROSTX 385.30 1.10 424.63 1.06 450.73 43976.5 97.57 2.94 28.72 FEEDCOW 951.00 0.60 570.51 1.00 570.51 43976.5 77.08 -16.07 -123.84 FTSE100 707.00 0.82 576.59 1.20 666.67 43976.5 65.96 -2.56 -16.91 GASOIL 919.25 2.43 2233.60 1.00 2233.60 43976.5 19.69 7.38 14.54 GASOILINE 1065.41 1.93 2053.92 1.00 2053.92 43976.5 21.41 -2.82 -6.04 GAS_US 415.60 6.34 2636.73 1.00 2636.73 43976.5 16.68 -10.36 -17.27 GBP 755.44 0.77 584.84 1.00 584.84 43976.5 75.19 3.94 29.60 GOLD_micro 182.32 0.90 163.44 1.00 163.44 43976.5 269.06 -1.69 -45.41 HEATOIL 1268.15 2.33 2951.76 1.00 2951.76 43976.5 14.90 10.02 14.93 JPY 948.69 1.02 965.80 1.00 965.80 43976.5 45.53 -0.83 -3.78 LEANHOG 382.70 1.56 597.58 1.00 597.58 43976.5 73.59 -1.64 -12.09 LIVECOW 648.80 0.56 361.75 1.00 361.75 43976.5 121.57 -15.50 -188.40 MXP 254.20 0.71 180.59 1.00 180.59 43976.5 243.52 6.63 161.42 NASDAQ 2207.15 1.62 3566.67 1.00 3566.67 43976.5 12.33 -5.95 -7.34 NIKKEI 26285.00 1.03 27184.83 0.01 202.28 43976.5 217.40 3.38 73.50 NZD 635.35 0.84 534.88 1.00 534.88 43976.5 82.22 3.40 27.98 OAT 1285.80 0.62 802.58 1.06 851.91 43976.5 51.62 7.39 38.17 OJ 305.32 1.52 465.51 1.00 465.51 43976.5 94.47 -1.83 -17.29 PALLAD 1806.50 2.55 4615.38 1.00 4615.38 43976.5 9.53 -2.99 -2.85 PLAT 535.80 2.07 1111.70 1.00 1111.70 43976.5 39.56 2.50 9.87 REDWHEAT 431.12 1.54 662.81 1.00 662.81 43976.5 66.35 -8.71 -57.76 ROBUSTA 182.70 1.15 209.39 1.00 209.39 43976.5 210.02 -0.88 -18.43 RUSSELL 88.82 1.47 130.63 1.00 130.63 43976.5 336.65 -6.06 -204.00 SILVER-mini 604.69 1.98 1198.81 1.00 1198.81 43976.5 36.68 8.26 30.31 SOYBEAN 707.25 0.77 547.18 1.00 547.18 43976.5 80.37 9.78 78.60 SOYMEAL 450.00 1.44 647.84 1.00 647.84 43976.5 67.88 5.31 36.02 SOYOIL 393.00 1.60 630.22 1.00 630.22 43976.5 69.78 2.58 18.03 SP400 2453.60 1.31 3205.26 1.00 3205.26 43976.5 13.72 -4.03 -5.53 SP500 1937.00 1.24 2392.28 1.00 2392.28 43976.5 18.38 -4.20 -7.72 SUGAR11 227.70 1.16 264.80 1.00 264.80 43976.5 166.07 10.93 181.49 US10 1124.06 0.43 478.64 1.00 478.64 43976.5 91.88 -8.47 -77.82 US10U 1182.97 0.58 682.94 1.00 682.94 43976.5 64.39 -2.73 -17.58 US20 1254.38 0.79 987.15 1.00 987.15 43976.5 44.55 -4.59 -20.45 US30 1346.88 1.20 1614.77 1.00 1614.77 43976.5 27.23 -3.79 -10.33 US5 1079.92 0.29 310.83 1.00 310.83 43976.5 141.48 -6.26 -88.60 VIX 251.50 2.20 553.97 1.00 553.97 43976.5 79.38 -17.78 -141.11 WHEAT 402.25 1.37 549.17 1.00 549.17 43976.5 80.08 -13.32 -106.63 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD -0.012 0.006 2.5 -0.000 BITCOIN 284.723 0.009 2.5 6.708 BOBL 61.173 0.029 2.5 4.414 BTP 33.487 0.008 2.5 0.676 BUND 37.688 0.029 2.5 2.719 BUXL -5.871 0.034 2.5 -0.493 CAC 9.911 0.011 2.5 0.279 CAD -21.755 0.007 2.5 -0.388 CANOLA 170.920 0.004 2.5 1.569 CHF -41.147 0.015 2.5 -1.540 COCOA -53.689 0.009 2.5 -1.170 COFFEE -10.071 0.005 2.5 -0.131 COPPER 19.329 0.011 2.5 0.528 CORN 105.274 0.004 2.5 0.950 COTTON2 5.164 0.006 2.5 0.078 CRUDE_W -2.731 0.053 2.5 -0.361 DAX -67.094 0.022 2.5 -3.644 DOW -58.057 0.011 2.5 -1.655 EUR -2.895 0.015 2.5 -0.108 EUROSTX 28.719 0.011 2.5 0.807 FEEDCOW -123.839 0.011 2.5 -3.328 FTSE100 -16.907 0.041 2.5 -1.743 GASOIL 14.537 0.029 2.5 1.037 GASOILINE -6.036 0.016 2.5 -0.248 GAS_US -17.273 0.006 2.5 -0.260 GBP 29.603 0.007 2.5 0.529 GOLD_micro -45.407 0.009 2.5 -1.016 HEATOIL 14.935 0.029 2.5 1.065 JPY -3.778 0.026 2.5 -0.245 LEANHOG -12.094 0.019 2.5 -0.565 LIVECOW -188.403 0.011 2.5 -5.063 MXP 161.415 0.005 2.5 1.976 NASDAQ -7.338 0.022 2.5 -0.398 NIKKEI 73.497 0.076 2.5 13.959 NZD 27.982 0.006 2.5 0.447 OAT 38.167 0.008 2.5 0.771 OJ -17.291 0.007 2.5 -0.302 PALLAD -2.849 0.010 2.5 -0.069 PLAT 9.873 0.010 2.5 0.238 REDWHEAT -57.760 0.002 2.5 -0.308 ROBUSTA -18.427 0.005 2.5 -0.239 RUSSELL -204.004 0.021 2.5 -10.567 SILVER-mini 30.306 0.009 2.5 0.678 SOYBEAN 78.603 0.024 2.5 4.634 SOYMEAL 36.021 0.024 2.5 2.124 SOYOIL 18.029 0.004 2.5 0.165 SP400 -5.527 0.021 2.5 -0.286 SP500 -7.723 0.011 2.5 -0.220 SUGAR11 181.493 0.005 2.5 2.463 US10 -77.817 0.015 2.5 -2.985 US10U -17.585 0.058 2.5 -2.562 US20 -20.447 0.029 2.5 -1.507 US30 -10.328 0.034 2.5 -0.867 US5 -88.601 0.015 2.5 -3.399 VIX -141.108 0.075 2.5 -26.592 WHEAT -106.625 0.002 2.5 -0.569 ==================== Position diags ==================== AUD 1.18 BITCOIN 14.25 BOBL 8.06 BTP 0.89 BUND 3.97 BUXL 1.84 CAC 1.87 CAD 2.06 CANOLA 2.98 CHF 2.14 COCOA 2.78 COFFEE 0.41 COPPER 0.92 CORN 1.95 COTTON2 0.72 CRUDE_W 4.67 DAX 15.74 DOW 7.41 EUR 2.24 EUROSTX 2.74 FEEDCOW 2.07 FTSE100 6.80 GASOIL 1.40 GASOILINE 0.88 GAS_US 0.25 GBP 1.34 GOLD_micro 6.02 HEATOIL 1.06 JPY 2.95 LEANHOG 3.44 LIVECOW 3.27 MXP 2.98 NASDAQ 0.67 NIKKEI 41.29 NZD 1.31 OAT 1.04 OJ 1.65 PALLAD 0.23 PLAT 0.95 REDWHEAT 0.35 ROBUSTA 2.72 RUSSELL 17.44 SILVER-mini 0.82 SOYBEAN 4.74 SOYMEAL 4.00 SOYOIL 0.64 SP400 0.71 SP500 0.52 SUGAR11 2.25 US10 3.52 US10U 9.38 US20 3.28 US30 2.29 US5 5.43 VIX 14.96 WHEAT 0.43 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD -0.0 -0.1 0.1 -2.0 -2 BITCOIN 6.7 5.3 8.1 NaN 0 BOBL 4.4 3.6 5.2 4.0 4 BTP 0.7 0.6 0.8 1.0 1 BUND 2.7 2.3 3.1 2.0 2 BUXL -0.5 -0.7 -0.3 0.0 0 CAC 0.3 0.1 0.5 0.0 0 CAD -0.4 -0.6 -0.2 -1.0 -1 CANOLA 1.6 1.3 1.9 NaN 0 CHF -1.5 -1.8 -1.3 -2.0 -2 COCOA -1.2 -1.4 -0.9 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 0.9 0.8 1.1 2.0 2 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W -0.4 -0.8 0.1 0.0 0 DAX -3.6 -5.2 -2.1 0.0 0 DOW -1.7 -2.4 -0.9 -2.0 -2 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 0.8 0.5 1.1 0.0 0 FEEDCOW -3.3 -3.5 -3.1 -4.0 -4 FTSE100 -1.7 -2.4 -1.1 0.0 0 GASOIL 1.0 0.9 1.2 1.0 1 GASOILINE -0.2 -0.3 -0.2 0.0 0 GAS_US -0.3 -0.3 -0.2 0.0 0 GBP 0.5 0.4 0.7 1.0 1 GOLD_micro -1.0 -1.6 -0.4 -1.0 -1 HEATOIL 1.1 1.0 1.2 1.0 1 JPY -0.2 -0.5 0.1 -2.0 -2 LEANHOG -0.6 -0.9 -0.2 0.0 0 LIVECOW -5.1 -5.4 -4.7 -6.0 -6 MXP 2.0 1.7 2.3 3.0 3 NASDAQ -0.4 -0.5 -0.3 0.0 0 NIKKEI 14.0 9.8 18.1 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 -0.1 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 0.0 0.0 0 RUSSELL -10.6 -12.3 -8.8 -8.0 -8 SILVER-mini 0.7 0.6 0.8 1.0 1 SOYBEAN 4.6 4.2 5.1 2.0 2 SOYMEAL 2.1 1.7 2.5 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 2.5 2.2 2.7 2.0 2 US10 -3.0 -3.3 -2.6 NaN 0 US10U -2.6 -3.5 -1.6 -1.0 -1 US20 -1.5 -1.8 -1.2 -2.0 -2 US30 -0.9 -1.1 -0.6 0.0 0 US5 -3.4 -3.9 -2.9 -5.0 -5 VIX -26.6 -28.1 -25.1 -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 0.2 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.1 -0.0 -0.2 0.0 0.2 -0.2 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 0.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -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 -0.0 -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 -0.2 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 -0.0 -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 -0.2 -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 -0.0 -0.3 -0.0 -0.3 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 0.2 0.0 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.1 -0.3 -0.0 -0.1 0.3 -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 -0.1 -0.4 -0.0 0.0 CAC -0.2 0.2 0.3 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 0.3 -0.0 0.0 0.0 0.3 -0.2 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 0.3 CAD -0.0 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 1.6 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 -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 0.5 0.5 0.2 0.2 0.0 -0.0 0.0 -0.0 0.0 1.5 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.3 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 0.0 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 0.3 -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 0.0 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 -0.0 0.0 0.0 0.2 0.0 -1.5 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 1.0 0.0 -0.0 -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 0.1 0.5 -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 0.6 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 -1.8 0.0 -0.1 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 -0.0 0.2 0.3 DOW -0.2 0.2 0.3 -0.0 -0.0 -0.0 -0.1 -0.1 -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 0.0 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 -2.7 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.7 0.0 0.3 0.2 -0.0 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.9 -0.2 -0.3 0.1 0.0 GASOIL 0.1 -0.3 -0.2 -0.0 -0.0 -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 0.1 0.0 -0.7 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.7 -0.2 -0.3 -0.2 0.0 GASOILINE 0.1 -0.2 -0.2 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.0 -0.3 0.0 0.1 -0.0 -0.1 -1.7 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 -0.2 -0.1 -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 -0.2 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 0.0 -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 -0.0 -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 -0.1 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 0.2 0.0 0.0 -0.2 0.0 1.5 -0.0 0.1 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 0.7 -0.4 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 1.0 0.1 0.1 0.0 0.1 LIVECOW 0.1 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 0.3 -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 -0.0 -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 1.4 0.8 0.4 0.4 0.1 0.1 0.0 0.2 0.0 -3.6 -0.0 0.1 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 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -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 0.9 -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 -0.1 -0.0 -0.0 0.0 -0.0 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 -0.1 -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 -0.2 -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 -0.0 -0.3 -0.1 -0.0 OJ -0.0 0.0 0.4 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.0 0.1 1.0 0.5 0.3 0.3 0.0 0.1 0.0 0.1 0.0 -5.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.6 0.0 0.3 0.1 0.3 PALLAD -0.0 -0.1 -0.2 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.3 -0.0 -0.2 -0.0 -0.3 -0.1 -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 -0.1 -0.1 0.0 -0.0 -0.0 -0.7 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -2.3 -0.0 -0.2 -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 0.1 0.1 -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 -0.0 -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 0.1 0.0 0.1 0.0 0.1 0.0 2.7 0.0 0.2 0.1 0.2 SOYMEAL 0.1 0.3 0.1 -0.0 0.0 -0.1 0.1 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-0.1 -0.1 -0.2 -0.2 0.0 -0.1 -0.0 -0.3 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -2.7 0.0 -0.1 -0.3 -0.0 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -1.0 15.4 4.1 2.8 2.0 -0.3 1.2 -3.9 2.4 12.5 -3.3 -2.0 -8.1 9.0 6.6 -2.8 -2.0 -2.8 -2.5 4.6 -2.1 3.7 -8.5 4.3 5.8 -0.0 1.5 2.9 -2.2 1.0 -5.4 1.5 -0.4 -0.5 -5.7 -6.3 -8.5 BITCOIN 2.9 -8.1 3.0 3.1 -0.4 2.1 -0.6 0.7 1.4 -10.8 -15.1 -11.6 -16.0 -8.4 -9.7 1.9 -0.6 1.3 0.6 -8.2 -17.7 -3.2 -20.0 -4.1 20.0 -0.0 -4.7 -0.5 -7.0 -1.0 -7.1 -2.3 2.4 -3.0 -0.4 -20.0 -20.0 BOBL -20.0 1.6 -6.8 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -9.6 -13.6 -14.6 -13.6 -12.8 -13.6 -2.0 14.8 10.0 14.9 -19.7 -20.0 -20.0 -20.0 -20.0 14.2 -0.0 -4.8 -3.3 -6.2 -7.7 -9.2 -6.9 20.0 2.0 -16.5 -19.5 -9.2 BTP -20.0 10.9 12.5 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -7.8 -4.3 -14.3 -11.1 -9.9 -0.2 10.5 14.6 15.1 16.4 -6.5 -7.5 -20.0 -17.5 -19.4 2.5 -0.0 -1.5 -2.0 -2.9 -6.3 -7.2 -4.9 20.0 6.6 -11.5 -3.2 11.9 BUND -20.0 4.8 -3.8 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -10.7 -11.5 -14.8 -12.9 -11.6 -10.5 13.9 16.0 14.0 15.0 -17.6 -19.7 -20.0 -20.0 -20.0 10.7 -0.0 -4.0 -3.2 -5.4 -7.5 -8.4 -6.4 20.0 -1.5 -16.5 -13.2 -7.1 BUXL -20.0 14.0 0.3 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -12.6 -7.1 -15.1 -11.5 -9.4 -2.8 4.3 -1.1 5.0 2.9 -11.8 -13.7 -20.0 -20.0 -20.0 6.3 -0.0 -2.2 -3.9 -3.2 -7.6 -5.8 -5.4 -0.5 -11.2 -17.7 -2.7 0.8 CAC -20.0 11.3 15.6 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 7.3 10.7 -6.7 0.1 2.3 11.5 -2.0 3.4 -0.2 1.3 9.0 10.4 -3.5 5.6 -0.8 -14.4 -0.0 2.2 -0.8 2.8 -3.2 1.3 -1.6 7.4 3.1 0.8 10.0 17.9 CAD -3.4 0.7 -5.8 2.8 2.0 -0.3 1.2 -3.9 2.4 9.1 -9.9 -1.5 -11.1 -7.6 -6.7 -1.9 -1.0 -1.8 -1.5 -6.6 -11.2 2.3 -13.0 -2.9 11.1 -0.0 -4.4 0.0 -6.8 -2.1 -8.0 -3.4 1.2 -0.3 -15.3 -20.0 -20.0 CANOLA 10.9 -0.6 1.7 -2.9 3.2 -3.8 3.2 -1.0 -0.1 13.8 -9.3 15.4 -3.5 5.0 6.5 6.3 12.8 8.8 9.1 1.5 -4.9 13.0 -0.6 7.5 6.6 -0.0 0.2 9.2 -0.8 7.7 1.9 3.0 -1.9 3.7 20.0 -6.9 13.7 CHF 6.5 20.0 11.8 2.8 2.0 -0.3 1.2 -3.9 2.4 9.9 8.9 9.1 -3.0 14.6 13.9 -12.9 -11.8 -12.5 -12.5 16.4 8.5 8.0 -2.0 14.0 -9.1 -0.0 4.3 1.0 1.5 1.2 -2.4 3.6 -17.5 -4.3 5.5 10.0 9.7 COCOA 4.0 12.7 14.0 -2.9 3.2 -3.8 3.2 -1.0 -0.1 6.3 5.3 9.8 -6.7 12.5 13.1 -1.1 -2.9 -0.6 -1.2 12.4 6.1 12.8 -1.9 14.2 -6.7 -0.0 4.8 2.3 2.4 6.1 -0.6 5.8 -20.0 8.4 17.8 20.0 19.0 COFFEE 20.0 -1.4 -20.0 -2.9 3.2 -3.8 3.2 -1.0 -0.1 5.3 -12.3 10.1 -8.7 5.1 -11.7 0.2 3.8 2.7 4.4 -12.8 -19.8 6.7 -12.6 1.0 9.8 -0.0 -3.4 4.2 -5.7 5.0 -3.4 1.7 -12.5 3.1 13.3 -4.1 -20.0 COPPER 2.5 13.4 17.8 3.1 -0.4 2.1 -0.6 0.7 1.4 8.7 -4.8 4.8 -8.2 8.6 9.8 -1.3 -0.1 -0.6 -0.3 10.9 2.5 5.0 -7.4 8.6 12.6 -0.0 4.2 -0.2 1.7 0.2 -1.3 2.5 2.0 3.3 5.1 2.5 1.6 CORN 4.3 -14.2 4.8 -2.9 3.2 -3.8 3.2 -1.0 -0.1 14.0 0.5 11.7 4.5 -5.1 -5.7 20.0 15.8 20.0 17.2 -4.3 0.3 16.3 13.4 2.8 -9.8 -0.0 -3.3 6.3 -1.3 5.4 4.2 -0.1 7.4 8.9 -0.5 -15.7 -0.7 COTTON2 7.1 6.0 -20.0 -2.9 3.2 -3.8 3.2 -1.0 -0.1 -8.9 -10.4 -0.5 -2.4 4.1 -6.7 1.6 15.2 4.6 10.2 -4.8 -11.7 -1.1 -5.1 1.5 1.4 -0.0 0.1 -1.8 -2.4 1.3 1.7 2.8 3.0 4.6 7.2 19.7 -18.7 CRUDE_W -0.6 -4.1 -0.3 -2.3 -0.1 -1.8 2.4 3.4 0.5 7.2 -6.0 5.1 2.3 -3.1 4.5 6.8 12.8 7.6 9.9 -1.6 -2.2 7.7 4.5 2.4 -3.7 -0.0 -1.0 1.8 0.0 2.8 5.8 0.4 -13.0 3.4 -3.2 7.4 9.8 DAX -20.0 15.0 20.0 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 4.3 8.7 -10.4 -3.8 3.5 11.1 -7.3 -2.5 -5.4 -4.0 9.2 9.0 -6.0 -0.6 -2.3 -10.4 -0.0 2.3 -0.6 2.5 -3.0 -0.4 -1.5 -2.2 1.1 -1.6 15.5 20.0 DOW -19.0 10.3 15.4 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 0.5 7.7 -9.6 -0.6 -1.8 9.6 -5.6 -2.4 -5.1 -4.2 6.3 6.8 -6.3 1.1 -2.9 -7.5 -0.0 1.7 -1.0 2.0 -3.1 0.5 -1.7 -2.5 2.7 0.9 4.9 11.8 EUR 8.5 20.0 20.0 2.8 2.0 -0.3 1.2 -3.9 2.4 9.2 3.8 10.9 -8.5 15.2 15.1 -7.7 -8.3 -7.8 -8.2 20.0 7.9 8.7 -10.4 17.3 1.1 -0.0 4.9 1.4 0.9 2.1 -4.7 4.4 -10.8 -1.0 11.8 9.2 15.2 EUROSTX -20.0 13.8 19.5 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 0.5 10.4 -10.3 -1.3 4.3 11.6 8.6 3.7 4.5 3.2 10.0 10.9 -6.0 3.6 -1.3 -16.9 -0.0 2.7 -1.0 3.2 -3.2 1.0 -1.3 8.8 -0.2 -0.9 16.6 20.0 FEEDCOW 8.3 10.8 -2.1 -2.9 3.2 -3.8 3.2 -1.0 -0.1 11.3 1.7 11.7 -0.8 13.1 4.5 -20.0 -20.0 -20.0 -20.0 6.6 1.4 8.1 -1.2 9.4 -16.1 -0.0 4.0 7.1 0.9 7.6 -0.4 6.5 -20.0 8.8 18.9 17.9 -1.2 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 7.4 -19.6 -13.3 -2.3 -0.1 -1.8 2.4 3.4 0.5 3.9 -4.7 7.9 9.3 -2.0 -5.9 20.0 20.0 20.0 20.0 -5.3 -1.1 10.6 11.3 1.4 -6.2 -0.0 -3.8 -2.3 -1.3 -2.2 4.2 -3.2 13.0 -17.9 -12.9 -11.9 0.4 GASOILINE 6.0 -11.8 -11.6 -2.3 -0.1 -1.8 2.4 3.4 0.5 11.5 -11.2 12.0 2.8 -3.4 -5.2 -20.0 20.0 -0.5 13.5 -6.0 -6.0 14.2 5.5 3.4 -5.1 -0.0 -1.0 7.7 -0.3 8.2 6.1 3.0 0.0 20.0 4.7 4.4 10.4 GAS_US -13.0 -4.3 -20.0 -2.3 -0.1 -1.8 2.4 3.4 0.5 -14.1 -11.6 -15.4 -1.8 -13.8 -13.8 20.0 -5.3 4.0 -2.8 -18.4 -12.3 -20.0 -2.4 -20.0 -8.7 -0.0 -3.9 -7.6 -1.3 -9.5 3.1 -6.8 -20.0 -20.0 -20.0 4.5 -11.0 GBP -4.1 20.0 14.7 2.8 2.0 -0.3 1.2 -3.9 2.4 -9.1 3.7 -12.7 -6.2 8.0 11.5 -1.9 -1.6 -1.9 -1.9 11.0 3.3 -6.2 -9.1 3.3 12.7 -0.0 2.0 -1.6 -2.5 -2.5 -7.8 0.6 0.4 -15.0 -5.9 -6.7 -3.5 GOLD_micro 3.5 20.0 13.5 3.1 -0.4 2.1 -0.6 0.7 1.4 8.4 -1.1 9.8 -8.4 14.3 12.9 -10.6 -8.5 -10.4 -9.9 12.1 3.4 7.0 -4.6 11.4 8.9 -0.0 4.0 -0.2 1.4 0.5 -0.9 3.1 -13.2 7.2 5.1 9.4 -4.3 HEATOIL 8.6 -16.3 -11.1 -2.3 -0.1 -1.8 2.4 3.4 0.5 5.9 -4.8 10.3 8.5 -0.6 -2.8 20.0 20.0 20.0 20.0 -3.8 -0.6 12.0 10.9 3.3 -13.9 -0.0 -2.5 0.4 0.6 1.5 8.6 -0.8 20.0 -7.6 -4.4 -4.7 3.6 JPY 4.5 20.0 20.0 2.8 2.0 -0.3 1.2 -3.9 2.4 4.2 -2.5 6.0 -11.5 12.4 10.8 -10.9 -10.4 -11.6 -11.6 12.5 0.3 8.6 -13.2 14.4 11.1 -0.0 4.3 2.3 -0.4 4.2 -6.0 5.5 -15.5 20.0 18.1 20.0 5.1 LEANHOG -0.9 -1.9 1.5 -2.9 3.2 -3.8 3.2 -1.0 -0.1 10.1 3.6 10.2 -0.3 6.2 9.4 -20.0 17.5 -17.7 8.9 2.9 2.0 10.9 3.3 6.2 -9.6 -0.0 0.3 2.1 -0.1 4.1 1.2 1.9 7.4 18.8 6.1 1.4 6.1 LIVECOW 7.9 5.6 9.4 -2.9 3.2 -3.8 3.2 -1.0 -0.1 14.0 10.8 15.1 0.6 13.4 12.1 -20.0 -20.0 -20.0 -20.0 9.6 6.9 13.5 2.4 12.0 -20.0 -0.0 5.0 6.4 4.2 8.0 3.0 6.5 -20.0 16.3 14.9 10.5 14.4 MXP -5.4 -3.4 6.8 2.8 2.0 -0.3 1.2 -3.9 2.4 12.2 13.1 7.9 14.5 4.5 9.5 18.1 20.0 18.6 19.3 9.0 12.5 11.0 13.7 7.5 -20.0 -0.0 4.6 7.5 5.3 7.2 5.0 4.4 20.0 20.0 -5.8 -8.8 20.0 NASDAQ -15.8 1.0 -2.1 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 -5.6 -10.9 -13.3 -12.7 -9.0 -10.3 -4.9 -3.4 -4.7 -4.3 -10.4 -11.3 -18.4 -13.8 -15.8 8.2 -0.0 -3.3 -2.0 -4.2 -6.5 -4.9 -5.5 -3.3 -7.5 -4.3 -5.7 -11.3 NIKKEI -20.0 -7.9 -0.3 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 -9.7 0.7 -13.5 0.5 -13.3 -4.8 16.7 9.7 11.1 10.4 -10.6 -2.4 -16.2 0.3 -18.3 -4.7 -0.0 -4.5 -2.1 -2.3 -5.1 -1.3 -6.5 20.0 -20.0 -17.8 -17.4 -4.6 NZD -2.4 20.0 16.5 2.8 2.0 -0.3 1.2 -3.9 2.4 3.8 4.3 -3.9 -6.5 9.7 11.3 0.2 0.4 -0.3 -0.2 15.0 6.0 0.6 -6.4 8.8 -0.4 -0.0 3.9 1.2 0.9 0.6 -2.6 2.7 3.6 -4.9 1.0 9.0 4.1 OAT -20.0 7.4 4.6 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -10.5 -9.0 -14.8 -12.1 -11.2 -7.3 12.5 12.6 13.2 13.5 -13.9 -14.3 -20.0 -20.0 -20.0 10.4 -0.0 -3.2 -3.2 -4.5 -7.6 -8.1 -6.1 20.0 -3.4 -18.5 -9.9 -2.4 OJ -3.3 0.3 17.3 -2.9 3.2 -3.8 3.2 -1.0 -0.1 -6.7 13.6 4.1 14.2 4.9 12.5 14.3 12.4 15.3 15.4 14.8 20.0 1.8 20.0 6.5 -20.0 -0.0 5.1 0.4 9.3 1.3 11.4 2.2 4.2 2.8 12.9 4.9 20.0 PALLAD -2.9 -9.7 -10.1 3.1 -0.4 2.1 -0.6 0.7 1.4 9.3 -12.0 -2.9 -8.6 -9.5 -12.3 -1.3 -1.3 -1.5 -1.5 -13.6 -11.5 -1.3 -8.5 -10.6 7.1 -0.0 -4.9 -0.8 -3.3 -4.2 -2.0 -5.6 0.0 -13.6 -20.0 -20.0 -20.0 PLAT -7.6 4.0 18.7 3.1 -0.4 2.1 -0.6 0.7 1.4 11.2 10.0 4.8 -0.7 8.7 12.0 -1.5 -0.5 -0.7 -0.4 8.8 7.9 9.1 2.4 6.5 -3.4 -0.0 5.0 8.4 3.9 5.3 0.6 4.0 1.7 16.6 1.7 0.1 15.5 REDWHEAT 1.1 -16.2 -8.0 -2.9 3.2 -3.8 3.2 -1.0 -0.1 7.0 -12.7 6.7 -6.2 -7.3 -9.4 5.8 0.8 4.4 2.8 -12.4 -11.8 4.7 -3.5 -5.4 -4.8 -0.0 -3.9 1.3 -2.2 1.8 2.1 -1.9 -17.1 -0.9 -7.8 -14.9 3.8 ROBUSTA 14.2 1.2 -20.0 -2.9 3.2 -3.8 3.2 -1.0 -0.1 -10.2 -10.8 -2.9 -5.4 7.8 -10.1 15.4 8.4 12.0 9.8 -9.9 -15.7 -6.0 -7.5 -1.4 -1.8 -0.0 -2.5 -6.6 -4.0 -3.4 -1.9 -0.6 -4.8 -20.0 7.0 4.9 -20.0 RUSSELL -15.9 -1.8 4.1 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 0.1 -5.4 -11.8 -10.8 -10.8 -3.5 -4.7 -2.5 -4.3 -3.7 -6.4 -4.8 -10.2 -7.5 -11.2 -4.0 -0.0 -2.7 0.5 -1.8 -4.3 -2.3 -5.1 -2.0 4.8 -1.8 -11.0 -2.2 SILVER-mini 6.8 20.0 20.0 3.1 -0.4 2.1 -0.6 0.7 1.4 5.9 7.1 10.0 -4.0 13.7 14.2 -3.9 -3.4 -4.1 -3.9 18.3 10.6 8.9 -0.1 16.0 7.2 -0.0 5.5 0.6 2.9 1.8 -0.8 4.4 -3.9 9.7 19.9 16.5 20.0 SOYBEAN 3.2 4.3 4.0 -2.9 3.2 -3.8 3.2 -1.0 -0.1 14.0 0.9 12.8 4.7 11.9 13.0 20.0 20.0 20.0 20.0 6.4 4.8 12.2 7.4 8.0 -20.0 -0.0 4.8 13.2 6.0 11.0 10.8 6.2 20.0 7.2 9.4 8.5 15.0 SOYMEAL 8.8 18.6 5.9 -2.9 3.2 -3.8 3.2 -1.0 -0.1 7.2 7.8 6.3 10.0 9.4 9.7 11.5 13.9 11.7 13.4 18.7 13.2 10.1 9.3 17.1 -20.0 -0.0 5.4 2.3 4.2 3.4 3.7 5.1 3.8 -1.2 20.0 20.0 20.0 SOYOIL -6.2 -20.0 1.9 -2.9 3.2 -3.8 3.2 -1.0 -0.1 11.8 0.0 7.9 5.1 -4.1 -3.8 10.2 20.0 16.0 18.8 -4.2 0.8 9.3 7.4 -1.8 -17.2 -0.0 -1.3 1.2 1.4 -0.0 4.3 -2.1 14.2 0.0 -20.0 -12.2 15.4 SP400 -15.8 4.3 7.5 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 3.5 1.0 -10.0 -5.6 -7.0 3.7 -4.0 -1.8 -2.6 -2.0 -0.4 0.7 -6.9 -2.4 -6.4 -7.7 -0.0 -0.4 -0.2 0.5 -3.8 0.1 -3.5 0.0 4.0 -1.1 -1.4 4.3 SP500 -15.3 5.2 3.2 -0.8 -1.4 -0.9 -3.6 -2.0 -3.0 -2.1 -4.3 -12.4 -8.5 -5.9 -0.7 -5.3 -3.5 -5.0 -4.4 -3.3 -4.0 -10.9 -6.8 -9.2 2.8 -0.0 -1.1 -0.8 -1.9 -4.6 -3.4 -3.7 -3.4 -1.5 -1.4 -1.2 -2.7 SUGAR11 6.7 15.2 16.9 -2.9 3.2 -3.8 3.2 -1.0 -0.1 -6.7 9.2 4.6 4.6 10.7 12.3 20.0 20.0 20.0 20.0 18.0 13.3 6.0 7.3 15.4 -20.0 -0.0 6.0 3.7 4.4 5.9 2.6 6.5 20.0 20.0 20.0 20.0 20.0 US10 -5.8 19.2 -4.3 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -12.4 -7.7 -12.9 -12.4 4.2 -0.7 -9.2 -0.4 -7.0 -4.7 -1.7 -12.0 -19.1 -20.0 -6.7 -7.3 -0.0 0.4 -3.9 -3.6 -4.6 -8.3 -0.8 -5.5 7.7 12.9 13.1 3.7 US10U -7.6 20.0 -3.9 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -11.9 -7.4 -13.2 -12.2 2.9 -0.8 1.3 4.8 0.9 1.9 -1.9 -11.5 -20.0 -20.0 -7.7 -9.1 -0.0 0.5 -3.5 -3.1 -4.6 -7.2 -0.9 4.6 6.5 12.4 13.0 4.3 US20 -5.3 20.0 -2.5 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -12.3 -5.9 -12.6 -11.5 5.1 1.6 -4.0 1.7 -1.3 0.2 0.1 -10.7 -20.0 -20.0 -6.4 -9.0 -0.0 1.0 -3.7 -2.5 -4.1 -5.8 -0.2 0.5 0.9 16.2 19.5 4.4 US30 -6.7 20.0 3.7 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -12.2 -5.8 -13.0 -12.8 2.6 1.7 0.3 0.4 -0.6 -0.5 -0.5 -10.9 -20.0 -20.0 -7.5 -8.2 -0.0 1.1 -4.0 -2.2 -4.6 -5.8 -0.5 -1.4 -0.1 16.8 16.7 8.9 US5 -2.2 18.3 -4.0 -2.3 -2.9 -4.2 -5.6 -7.0 -3.9 -13.6 -7.6 -12.3 -12.7 5.9 -0.8 -5.4 1.0 -5.3 -3.7 -0.8 -12.8 -16.6 -20.0 -4.2 -5.1 -0.0 0.7 -4.2 -4.0 -4.1 -9.8 -0.1 -3.6 11.0 16.2 13.8 2.7 VIX 3.9 -14.5 -7.7 -4.3 -0.5 -3.6 -0.6 -2.4 -2.7 -9.5 -13.4 -5.1 -11.3 -11.9 -13.9 -20.0 -20.0 -20.0 -18.7 -15.2 -13.1 -7.1 -9.6 -11.6 NaN -0.0 -5.4 -0.1 -4.4 -0.7 -2.9 -3.5 NaN NaN NaN NaN NaN WHEAT 2.6 -20.0 -12.7 -2.9 3.2 -3.8 3.2 -1.0 -0.1 8.3 -14.0 7.2 -9.4 -8.9 -10.0 -7.5 -4.6 -6.1 -5.3 -16.7 -17.3 6.6 -8.6 -6.7 -2.2 -0.0 -4.1 3.9 -3.1 3.9 0.5 -0.9 -20.0 8.3 -5.0 -19.1 -1.4 End of report for caleb_strategy_v1