******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20221230_204315 produced at 2022-12-30 21:35:32.217625 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 0.0 9064553.69 -9064553.69 -0.21 -0.21 -27.17 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.14 0.0 38329954.05 -38329954.05 -0.19 -0.19 -3.66 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.13 0.0 39857375.78 -39857375.78 0.00 0.00 -3.15 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.12 0.0 41906898.03 -41906898.03 -0.08 -0.13 -2.98 999999999 -2 -3 caleb_strategy_v1 LIVECOW False False 0.02 -0.14 -0.12 0.0 23002638.01 -23002638.01 -0.14 -0.14 -5.03 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 33681037.73 -33681037.73 -0.13 -0.13 -3.41 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.07 0.0 48417602.59 -48417602.59 -0.10 -0.10 -1.54 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.07 0.0 44334110.02 -44334110.02 -0.09 -0.09 -1.61 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 0.00 -0.05 0.0 47511147.22 -47511147.22 0.00 0.00 -1.00 999999999 0 0 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 NASDAQ False False 0.08 0.00 -0.03 0.0 77768538.57 -77768538.57 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.03 0.0 86525608.38 -86525608.38 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.03 0.0 51311947.43 -51311947.43 0.00 0.00 -0.60 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.03 -0.03 0.0 3137935.20 -3137935.20 -0.03 -0.03 -11.09 999999999 -8 -8 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5288217.82 -5288217.82 0.00 0.00 -4.26 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.02 0.0 68290747.87 -68290747.87 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.01 0.0 13568392.72 -13568392.72 0.00 0.00 -0.92 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14578823.85 -14578823.85 -0.01 -0.01 -0.53 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9213852.22 -9213852.22 0.00 0.00 -1.22 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 39232668.07 -39232668.07 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 34220911.88 -34220911.88 -0.07 -0.07 -0.16 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.01 0.0 6498040.84 -6498040.84 -0.01 -0.01 -1.06 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.01 0.0 5880762.51 -5880762.51 -0.01 -0.01 -1.99 999999999 -1 -1 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.01 0.0 26280096.25 -26280096.25 -0.03 -0.03 -0.33 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13650151.44 -13650151.44 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6423391.58 -6423391.58 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47755534.70 -47755534.70 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.00 0.0 27499367.59 -27499367.59 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 0.00 0.0 24268120.80 -24268120.80 -0.05 -0.02 0.05 999999999 -2 -1 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 14542387.90 -14542387.90 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15680789.20 -15680789.20 -0.02 -0.02 -0.27 999999999 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 586174.47 -586174.47 0.00 0.00 6.92 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22274807.67 -22274807.67 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 63629612.18 -63629612.18 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 CAC False False 0.02 0.00 0.00 0.0 24595212.50 -24595212.50 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10893460.70 -10893460.70 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14823211.33 -14823211.33 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10850803.98 -10850803.98 0.02 0.02 1.05 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 19223963.28 -19223963.28 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14413425.66 -14413425.66 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21395012.75 -21395012.75 0.02 0.02 0.67 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4538720.49 -4538720.49 0.00 0.00 1.55 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26851518.60 -26851518.60 0.03 0.03 0.53 999999999 1 1 caleb_strategy_v1 NZD False False 0.02 0.05 0.01 0.0 22551187.69 -22551187.69 0.05 0.05 0.44 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7982494.81 -7982494.81 0.02 0.02 2.37 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 8997013.88 -8997013.88 0.03 0.03 2.02 999999999 3 3 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 33912094.98 -33912094.98 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41316459.15 -41316459.15 0.04 0.04 0.62 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.03 0.0 48399606.61 -48399606.61 0.00 0.00 0.71 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.04 0.0 32934545.07 -32934545.07 0.03 0.03 1.14 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.07 0.04 0.0 16405064.82 -16405064.82 0.07 0.07 2.19 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.05 0.0 45686843.58 -45686843.58 0.05 0.05 1.13 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.09 0.0 0.00 0.00 0.00 0.00 12.85 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.05 0.12 0.0 25189683.76 -25189683.76 0.05 0.05 4.86 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.13 0.0 50498316.96 -50498316.96 0.10 0.10 2.51 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.18 0.0 43989273.25 -43989273.25 0.18 0.18 4.10 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 9.7 Shocked risk 30.3 Sum abs risk 34.8 Leverage 2.21 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2813155.6, 'annual_cash_vol_target': 703288.9, 'daily_cash_vol_target': 43955.55625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0058 0.6827 0.8523 13.6362 BITCOIN 714.1239 16490.0000 4.3306 69.2904 BOBL 0.3677 115.7000 0.3178 5.0846 BTP 0.9426 108.6700 0.8674 13.8778 BUND 0.7543 132.8200 0.5679 9.0861 BUXL 1.9439 134.9600 1.4403 23.0452 CAC 64.4059 6469.0000 0.9956 15.9297 CAD 0.0037 0.7393 0.5055 8.0880 CANOLA 9.2499 864.0000 1.0706 17.1294 CHF 0.0061 1.0896 0.5621 8.9940 COCOA 33.4306 2592.0000 1.2898 20.6362 COFFEE 0.0366 1.6710 2.1919 35.0711 COPPER 0.0508 3.8160 1.3323 21.3173 CORN 4.0297 610.5000 0.6601 10.5610 COTTON2 0.0179 0.8340 2.1454 34.3262 CRUDE_W 1.2473 77.3600 1.6124 25.7977 DAX 145.6711 13909.0000 1.0473 16.7571 DOW 332.1834 33087.0000 1.0040 16.0635 EUR 0.0058 1.0748 0.5381 8.6101 EUROSTX 43.3398 3791.0000 1.1432 18.2917 FEEDCOW 1.1315 189.5000 0.5971 9.5536 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.0467 926.5000 2.3796 38.0730 GASOILINE 0.0506 2.6278 1.9263 30.8201 GAS_US 0.2567 4.0910 6.2743 100.3885 GBP 0.0092 1.2086 0.7581 12.1293 GOLD_micro 15.9399 1828.0000 0.8720 13.9517 HEATOIL 0.0685 3.0601 2.2397 35.8351 JPY 0.0001 0.0077 1.0063 16.1005 LEANHOG 1.4585 95.4250 1.5284 24.4540 LIVECOW 0.9082 161.7750 0.5614 8.9825 MXP 0.0004 0.0506 0.7174 11.4783 NASDAQ 173.7418 10938.7500 1.5883 25.4130 NIKKEI 273.9618 25710.0000 1.0656 17.0494 NZD 0.0053 0.6344 0.8295 13.2717 OAT 0.7998 127.3000 0.6283 10.0528 OJ 0.0303 2.0430 1.4826 23.7219 PALLAD 45.3779 1790.0000 2.5351 40.5612 PLAT 21.4370 1081.6000 1.9820 31.7116 REDWHEAT 13.6849 882.2500 1.5511 24.8181 ROBUSTA 21.0216 1807.0000 1.1633 18.6135 RUSSELL 25.3332 1765.5000 1.4349 22.9585 SILVER-mini 0.4655 24.0750 1.9335 30.9355 SOYBEAN 10.7076 1417.2500 0.7555 12.0884 SOYMEAL 6.5904 461.5000 1.4280 22.8487 SOYOIL 1.0708 64.0000 1.6732 26.7710 SP400 31.2698 2434.1000 1.2847 20.5545 SP500 46.5488 3842.2500 1.2115 19.3840 SUGAR11 0.0024 0.2005 1.1966 19.1457 US10 0.4759 112.1250 0.4244 6.7906 US10U 0.6736 117.8906 0.5714 9.1418 US20 0.9898 124.7188 0.7937 12.6984 US30 1.5961 133.6562 1.1942 19.1075 US5 0.3076 107.8281 0.2853 4.5649 VIX 0.5446 25.5000 2.1358 34.1731 WHEAT 11.2485 820.2500 1.3714 21.9417 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 682.70 0.85 581.84 1.00 581.84 43955.56 75.55 0.39 2.95 BITCOIN 16.49 4.33 71.41 1.00 71.41 43955.56 615.52 4.77 293.75 BOBL 1157.00 0.32 367.68 1.07 392.54 43955.56 111.98 5.08 56.84 BTP 1086.70 0.87 942.56 1.07 1006.28 43955.56 43.68 7.04 30.74 BUND 1328.20 0.57 754.26 1.07 805.25 43955.56 54.59 6.37 34.75 BUXL 1349.60 1.44 1943.86 1.07 2075.27 43955.56 21.18 -3.36 -7.12 CAC 646.90 1.00 644.06 1.07 687.60 43955.56 63.93 1.02 6.54 CAD 739.30 0.51 373.72 1.00 373.72 43955.56 117.62 -1.56 -18.36 CANOLA 172.80 1.07 185.00 0.74 136.59 43955.56 321.80 5.25 168.98 CHF 1362.06 0.56 765.65 1.00 765.65 43955.56 57.41 -7.15 -41.07 COCOA 259.20 1.29 334.31 1.00 334.31 43955.56 131.48 -4.27 -56.20 COFFEE 626.62 2.19 1373.53 1.00 1373.53 43955.56 32.00 -3.10 -9.92 COPPER 954.00 1.33 1271.04 1.00 1271.04 43955.56 34.58 5.38 18.59 CORN 305.25 0.66 201.48 1.00 201.48 43955.56 218.16 5.32 115.97 COTTON2 417.00 2.15 894.63 1.00 894.63 43955.56 49.13 0.93 4.57 CRUDE_W 773.60 1.61 1247.32 1.00 1247.32 43955.56 35.24 0.12 0.41 DAX 139.09 1.05 145.67 1.07 155.52 43955.56 282.64 -2.78 -78.51 DOW 165.44 1.00 166.09 1.00 166.09 43955.56 264.65 -2.63 -69.73 EUR 1343.44 0.54 722.94 1.00 722.94 43955.56 60.80 -0.31 -1.91 EUROSTX 379.10 1.14 433.40 1.07 462.70 43955.56 95.00 2.61 24.83 FEEDCOW 947.50 0.60 565.75 1.00 565.75 43955.56 77.69 -16.31 -126.72 FTSE100 707.00 0.82 576.59 1.21 666.67 43955.56 65.93 -2.56 -16.90 GASOIL 926.50 2.38 2204.67 1.00 2204.67 43955.56 19.94 7.99 15.93 GASOILINE 1103.68 1.93 2125.96 1.00 2125.96 43955.56 20.68 -2.33 -4.82 GAS_US 409.10 6.27 2566.81 1.00 2566.81 43955.56 17.12 -10.33 -17.69 GBP 755.38 0.76 572.64 1.00 572.64 43955.56 76.76 3.87 29.70 GOLD_micro 182.80 0.87 159.40 1.00 159.40 43955.56 275.76 -1.72 -47.56 HEATOIL 1285.24 2.24 2878.55 1.00 2878.55 43955.56 15.27 10.36 15.81 JPY 962.69 1.01 968.74 1.00 968.74 43955.56 45.37 -0.55 -2.51 LEANHOG 381.70 1.53 583.38 1.00 583.38 43955.56 75.35 -2.61 -19.69 LIVECOW 647.10 0.56 363.29 1.00 363.29 43955.56 120.99 -15.46 -187.01 MXP 253.10 0.72 181.57 1.00 181.57 43955.56 242.08 6.81 164.91 NASDAQ 2187.75 1.59 3474.84 1.00 3474.84 43955.56 12.65 -6.15 -7.78 NIKKEI 25710.00 1.07 27396.18 0.01 206.03 43955.56 213.35 3.17 67.66 NZD 634.40 0.83 526.22 1.00 526.22 43955.56 83.53 3.31 27.64 OAT 1273.00 0.63 799.83 1.07 853.90 43955.56 51.48 6.86 35.29 OJ 306.45 1.48 454.35 1.00 454.35 43955.56 96.74 -1.67 -16.15 PALLAD 1790.00 2.54 4537.79 1.00 4537.79 43955.56 9.69 -2.99 -2.89 PLAT 540.80 1.98 1071.85 1.00 1071.85 43955.56 41.01 2.98 12.21 REDWHEAT 441.12 1.55 684.24 1.00 684.24 43955.56 64.24 -7.95 -51.09 ROBUSTA 180.70 1.16 210.22 1.00 210.22 43955.56 209.10 -1.30 -27.18 RUSSELL 88.28 1.43 126.67 1.00 126.67 43955.56 347.02 -6.17 -214.03 SILVER-mini 601.88 1.93 1163.71 1.00 1163.71 43955.56 37.77 7.98 30.14 SOYBEAN 708.62 0.76 535.38 1.00 535.38 43955.56 82.10 10.05 82.48 SOYMEAL 461.50 1.43 659.04 1.00 659.04 43955.56 66.70 5.58 37.20 SOYOIL 384.00 1.67 642.50 1.00 642.50 43955.56 68.41 2.36 16.12 SP400 2434.10 1.28 3126.98 1.00 3126.98 43955.56 14.06 -4.22 -5.94 SP500 1921.12 1.21 2327.44 1.00 2327.44 43955.56 18.89 -4.43 -8.36 SUGAR11 224.56 1.20 268.71 1.00 268.71 43955.56 163.58 10.69 174.89 US10 1121.25 0.42 475.87 1.00 475.87 43955.56 92.37 -8.88 -82.01 US10U 1178.91 0.57 673.58 1.00 673.58 43955.56 65.26 -3.13 -20.43 US20 1247.19 0.79 989.83 1.00 989.83 43955.56 44.41 -4.93 -21.91 US30 1336.56 1.19 1596.15 1.00 1596.15 43955.56 27.54 -4.32 -11.91 US5 1078.28 0.29 307.64 1.00 307.64 43955.56 142.88 -6.67 -95.33 VIX 255.00 2.14 544.63 1.00 544.63 43955.56 80.71 -17.86 -144.18 WHEAT 410.12 1.37 562.43 1.00 562.43 43955.56 78.15 -12.60 -98.50 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 2.946 0.006 2.5 0.047 BITCOIN 293.748 0.009 2.5 6.921 BOBL 56.843 0.029 2.5 4.102 BTP 30.744 0.008 2.5 0.621 BUND 34.750 0.029 2.5 2.507 BUXL -7.117 0.034 2.5 -0.597 CAC 6.538 0.011 2.5 0.184 CAD -18.357 0.007 2.5 -0.328 CANOLA 168.985 0.004 2.5 1.551 CHF -41.074 0.015 2.5 -1.537 COCOA -56.198 0.009 2.5 -1.224 COFFEE -9.925 0.005 2.5 -0.129 COPPER 18.590 0.011 2.5 0.508 CORN 115.969 0.004 2.5 1.046 COTTON2 4.571 0.006 2.5 0.069 CRUDE_W 0.410 0.053 2.5 0.054 DAX -78.508 0.022 2.5 -4.264 DOW -69.732 0.011 2.5 -1.987 EUR -1.905 0.015 2.5 -0.071 EUROSTX 24.827 0.011 2.5 0.698 FEEDCOW -126.723 0.011 2.5 -3.405 FTSE100 -16.899 0.041 2.5 -1.742 GASOIL 15.927 0.029 2.5 1.136 GASOILINE -4.816 0.016 2.5 -0.198 GAS_US -17.690 0.006 2.5 -0.266 GBP 29.700 0.007 2.5 0.530 GOLD_micro -47.563 0.009 2.5 -1.064 HEATOIL 15.814 0.029 2.5 1.128 JPY -2.508 0.026 2.5 -0.162 LEANHOG -19.692 0.019 2.5 -0.920 LIVECOW -187.009 0.011 2.5 -5.025 MXP 164.913 0.005 2.5 2.019 NASDAQ -7.776 0.022 2.5 -0.422 NIKKEI 67.662 0.076 2.5 12.851 NZD 27.639 0.006 2.5 0.442 OAT 35.289 0.008 2.5 0.713 OJ -16.152 0.007 2.5 -0.282 PALLAD -2.895 0.010 2.5 -0.070 PLAT 12.207 0.010 2.5 0.294 REDWHEAT -51.088 0.002 2.5 -0.273 ROBUSTA -27.183 0.005 2.5 -0.352 RUSSELL -214.028 0.021 2.5 -11.086 SILVER-mini 30.138 0.009 2.5 0.674 SOYBEAN 82.483 0.024 2.5 4.863 SOYMEAL 37.198 0.024 2.5 2.193 SOYOIL 16.123 0.004 2.5 0.148 SP400 -5.936 0.021 2.5 -0.307 SP500 -8.363 0.011 2.5 -0.238 SUGAR11 174.895 0.005 2.5 2.373 US10 -82.011 0.015 2.5 -3.146 US10U -20.434 0.058 2.5 -2.977 US20 -21.908 0.029 2.5 -1.615 US30 -11.910 0.034 2.5 -1.000 US5 -95.329 0.015 2.5 -3.657 VIX -144.177 0.075 2.5 -27.170 WHEAT -98.497 0.002 2.5 -0.526 ==================== Position diags ==================== AUD 1.21 BITCOIN 14.50 BOBL 8.08 BTP 0.88 BUND 3.94 BUXL 1.78 CAC 1.80 CAD 2.10 CANOLA 2.95 CHF 2.15 COCOA 2.86 COFFEE 0.41 COPPER 0.95 CORN 1.97 COTTON2 0.74 CRUDE_W 4.66 DAX 15.35 DOW 7.54 EUR 2.28 EUROSTX 2.67 FEEDCOW 2.09 FTSE100 6.80 GASOIL 1.42 GASOILINE 0.85 GAS_US 0.26 GBP 1.37 GOLD_micro 6.17 HEATOIL 1.09 JPY 2.94 LEANHOG 3.52 LIVECOW 3.25 MXP 2.96 NASDAQ 0.69 NIKKEI 40.52 NZD 1.33 OAT 1.04 OJ 1.69 PALLAD 0.23 PLAT 0.99 REDWHEAT 0.34 ROBUSTA 2.71 RUSSELL 17.97 SILVER-mini 0.85 SOYBEAN 4.84 SOYMEAL 3.93 SOYOIL 0.63 SP400 0.73 SP500 0.54 SUGAR11 2.22 US10 3.54 US10U 9.51 US20 3.27 US30 2.31 US5 5.48 VIX 15.21 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.0 -0.1 0.2 -2.0 -2 BITCOIN 6.9 5.5 8.4 NaN 0 BOBL 4.1 3.3 4.9 4.0 4 BTP 0.6 0.5 0.7 1.0 1 BUND 2.5 2.1 2.9 2.0 2 BUXL -0.6 -0.8 -0.4 0.0 0 CAC 0.2 0.0 0.4 0.0 0 CAD -0.3 -0.5 -0.1 -1.0 -1 CANOLA 1.6 1.3 1.8 NaN 0 CHF -1.5 -1.8 -1.3 -2.0 -2 COCOA -1.2 -1.5 -0.9 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 1.0 0.8 1.2 2.0 2 COTTON2 0.1 -0.0 0.1 NaN 0 CRUDE_W 0.1 -0.4 0.5 0.0 0 DAX -4.3 -5.8 -2.7 0.0 0 DOW -2.0 -2.7 -1.2 -1.0 -1 EUR -0.1 -0.3 0.2 0.0 0 EUROSTX 0.7 0.4 1.0 0.0 0 FEEDCOW -3.4 -3.6 -3.2 -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 -0.3 -0.3 -0.2 0.0 0 GBP 0.5 0.4 0.7 1.0 1 GOLD_micro -1.1 -1.7 -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 -0.9 -1.3 -0.6 0.0 0 LIVECOW -5.0 -5.4 -4.7 -6.0 -6 MXP 2.0 1.7 2.3 3.0 3 NASDAQ -0.4 -0.5 -0.4 0.0 0 NIKKEI 12.9 8.8 16.9 0.0 0 NZD 0.4 0.3 0.6 2.0 2 OAT 0.7 0.6 0.8 0.0 0 OJ -0.3 -0.5 -0.1 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT -0.3 -0.3 -0.2 -1.0 -1 ROBUSTA -0.4 -0.6 -0.1 0.0 0 RUSSELL -11.1 -12.9 -9.3 -8.0 -8 SILVER-mini 0.7 0.6 0.8 1.0 1 SOYBEAN 4.9 4.4 5.3 2.0 2 SOYMEAL 2.2 1.8 2.6 4.0 4 SOYOIL 0.1 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 -3.1 -3.5 -2.8 NaN 0 US10U -3.0 -3.9 -2.0 -2.0 -2 US20 -1.6 -1.9 -1.3 -2.0 -2 US30 -1.0 -1.2 -0.8 0.0 0 US5 -3.7 -4.2 -3.1 -5.0 -5 VIX -27.2 -28.7 -25.6 -23.0 -23 WHEAT -0.5 -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 0.0 0.0 0.0 0.1 -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 -0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -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 0.1 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 0.9 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 -0.1 0.2 BUND -0.2 0.0 -0.2 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 1.2 0.7 0.3 0.3 -0.2 -0.2 -0.0 -0.3 -0.0 1.4 -0.0 -0.1 -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 -0.1 -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 -0.2 -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 -0.1 0.0 CAC -0.2 0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -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 0.3 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 -0.2 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 -2.3 -0.0 0.1 0.1 0.1 COCOA 0.0 0.2 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.2 0.0 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 -0.0 0.0 -1.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -2.7 0.1 0.3 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 -0.2 0.0 1.5 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 -1.7 0.0 0.3 -0.0 -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 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 -0.0 0.0 0.0 0.0 CORN 0.1 -0.2 0.1 -0.0 0.0 -0.1 0.0 -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 1.1 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 0.4 -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 -0.5 -0.0 -0.0 0.0 0.0 0.0 0.1 0.0 -1.5 0.0 -0.1 0.1 0.1 DAX -0.3 0.2 0.4 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -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 -1.5 -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 -0.3 0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -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 0.1 -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 -0.1 -0.0 -0.0 0.2 -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 0.2 -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 -2.8 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.7 0.0 0.3 0.3 -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 2.0 -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 -0.1 0.3 -0.0 -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 0.2 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 -0.1 -0.1 -0.3 1.6 -0.2 0.1 -0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -1.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.3 -0.4 0.0 -0.2 GBP -0.1 0.3 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.0 0.3 -0.2 -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 0.0 -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 -0.9 -0.4 -0.2 -0.2 0.2 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 0.0 0.1 0.1 -0.1 HEATOIL 0.2 -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 0.0 JPY 0.1 0.3 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 -0.0 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 0.0 -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 -1.5 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.8 0.0 0.0 0.0 0.1 LIVECOW 0.1 0.1 0.2 -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 0.2 0.2 0.2 MXP -0.0 -0.1 0.1 0.0 0.0 -0.0 0.0 -0.1 0.0 0.0 0.3 0.0 0.4 0.0 0.2 1.4 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 -0.0 -0.1 0.3 NASDAQ -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.3 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.1 -0.2 -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 -0.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 0.0 -0.1 -0.2 1.0 0.4 0.2 0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.6 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 2.6 -0.2 -0.4 -0.3 -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 -0.0 -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 0.5 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 0.0 0.1 0.0 0.1 1.1 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 -0.2 -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 0.3 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 -0.6 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.1 0.0 0.2 REDWHEAT 0.1 -0.2 -0.1 -0.0 0.0 -0.1 0.0 -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 -0.6 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -2.3 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 -0.6 -0.0 0.0 0.1 -0.3 RUSSELL -0.2 -0.0 0.1 -0.0 -0.0 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0.1 SP500 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.4 -0.1 -0.1 -0.1 -0.1 -0.1 -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 0.0 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 0.1 0.0 0.0 0.0 2.7 0.0 0.4 0.3 0.3 US10 -0.1 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 -0.2 -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 -0.1 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 -1.3 -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 -0.1 0.3 -0.1 -0.0 -0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.3 0.0 0.0 -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 0.1 0.2 0.1 US30 -0.1 0.3 0.0 -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 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 0.3 0.2 0.1 US5 -0.1 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 -0.4 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.8 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.5 0.0 0.0 0.1 0.0 VIX 0.1 -0.7 -0.5 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.5 -0.0 -0.4 -0.1 -0.4 -3.1 -1.6 -0.8 -0.8 -0.2 -0.2 -0.0 -0.2 -0.0 NaN -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 NaN NaN NaN NaN NaN WHEAT 0.1 -0.3 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.2 -0.0 -0.2 -0.6 -0.2 -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 0.1 0.0 -0.2 -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 -0.7 14.9 3.2 2.9 2.4 -0.2 1.7 -3.8 2.6 13.6 -3.1 1.5 -8.0 9.8 7.2 -2.8 -2.1 -2.7 -2.5 5.2 -1.8 6.4 -8.5 5.8 5.9 -0.0 1.7 4.1 -2.0 2.4 -5.4 2.2 -0.4 2.4 -3.9 -6.0 -8.6 BITCOIN 2.3 -7.6 2.8 3.1 0.4 2.1 -0.3 0.8 1.4 -6.0 -15.1 -12.1 -16.0 -8.5 -9.8 1.9 -0.5 1.3 0.6 -8.2 -17.8 -2.6 -20.0 -4.0 20.0 -0.0 -4.7 0.0 -7.1 -0.7 -7.3 -2.2 2.4 -2.9 0.7 -20.0 -20.0 BOBL -20.0 -0.1 -11.9 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -12.8 -13.8 -15.2 -13.7 -13.6 -14.0 -2.4 14.6 9.4 14.5 -20.0 -20.0 -20.0 -20.0 -20.0 14.2 -0.0 -5.0 -4.6 -6.1 -7.6 -8.9 -7.1 20.0 4.9 -16.3 -19.7 -8.9 BTP -20.0 8.8 6.9 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -12.3 -4.7 -15.0 -11.2 -11.4 -1.2 10.4 14.6 14.9 16.3 -8.2 -8.2 -20.0 -17.6 -20.0 2.1 -0.0 -2.0 -4.2 -3.0 -6.8 -7.1 -5.4 20.0 9.3 -11.1 -4.1 11.9 BUND -20.0 2.6 -10.1 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.2 -11.8 -15.3 -13.0 -12.7 -11.2 13.8 16.0 14.0 15.0 -19.7 -20.0 -20.0 -20.0 -20.0 10.8 -0.0 -4.4 -5.1 -5.4 -7.9 -8.1 -6.8 20.0 -0.2 -17.1 -13.8 -6.9 BUXL -20.0 11.3 -4.4 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.8 -7.6 -15.6 -11.6 -11.0 -4.2 4.2 -1.0 4.9 2.9 -14.4 -14.4 -20.0 -20.0 -20.0 6.5 -0.0 -2.7 -6.1 -3.3 -8.3 -5.6 -6.1 -0.4 -13.4 -20.0 -4.4 0.7 CAC -20.0 8.9 15.5 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 -4.4 10.6 -9.3 0.2 -0.5 11.2 -1.7 3.4 -0.2 1.3 7.7 9.7 -6.6 5.4 -2.3 -14.2 -0.0 1.7 -3.6 2.7 -4.3 1.3 -2.3 7.4 2.8 0.1 8.1 17.9 CAD -2.1 0.1 -7.3 2.9 2.4 -0.2 1.7 -3.8 2.6 11.3 -9.8 4.2 -11.1 -7.2 -6.4 -1.8 -1.0 -1.8 -1.5 -6.2 -11.2 3.5 -13.2 -1.8 11.5 -0.0 -4.4 1.1 -6.9 -1.1 -8.2 -3.0 1.3 0.1 -13.0 -20.0 -20.0 CANOLA 9.9 -0.6 1.5 -2.8 0.4 -3.8 2.0 -1.0 -0.2 6.6 -9.2 11.6 -3.6 5.0 6.6 6.3 12.8 8.8 9.1 1.7 -4.7 8.7 -0.6 6.7 6.5 -0.0 0.3 2.1 -0.7 4.5 1.9 2.6 -1.8 0.5 18.4 -7.5 14.7 CHF 5.6 20.0 12.6 2.9 2.4 -0.2 1.7 -3.8 2.6 7.4 9.3 9.6 -2.8 14.7 14.1 -13.1 -11.9 -12.6 -12.6 16.5 8.8 7.9 -1.7 14.0 -9.1 -0.0 4.4 0.3 1.6 1.1 -2.4 3.5 -17.6 -4.8 5.7 10.4 9.0 COCOA 4.5 12.7 14.5 -2.8 0.4 -3.8 2.0 -1.0 -0.2 6.0 5.7 9.3 -6.5 12.1 13.2 -1.0 -2.9 -0.6 -1.2 13.0 6.6 11.3 -1.7 14.2 -7.2 -0.0 5.0 2.2 2.6 5.5 -0.5 5.8 -20.0 17.2 14.6 20.0 19.5 COFFEE 20.0 0.5 -20.0 -2.8 0.4 -3.8 2.0 -1.0 -0.2 -2.0 -12.3 7.4 -8.8 5.1 -11.7 0.3 3.8 2.6 4.4 -12.6 -19.8 3.0 -12.7 0.1 9.7 -0.0 -3.3 1.2 -5.8 3.6 -3.6 1.6 -12.5 7.7 13.8 -2.0 -20.0 COPPER 0.8 13.0 18.3 3.1 0.4 2.1 -0.3 0.8 1.4 4.5 -4.7 2.3 -8.1 7.8 9.8 -1.1 -0.1 -0.5 -0.3 10.8 2.7 3.4 -7.4 8.0 12.5 -0.0 4.1 -1.1 1.7 -0.4 -1.3 2.1 2.0 -0.9 2.2 0.8 1.7 CORN 7.4 -13.6 4.5 -2.8 0.4 -3.8 2.0 -1.0 -0.2 11.9 0.7 12.0 4.5 -3.5 -5.4 20.0 15.9 20.0 17.5 -3.2 0.6 15.3 13.4 4.2 -9.8 -0.0 -3.0 3.7 -1.2 4.7 4.3 0.4 7.8 8.6 3.0 -14.4 -0.7 COTTON2 7.7 5.8 -20.0 -2.8 0.4 -3.8 2.0 -1.0 -0.2 -9.8 -10.4 -0.9 -2.6 3.2 -6.5 1.4 15.1 4.4 10.1 -4.8 -11.8 -1.0 -5.3 1.2 1.5 -0.0 0.3 -0.2 -2.3 1.5 1.8 2.7 2.8 4.3 5.9 18.0 -17.8 CRUDE_W 3.2 -3.6 0.3 -2.0 2.7 -1.8 3.2 3.5 1.0 12.1 -5.9 9.2 2.3 -1.4 5.2 6.8 12.7 7.5 9.9 -0.5 -1.9 10.5 4.6 4.4 -3.8 -0.0 -0.4 6.1 0.2 5.1 5.8 1.8 -11.1 6.6 -5.6 7.2 9.7 DAX -20.0 12.5 20.0 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 -8.2 8.6 -12.4 -3.7 1.2 10.7 -7.4 -2.6 -5.6 -4.1 7.9 8.4 -8.6 -0.6 -3.7 -10.2 -0.0 1.9 -2.8 2.4 -3.8 -0.4 -2.1 -2.2 0.5 -2.5 13.8 20.0 DOW -19.9 8.9 14.8 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 -5.6 7.6 -10.9 -0.6 -3.9 9.3 -5.7 -2.5 -5.2 -4.3 5.6 6.6 -7.9 1.2 -3.9 -7.7 -0.0 1.4 -2.3 1.9 -3.6 0.5 -2.1 -2.4 3.7 1.5 4.5 11.9 EUR 8.0 20.0 20.0 2.9 2.4 -0.2 1.7 -3.8 2.6 12.5 4.2 12.9 -8.3 15.5 15.3 -7.7 -8.3 -7.8 -8.2 20.0 8.5 10.4 -10.2 18.0 1.0 -0.0 5.0 2.2 1.1 2.7 -4.6 4.6 -10.8 -0.2 12.0 9.8 15.1 EUROSTX -20.0 11.2 19.8 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 -9.3 10.2 -12.3 -1.2 2.0 11.2 8.6 3.7 4.5 3.2 8.7 10.3 -8.5 3.5 -2.8 -16.7 -0.0 2.3 -3.0 3.1 -3.9 1.0 -1.9 8.9 -0.2 -1.5 14.8 20.0 FEEDCOW 7.6 11.5 -1.5 -2.8 0.4 -3.8 2.0 -1.0 -0.2 8.2 1.9 10.7 -0.7 13.1 5.2 -20.0 -20.0 -20.0 -20.0 6.7 1.7 6.3 -1.1 8.8 -16.6 -0.0 4.2 3.6 1.1 6.1 -0.4 6.3 -20.0 8.4 14.9 19.1 -0.6 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 11.5 -19.4 -13.6 -2.0 2.7 -1.8 3.2 3.5 1.0 4.4 -4.7 8.0 9.3 -1.6 -5.6 20.0 20.0 20.0 20.0 -4.8 -1.0 9.8 11.3 2.0 -6.2 -0.0 -3.9 -0.7 -1.5 -1.9 4.1 -3.3 14.9 -20.0 -15.4 -13.0 -0.6 GASOILINE 12.3 -10.4 -11.0 -2.0 2.7 -1.8 3.2 3.5 1.0 13.3 -11.0 13.4 2.8 -1.2 -4.1 -20.0 20.0 -2.9 12.0 -4.0 -5.2 18.4 5.4 6.6 -5.2 -0.0 0.1 10.7 0.0 10.0 5.8 4.6 0.0 20.0 7.2 4.9 10.9 GAS_US -14.3 -5.8 -20.0 -2.0 2.7 -1.8 3.2 3.5 1.0 -14.1 -11.9 -15.6 -2.1 -14.4 -14.2 20.0 -4.9 5.1 -2.2 -20.0 -13.3 -20.0 -2.8 -20.0 -8.1 -0.0 -4.2 -6.0 -1.5 -8.7 2.9 -7.0 -20.0 -20.0 -20.0 2.1 -12.6 GBP -5.8 20.0 14.4 2.9 2.4 -0.2 1.7 -3.8 2.6 -7.4 3.9 -12.6 -6.1 7.6 11.4 -2.1 -1.6 -2.0 -1.9 10.7 3.4 -5.0 -9.2 3.0 12.8 -0.0 1.9 -0.9 -2.5 -2.0 -8.0 0.5 0.4 -15.2 -7.3 -5.7 -3.6 GOLD_micro 3.3 20.0 11.5 3.1 0.4 2.1 -0.3 0.8 1.4 12.0 -0.8 11.8 -8.2 14.8 13.3 -10.7 -8.5 -10.5 -9.9 12.7 3.9 8.1 -4.5 12.0 8.8 -0.0 4.1 1.0 1.5 1.0 -0.9 3.2 -13.3 3.0 4.7 9.7 -3.9 HEATOIL 12.6 -16.1 -10.2 -2.0 2.7 -1.8 3.2 3.5 1.0 7.8 -4.7 11.2 8.5 0.6 -2.2 20.0 20.0 20.0 20.0 -2.9 -0.3 12.3 11.1 4.6 -13.9 -0.0 -2.2 1.6 0.6 2.0 8.8 -0.4 20.0 -7.0 -5.4 -5.2 2.9 JPY 5.1 20.0 20.0 2.9 2.4 -0.2 1.7 -3.8 2.6 11.0 -2.0 9.7 -11.3 13.3 11.4 -10.8 -10.4 -11.6 -11.6 13.4 1.0 13.0 -12.7 16.1 10.8 -0.0 4.5 4.4 -0.2 5.2 -5.7 6.0 -15.5 20.0 18.1 20.0 6.5 LEANHOG 1.3 -2.3 2.2 -2.8 0.4 -3.8 2.0 -1.0 -0.2 7.9 3.9 9.8 -0.3 6.7 9.7 -20.0 16.8 -19.2 7.6 3.3 2.2 8.7 3.4 6.1 -9.8 -0.0 0.4 0.4 -0.0 2.9 1.3 1.8 5.9 6.9 0.4 2.9 6.8 LIVECOW 9.3 6.1 9.7 -2.8 0.4 -3.8 2.0 -1.0 -0.2 9.5 11.0 13.8 0.7 13.3 12.4 -20.0 -20.0 -20.0 -20.0 9.9 7.1 11.7 2.5 11.9 -20.0 -0.0 5.2 3.4 4.2 6.7 3.0 6.5 -20.0 12.4 13.2 12.5 14.9 MXP -4.5 -4.6 6.5 2.9 2.4 -0.2 1.7 -3.8 2.6 8.5 13.2 8.7 14.6 4.7 9.8 18.3 20.0 18.6 19.3 9.1 12.4 8.9 13.7 7.4 -20.0 -0.0 4.8 3.9 5.4 6.0 5.0 4.6 20.0 20.0 -1.8 -9.4 19.9 NASDAQ -17.0 -0.3 -3.0 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 -6.2 -11.1 -12.8 -12.8 -9.9 -10.8 -5.0 -3.4 -4.7 -4.3 -11.3 -12.0 -17.1 -14.2 -16.3 8.0 -0.0 -3.6 -2.0 -4.3 -5.7 -4.9 -5.5 -3.3 -5.1 -3.0 -3.9 -11.2 NIKKEI -20.0 -9.8 -0.6 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 -13.1 -0.2 -14.8 0.3 -14.2 -6.3 17.3 9.8 11.5 10.6 -12.1 -3.3 -20.0 -0.0 -20.0 -4.1 -0.0 -4.7 -5.5 -2.4 -6.1 -1.3 -6.7 20.0 -20.0 -16.6 -18.8 -5.6 NZD -3.8 20.0 15.1 2.9 2.4 -0.2 1.7 -3.8 2.6 7.3 4.6 -3.2 -6.4 9.7 11.4 0.2 0.4 -0.3 -0.2 15.0 6.3 1.7 -6.2 9.0 -0.4 -0.0 3.9 0.9 1.0 0.7 -2.6 2.7 3.6 -10.3 -0.7 8.1 4.1 OAT -20.0 4.9 -2.5 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.1 -9.4 -15.3 -12.2 -12.4 -8.3 12.6 12.6 13.2 13.5 -15.9 -15.2 -20.0 -20.0 -20.0 10.4 -0.0 -3.6 -4.7 -4.6 -7.7 -7.9 -6.5 20.0 -1.1 -18.9 -10.5 -2.3 OJ -2.7 1.1 19.1 -2.8 0.4 -3.8 2.0 -1.0 -0.2 -5.7 13.6 3.5 14.3 5.1 12.5 14.6 12.5 15.4 15.4 14.8 20.0 2.4 20.0 6.5 -20.0 -0.0 5.2 1.2 9.4 1.6 11.6 2.4 4.3 -2.1 12.6 3.7 20.0 PALLAD -4.3 -10.4 -10.7 3.1 0.4 2.1 -0.3 0.8 1.4 8.7 -12.0 -2.4 -8.7 -9.0 -12.1 -1.3 -1.3 -1.5 -1.5 -13.4 -11.7 -1.0 -8.8 -9.6 7.2 -0.0 -5.0 -1.2 -3.4 -3.7 -2.1 -5.4 0.0 -4.9 -19.3 -20.0 -20.0 PLAT -5.7 4.3 17.7 3.1 0.4 2.1 -0.3 0.8 1.4 13.1 10.4 8.8 -0.5 10.3 12.5 -1.4 -0.5 -0.7 -0.4 10.1 8.6 13.6 2.7 9.2 -3.6 -0.0 5.3 8.6 3.9 6.6 0.7 5.0 1.6 20.0 7.4 2.5 16.3 REDWHEAT 5.4 -15.1 -8.1 -2.8 0.4 -3.8 2.0 -1.0 -0.2 11.6 -12.7 9.9 -6.2 -6.0 -9.1 5.7 0.8 4.5 2.9 -10.9 -11.1 7.4 -3.4 -3.1 -4.5 -0.0 -3.5 4.5 -2.1 3.4 2.2 -0.8 -17.0 10.5 -3.2 -13.3 3.8 ROBUSTA 10.7 2.7 -20.0 -2.8 0.4 -3.8 2.0 -1.0 -0.2 -12.9 -10.9 -8.1 -5.6 5.3 -10.4 15.1 8.4 12.0 9.9 -11.0 -15.9 -12.3 -7.7 -5.3 -1.7 -0.0 -3.0 -6.7 -4.1 -5.2 -2.0 -2.1 -4.7 -20.0 0.6 4.5 -20.0 RUSSELL -15.8 -2.9 3.1 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 0.3 -5.6 -10.6 -10.9 -10.9 -3.7 -4.7 -2.6 -4.3 -3.7 -6.8 -5.2 -9.0 -7.8 -11.1 -4.1 -0.0 -2.9 0.3 -1.9 -3.5 -2.4 -4.8 -2.0 6.5 -0.2 -9.9 -2.1 SILVER-mini 5.7 20.0 20.0 3.1 0.4 2.1 -0.3 0.8 1.4 5.6 7.5 9.8 -3.7 13.4 14.2 -3.9 -3.4 -4.1 -3.9 18.7 11.1 8.1 0.1 15.7 6.8 -0.0 5.5 0.5 3.0 1.6 -0.7 4.2 -3.9 6.0 16.0 15.9 20.0 SOYBEAN 4.0 5.2 4.5 -2.8 0.4 -3.8 2.0 -1.0 -0.2 14.0 1.1 13.9 4.8 12.8 13.4 20.0 20.0 20.0 20.0 7.4 5.3 14.0 7.7 9.8 -20.0 -0.0 5.1 10.4 5.7 10.5 10.0 7.0 20.0 10.8 12.2 9.1 15.7 SOYMEAL 4.3 19.2 6.1 -2.8 0.4 -3.8 2.0 -1.0 -0.2 11.9 8.2 9.2 10.1 10.7 10.4 12.1 14.0 11.9 13.5 19.3 13.6 15.0 9.4 18.7 -20.0 -0.0 5.6 3.8 4.3 4.2 3.7 5.4 3.9 5.0 20.0 20.0 20.0 SOYOIL -2.1 -19.1 1.7 -2.8 0.4 -3.8 2.0 -1.0 -0.2 2.8 -0.0 8.0 5.1 -4.0 -3.8 9.4 20.0 15.5 18.5 -3.9 0.7 5.5 7.1 -2.0 -16.8 -0.0 -1.5 -1.4 1.3 -1.1 4.3 -2.3 13.9 -3.3 -19.9 -15.5 15.0 SP400 -16.0 3.2 6.9 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 1.1 0.9 -9.4 -5.6 -7.9 3.5 -4.1 -1.9 -2.7 -2.1 -0.8 0.5 -6.9 -2.5 -6.7 -7.8 -0.0 -0.6 -1.0 0.4 -3.7 0.0 -3.6 0.0 5.7 0.4 -1.0 4.2 SP500 -16.0 4.1 2.4 -1.1 -3.7 -1.0 -4.4 -2.0 -3.4 -4.6 -4.5 -12.3 -8.6 -7.1 -1.0 -5.3 -3.5 -5.0 -4.4 -4.0 -4.3 -10.8 -7.0 -9.7 2.6 -0.0 -1.4 -1.6 -2.0 -4.4 -3.5 -3.9 -3.3 1.4 -0.3 -0.3 -2.7 SUGAR11 4.6 13.0 17.1 -2.8 0.4 -3.8 2.0 -1.0 -0.2 -11.9 9.1 1.8 4.7 9.2 11.9 20.0 20.0 20.0 20.0 16.8 13.0 1.0 7.2 12.3 -20.0 -0.0 6.1 1.0 4.5 4.3 2.7 6.0 20.0 14.9 20.0 20.0 20.0 US10 -8.6 18.1 -7.7 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.3 -7.8 -13.7 -12.4 3.0 -1.0 -9.1 -0.5 -7.1 -4.8 -2.8 -12.3 -19.1 -20.0 -8.4 -7.4 -0.0 0.1 -4.2 -3.7 -4.7 -8.5 -1.4 -5.7 4.5 12.1 13.0 3.8 US10U -10.8 19.0 -7.0 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.1 -7.6 -14.1 -12.3 1.7 -1.0 1.3 4.8 0.9 1.9 -3.1 -11.9 -20.0 -20.0 -9.4 -9.2 -0.0 0.1 -3.7 -3.2 -4.7 -7.3 -1.5 4.6 2.7 11.5 13.1 4.3 US20 -9.7 20.0 -4.6 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.3 -6.0 -13.6 -11.6 4.0 1.4 -3.8 1.7 -1.3 0.1 -1.3 -11.0 -20.0 -20.0 -8.5 -9.1 -0.0 0.7 -4.0 -2.6 -4.3 -5.9 -0.8 0.4 -1.2 14.9 19.8 4.4 US30 -11.5 20.0 2.3 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.4 -6.0 -14.0 -12.8 1.4 1.2 0.3 0.4 -0.6 -0.5 -2.0 -11.3 -20.0 -20.0 -9.6 -8.5 -0.0 0.7 -4.0 -2.3 -4.7 -5.9 -1.1 -1.4 -3.1 14.4 16.9 8.8 US5 -4.8 17.4 -7.9 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.6 -7.7 -13.3 -12.7 4.7 -1.0 -5.4 1.0 -5.3 -3.7 -1.9 -13.1 -17.0 -20.0 -6.1 -5.2 -0.0 0.3 -4.5 -4.1 -4.4 -10.0 -0.8 -3.7 5.8 15.2 13.7 2.8 VIX 4.6 -14.4 -8.5 -4.2 0.5 -3.7 -0.2 -2.5 -2.4 -4.0 -13.5 -3.2 -11.4 -11.6 -13.9 -20.0 -20.0 -20.0 -19.0 -15.0 -13.4 -5.1 -9.9 -10.7 NaN -0.0 -5.3 0.8 -4.6 -0.1 -3.1 -3.1 NaN NaN NaN NaN NaN WHEAT 7.6 -19.0 -12.4 -2.8 0.4 -3.8 2.0 -1.0 -0.2 12.1 -13.9 10.3 -9.5 -7.6 -9.6 -7.4 -4.7 -6.1 -5.3 -14.8 -16.5 9.8 -8.4 -3.8 -1.9 -0.0 -3.5 6.0 -3.0 5.2 0.6 0.2 -20.0 17.0 0.3 -17.1 -1.3 End of report for caleb_strategy_v1