******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230102_204250 produced at 2023-01-02 21:35:20.904177 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 9007004.08 -9007004.08 -0.21 -0.21 -27.48 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.14 0.0 38334173.56 -38334173.56 -0.19 -0.19 -3.73 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.13 0.0 39866430.18 -39866430.18 0.00 0.00 -3.17 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 33687438.84 -33687438.84 -0.13 -0.13 -3.41 999999999 -4 -4 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.12 0.0 42026023.73 -42026023.73 -0.08 -0.08 -2.93 999999999 -2 -2 caleb_strategy_v1 LIVECOW False False 0.02 -0.14 -0.12 0.0 22995396.62 -22995396.62 -0.14 -0.14 -5.03 999999999 -6 -6 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.07 0.0 48419308.93 -48419308.93 -0.10 -0.10 -1.53 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.07 0.0 44324408.65 -44324408.65 -0.09 -0.09 -1.64 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 0.00 -0.05 0.0 47722021.14 -47722021.14 0.00 0.00 -0.99 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 78463974.22 -78463974.22 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.03 0.0 87028622.48 -87028622.48 0.00 0.00 -0.30 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.03 0.0 52807959.20 -52807959.20 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.03 -0.03 0.0 3158846.93 -3158846.93 -0.03 -0.03 -10.71 999999999 -8 -8 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.02 0.0 68716157.38 -68716157.38 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5365921.01 -5365921.01 0.00 0.00 -4.21 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.01 0.0 13544260.18 -13544260.18 0.00 0.00 -0.91 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14571982.44 -14571982.44 -0.01 -0.01 -0.53 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9237952.91 -9237952.91 0.00 0.00 -1.20 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 39788786.96 -39788786.96 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 34229280.31 -34229280.31 -0.07 -0.07 -0.16 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.01 0.0 6502097.62 -6502097.62 -0.01 -0.01 -1.05 999999999 -1 -1 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.01 0.0 5917797.10 -5917797.10 -0.01 -0.01 -1.78 999999999 -1 -1 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.01 0.0 26264210.72 -26264210.72 -0.03 -0.03 -0.33 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13630954.82 -13630954.82 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6391952.80 -6391952.80 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47761993.05 -47761993.05 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.00 0.0 27553971.07 -27553971.07 0.00 0.00 0.06 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.05 0.00 0.0 24262062.08 -24262062.08 -0.05 -0.02 0.05 999999999 -2 -1 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 14500033.00 -14500033.00 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15673430.67 -15673430.67 -0.02 -0.02 -0.27 999999999 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 587498.27 -587498.27 0.00 0.00 6.94 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22291002.71 -22291002.71 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 63564222.11 -63564222.11 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.00 0.0 25043498.21 -25043498.21 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10883019.13 -10883019.13 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14810925.65 -14810925.65 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10850153.34 -10850153.34 0.02 0.02 1.06 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 19293109.34 -19293109.34 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14668877.55 -14668877.55 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21540419.03 -21540419.03 0.02 0.02 0.68 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4546041.83 -4546041.83 0.00 0.00 1.46 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26834476.66 -26834476.66 0.03 0.03 0.53 999999999 1 1 caleb_strategy_v1 NZD False False 0.02 0.05 0.01 0.0 22540605.09 -22540605.09 0.05 0.05 0.44 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7974769.44 -7974769.44 0.02 0.02 2.37 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 8992791.85 -8992791.85 0.03 0.03 2.03 999999999 3 3 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 33931711.63 -33931711.63 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41840503.08 -41840503.08 0.04 0.04 0.61 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.03 0.0 48893725.03 -48893725.03 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.04 0.0 32190712.82 -32190712.82 0.03 0.03 1.12 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.07 0.04 0.0 16379601.11 -16379601.11 0.07 0.07 2.23 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.05 0.05 0.05 0.0 45957891.91 -45957891.91 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 13.27 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.05 0.12 0.0 25168980.34 -25168980.34 0.05 0.05 4.86 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.13 0.0 51063654.85 -51063654.85 0.10 0.10 2.50 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.18 0.0 44211844.94 -44211844.94 0.18 0.18 3.99 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 30.5 Sum abs risk 34.7 Leverage 2.21 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2814476.35, 'annual_cash_vol_target': 703619.0875, 'daily_cash_vol_target': 43976.19296875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0058 0.6828 0.8523 13.6375 BITCOIN 714.6042 16535.0000 4.3218 69.1483 BOBL 0.3797 116.3400 0.3264 5.2225 BTP 0.9466 110.1000 0.8598 13.7569 BUND 0.7957 134.3700 0.5922 9.4749 BUXL 2.0512 138.9600 1.4761 23.6178 CAC 67.5770 6590.0000 1.0254 16.4072 CAD 0.0037 0.7392 0.5055 8.0883 CANOLA 9.1606 865.8000 1.0580 16.9288 CHF 0.0061 1.0902 0.5604 8.9663 COCOA 33.5894 2600.0000 1.2919 20.6704 COFFEE 0.0366 1.6730 2.1853 34.9655 COPPER 0.0508 3.8200 1.3298 21.2765 CORN 4.0230 610.7500 0.6587 10.5391 COTTON2 0.0179 0.8337 2.1456 34.3298 CRUDE_W 1.2569 77.5500 1.6207 25.9318 DAX 141.4930 14120.0000 1.0021 16.0332 DOW 328.5136 33311.0000 0.9862 15.7792 EUR 0.0058 1.0754 0.5381 8.6099 EUROSTX 45.5443 3860.0000 1.1799 18.8785 FEEDCOW 1.1274 189.6250 0.5946 9.5129 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.5586 906.0000 2.3795 38.0725 GASOILINE 0.0536 2.6663 2.0102 32.1632 GAS_US 0.2566 4.0810 6.2882 100.6120 GBP 0.0092 1.2084 0.7583 12.1329 GOLD_micro 15.9674 1830.0000 0.8725 13.9606 HEATOIL 0.0690 3.0797 2.2391 35.8253 JPY 0.0001 0.0077 1.0087 16.1388 LEANHOG 1.4598 95.3000 1.5318 24.5083 LIVECOW 0.9072 161.8000 0.5607 8.9709 MXP 0.0004 0.0506 0.7174 11.4783 NASDAQ 173.2889 11041.7500 1.5694 25.1103 NIKKEI 270.7194 25765.0000 1.0507 16.8116 NZD 0.0053 0.6344 0.8295 13.2717 OAT 0.8354 128.6600 0.6493 10.3888 OJ 0.0303 2.0420 1.4828 23.7240 PALLAD 45.3958 1789.0000 2.5375 40.6000 PLAT 21.5288 1086.0000 1.9824 31.7183 REDWHEAT 13.6849 882.2500 1.5511 24.8181 ROBUSTA 21.3500 1799.0000 1.1868 18.9884 RUSSELL 25.3285 1778.1000 1.4245 22.7915 SILVER-mini 0.4655 24.2500 1.9195 30.7123 SOYBEAN 10.7076 1416.7500 0.7558 12.0926 SOYMEAL 6.5632 461.0000 1.4237 22.7789 SOYOIL 1.0741 63.9400 1.6798 26.8768 SP400 31.1195 2449.4000 1.2705 20.3279 SP500 46.3293 3868.0000 1.1978 19.1641 SUGAR11 0.0024 0.2004 1.2001 19.2018 US10 0.4737 112.2031 0.4222 6.7545 US10U 0.6682 118.2812 0.5649 9.0381 US20 0.9886 124.7500 0.7925 12.6800 US30 1.5833 134.3125 1.1788 18.8609 US5 0.3060 107.8906 0.2836 4.5383 VIX 0.5412 25.3500 2.1350 34.1592 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 682.85 0.85 582.02 1.00 582.02 43976.19 75.56 0.39 2.95 BITCOIN 16.54 4.32 71.46 1.00 71.46 43976.19 615.39 4.79 294.65 BOBL 1163.40 0.33 379.74 1.07 406.16 43976.19 108.27 5.11 55.33 BTP 1101.00 0.86 946.65 1.07 1012.50 43976.19 43.43 7.00 30.42 BUND 1343.70 0.59 795.71 1.07 851.07 43976.19 51.67 6.69 34.59 BUXL 1389.60 1.48 2051.21 1.07 2193.90 43976.19 20.04 -3.09 -6.20 CAC 659.00 1.03 675.77 1.07 722.78 43976.19 60.84 1.14 6.95 CAD 739.20 0.51 373.68 1.00 373.68 43976.19 117.68 -1.59 -18.67 CANOLA 173.16 1.06 183.21 0.74 135.28 43976.19 325.08 4.91 159.47 CHF 1362.75 0.56 763.67 1.00 763.67 43976.19 57.59 -7.11 -40.95 COCOA 260.00 1.29 335.89 1.00 335.89 43976.19 130.92 -4.22 -55.22 COFFEE 627.38 2.19 1371.03 1.00 1371.03 43976.19 32.08 -3.03 -9.73 COPPER 955.00 1.33 1269.94 1.00 1269.94 43976.19 34.63 5.43 18.81 CORN 305.38 0.66 201.15 1.00 201.15 43976.19 218.63 5.39 117.92 COTTON2 416.85 2.15 894.40 1.00 894.40 43976.19 49.17 0.99 4.85 CRUDE_W 775.50 1.62 1256.88 1.00 1256.88 43976.19 34.99 0.12 0.43 DAX 141.20 1.00 141.49 1.07 151.34 43976.19 290.59 -2.67 -77.53 DOW 166.56 0.99 164.26 1.00 164.26 43976.19 267.73 -2.33 -62.38 EUR 1344.25 0.54 723.37 1.00 723.37 43976.19 60.79 -0.29 -1.78 EUROSTX 386.00 1.18 455.44 1.07 487.13 43976.19 90.28 2.76 24.88 FEEDCOW 948.12 0.59 563.71 1.00 563.71 43976.19 78.01 -16.29 -127.07 FTSE100 707.00 0.82 576.59 1.21 666.67 43976.19 65.96 -2.56 -16.91 GASOIL 906.00 2.38 2155.86 1.00 2155.86 43976.19 20.40 7.73 15.76 GASOILINE 1119.85 2.01 2251.11 1.00 2251.11 43976.19 19.54 -2.21 -4.31 GAS_US 408.10 6.29 2566.23 1.00 2566.23 43976.19 17.14 -10.38 -17.78 GBP 755.25 0.76 572.71 1.00 572.71 43976.19 76.79 3.89 29.87 GOLD_micro 183.00 0.87 159.67 1.00 159.67 43976.19 275.41 -1.71 -47.05 HEATOIL 1293.47 2.24 2896.19 1.00 2896.19 43976.19 15.18 10.41 15.81 JPY 963.38 1.01 971.73 1.00 971.73 43976.19 45.26 -0.55 -2.50 LEANHOG 381.20 1.53 583.91 1.00 583.91 43976.19 75.31 -2.58 -19.39 LIVECOW 647.20 0.56 362.87 1.00 362.87 43976.19 121.19 -15.45 -187.22 MXP 253.10 0.72 181.57 1.00 181.57 43976.19 242.20 6.83 165.48 NASDAQ 2208.35 1.57 3465.78 1.00 3465.78 43976.19 12.69 -5.91 -7.50 NIKKEI 25765.00 1.05 27071.94 0.01 203.59 43976.19 216.00 3.24 69.88 NZD 634.40 0.83 526.22 1.00 526.22 43976.19 83.57 3.31 27.70 OAT 1286.60 0.65 835.39 1.07 893.50 43976.19 49.22 7.00 34.47 OJ 306.30 1.48 454.17 1.00 454.17 43976.19 96.83 -1.61 -15.63 PALLAD 1789.00 2.54 4539.58 1.00 4539.58 43976.19 9.69 -2.97 -2.88 PLAT 543.00 1.98 1076.44 1.00 1076.44 43976.19 40.85 2.99 12.21 REDWHEAT 441.12 1.55 684.24 1.00 684.24 43976.19 64.27 -7.89 -50.72 ROBUSTA 179.90 1.19 213.50 1.00 213.50 43976.19 205.98 -1.26 -26.03 RUSSELL 88.90 1.42 126.64 1.00 126.64 43976.19 347.25 -5.96 -206.86 SILVER-mini 606.25 1.92 1163.71 1.00 1163.71 43976.19 37.79 7.99 30.21 SOYBEAN 708.38 0.76 535.38 1.00 535.38 43976.19 82.14 10.04 82.47 SOYMEAL 461.00 1.42 656.32 1.00 656.32 43976.19 67.00 5.64 37.82 SOYOIL 383.64 1.68 644.44 1.00 644.44 43976.19 68.24 2.40 16.37 SP400 2449.40 1.27 3111.95 1.00 3111.95 43976.19 14.13 -4.10 -5.80 SP500 1934.00 1.20 2316.47 1.00 2316.47 43976.19 18.98 -4.20 -7.97 SUGAR11 224.45 1.20 269.36 1.00 269.36 43976.19 163.26 10.69 174.46 US10 1122.03 0.42 473.67 1.00 473.67 43976.19 92.84 -8.89 -82.52 US10U 1182.81 0.56 668.15 1.00 668.15 43976.19 65.82 -3.06 -20.12 US20 1247.50 0.79 988.65 1.00 988.65 43976.19 44.48 -5.00 -22.26 US30 1343.12 1.18 1583.29 1.00 1583.29 43976.19 27.78 -4.24 -11.77 US5 1078.91 0.28 306.02 1.00 306.02 43976.19 143.70 -6.76 -97.16 VIX 253.50 2.13 541.21 1.00 541.21 43976.19 81.26 -17.95 -145.82 WHEAT 410.12 1.37 562.43 1.00 562.43 43976.19 78.19 -12.60 -98.54 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 2.950 0.006 2.5 0.047 BITCOIN 294.651 0.009 2.5 6.942 BOBL 55.334 0.029 2.5 3.993 BTP 30.418 0.008 2.5 0.614 BUND 34.588 0.029 2.5 2.496 BUXL -6.197 0.034 2.5 -0.520 CAC 6.955 0.011 2.5 0.196 CAD -18.667 0.007 2.5 -0.333 CANOLA 159.473 0.004 2.5 1.464 CHF -40.953 0.015 2.5 -1.533 COCOA -55.218 0.009 2.5 -1.203 COFFEE -9.726 0.005 2.5 -0.126 COPPER 18.815 0.011 2.5 0.514 CORN 117.924 0.004 2.5 1.064 COTTON2 4.847 0.006 2.5 0.073 CRUDE_W 0.429 0.053 2.5 0.057 DAX -77.529 0.022 2.5 -4.210 DOW -62.378 0.011 2.5 -1.778 EUR -1.782 0.015 2.5 -0.067 EUROSTX 24.880 0.011 2.5 0.699 FEEDCOW -127.066 0.011 2.5 -3.414 FTSE100 -16.907 0.041 2.5 -1.743 GASOIL 15.760 0.029 2.5 1.124 GASOILINE -4.314 0.016 2.5 -0.177 GAS_US -17.780 0.006 2.5 -0.268 GBP 29.872 0.007 2.5 0.533 GOLD_micro -47.051 0.009 2.5 -1.053 HEATOIL 15.809 0.029 2.5 1.128 JPY -2.504 0.026 2.5 -0.162 LEANHOG -19.395 0.019 2.5 -0.906 LIVECOW -187.220 0.011 2.5 -5.031 MXP 165.479 0.005 2.5 2.026 NASDAQ -7.503 0.022 2.5 -0.407 NIKKEI 69.880 0.076 2.5 13.273 NZD 27.699 0.006 2.5 0.443 OAT 34.467 0.008 2.5 0.696 OJ -15.626 0.007 2.5 -0.273 PALLAD -2.879 0.010 2.5 -0.069 PLAT 12.214 0.010 2.5 0.294 REDWHEAT -50.717 0.002 2.5 -0.271 ROBUSTA -26.032 0.005 2.5 -0.338 RUSSELL -206.864 0.021 2.5 -10.715 SILVER-mini 30.212 0.009 2.5 0.676 SOYBEAN 82.467 0.024 2.5 4.862 SOYMEAL 37.817 0.024 2.5 2.230 SOYOIL 16.373 0.004 2.5 0.150 SP400 -5.798 0.021 2.5 -0.300 SP500 -7.971 0.011 2.5 -0.227 SUGAR11 174.462 0.005 2.5 2.367 US10 -82.520 0.015 2.5 -3.166 US10U -20.119 0.058 2.5 -2.931 US20 -22.258 0.029 2.5 -1.641 US30 -11.773 0.034 2.5 -0.988 US5 -97.163 0.015 2.5 -3.728 VIX -145.819 0.075 2.5 -27.480 WHEAT -98.537 0.002 2.5 -0.526 ==================== Position diags ==================== AUD 1.21 BITCOIN 14.50 BOBL 7.81 BTP 0.88 BUND 3.73 BUXL 1.68 CAC 1.71 CAD 2.10 CANOLA 2.98 CHF 2.16 COCOA 2.85 COFFEE 0.42 COPPER 0.95 CORN 1.97 COTTON2 0.74 CRUDE_W 4.62 DAX 15.78 DOW 7.63 EUR 2.28 EUROSTX 2.54 FEEDCOW 2.10 FTSE100 6.80 GASOIL 1.46 GASOILINE 0.80 GAS_US 0.26 GBP 1.37 GOLD_micro 6.16 HEATOIL 1.08 JPY 2.93 LEANHOG 3.52 LIVECOW 3.26 MXP 2.97 NASDAQ 0.69 NIKKEI 41.03 NZD 1.34 OAT 0.99 OJ 1.69 PALLAD 0.23 PLAT 0.98 REDWHEAT 0.34 ROBUSTA 2.67 RUSSELL 17.99 SILVER-mini 0.85 SOYBEAN 4.84 SOYMEAL 3.95 SOYOIL 0.63 SP400 0.73 SP500 0.54 SUGAR11 2.22 US10 3.56 US10U 9.59 US20 3.28 US30 2.33 US5 5.51 VIX 15.31 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 4.0 3.2 4.8 4.0 4 BTP 0.6 0.5 0.7 1.0 1 BUND 2.5 2.1 2.9 2.0 2 BUXL -0.5 -0.7 -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 1.5 1.2 1.8 NaN 0 CHF -1.5 -1.7 -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 1.1 0.9 1.3 2.0 2 COTTON2 0.1 -0.0 0.1 NaN 0 CRUDE_W 0.1 -0.4 0.5 0.0 0 DAX -4.2 -5.8 -2.6 0.0 0 DOW -1.8 -2.5 -1.0 -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 -0.3 0.0 0 NIKKEI 13.3 9.2 17.4 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 -0.4 -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 -0.3 -0.6 -0.1 0.0 0 RUSSELL -10.7 -12.5 -8.9 -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 0.2 0.1 0.2 0.0 0 SP400 -0.3 -0.4 -0.2 0.0 0 SP500 -0.2 -0.3 -0.2 0.0 0 SUGAR11 2.4 2.1 2.6 2.0 2 US10 -3.2 -3.5 -2.8 NaN 0 US10U -2.9 -3.9 -2.0 -2.0 -2 US20 -1.6 -2.0 -1.3 -2.0 -2 US30 -1.0 -1.2 -0.8 0.0 0 US5 -3.7 -4.3 -3.2 -5.0 -5 VIX -27.5 -29.0 -25.9 -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 -0.0 -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 0.1 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 0.3 -0.1 -0.1 -0.0 -0.2 -0.0 0.2 -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 0.1 -0.1 -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 -0.0 -0.0 0.0 -0.1 -0.1 -0.2 -0.1 -0.0 -0.2 -0.0 -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 -0.0 -0.1 -0.4 -0.1 0.0 CAC -0.2 0.1 0.3 -0.0 0.0 -0.0 -0.0 -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 0.3 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 -2.3 -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 -0.0 -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 -1.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.1 0.2 0.3 DOW -0.2 0.2 0.3 -0.0 -0.0 -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 0.1 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 0.3 0.1 0.2 EUROSTX -0.2 0.1 0.3 -0.0 0.0 -0.0 -0.0 -0.1 -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 -0.1 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 0.2 -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 -0.7 -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 0.1 -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 -0.9 -0.4 -0.2 -0.2 0.2 0.0 0.0 -0.1 0.0 1.1 -0.0 0.1 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 -0.0 -0.0 -0.3 -0.0 -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 -0.0 -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 -0.4 -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 -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 -0.1 -0.0 SILVER-mini 0.1 0.3 0.4 0.1 0.0 0.1 -0.0 0.0 0.0 0.0 0.2 0.0 -0.1 0.1 0.4 -0.2 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.0 0.0 1.5 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.2 0.3 SOYBEAN 0.0 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.0 0.0 0.1 0.0 0.3 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 0.0 0.3 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.2 0.0 0.3 0.0 0.2 1.0 0.6 0.3 0.3 0.2 0.2 0.0 0.1 0.0 -2.8 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.6 0.0 0.4 0.3 0.3 SOYOIL -0.0 -0.3 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 0.8 0.8 0.3 0.4 -0.0 0.0 0.0 0.1 -0.0 -2.4 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.9 -0.0 -0.4 -0.2 0.2 SP400 -0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.3 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -0.0 0.1 SP500 -0.2 0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.4 -0.1 -0.1 -0.1 -0.0 -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 0.0 -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 -0.5 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 0.0 -0.8 -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 15.0 3.3 2.9 2.3 -0.2 1.6 -3.8 2.6 13.6 -3.1 1.6 -8.0 9.8 7.2 -2.8 -2.1 -2.8 -2.5 5.2 -1.8 6.5 -8.5 5.8 5.9 -0.0 1.7 4.2 -2.0 2.5 -5.4 2.3 -0.4 2.6 -3.8 -5.9 -8.6 BITCOIN 2.4 -7.5 2.8 3.1 0.5 2.1 -0.2 0.8 1.5 -3.5 -15.1 -11.7 -16.0 -8.4 -9.8 2.0 -0.5 1.3 0.6 -8.2 -17.8 -2.4 -20.0 -3.9 20.0 -0.0 -4.7 0.2 -7.1 -0.6 -7.3 -2.2 2.4 -2.9 0.7 -20.0 -20.0 BOBL -20.0 0.7 -9.9 -2.6 0.1 -4.3 -3.9 -7.1 -3.8 -4.2 -13.9 -13.9 -13.8 -13.3 -13.9 -2.7 14.4 8.9 14.1 -20.0 -20.0 -20.0 -20.0 -20.0 14.2 -0.0 -5.1 -0.7 -6.2 -5.5 -9.0 -6.5 20.0 1.5 -16.1 -19.7 -8.8 BTP -20.0 7.5 7.6 -2.6 0.1 -4.3 -3.9 -7.1 -3.8 -3.6 -4.9 -14.0 -11.2 -11.6 -1.6 10.4 14.5 14.6 16.1 -8.7 -8.5 -20.0 -17.6 -19.6 1.8 -0.0 -2.2 -0.8 -3.1 -4.9 -7.3 -5.0 20.0 8.5 -11.6 -5.0 11.7 BUND -20.0 3.6 -7.2 -2.6 0.1 -4.3 -3.9 -7.1 -3.8 -4.7 -12.0 -13.8 -13.1 -12.5 -11.3 13.8 16.0 14.0 15.0 -19.0 -19.8 -20.0 -20.0 -20.0 10.8 -0.0 -4.4 -0.7 -5.5 -5.6 -8.2 -6.2 20.0 -0.5 -16.7 -13.9 -6.7 BUXL -20.0 11.2 -1.7 -2.6 0.1 -4.3 -3.9 -7.1 -3.8 -7.2 -7.9 -14.2 -11.7 -11.2 -4.9 4.1 -1.0 4.9 2.9 -14.7 -14.2 -20.0 -20.0 -20.0 6.5 -0.0 -2.9 -2.2 -3.4 -6.4 -5.7 -5.7 -0.3 -10.7 -20.0 -5.4 0.7 CAC -20.0 7.1 14.5 -0.8 3.4 -1.0 -1.2 -2.1 -2.3 8.0 10.7 -6.4 0.3 -0.4 11.3 -2.0 3.3 -0.3 1.2 7.4 9.2 -1.9 5.2 -0.7 -14.0 -0.0 1.7 0.6 2.7 -2.5 1.3 -1.8 7.3 -3.4 -1.9 6.2 17.7 CAD -2.2 0.1 -7.3 2.9 2.3 -0.2 1.6 -3.8 2.6 11.1 -9.8 4.1 -11.1 -7.2 -6.4 -1.9 -1.0 -1.8 -1.5 -6.2 -11.2 3.4 -13.2 -1.9 11.5 -0.0 -4.4 1.0 -6.9 -1.2 -8.2 -3.0 1.3 0.1 -13.0 -20.0 -20.0 CANOLA 10.1 -0.7 1.6 -2.8 0.6 -3.8 2.1 -1.0 -0.1 7.8 -9.2 12.3 -3.6 5.2 6.6 4.7 12.6 8.2 8.8 1.8 -4.7 9.4 -0.6 7.1 6.5 -0.0 0.4 2.7 -0.7 4.9 1.9 2.8 -2.0 1.3 18.7 -7.4 14.8 CHF 5.8 20.0 12.6 2.9 2.3 -0.2 1.6 -3.8 2.6 8.2 9.3 9.9 -2.8 14.8 14.1 -13.1 -11.9 -12.6 -12.6 16.6 8.8 8.2 -1.7 14.1 -9.1 -0.0 4.4 0.5 1.6 1.2 -2.4 3.5 -17.6 -4.2 6.0 10.5 9.1 COCOA 4.6 12.8 14.5 -2.8 0.6 -3.8 2.1 -1.0 -0.1 7.1 5.8 9.9 -6.5 12.4 13.2 -1.0 -2.9 -0.6 -1.2 13.1 6.6 12.0 -1.7 14.4 -7.2 -0.0 5.0 2.9 2.6 5.8 -0.5 5.9 -20.0 18.2 15.0 20.0 19.6 COFFEE 20.0 0.4 -20.0 -2.8 0.6 -3.8 2.1 -1.0 -0.1 -1.6 -12.3 7.6 -8.8 5.1 -11.6 0.3 3.8 2.6 4.4 -12.6 -19.8 3.2 -12.8 0.2 9.7 -0.0 -3.3 1.3 -5.8 3.6 -3.6 1.6 -12.3 7.8 13.8 -2.0 -20.0 COPPER 0.9 13.0 18.3 3.1 0.5 2.1 -0.2 0.8 1.5 5.4 -4.7 2.7 -8.1 7.9 9.8 -1.0 -0.1 -0.5 -0.3 10.9 2.7 3.6 -7.4 8.1 12.5 -0.0 4.1 -0.9 1.7 -0.3 -1.3 2.2 2.0 -0.8 2.2 0.8 1.7 CORN 7.4 -13.6 4.6 -2.8 0.6 -3.8 2.1 -1.0 -0.1 12.1 0.7 12.2 4.5 -3.4 -5.4 20.0 15.9 20.0 17.5 -3.2 0.6 15.6 13.5 4.3 -9.8 -0.0 -3.0 3.9 -1.2 4.8 4.3 0.4 8.1 8.7 3.0 -14.4 -0.7 COTTON2 7.7 5.7 -20.0 -2.8 0.6 -3.8 2.1 -1.0 -0.1 -9.9 -10.4 -0.9 -2.6 3.1 -6.6 1.4 15.1 4.4 10.1 -4.8 -11.8 -1.0 -5.3 1.1 1.5 -0.0 0.2 -0.3 -2.3 1.5 1.8 2.7 3.0 4.0 5.8 17.9 -17.8 CRUDE_W 3.3 -3.5 0.3 -2.1 1.8 -1.8 2.8 3.5 0.8 12.1 -5.8 9.2 2.3 -1.3 5.2 6.8 12.7 7.5 9.8 -0.5 -1.8 10.9 4.6 4.5 -3.9 -0.0 -0.3 6.7 0.2 5.4 5.8 1.9 -11.2 9.0 -4.7 7.5 9.8 DAX -20.0 11.2 19.4 -0.8 3.4 -1.0 -1.2 -2.1 -2.3 4.8 8.7 -9.9 -3.6 0.7 10.8 -7.7 -2.7 -5.8 -4.3 8.1 8.6 -4.3 -0.5 -2.2 -9.9 -0.0 1.9 -0.0 2.5 -2.3 -0.4 -1.7 -2.4 -7.1 -5.3 12.0 20.0 DOW -19.2 9.2 14.9 -1.0 -2.0 -1.0 -3.6 -2.0 -3.1 0.6 7.7 -9.1 -0.6 -3.1 9.4 -5.7 -2.5 -5.2 -4.3 6.0 6.8 -5.8 1.2 -3.0 -7.7 -0.0 1.6 -0.7 1.9 -2.8 0.5 -1.7 -2.4 4.0 1.6 4.5 12.0 EUR 8.1 20.0 20.0 2.9 2.3 -0.2 1.6 -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 10.8 -10.2 18.1 1.0 -0.0 5.0 2.4 1.1 2.8 -4.6 4.6 -10.8 0.5 12.2 9.9 15.1 EUROSTX -20.0 8.7 17.6 -0.8 3.4 -1.0 -1.2 -2.1 -2.3 3.2 10.3 -9.4 -1.1 1.5 11.2 8.4 3.7 4.8 3.4 8.1 9.7 -4.4 3.4 -1.7 -16.5 -0.0 2.2 -0.0 3.2 -2.6 1.0 -1.6 9.2 -7.5 -4.8 12.5 20.0 FEEDCOW 7.7 11.5 -1.5 -2.8 0.6 -3.8 2.1 -1.0 -0.1 9.1 1.9 11.1 -0.7 13.2 5.2 -20.0 -20.0 -20.0 -20.0 6.8 1.7 6.7 -1.1 9.0 -16.6 -0.0 4.2 3.9 1.1 6.3 -0.3 6.4 -20.0 8.8 15.1 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 10.6 -19.7 -13.3 -2.1 1.8 -1.8 2.8 3.5 0.8 0.4 -4.8 6.5 9.3 -2.2 -5.9 20.0 20.0 20.0 20.0 -5.4 -1.2 7.0 11.5 0.8 -6.1 -0.0 -4.1 -2.8 -1.5 -3.0 4.1 -3.8 14.9 -20.0 -16.5 -13.5 -0.8 GASOILINE 13.2 -9.7 -11.5 -2.1 1.8 -1.8 2.8 3.5 0.8 13.3 -11.0 13.4 2.8 -0.7 -3.8 -20.0 20.0 -2.8 12.1 -3.4 -4.8 19.6 5.2 7.2 -5.3 -0.0 0.2 12.4 0.1 10.8 5.6 5.0 0.0 20.0 9.3 5.6 11.2 GAS_US -14.4 -5.8 -20.0 -2.1 1.8 -1.8 2.8 3.5 0.8 -14.1 -11.9 -15.6 -2.1 -14.4 -14.2 20.0 -5.0 5.1 -2.2 -20.0 -13.3 -20.0 -2.8 -20.0 -8.1 -0.0 -4.2 -6.1 -1.5 -8.7 2.9 -7.0 -20.0 -20.0 -20.0 2.3 -12.6 GBP -5.8 20.0 14.4 2.9 2.3 -0.2 1.6 -3.8 2.6 -7.6 3.9 -12.7 -6.1 7.6 11.4 -2.0 -1.6 -1.9 -1.9 10.7 3.4 -5.0 -9.2 3.0 12.8 -0.0 1.9 -1.0 -2.5 -2.0 -8.0 0.5 0.4 -15.2 -7.3 -5.7 -3.6 GOLD_micro 3.4 20.0 11.5 3.1 0.5 2.1 -0.2 0.8 1.5 12.0 -0.7 11.8 -8.2 14.8 13.3 -10.8 -8.5 -10.5 -9.9 12.7 3.9 8.5 -4.5 12.2 8.7 -0.0 4.1 1.3 1.5 1.2 -0.9 3.2 -13.3 3.3 4.8 9.8 -3.9 HEATOIL 12.8 -16.0 -10.3 -2.1 1.8 -1.8 2.8 3.5 0.8 9.1 -4.7 11.6 8.5 0.8 -2.1 20.0 20.0 20.0 20.0 -2.8 -0.3 13.1 11.1 4.9 -14.0 -0.0 -2.2 2.4 0.6 2.4 8.8 -0.2 20.0 -4.0 -4.3 -4.8 3.0 JPY 5.1 20.0 20.0 2.9 2.3 -0.2 1.6 -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 13.2 -12.7 16.1 10.8 -0.0 4.6 4.5 -0.2 5.2 -5.7 6.0 -15.5 20.0 18.2 20.0 6.6 LEANHOG 1.2 -2.3 2.2 -2.8 0.6 -3.8 2.1 -1.0 -0.1 7.3 3.9 9.6 -0.3 6.6 9.6 -20.0 16.8 -19.2 7.6 3.2 2.2 8.4 3.4 6.0 -9.8 -0.0 0.4 0.1 -0.0 2.7 1.3 1.7 6.1 6.3 0.2 2.8 6.8 LIVECOW 9.4 6.1 9.7 -2.8 0.6 -3.8 2.1 -1.0 -0.1 9.6 11.0 13.9 0.7 13.3 12.4 -20.0 -20.0 -20.0 -20.0 9.9 7.1 11.8 2.6 12.0 -20.0 -0.0 5.2 3.5 4.2 6.7 3.0 6.5 -20.0 12.3 13.2 12.5 14.9 MXP -4.5 -4.6 6.5 2.9 2.3 -0.2 1.6 -3.8 2.6 8.5 13.2 8.7 14.6 4.7 9.8 18.4 20.0 18.7 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 -16.6 -0.2 -3.0 -1.0 -2.0 -1.0 -3.6 -2.0 -3.1 -2.8 -11.0 -11.8 -12.8 -9.4 -10.6 -5.0 -3.4 -4.7 -4.3 -11.0 -11.9 -15.2 -14.2 -15.5 8.0 -0.0 -3.5 -0.3 -4.3 -4.8 -5.0 -5.1 -3.2 -5.1 -3.0 -3.9 -11.2 NIKKEI -20.0 -9.8 -0.6 -1.0 -2.0 -1.0 -3.6 -2.0 -3.1 -13.1 -0.2 -14.8 0.3 -14.2 -6.3 17.3 9.8 11.5 10.6 -12.1 -3.3 -19.8 -0.0 -20.0 -4.1 -0.0 -4.7 -5.2 -2.4 -5.9 -1.3 -6.7 20.0 -20.0 -17.3 -19.1 -5.7 NZD -3.8 20.0 15.1 2.9 2.3 -0.2 1.6 -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 -10.1 -0.7 8.1 4.1 OAT -20.0 4.9 -0.4 -2.6 0.1 -4.3 -3.9 -7.1 -3.8 -4.8 -9.7 -14.0 -12.3 -12.3 -8.7 12.7 12.6 13.2 13.5 -15.9 -15.0 -20.0 -20.0 -20.0 10.4 -0.0 -3.7 -1.1 -4.7 -5.7 -8.0 -6.0 20.0 -2.9 -19.4 -11.1 -2.3 OJ -2.7 1.1 19.1 -2.8 0.6 -3.8 2.1 -1.0 -0.1 -6.0 13.6 3.4 14.3 5.0 12.5 14.6 12.5 15.4 15.4 14.8 20.0 2.3 20.0 6.4 -20.0 -0.0 5.2 1.1 9.4 1.6 11.6 2.3 4.5 -2.5 12.5 3.7 20.0 PALLAD -4.3 -10.4 -10.7 3.1 0.5 2.1 -0.2 0.8 1.5 8.6 -12.0 -2.4 -8.7 -9.0 -12.1 -1.2 -1.3 -1.5 -1.5 -13.4 -11.7 -1.1 -8.8 -9.7 7.2 -0.0 -5.0 -1.3 -3.4 -3.7 -2.1 -5.4 0.0 -5.3 -19.5 -20.0 -20.0 PLAT -5.6 4.3 17.7 3.1 0.5 2.1 -0.2 0.8 1.5 13.1 10.4 8.8 -0.4 10.3 12.5 -1.4 -0.5 -0.7 -0.4 10.2 8.6 14.2 2.7 9.5 -3.6 -0.0 5.3 9.0 3.9 6.9 0.7 5.1 1.6 20.0 7.7 2.6 16.3 REDWHEAT 5.4 -15.1 -8.1 -2.8 0.6 -3.8 2.1 -1.0 -0.1 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 -16.8 10.2 -3.3 -13.3 3.8 ROBUSTA 10.7 2.9 -20.0 -2.8 0.6 -3.8 2.1 -1.0 -0.1 -12.9 -11.0 -8.1 -5.6 4.8 -10.5 15.1 8.4 12.0 9.9 -11.0 -15.7 -13.4 -7.6 -5.8 -1.6 -0.0 -3.0 -7.4 -4.1 -5.7 -2.0 -2.3 -4.5 -20.0 -0.2 4.2 -20.0 RUSSELL -15.4 -2.8 3.1 -1.0 -2.0 -1.0 -3.6 -2.0 -3.1 4.5 -5.5 -9.5 -10.8 -10.5 -3.5 -4.7 -2.6 -4.3 -3.7 -6.6 -5.1 -7.4 -7.8 -10.4 -4.1 -0.0 -2.8 2.0 -1.9 -2.6 -2.4 -4.5 -1.9 5.9 -0.4 -10.0 -2.1 SILVER-mini 5.7 20.0 20.0 3.1 0.5 2.1 -0.2 0.8 1.5 5.6 7.5 9.8 -3.7 13.4 14.2 -3.8 -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 5.7 15.8 15.8 20.0 SOYBEAN 3.9 5.1 4.5 -2.8 0.6 -3.8 2.1 -1.0 -0.1 14.0 1.1 13.9 4.8 12.8 13.4 20.0 20.0 20.0 20.0 7.4 5.3 13.8 7.7 9.8 -20.0 -0.0 5.1 10.2 5.7 10.4 10.0 6.9 20.0 10.3 12.1 9.0 15.7 SOYMEAL 4.4 19.3 6.1 -2.8 0.6 -3.8 2.1 -1.0 -0.1 11.9 8.2 9.0 10.1 10.6 10.4 12.1 14.0 11.9 13.5 19.3 13.6 14.8 9.5 18.7 -20.0 -0.0 5.5 3.7 4.3 4.2 3.7 5.4 4.1 4.3 20.0 20.0 20.0 SOYOIL -2.1 -19.1 1.7 -2.8 0.6 -3.8 2.1 -1.0 -0.1 2.5 -0.0 7.9 5.1 -4.0 -3.8 9.4 20.0 15.5 18.5 -4.0 0.7 5.3 7.1 -2.0 -16.8 -0.0 -1.5 -1.5 1.3 -1.1 4.3 -2.4 14.1 -3.8 -20.0 -15.6 15.0 SP400 -15.6 3.3 7.0 -1.0 -2.0 -1.0 -3.6 -2.0 -3.1 5.8 1.0 -8.0 -5.6 -7.4 3.6 -4.1 -1.9 -2.7 -2.2 -0.6 0.5 -5.4 -2.4 -6.1 -7.8 -0.0 -0.5 0.5 0.5 -2.8 0.1 -3.2 0.0 5.1 0.2 -1.0 4.2 SP500 -15.6 4.2 2.4 -1.0 -2.0 -1.0 -3.6 -2.0 -3.1 0.1 -4.4 -11.1 -8.6 -6.6 -0.9 -5.3 -3.5 -5.0 -4.4 -3.7 -4.3 -9.1 -7.0 -9.0 2.6 -0.0 -1.3 0.0 -1.9 -3.5 -3.5 -3.5 -3.3 1.1 -0.4 -0.3 -2.7 SUGAR11 4.5 12.9 17.0 -2.8 0.6 -3.8 2.1 -1.0 -0.1 -11.9 9.1 1.8 4.7 9.1 11.9 20.0 20.0 20.0 20.0 16.7 12.9 0.8 7.2 12.2 -20.0 -0.0 6.1 0.9 4.5 4.3 2.7 6.0 20.0 14.4 20.0 20.0 20.0 US10 -8.5 18.0 -7.8 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.1 -7.8 -13.6 -12.4 3.1 -0.9 -9.2 -0.5 -7.1 -4.8 -2.7 -12.4 -18.6 -20.0 -8.2 -7.4 -0.0 0.1 -3.8 -3.7 -4.5 -8.5 -1.3 -5.7 5.3 12.4 13.1 3.8 US10U -10.4 19.0 -7.3 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -10.6 -7.5 -13.1 -12.2 2.1 -0.8 1.3 4.8 0.9 1.9 -2.9 -11.9 -18.4 -20.0 -8.7 -9.3 -0.0 0.3 -2.3 -3.2 -3.9 -7.4 -1.2 4.5 5.7 12.6 13.5 4.4 US20 -9.6 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 -4.1 1.6 -1.4 0.1 -1.3 -11.0 -20.0 -20.0 -8.5 -9.1 -0.0 0.7 -3.9 -2.5 -4.3 -5.9 -0.8 0.3 -1.0 14.9 19.8 4.4 US30 -11.2 20.0 2.0 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -12.0 -5.9 -13.4 -12.8 1.6 1.3 0.3 0.4 -0.6 -0.5 -1.8 -11.3 -20.0 -20.0 -9.1 -8.5 -0.0 0.8 -3.2 -2.3 -4.3 -5.9 -0.9 -1.4 -0.9 15.2 17.2 8.9 US5 -4.7 17.3 -8.2 -2.5 -4.1 -4.2 -5.7 -6.9 -4.2 -13.6 -7.7 -13.3 -12.7 4.8 -0.9 -5.6 0.9 -5.4 -3.8 -1.8 -13.2 -16.5 -20.0 -5.8 -5.2 -0.0 0.4 -4.0 -4.1 -4.1 -10.0 -0.6 -3.9 6.9 15.6 13.8 2.8 VIX 4.2 -14.6 -8.6 -4.3 -0.1 -3.7 -0.4 -2.5 -2.5 -7.0 -13.5 -4.5 -11.4 -11.9 -13.9 -20.0 -20.0 -20.0 -19.0 -15.3 -13.5 -6.0 -10.0 -11.2 NaN -0.0 -5.4 0.3 -4.6 -0.4 -3.1 -3.2 NaN NaN NaN NaN NaN WHEAT 7.6 -19.0 -12.4 -2.8 0.6 -3.8 2.1 -1.0 -0.1 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 16.8 0.3 -17.1 -1.3 End of report for caleb_strategy_v1