******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230103_204309 produced at 2023-01-03 21:35:27.262311 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.20 -0.24 0.0 8845639.62 -8845639.62 -0.20 -0.20 -27.64 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.14 0.0 38374955.75 -38374955.75 -0.19 -0.19 -3.69 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.13 0.0 40015195.77 -40015195.77 0.00 0.00 -3.13 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.12 0.0 42191081.02 -42191081.02 -0.08 -0.08 -2.84 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 33553038.62 -33553038.62 -0.13 -0.13 -3.50 999999999 -4 -4 caleb_strategy_v1 LIVECOW False False 0.02 -0.14 -0.11 0.0 22874326.70 -22874326.70 -0.14 -0.11 -5.01 999999999 -6 -5 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.08 0.0 47840611.64 -47840611.64 -0.10 -0.10 -1.67 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.04 -0.09 -0.07 0.0 44849879.57 -44849879.57 -0.09 -0.13 -1.66 999999999 -2 -3 caleb_strategy_v1 US30 False False 0.05 0.00 -0.05 0.0 48158113.27 -48158113.27 0.00 0.00 -1.05 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 77710187.38 -77710187.38 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.03 0.0 86449253.03 -86449253.03 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.03 0.0 52247050.04 -52247050.04 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.03 -0.03 0.0 3125636.95 -3125636.95 -0.03 -0.03 -10.87 999999999 -8 -8 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.02 0.0 68265069.18 -68265069.18 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5353199.83 -5353199.83 0.00 0.00 -3.82 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.02 0.0 13325298.87 -13325298.87 0.00 0.00 -1.23 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 14365283.21 -14365283.21 -0.01 -0.01 -0.49 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9122731.94 -9122731.94 0.00 0.00 -1.30 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 37824594.44 -37824594.44 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 34265752.05 -34265752.05 -0.07 -0.07 -0.17 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.01 0.0 6552523.00 -6552523.00 -0.01 -0.01 -0.95 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 47132338.79 -47132338.79 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.01 0.0 5891053.89 -5891053.89 -0.01 -0.01 -2.14 999999999 -1 -1 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.01 0.0 26009377.69 -26009377.69 -0.03 -0.03 -0.32 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13443240.74 -13443240.74 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6575614.03 -6575614.03 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.02 0.00 0.0 23993353.40 -23993353.40 -0.02 -0.02 0.06 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 12962947.37 -12962947.37 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 589176.44 -589176.44 0.00 0.00 7.14 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15368854.77 -15368854.77 -0.02 -0.02 -0.24 999999999 -1 -1 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 22127420.78 -22127420.78 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 60391917.05 -60391917.05 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14813782.01 -14813782.01 0.00 0.00 0.06 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10873209.42 -10873209.42 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.02 0.01 0.0 10786174.01 -10786174.01 0.02 0.03 1.15 999999999 2 3 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 19490603.11 -19490603.11 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.01 0.0 26661255.15 -26661255.15 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14607833.35 -14607833.35 0.00 0.00 0.78 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21625635.00 -21625635.00 0.02 0.02 0.65 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4546016.86 -4546016.86 0.00 0.00 1.43 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26659034.85 -26659034.85 0.03 0.03 0.49 999999999 1 1 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22215344.31 -22215344.31 0.04 0.04 0.41 999999999 2 2 caleb_strategy_v1 CAC False False 0.02 0.00 0.01 0.0 24917477.05 -24917477.05 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7850096.62 -7850096.62 0.02 0.02 2.30 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9048130.16 -9048130.16 0.03 0.03 2.13 999999999 3 3 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 33468667.56 -33468667.56 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41587990.57 -41587990.57 0.04 0.04 0.60 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.03 0.0 48651449.08 -48651449.08 0.00 0.00 0.71 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.04 0.0 30959738.65 -30959738.65 0.03 0.03 1.21 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.04 0.0 16177928.84 -16177928.84 0.06 0.06 2.41 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.05 0.0 43306333.22 -43306333.22 0.04 0.04 1.12 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.10 0.0 0.00 0.00 0.00 0.00 14.70 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.12 0.0 24822854.14 -24822854.14 0.05 0.05 4.84 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.13 0.0 50740429.37 -50740429.37 0.10 0.10 2.52 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.17 0.0 43800957.09 -43800957.09 0.18 0.18 3.97 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 9.9 Shocked risk 30.6 Sum abs risk 35.5 Leverage 2.24 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2814946.24, 'annual_cash_vol_target': 703736.56, 'daily_cash_vol_target': 43983.535} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0058 0.6754 0.8618 13.7885 BITCOIN 714.3753 16585.0000 4.3074 68.9177 BOBL 0.3734 116.5800 0.3203 5.1242 BTP 0.9314 110.6900 0.8415 13.4636 BUND 0.7890 135.0500 0.5842 9.3477 BUXL 2.0588 139.0600 1.4805 23.6880 CAC 66.9188 6632.0000 1.0090 16.1445 CAD 0.0037 0.7322 0.5104 8.1661 CANOLA 9.1616 871.5000 1.0512 16.8199 CHF 0.0061 1.0774 0.5671 9.0736 COCOA 33.5881 2568.0000 1.3079 20.9272 COFFEE 0.0366 1.6610 2.2013 35.2206 COPPER 0.0508 3.7685 1.3480 21.5685 CORN 4.0224 607.2500 0.6624 10.5982 COTTON2 0.0179 0.8340 2.1450 34.3207 CRUDE_W 1.2569 75.0500 1.6748 26.7966 DAX 140.7943 14248.0000 0.9882 15.8107 DOW 328.5598 33166.0000 0.9907 15.8504 EUR 0.0058 1.0614 0.5452 8.7233 EUROSTX 45.2793 3888.0000 1.1646 18.6335 FEEDCOW 1.1274 188.9000 0.5968 9.5489 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.5621 871.5000 2.4741 39.5861 GASOILINE 0.0536 2.5351 2.1145 33.8313 GAS_US 0.2567 3.6490 7.0340 112.5441 GBP 0.0092 1.2007 0.7632 12.2111 GOLD_micro 15.9687 1844.5000 0.8657 13.8519 HEATOIL 0.0690 2.9025 2.3762 38.0185 JPY 0.0001 0.0077 1.0076 16.1210 LEANHOG 1.4599 93.7750 1.5568 24.9085 LIVECOW 0.9071 160.9750 0.5635 9.0165 MXP 0.0004 0.0509 0.7128 11.4054 NASDAQ 173.3199 10937.5000 1.5846 25.3542 NIKKEI 260.2785 25775.0000 1.0098 16.1570 NZD 0.0053 0.6254 0.8415 13.4641 OAT 0.8351 129.4900 0.6449 10.3191 OJ 0.0303 2.0405 1.4839 23.7430 PALLAD 45.4028 1700.0000 2.6708 42.7320 PLAT 21.5309 1097.3000 1.9622 31.3947 REDWHEAT 13.6860 865.2500 1.5817 25.3078 ROBUSTA 21.3489 1851.0000 1.1534 18.4539 RUSSELL 25.3314 1759.7000 1.4395 23.0325 SILVER-mini 0.4655 24.3500 1.9118 30.5891 SOYBEAN 10.7074 1397.5000 0.7662 12.2589 SOYMEAL 6.5639 455.4000 1.4413 23.0615 SOYOIL 1.0742 63.0700 1.7032 27.2518 SP400 31.1241 2433.5000 1.2790 20.4637 SP500 46.3370 3843.2500 1.2057 19.2907 SUGAR11 0.0024 0.1973 1.2189 19.5029 US10 0.4737 112.6406 0.4205 6.7286 US10U 0.6682 118.7656 0.5626 9.0021 US20 0.9887 126.2500 0.7831 12.5300 US30 1.5833 135.5625 1.1680 18.6877 US5 0.3060 108.0234 0.2833 4.5330 VIX 0.5412 24.9000 2.1733 34.7727 WHEAT 11.2491 808.7500 1.3909 22.2548 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 675.40 0.86 582.05 1.00 582.05 43983.54 75.57 0.51 3.83 BITCOIN 16.58 4.31 71.44 1.00 71.44 43983.54 615.69 4.93 303.25 BOBL 1165.80 0.32 373.36 1.07 399.33 43983.54 110.14 4.99 54.98 BTP 1106.90 0.84 931.43 1.07 996.22 43983.54 44.15 6.75 29.80 BUND 1350.50 0.58 789.00 1.07 843.89 43983.54 52.12 6.71 34.99 BUXL 1390.60 1.48 2058.79 1.07 2202.01 43983.54 19.97 -3.07 -6.14 CAC 663.20 1.01 669.19 1.07 715.74 43983.54 61.45 1.57 9.64 CAD 732.15 0.51 373.67 1.00 373.67 43983.54 117.71 -1.50 -17.67 CANOLA 174.30 1.05 183.23 0.74 135.39 43983.54 324.87 4.80 155.96 CHF 1346.69 0.57 763.70 1.00 763.70 43983.54 57.59 -7.76 -44.71 COCOA 256.80 1.31 335.88 1.00 335.88 43983.54 130.95 -4.54 -59.45 COFFEE 622.88 2.20 1371.13 1.00 1371.13 43983.54 32.08 -3.05 -9.78 COPPER 942.12 1.35 1270.02 1.00 1270.02 43983.54 34.63 4.90 16.98 CORN 303.62 0.66 201.12 1.00 201.12 43983.54 218.69 5.84 127.79 COTTON2 417.00 2.15 894.48 1.00 894.48 43983.54 49.17 0.81 3.97 CRUDE_W 750.50 1.67 1256.93 1.00 1256.93 43983.54 34.99 0.45 1.56 DAX 142.48 0.99 140.79 1.07 150.59 43983.54 292.08 -2.41 -70.29 DOW 165.83 0.99 164.28 1.00 164.28 43983.54 267.74 -2.81 -75.18 EUR 1326.75 0.55 723.35 1.00 723.35 43983.54 60.81 -0.82 -5.01 EUROSTX 388.80 1.16 452.79 1.07 484.29 43983.54 90.82 3.04 27.62 FEEDCOW 944.50 0.60 563.68 1.00 563.68 43983.54 78.03 -16.70 -130.31 FTSE100 707.00 0.82 576.59 1.21 666.67 43983.54 65.97 -2.56 -16.91 GASOIL 871.50 2.47 2156.21 1.00 2156.21 43983.54 20.40 8.31 16.95 GASOILINE 1064.74 2.11 2251.35 1.00 2251.35 43983.54 19.54 -2.06 -4.03 GAS_US 364.90 7.03 2566.71 1.00 2566.71 43983.54 17.14 -10.39 -17.80 GBP 750.44 0.76 572.73 1.00 572.73 43983.54 76.80 3.57 27.43 GOLD_micro 184.45 0.87 159.69 1.00 159.69 43983.54 275.44 -1.53 -42.25 HEATOIL 1219.05 2.38 2896.65 1.00 2896.65 43983.54 15.18 10.38 15.76 JPY 964.56 1.01 971.86 1.00 971.86 43983.54 45.26 -0.58 -2.65 LEANHOG 375.10 1.56 583.95 1.00 583.95 43983.54 75.32 -3.50 -26.36 LIVECOW 643.90 0.56 362.86 1.00 362.86 43983.54 121.21 -15.39 -186.57 MXP 254.70 0.71 181.56 1.00 181.56 43983.54 242.25 7.19 174.10 NASDAQ 2187.50 1.58 3466.40 1.00 3466.40 43983.54 12.69 -6.15 -7.80 NIKKEI 25775.00 1.01 26027.85 0.01 198.60 43983.54 221.47 3.49 77.37 NZD 625.35 0.84 526.24 1.00 526.24 43983.54 83.58 3.05 25.47 OAT 1294.90 0.64 835.14 1.07 893.23 43983.54 49.24 7.13 35.12 OJ 306.08 1.48 454.20 1.00 454.20 43983.54 96.84 -1.83 -17.72 PALLAD 1700.00 2.67 4540.28 1.00 4540.28 43983.54 9.69 -3.13 -3.03 PLAT 548.65 1.96 1076.54 1.00 1076.54 43983.54 40.86 3.51 14.35 REDWHEAT 432.62 1.58 684.30 1.00 684.30 43983.54 64.28 -7.09 -45.58 ROBUSTA 185.10 1.15 213.49 1.00 213.49 43983.54 206.02 -1.52 -31.25 RUSSELL 87.98 1.44 126.66 1.00 126.66 43983.54 347.27 -6.05 -209.93 SILVER-mini 608.75 1.91 1163.82 1.00 1163.82 43983.54 37.79 7.67 28.98 SOYBEAN 698.75 0.77 535.37 1.00 535.37 43983.54 82.16 10.00 82.17 SOYMEAL 455.40 1.44 656.39 1.00 656.39 43983.54 67.01 6.11 40.94 SOYOIL 378.42 1.70 644.54 1.00 644.54 43983.54 68.24 2.59 17.67 SP400 2433.50 1.28 3112.41 1.00 3112.41 43983.54 14.13 -4.02 -5.69 SP500 1921.62 1.21 2316.85 1.00 2316.85 43983.54 18.98 -4.42 -8.39 SUGAR11 220.98 1.22 269.35 1.00 269.35 43983.54 163.29 10.38 169.54 US10 1126.41 0.42 473.70 1.00 473.70 43983.54 92.85 -8.78 -81.53 US10U 1187.66 0.56 668.21 1.00 668.21 43983.54 65.82 -2.96 -19.46 US20 1262.50 0.78 988.70 1.00 988.70 43983.54 44.49 -5.05 -22.47 US30 1355.62 1.17 1583.34 1.00 1583.34 43983.54 27.78 -4.49 -12.48 US5 1080.23 0.28 306.05 1.00 306.05 43983.54 143.72 -6.69 -96.11 VIX 249.00 2.17 541.15 1.00 541.15 43983.54 81.28 -18.05 -146.67 WHEAT 404.38 1.39 562.45 1.00 562.45 43983.54 78.20 -11.70 -91.52 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 3.830 0.006 2.5 0.061 BITCOIN 303.252 0.009 2.5 7.145 BOBL 54.985 0.029 2.5 3.968 BTP 29.796 0.008 2.5 0.602 BUND 34.991 0.029 2.5 2.525 BUXL -6.141 0.034 2.5 -0.515 CAC 9.636 0.011 2.5 0.271 CAD -17.670 0.007 2.5 -0.315 CANOLA 155.961 0.004 2.5 1.432 CHF -44.705 0.015 2.5 -1.673 COCOA -59.448 0.009 2.5 -1.295 COFFEE -9.784 0.005 2.5 -0.127 COPPER 16.982 0.011 2.5 0.464 CORN 127.788 0.004 2.5 1.153 COTTON2 3.970 0.006 2.5 0.060 CRUDE_W 1.557 0.053 2.5 0.206 DAX -70.288 0.022 2.5 -3.817 DOW -75.185 0.011 2.5 -2.143 EUR -5.009 0.015 2.5 -0.187 EUROSTX 27.623 0.011 2.5 0.777 FEEDCOW -130.308 0.011 2.5 -3.502 FTSE100 -16.910 0.041 2.5 -1.743 GASOIL 16.955 0.029 2.5 1.209 GASOILINE -4.029 0.016 2.5 -0.165 GAS_US -17.798 0.006 2.5 -0.268 GBP 27.433 0.007 2.5 0.490 GOLD_micro -42.252 0.009 2.5 -0.945 HEATOIL 15.764 0.029 2.5 1.124 JPY -2.646 0.026 2.5 -0.171 LEANHOG -26.365 0.019 2.5 -1.232 LIVECOW -186.570 0.011 2.5 -5.013 MXP 174.102 0.005 2.5 2.131 NASDAQ -7.802 0.022 2.5 -0.424 NIKKEI 77.370 0.076 2.5 14.695 NZD 25.470 0.006 2.5 0.407 OAT 35.116 0.008 2.5 0.709 OJ -17.724 0.007 2.5 -0.309 PALLAD -3.027 0.010 2.5 -0.073 PLAT 14.353 0.010 2.5 0.345 REDWHEAT -45.584 0.002 2.5 -0.243 ROBUSTA -31.250 0.005 2.5 -0.405 RUSSELL -209.929 0.021 2.5 -10.873 SILVER-mini 28.976 0.009 2.5 0.648 SOYBEAN 82.172 0.024 2.5 4.845 SOYMEAL 40.942 0.024 2.5 2.414 SOYOIL 17.672 0.004 2.5 0.162 SP400 -5.686 0.021 2.5 -0.294 SP500 -8.391 0.011 2.5 -0.239 SUGAR11 169.541 0.005 2.5 2.301 US10 -81.535 0.015 2.5 -3.128 US10U -19.462 0.058 2.5 -2.836 US20 -22.475 0.029 2.5 -1.656 US30 -12.479 0.034 2.5 -1.048 US5 -96.107 0.015 2.5 -3.687 VIX -146.675 0.075 2.5 -27.641 WHEAT -91.517 0.002 2.5 -0.489 ==================== Position diags ==================== AUD 1.21 BITCOIN 14.51 BOBL 7.95 BTP 0.89 BUND 3.76 BUXL 1.68 CAC 1.73 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 15.86 DOW 7.63 EUR 2.28 EUROSTX 2.55 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 42.06 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 15.32 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 -0.1 0.2 -1.0 -1 BITCOIN 7.1 5.7 8.6 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 -0.3 0.0 0 CAC 0.3 0.1 0.4 0.0 0 CAD -0.3 -0.5 -0.1 -1.0 -1 CANOLA 1.4 1.1 1.7 NaN 0 CHF -1.7 -1.9 -1.5 -2.0 -2 COCOA -1.3 -1.6 -1.0 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 1.2 1.0 1.3 2.0 2 COTTON2 0.1 -0.0 0.1 NaN 0 CRUDE_W 0.2 -0.3 0.7 0.0 0 DAX -3.8 -5.4 -2.2 0.0 0 DOW -2.1 -2.9 -1.4 -1.0 -1 EUR -0.2 -0.4 0.0 0.0 0 EUROSTX 0.8 0.5 1.0 0.0 0 FEEDCOW -3.5 -3.7 -3.3 -4.0 -4 FTSE100 -1.7 -2.4 -1.1 0.0 0 GASOIL 1.2 1.1 1.4 1.0 1 GASOILINE -0.2 -0.2 -0.1 0.0 0 GAS_US -0.3 -0.3 -0.2 0.0 0 GBP 0.5 0.4 0.6 1.0 1 GOLD_micro -0.9 -1.6 -0.3 -1.0 -1 HEATOIL 1.1 1.0 1.2 1.0 1 JPY -0.2 -0.5 0.1 -2.0 -2 LEANHOG -1.2 -1.6 -0.9 0.0 0 LIVECOW -5.0 -5.3 -4.7 -6.0 -6 MXP 2.1 1.8 2.4 3.0 3 NASDAQ -0.4 -0.5 -0.4 0.0 0 NIKKEI 14.7 10.5 18.9 0.0 0 NZD 0.4 0.3 0.5 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 -0.2 -0.3 -0.2 -1.0 -1 ROBUSTA -0.4 -0.7 -0.1 0.0 0 RUSSELL -10.9 -12.7 -9.1 -8.0 -8 SILVER-mini 0.6 0.6 0.7 1.0 1 SOYBEAN 4.8 4.4 5.3 2.0 2 SOYMEAL 2.4 2.0 2.8 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 2.3 2.1 2.5 2.0 2 US10 -3.1 -3.5 -2.8 NaN 0 US10U -2.8 -3.8 -1.9 -2.0 -2 US20 -1.7 -2.0 -1.3 -2.0 -2 US30 -1.0 -1.3 -0.8 0.0 0 US5 -3.7 -4.2 -3.1 -5.0 -5 VIX -27.6 -29.2 -26.1 -23.0 -23 WHEAT -0.5 -0.5 -0.4 -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 0.0 -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 0.1 -0.0 -0.1 -0.1 BITCOIN 0.0 -0.1 0.1 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 -0.0 -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 -0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.0 0.8 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 -0.3 -0.1 0.2 BUND -0.2 0.0 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.3 1.1 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 0.1 -0.0 0.0 -0.1 -0.0 0.0 0.3 -0.0 0.0 0.0 0.3 -0.1 0.1 -0.0 0.0 0.1 0.1 0.0 0.1 0.0 -1.6 -0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 1.0 -0.0 -0.1 0.1 0.2 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 1.7 -0.0 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 -0.2 -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 1.4 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 -0.3 0.0 0.1 -0.1 0.2 CHF 0.0 0.3 0.2 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.2 -0.0 -0.1 0.1 0.3 -0.9 -0.5 -0.2 -0.2 0.2 0.1 -0.0 -0.0 0.0 -1.3 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -2.2 -0.1 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 -1.2 -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 0.1 -0.3 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.3 0.0 -0.2 0.0 -0.3 0.0 0.2 0.1 0.1 -0.1 -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 1.5 -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 1.2 0.0 0.2 -0.2 -0.0 COTTON2 0.0 0.1 -0.9 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 0.1 0.5 0.1 0.2 -0.0 -0.1 -0.0 -0.0 0.0 0.4 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 0.4 -0.0 0.0 0.4 -0.4 CRUDE_W 0.1 -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 -1.3 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 0.1 0.3 -0.0 0.1 -0.0 0.0 -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 0.0 0.2 EUR 0.1 0.3 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 0.0 -0.2 0.1 0.4 -0.5 -0.3 -0.1 -0.2 0.2 0.1 0.0 -0.1 0.0 0.1 -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 0.1 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 1.3 -0.0 -0.1 0.1 0.3 FEEDCOW 0.0 0.1 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0 0.1 -1.6 -0.8 -0.4 -0.4 0.1 0.0 0.0 -0.0 0.0 -3.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -2.7 0.0 0.2 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 0.2 -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 -0.2 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 2.3 -0.2 -0.3 -0.2 -0.0 GASOILINE 0.2 -0.1 -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 0.2 -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 0.2 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 -0.8 -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 -0.2 -0.1 -0.1 GOLD_micro 0.0 0.3 0.2 0.1 0.0 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.2 0.1 0.3 -0.9 -0.4 -0.2 -0.2 0.2 0.1 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 -0.0 HEATOIL 0.2 -0.3 -0.1 -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 -1.4 -0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 2.8 0.0 -0.0 -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 1.4 -0.0 0.1 0.0 -0.0 0.0 -0.1 0.0 -2.0 0.1 0.4 0.3 0.1 LEANHOG 0.0 -0.1 0.1 -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 0.1 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 0.6 0.0 -0.1 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 0.3 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 0.1 -0.1 0.3 NASDAQ -0.2 -0.0 -0.1 -0.0 0.1 -0.0 0.0 -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 -0.3 -0.1 -0.0 -0.2 NIKKEI -0.2 -0.2 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.2 1.1 0.4 0.2 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.4 -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 -0.1 0.3 0.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.0 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 -0.1 0.1 0.1 OAT -0.2 0.1 -0.0 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.2 1.1 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 -0.2 -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 0.7 -0.0 0.2 0.0 0.3 PALLAD -0.1 -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 1.4 -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 -0.0 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 -0.7 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.2 0.0 0.3 0.1 0.3 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 0.2 -0.1 0.1 ROBUSTA 0.1 0.1 -0.3 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.1 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 -0.2 0.1 -0.3 RUSSELL -0.2 -0.1 0.0 -0.0 0.1 -0.0 0.0 -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 0.0 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 0.2 0.0 0.0 0.0 1.3 -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 0.1 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 0.2 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 0.7 0.8 0.3 0.4 -0.1 0.0 -0.0 0.1 -0.0 -2.3 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.9 -0.1 -0.1 -0.3 0.2 SP400 -0.2 0.0 0.1 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.2 -0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 SP500 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.4 -0.1 -0.1 -0.1 -0.1 -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 -0.1 -0.1 -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 0.2 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 -0.0 -0.2 -0.0 -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 -1.0 -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 -0.0 -0.2 -0.0 -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 0.1 0.1 0.1 US20 -0.1 0.3 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -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 0.0 US30 -0.2 0.3 0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 -1.1 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.1 0.1 0.2 0.1 US5 -0.1 0.2 -0.1 -0.0 0.0 -0.1 -0.0 -0.2 -0.0 -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 -0.7 -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 -0.7 -0.6 -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 -0.2 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -2.7 0.1 0.3 -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 -1.9 13.8 4.8 3.0 1.7 -0.0 1.8 -3.8 2.7 2.0 -2.9 -1.0 -7.9 9.1 7.6 -2.9 -2.1 -2.8 -2.5 5.0 -1.7 2.4 -8.3 4.8 5.9 -0.0 1.7 4.2 -2.0 2.5 -5.4 2.3 -0.4 6.8 -1.5 -4.9 -8.6 BITCOIN 2.0 -5.9 3.3 3.1 0.8 2.3 0.3 0.9 1.6 5.7 -15.0 -11.1 -16.0 -6.1 -9.6 2.0 -0.5 1.4 0.6 -7.9 -17.6 -1.4 -20.0 -3.5 20.0 -0.0 -4.7 0.2 -7.1 -0.6 -7.3 -2.2 2.5 2.1 -0.7 -20.0 -20.0 BOBL -20.0 0.0 -11.3 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 2.9 -13.9 -12.4 -13.8 -12.7 -13.6 -3.1 14.1 8.3 13.7 -20.0 -20.0 -17.4 -20.0 -20.0 14.2 -0.0 -5.1 1.5 -6.3 -3.7 -9.1 -5.8 20.0 -1.1 -17.2 -19.6 -8.7 BTP -20.0 5.9 5.1 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 3.9 -5.1 -12.7 -11.3 -11.5 -1.8 10.4 14.5 14.6 16.1 -9.0 -8.9 -15.3 -17.8 -18.1 1.5 -0.0 -2.2 1.4 -3.2 -3.3 -7.4 -4.4 20.0 4.7 -12.8 -6.0 11.4 BUND -20.0 2.9 -8.4 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 2.4 -12.1 -12.1 -13.2 -11.9 -11.2 13.5 16.0 13.9 14.9 -19.1 -20.0 -19.4 -20.0 -20.0 10.8 -0.0 -4.4 2.0 -5.6 -3.5 -8.4 -5.4 20.0 0.6 -17.2 -14.0 -6.5 BUXL -20.0 11.3 -1.6 -2.6 0.2 -4.3 -3.8 -7.1 -3.7 -7.0 -7.9 -14.2 -11.7 -11.2 -4.9 4.0 -0.9 4.8 3.0 -14.7 -14.2 -20.0 -20.0 -20.0 6.5 -0.0 -2.9 -2.1 -3.4 -6.3 -5.7 -5.7 -0.3 -10.6 -20.0 -5.4 0.7 CAC -20.0 6.1 15.0 -0.7 5.2 -1.0 0.5 -2.1 -1.6 12.1 10.8 -2.8 0.4 0.5 11.5 -1.3 3.3 -0.2 1.2 7.9 9.4 2.5 5.3 1.2 -13.9 -0.0 1.9 3.1 2.8 -0.6 1.4 -1.1 7.3 -0.9 -3.4 5.6 17.4 CAD -1.1 -0.9 -7.3 3.0 1.7 -0.0 1.8 -3.8 2.7 -10.5 -10.0 -3.1 -11.1 -9.1 -6.5 -1.8 -1.0 -1.8 -1.5 -6.7 -11.3 -4.2 -13.2 -4.1 12.1 -0.0 -4.4 1.0 -6.9 -1.2 -8.2 -3.0 1.3 -4.0 -9.4 -20.0 -20.0 CANOLA 9.4 0.6 1.4 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 8.3 -9.1 12.2 -3.7 6.4 7.0 4.7 12.6 8.2 8.8 2.6 -4.3 9.9 -0.5 7.9 6.2 -0.0 0.4 2.7 -0.7 4.9 1.9 2.8 -1.9 4.6 13.6 -7.2 15.7 CHF 2.4 20.0 12.0 3.0 1.7 -0.0 1.8 -3.8 2.7 -10.9 9.4 -1.2 -2.6 13.3 13.8 -13.1 -11.9 -12.6 -12.6 15.4 8.7 -1.4 -1.6 10.3 -9.2 -0.0 4.4 0.5 1.6 1.2 -2.4 3.5 -17.5 -9.7 3.0 10.6 7.4 COCOA 4.5 12.3 14.8 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -2.0 6.1 6.7 -6.4 10.7 13.0 -1.0 -2.9 -0.6 -1.2 12.7 6.8 6.3 -1.5 12.5 -8.2 -0.0 5.0 2.9 2.6 5.8 -0.5 5.9 -20.0 17.7 16.6 20.0 20.0 COFFEE 17.6 4.6 -20.0 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -12.3 -12.4 4.4 -8.9 4.7 -11.7 0.3 3.8 2.6 4.3 -12.5 -19.6 -0.8 -12.8 -1.2 9.3 -0.0 -3.3 1.3 -5.8 3.6 -3.6 1.6 -12.3 5.8 13.3 2.9 -20.0 COPPER -1.3 12.3 17.8 3.1 0.8 2.3 0.3 0.9 1.6 -10.5 -4.6 -4.9 -8.0 6.2 9.6 -1.1 -0.1 -0.5 -0.3 10.1 2.7 -1.7 -7.3 5.9 12.4 -0.0 4.1 -0.9 1.7 -0.3 -1.3 2.2 2.1 -1.0 -1.8 -0.2 1.9 CORN 9.9 -12.7 3.4 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 2.5 0.8 10.0 4.4 -1.4 -5.4 20.0 16.1 20.0 17.8 -2.7 0.7 10.3 13.4 4.0 -9.8 -0.0 -3.0 3.9 -1.2 4.8 4.3 0.4 8.5 11.4 8.8 -11.7 -0.9 COTTON2 9.3 5.9 -19.3 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -10.2 -10.3 -1.2 -2.7 2.2 -6.3 1.2 14.9 4.3 9.9 -4.7 -11.6 -0.9 -5.3 0.8 1.5 -0.0 0.2 -0.3 -2.3 1.5 1.8 2.7 2.8 -15.3 2.1 15.1 -16.0 CRUDE_W 5.9 -3.2 0.4 -1.8 1.8 -1.8 2.8 3.6 1.2 -6.7 -5.9 6.3 2.3 -1.1 5.2 6.9 12.7 7.5 9.8 -0.6 -1.8 3.7 4.5 2.9 -4.3 -0.0 -0.3 6.8 0.3 5.5 5.9 2.0 -9.3 7.0 -5.7 7.7 9.9 DAX -20.0 9.6 20.0 -0.7 5.2 -1.0 0.5 -2.1 -1.6 11.8 8.9 -6.2 -3.5 1.1 10.9 -7.9 -2.8 -5.9 -4.4 8.4 8.7 0.5 -0.4 -0.3 -9.8 -0.0 2.0 2.3 2.6 -0.8 -0.3 -1.1 -2.5 -3.6 -5.4 10.7 20.0 DOW -18.1 6.6 14.8 -0.7 5.2 -1.0 0.5 -2.1 -1.6 -7.6 7.7 -9.9 -0.5 -4.8 9.2 -5.7 -2.5 -5.2 -4.3 5.2 6.5 -6.7 1.2 -3.7 -7.7 -0.0 1.6 -0.7 1.9 -2.8 0.5 -1.7 -2.4 -10.3 -1.9 0.8 11.8 EUR 4.7 20.0 18.4 3.0 1.7 -0.0 1.8 -3.8 2.7 -10.3 4.4 2.1 -8.2 14.2 15.0 -7.9 -8.4 -7.8 -8.2 20.0 8.6 0.9 -9.9 14.3 1.0 -0.0 5.0 2.4 1.1 2.8 -4.6 4.6 -10.8 0.9 9.7 10.3 14.9 EUROSTX -20.0 7.3 18.0 -0.7 5.2 -1.0 0.5 -2.1 -1.6 11.1 10.4 -5.8 -1.0 2.1 11.3 8.5 3.8 4.9 3.5 8.3 9.8 0.1 3.6 0.1 -16.3 -0.0 2.3 2.1 3.2 -1.1 1.1 -1.0 9.3 -5.1 -5.4 11.4 20.0 FEEDCOW 5.7 10.8 -0.6 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -10.8 2.0 7.8 -0.7 12.5 6.0 -20.0 -20.0 -20.0 -20.0 6.5 1.8 2.8 -1.0 7.5 -17.5 -0.0 4.2 3.9 1.1 6.3 -0.3 6.4 -20.0 9.4 11.0 20.0 1.6 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 14.8 -18.3 -9.1 -1.8 1.8 -1.8 2.8 3.6 1.2 -12.0 -5.1 3.1 9.2 -2.5 -6.1 20.0 20.0 20.0 20.0 -5.8 -1.4 -1.3 11.3 -1.7 -6.1 -0.0 -4.1 -2.8 -1.5 -3.0 4.1 -3.8 16.8 -20.0 -15.8 -16.0 -2.1 GASOILINE 18.5 -8.4 -10.7 -1.8 1.8 -1.8 2.8 3.6 1.2 -0.7 -10.9 10.1 2.8 0.2 -3.4 -20.0 20.0 -5.3 10.5 -2.8 -4.5 12.8 5.1 6.7 -5.9 -0.0 0.2 12.4 0.1 10.8 5.6 5.0 0.0 20.0 14.4 8.6 12.6 GAS_US -18.5 -7.3 -20.0 -1.8 1.8 -1.8 2.8 3.6 1.2 -14.1 -12.2 -15.8 -2.4 -15.0 -14.5 20.0 -4.7 5.8 -1.7 -20.0 -14.3 -20.0 -3.3 -20.0 -6.9 -0.0 -4.2 -6.1 -1.5 -8.7 2.9 -7.0 -20.0 -20.0 -20.0 -1.6 -15.6 GBP -9.5 18.4 13.9 3.0 1.7 -0.0 1.8 -3.8 2.7 -13.2 4.0 -14.1 -6.0 6.6 11.1 -2.0 -1.6 -2.0 -1.9 9.6 3.2 -7.8 -9.0 1.1 12.9 -0.0 1.9 -1.0 -2.5 -2.0 -8.0 0.5 0.4 -13.3 -10.9 -5.2 -3.9 GOLD_micro 3.6 19.8 11.8 3.1 0.8 2.3 0.3 0.9 1.6 13.8 -0.2 13.7 -8.1 15.2 13.8 -10.8 -8.6 -10.5 -9.9 13.5 4.4 13.2 -4.1 14.1 8.5 -0.0 4.1 1.3 1.5 1.2 -0.9 3.2 -13.4 -0.9 6.8 9.8 -2.9 HEATOIL 15.0 -15.5 -8.2 -1.8 1.8 -1.8 2.8 3.6 1.2 -10.8 -4.9 7.5 8.5 0.6 -2.3 20.0 20.0 20.0 20.0 -3.2 -0.5 1.8 10.9 1.9 -14.1 -0.0 -2.2 2.4 0.6 2.4 8.8 -0.2 20.0 0.6 -1.0 -4.6 2.4 JPY 6.3 20.0 20.0 3.0 1.7 -0.0 1.8 -3.8 2.7 13.6 -1.5 12.5 -11.1 14.1 12.1 -10.9 -10.4 -11.6 -11.6 14.3 1.6 16.2 -12.3 17.6 10.2 -0.0 4.6 4.5 -0.2 5.2 -5.7 6.0 -15.5 12.2 19.2 20.0 9.2 LEANHOG 4.0 -3.5 3.5 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -11.0 4.1 7.1 -0.3 5.5 9.5 -20.0 16.0 -20.0 6.3 2.8 2.1 1.7 3.4 3.9 -10.2 -0.0 0.4 0.1 -0.0 2.7 1.3 1.7 4.5 2.9 -2.6 2.6 7.6 LIVECOW 7.9 5.5 10.2 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -10.7 11.1 10.5 0.9 12.2 12.3 -20.0 -20.0 -20.0 -20.0 9.6 7.2 5.7 2.6 10.0 -20.0 -0.0 5.2 3.5 4.2 6.7 3.0 6.5 -20.0 11.2 15.3 14.3 15.8 MXP 0.1 -5.2 6.1 3.0 1.7 -0.0 1.8 -3.8 2.7 13.3 13.3 11.9 14.6 6.0 10.2 18.4 20.0 18.7 19.3 9.6 12.6 10.3 13.7 8.5 -20.0 -0.0 4.8 3.9 5.4 6.0 5.0 4.6 20.0 16.8 4.7 -10.0 19.0 NASDAQ -17.2 -1.1 -3.2 -0.7 5.2 -1.0 0.5 -2.1 -1.6 -6.0 -11.3 -11.8 -12.9 -10.2 -11.0 -5.0 -3.4 -4.8 -4.4 -11.6 -12.2 -14.6 -14.3 -15.7 7.9 -0.0 -3.5 -0.3 -4.3 -4.8 -5.0 -5.1 -3.2 -14.5 -6.6 -3.5 -11.5 NIKKEI -20.0 -13.3 -1.5 -0.7 5.2 -1.0 0.5 -2.1 -1.6 -13.0 -1.5 -15.0 -0.1 -14.9 -8.3 18.1 10.1 12.3 11.1 -14.3 -4.8 -19.4 -0.6 -20.0 -2.7 -0.0 -4.9 -3.9 -2.7 -5.3 -1.5 -6.4 20.0 -20.0 -20.0 -20.0 -7.9 NZD -8.0 20.0 16.9 3.0 1.7 -0.0 1.8 -3.8 2.7 -9.9 4.7 -8.6 -6.3 8.4 11.1 0.2 0.4 -0.3 -0.2 13.8 6.1 -5.3 -6.1 5.9 -0.6 -0.0 3.9 0.9 1.0 0.7 -2.6 2.7 3.7 -7.1 -3.2 7.4 4.3 OAT -20.0 4.1 -1.6 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 3.6 -9.9 -12.2 -12.4 -11.7 -8.8 13.1 12.7 13.4 13.6 -15.9 -15.2 -19.0 -20.0 -20.0 10.2 -0.0 -3.7 1.8 -4.8 -3.7 -8.1 -5.3 20.0 0.1 -19.6 -11.4 -2.4 OJ -1.5 -0.0 19.3 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -5.8 13.7 3.0 14.3 5.6 12.6 14.9 12.6 15.5 15.5 14.5 20.0 2.6 20.0 6.3 -20.0 -0.0 5.2 1.1 9.4 1.6 11.6 2.3 4.7 -2.7 8.1 1.6 20.0 PALLAD -7.0 -11.2 -11.8 3.1 0.8 2.3 0.3 0.9 1.6 -7.1 -12.2 -6.8 -8.9 -10.2 -12.5 -1.4 -1.3 -1.5 -1.5 -14.2 -12.1 -9.9 -9.0 -12.1 7.4 -0.0 -5.0 -1.3 -3.4 -3.7 -2.1 -5.4 0.0 1.7 -19.3 -20.0 -20.0 PLAT -2.3 4.7 17.2 3.1 0.8 2.3 0.3 0.9 1.6 13.9 10.7 12.0 -0.1 11.8 13.1 -1.3 -0.5 -0.7 -0.4 11.5 9.1 19.6 3.0 12.9 -4.2 -0.0 5.3 9.0 3.9 6.9 0.7 5.1 1.7 20.0 15.8 4.6 17.4 REDWHEAT 6.5 -14.4 -8.9 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -2.5 -12.7 8.4 -6.3 -5.8 -9.1 5.6 0.9 4.5 2.9 -10.5 -11.0 3.8 -3.5 -3.2 -4.0 -0.0 -3.5 4.5 -2.1 3.4 2.2 -0.8 -16.6 15.1 9.1 -10.9 4.0 ROBUSTA 7.8 4.8 -20.0 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 1.9 -11.0 -2.6 -5.8 5.7 -10.4 15.3 8.5 12.2 10.0 -10.7 -15.6 -5.9 -7.7 -4.6 -1.6 -0.0 -3.0 -7.4 -4.1 -5.7 -2.0 -2.3 -4.2 -20.0 -11.4 4.5 -20.0 RUSSELL -14.0 -3.8 2.6 -0.7 5.2 -1.0 0.5 -2.1 -1.6 -1.1 -5.7 -9.3 -10.9 -10.8 -3.7 -4.7 -2.6 -4.3 -3.7 -6.9 -5.3 -7.8 -7.9 -10.4 -4.0 -0.0 -2.8 2.0 -1.9 -2.6 -2.4 -4.5 -1.9 -5.4 -1.5 -10.0 -2.6 SILVER-mini 2.4 20.0 20.0 3.1 0.8 2.3 0.3 0.9 1.6 10.2 7.9 10.1 -3.5 13.6 14.4 -4.0 -3.4 -4.1 -3.9 18.7 11.4 8.4 0.4 15.4 6.2 -0.0 5.5 0.5 3.0 1.6 -0.7 4.2 -3.9 -2.4 15.9 14.3 20.0 SOYBEAN 3.5 5.4 4.5 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 0.8 1.2 7.2 4.8 10.9 12.9 20.0 20.0 20.0 20.0 7.1 5.3 6.3 7.7 8.0 -20.0 -0.0 5.1 10.2 5.7 10.4 10.0 6.9 20.0 13.4 13.1 10.6 16.0 SOYMEAL 5.1 20.0 6.7 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 7.1 8.6 7.2 10.3 11.2 10.7 12.6 14.0 12.1 13.5 19.6 14.0 13.8 9.7 18.8 -20.0 -0.0 5.5 3.7 4.3 4.2 3.7 5.4 4.3 19.4 20.0 20.0 20.0 SOYOIL 2.7 -19.1 1.3 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -11.7 -0.2 6.0 5.0 -4.5 -4.1 8.8 20.0 15.1 18.3 -4.3 0.4 -1.3 7.0 -3.7 -16.2 -0.0 -1.5 -1.5 1.3 -1.1 4.3 -2.4 13.9 -15.7 -7.1 -18.8 13.7 SP400 -14.5 1.8 6.4 -0.7 5.2 -1.0 0.5 -2.1 -1.6 -1.1 0.9 -8.2 -5.6 -8.4 3.4 -4.1 -1.9 -2.7 -2.2 -1.0 0.3 -6.0 -2.5 -6.3 -7.7 -0.0 -0.5 0.5 0.5 -2.8 0.1 -3.2 0.0 -7.1 -1.2 -2.7 3.3 SP500 -15.6 2.9 2.1 -0.7 5.2 -1.0 0.5 -2.1 -1.6 -4.4 -4.6 -11.3 -8.6 -7.7 -1.0 -5.3 -3.5 -5.0 -4.4 -4.3 -4.5 -9.2 -7.1 -9.2 2.5 -0.0 -1.3 0.0 -1.9 -3.5 -3.5 -3.5 -3.3 -9.7 -3.3 -1.1 -3.1 SUGAR11 3.4 11.3 16.7 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 -13.8 9.0 -3.0 4.7 5.1 11.1 20.0 20.0 20.0 20.0 15.1 12.6 -7.8 7.2 7.6 -20.0 -0.0 6.1 0.9 4.5 4.3 2.7 6.0 20.0 1.6 20.0 20.0 20.0 US10 -9.7 16.6 -6.5 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 -6.3 -7.8 -12.4 -12.4 1.8 -0.6 -9.1 -0.6 -7.2 -4.9 -3.4 -12.4 -13.9 -20.0 -8.1 -7.2 -0.0 0.1 -3.8 -3.7 -4.5 -8.5 -1.3 -5.8 -10.8 8.8 10.4 3.2 US10U -11.5 17.6 -6.1 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 -3.0 -7.6 -11.6 -12.2 1.1 -0.6 1.3 4.8 0.9 1.9 -3.4 -11.9 -13.0 -20.0 -8.3 -9.2 -0.0 0.3 -2.3 -3.2 -3.9 -7.4 -1.2 4.6 -7.3 8.4 11.7 4.0 US20 -11.8 20.0 -3.2 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 -4.0 -6.1 -11.7 -11.5 3.2 1.6 -4.2 1.6 -1.5 -0.0 -1.9 -11.0 -15.1 -20.0 -8.0 -9.0 -0.0 0.7 -3.9 -2.5 -4.3 -5.9 -0.8 0.2 -14.0 7.7 17.6 3.6 US30 -13.9 20.0 4.1 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 -5.9 -6.0 -12.5 -12.8 0.8 1.2 0.3 0.4 -0.6 -0.5 -2.6 -11.5 -16.2 -20.0 -9.1 -8.8 -0.0 0.8 -3.2 -2.3 -4.3 -5.9 -0.9 -1.4 -12.5 6.6 15.9 8.0 US5 -6.3 15.8 -6.5 -2.5 3.2 -4.4 -1.9 -7.2 -3.1 -10.7 -7.8 -13.3 -12.7 3.2 -0.7 -5.6 0.9 -5.4 -3.8 -2.7 -13.2 -14.3 -20.0 -6.7 -5.1 -0.0 0.4 -4.0 -4.1 -4.1 -10.0 -0.6 -3.8 -12.0 12.4 11.1 2.3 VIX 3.8 -13.8 -9.0 -4.2 -0.0 -3.8 -0.4 -2.7 -2.3 -13.1 -13.7 -9.2 -11.6 -12.9 -14.3 -20.0 -20.0 -20.0 -19.2 -15.6 -13.8 -9.0 -10.2 -12.2 NaN -0.0 -5.4 0.3 -4.6 -0.4 -3.1 -3.2 NaN NaN NaN NaN NaN WHEAT 10.4 -17.5 -12.7 -2.7 -0.3 -3.8 1.0 -1.0 -0.2 3.3 -13.9 9.7 -9.6 -6.8 -9.5 -7.5 -4.7 -6.2 -5.4 -13.9 -16.2 7.3 -8.5 -3.1 -1.4 -0.0 -3.5 6.0 -3.0 5.2 0.6 0.2 -20.0 20.0 13.3 -13.6 -0.8 End of report for caleb_strategy_v1