******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230104_204257 produced at 2023-01-04 21:35:26.356405 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 8640732.59 -8640732.59 -0.20 -0.20 -28.05 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.14 0.0 38457470.00 -38457470.00 -0.19 -0.19 -3.60 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 40187390.80 -40187390.80 0.00 0.00 -3.08 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22920119.84 -22920119.84 -0.11 -0.11 -5.03 999999999 -5 -5 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.11 0.0 42455139.54 -42455139.54 -0.08 -0.08 -2.49 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.14 -0.11 0.0 34017339.96 -34017339.96 -0.14 -0.14 -3.09 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.08 0.0 48069619.66 -48069619.66 -0.10 -0.10 -1.69 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.05 -0.14 -0.07 0.0 45288439.30 -45288439.30 -0.14 -0.14 -1.60 999999999 -3 -3 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.75 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.05 0.0 48770459.37 -48770459.37 0.00 0.00 -1.02 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 77984829.49 -77984829.49 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.03 -0.03 0.0 3165134.06 -3165134.06 -0.03 -0.02 -10.13 999999999 -8 -7 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 87727388.55 -87727388.55 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.02 0.0 54144520.38 -54144520.38 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.02 0.0 68695598.38 -68695598.38 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.02 0.0 5471275.94 -5471275.94 0.00 0.00 -2.81 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.02 0.0 13133203.83 -13133203.83 0.00 0.00 -1.59 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.01 0.0 5916329.12 -5916329.12 -0.01 -0.01 -2.19 999999999 -1 -1 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 13834930.67 -13834930.67 -0.01 -0.01 -0.45 999999999 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 36308961.60 -36308961.60 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33764505.38 -33764505.38 -0.07 -0.07 -0.34 999999999 -2 -2 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 47253451.90 -47253451.90 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9254632.69 -9254632.69 0.00 0.00 -1.30 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13302824.78 -13302824.78 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.00 0.0 25695090.22 -25695090.22 0.00 0.00 0.02 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.00 0.0 6593570.94 -6593570.94 -0.01 -0.01 -0.75 999999999 -1 -1 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6642895.86 -6642895.86 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.02 0.00 0.0 24323573.53 -24323573.53 -0.02 -0.02 0.15 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 13370957.05 -13370957.05 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 596689.60 -596689.60 0.00 0.00 7.61 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14837397.60 -14837397.60 -0.01 -0.01 -0.24 999999999 -1 -1 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.00 0.0 26326733.10 -26326733.10 -0.03 -0.03 -0.05 999999999 -1 -1 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21391136.00 -21391136.00 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 63820770.29 -63820770.29 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14277612.97 -14277612.97 0.00 0.00 0.06 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10871886.85 -10871886.85 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10561388.24 -10561388.24 0.03 0.03 0.87 999999999 3 3 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 19391081.42 -19391081.42 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.01 0.0 33196736.51 -33196736.51 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21424403.70 -21424403.70 0.02 0.02 0.65 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4571734.37 -4571734.37 0.00 0.00 1.35 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14981188.19 -14981188.19 0.00 0.00 0.88 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26784940.33 -26784940.33 0.03 0.03 0.51 999999999 1 1 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22368319.46 -22368319.46 0.04 0.04 0.42 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 25518070.11 -25518070.11 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7765942.69 -7765942.69 0.02 0.02 2.24 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9041719.36 -9041719.36 0.03 0.03 2.24 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.03 0.0 29887708.52 -29887708.52 0.03 0.03 1.13 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 42301817.74 -42301817.74 0.04 0.04 0.62 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.04 0.0 16099796.21 -16099796.21 0.06 0.06 2.55 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.04 0.0 41786156.99 -41786156.99 0.04 0.04 1.05 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 49263686.15 -49263686.15 0.00 0.00 0.75 999999999 0 0 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.11 0.0 0.00 0.00 0.00 0.00 16.51 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.12 0.0 24689074.75 -24689074.75 0.05 0.05 4.77 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.14 0.0 51310851.78 -51310851.78 0.10 0.10 2.69 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.18 0.0 44108140.35 -44108140.35 0.18 0.18 4.12 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 10.0 Shocked risk 30.4 Sum abs risk 35.3 Leverage 2.21 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2818048.09, 'annual_cash_vol_target': 704512.0225, 'daily_cash_vol_target': 44032.00140625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0060 0.6854 0.8768 14.0294 BITCOIN 701.8309 16815.0000 4.1738 66.7814 BOBL 0.3854 117.2100 0.3288 5.2613 BTP 0.9737 112.4100 0.8662 13.8590 BUND 0.8107 136.3500 0.5946 9.5136 BUXL 2.0801 143.8800 1.4457 23.1313 CAC 71.5187 6781.0000 1.0547 16.8751 CAD 0.0042 0.7419 0.5682 9.0909 CANOLA 8.9285 868.5000 1.0280 16.4487 CHF 0.0061 1.0837 0.5605 8.9685 COCOA 33.5494 2608.0000 1.2864 20.5825 COFFEE 0.0374 1.6075 2.3296 37.2734 COPPER 0.0498 3.7420 1.3319 21.3105 CORN 4.7770 595.2500 0.8025 12.8403 COTTON2 0.0183 0.8047 2.2721 36.3531 CRUDE_W 1.3751 72.4100 1.8990 30.3840 DAX 147.8676 14539.0000 1.0170 16.2727 DOW 320.0007 33345.0000 0.9597 15.3547 EUR 0.0057 1.0653 0.5329 8.5260 EUROSTX 47.4922 3981.0000 1.1930 19.0875 FEEDCOW 1.2612 191.7250 0.6578 10.5251 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.4616 842.2500 2.6669 42.6698 GASOILINE 0.0570 2.4362 2.3379 37.4067 GAS_US 0.2514 3.7680 6.6715 106.7438 GBP 0.0091 1.2077 0.7499 11.9982 GOLD_micro 15.7049 1858.1000 0.8452 13.5234 HEATOIL 0.0697 2.8037 2.4857 39.7718 JPY 0.0001 0.0076 1.0470 16.7513 LEANHOG 1.4468 92.5250 1.5637 25.0188 LIVECOW 0.8926 161.4750 0.5528 8.8446 MXP 0.0004 0.0510 0.6973 11.1561 NASDAQ 168.6620 10988.2500 1.5349 24.5589 NIKKEI 254.9315 25850.0000 0.9862 15.7791 NZD 0.0052 0.6304 0.8260 13.2155 OAT 0.8588 130.9100 0.6560 10.4964 OJ 0.0297 2.0425 1.4558 23.2925 PALLAD 48.4109 1798.5000 2.6917 43.0678 PLAT 21.0327 1092.9000 1.9245 30.7917 REDWHEAT 14.5625 836.2500 1.7414 27.8625 ROBUSTA 21.5512 1872.0000 1.1512 18.4198 RUSSELL 25.1760 1783.9000 1.4113 22.5806 SILVER-mini 0.4560 24.1500 1.8883 30.2124 SOYBEAN 10.5746 1391.5000 0.7599 12.1590 SOYMEAL 6.4276 453.7000 1.4167 22.6673 SOYOIL 1.0443 62.4800 1.6714 26.7430 SP400 31.4133 2472.2000 1.2707 20.3306 SP500 45.4102 3871.7500 1.1729 18.7658 SUGAR11 0.0024 0.1954 1.2251 19.6008 US10 0.4665 113.2500 0.4119 6.5908 US10U 0.6790 119.6406 0.5676 9.0812 US20 0.9808 127.6250 0.7685 12.2966 US30 1.6012 137.4375 1.1651 18.6409 US5 0.3000 108.3750 0.2769 4.4298 VIX 0.5414 24.3500 2.2234 35.5738 WHEAT 12.3444 779.7500 1.5831 25.3299 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 685.45 0.88 601.03 1.00 601.03 44032.0 73.26 1.27 9.29 BITCOIN 16.82 4.17 70.18 1.00 70.18 44032.0 627.39 5.15 322.96 BOBL 1172.10 0.33 385.43 1.06 407.63 44032.0 108.02 5.29 57.12 BTP 1124.10 0.87 973.68 1.06 1029.79 44032.0 42.76 7.17 30.65 BUND 1363.50 0.59 810.73 1.06 857.45 44032.0 51.35 7.27 37.32 BUXL 1438.80 1.45 2080.08 1.06 2199.93 44032.0 20.02 -2.47 -4.95 CAC 678.10 1.05 715.19 1.06 756.40 44032.0 58.21 2.10 12.23 CAD 741.90 0.57 421.53 1.00 421.53 44032.0 104.46 -0.26 -2.68 CANOLA 173.70 1.03 178.57 0.73 131.10 44032.0 335.86 4.39 147.53 CHF 1354.62 0.56 759.31 1.00 759.31 44032.0 57.99 -7.80 -45.26 COCOA 260.80 1.29 335.49 1.00 335.49 44032.0 131.25 -4.56 -59.79 COFFEE 602.81 2.33 1404.31 1.00 1404.31 44032.0 31.36 -3.25 -10.19 COPPER 935.50 1.33 1246.00 1.00 1246.00 44032.0 35.34 4.42 15.63 CORN 297.62 0.80 238.85 1.00 238.85 44032.0 184.35 5.23 96.42 COTTON2 402.35 2.27 914.17 1.00 914.17 44032.0 48.17 0.84 4.03 CRUDE_W 724.10 1.90 1375.06 1.00 1375.06 44032.0 32.02 0.05 0.17 DAX 145.39 1.02 147.87 1.06 156.39 44032.0 281.56 -1.84 -51.72 DOW 166.72 0.96 160.00 1.00 160.00 44032.0 275.20 -2.80 -76.98 EUR 1331.62 0.53 709.59 1.00 709.59 44032.0 62.05 -0.79 -4.87 EUROSTX 398.10 1.19 474.92 1.06 502.29 44032.0 87.66 3.59 31.44 FEEDCOW 958.62 0.66 630.60 1.00 630.60 44032.0 69.83 -16.45 -114.89 FTSE100 707.00 0.82 576.59 1.20 666.67 44032.0 66.05 -2.56 -16.93 GASOIL 842.25 2.67 2246.16 1.00 2246.16 44032.0 19.60 8.06 15.80 GASOILINE 1023.20 2.34 2392.17 1.00 2392.17 44032.0 18.41 -2.75 -5.06 GAS_US 376.80 6.67 2513.82 1.00 2513.82 44032.0 17.52 -10.69 -18.73 GBP 754.81 0.75 566.02 1.00 566.02 44032.0 77.79 3.67 28.55 GOLD_micro 185.81 0.85 157.05 1.00 157.05 44032.0 280.37 -1.19 -33.34 HEATOIL 1177.55 2.49 2927.09 1.00 2927.09 44032.0 15.04 9.75 14.67 JPY 951.50 1.05 996.18 1.00 996.18 44032.0 44.20 -1.18 -5.19 LEANHOG 370.10 1.56 578.72 1.00 578.72 44032.0 76.09 -4.48 -34.07 LIVECOW 645.90 0.55 357.05 1.00 357.05 44032.0 123.32 -15.18 -187.23 MXP 254.80 0.70 177.66 1.00 177.66 44032.0 247.84 7.37 182.65 NASDAQ 2197.65 1.53 3373.24 1.00 3373.24 44032.0 13.05 -6.13 -8.00 NIKKEI 25850.00 0.99 25493.15 0.01 195.10 44032.0 225.69 3.85 86.90 NZD 630.35 0.83 520.65 1.00 520.65 44032.0 84.57 3.09 26.15 OAT 1309.10 0.66 858.80 1.06 908.29 44032.0 48.48 7.62 36.95 OJ 306.38 1.46 446.01 1.00 446.01 44032.0 98.72 -1.87 -18.49 PALLAD 1798.50 2.69 4841.09 1.00 4841.09 44032.0 9.10 -2.60 -2.36 PLAT 546.45 1.92 1051.63 1.00 1051.63 44032.0 41.87 3.78 15.82 REDWHEAT 418.12 1.74 728.13 1.00 728.13 44032.0 60.47 -7.41 -44.78 ROBUSTA 187.20 1.15 215.51 1.00 215.51 44032.0 204.31 -1.10 -22.53 RUSSELL 89.20 1.41 125.88 1.00 125.88 44032.0 349.79 -5.59 -195.64 SILVER-mini 603.75 1.89 1140.05 1.00 1140.05 44032.0 38.62 7.47 28.85 SOYBEAN 695.75 0.76 528.73 1.00 528.73 44032.0 83.28 9.72 80.98 SOYMEAL 453.70 1.42 642.76 1.00 642.76 44032.0 68.50 6.31 43.26 SOYOIL 374.88 1.67 626.59 1.00 626.59 44032.0 70.27 2.51 17.63 SP400 2472.20 1.27 3141.33 1.00 3141.33 44032.0 14.02 -3.74 -5.24 SP500 1935.88 1.17 2270.51 1.00 2270.51 44032.0 19.39 -4.22 -8.18 SUGAR11 218.85 1.23 268.10 1.00 268.10 44032.0 164.24 10.03 164.76 US10 1132.50 0.41 466.51 1.00 466.51 44032.0 94.39 -8.52 -80.38 US10U 1196.41 0.57 679.05 1.00 679.05 44032.0 64.84 -2.63 -17.08 US20 1276.25 0.77 980.85 1.00 980.85 44032.0 44.89 -4.84 -21.74 US30 1374.38 1.17 1601.23 1.00 1601.23 44032.0 27.50 -4.41 -12.13 US5 1083.75 0.28 300.05 1.00 300.05 44032.0 146.75 -6.39 -93.72 VIX 243.50 2.22 541.39 1.00 541.39 44032.0 81.33 -18.30 -148.83 WHEAT 389.88 1.58 617.22 1.00 617.22 44032.0 71.34 -11.82 -84.33 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 9.289 0.006 2.5 0.148 BITCOIN 322.957 0.009 2.5 7.609 BOBL 57.120 0.029 2.5 4.122 BTP 30.654 0.008 2.5 0.619 BUND 37.316 0.029 2.5 2.693 BUXL -4.947 0.034 2.5 -0.415 CAC 12.227 0.011 2.5 0.344 CAD -2.683 0.007 2.5 -0.048 CANOLA 147.525 0.004 2.5 1.354 CHF -45.256 0.015 2.5 -1.694 COCOA -59.795 0.009 2.5 -1.303 COFFEE -10.192 0.005 2.5 -0.132 COPPER 15.632 0.011 2.5 0.427 CORN 96.417 0.004 2.5 0.870 COTTON2 4.030 0.006 2.5 0.061 CRUDE_W 0.167 0.053 2.5 0.022 DAX -51.718 0.022 2.5 -2.809 DOW -76.981 0.011 2.5 -2.194 EUR -4.872 0.015 2.5 -0.182 EUROSTX 31.440 0.011 2.5 0.884 FEEDCOW -114.887 0.011 2.5 -3.087 FTSE100 -16.928 0.041 2.5 -1.745 GASOIL 15.797 0.029 2.5 1.127 GASOILINE -5.060 0.016 2.5 -0.208 GAS_US -18.733 0.006 2.5 -0.282 GBP 28.551 0.007 2.5 0.510 GOLD_micro -33.343 0.009 2.5 -0.746 HEATOIL 14.670 0.029 2.5 1.046 JPY -5.195 0.026 2.5 -0.336 LEANHOG -34.069 0.019 2.5 -1.592 LIVECOW -187.232 0.011 2.5 -5.031 MXP 182.655 0.005 2.5 2.236 NASDAQ -8.004 0.022 2.5 -0.435 NIKKEI 86.902 0.076 2.5 16.506 NZD 26.153 0.006 2.5 0.418 OAT 36.948 0.008 2.5 0.746 OJ -18.485 0.007 2.5 -0.322 PALLAD -2.361 0.010 2.5 -0.057 PLAT 15.816 0.010 2.5 0.381 REDWHEAT -44.784 0.002 2.5 -0.239 ROBUSTA -22.531 0.005 2.5 -0.292 RUSSELL -195.635 0.021 2.5 -10.133 SILVER-mini 28.854 0.009 2.5 0.646 SOYBEAN 80.984 0.024 2.5 4.775 SOYMEAL 43.257 0.024 2.5 2.550 SOYOIL 17.630 0.004 2.5 0.162 SP400 -5.237 0.021 2.5 -0.271 SP500 -8.180 0.011 2.5 -0.233 SUGAR11 164.762 0.005 2.5 2.236 US10 -80.383 0.015 2.5 -3.084 US10U -17.077 0.058 2.5 -2.488 US20 -21.738 0.029 2.5 -1.602 US30 -12.127 0.034 2.5 -1.018 US5 -93.716 0.015 2.5 -3.595 VIX -148.832 0.075 2.5 -28.047 WHEAT -84.327 0.002 2.5 -0.450 ==================== Position diags ==================== AUD 1.17 BITCOIN 14.78 BOBL 7.79 BTP 0.86 BUND 3.71 BUXL 1.68 CAC 1.64 CAD 1.87 CANOLA 3.08 CHF 2.17 COCOA 2.86 COFFEE 0.41 COPPER 0.97 CORN 1.66 COTTON2 0.73 CRUDE_W 4.23 DAX 15.29 DOW 7.84 EUR 2.32 EUROSTX 2.46 FEEDCOW 1.88 FTSE100 6.81 GASOIL 1.40 GASOILINE 0.76 GAS_US 0.26 GBP 1.39 GOLD_micro 6.27 HEATOIL 1.07 JPY 2.86 LEANHOG 3.55 LIVECOW 3.31 MXP 3.03 NASDAQ 0.71 NIKKEI 42.87 NZD 1.35 OAT 0.98 OJ 1.72 PALLAD 0.22 PLAT 1.01 REDWHEAT 0.32 ROBUSTA 2.65 RUSSELL 18.12 SILVER-mini 0.86 SOYBEAN 4.91 SOYMEAL 4.04 SOYOIL 0.65 SP400 0.73 SP500 0.55 SUGAR11 2.23 US10 3.62 US10U 9.45 US20 3.31 US30 2.31 US5 5.63 VIX 15.33 WHEAT 0.38 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 0.0 0.3 -1.0 -1 BITCOIN 7.6 6.1 9.1 NaN 0 BOBL 4.1 3.3 4.9 4.0 4 BTP 0.6 0.5 0.7 1.0 1 BUND 2.7 2.3 3.1 2.0 2 BUXL -0.4 -0.6 -0.2 0.0 0 CAC 0.3 0.2 0.5 0.0 0 CAD -0.0 -0.2 0.1 -1.0 -1 CANOLA 1.4 1.0 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 0.4 0.3 0.5 0.0 0 CORN 0.9 0.7 1.0 3.0 3 COTTON2 0.1 -0.0 0.1 NaN 0 CRUDE_W 0.0 -0.4 0.4 0.0 0 DAX -2.8 -4.3 -1.3 0.0 0 DOW -2.2 -3.0 -1.4 -1.0 -1 EUR -0.2 -0.4 0.0 0.0 0 EUROSTX 0.9 0.6 1.1 0.0 0 FEEDCOW -3.1 -3.3 -2.9 -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 -0.3 0.0 0 GBP 0.5 0.4 0.6 1.0 1 GOLD_micro -0.7 -1.4 -0.1 -1.0 -1 HEATOIL 1.0 0.9 1.2 1.0 1 JPY -0.3 -0.6 -0.1 -2.0 -2 LEANHOG -1.6 -1.9 -1.2 0.0 0 LIVECOW -5.0 -5.4 -4.7 -5.0 -5 MXP 2.2 1.9 2.5 3.0 3 NASDAQ -0.4 -0.5 -0.4 0.0 0 NIKKEI 16.5 12.2 20.8 0.0 0 NZD 0.4 0.3 0.6 2.0 2 OAT 0.7 0.6 0.8 0.0 0 OJ -0.3 -0.5 -0.2 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.4 0.3 0.5 NaN 0 REDWHEAT -0.2 -0.3 -0.2 -1.0 -1 ROBUSTA -0.3 -0.6 -0.0 0.0 0 RUSSELL -10.1 -11.9 -8.3 -8.0 -8 SILVER-mini 0.6 0.6 0.7 1.0 1 SOYBEAN 4.8 4.3 5.3 2.0 2 SOYMEAL 2.6 2.1 3.0 4.0 4 SOYOIL 0.2 0.1 0.2 0.0 0 SP400 -0.3 -0.3 -0.2 0.0 0 SP500 -0.2 -0.3 -0.2 0.0 0 SUGAR11 2.2 2.0 2.5 2.0 2 US10 -3.1 -3.4 -2.7 NaN 0 US10U -2.5 -3.4 -1.5 -2.0 -2 US20 -1.6 -1.9 -1.3 -3.0 -3 US30 -1.0 -1.2 -0.8 0.0 0 US5 -3.6 -4.2 -3.0 -5.0 -5 VIX -28.0 -29.6 -26.5 -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 0.1 0.0 0.0 0.1 -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 -0.3 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 0.1 -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 0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.7 0.0 -0.3 -0.1 0.2 BUND -0.2 0.1 -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 0.1 -0.1 0.0 -0.2 -0.0 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 -0.0 -0.4 -0.1 0.0 CAC -0.2 0.1 0.3 -0.0 0.1 -0.0 0.1 -0.1 -0.0 0.1 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 -1.5 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.0 0.0 -0.0 0.1 0.2 CAD 0.0 0.0 -0.1 0.0 0.0 0.0 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 1.7 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.0 -0.1 -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 0.2 0.5 0.1 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 0.1 0.0 0.0 0.1 -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 -0.1 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 0.2 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 -1.3 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -2.7 0.2 0.4 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 -1.6 0.0 0.2 0.1 -0.3 COPPER -0.0 0.2 0.3 0.0 0.0 0.1 0.0 0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.2 -0.1 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 0.0 1.5 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.3 -0.1 -0.1 -0.0 0.0 CORN 0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.1 -0.0 -0.1 1.6 0.7 0.4 0.4 -0.0 0.0 -0.0 0.1 -0.0 -1.5 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.2 -0.0 0.1 -0.2 -0.0 COTTON2 0.0 0.1 -0.8 -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 -0.0 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 -1.0 0.0 -0.1 0.1 0.1 DAX -0.3 0.1 0.4 -0.0 0.1 -0.0 0.1 -0.1 -0.0 0.0 0.2 0.0 -0.1 0.0 0.3 -0.3 -0.1 -0.1 -0.1 0.1 0.1 0.0 -0.0 0.0 -1.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 -0.1 0.1 0.3 DOW -0.2 0.1 0.3 -0.0 0.1 -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 -0.3 -0.1 -0.0 0.2 EUR 0.0 0.3 0.3 0.1 0.0 0.0 0.1 -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 0.1 -0.0 0.1 -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 -2.1 -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 0.1 0.0 -0.0 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.0 0.0 -0.0 0.0 -3.1 -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 -0.0 0.1 0.0 -0.1 -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 -0.6 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.5 -0.2 -0.3 -0.2 -0.0 GASOILINE 0.2 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.3 0.0 0.1 -0.0 -0.1 -1.7 0.8 -0.2 0.2 -0.0 -0.1 0.0 0.1 0.0 -0.8 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.3 0.1 0.2 GAS_US -0.2 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.4 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 0.1 -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 1.9 -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 0.1 0.3 0.2 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.1 -0.2 0.1 0.3 -0.9 -0.4 -0.2 -0.2 0.2 0.1 0.0 -0.0 0.0 1.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -1.7 0.0 0.2 0.1 -0.0 HEATOIL 0.2 -0.3 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.1 -0.1 0.0 0.2 -0.0 -0.1 1.7 0.9 0.5 0.5 -0.1 -0.0 -0.0 0.1 -0.0 -1.4 -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 0.1 -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 -0.1 0.0 1.4 -0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -2.0 -0.1 0.3 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 0.6 -0.4 0.1 0.0 0.0 -0.0 0.0 0.0 -1.6 -0.0 0.0 -0.0 -0.0 -0.0 0.0 0.0 0.4 -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 0.3 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 0.4 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 0.2 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 0.1 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.3 -0.3 -0.1 -0.1 -0.1 -0.2 -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 -0.2 -0.1 -0.2 NIKKEI -0.2 -0.2 -0.0 -0.0 0.1 -0.0 0.1 -0.1 -0.0 -0.0 -0.1 -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 -0.3 -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 0.1 -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 1.3 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 2.7 0.0 -0.3 -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 0.1 0.0 0.3 PALLAD -0.1 -0.1 -0.2 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.3 -0.0 -0.2 -0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.1 -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 -0.3 -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 0.1 0.3 -0.1 -0.0 -0.0 -0.0 0.2 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 0.4 0.0 0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.5 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -2.2 0.0 0.1 -0.1 0.0 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 0.3 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 -0.5 -0.0 -0.2 0.1 -0.3 RUSSELL -0.2 -0.1 0.1 -0.0 0.1 -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 -0.1 -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 -0.3 -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 0.2 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 0.3 1.1 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 -0.0 -0.3 0.2 SP400 -0.2 0.0 0.1 -0.0 0.0 -0.0 0.1 -0.1 -0.0 0.0 0.0 -0.0 -0.2 -0.0 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.2 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 SP500 -0.2 0.0 0.0 -0.0 0.1 -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 -0.1 -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 -0.2 -0.1 -0.0 -0.1 SUGAR11 0.0 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 1.6 0.8 0.4 0.4 0.1 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 -1.2 -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 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.1 -0.0 -0.3 0.0 0.1 -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 0.0 0.2 0.0 US30 -0.2 0.3 0.1 -0.0 0.1 -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 0.0 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 -0.4 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.7 -0.0 0.0 -0.0 -0.1 -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 -0.5 -3.1 -1.6 -0.8 -0.8 -0.3 -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 -0.2 -0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 0.0 -0.2 -0.0 -0.2 -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 0.0 0.2 -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 14.0 5.7 3.2 3.7 0.1 2.8 -3.7 3.1 10.7 -2.6 4.0 -7.8 10.0 8.5 -2.9 -2.1 -2.8 -2.5 5.5 -1.3 6.9 -7.9 6.5 5.8 -0.0 2.5 11.0 -1.6 7.9 -5.0 4.7 -0.4 9.9 0.6 -3.8 -8.4 BITCOIN 1.4 -5.3 3.3 3.2 1.6 2.3 0.8 0.9 1.7 12.5 -15.0 -8.3 -16.0 -3.5 -9.3 2.2 -0.5 1.5 0.7 -7.6 -17.6 0.3 -20.0 -2.7 20.0 -0.0 -4.6 1.8 -7.3 0.7 -7.6 -1.6 2.6 3.3 1.0 -20.0 -20.0 BOBL -20.0 1.6 -9.3 -2.1 7.2 -4.3 1.0 -7.3 -1.8 10.3 -13.9 -9.6 -13.8 -11.2 -12.9 -3.2 13.9 7.9 13.3 -19.4 -20.0 -7.6 -20.0 -19.3 14.2 -0.0 -4.9 5.4 -6.4 -1.0 -9.4 -4.6 20.0 -0.0 -16.2 -19.6 -8.5 BTP -20.0 5.9 7.6 -2.1 7.2 -4.3 1.0 -7.3 -1.8 10.5 -5.0 -9.6 -11.3 -10.2 -1.6 10.3 14.5 14.4 16.0 -7.9 -8.4 -5.7 -17.0 -13.5 1.2 -0.0 -2.0 5.9 -3.2 -0.5 -7.6 -3.2 20.0 3.5 -12.1 -6.6 11.1 BUND -20.0 3.9 -6.2 -2.1 7.2 -4.3 1.0 -7.3 -1.8 10.3 -12.1 -9.3 -13.2 -10.4 -10.6 13.4 16.0 13.8 14.9 -17.7 -19.5 -9.0 -20.0 -19.9 10.7 -0.0 -4.2 5.9 -5.7 -0.7 -8.6 -4.2 20.0 2.3 -15.8 -14.1 -6.4 BUXL -20.0 10.1 -0.7 -2.1 7.2 -4.3 1.0 -7.3 -1.8 9.5 -8.2 -10.2 -11.8 -10.0 -5.2 4.0 -0.9 4.8 3.0 -14.4 -14.4 -15.4 -20.0 -20.0 6.2 -0.0 -2.9 3.9 -3.6 -2.0 -6.0 -4.1 -0.1 -3.1 -20.0 -7.0 0.2 CAC -20.0 4.5 15.0 -0.2 8.7 -0.9 3.1 -2.1 -0.3 13.4 11.1 3.5 0.6 3.6 12.1 -1.5 3.2 -0.3 1.1 8.6 9.2 10.4 5.2 4.9 -13.8 -0.0 2.4 8.6 2.9 2.7 1.5 0.5 7.3 1.1 -2.2 4.8 17.3 CAD 1.3 1.5 -4.3 3.2 3.7 0.1 2.8 -3.7 3.1 7.2 -9.9 4.5 -11.1 -7.6 -5.5 -1.7 -1.0 -1.8 -1.5 -5.1 -9.7 2.7 -11.6 -1.2 12.2 -0.0 -3.2 14.2 -6.5 7.7 -8.0 0.7 1.3 3.9 -3.8 -20.0 -20.0 CANOLA 9.3 1.8 1.4 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 2.9 -8.9 10.8 -3.8 7.2 7.2 3.1 12.4 7.5 8.4 3.0 -4.1 8.2 -0.4 7.9 6.0 -0.0 0.5 -0.7 -0.6 2.3 1.9 2.3 -2.0 6.5 11.1 -7.4 16.1 CHF 0.9 20.0 12.5 3.2 3.7 0.1 2.8 -3.7 3.1 -5.2 9.6 -2.0 -2.4 12.4 13.7 -13.3 -12.0 -12.8 -12.7 15.0 8.8 -0.7 -1.4 9.4 -9.3 -0.0 4.6 3.4 1.7 3.0 -2.3 4.1 -17.7 -10.1 2.9 10.1 6.7 COCOA 4.7 12.6 15.3 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 1.5 6.6 8.6 -6.2 11.2 13.3 -1.1 -2.9 -0.6 -1.2 13.1 7.1 8.5 -1.3 13.0 -8.8 -0.0 5.3 6.4 2.7 7.5 -0.3 6.8 -20.0 20.0 19.3 19.3 20.0 COFFEE 15.9 4.7 -20.0 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -13.6 -12.5 -1.5 -9.1 2.3 -12.0 0.3 3.8 2.5 4.3 -12.8 -19.2 -7.1 -12.7 -4.0 9.3 -0.0 -3.4 -4.3 -5.9 -0.3 -3.7 0.5 -12.0 0.4 12.6 4.1 -20.0 COPPER -3.2 12.2 16.3 3.2 1.6 2.3 0.8 0.9 1.7 -13.0 -4.6 -9.3 -8.0 4.4 9.3 -0.9 -0.1 -0.5 -0.3 9.2 2.6 -5.3 -7.3 3.6 12.3 -0.0 3.9 -3.0 1.7 -1.9 -1.3 1.4 2.0 -6.5 -3.6 -1.4 1.8 CORN 9.6 -12.9 -1.0 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -9.7 0.8 0.9 4.4 -4.1 -6.5 20.0 16.2 20.0 17.9 -3.3 0.2 -2.9 11.0 -0.8 -9.7 -0.0 -3.5 -10.4 -1.4 -3.8 4.1 -2.2 9.0 -5.3 4.9 -11.7 -1.6 COTTON2 7.8 5.4 -18.8 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -13.3 -10.4 -5.8 -2.9 -0.9 -6.5 1.2 14.8 4.1 9.7 -5.4 -11.5 -6.8 -5.3 -2.1 1.7 -0.0 -0.2 -6.7 -2.4 -2.8 1.8 0.9 2.9 -20.0 1.5 13.4 -15.5 CRUDE_W 4.5 -3.4 -0.7 -2.0 -4.6 -1.8 -0.1 3.6 0.2 -11.5 -6.0 -0.6 2.2 -3.5 4.7 6.8 12.6 7.5 9.8 -1.7 -2.0 -5.8 3.9 -1.1 -4.5 -0.0 -0.7 -6.2 0.2 -0.9 5.8 0.2 -7.6 4.2 -6.2 7.4 9.8 DAX -20.0 7.8 20.0 -0.2 8.7 -0.9 3.1 -2.1 -0.3 13.3 9.2 1.0 -3.4 3.2 11.4 -7.9 -2.8 -6.0 -4.5 9.1 8.7 8.5 -0.1 3.5 -9.7 -0.0 2.4 6.6 2.7 1.9 -0.3 0.2 -2.5 1.0 -3.7 9.3 20.0 DOW -18.7 5.7 15.3 -0.2 8.7 -0.9 3.1 -2.1 -0.3 4.5 7.7 -8.3 -0.5 -5.6 9.1 -5.7 -2.6 -5.2 -4.3 5.2 6.5 -4.1 1.3 -3.0 -7.5 -0.0 1.5 0.6 1.9 -1.6 0.5 -1.5 -2.4 -17.9 -5.4 -1.2 11.5 EUR 3.6 20.0 18.4 3.2 3.7 0.1 2.8 -3.7 3.1 -7.7 4.6 -0.4 -8.0 13.2 14.9 -7.8 -8.4 -7.8 -8.2 19.7 8.9 0.1 -9.8 12.9 0.9 -0.0 5.2 3.9 1.3 4.2 -4.5 5.2 -10.8 0.1 8.6 10.1 14.7 EUROSTX -20.0 5.6 18.4 -0.2 8.7 -0.9 3.1 -2.1 -0.3 13.1 10.7 1.4 -0.8 4.8 11.9 8.7 3.9 5.1 3.7 9.0 9.6 8.1 3.6 3.7 -16.3 -0.0 2.7 6.5 3.4 1.6 1.1 0.2 9.6 -1.8 -4.6 10.1 20.0 FEEDCOW 5.2 10.4 0.3 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 7.1 2.3 10.8 -0.5 13.4 7.1 -20.0 -20.0 -20.0 -20.0 6.8 2.1 9.0 -0.7 9.1 -18.1 -0.0 4.7 12.4 1.3 11.1 -0.1 8.1 -20.0 20.0 18.0 20.0 3.2 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL 10.1 -18.2 -11.1 -2.0 -4.6 -1.8 -0.1 3.6 0.2 -13.0 -5.4 -0.1 9.1 -3.5 -6.6 20.0 20.0 20.0 20.0 -6.3 -1.7 -7.4 10.6 -4.3 -5.9 -0.0 -4.5 -7.9 -1.7 -6.6 3.8 -5.3 18.6 -20.0 -15.3 -17.2 -1.9 GASOILINE 17.7 -7.6 -11.8 -2.0 -4.6 -1.8 -0.1 3.6 0.2 -10.3 -11.0 5.4 2.7 -0.7 -3.7 -20.0 19.4 -7.6 9.1 -3.1 -4.3 2.6 4.7 3.2 -6.1 -0.0 0.9 4.1 0.3 8.4 5.6 5.4 0.0 20.0 16.2 9.5 13.1 GAS_US -20.0 -10.0 -20.0 -2.0 -4.6 -1.8 -0.1 3.6 0.2 -11.7 -12.5 -15.4 -2.8 -15.2 -14.7 20.0 -4.3 6.9 -0.9 -20.0 -15.4 -20.0 -3.8 -20.0 -6.5 -0.0 -4.6 -3.0 -1.7 -7.0 2.7 -7.0 -20.0 -20.0 -20.0 -1.6 -17.1 GBP -11.4 17.8 13.5 3.2 3.7 0.1 2.8 -3.7 3.1 2.4 4.1 -12.7 -6.0 5.0 10.9 -2.0 -1.6 -2.0 -1.9 9.2 3.3 -5.4 -9.0 1.1 12.9 -0.0 2.0 2.5 -2.5 0.3 -8.1 1.1 0.4 -9.3 -11.8 -4.6 -4.2 GOLD_micro 4.9 20.0 12.6 3.2 1.6 2.3 0.8 0.9 1.7 14.0 0.4 14.6 -7.9 15.6 14.1 -11.0 -8.6 -10.6 -10.0 14.8 5.1 17.1 -3.9 16.6 8.4 -0.0 4.4 4.3 1.7 3.5 -0.8 4.1 -13.5 0.8 8.4 9.8 -2.3 HEATOIL 11.9 -15.9 -8.9 -2.0 -4.6 -1.8 -0.1 3.6 0.2 -13.2 -5.3 2.7 8.4 -0.8 -3.0 20.0 20.0 20.0 20.0 -4.4 -0.9 -7.3 10.5 -2.3 -14.2 -0.0 -2.3 -3.2 0.5 -0.6 8.9 -1.0 20.0 0.6 1.7 -4.3 3.0 JPY 5.3 20.0 20.0 3.2 3.7 0.1 2.8 -3.7 3.1 3.2 -1.1 10.3 -10.9 13.4 12.2 -10.8 -10.4 -11.5 -11.6 13.8 1.9 10.8 -11.7 15.7 10.1 -0.0 4.7 0.9 0.0 3.8 -5.6 5.7 -15.5 -5.1 15.6 20.0 9.4 LEANHOG 3.8 -4.4 3.7 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -13.2 4.1 3.7 -0.3 3.6 9.1 -20.0 15.2 -20.0 4.8 2.1 1.9 -3.8 3.4 1.3 -10.4 -0.0 0.1 -5.0 -0.1 -1.3 1.2 0.3 2.9 -5.7 -2.1 1.8 7.6 LIVECOW 7.1 5.2 10.7 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -5.4 11.3 9.7 1.0 11.9 12.4 -20.0 -20.0 -20.0 -20.0 9.7 7.4 5.0 2.8 9.5 -20.0 -0.0 5.5 4.4 4.3 6.9 3.0 6.8 -20.0 9.0 20.0 16.2 16.6 MXP 2.5 -4.4 6.6 3.2 3.7 0.1 2.8 -3.7 3.1 13.9 13.4 13.6 14.6 7.1 10.7 18.5 20.0 18.7 19.4 10.3 13.0 10.5 14.1 9.4 -20.0 -0.0 5.0 1.5 5.5 4.5 5.1 4.6 20.0 7.2 4.4 -10.8 18.1 NASDAQ -18.7 -2.1 -3.4 -0.2 8.7 -0.9 3.1 -2.1 -0.3 2.9 -11.5 -11.2 -12.9 -10.6 -11.1 -5.0 -3.4 -4.8 -4.4 -12.2 -12.8 -12.4 -14.8 -15.4 7.9 -0.0 -3.5 1.6 -4.4 -2.6 -5.1 -4.4 -3.2 -18.1 -9.3 -4.1 -11.9 NIKKEI -20.0 -14.9 -2.0 -0.2 8.7 -0.9 3.1 -2.1 -0.3 -11.1 -2.1 -14.6 -0.3 -14.9 -9.1 18.6 10.2 12.7 11.3 -14.9 -5.5 -17.4 -0.9 -20.0 -2.0 -0.0 -5.0 -2.6 -2.8 -4.7 -1.5 -6.1 20.0 -20.0 -20.0 -20.0 -9.2 NZD -9.6 20.0 17.1 3.2 3.7 0.1 2.8 -3.7 3.1 -2.6 4.9 -8.3 -6.1 7.5 11.1 0.2 0.4 -0.3 -0.1 13.3 6.2 -3.7 -6.0 5.5 -0.6 -0.0 4.1 2.9 1.2 2.2 -2.5 3.2 3.7 -1.5 -4.1 7.4 4.4 OAT -20.0 4.5 0.4 -2.1 7.2 -4.3 1.0 -7.3 -1.8 10.8 -9.9 -9.4 -12.4 -10.3 -8.4 13.1 12.7 13.4 13.6 -14.5 -14.7 -8.5 -20.0 -18.7 10.1 -0.0 -3.5 5.6 -4.8 -0.9 -8.3 -4.0 20.0 2.4 -18.3 -11.7 -2.4 OJ -1.4 0.3 19.5 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -2.8 13.7 1.7 14.3 5.7 12.5 14.9 12.6 15.5 15.5 14.2 20.0 1.6 20.0 5.5 -20.0 -0.0 5.4 4.0 9.5 3.5 11.8 3.1 5.1 -0.8 5.1 1.3 20.0 PALLAD -5.5 -9.4 -11.2 3.2 1.6 2.3 0.8 0.9 1.7 4.7 -12.1 -4.5 -8.9 -9.5 -12.3 -1.3 -1.3 -1.5 -1.5 -12.6 -11.3 -3.7 -8.5 -9.3 7.4 -0.0 -4.7 6.0 -3.5 0.9 -2.2 -3.7 0.0 14.9 -13.7 -20.0 -20.0 PLAT -0.3 5.4 17.7 3.2 1.6 2.3 0.8 0.9 1.7 13.2 11.1 13.1 0.2 12.6 13.4 -1.3 -0.5 -0.7 -0.5 12.8 9.8 19.5 3.3 14.7 -4.5 -0.0 5.6 6.3 4.0 7.3 0.8 6.0 1.6 20.0 17.6 5.2 17.3 REDWHEAT 6.6 -13.4 -8.9 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -11.1 -12.8 1.0 -6.5 -7.4 -9.8 5.4 0.9 4.4 2.9 -10.6 -10.7 -5.2 -3.5 -6.1 -3.7 -0.0 -3.7 -3.9 -2.3 -0.7 2.1 -1.8 -16.3 4.4 7.5 -10.5 3.4 ROBUSTA 8.2 6.9 -20.0 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 9.2 -10.9 3.4 -5.9 7.6 -10.1 15.7 8.6 12.4 10.2 -9.6 -15.0 0.6 -7.6 -2.1 -1.5 -0.0 -3.4 -2.7 -4.3 -4.4 -2.1 -2.9 -3.6 -20.0 -11.8 5.9 -20.0 RUSSELL -13.5 -4.1 2.9 -0.2 8.7 -0.9 3.1 -2.1 -0.3 9.8 -5.8 -6.4 -10.9 -10.1 -3.5 -4.7 -2.6 -4.4 -3.7 -6.7 -5.4 -3.9 -7.9 -8.7 -4.0 -0.0 -2.4 6.9 -1.9 1.9 -2.5 -2.6 -1.9 -7.7 -2.6 -9.8 -3.0 SILVER-mini 0.6 20.0 20.0 3.2 1.6 2.3 0.8 0.9 1.7 3.5 8.3 7.8 -3.3 13.3 14.4 -4.1 -3.5 -4.2 -4.0 18.7 11.8 6.3 0.7 14.6 6.0 -0.0 5.5 -0.7 3.1 0.9 -0.7 3.8 -4.0 -7.3 14.2 13.1 20.0 SOYBEAN 2.6 5.2 4.6 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -4.4 1.2 1.5 4.8 8.5 12.0 20.0 20.0 20.0 20.0 6.7 5.3 1.2 7.8 5.9 -20.0 -0.0 5.4 3.4 5.8 7.7 9.8 7.0 20.0 15.6 10.9 11.1 16.2 SOYMEAL 4.0 20.0 7.5 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 4.8 8.8 5.4 10.4 11.4 11.0 13.1 14.1 12.3 13.6 19.9 14.6 11.6 10.1 18.3 -20.0 -0.0 5.7 2.7 4.4 4.2 3.8 5.6 4.8 20.0 20.0 20.0 20.0 SOYOIL 1.7 -20.0 1.0 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -13.4 -0.3 3.7 5.0 -5.3 -4.6 8.3 20.0 14.7 18.0 -5.1 0.1 -5.8 7.0 -5.8 -15.9 -0.0 -1.7 -3.2 1.2 -2.7 4.3 -3.0 13.9 -13.8 -1.5 -20.0 13.4 SP400 -14.0 1.2 6.8 -0.2 8.7 -0.9 3.1 -2.1 -0.3 9.6 1.0 -4.5 -5.6 -7.8 3.5 -4.2 -1.9 -2.8 -2.2 -0.7 0.3 -1.4 -2.4 -4.4 -7.6 -0.0 -0.1 6.8 0.5 1.9 0.1 -1.4 0.0 -8.4 -2.1 -3.0 3.0 SP500 -16.4 2.2 2.4 -0.2 8.7 -0.9 3.1 -2.1 -0.3 8.9 -4.6 -10.0 -8.7 -8.2 -0.9 -5.4 -3.6 -5.0 -4.5 -4.4 -4.7 -6.4 -7.2 -8.4 2.5 -0.0 -1.2 3.0 -1.9 -0.8 -3.5 -2.5 -3.3 -13.8 -5.5 -1.9 -3.4 SUGAR11 1.1 9.8 16.2 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -14.0 8.7 -7.1 4.7 1.1 10.3 20.0 20.0 20.0 20.0 13.2 12.2 -13.2 7.2 3.3 -20.0 -0.0 6.0 -1.6 4.6 2.1 2.8 5.3 20.0 -2.7 20.0 20.0 20.0 US10 -9.9 16.9 -6.0 -2.1 7.2 -4.3 1.0 -7.3 -1.8 6.4 -7.8 -8.0 -12.4 0.9 0.2 -9.0 -0.6 -7.2 -4.9 -2.9 -12.3 -5.5 -20.0 -5.3 -7.0 -0.0 -0.1 -0.6 -3.8 -3.1 -8.7 -1.3 -5.9 -19.0 4.9 8.7 2.7 US10U -11.8 18.3 -4.2 -2.1 7.2 -4.3 1.0 -7.3 -1.8 6.3 -7.5 -8.0 -12.2 -0.0 -0.0 1.3 4.8 0.9 1.9 -3.0 -11.5 -5.4 -20.0 -5.7 -9.1 -0.0 0.4 3.5 -3.2 -0.3 -7.5 -0.2 4.6 -10.0 5.6 10.9 3.7 US20 -12.4 20.0 -2.1 -2.1 7.2 -4.3 1.0 -7.3 -1.8 6.5 -5.9 -7.7 -11.5 2.7 2.2 -4.0 1.5 -1.6 -0.1 -1.4 -10.8 -5.5 -20.0 -4.8 -8.9 -0.0 0.5 -0.7 -2.6 -2.9 -6.1 -0.9 0.1 -20.0 3.0 16.2 2.9 US30 -15.2 20.0 6.0 -2.1 7.2 -4.3 1.0 -7.3 -1.8 1.4 -5.9 -9.8 -12.8 -0.0 1.4 -0.0 0.3 -0.6 -0.5 -2.5 -11.2 -8.7 -20.0 -7.0 -8.8 -0.0 0.8 1.4 -2.3 -1.7 -6.1 -0.5 -1.4 -15.6 1.5 15.5 7.2 US5 -7.2 16.0 -6.3 -2.1 7.2 -4.3 1.0 -7.3 -1.8 0.3 -7.7 -9.6 -12.7 1.6 0.2 -5.1 0.8 -5.2 -3.8 -2.4 -13.2 -7.2 -20.0 -4.7 -4.8 -0.0 0.2 -1.2 -4.2 -3.1 -10.3 -0.8 -3.9 -20.0 8.5 9.2 2.0 VIX 3.3 -13.7 -9.7 -4.3 -2.1 -3.9 -1.2 -2.8 -2.6 -13.8 -13.9 -12.0 -11.7 -13.8 -14.6 -20.0 -20.0 -20.0 -19.5 -16.4 -14.2 -12.7 -10.4 -14.1 NaN -0.0 -5.5 -2.4 -4.7 -1.9 -3.2 -3.6 NaN NaN NaN NaN NaN WHEAT 12.2 -14.8 -11.8 -2.7 -3.3 -3.8 -0.6 -1.1 -0.8 -9.9 -14.1 1.9 -9.7 -8.1 -10.1 -7.6 -4.8 -6.3 -5.4 -13.4 -15.0 -3.5 -7.9 -6.1 -1.1 -0.0 -3.6 -3.2 -3.1 0.8 0.5 -0.6 -20.0 8.6 11.8 -12.7 -1.2 End of report for caleb_strategy_v1