******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230105_204310 produced at 2023-01-05 21:35:23.464989 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 0.0 8616343.20 -8616343.20 -0.20 -0.20 -29.06 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.14 0.0 38341951.61 -38341951.61 -0.19 -0.19 -3.54 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 40078849.50 -40078849.50 0.00 0.00 -3.08 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22866994.78 -22866994.78 -0.11 -0.11 -5.16 999999999 -5 -5 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.11 0.0 42350390.60 -42350390.60 -0.08 -0.08 -2.59 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.14 -0.10 0.0 33796099.25 -33796099.25 -0.14 -0.14 -3.10 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.08 0.0 47662472.56 -47662472.56 -0.10 -0.10 -1.75 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.05 -0.14 -0.08 0.0 45220288.86 -45220288.86 -0.14 -0.14 -1.67 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 48843673.93 -48843673.93 0.00 0.00 -1.07 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.04 0.0 76986849.24 -76986849.24 0.00 0.00 -0.48 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.03 0.0 86645663.60 -86645663.60 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.03 0.0 3128299.91 -3128299.91 -0.02 -0.02 -10.92 999999999 -7 -7 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.02 0.0 5874360.41 -5874360.41 -0.01 -0.01 -2.58 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.02 0.0 53669999.79 -53669999.79 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.02 0.0 68022129.20 -68022129.20 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.02 0.0 13009614.49 -13009614.49 0.00 0.00 -1.89 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 13810969.87 -13810969.87 -0.01 -0.01 -0.47 999999999 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 36361393.82 -36361393.82 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9293594.87 -9293594.87 0.00 0.00 -1.41 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33534595.00 -33534595.00 -0.07 -0.07 -0.44 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.01 0.0 6517217.62 -6517217.62 -0.01 -0.01 -0.87 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 46866879.14 -46866879.14 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 5420386.25 -5420386.25 0.00 0.00 -2.34 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13228746.18 -13228746.18 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.00 0.0 25856121.25 -25856121.25 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6485305.24 -6485305.24 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.02 0.00 0.0 24012294.72 -24012294.72 -0.02 -0.02 0.12 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 12165709.27 -12165709.27 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14803799.54 -14803799.54 -0.01 -0.01 -0.25 999999999 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 597648.00 -597648.00 0.00 0.00 8.00 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.03 -0.00 0.0 26127376.50 -26127376.50 -0.03 -0.03 -0.01 999999999 -1 -1 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21254976.25 -21254976.25 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 61732730.53 -61732730.53 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10959243.93 -10959243.93 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14692106.20 -14692106.20 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10491195.66 -10491195.66 0.03 0.03 0.83 999999999 3 3 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18961273.78 -18961273.78 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.01 0.00 0.01 0.0 14832422.73 -14832422.73 0.00 0.00 0.98 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 20831693.96 -20831693.96 0.02 0.02 0.59 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4522522.01 -4522522.01 0.00 0.00 1.21 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26445170.64 -26445170.64 0.03 0.03 0.44 999999999 1 1 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 25302477.99 -25302477.99 0.00 0.00 0.41 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22113507.98 -22113507.98 0.04 0.04 0.38 999999999 2 2 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7680530.32 -7680530.32 0.02 0.02 2.14 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9063116.56 -9063116.56 0.03 0.03 2.35 999999999 3 3 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 33902473.85 -33902473.85 0.00 0.00 0.47 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.03 0.0 29971045.65 -29971045.65 0.03 0.03 1.10 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 41898887.56 -41898887.56 0.04 0.04 0.64 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.04 0.0 16044836.63 -16044836.63 0.06 0.06 2.73 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.04 0.0 41673528.97 -41673528.97 0.04 0.04 1.05 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 48842835.78 -48842835.78 0.00 0.00 0.77 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.11 0.0 24563669.77 -24563669.77 0.05 0.05 4.68 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.12 0.0 0.00 0.00 0.00 0.00 16.85 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.14 0.0 50832687.61 -50832687.61 0.10 0.10 2.79 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.17 0.19 0.0 43702074.12 -43702074.12 0.17 0.17 4.24 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 31.2 Sum abs risk 36.0 Leverage 2.27 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2820221.92, 'annual_cash_vol_target': 705055.48, 'daily_cash_vol_target': 44065.9675} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6772 0.9195 14.7127 BITCOIN 687.7330 16855.0000 4.0803 65.2847 BOBL 0.3798 117.0600 0.3244 5.1910 BTP 0.9575 112.2300 0.8532 13.6510 BUND 0.8001 136.1600 0.5876 9.4018 BUXL 2.0667 143.7600 1.4376 23.0014 CAC 69.9239 6777.5000 1.0317 16.5073 CAD 0.0043 0.7368 0.5832 9.3312 CANOLA 8.6994 865.7000 1.0049 16.0783 CHF 0.0063 1.0754 0.5824 9.3188 COCOA 32.6723 2621.0000 1.2466 19.9449 COFFEE 0.0362 1.5985 2.2651 36.2410 COPPER 0.0514 3.8245 1.3442 21.5074 CORN 4.7588 591.7500 0.8042 12.8672 COTTON2 0.0185 0.8287 2.2368 35.7888 CRUDE_W 1.3300 72.9200 1.8239 29.1826 DAX 145.6396 14519.0000 1.0031 16.0495 DOW 315.7641 33134.0000 0.9530 15.2479 EUR 0.0059 1.0574 0.5602 8.9630 EUROSTX 46.5156 3973.0000 1.1708 18.7327 FEEDCOW 1.2676 190.6250 0.6650 10.6393 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 23.1568 845.2500 2.7396 43.8343 GASOILINE 0.0549 2.4416 2.2499 35.9986 GAS_US 0.2494 3.4310 7.2676 116.2811 GBP 0.0094 1.1933 0.7880 12.6084 GOLD_micro 16.2328 1838.0000 0.8832 14.1308 HEATOIL 0.0669 2.7983 2.3912 38.2592 JPY 0.0001 0.0076 1.0369 16.5910 LEANHOG 1.4167 91.7250 1.5445 24.7113 LIVECOW 0.8745 161.2250 0.5424 8.6783 MXP 0.0003 0.0511 0.6842 10.9471 NASDAQ 165.2690 10856.0000 1.5224 24.3580 NIKKEI 248.7868 25715.0000 0.9675 15.4796 NZD 0.0053 0.6236 0.8552 13.6831 OAT 0.8446 130.8300 0.6455 10.3286 OJ 0.0292 2.0605 1.4170 22.6722 PALLAD 47.8969 1741.0000 2.7511 44.0178 PLAT 21.2090 1069.5000 1.9831 31.7293 REDWHEAT 14.1477 835.0000 1.6943 27.1094 ROBUSTA 23.0752 1829.0000 1.2616 20.1860 RUSSELL 24.7429 1764.5000 1.4023 22.4362 SILVER-mini 0.4628 23.5000 1.9694 31.5100 SOYBEAN 10.4495 1385.5000 0.7542 12.0672 SOYMEAL 6.2894 452.5000 1.3899 22.2386 SOYOIL 1.0146 62.1800 1.6317 26.1075 SP400 30.6826 2443.6000 1.2556 20.0901 SP500 44.5902 3836.7500 1.1622 18.5950 SUGAR11 0.0024 0.1934 1.2383 19.8122 US10 0.4656 113.0312 0.4119 6.5910 US10U 0.6561 119.4375 0.5493 8.7892 US20 0.9558 127.5312 0.7495 11.9913 US30 1.5544 137.7500 1.1284 18.0545 US5 0.3018 108.1328 0.2791 4.4653 VIX 0.5321 24.3000 2.1896 35.0333 WHEAT 12.0409 779.0000 1.5457 24.7310 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.20 0.92 622.71 1.00 622.71 44065.97 70.76 1.06 7.48 BITCOIN 16.86 4.08 68.77 1.00 68.77 44065.97 640.74 5.30 339.61 BOBL 1170.60 0.32 379.79 1.06 402.76 44065.97 109.41 5.37 58.80 BTP 1122.30 0.85 957.53 1.06 1015.44 44065.97 43.40 7.27 31.53 BUND 1361.60 0.59 800.10 1.06 848.49 44065.97 51.93 7.44 38.66 BUXL 1437.60 1.44 2066.67 1.06 2191.67 44065.97 20.11 -2.38 -4.78 CAC 677.75 1.03 699.24 1.06 741.53 44065.97 59.43 2.43 14.45 CAD 736.85 0.58 429.73 1.00 429.73 44065.97 102.54 -0.05 -0.56 CANOLA 173.14 1.00 173.99 0.74 129.05 44065.97 341.47 3.87 132.14 CHF 1344.19 0.58 782.89 1.00 782.89 44065.97 56.29 -8.31 -46.79 COCOA 262.10 1.25 326.72 1.00 326.72 44065.97 134.87 -4.80 -64.68 COFFEE 599.44 2.27 1357.76 1.00 1357.76 44065.97 32.45 -3.33 -10.80 COPPER 956.12 1.34 1285.24 1.00 1285.24 44065.97 34.29 5.05 17.33 CORN 295.88 0.80 237.94 1.00 237.94 44065.97 185.20 5.00 92.55 COTTON2 414.35 2.24 926.82 1.00 926.82 44065.97 47.55 1.08 5.15 CRUDE_W 729.20 1.82 1330.00 1.00 1330.00 44065.97 33.13 0.25 0.82 DAX 145.19 1.00 145.64 1.06 154.45 44065.97 285.31 -1.51 -43.16 DOW 165.67 0.95 157.88 1.00 157.88 44065.97 279.11 -3.24 -90.53 EUR 1321.75 0.56 740.43 1.00 740.43 44065.97 59.51 -1.32 -7.88 EUROSTX 397.30 1.17 465.16 1.06 493.29 44065.97 89.33 3.91 34.92 FEEDCOW 953.12 0.66 633.79 1.00 633.79 44065.97 69.53 -16.60 -115.40 FTSE100 707.00 0.82 576.59 1.21 666.67 44065.97 66.10 -2.56 -16.94 GASOIL 845.25 2.74 2315.68 1.00 2315.68 44065.97 19.03 8.08 15.37 GASOILINE 1025.47 2.25 2307.22 1.00 2307.22 44065.97 19.10 -3.20 -6.11 GAS_US 343.10 7.27 2493.50 1.00 2493.50 44065.97 17.67 -10.87 -19.21 GBP 745.81 0.79 587.72 1.00 587.72 44065.97 74.98 3.30 24.76 GOLD_micro 183.80 0.88 162.33 1.00 162.33 44065.97 271.46 -1.43 -38.85 HEATOIL 1175.29 2.39 2810.34 1.00 2810.34 44065.97 15.68 9.39 14.72 JPY 945.75 1.04 980.69 1.00 980.69 44065.97 44.93 -1.51 -6.78 LEANHOG 366.90 1.54 566.66 1.00 566.66 44065.97 77.76 -5.21 -40.49 LIVECOW 644.90 0.54 349.79 1.00 349.79 44065.97 125.98 -15.23 -191.86 MXP 255.60 0.68 174.88 1.00 174.88 44065.97 251.98 7.63 192.14 NASDAQ 2171.20 1.52 3305.38 1.00 3305.38 44065.97 13.33 -6.63 -8.84 NIKKEI 25715.00 0.97 24878.68 0.01 187.66 44065.97 234.82 3.78 88.73 NZD 623.65 0.86 533.34 1.00 533.34 44065.97 82.62 2.89 23.91 OAT 1308.30 0.65 844.56 1.06 895.64 44065.97 49.20 7.77 38.23 OJ 309.08 1.42 437.96 1.00 437.96 44065.97 100.62 -1.38 -13.89 PALLAD 1741.00 2.75 4789.69 1.00 4789.69 44065.97 9.20 -2.69 -2.48 PLAT 534.75 1.98 1060.45 1.00 1060.45 44065.97 41.55 3.66 15.21 REDWHEAT 417.50 1.69 707.38 1.00 707.38 44065.97 62.29 -7.51 -46.77 ROBUSTA 182.90 1.26 230.75 1.00 230.75 44065.97 190.97 -0.96 -18.32 RUSSELL 88.22 1.40 123.71 1.00 123.71 44065.97 356.19 -5.92 -210.84 SILVER-mini 587.50 1.97 1157.01 1.00 1157.01 44065.97 38.09 6.94 26.42 SOYBEAN 692.75 0.75 522.47 1.00 522.47 44065.97 84.34 9.41 79.40 SOYMEAL 452.50 1.39 628.94 1.00 628.94 44065.97 70.06 6.61 46.32 SOYOIL 373.08 1.63 608.76 1.00 608.76 44065.97 72.39 2.61 18.87 SP400 2443.60 1.26 3068.26 1.00 3068.26 44065.97 14.36 -3.91 -5.61 SP500 1918.38 1.16 2229.51 1.00 2229.51 44065.97 19.76 -4.64 -9.18 SUGAR11 216.61 1.24 268.22 1.00 268.22 44065.97 164.29 9.60 157.71 US10 1130.31 0.41 465.62 1.00 465.62 44065.97 94.64 -8.47 -80.16 US10U 1194.38 0.55 656.10 1.00 656.10 44065.97 67.16 -2.65 -17.78 US20 1275.31 0.75 955.79 1.00 955.79 44065.97 46.10 -4.92 -22.68 US30 1377.50 1.13 1554.38 1.00 1554.38 44065.97 28.35 -4.48 -12.70 US5 1081.33 0.28 301.78 1.00 301.78 44065.97 146.02 -6.32 -92.23 VIX 243.00 2.19 532.07 1.00 532.07 44065.97 82.82 -18.62 -154.23 WHEAT 389.50 1.55 602.04 1.00 602.04 44065.97 73.19 -12.07 -88.37 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 7.484 0.006 2.5 0.120 BITCOIN 339.613 0.009 2.5 8.002 BOBL 58.805 0.029 2.5 4.243 BTP 31.534 0.008 2.5 0.637 BUND 38.664 0.029 2.5 2.790 BUXL -4.780 0.034 2.5 -0.401 CAC 14.447 0.011 2.5 0.406 CAD -0.560 0.007 2.5 -0.010 CANOLA 132.144 0.004 2.5 1.213 CHF -46.788 0.015 2.5 -1.751 COCOA -64.682 0.009 2.5 -1.409 COFFEE -10.801 0.005 2.5 -0.140 COPPER 17.328 0.011 2.5 0.474 CORN 92.550 0.004 2.5 0.835 COTTON2 5.149 0.006 2.5 0.078 CRUDE_W 0.821 0.053 2.5 0.108 DAX -43.160 0.022 2.5 -2.344 DOW -90.535 0.011 2.5 -2.580 EUR -7.881 0.015 2.5 -0.295 EUROSTX 34.919 0.011 2.5 0.982 FEEDCOW -115.400 0.011 2.5 -3.101 FTSE100 -16.942 0.041 2.5 -1.746 GASOIL 15.367 0.029 2.5 1.096 GASOILINE -6.113 0.016 2.5 -0.251 GAS_US -19.207 0.006 2.5 -0.289 GBP 24.764 0.007 2.5 0.442 GOLD_micro -38.853 0.009 2.5 -0.869 HEATOIL 14.718 0.029 2.5 1.050 JPY -6.780 0.026 2.5 -0.439 LEANHOG -40.485 0.019 2.5 -1.891 LIVECOW -191.860 0.011 2.5 -5.156 MXP 192.142 0.005 2.5 2.352 NASDAQ -8.837 0.022 2.5 -0.480 NIKKEI 88.731 0.076 2.5 16.853 NZD 23.911 0.006 2.5 0.382 OAT 38.229 0.008 2.5 0.772 OJ -13.893 0.007 2.5 -0.242 PALLAD -2.477 0.010 2.5 -0.060 PLAT 15.210 0.010 2.5 0.366 REDWHEAT -46.766 0.002 2.5 -0.250 ROBUSTA -18.324 0.005 2.5 -0.238 RUSSELL -210.840 0.021 2.5 -10.921 SILVER-mini 26.417 0.009 2.5 0.591 SOYBEAN 79.396 0.024 2.5 4.681 SOYMEAL 46.322 0.024 2.5 2.731 SOYOIL 18.874 0.004 2.5 0.173 SP400 -5.613 0.021 2.5 -0.291 SP500 -9.181 0.011 2.5 -0.262 SUGAR11 157.710 0.005 2.5 2.140 US10 -80.160 0.015 2.5 -3.075 US10U -17.783 0.058 2.5 -2.591 US20 -22.681 0.029 2.5 -1.672 US30 -12.702 0.034 2.5 -1.066 US5 -92.235 0.015 2.5 -3.539 VIX -154.227 0.075 2.5 -29.064 WHEAT -88.373 0.002 2.5 -0.472 ==================== Position diags ==================== AUD 1.13 BITCOIN 15.10 BOBL 7.89 BTP 0.88 BUND 3.75 BUXL 1.69 CAC 1.67 CAD 1.83 CANOLA 3.13 CHF 2.11 COCOA 2.94 COFFEE 0.42 COPPER 0.94 CORN 1.67 COTTON2 0.72 CRUDE_W 4.38 DAX 15.49 DOW 7.95 EUR 2.23 EUROSTX 2.51 FEEDCOW 1.87 FTSE100 6.81 GASOIL 1.36 GASOILINE 0.78 GAS_US 0.27 GBP 1.34 GOLD_micro 6.07 HEATOIL 1.12 JPY 2.91 LEANHOG 3.63 LIVECOW 3.39 MXP 3.08 NASDAQ 0.72 NIKKEI 44.60 NZD 1.32 OAT 0.99 OJ 1.76 PALLAD 0.22 PLAT 1.00 REDWHEAT 0.33 ROBUSTA 2.48 RUSSELL 18.45 SILVER-mini 0.85 SOYBEAN 4.97 SOYMEAL 4.13 SOYOIL 0.66 SP400 0.74 SP500 0.56 SUGAR11 2.23 US10 3.63 US10U 9.79 US20 3.40 US30 2.38 US5 5.60 VIX 15.61 WHEAT 0.39 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 0.0 0.2 -1.0 -1 BITCOIN 8.0 6.5 9.5 NaN 0 BOBL 4.2 3.5 5.0 4.0 4 BTP 0.6 0.5 0.7 1.0 1 BUND 2.8 2.4 3.2 2.0 2 BUXL -0.4 -0.6 -0.2 0.0 0 CAC 0.4 0.2 0.6 0.0 0 CAD -0.0 -0.2 0.2 -1.0 -1 CANOLA 1.2 0.9 1.5 NaN 0 CHF -1.8 -2.0 -1.5 -2.0 -2 COCOA -1.4 -1.7 -1.1 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.4 0.6 0.0 0 CORN 0.8 0.7 1.0 3.0 3 COTTON2 0.1 0.0 0.1 NaN 0 CRUDE_W 0.1 -0.3 0.5 0.0 0 DAX -2.3 -3.9 -0.8 0.0 0 DOW -2.6 -3.4 -1.8 -1.0 -1 EUR -0.3 -0.5 -0.1 0.0 0 EUROSTX 1.0 0.7 1.2 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 1.2 1.0 1 GASOILINE -0.3 -0.3 -0.2 0.0 0 GAS_US -0.3 -0.3 -0.3 0.0 0 GBP 0.4 0.3 0.6 1.0 1 GOLD_micro -0.9 -1.5 -0.3 -1.0 -1 HEATOIL 1.0 0.9 1.2 1.0 1 JPY -0.4 -0.7 -0.1 -2.0 -2 LEANHOG -1.9 -2.3 -1.5 0.0 0 LIVECOW -5.2 -5.5 -4.8 -5.0 -5 MXP 2.4 2.0 2.7 3.0 3 NASDAQ -0.5 -0.6 -0.4 0.0 0 NIKKEI 16.9 12.4 21.3 0.0 0 NZD 0.4 0.3 0.5 2.0 2 OAT 0.8 0.7 0.9 0.0 0 OJ -0.2 -0.4 -0.1 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 -0.2 -0.5 0.0 0.0 0 RUSSELL -10.9 -12.8 -9.1 -7.0 -7 SILVER-mini 0.6 0.5 0.7 1.0 1 SOYBEAN 4.7 4.2 5.2 2.0 2 SOYMEAL 2.7 2.3 3.1 4.0 4 SOYOIL 0.2 0.1 0.2 0.0 0 SP400 -0.3 -0.4 -0.2 0.0 0 SP500 -0.3 -0.3 -0.2 0.0 0 SUGAR11 2.1 1.9 2.4 2.0 2 US10 -3.1 -3.4 -2.7 NaN 0 US10U -2.6 -3.6 -1.6 -2.0 -2 US20 -1.7 -2.0 -1.3 -3.0 -3 US30 -1.1 -1.3 -0.8 0.0 0 US5 -3.5 -4.1 -3.0 -5.0 -5 VIX -29.1 -30.6 -27.5 -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 0.0 -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 0.2 0.0 -0.0 -0.1 BITCOIN 0.0 -0.1 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.4 -0.0 -0.4 -0.0 -0.2 0.1 -0.0 0.0 0.0 -0.1 -0.2 0.0 -0.3 -0.0 4.4 -0.0 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.2 0.0 0.1 -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 -0.2 -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 -0.2 1.1 0.7 0.3 0.3 -0.2 -0.2 -0.0 -0.3 -0.0 1.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 2.8 0.0 -0.3 -0.2 -0.1 BUXL -0.2 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.1 0.3 -0.0 0.1 0.1 -0.2 -0.2 -0.0 -0.3 -0.0 0.7 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.0 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 -0.2 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 0.3 CAD 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -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 0.1 -0.0 -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 0.0 0.4 0.1 0.1 0.0 -0.0 0.0 -0.0 0.0 1.3 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.3 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 0.0 0.3 -0.9 -0.5 -0.2 -0.3 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 0.1 0.2 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.2 0.0 -0.1 0.0 0.3 -0.1 -0.1 -0.0 -0.0 0.2 0.1 0.0 -0.0 0.0 -1.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -2.7 0.1 0.4 0.3 0.3 COFFEE 0.1 0.0 -0.3 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 0.0 -0.3 0.0 0.2 0.0 0.1 -0.2 -0.2 -0.0 -0.2 -0.0 1.5 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.5 0.0 0.3 0.1 -0.3 COPPER -0.1 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 0.0 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 -0.2 1.6 0.7 0.4 0.4 -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 1.4 -0.0 0.0 -0.1 -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 0.5 -0.0 0.1 0.4 -0.4 CRUDE_W 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.2 -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 -0.6 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.8 0.0 -0.1 0.1 0.1 DAX -0.3 0.1 0.4 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.0 0.2 0.0 -0.1 0.0 0.3 -0.3 -0.1 -0.1 -0.1 0.1 0.1 0.0 0.0 0.0 -1.4 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 0.0 -0.0 0.1 0.3 DOW -0.3 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 -0.2 -0.0 0.2 EUR -0.0 0.3 0.4 0.1 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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 0.2 -0.0 -0.2 -0.2 -0.0 -0.1 -0.0 -0.7 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.2 -0.4 -0.0 -0.3 GBP -0.2 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 -0.2 -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 -0.3 -0.1 -0.1 GOLD_micro 0.0 0.3 0.2 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 0.0 0.0 -0.2 0.1 0.3 -0.9 -0.4 -0.2 -0.2 0.2 0.1 0.0 -0.0 0.0 1.0 -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 0.1 -0.3 -0.2 -0.0 -0.1 -0.1 -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 -0.0 0.1 JPY 0.0 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 -0.1 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 0.3 -0.1 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 0.3 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 -0.3 -0.1 -0.1 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -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 -0.3 -0.1 -0.2 NIKKEI -0.2 -0.3 -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 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 2.6 -0.2 -0.4 -0.3 -0.2 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 0.1 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 -0.1 -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 0.9 0.0 0.2 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 -0.2 -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 0.2 0.1 0.0 0.0 0.0 -0.7 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.2 0.0 0.4 0.1 0.3 REDWHEAT 0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 -0.0 -0.2 0.4 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 -2.1 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 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 0.1 -0.3 RUSSELL -0.2 -0.1 0.0 -0.0 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.2 -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 -0.1 SILVER-mini -0.0 0.3 0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.2 -0.0 -0.1 0.0 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 0.2 0.2 SOYMEAL 0.0 0.3 0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 0.2 0.0 0.3 0.0 0.3 1.2 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 0.8 0.2 0.3 0.3 0.3 SOYOIL 0.0 -0.3 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 0.1 -0.0 -0.1 0.6 0.8 0.3 0.4 -0.1 -0.0 -0.0 0.1 -0.0 -2.2 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 2.0 -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 -0.1 -0.1 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 -0.2 -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 0.2 -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 0.0 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 0.0 US20 -0.2 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 -0.7 -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 -0.1 -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 -3.6 13.9 7.2 3.1 -0.1 0.1 1.5 -3.8 2.8 -0.1 -2.5 2.2 -7.7 8.4 8.8 -2.9 -2.1 -2.8 -2.5 5.2 -1.1 3.7 -7.5 5.5 5.7 -0.0 2.7 3.5 -1.5 5.4 -5.0 4.6 -0.4 12.0 1.7 -3.0 -8.2 BITCOIN 0.9 -4.7 2.1 3.0 -2.4 2.3 -0.8 1.0 1.1 13.6 -14.9 -6.8 -16.0 -1.7 -9.1 2.3 -0.4 1.5 0.7 -7.4 -17.7 1.0 -20.0 -2.2 20.0 -0.0 -4.5 1.5 -7.4 0.9 -7.8 -1.3 2.6 5.3 4.4 -20.0 -20.0 BOBL -20.0 1.4 -9.1 -1.9 6.4 -4.3 2.1 -7.4 -1.1 10.4 -13.8 -7.5 -13.8 -10.2 -12.4 -3.2 13.8 7.5 12.9 -18.9 -20.0 -3.5 -20.0 -16.7 14.2 -0.0 -4.7 4.9 -6.5 0.2 -9.6 -3.8 20.0 0.7 -15.6 -19.4 -8.3 BTP -20.0 5.1 7.4 -1.9 6.4 -4.3 2.1 -7.4 -1.1 11.5 -5.0 -7.2 -11.3 -9.2 -1.4 10.3 14.5 14.2 15.8 -7.4 -8.4 -1.1 -17.2 -10.8 0.9 -0.0 -1.7 5.9 -3.3 1.0 -7.7 -2.3 20.0 3.5 -10.7 -6.6 11.0 BUND -20.0 3.5 -6.1 -1.9 6.4 -4.3 2.1 -7.4 -1.1 11.2 -12.1 -7.0 -13.2 -9.4 -10.0 13.4 16.0 13.8 14.9 -17.1 -19.6 -4.1 -20.0 -16.9 10.6 -0.0 -4.0 5.6 -5.7 0.7 -8.9 -3.3 20.0 4.9 -14.9 -13.9 -6.2 BUXL -20.0 9.5 -0.5 -1.9 6.4 -4.3 2.1 -7.4 -1.1 10.9 -8.3 -8.4 -11.8 -9.2 -5.2 3.8 -0.8 4.6 3.0 -14.1 -14.6 -9.6 -20.0 -19.5 5.9 -0.0 -2.7 4.0 -3.7 -0.7 -6.2 -3.4 0.0 0.3 -20.0 -6.7 -0.2 CAC -20.0 4.0 15.8 -0.1 6.0 -0.8 3.3 -2.1 0.2 13.6 11.5 7.6 0.8 6.0 12.6 -1.9 3.2 -0.5 1.0 9.8 9.7 14.3 5.5 7.6 -13.8 -0.0 2.7 8.6 3.0 4.3 1.5 1.6 7.2 4.6 1.1 5.6 17.6 CAD 1.8 1.6 -3.2 3.1 -0.1 0.1 1.5 -3.8 2.8 1.8 -9.9 3.1 -11.1 -7.9 -5.1 -1.7 -1.0 -1.8 -1.5 -4.8 -9.4 1.3 -11.3 -1.3 12.2 -0.0 -2.8 5.9 -6.5 6.0 -8.2 1.3 1.3 7.4 -0.5 -20.0 -20.0 CANOLA 8.8 3.2 1.3 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -5.5 -8.8 9.0 -3.8 7.6 7.3 0.6 12.0 6.3 7.8 3.2 -3.9 5.9 -0.4 7.3 5.9 -0.0 0.5 -1.5 -0.6 1.1 1.9 1.7 -1.9 5.6 8.1 -6.5 16.7 CHF -3.3 18.6 13.2 3.1 -0.1 0.1 1.5 -3.8 2.8 -11.2 9.6 -7.2 -2.3 9.9 13.4 -13.4 -12.0 -12.8 -12.7 13.4 8.4 -4.8 -1.3 6.4 -9.4 -0.0 4.5 -0.7 1.8 1.1 -2.3 3.5 -17.7 -7.7 2.6 9.3 5.8 COCOA 5.5 13.1 15.7 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 5.8 7.1 10.2 -6.0 11.8 13.6 -1.1 -2.9 -0.6 -1.2 13.8 7.7 9.9 -1.1 13.6 -9.4 -0.0 5.6 5.4 2.8 7.2 -0.2 7.0 -20.0 17.4 19.2 18.3 20.0 COFFEE 13.3 3.4 -20.0 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -13.9 -12.6 -5.3 -9.2 0.3 -12.3 0.3 3.7 2.4 4.2 -13.8 -20.0 -10.2 -13.3 -6.3 9.3 -0.0 -3.6 -3.7 -6.0 -1.2 -3.8 -0.2 -11.2 0.4 13.3 4.5 -20.0 COPPER -4.5 12.3 17.4 3.0 -2.4 2.3 -0.8 1.0 1.1 0.8 -4.5 -3.5 -7.9 4.7 9.5 -1.0 -0.1 -0.5 -0.3 9.0 2.7 -0.9 -6.9 4.3 12.1 -0.0 4.1 2.8 1.9 1.1 -1.2 2.3 2.0 6.5 0.4 0.2 2.4 CORN 8.2 -13.2 -1.9 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -12.7 0.8 -5.7 4.3 -6.9 -7.7 20.0 16.3 20.0 18.0 -4.6 -0.3 -9.9 10.8 -4.5 -9.7 -0.0 -4.0 -9.5 -1.6 -6.3 3.8 -4.0 10.1 -11.6 2.1 -11.0 -2.2 COTTON2 8.2 5.5 -18.1 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -4.0 -10.3 -5.0 -3.1 -1.3 -6.1 1.0 14.7 4.0 9.5 -5.2 -11.2 -4.2 -5.2 -1.8 1.6 -0.0 -0.1 -0.4 -2.4 -0.6 1.8 1.3 3.5 -4.6 5.0 13.4 -14.7 CRUDE_W 2.8 -3.9 -0.7 -2.2 -5.4 -1.9 -1.5 3.6 -0.4 -11.8 -6.1 -3.6 2.1 -4.9 4.4 6.6 12.6 7.4 9.7 -2.4 -2.3 -8.3 3.9 -3.1 -4.7 -0.0 -0.7 -3.1 0.1 -1.0 5.8 -0.1 -5.8 4.7 -5.7 7.4 9.8 DAX -20.0 6.8 20.0 -0.1 6.0 -0.8 3.3 -2.1 0.2 12.8 9.5 5.3 -3.2 4.8 11.9 -7.9 -2.9 -6.1 -4.5 10.1 9.1 12.0 0.1 6.0 -9.6 -0.0 2.7 6.5 2.8 3.1 -0.2 1.1 -2.6 6.9 -0.4 8.5 20.0 DOW -19.7 4.1 15.6 -0.1 6.0 -0.8 3.3 -2.1 0.2 -3.7 7.7 -9.3 -0.4 -7.2 8.9 -5.8 -2.6 -5.3 -4.4 4.6 6.4 -5.2 1.3 -3.5 -7.4 -0.0 1.2 -1.3 1.9 -2.2 0.5 -1.8 -2.4 -19.4 -7.3 -2.6 11.4 EUR -1.6 20.0 20.0 3.1 -0.1 0.1 1.5 -3.8 2.8 -11.9 4.7 -6.1 -7.9 11.0 14.5 -8.0 -8.4 -7.9 -8.2 17.5 8.3 -4.6 -9.2 9.2 0.9 -0.0 5.2 -0.2 1.4 2.2 -4.4 4.6 -10.8 -1.3 7.4 10.0 14.2 EUROSTX -20.0 4.7 19.1 -0.1 6.0 -0.8 3.3 -2.1 0.2 13.0 11.0 5.6 -0.6 6.6 12.4 8.7 3.9 5.3 3.8 9.9 10.1 11.4 3.9 6.0 -16.2 -0.0 3.0 6.3 3.5 2.8 1.2 1.0 9.8 2.4 -1.9 9.8 20.0 FEEDCOW 5.0 10.4 1.0 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 4.8 2.5 9.8 -0.4 13.2 7.9 -20.0 -20.0 -20.0 -20.0 7.1 2.3 8.4 -0.6 9.2 -18.7 -0.0 4.9 6.0 1.6 8.7 -0.0 7.9 -20.0 20.0 19.2 20.0 4.6 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 6.6 -18.4 -11.4 -2.2 -5.4 -1.9 -1.5 3.6 -0.4 -11.3 -5.9 -3.4 9.0 -4.9 -7.2 20.0 20.0 20.0 20.0 -7.1 -2.1 -10.7 10.0 -6.8 -5.8 -0.0 -4.8 -5.2 -1.9 -6.5 3.5 -5.9 20.0 -20.0 -15.8 -18.0 -2.0 GASOILINE 15.4 -7.8 -11.9 -2.2 -5.4 -1.9 -1.5 3.6 -0.4 -12.9 -11.1 3.0 2.7 -1.2 -3.9 -20.0 18.5 -9.9 7.6 -3.5 -4.5 -1.0 4.8 1.4 -6.4 -0.0 1.4 2.9 0.5 7.1 5.6 5.6 0.0 20.0 18.3 10.1 13.5 GAS_US -20.0 -13.2 -20.0 -2.2 -5.4 -1.9 -1.5 3.6 -0.4 -13.4 -12.7 -15.6 -3.1 -15.5 -15.0 20.0 -4.0 7.6 -0.5 -20.0 -16.5 -20.0 -4.4 -20.0 -6.2 -0.0 -4.9 -4.4 -1.9 -7.2 2.4 -7.3 -20.0 -17.0 -20.0 -3.2 -18.4 GBP -15.5 16.5 15.0 3.1 -0.1 0.1 1.5 -3.8 2.8 -8.7 4.1 -13.9 -5.9 1.7 10.5 -2.1 -1.6 -2.0 -1.9 7.6 2.9 -8.8 -8.6 -1.1 13.0 -0.0 1.6 -2.8 -2.6 -2.2 -8.3 0.1 0.4 -9.3 -12.7 -4.6 -4.4 GOLD_micro 3.3 20.0 13.2 3.0 -2.4 2.3 -0.8 1.0 1.1 6.1 0.8 11.4 -7.7 14.3 14.1 -11.0 -8.6 -10.6 -10.0 14.5 5.3 13.0 -3.5 15.4 8.2 -0.0 4.3 -0.2 1.8 1.7 -0.8 3.6 -13.5 3.6 10.1 9.5 -1.2 HEATOIL 7.6 -16.3 -9.3 -2.2 -5.4 -1.9 -1.5 3.6 -0.4 -13.8 -5.6 0.3 8.3 -1.8 -3.6 20.0 20.0 20.0 20.0 -5.4 -1.3 -10.8 10.7 -4.9 -14.3 -0.0 -2.4 -2.7 0.5 -1.0 9.1 -1.3 20.0 1.7 1.6 -3.7 3.5 JPY 3.9 20.0 20.0 3.1 -0.1 0.1 1.5 -3.8 2.8 -4.2 -0.9 7.5 -10.8 12.2 12.1 -10.8 -10.4 -11.5 -11.6 13.6 2.2 6.0 -11.7 13.8 10.0 -0.0 4.7 -0.4 0.1 2.5 -5.6 5.2 -15.5 -8.6 15.9 20.0 9.6 LEANHOG 3.8 -5.3 4.0 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -13.8 4.1 0.8 -0.4 1.7 8.7 -20.0 14.4 -20.0 3.3 1.2 1.7 -7.5 3.4 -1.0 -10.6 -0.0 -0.2 -5.7 -0.2 -2.9 1.2 -0.7 1.9 -11.3 0.5 1.5 7.0 LIVECOW 6.9 5.0 11.1 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -7.3 11.4 7.8 1.1 11.4 12.3 -20.0 -20.0 -20.0 -20.0 9.7 7.6 3.6 3.0 8.7 -20.0 -0.0 5.6 2.2 4.4 5.5 3.1 6.5 -20.0 11.0 20.0 17.1 16.9 MXP 4.1 -4.0 7.0 3.1 -0.1 0.1 1.5 -3.8 2.8 13.7 13.6 14.3 14.7 8.4 11.2 18.6 20.0 18.8 19.4 10.9 13.4 11.2 14.4 10.3 -20.0 -0.0 5.2 2.3 5.6 4.4 5.2 4.8 20.0 7.6 7.6 -10.2 17.7 NASDAQ -20.0 -3.4 -4.6 -0.1 6.0 -0.8 3.3 -2.1 0.2 -3.9 -11.8 -12.3 -13.0 -11.5 -11.6 -5.1 -3.5 -4.8 -4.4 -13.1 -13.4 -13.4 -15.3 -16.1 8.0 -0.0 -3.8 -1.3 -4.5 -3.4 -5.2 -4.6 -3.2 -16.6 -11.6 -5.2 -12.1 NIKKEI -20.0 -16.9 -2.4 -0.1 6.0 -0.8 3.3 -2.1 0.2 -13.3 -2.7 -15.2 -0.5 -15.3 -9.9 18.9 10.3 13.0 11.5 -15.9 -6.3 -17.8 -1.3 -20.0 -1.4 -0.0 -5.0 -3.1 -3.0 -4.6 -1.6 -6.0 20.0 -20.0 -20.0 -20.0 -10.2 NZD -12.6 20.0 18.5 3.1 -0.1 0.1 1.5 -3.8 2.8 -10.4 5.0 -11.2 -6.1 4.8 10.8 0.3 0.4 -0.2 -0.1 11.8 5.9 -6.9 -5.7 3.0 -0.7 -0.0 4.1 -0.5 1.2 0.7 -2.5 2.7 3.7 3.1 -4.5 7.5 4.6 OAT -20.0 3.9 0.4 -1.9 6.4 -4.3 2.1 -7.4 -1.1 12.0 -10.0 -7.0 -12.4 -9.2 -8.0 13.0 12.7 13.4 13.6 -13.9 -14.8 -3.1 -20.0 -15.6 9.9 -0.0 -3.3 5.6 -4.9 0.5 -8.6 -3.1 20.0 5.7 -17.0 -11.5 -2.4 OJ -0.8 -0.1 19.8 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 7.3 13.7 3.7 14.3 6.8 12.6 15.2 12.7 15.6 15.6 14.4 20.0 3.9 20.0 6.2 -20.0 -0.0 5.7 4.6 9.6 4.3 11.9 3.8 6.1 8.5 7.1 2.9 20.0 PALLAD -6.3 -9.0 -11.7 3.0 -2.4 2.3 -0.8 1.0 1.1 -2.5 -12.2 -5.9 -9.1 -9.9 -12.4 -1.4 -1.3 -1.5 -1.5 -12.9 -11.6 -5.4 -8.7 -9.8 7.5 -0.0 -4.7 1.3 -3.6 -0.3 -2.3 -3.6 0.0 15.1 -12.6 -20.0 -20.0 PLAT -0.9 5.1 17.9 3.0 -2.4 2.3 -0.8 1.0 1.1 6.9 11.2 11.0 0.4 11.6 13.4 -1.3 -0.5 -0.7 -0.5 12.8 9.9 14.1 3.5 13.7 -4.7 -0.0 5.7 1.7 4.1 5.0 0.9 5.6 1.6 20.0 19.6 5.5 17.1 REDWHEAT 5.8 -13.8 -9.6 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -13.1 -12.9 -3.3 -6.6 -8.7 -10.3 5.2 0.9 4.4 3.0 -11.5 -11.2 -8.8 -3.8 -8.2 -3.5 -0.0 -3.9 -3.2 -2.4 -1.6 2.1 -2.3 -15.3 1.6 7.5 -9.7 3.2 ROBUSTA 7.5 8.7 -20.0 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 1.0 -11.0 0.4 -6.1 6.6 -10.2 15.8 8.7 12.6 10.4 -9.3 -14.0 -3.2 -7.2 -3.3 -1.3 -0.0 -3.9 -5.8 -4.4 -6.2 -2.1 -4.3 -2.5 -20.0 -15.8 5.8 -20.0 RUSSELL -13.7 -5.0 2.4 -0.1 6.0 -0.8 3.3 -2.1 0.2 5.3 -6.0 -6.9 -11.0 -10.4 -3.6 -4.8 -2.6 -4.4 -3.8 -7.0 -5.7 -4.7 -8.1 -8.8 -3.9 -0.0 -2.4 2.2 -2.0 0.8 -2.6 -2.4 -1.9 -9.1 -3.2 -10.1 -3.4 SILVER-mini -3.9 19.6 20.0 3.0 -2.4 2.3 -0.8 1.0 1.1 -9.5 8.4 -0.1 -3.1 11.5 14.0 -4.2 -3.5 -4.2 -4.0 17.2 11.5 -0.0 0.8 11.1 5.8 -0.0 5.2 -3.1 3.2 -1.1 -0.6 2.8 -4.0 -10.5 12.1 12.8 20.0 SOYBEAN 1.1 4.9 4.6 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -11.1 1.2 -3.7 4.8 5.8 11.0 20.0 20.0 20.0 20.0 5.9 5.1 -3.0 7.8 3.6 -20.0 -0.0 5.4 -0.4 5.9 4.7 10.0 6.1 20.0 19.7 9.0 12.7 16.4 SOYMEAL 2.4 20.0 8.4 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 2.8 9.1 3.5 10.5 11.3 11.1 14.2 14.2 12.7 13.8 20.0 15.1 9.1 10.5 17.4 -20.0 -0.0 5.8 1.6 4.5 3.6 3.9 5.4 5.9 20.0 17.6 20.0 20.0 SOYOIL 1.4 -20.0 0.8 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -13.9 -0.5 2.0 4.9 -6.0 -5.1 7.9 20.0 14.4 17.8 -5.9 -0.3 -8.2 7.0 -7.4 -15.6 -0.0 -2.0 -2.9 1.0 -3.1 4.3 -3.4 14.5 -8.9 1.8 -20.0 13.3 SP400 -14.4 0.0 6.8 -0.1 6.0 -0.8 3.3 -2.1 0.2 4.5 0.9 -5.3 -5.6 -8.5 3.4 -4.2 -2.0 -2.9 -2.3 -1.1 0.1 -2.5 -2.5 -4.7 -7.5 -0.0 -0.2 1.8 0.5 0.5 0.1 -1.5 0.0 -10.5 -3.4 -4.2 2.6 SP500 -17.5 0.9 2.1 -0.1 6.0 -0.8 3.3 -2.1 0.2 1.6 -4.8 -10.9 -8.7 -9.4 -1.1 -5.4 -3.6 -5.1 -4.5 -5.0 -5.0 -7.4 -7.4 -8.8 2.5 -0.0 -1.4 -0.2 -2.0 -1.6 -3.5 -2.6 -3.2 -14.3 -7.1 -2.9 -3.6 SUGAR11 -2.3 8.1 15.9 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -14.1 8.3 -10.4 4.6 -2.6 9.3 20.0 20.0 20.0 20.0 11.2 11.6 -17.1 7.1 -0.7 -20.0 -0.0 5.9 -2.7 4.7 0.5 3.0 4.4 20.0 -9.2 20.0 20.0 20.0 US10 -11.2 16.6 -4.6 -1.9 6.4 -4.3 2.1 -7.4 -1.1 6.6 -7.7 -7.0 -12.3 -0.5 0.8 -9.0 -0.7 -7.3 -5.0 -2.8 -12.1 -3.8 -20.0 -4.4 -6.8 -0.0 -0.3 -1.7 -3.9 -3.0 -9.0 -1.5 -6.1 -20.0 3.5 6.8 2.4 US10U -12.8 17.2 -4.2 -1.9 6.4 -4.3 2.1 -7.4 -1.1 10.2 -7.5 -6.8 -12.2 -1.3 0.4 1.3 4.8 0.9 1.9 -3.1 -11.8 -3.2 -20.0 -4.8 -9.0 -0.0 0.4 1.8 -3.3 -0.2 -7.8 -0.1 4.6 -14.3 4.8 9.7 3.3 US20 -13.7 20.0 -1.6 -1.9 6.4 -4.3 2.1 -7.4 -1.1 11.0 -5.9 -6.2 -11.4 2.0 2.6 -4.2 1.5 -1.7 -0.2 -1.3 -10.8 -2.5 -20.0 -3.5 -8.8 -0.0 0.3 -0.7 -2.7 -2.5 -6.2 -1.0 -0.0 -20.0 0.3 14.8 2.3 US30 -16.2 20.0 6.0 -1.9 6.4 -4.3 2.1 -7.4 -1.1 9.9 -5.9 -7.9 -12.8 -0.5 1.6 -0.2 0.3 -0.6 -0.5 -2.5 -11.4 -4.7 -20.0 -5.6 -8.9 -0.0 0.8 1.5 -2.3 -0.8 -6.2 -0.2 -1.4 -17.9 -0.7 15.4 6.4 US5 -9.2 16.1 -4.6 -1.9 6.4 -4.3 2.1 -7.4 -1.1 -1.2 -7.7 -9.8 -12.7 -0.7 0.6 -5.0 0.8 -5.2 -3.8 -2.8 -13.1 -7.0 -20.0 -4.8 -4.6 -0.0 -0.2 -3.1 -4.4 -3.7 -10.5 -1.5 -3.9 -20.0 6.3 6.9 1.7 VIX 3.3 -13.8 -11.0 -4.4 -2.5 -4.0 -1.8 -2.8 -2.8 -14.0 -14.1 -13.5 -11.8 -14.5 -14.9 -20.0 -20.0 -20.0 -19.8 -17.3 -14.9 -14.0 -10.9 -15.5 NaN -0.0 -5.6 -1.9 -4.9 -2.2 -3.3 -3.8 NaN NaN NaN NaN NaN WHEAT 11.7 -15.0 -12.5 -3.1 -6.6 -3.9 -2.8 -1.1 -1.8 -12.7 -14.2 -2.3 -9.9 -9.1 -10.5 -7.7 -4.8 -6.4 -5.5 -14.2 -15.6 -7.6 -8.3 -8.3 -0.9 -0.0 -3.7 -2.7 -3.2 -0.3 0.5 -1.1 -20.0 7.6 11.6 -11.7 -1.2 End of report for caleb_strategy_v1