******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230106_204236 produced at 2023-01-06 21:35:24.751341 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.19 -0.24 0.0 8307347.32 -8307347.32 -0.19 -0.19 -28.43 999999999 -23 -23 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.14 0.0 38211588.29 -38211588.29 -0.19 -0.19 -3.61 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.12 0.0 39945967.98 -39945967.98 0.00 0.00 -3.08 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22712641.09 -22712641.09 -0.11 -0.11 -5.22 999999999 -5 -5 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.11 0.0 42221650.89 -42221650.89 -0.08 -0.08 -2.61 999999999 -2 -2 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 33543124.22 -33543124.22 -0.13 -0.13 -3.17 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.14 -0.08 0.0 45060731.03 -45060731.03 -0.14 -0.14 -1.70 999999999 -3 -3 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.08 0.0 47541888.22 -47541888.22 -0.10 -0.10 -1.76 999999999 -2 -2 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 48695195.48 -48695195.48 0.00 0.00 -1.07 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 78819050.90 -78819050.90 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.03 0.0 3191258.64 -3191258.64 -0.02 -0.02 -9.25 999999999 -7 -6 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.03 0.0 12701403.80 -12701403.80 0.00 0.00 -2.23 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 88598742.97 -88598742.97 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 55152061.18 -55152061.18 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 13729217.09 -13729217.09 -0.01 -0.01 -0.50 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9208782.88 -9208782.88 0.00 0.00 -1.52 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69410538.17 -69410538.17 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33463585.79 -33463585.79 -0.07 -0.07 -0.43 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.01 0.0 6497052.62 -6497052.62 -0.01 -0.01 -0.87 999999999 -1 -1 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 5546063.58 -5546063.58 0.00 0.00 -1.35 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.01 0.0 46742085.10 -46742085.10 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.01 0.0 5981643.58 -5981643.58 -0.01 -0.01 -1.83 999999999 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 36179593.46 -36179593.46 0.00 0.00 -0.28 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13351851.42 -13351851.42 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6458520.66 -6458520.66 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 -0.02 0.00 0.0 23951673.10 -23951673.10 -0.02 -0.02 0.12 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 12050956.18 -12050956.18 0.00 0.00 -0.30 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14630652.65 -14630652.65 -0.01 -0.01 -0.26 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10923277.97 -10923277.97 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 -0.03 0.00 0.0 26321918.37 -26321918.37 -0.03 -0.03 0.13 999999999 -1 -1 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.00 0.0 15142349.90 -15142349.90 0.00 0.00 0.10 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21004774.20 -21004774.20 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 63984249.60 -63984249.60 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22065728.51 -22065728.51 0.04 0.04 0.39 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.01 0.0 25848222.82 -25848222.82 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26373618.35 -26373618.35 0.03 0.03 0.45 999999999 1 1 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 25924027.67 -25924027.67 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10441628.58 -10441628.58 0.03 0.03 0.85 999999999 3 3 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7510690.39 -7510690.39 0.02 0.02 1.95 999999999 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21364906.55 -21364906.55 0.02 0.02 0.58 999999999 1 1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 600780.29 -600780.29 0.00 0.00 8.40 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 19541708.94 -19541708.94 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4574191.56 -4574191.56 0.00 0.00 1.33 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9123941.89 -9123941.89 0.03 0.03 2.46 999999999 3 3 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 34638987.06 -34638987.06 0.00 0.00 0.54 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.02 0.0 15214231.94 -15214231.94 0.00 0.00 1.12 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.03 0.0 30251116.90 -30251116.90 0.03 0.03 1.12 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 42598344.20 -42598344.20 0.04 0.04 0.67 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 49646639.14 -49646639.14 0.00 0.00 0.81 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.07 0.05 0.0 16250585.38 -16250585.38 0.07 0.07 2.95 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.05 0.0 41817065.40 -41817065.40 0.04 0.04 1.08 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.11 0.0 24670170.27 -24670170.27 0.05 0.05 4.53 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.13 0.0 0.00 0.00 0.00 0.00 18.33 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.15 0.0 51708820.46 -51708820.46 0.10 0.10 2.92 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.20 0.0 44261636.44 -44261636.44 0.18 0.18 4.46 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 10.6 Shocked risk 30.8 Sum abs risk 36.6 Leverage 2.28 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2828821.17, 'annual_cash_vol_target': 707205.2925, 'daily_cash_vol_target': 44200.33078125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6776 0.9157 14.6509 BITCOIN 675.4029 16995.0000 3.9741 63.5860 BOBL 0.3922 117.6200 0.3334 5.3346 BTP 0.9593 113.2000 0.8474 13.5591 BUND 0.8278 137.4100 0.6024 9.6387 BUXL 2.1169 146.5600 1.4444 23.1107 CAC 71.9084 6889.0000 1.0438 16.7010 CAD 0.0044 0.7446 0.5915 9.4646 CANOLA 8.5017 869.4000 0.9779 15.6461 CHF 0.0062 1.0759 0.5788 9.2615 COCOA 32.1492 2605.0000 1.2341 19.7462 COFFEE 0.0354 1.5845 2.2336 35.7370 COPPER 0.0533 3.9195 1.3593 21.7495 CORN 4.6691 590.7500 0.7904 12.6460 COTTON2 0.0189 0.8567 2.2074 35.3179 CRUDE_W 1.2983 73.1200 1.7756 28.4095 DAX 149.0746 14738.0000 1.0115 16.1840 DOW 345.3367 33842.0000 1.0204 16.3270 EUR 0.0059 1.0578 0.5572 8.9157 EUROSTX 47.7855 4043.0000 1.1819 18.9109 FEEDCOW 1.2617 189.7750 0.6648 10.6372 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.6893 855.7500 2.6514 42.4222 GASOILINE 0.0535 2.4368 2.1962 35.1388 GAS_US 0.2406 3.4090 7.0569 112.9107 GBP 0.0094 1.1937 0.7854 12.5670 GOLD_micro 16.2394 1837.9000 0.8836 14.1373 HEATOIL 0.0649 2.8165 2.3057 36.8906 JPY 0.0001 0.0076 1.0336 16.5380 LEANHOG 1.4250 89.8250 1.5864 25.3821 LIVECOW 0.8714 160.6250 0.5425 8.6802 MXP 0.0004 0.0516 0.6884 11.0143 NASDAQ 173.6372 11148.2500 1.5575 24.9205 NIKKEI 266.4927 26175.0000 1.0181 16.2899 NZD 0.0053 0.6242 0.8491 13.5853 OAT 0.8616 131.9300 0.6531 10.4490 OJ 0.0284 2.0600 1.3790 22.0648 PALLAD 48.7006 1810.0000 2.6906 43.0502 PLAT 21.7302 1105.6000 1.9655 31.4475 REDWHEAT 13.8246 827.7500 1.6701 26.7222 ROBUSTA 22.2786 1827.0000 1.2194 19.5106 RUSSELL 25.6512 1805.5000 1.4207 22.7316 SILVER-mini 0.4706 24.1750 1.9465 31.1438 SOYBEAN 10.6821 1395.7500 0.7653 12.2453 SOYMEAL 6.3022 459.7000 1.3709 21.9349 SOYOIL 1.0059 62.9500 1.5979 25.5664 SP400 32.4575 2506.3000 1.2950 20.7206 SP500 47.4666 3927.0000 1.2087 19.3396 SUGAR11 0.0025 0.1897 1.3119 20.9911 US10 0.4667 113.0000 0.4130 6.6082 US10U 0.6561 119.4375 0.5493 8.7892 US20 0.9561 127.4688 0.7501 12.0012 US30 1.5544 137.7500 1.1284 18.0545 US5 0.3036 108.0938 0.2809 4.4944 VIX 0.5505 23.5000 2.3425 37.4797 WHEAT 11.7287 776.7500 1.5100 24.1595 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.55 0.92 620.42 1.00 620.42 44200.33 71.24 1.08 7.67 BITCOIN 17.00 3.97 67.54 1.00 67.54 44200.33 654.43 5.45 356.58 BOBL 1176.20 0.33 392.16 1.05 412.90 44200.33 107.05 5.78 61.88 BTP 1132.00 0.85 959.31 1.05 1010.03 44200.33 43.76 7.57 33.12 BUND 1374.10 0.60 827.79 1.05 871.56 44200.33 50.71 7.97 40.42 BUXL 1465.60 1.44 2116.94 1.05 2228.87 44200.33 19.83 -2.13 -4.23 CAC 688.90 1.04 719.08 1.05 757.11 44200.33 58.38 3.23 18.83 CAD 744.60 0.59 440.46 1.00 440.46 44200.33 100.35 0.73 7.29 CANOLA 173.88 0.98 170.03 0.74 125.26 44200.33 352.88 4.09 144.37 CHF 1344.88 0.58 778.47 1.00 778.47 44200.33 56.78 -8.27 -46.97 COCOA 260.50 1.23 321.49 1.00 321.49 44200.33 137.48 -5.07 -69.72 COFFEE 594.19 2.23 1327.16 1.00 1327.16 44200.33 33.30 -3.37 -11.22 COPPER 979.88 1.36 1331.99 1.00 1331.99 44200.33 33.18 5.99 19.88 CORN 295.38 0.79 233.46 1.00 233.46 44200.33 189.33 5.00 94.65 COTTON2 428.35 2.21 945.53 1.00 945.53 44200.33 46.75 1.46 6.83 CRUDE_W 731.20 1.78 1298.31 1.00 1298.31 44200.33 34.04 0.60 2.04 DAX 147.38 1.01 149.07 1.05 156.96 44200.33 281.61 -0.89 -24.94 DOW 169.21 1.02 172.67 1.00 172.67 44200.33 255.98 -2.51 -64.25 EUR 1322.25 0.56 736.80 1.00 736.80 44200.33 59.99 -1.30 -7.80 EUROSTX 404.30 1.18 477.85 1.05 503.12 44200.33 87.85 4.53 39.77 FEEDCOW 948.88 0.66 630.84 1.00 630.84 44200.33 70.07 -16.85 -118.06 FTSE100 707.00 0.82 576.59 1.19 666.67 44200.33 66.30 -2.56 -16.99 GASOIL 855.75 2.65 2268.93 1.00 2268.93 44200.33 19.48 8.07 15.71 GASOILINE 1023.46 2.20 2247.69 1.00 2247.69 44200.33 19.66 -3.50 -6.89 GAS_US 340.90 7.06 2405.70 1.00 2405.70 44200.33 18.37 -10.72 -19.69 GBP 746.06 0.79 585.98 1.00 585.98 44200.33 75.43 3.31 24.96 GOLD_micro 183.79 0.88 162.39 1.00 162.39 44200.33 272.18 -1.43 -39.02 HEATOIL 1182.93 2.31 2727.44 1.00 2727.44 44200.33 16.21 9.33 15.12 JPY 946.62 1.03 978.45 1.00 978.45 44200.33 45.17 -1.48 -6.71 LEANHOG 359.30 1.59 569.99 1.00 569.99 44200.33 77.55 -6.15 -47.71 LIVECOW 642.50 0.54 348.57 1.00 348.57 44200.33 126.81 -15.32 -194.23 MXP 258.10 0.69 177.67 1.00 177.67 44200.33 248.77 8.08 200.96 NASDAQ 2229.65 1.56 3472.74 1.00 3472.74 44200.33 12.73 -5.83 -7.42 NIKKEI 26175.00 1.02 26649.27 0.01 200.00 44200.33 221.01 4.37 96.49 NZD 624.20 0.85 529.99 1.00 529.99 44200.33 83.40 2.92 24.33 OAT 1319.30 0.65 861.59 1.05 907.15 44200.33 48.72 8.19 39.89 OJ 309.00 1.38 426.13 1.00 426.13 44200.33 103.73 -0.80 -8.29 PALLAD 1810.00 2.69 4870.06 1.00 4870.06 44200.33 9.08 -2.43 -2.20 PLAT 552.80 1.97 1086.51 1.00 1086.51 44200.33 40.68 3.87 15.75 REDWHEAT 413.88 1.67 691.23 1.00 691.23 44200.33 63.94 -7.59 -48.53 ROBUSTA 182.70 1.22 222.79 1.00 222.79 44200.33 198.40 -0.89 -17.60 RUSSELL 90.28 1.42 128.26 1.00 128.26 44200.33 344.63 -5.18 -178.49 SILVER-mini 604.38 1.95 1176.41 1.00 1176.41 44200.33 37.57 6.94 26.08 SOYBEAN 697.88 0.77 534.11 1.00 534.11 44200.33 82.76 9.28 76.83 SOYMEAL 459.70 1.37 630.22 1.00 630.22 44200.33 70.14 7.14 50.08 SOYOIL 377.70 1.60 603.53 1.00 603.53 44200.33 73.24 2.89 21.17 SP400 2506.30 1.30 3245.75 1.00 3245.75 44200.33 13.62 -3.35 -4.56 SP500 1963.50 1.21 2373.33 1.00 2373.33 44200.33 18.62 -3.88 -7.22 SUGAR11 212.46 1.31 278.74 1.00 278.74 44200.33 158.57 9.05 143.45 US10 1130.00 0.41 466.71 1.00 466.71 44200.33 94.71 -8.48 -80.32 US10U 1194.38 0.55 656.10 1.00 656.10 44200.33 67.37 -2.66 -17.90 US20 1274.69 0.75 956.11 1.00 956.11 44200.33 46.23 -4.98 -23.00 US30 1377.50 1.13 1554.38 1.00 1554.38 44200.33 28.44 -4.49 -12.77 US5 1080.94 0.28 303.64 1.00 303.64 44200.33 145.57 -6.46 -94.04 VIX 235.00 2.34 550.48 1.00 550.48 44200.33 80.29 -18.79 -150.85 WHEAT 388.38 1.51 586.43 1.00 586.43 44200.33 75.37 -12.31 -92.77 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 7.673 0.006 2.5 0.123 BITCOIN 356.578 0.009 2.5 8.401 BOBL 61.878 0.029 2.5 4.465 BTP 33.116 0.008 2.5 0.669 BUND 40.418 0.029 2.5 2.916 BUXL -4.230 0.034 2.5 -0.355 CAC 18.830 0.011 2.5 0.529 CAD 7.292 0.007 2.5 0.130 CANOLA 144.374 0.004 2.5 1.325 CHF -46.970 0.015 2.5 -1.758 COCOA -69.724 0.009 2.5 -1.519 COFFEE -11.224 0.005 2.5 -0.146 COPPER 19.883 0.011 2.5 0.543 CORN 94.654 0.004 2.5 0.854 COTTON2 6.832 0.006 2.5 0.103 CRUDE_W 2.041 0.053 2.5 0.270 DAX -24.935 0.022 2.5 -1.354 DOW -64.252 0.011 2.5 -1.831 EUR -7.798 0.015 2.5 -0.292 EUROSTX 39.770 0.011 2.5 1.118 FEEDCOW -118.063 0.011 2.5 -3.173 FTSE100 -16.993 0.041 2.5 -1.752 GASOIL 15.714 0.029 2.5 1.121 GASOILINE -6.885 0.016 2.5 -0.283 GAS_US -19.687 0.006 2.5 -0.296 GBP 24.963 0.007 2.5 0.446 GOLD_micro -39.023 0.009 2.5 -0.873 HEATOIL 15.118 0.029 2.5 1.078 JPY -6.706 0.026 2.5 -0.434 LEANHOG -47.712 0.019 2.5 -2.229 LIVECOW -194.233 0.011 2.5 -5.219 MXP 200.962 0.005 2.5 2.460 NASDAQ -7.423 0.022 2.5 -0.403 NIKKEI 96.493 0.076 2.5 18.327 NZD 24.331 0.006 2.5 0.389 OAT 39.890 0.008 2.5 0.806 OJ -8.294 0.007 2.5 -0.145 PALLAD -2.202 0.010 2.5 -0.053 PLAT 15.745 0.010 2.5 0.379 REDWHEAT -48.532 0.002 2.5 -0.259 ROBUSTA -17.602 0.005 2.5 -0.228 RUSSELL -178.489 0.021 2.5 -9.245 SILVER-mini 26.075 0.009 2.5 0.583 SOYBEAN 76.830 0.024 2.5 4.530 SOYMEAL 50.077 0.024 2.5 2.953 SOYOIL 21.175 0.004 2.5 0.194 SP400 -4.564 0.021 2.5 -0.236 SP500 -7.217 0.011 2.5 -0.206 SUGAR11 143.455 0.005 2.5 1.947 US10 -80.323 0.015 2.5 -3.082 US10U -17.903 0.058 2.5 -2.608 US20 -23.000 0.029 2.5 -1.695 US30 -12.771 0.034 2.5 -1.072 US5 -94.041 0.015 2.5 -3.608 VIX -150.854 0.075 2.5 -28.428 WHEAT -92.765 0.002 2.5 -0.495 ==================== Position diags ==================== AUD 1.14 BITCOIN 15.42 BOBL 7.72 BTP 0.88 BUND 3.66 BUXL 1.66 CAC 1.64 CAD 1.79 CANOLA 3.24 CHF 2.12 COCOA 2.99 COFFEE 0.43 COPPER 0.91 CORN 1.71 COTTON2 0.70 CRUDE_W 4.50 DAX 15.29 DOW 7.30 EUR 2.25 EUROSTX 2.47 FEEDCOW 1.88 FTSE100 6.83 GASOIL 1.39 GASOILINE 0.81 GAS_US 0.28 GBP 1.35 GOLD_micro 6.09 HEATOIL 1.16 JPY 2.92 LEANHOG 3.62 LIVECOW 3.41 MXP 3.05 NASDAQ 0.69 NIKKEI 41.98 NZD 1.33 OAT 0.98 OJ 1.81 PALLAD 0.22 PLAT 0.98 REDWHEAT 0.34 ROBUSTA 2.57 RUSSELL 17.85 SILVER-mini 0.84 SOYBEAN 4.88 SOYMEAL 4.14 SOYOIL 0.67 SP400 0.71 SP500 0.53 SUGAR11 2.15 US10 3.63 US10U 9.82 US20 3.41 US30 2.39 US5 5.58 VIX 15.13 WHEAT 0.40 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 8.4 6.9 9.9 NaN 0 BOBL 4.5 3.7 5.2 4.0 4 BTP 0.7 0.6 0.8 1.0 1 BUND 2.9 2.6 3.3 2.0 2 BUXL -0.4 -0.5 -0.2 0.0 0 CAC 0.5 0.4 0.7 0.0 0 CAD 0.1 -0.0 0.3 -1.0 -1 CANOLA 1.3 1.0 1.6 NaN 0 CHF -1.8 -2.0 -1.5 -2.0 -2 COCOA -1.5 -1.8 -1.2 NaN 0 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.5 0.5 0.6 0.0 0 CORN 0.9 0.7 1.0 3.0 3 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W 0.3 -0.2 0.7 0.0 0 DAX -1.4 -2.9 0.2 0.0 0 DOW -1.8 -2.6 -1.1 -1.0 -1 EUR -0.3 -0.5 -0.1 0.0 0 EUROSTX 1.1 0.9 1.4 0.0 0 FEEDCOW -3.2 -3.4 -3.0 -4.0 -4 FTSE100 -1.8 -2.4 -1.1 0.0 0 GASOIL 1.1 1.0 1.3 1.0 1 GASOILINE -0.3 -0.4 -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 1.1 1.0 1.2 1.0 1 JPY -0.4 -0.7 -0.1 -2.0 -2 LEANHOG -2.2 -2.6 -1.9 0.0 0 LIVECOW -5.2 -5.6 -4.9 -5.0 -5 MXP 2.5 2.2 2.8 3.0 3 NASDAQ -0.4 -0.5 -0.3 0.0 0 NIKKEI 18.3 14.1 22.5 0.0 0 NZD 0.4 0.3 0.5 2.0 2 OAT 0.8 0.7 0.9 0.0 0 OJ -0.1 -0.3 0.0 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.4 0.3 0.5 NaN 0 REDWHEAT -0.3 -0.3 -0.2 -1.0 -1 ROBUSTA -0.2 -0.5 0.0 0.0 0 RUSSELL -9.2 -11.0 -7.5 -7.0 -7 SILVER-mini 0.6 0.5 0.7 1.0 1 SOYBEAN 4.5 4.0 5.0 2.0 2 SOYMEAL 3.0 2.5 3.4 4.0 4 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 -0.2 -0.3 -0.2 0.0 0 SP500 -0.2 -0.3 -0.2 0.0 0 SUGAR11 1.9 1.7 2.2 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 -1.4 -3.0 -3 US30 -1.1 -1.3 -0.8 0.0 0 US5 -3.6 -4.2 -3.0 -5.0 -5 VIX -28.4 -29.9 -26.9 -23.0 -23 WHEAT -0.5 -0.5 -0.5 -1.0 -1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -0.0 0.2 0.1 0.0 0.0 0.0 0.0 -0.1 0.0 0.0 -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 -0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.3 -0.0 -0.3 -0.0 -0.3 -0.3 0.6 0.2 0.3 -0.2 -0.2 0.0 -0.2 -0.0 2.1 -0.0 -0.0 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 0.1 -0.2 0.0 0.0 -0.1 -0.0 -0.3 -0.0 -0.0 0.9 0.6 0.3 0.3 -0.1 -0.1 0.0 -0.2 -0.0 0.1 -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 0.1 -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 -0.2 -0.2 -0.1 BUXL -0.2 0.1 -0.0 -0.0 0.1 -0.1 0.1 -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 -0.1 0.0 0.3 0.0 0.1 -0.0 0.1 -0.0 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 0.1 0.0 0.1 0.3 CAD 0.1 0.0 -0.0 0.1 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 -0.0 -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 0.1 -0.3 -0.3 CANOLA 0.0 0.1 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 -0.1 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 0.3 -0.0 -0.0 -0.1 -0.1 -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 -1.5 -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 0.1 -0.3 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 0.0 0.1 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 -1.4 -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 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.2 0.1 0.0 0.0 CORN 0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.2 1.6 0.7 0.4 0.4 -0.1 -0.0 -0.0 0.1 -0.0 -1.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.5 -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 0.3 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.6 0.0 0.1 0.4 -0.4 CRUDE_W 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.2 -0.0 0.1 -0.0 0.1 0.5 0.5 0.2 0.2 -0.0 -0.0 -0.0 0.0 -0.0 -0.6 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.5 0.0 -0.1 0.1 0.1 DAX -0.2 0.1 0.4 0.0 0.1 -0.0 0.1 -0.1 0.0 0.0 0.3 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 -0.2 0.0 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 -0.8 -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 0.0 0.0 0.0 -0.1 0.0 -0.0 0.1 -0.0 -0.2 0.0 0.4 -0.5 -0.3 -0.2 -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 0.0 0.3 0.0 0.1 -0.0 0.1 -0.0 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 0.1 0.0 -2.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.4 0.0 -0.0 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 -3.3 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.3 0.3 0.1 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 -0.1 -0.1 0.1 -0.0 -0.0 -0.2 -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 2.7 -0.2 -0.3 -0.2 -0.0 GASOILINE 0.2 -0.1 -0.2 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.3 0.0 0.1 -0.0 -0.1 -1.7 0.8 -0.3 0.1 -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 -0.3 -0.3 -0.0 -0.0 -0.1 -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 -0.1 -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 -0.1 -0.0 -0.0 -0.1 -0.1 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 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 0.2 -1.6 0.6 -0.4 0.0 -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 0.1 -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 0.1 0.0 0.0 0.0 -2.8 0.0 0.4 0.3 0.2 MXP 0.1 -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 0.2 -0.1 0.3 NASDAQ -0.2 -0.0 -0.0 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 -0.3 -0.1 -0.2 NIKKEI -0.2 -0.3 -0.0 0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.0 -0.1 -0.2 1.1 0.4 0.2 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -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 0.1 -0.2 0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.2 1.1 0.5 0.3 0.3 -0.1 -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 -0.1 -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 1.0 0.0 0.3 0.1 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 -0.0 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 0.1 0.3 -0.1 -0.0 -0.0 -0.0 0.2 0.1 0.0 0.0 0.0 -0.8 -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 0.0 -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 -0.3 0.4 0.0 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 -1.9 -0.0 0.2 -0.1 0.0 ROBUSTA 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 1.2 0.4 0.3 0.2 -0.1 -0.2 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.2 -0.0 -0.3 0.1 -0.3 RUSSELL -0.1 -0.1 0.1 0.0 0.1 -0.0 0.1 -0.1 0.0 0.1 -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 -0.2 -0.1 -0.1 -0.1 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 1.2 -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 -0.1 -0.0 -0.0 -0.0 0.0 -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 -3.0 -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 1.3 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 1.0 0.2 0.2 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 2.1 -0.0 0.1 -0.3 0.2 SP400 -0.1 -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 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-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 -0.6 -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 -0.3 -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 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 -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 -3.5 13.9 7.2 3.1 0.2 0.1 1.7 -3.8 2.8 0.4 -2.5 2.4 -7.7 8.5 8.8 -2.9 -2.1 -2.8 -2.5 5.2 -1.1 3.9 -7.5 5.6 5.8 -0.0 2.7 3.7 -1.4 5.5 -5.0 4.6 -0.4 11.8 1.6 -3.0 -8.2 BITCOIN 1.0 -4.4 2.2 3.1 1.9 2.4 0.7 1.0 1.6 13.9 -14.8 -4.5 -16.0 0.2 -8.8 2.3 -0.4 1.6 0.8 -7.1 -17.7 2.0 -20.0 -1.4 20.0 -0.0 -4.4 1.9 -7.5 1.4 -8.1 -0.9 2.7 1.4 5.6 -20.0 -20.0 BOBL -20.0 3.2 -6.5 -1.5 8.5 -4.2 3.9 -7.4 0.0 12.5 -13.7 -4.6 -13.8 -8.7 -11.4 -3.3 13.6 7.1 12.6 -17.0 -20.0 2.7 -20.0 -12.4 14.1 -0.0 -4.4 7.2 -6.5 2.1 -9.8 -2.6 20.0 2.8 -14.0 -17.8 -8.0 BTP -20.0 4.0 8.8 -1.5 8.5 -4.2 3.9 -7.4 0.0 13.0 -4.9 -4.6 -11.3 -7.9 -1.0 10.7 14.5 14.2 15.8 -6.4 -8.2 4.1 -17.0 -7.5 0.7 -0.0 -1.4 7.4 -3.2 2.7 -7.8 -1.2 20.0 0.7 -10.4 -6.0 10.8 BUND -20.0 4.4 -4.1 -1.5 8.5 -4.2 3.9 -7.4 0.0 12.8 -12.0 -4.1 -13.2 -7.8 -9.2 13.2 15.9 13.7 14.8 -15.2 -18.6 2.9 -20.0 -12.3 10.5 -0.0 -3.6 8.0 -5.7 2.7 -9.0 -2.0 20.0 6.2 -12.9 -12.4 -5.9 BUXL -20.0 8.2 -0.3 -1.5 8.5 -4.2 3.9 -7.4 0.0 12.7 -8.3 -6.3 -11.9 -8.2 -5.0 3.8 -0.8 4.7 3.0 -12.9 -14.1 -2.8 -20.0 -15.4 5.7 -0.0 -2.5 5.9 -3.7 1.0 -6.3 -2.4 0.0 -0.5 -20.0 -5.6 -0.4 CAC -11.1 3.1 16.3 0.5 9.9 -0.6 5.7 -2.0 1.6 13.7 11.7 10.1 1.0 7.8 13.0 -1.8 3.1 -0.5 0.9 10.9 10.0 19.5 5.6 10.9 -13.8 -0.0 3.2 10.8 3.1 6.4 1.6 2.9 7.2 7.1 1.2 5.7 17.7 CAD 4.3 2.4 -1.7 3.3 3.5 0.2 2.8 -3.7 3.2 10.4 -9.7 8.2 -11.0 -5.5 -3.8 -1.8 -1.1 -1.8 -1.5 -3.6 -8.7 6.2 -10.9 1.2 12.3 -0.0 -1.6 9.4 -5.9 8.2 -7.8 3.3 1.3 9.1 3.6 -20.0 -20.0 CANOLA 8.7 4.9 1.4 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -2.3 -8.7 9.1 -3.9 8.1 7.5 0.6 12.0 6.3 7.8 3.6 -3.7 5.8 -0.3 7.3 5.7 -0.0 0.6 -0.1 -0.5 1.2 1.9 1.7 -1.0 8.0 6.4 -5.2 17.1 CHF -3.1 18.7 13.2 3.1 0.2 0.1 1.7 -3.8 2.8 -11.2 9.7 -7.2 -2.3 10.0 13.4 -13.4 -12.0 -12.8 -12.7 13.5 8.4 -4.5 -1.3 6.6 -9.4 -0.0 4.5 -0.5 1.8 1.2 -2.3 3.5 -17.7 -7.8 2.6 9.3 5.8 COCOA 5.7 13.5 15.7 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 2.3 7.5 10.1 -5.8 11.7 13.6 -1.3 -2.9 -0.7 -1.3 14.0 8.0 8.5 -0.9 13.1 -10.0 -0.0 5.7 2.9 3.0 5.8 -0.1 6.7 -20.0 11.7 20.0 18.3 20.0 COFFEE 9.6 3.6 -20.0 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -14.0 -12.8 -8.8 -9.4 -1.7 -12.6 0.2 3.7 2.3 4.1 -14.6 -20.0 -12.4 -13.7 -8.2 9.4 -0.0 -3.8 -3.8 -6.2 -1.9 -4.0 -0.8 -10.4 -3.6 13.1 4.8 -20.0 COPPER -2.4 12.7 18.3 3.1 1.9 2.4 0.7 1.0 1.6 9.9 -4.2 3.7 -7.8 7.2 10.2 -0.9 -0.1 -0.5 -0.3 9.6 3.1 6.7 -6.4 7.0 11.8 -0.0 4.6 8.0 2.1 4.7 -1.0 4.0 2.0 10.8 5.5 0.8 2.8 CORN 6.4 -13.4 -2.3 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -13.6 0.8 -9.4 4.2 -9.0 -8.7 20.0 16.4 20.0 18.2 -5.8 -0.8 -13.4 10.7 -7.3 -9.5 -0.0 -4.4 -7.6 -1.8 -6.7 3.6 -4.9 11.3 -12.8 0.1 -10.7 -2.9 COTTON2 9.8 6.8 -17.0 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 7.8 -10.2 -1.1 -3.2 0.3 -5.3 0.9 14.6 3.8 9.4 -4.3 -10.6 1.7 -5.1 0.3 1.3 -0.0 0.5 5.8 -2.1 2.9 1.8 2.7 4.2 9.2 9.6 14.0 -13.3 CRUDE_W 2.1 -4.0 -0.7 -2.3 -4.6 -2.0 -2.1 3.6 -0.9 -11.0 -6.2 -6.4 2.0 -5.8 4.1 6.6 12.5 7.4 9.6 -3.0 -2.6 -8.7 3.9 -4.3 -4.9 -0.0 -0.7 -1.5 0.1 -0.6 5.9 -0.2 -4.0 5.3 -5.2 7.2 9.7 DAX -11.9 5.6 20.0 0.5 9.9 -0.6 5.7 -2.0 1.6 13.4 9.9 8.7 -3.0 6.9 12.4 -7.8 -2.9 -6.1 -4.6 11.1 9.4 17.0 0.4 9.1 -9.6 -0.0 3.1 8.5 2.9 4.8 -0.1 2.2 -2.5 6.9 -1.3 7.5 20.0 DOW -14.7 2.0 16.3 0.5 9.9 -0.6 5.7 -2.0 1.6 7.4 7.9 -4.7 -0.3 -6.0 9.1 -5.8 -2.6 -5.3 -4.4 4.7 5.9 1.1 1.3 -0.9 -7.3 -0.0 1.6 4.3 2.0 0.8 0.6 -0.5 -2.4 -18.9 -7.2 -3.3 11.2 EUR -1.4 20.0 20.0 3.1 0.2 0.1 1.7 -3.8 2.8 -11.9 4.7 -6.1 -7.9 11.1 14.5 -8.0 -8.4 -7.9 -8.2 17.6 8.4 -4.4 -9.2 9.3 0.9 -0.0 5.2 -0.0 1.4 2.3 -4.4 4.6 -10.8 -1.4 7.4 10.0 14.2 EUROSTX -13.3 3.2 19.8 0.5 9.9 -0.6 5.7 -2.0 1.6 13.4 11.3 8.8 -0.3 8.3 12.8 8.8 4.0 5.4 3.9 10.9 10.3 16.3 4.0 9.0 -16.2 -0.0 3.3 8.3 3.6 4.5 1.3 2.1 10.0 3.8 -2.7 9.1 20.0 FEEDCOW 4.7 10.2 1.6 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -1.6 2.6 6.8 -0.3 12.3 8.3 -20.0 -20.0 -20.0 -20.0 7.0 2.5 5.4 -0.5 8.2 -19.3 -0.0 5.0 1.9 1.7 6.3 0.1 7.3 -20.0 20.0 18.3 20.0 5.6 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 4.8 -17.9 -12.2 -2.3 -4.6 -2.0 -2.1 3.6 -0.9 -9.3 -6.2 -4.2 9.0 -5.3 -7.6 20.0 20.0 20.0 20.0 -7.6 -2.4 -9.7 10.0 -7.4 -5.7 -0.0 -5.0 -2.5 -2.1 -5.1 3.4 -5.8 20.0 -17.4 -15.1 -17.9 -1.8 GASOILINE 14.7 -7.7 -10.4 -2.3 -4.6 -2.0 -2.1 3.6 -0.9 -13.7 -11.1 0.8 2.6 -1.3 -4.1 -20.0 17.6 -12.2 6.1 -3.9 -4.7 -3.2 4.8 -0.0 -6.5 -0.0 1.7 1.8 0.7 5.9 5.7 5.5 0.0 20.0 19.4 10.2 13.9 GAS_US -20.0 -16.7 -20.0 -2.3 -4.6 -2.0 -2.1 3.6 -0.9 -13.8 -13.0 -15.8 -3.5 -15.8 -15.2 20.0 -3.6 8.5 0.2 -20.0 -18.0 -20.0 -5.0 -20.0 -5.9 -0.0 -5.1 -3.8 -2.1 -6.5 2.2 -7.1 -20.0 -7.8 -20.0 -3.2 -19.3 GBP -15.4 16.5 14.9 3.1 0.2 0.1 1.7 -3.8 2.8 -8.7 4.1 -13.9 -5.9 1.8 10.5 -2.1 -1.6 -2.0 -1.9 7.7 2.9 -8.7 -8.6 -1.1 13.0 -0.0 1.7 -2.6 -2.6 -2.1 -8.3 0.1 0.4 -9.5 -12.8 -4.6 -4.5 GOLD_micro 3.3 20.0 13.2 3.0 -2.5 2.3 -0.8 1.0 1.1 6.0 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 5.2 -15.7 -8.2 -2.3 -4.6 -2.0 -2.1 3.6 -0.9 -13.6 -5.9 -3.0 8.3 -2.3 -4.0 20.0 20.0 20.0 20.0 -6.1 -1.6 -11.3 10.8 -6.4 -14.4 -0.0 -2.4 -1.5 0.5 -0.8 9.3 -1.3 20.0 2.5 3.0 -3.1 4.2 JPY 4.0 20.0 20.0 3.1 0.2 0.1 1.7 -3.8 2.8 -3.5 -0.8 7.7 -10.8 12.3 12.2 -10.8 -10.4 -11.5 -11.6 13.6 2.2 6.3 -11.7 13.9 10.0 -0.0 4.7 -0.3 0.1 2.6 -5.6 5.2 -15.5 -8.7 15.9 20.0 9.6 LEANHOG 3.1 -6.3 3.9 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -14.0 3.8 -4.4 -0.5 -1.7 7.7 -20.0 13.5 -20.0 1.8 -0.4 1.1 -13.4 3.1 -4.8 -10.6 -0.0 -1.1 -9.5 -0.5 -6.1 1.1 -2.8 1.0 -16.1 -0.3 0.5 6.0 LIVECOW 6.7 4.9 11.3 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -11.6 11.5 4.9 1.2 10.4 12.1 -20.0 -20.0 -20.0 -20.0 9.2 7.6 0.8 3.0 7.1 -20.0 -0.0 5.6 -0.8 4.5 3.5 3.2 5.8 -20.0 8.3 19.2 19.1 17.1 MXP 6.3 -4.3 6.5 3.3 3.5 0.2 2.8 -3.7 3.2 14.0 13.8 14.9 14.7 10.3 11.9 18.7 20.0 18.8 19.4 12.0 13.6 15.3 14.4 12.6 -20.0 -0.0 5.5 5.7 5.6 6.1 5.1 5.7 20.0 2.2 12.0 -7.7 17.4 NASDAQ -17.4 -2.8 -2.4 0.5 9.9 -0.6 5.7 -2.0 1.6 7.8 -11.9 -10.1 -13.1 -10.9 -11.3 -5.1 -3.5 -4.8 -4.4 -12.1 -12.7 -7.1 -14.6 -13.0 8.0 -0.0 -3.4 3.8 -4.5 -0.5 -5.1 -3.2 -3.1 -15.4 -13.3 -6.4 -12.4 NIKKEI -20.0 -17.4 -2.5 0.5 9.9 -0.6 5.7 -2.0 1.6 -2.8 -3.1 -12.8 -0.6 -14.5 -10.1 19.2 10.5 13.4 11.7 -14.5 -6.1 -10.5 -1.3 -17.8 -0.9 -0.0 -5.0 1.0 -3.1 -2.8 -1.7 -5.4 20.0 -20.0 -20.0 -20.0 -11.2 NZD -12.4 20.0 18.5 3.1 0.2 0.1 1.7 -3.8 2.8 -10.4 5.0 -11.2 -6.1 4.9 10.8 0.3 0.4 -0.2 -0.1 11.9 5.9 -6.6 -5.8 3.2 -0.7 -0.0 4.1 -0.3 1.3 0.9 -2.5 2.8 3.7 3.1 -4.5 7.5 4.6 OAT -20.0 3.7 2.1 -1.5 8.5 -4.2 3.9 -7.4 0.0 13.0 -9.9 -4.3 -12.5 -7.8 -7.4 13.0 12.8 13.3 13.6 -12.5 -14.3 3.2 -20.0 -11.4 9.8 -0.0 -3.0 7.5 -4.9 2.4 -8.7 -2.0 20.0 5.5 -15.5 -10.3 -2.4 OJ 0.3 0.1 20.0 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 11.9 13.8 5.4 14.4 7.8 12.7 15.4 12.7 15.6 15.6 14.8 20.0 5.2 20.0 6.9 -20.0 -0.0 5.9 3.9 9.7 4.4 11.9 4.1 7.2 17.4 9.8 5.5 20.0 PALLAD -5.0 -8.0 -11.6 3.1 1.9 2.4 0.7 1.0 1.6 6.2 -12.1 -3.3 -9.1 -9.2 -12.2 -1.3 -1.3 -1.5 -1.5 -12.0 -11.2 -1.2 -8.6 -7.7 7.5 -0.0 -4.4 4.0 -3.7 1.5 -2.4 -2.5 0.0 9.2 -12.0 -20.0 -20.0 PLAT 1.0 4.8 18.2 3.1 1.9 2.4 0.7 1.0 1.6 11.7 11.5 12.8 0.7 12.7 13.8 -1.3 -0.5 -0.7 -0.5 13.4 10.1 15.8 3.7 14.8 -4.9 -0.0 5.9 4.3 4.2 5.7 1.0 6.0 1.6 20.0 20.0 6.6 17.0 REDWHEAT 4.3 -14.5 -10.2 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -13.8 -13.0 -7.8 -6.8 -10.0 -10.9 5.0 0.9 4.4 3.0 -12.5 -11.8 -11.8 -4.1 -10.3 -3.3 -0.0 -4.1 -3.9 -2.5 -2.6 2.0 -2.9 -14.3 -3.0 7.6 -9.9 2.7 ROBUSTA 5.5 8.8 -20.0 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -1.7 -11.1 -1.5 -6.2 5.8 -10.3 15.6 8.8 12.7 10.4 -9.8 -14.5 -5.0 -7.6 -4.3 -1.2 -0.0 -4.3 -5.2 -4.5 -6.2 -2.2 -4.8 -1.5 -20.0 -17.8 5.8 -20.0 RUSSELL -10.3 -4.9 3.6 0.5 9.9 -0.6 5.7 -2.0 1.6 11.0 -6.0 -3.1 -11.0 -9.0 -3.0 -4.8 -2.7 -4.4 -3.8 -6.0 -5.4 0.5 -7.8 -6.0 -3.8 -0.0 -1.8 6.9 -1.9 3.6 -2.6 -0.7 -1.8 -10.1 -3.2 -10.4 -3.8 SILVER-mini -2.3 18.8 20.0 3.1 1.9 2.4 0.7 1.0 1.6 1.4 8.8 1.7 -2.9 11.7 14.0 -4.1 -3.5 -4.2 -4.0 16.7 11.5 1.9 1.0 10.7 5.6 -0.0 5.2 -0.2 3.3 -0.1 -0.6 2.8 -4.0 -11.3 10.0 13.5 20.0 SOYBEAN 0.6 4.5 4.2 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -5.8 1.2 -4.0 4.9 4.8 10.5 20.0 20.0 20.0 20.0 5.5 5.0 -1.9 7.6 3.0 -20.0 -0.0 5.6 3.4 5.9 5.2 9.7 6.2 20.0 20.0 8.8 13.6 16.7 SOYMEAL 1.8 20.0 8.8 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 8.8 9.4 6.9 10.7 12.0 11.6 15.9 14.3 13.4 14.2 20.0 15.4 10.8 10.8 17.7 -20.0 -0.0 5.9 2.6 4.6 3.8 3.9 5.5 7.2 20.0 12.0 20.0 20.0 SOYOIL 1.9 -20.0 0.5 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -9.5 -0.7 0.3 4.8 -6.1 -5.3 7.5 20.0 14.0 17.6 -6.0 -0.5 -6.5 6.9 -7.3 -15.5 -0.0 -2.1 -0.7 1.0 -2.2 4.3 -3.2 15.2 -4.1 6.5 -20.0 12.9 SP400 -10.5 -0.5 7.7 0.5 9.9 -0.6 5.7 -2.0 1.6 10.9 1.1 0.1 -5.6 -6.7 3.8 -4.3 -2.0 -3.0 -2.4 -0.1 0.4 3.5 -2.3 -1.6 -7.4 -0.0 0.5 7.5 0.7 3.9 0.1 0.5 0.0 -11.2 -2.9 -4.7 2.3 SP500 -13.8 0.8 3.7 0.5 9.9 -0.6 5.7 -2.0 1.6 9.6 -4.7 -7.3 -8.7 -8.5 -0.6 -5.4 -3.6 -5.1 -4.5 -4.1 -4.6 -1.1 -6.9 -5.8 2.6 -0.0 -0.9 5.2 -1.9 1.5 -3.4 -1.1 -3.2 -14.0 -7.6 -3.7 -3.8 SUGAR11 -6.6 5.7 14.9 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -14.1 7.8 -12.4 4.5 -5.5 8.1 20.0 20.0 20.0 20.0 8.4 10.3 -20.0 6.7 -5.2 -20.0 -0.0 5.6 -5.0 4.8 -1.5 3.1 3.1 20.0 -18.9 19.0 20.0 20.0 US10 -11.3 16.6 -4.5 -1.9 5.7 -4.3 1.8 -7.4 -1.2 6.1 -7.7 -7.1 -12.3 -0.6 0.8 -9.0 -0.7 -7.3 -5.0 -2.9 -12.1 -4.0 -20.0 -4.4 -6.8 -0.0 -0.3 -1.9 -3.9 -3.1 -9.0 -1.6 -6.1 -20.0 3.9 6.9 2.4 US10U -12.8 17.2 -4.2 -1.9 5.7 -4.3 1.8 -7.4 -1.2 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 -12.9 5.3 9.9 3.4 US20 -13.8 20.0 -1.6 -1.9 5.7 -4.3 1.8 -7.4 -1.2 10.6 -5.9 -6.3 -11.4 1.9 2.6 -4.4 1.4 -1.8 -0.2 -1.3 -10.8 -2.7 -20.0 -3.6 -8.8 -0.0 0.3 -0.8 -2.7 -2.6 -6.2 -1.0 -0.0 -20.0 0.6 15.0 2.3 US30 -16.2 20.0 6.0 -1.9 5.7 -4.3 1.8 -7.4 -1.2 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 -16.5 -0.2 15.6 6.5 US5 -9.3 16.2 -4.4 -1.9 5.7 -4.3 1.8 -7.4 -1.2 -2.4 -7.7 -10.1 -12.7 -0.9 0.5 -5.3 0.7 -5.3 -3.9 -2.8 -13.0 -7.4 -20.0 -5.0 -4.6 -0.0 -0.2 -3.5 -4.4 -4.0 -10.5 -1.6 -4.1 -20.0 6.6 7.0 1.7 VIX -2.4 -12.7 -11.2 -4.5 -5.2 -4.0 -3.2 -2.8 -3.3 -13.8 -14.3 -14.2 -12.0 -14.9 -15.2 -20.0 -20.0 -20.0 -20.0 -17.9 -14.9 -17.4 -10.8 -17.2 NaN -0.0 -5.8 -4.1 -5.0 -3.4 -3.4 -4.4 NaN NaN NaN NaN NaN WHEAT 10.7 -15.3 -13.5 -3.3 -6.7 -4.0 -3.9 -1.2 -2.4 -13.6 -14.3 -7.2 -10.1 -10.0 -11.0 -7.7 -4.8 -6.4 -5.6 -15.0 -16.2 -9.8 -8.8 -9.9 -0.6 -0.0 -3.8 -2.5 -3.3 -0.9 0.4 -1.5 -20.0 3.6 12.3 -11.2 -1.5 End of report for caleb_strategy_v1