******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230109_204331 produced at 2023-01-09 21:35:31.973941 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.26 0.0 8361927.10 -8361927.10 -0.19 -0.20 -30.67 999999999 -23 -24 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22751483.32 -22751483.32 -0.11 -0.11 -5.25 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 33575337.80 -33575337.80 -0.13 -0.13 -3.26 999999999 -4 -4 caleb_strategy_v1 US10 False False 0.04 0.00 -0.10 0.0 40335295.70 -40335295.70 0.00 0.00 -2.39 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.10 0.0 38470365.91 -38470365.91 -0.19 -0.15 -2.49 999999999 -5 -4 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.08 0.0 48164700.07 -48164700.07 -0.10 -0.10 -1.60 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.05 -0.14 -0.07 0.0 45693530.57 -45693530.57 -0.14 -0.14 -1.44 999999999 -3 -3 caleb_strategy_v1 US10U False False 0.04 -0.09 -0.06 0.0 42717344.67 -42717344.67 -0.09 -0.09 -1.34 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 -1.76 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.04 0.0 49665445.94 -49665445.94 0.00 0.00 -0.88 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 0.00 -0.03 0.0 12794628.66 -12794628.66 0.00 -0.01 -2.45 999999999 0 -1 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 79038695.32 -79038695.32 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.02 -0.03 0.0 3184045.80 -3184045.80 -0.02 -0.01 -8.76 999999999 -6 -2 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 88242096.34 -88242096.34 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 55096838.79 -55096838.79 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33700766.70 -33700766.70 -0.07 -0.07 -0.38 999999999 -2 -2 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9456899.44 -9456899.44 0.00 0.00 -1.35 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68981497.53 -68981497.53 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 36547078.67 -36547078.67 0.00 0.00 -0.30 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.01 -0.01 0.0 13678352.32 -13678352.32 -0.01 -0.03 -0.52 999999999 -1 -2 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.01 0.0 5933447.43 -5933447.43 -0.01 0.00 -1.70 999999999 -1 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.00 0.0 6608210.93 -6608210.93 -0.01 -0.01 -0.26 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13312892.10 -13312892.10 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 12477755.63 -12477755.63 0.00 0.00 -0.30 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20669363.48 -20669363.48 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 62406382.22 -62406382.22 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.00 0.0 15176457.58 -15176457.58 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 10953244.29 -10953244.29 0.00 0.00 -0.00 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47513349.96 -47513349.96 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 -0.00 0.0 5605056.89 -5605056.89 0.00 0.00 -0.51 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14514545.03 -14514545.03 -0.01 -0.01 -0.27 999999999 -1 -1 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6548709.22 -6548709.22 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22475099.63 -22475099.63 0.04 0.04 0.44 999999999 2 2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4522698.71 -4522698.71 0.00 0.00 1.27 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.00 0.01 0.0 26127941.47 -26127941.47 0.00 0.03 0.57 999999999 0 1 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26872593.08 -26872593.08 0.03 0.03 0.53 999999999 1 1 caleb_strategy_v1 AUD False False 0.02 -0.02 0.01 0.0 24450274.83 -24450274.83 -0.02 0.00 0.26 999999999 -1 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10377591.63 -10377591.63 0.03 0.03 0.88 999999999 3 3 caleb_strategy_v1 CAD False False 0.03 -0.03 0.01 0.0 26342710.96 -26342710.96 -0.03 0.00 0.24 999999999 -1 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21157876.06 -21157876.06 0.02 0.02 0.59 999999999 1 1 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 609276.41 -609276.41 0.00 0.00 8.77 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7547493.00 -7547493.00 0.02 0.02 1.91 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 19265880.03 -19265880.03 0.00 0.00 0.41 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 35282931.33 -35282931.33 0.00 0.04 0.63 999999999 0 1 caleb_strategy_v1 CAC False False 0.03 0.00 0.02 0.0 26066731.50 -26066731.50 0.00 0.03 0.66 999999999 0 1 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.02 0.0 15369436.90 -15369436.90 0.00 0.02 1.28 999999999 0 1 caleb_strategy_v1 MXP False False 0.01 0.03 0.02 0.0 9106578.71 -9106578.71 0.03 0.03 2.63 999999999 3 3 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 42910287.00 -42910287.00 0.04 0.04 0.68 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 49813476.59 -49813476.59 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.04 0.0 30402206.52 -30402206.52 0.03 0.00 1.20 999999999 1 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.06 0.05 0.0 16040816.78 -16040816.78 0.06 0.08 3.27 999999999 4 5 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.05 0.0 41879417.96 -41879417.96 0.04 0.08 1.10 999999999 1 2 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.11 0.0 24513649.43 -24513649.43 0.05 0.05 4.60 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 18.28 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.15 0.0 51849614.74 -51849614.74 0.10 0.10 2.98 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.21 0.0 44424144.37 -44424144.37 0.18 0.18 4.63 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 11.1 Shocked risk 34.0 Sum abs risk 36.1 Leverage 2.19 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2840254.37, 'annual_cash_vol_target': 710063.5925, 'daily_cash_vol_target': 44378.97453125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0064 0.6944 0.9187 14.6998 BITCOIN 668.7460 17305.0000 3.8645 61.8315 BOBL 0.3809 117.3800 0.3245 5.1916 BTP 0.9503 113.3800 0.8382 13.4111 BUND 0.8140 137.0000 0.5942 9.5071 BUXL 2.0784 145.5800 1.4277 22.8430 CAC 69.0060 6887.5000 1.0019 16.0304 CAD 0.0043 0.7482 0.5808 9.2933 CANOLA 8.5361 858.8000 0.9940 15.9034 CHF 0.0064 1.0944 0.5855 9.3676 COCOA 35.4926 2686.0000 1.3214 21.1423 COFFEE 0.0346 1.5655 2.2116 35.3854 COPPER 0.0542 4.0085 1.3527 21.6424 CORN 4.5730 589.5000 0.7757 12.4120 COTTON2 0.0184 0.8621 2.1362 34.1795 CRUDE_W 1.2886 74.2100 1.7364 27.7819 DAX 144.1052 14810.0000 0.9730 15.5684 DOW 330.1517 33705.0000 0.9795 15.6725 EUR 0.0063 1.0796 0.5863 9.3801 EUROSTX 46.0722 4061.0000 1.1345 18.1521 FEEDCOW 1.2397 190.7250 0.6500 10.4001 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.2293 863.5000 2.5743 41.1893 GASOILINE 0.0527 2.4715 2.1308 34.0933 GAS_US 0.2363 3.5440 6.6689 106.7017 GBP 0.0098 1.2212 0.8019 12.8312 GOLD_micro 16.6300 1876.9000 0.8860 14.1766 HEATOIL 0.0632 2.8321 2.2319 35.7109 JPY 0.0001 0.0077 0.9793 15.6688 LEANHOG 1.4284 90.8500 1.5722 25.1560 LIVECOW 0.8684 161.5500 0.5375 8.6004 MXP 0.0003 0.0517 0.6748 10.7962 NASDAQ 167.6060 11224.5000 1.4932 23.8915 NIKKEI 264.8785 26155.0000 1.0127 16.2036 NZD 0.0056 0.6384 0.8704 13.9263 OAT 0.8496 131.6200 0.6455 10.3280 OJ 0.0277 2.0740 1.3358 21.3734 PALLAD 47.8051 1772.5000 2.6970 43.1527 PLAT 21.2861 1094.4000 1.9450 31.1201 REDWHEAT 13.4626 824.5000 1.6328 26.1251 ROBUSTA 23.4762 1860.0000 1.2622 20.1946 RUSSELL 24.7202 1808.7000 1.3667 21.8678 SILVER-mini 0.4595 24.0375 1.9116 30.5864 SOYBEAN 10.6097 1392.5000 0.7619 12.1907 SOYMEAL 6.3462 455.6000 1.3929 22.2869 SOYOIL 0.9744 63.0200 1.5462 24.7393 SP400 31.2865 2506.3000 1.2483 19.9730 SP500 45.1752 3918.5000 1.1529 18.4459 SUGAR11 0.0025 0.1914 1.2918 20.6682 US10 0.5192 114.5625 0.4532 7.2508 US10U 0.6897 121.3281 0.5685 9.0952 US20 0.9869 129.7812 0.7604 12.1670 US30 1.5587 141.0625 1.1050 17.6795 US5 0.3510 109.2656 0.3212 5.1394 VIX 0.5270 23.7500 2.2191 35.5055 WHEAT 11.4315 777.0000 1.4712 23.5397 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 694.45 0.92 638.02 1.00 638.02 44378.97 69.56 2.31 16.07 BITCOIN 17.30 3.86 66.87 1.00 66.87 44378.97 663.61 5.61 372.33 BOBL 1173.80 0.32 380.87 1.06 405.44 44378.97 109.46 5.87 64.20 BTP 1133.80 0.84 950.34 1.06 1011.65 44378.97 43.87 7.67 33.67 BUND 1370.00 0.59 814.04 1.06 866.56 44378.97 51.21 8.07 41.35 BUXL 1455.80 1.43 2078.42 1.06 2212.51 44378.97 20.06 -2.09 -4.20 CAC 688.75 1.00 690.06 1.06 734.58 44378.97 60.41 3.86 23.34 CAD 748.20 0.58 434.58 1.00 434.58 44378.97 102.12 1.34 13.65 CANOLA 171.76 0.99 170.72 0.74 127.05 44378.97 349.31 3.96 138.35 CHF 1368.00 0.59 800.93 1.00 800.93 44378.97 55.41 -7.71 -42.71 COCOA 268.60 1.32 354.93 1.00 354.93 44378.97 125.04 -4.97 -62.15 COFFEE 587.06 2.21 1298.34 1.00 1298.34 44378.97 34.18 -3.64 -12.43 COPPER 1002.12 1.35 1355.53 1.00 1355.53 44378.97 32.74 7.02 22.98 CORN 294.75 0.78 228.65 1.00 228.65 44378.97 194.09 5.05 97.97 COTTON2 431.05 2.14 920.82 1.00 920.82 44378.97 48.20 1.86 8.97 CRUDE_W 742.10 1.74 1288.56 1.00 1288.56 44378.97 34.44 1.24 4.28 DAX 148.10 0.97 144.11 1.06 153.40 44378.97 289.30 -0.32 -9.37 DOW 168.52 0.98 165.08 1.00 165.08 44378.97 268.84 -2.21 -59.50 EUR 1349.50 0.59 791.16 1.00 791.16 44378.97 56.09 -0.44 -2.46 EUROSTX 406.10 1.13 460.72 1.06 490.45 44378.97 90.49 5.05 45.70 FEEDCOW 953.62 0.65 619.86 1.00 619.86 44378.97 71.60 -16.93 -121.19 FTSE100 707.00 0.82 576.59 1.21 666.67 44378.97 66.57 -2.56 -17.06 GASOIL 863.50 2.57 2222.93 1.00 2222.93 44378.97 19.96 8.45 16.86 GASOILINE 1038.03 2.13 2211.86 1.00 2211.86 44378.97 20.06 -3.67 -7.36 GAS_US 354.40 6.67 2363.44 1.00 2363.44 44378.97 18.78 -10.54 -19.79 GBP 763.25 0.80 612.09 1.00 612.09 44378.97 72.50 4.06 29.46 GOLD_micro 187.69 0.89 166.30 1.00 166.30 44378.97 266.86 -0.44 -11.82 HEATOIL 1189.48 2.23 2654.84 1.00 2654.84 44378.97 16.72 9.24 15.45 JPY 957.19 0.98 937.38 1.00 937.38 44378.97 47.34 -1.24 -5.88 LEANHOG 363.40 1.57 571.35 1.00 571.35 44378.97 77.67 -6.76 -52.52 LIVECOW 646.20 0.54 347.35 1.00 347.35 44378.97 127.76 -15.28 -195.26 MXP 258.65 0.67 174.53 1.00 174.53 44378.97 254.28 8.44 214.72 NASDAQ 2244.90 1.49 3352.12 1.00 3352.12 44378.97 13.24 -5.33 -7.05 NIKKEI 26155.00 1.01 26487.85 0.01 198.78 44378.97 223.25 4.31 96.25 NZD 638.35 0.87 555.62 1.00 555.62 44378.97 79.87 3.48 27.80 OAT 1316.20 0.65 849.61 1.06 904.42 44378.97 49.07 8.31 40.77 OJ 311.10 1.34 415.58 1.00 415.58 44378.97 106.79 -0.00 -0.01 PALLAD 1772.50 2.70 4780.51 1.00 4780.51 44378.97 9.28 -2.34 -2.17 PLAT 547.20 1.95 1064.31 1.00 1064.31 44378.97 41.70 4.06 16.92 REDWHEAT 412.25 1.63 673.13 1.00 673.13 44378.97 65.93 -7.74 -51.00 ROBUSTA 186.00 1.26 234.76 1.00 234.76 44378.97 189.04 -0.37 -6.94 RUSSELL 90.44 1.37 123.60 1.00 123.60 44378.97 359.05 -4.71 -169.12 SILVER-mini 600.94 1.91 1148.78 1.00 1148.78 44378.97 38.63 6.86 26.49 SOYBEAN 696.25 0.76 530.48 1.00 530.48 44378.97 83.66 9.33 78.08 SOYMEAL 455.60 1.39 634.62 1.00 634.62 44378.97 69.93 7.93 55.46 SOYOIL 378.12 1.55 584.65 1.00 584.65 44378.97 75.91 3.05 23.13 SP400 2506.30 1.25 3128.65 1.00 3128.65 44378.97 14.18 -3.01 -4.27 SP500 1959.25 1.15 2258.76 1.00 2258.76 44378.97 19.65 -3.62 -7.11 SUGAR11 214.37 1.29 276.91 1.00 276.91 44378.97 160.26 8.77 140.55 US10 1145.62 0.45 519.17 1.00 519.17 44378.97 85.48 -7.28 -62.20 US10U 1213.28 0.57 689.69 1.00 689.69 44378.97 64.35 -1.43 -9.19 US20 1297.81 0.76 986.90 1.00 986.90 44378.97 44.97 -4.36 -19.59 US30 1410.62 1.10 1558.69 1.00 1558.69 44378.97 28.47 -3.70 -10.54 US5 1092.66 0.32 350.98 1.00 350.98 44378.97 126.44 -5.12 -64.78 VIX 237.50 2.22 527.03 1.00 527.03 44378.97 84.21 -19.33 -162.73 WHEAT 388.50 1.47 571.57 1.00 571.57 44378.97 77.64 -12.57 -97.57 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 16.073 0.006 2.5 0.257 BITCOIN 372.331 0.009 2.5 8.772 BOBL 64.202 0.029 2.5 4.633 BTP 33.668 0.008 2.5 0.680 BUND 41.351 0.029 2.5 2.984 BUXL -4.197 0.034 2.5 -0.352 CAC 23.336 0.011 2.5 0.656 CAD 13.648 0.007 2.5 0.244 CANOLA 138.346 0.004 2.5 1.270 CHF -42.706 0.015 2.5 -1.598 COCOA -62.151 0.009 2.5 -1.354 COFFEE -12.431 0.005 2.5 -0.161 COPPER 22.976 0.011 2.5 0.628 CORN 97.972 0.004 2.5 0.884 COTTON2 8.966 0.006 2.5 0.135 CRUDE_W 4.278 0.053 2.5 0.565 DAX -9.366 0.022 2.5 -0.509 DOW -59.498 0.011 2.5 -1.696 EUR -2.461 0.015 2.5 -0.092 EUROSTX 45.701 0.011 2.5 1.285 FEEDCOW -121.190 0.011 2.5 -3.257 FTSE100 -17.062 0.041 2.5 -1.759 GASOIL 16.862 0.029 2.5 1.203 GASOILINE -7.364 0.016 2.5 -0.302 GAS_US -19.789 0.006 2.5 -0.298 GBP 29.461 0.007 2.5 0.526 GOLD_micro -11.825 0.009 2.5 -0.265 HEATOIL 15.445 0.029 2.5 1.102 JPY -5.883 0.026 2.5 -0.381 LEANHOG -52.525 0.019 2.5 -2.454 LIVECOW -195.262 0.011 2.5 -5.247 MXP 214.721 0.005 2.5 2.629 NASDAQ -7.052 0.022 2.5 -0.383 NIKKEI 96.251 0.076 2.5 18.281 NZD 27.802 0.006 2.5 0.444 OAT 40.770 0.008 2.5 0.823 OJ -0.007 0.007 2.5 -0.000 PALLAD -2.174 0.010 2.5 -0.052 PLAT 16.923 0.010 2.5 0.407 REDWHEAT -51.003 0.002 2.5 -0.272 ROBUSTA -6.938 0.005 2.5 -0.090 RUSSELL -169.121 0.021 2.5 -8.760 SILVER-mini 26.488 0.009 2.5 0.593 SOYBEAN 78.079 0.024 2.5 4.604 SOYMEAL 55.463 0.024 2.5 3.270 SOYOIL 23.132 0.004 2.5 0.212 SP400 -4.265 0.021 2.5 -0.221 SP500 -7.107 0.011 2.5 -0.203 SUGAR11 140.549 0.005 2.5 1.907 US10 -62.198 0.015 2.5 -2.386 US10U -9.186 0.058 2.5 -1.338 US20 -19.585 0.029 2.5 -1.444 US30 -10.538 0.034 2.5 -0.885 US5 -64.784 0.015 2.5 -2.485 VIX -162.727 0.075 2.5 -30.666 WHEAT -97.566 0.002 2.5 -0.521 ==================== Position diags ==================== AUD 1.11 BITCOIN 15.64 BOBL 7.90 BTP 0.89 BUND 3.70 BUXL 1.68 CAC 1.70 CAD 1.82 CANOLA 3.21 CHF 2.07 COCOA 2.72 COFFEE 0.44 COPPER 0.89 CORN 1.75 COTTON2 0.73 CRUDE_W 4.55 DAX 15.71 DOW 7.66 EUR 2.10 EUROSTX 2.54 FEEDCOW 1.92 FTSE100 6.86 GASOIL 1.42 GASOILINE 0.82 GAS_US 0.28 GBP 1.29 GOLD_micro 5.97 HEATOIL 1.19 JPY 3.06 LEANHOG 3.63 LIVECOW 3.43 MXP 3.11 NASDAQ 0.72 NIKKEI 42.40 NZD 1.28 OAT 0.99 OJ 1.86 PALLAD 0.22 PLAT 1.00 REDWHEAT 0.35 ROBUSTA 2.45 RUSSELL 18.60 SILVER-mini 0.86 SOYBEAN 4.93 SOYMEAL 4.12 SOYOIL 0.70 SP400 0.73 SP500 0.56 SUGAR11 2.17 US10 3.28 US10U 9.38 US20 3.31 US30 2.39 US5 4.85 VIX 15.87 WHEAT 0.41 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.1 0.4 -1.0 -1 BITCOIN 8.8 7.2 10.3 NaN 0 BOBL 4.6 3.8 5.4 4.0 4 BTP 0.7 0.6 0.8 1.0 1 BUND 3.0 2.6 3.4 2.0 2 BUXL -0.4 -0.5 -0.2 0.0 0 CAC 0.7 0.5 0.8 0.0 0 CAD 0.2 0.1 0.4 -1.0 -1 CANOLA 1.3 0.9 1.6 NaN 0 CHF -1.6 -1.8 -1.4 -2.0 -2 COCOA -1.4 -1.6 -1.1 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.6 0.5 0.7 0.0 0 CORN 0.9 0.7 1.1 3.0 3 COTTON2 0.1 0.1 0.2 NaN 0 CRUDE_W 0.6 0.1 1.0 0.0 0 DAX -0.5 -2.1 1.1 0.0 0 DOW -1.7 -2.5 -0.9 -1.0 -1 EUR -0.1 -0.3 0.1 0.0 0 EUROSTX 1.3 1.0 1.5 0.0 0 FEEDCOW -3.3 -3.4 -3.1 -4.0 -4 FTSE100 -1.8 -2.4 -1.1 0.0 0 GASOIL 1.2 1.1 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 0.5 0.4 0.7 1.0 1 GOLD_micro -0.3 -0.9 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 -2.5 -2.8 -2.1 0.0 0 LIVECOW -5.2 -5.6 -4.9 -5.0 -5 MXP 2.6 2.3 2.9 3.0 3 NASDAQ -0.4 -0.5 -0.3 0.0 0 NIKKEI 18.3 14.0 22.5 0.0 0 NZD 0.4 0.3 0.6 2.0 2 OAT 0.8 0.7 0.9 0.0 0 OJ -0.0 -0.2 0.2 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 -0.1 -0.3 0.2 0.0 0 RUSSELL -8.8 -10.6 -6.9 -6.0 -6 SILVER-mini 0.6 0.5 0.7 1.0 1 SOYBEAN 4.6 4.1 5.1 2.0 2 SOYMEAL 3.3 2.9 3.7 4.0 4 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 -0.2 -0.3 -0.1 0.0 0 SP500 -0.2 -0.3 -0.1 0.0 0 SUGAR11 1.9 1.7 2.1 2.0 2 US10 -2.4 -2.7 -2.1 NaN 0 US10U -1.3 -2.3 -0.4 -2.0 -2 US20 -1.4 -1.8 -1.1 -3.0 -3 US30 -0.9 -1.1 -0.6 0.0 0 US5 -2.5 -3.0 -2.0 -5.0 -5 VIX -30.7 -32.3 -29.1 -23.0 -23 WHEAT -0.5 -0.6 -0.5 -1.0 -1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.0 0.2 0.2 0.1 0.1 0.0 0.1 -0.1 0.1 0.1 -0.0 0.0 -0.2 0.0 0.3 -0.2 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.1 0.0 0.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 0.2 0.1 -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 -0.0 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 -0.2 -0.3 0.6 0.1 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 0.0 0.2 -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 0.0 -0.1 -0.0 0.1 -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 -0.1 -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 -0.1 -0.4 -0.1 -0.0 CAC -0.1 0.0 0.3 0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 0.3 0.0 0.0 0.0 0.3 -0.2 0.1 -0.0 0.0 0.2 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 0.1 0.1 0.3 CAD 0.1 0.0 -0.0 0.1 0.0 0.0 0.1 -0.1 0.1 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 -0.0 0.0 0.0 -0.1 0.2 CHF -0.0 0.3 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.3 0.0 -0.0 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 0.0 0.0 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 -1.6 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.2 0.4 0.3 0.3 COFFEE 0.1 0.0 -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 -1.3 -0.0 0.1 0.1 -0.3 COPPER 0.0 0.2 0.3 0.1 0.0 0.1 0.1 0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 0.3 -0.1 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.0 1.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.3 0.2 0.0 0.1 CORN 0.0 -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 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 1.7 -0.0 -0.1 -0.1 -0.1 COTTON2 0.0 0.1 -0.7 -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 0.2 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.7 0.0 0.2 0.4 -0.3 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 0.0 -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 -0.3 0.0 -0.1 0.1 0.1 DAX -0.1 0.1 0.4 0.0 0.1 -0.0 0.2 -0.0 0.0 0.0 0.3 0.0 -0.1 0.0 0.3 -0.3 -0.1 -0.1 -0.1 0.2 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 0.1 0.0 0.1 0.3 DOW -0.2 0.0 0.3 0.0 0.1 -0.0 0.2 -0.0 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 -0.2 -0.2 -0.1 0.2 EUR -0.0 0.3 0.4 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.1 0.0 -0.2 0.1 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 -0.1 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 -3.4 -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 -0.1 -0.0 -0.0 -0.1 -0.0 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 0.7 -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 -0.1 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 -0.1 -0.3 GBP -0.1 0.2 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.1 -0.0 -0.1 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 -0.0 -0.3 -0.0 -0.1 GOLD_micro 0.1 0.3 0.3 0.1 0.0 0.1 0.1 0.0 0.0 0.0 0.1 0.1 -0.2 0.1 0.4 -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 0.1 0.2 0.1 0.0 HEATOIL 0.0 -0.3 -0.1 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.2 -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 0.1 0.3 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 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 1.3 -0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -2.0 -0.2 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 0.5 -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 0.0 -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 0.3 0.3 0.3 MXP 0.1 -0.1 0.1 0.1 0.0 0.0 0.1 -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 -0.1 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 -0.3 -0.0 -0.3 -0.0 -0.3 -0.4 -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 -0.1 -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 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.1 -0.0 -0.1 0.0 0.3 0.0 0.0 -0.0 -0.0 0.1 0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.5 0.0 -0.1 0.1 0.1 OAT -0.2 0.0 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 1.2 0.0 0.4 0.1 0.3 PALLAD -0.0 -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 -0.3 -0.3 -0.3 PLAT 0.0 0.1 0.3 0.1 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 0.1 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 0.2 REDWHEAT 0.0 -0.2 -0.2 -0.1 -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 -0.2 -0.1 -0.0 -0.1 -0.0 -0.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.8 -0.1 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 -0.2 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 -0.0 -0.0 -0.3 0.1 -0.3 RUSSELL -0.1 -0.1 0.1 0.0 0.1 -0.0 0.2 -0.0 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 -0.1 -0.1 -0.2 -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 0.0 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 0.1 0.2 0.3 SOYBEAN 0.0 0.1 0.1 -0.1 -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 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 0.2 0.0 0.3 0.0 0.3 1.4 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 1.2 0.2 0.3 0.3 0.3 SOYOIL 0.0 -0.3 0.0 -0.1 -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 2.2 -0.0 0.1 -0.3 0.2 SP400 -0.1 -0.0 0.2 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 0.0 -0.1 -0.0 0.1 -0.2 -0.1 -0.0 -0.0 0.0 0.0 0.0 -0.0 0.0 -1.2 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 -0.1 0.0 SP500 -0.1 0.0 0.1 0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 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0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 0.1 -0.4 0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 0.0 -0.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.6 -0.0 0.0 0.1 0.0 VIX -0.1 -0.7 -0.8 -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 -0.1 -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 1.6 13.9 10.0 3.5 6.8 0.4 4.7 -3.4 4.0 12.6 -1.7 10.3 -7.3 11.5 10.5 -3.0 -2.1 -2.8 -2.5 7.0 -0.1 12.3 -6.8 9.7 5.5 -0.0 3.8 8.2 -0.6 7.9 -4.1 6.4 -0.5 11.5 2.7 -1.8 -7.8 BITCOIN 1.8 -3.6 2.7 3.3 4.8 2.5 2.4 1.1 2.2 14.0 -14.8 -0.9 -16.0 2.3 -8.3 2.3 -0.4 1.6 0.8 -6.5 -17.5 3.7 -20.0 -0.4 20.0 -0.0 -4.0 3.3 -7.5 2.2 -8.1 -0.2 2.7 -1.0 3.8 -18.6 -20.0 BOBL -17.1 1.8 -7.3 -1.0 9.3 -3.9 5.5 -7.3 1.2 11.7 -13.7 -3.4 -13.8 -7.8 -10.7 -3.4 13.4 6.6 12.2 -16.6 -20.0 4.2 -20.0 -10.5 14.2 -0.0 -4.2 5.6 -6.6 2.5 -10.1 -2.0 20.0 -3.0 -15.3 -17.5 -8.0 BTP -20.0 3.0 10.0 -1.0 9.3 -3.9 5.5 -7.3 1.2 13.3 -4.7 -2.2 -11.2 -6.5 -0.5 10.5 14.4 14.1 15.8 -5.3 -7.9 7.9 -17.0 -4.5 0.5 -0.0 -1.0 7.4 -3.1 3.9 -7.9 -0.1 20.0 -1.9 -11.1 -5.7 10.6 BUND -20.0 3.1 -3.6 -1.0 9.3 -3.9 5.5 -7.3 1.2 11.9 -11.9 -2.6 -13.2 -6.7 -8.5 12.9 15.9 13.6 14.7 -14.4 -18.6 5.3 -20.0 -9.7 10.5 -0.0 -3.3 6.6 -5.7 3.4 -9.2 -1.2 20.0 1.0 -14.0 -12.1 -5.9 BUXL -20.0 6.2 0.5 -1.0 9.3 -3.9 5.5 -7.3 1.2 11.9 -8.4 -5.1 -11.9 -7.5 -4.9 3.8 -0.7 4.6 3.0 -12.5 -14.3 -0.2 -20.0 -13.1 5.5 -0.0 -2.3 4.8 -3.8 1.6 -6.5 -1.8 0.2 -6.3 -20.0 -5.4 -0.9 CAC -5.5 3.1 17.5 0.9 9.5 -0.4 6.6 -1.9 2.5 13.9 12.0 12.1 1.3 9.5 13.4 -2.0 3.1 -0.7 0.8 12.5 10.9 20.0 6.1 13.7 -13.8 -0.0 3.6 9.7 3.2 7.0 1.6 3.8 7.2 12.9 3.5 5.7 18.0 CAD 7.4 2.8 -0.7 3.5 6.8 0.4 4.7 -3.4 4.0 12.9 -9.5 10.9 -10.9 -2.7 -2.4 -1.7 -1.1 -1.8 -1.5 -2.4 -8.3 10.8 -10.9 4.0 12.3 -0.0 -0.5 10.5 -5.1 9.3 -7.2 4.8 1.3 7.8 4.4 -20.0 -20.0 CANOLA 7.5 6.5 1.3 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -10.5 -8.7 5.1 -4.1 7.6 7.3 -0.5 11.8 5.7 7.4 3.1 -3.7 1.5 -0.3 5.3 5.6 -0.0 0.3 -3.4 -0.6 -0.8 1.9 0.6 -0.3 1.0 3.6 -5.4 17.3 CHF -3.5 17.0 15.1 3.5 6.8 0.4 4.7 -3.4 4.0 8.6 10.3 3.1 -1.9 11.3 13.9 -13.6 -12.1 -13.0 -12.8 13.4 8.7 4.8 -0.8 8.6 -9.6 -0.0 5.0 5.6 2.1 4.2 -2.0 4.8 -17.8 2.2 1.8 5.8 4.8 COCOA 6.9 13.3 16.7 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 10.2 8.0 12.1 -5.5 12.7 14.0 -1.3 -2.9 -0.8 -1.3 13.8 7.9 13.7 -0.5 14.4 -10.7 -0.0 5.8 7.6 3.0 7.4 0.1 7.2 -20.0 20.0 20.0 20.0 20.0 COFFEE 5.5 2.5 -20.0 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -14.1 -13.0 -11.3 -9.6 -4.3 -13.0 0.1 3.7 2.2 4.0 -15.8 -20.0 -15.0 -14.2 -10.5 9.6 -0.0 -4.0 -4.4 -6.3 -2.8 -4.1 -1.5 -9.3 -9.3 6.2 4.3 -20.0 COPPER 0.2 13.8 19.7 3.3 4.8 2.5 2.4 1.1 2.2 12.7 -3.8 8.0 -7.6 9.1 10.9 -0.9 -0.1 -0.5 -0.3 11.0 3.7 14.9 -5.9 11.0 11.5 -0.0 4.9 11.0 2.2 7.3 -0.8 5.5 2.0 17.8 10.3 2.7 3.5 CORN 4.8 -14.3 -3.0 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -13.9 0.7 -11.7 4.1 -10.5 -9.6 20.0 16.5 20.0 18.3 -6.9 -1.3 -15.1 10.6 -9.5 -9.4 -0.0 -4.7 -6.4 -2.0 -6.5 3.3 -5.4 12.7 -15.5 -3.7 -10.5 -3.5 COTTON2 10.8 7.0 -16.8 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 12.0 -10.0 1.9 -3.3 2.1 -4.4 0.9 14.5 3.7 9.2 -3.5 -10.4 5.8 -5.1 2.4 0.9 -0.0 1.1 7.0 -1.8 4.6 1.9 3.7 5.1 14.4 14.5 15.3 -11.6 CRUDE_W 2.9 -4.1 -0.8 -2.4 -2.5 -2.0 -1.8 3.6 -1.0 -6.9 -6.3 -6.0 1.9 -5.6 4.1 6.5 12.5 7.3 9.6 -3.1 -2.6 -5.9 3.9 -3.9 -5.1 -0.0 -0.4 2.4 0.2 1.1 5.9 0.5 -2.1 7.8 -4.1 7.2 9.8 DAX -7.0 5.1 20.0 0.9 9.5 -0.4 6.6 -1.9 2.5 13.9 10.3 11.1 -2.9 8.7 12.8 -7.9 -3.0 -6.2 -4.6 12.6 10.2 20.0 0.7 12.1 -9.5 -0.0 3.4 8.7 3.1 5.8 -0.0 3.0 -2.6 14.2 0.8 6.3 20.0 DOW -11.9 2.5 17.3 0.9 9.5 -0.4 6.6 -1.9 2.5 10.2 8.0 -3.1 -0.2 -5.7 9.2 -5.8 -2.7 -5.3 -4.5 5.1 6.2 2.8 1.4 0.1 -7.2 -0.0 1.7 3.9 2.1 1.4 0.6 0.0 -2.4 -15.8 -9.4 -4.2 10.9 EUR -3.7 20.0 20.0 3.5 6.8 0.4 4.7 -3.4 4.0 9.1 5.4 4.3 -7.6 12.4 14.9 -7.9 -8.4 -7.9 -8.2 16.9 8.5 6.7 -7.9 11.3 0.8 -0.0 5.6 6.3 1.8 5.3 -3.9 5.8 -10.8 4.5 8.8 10.2 13.8 EUROSTX -8.5 2.8 20.0 0.9 9.5 -0.4 6.6 -1.9 2.5 13.9 11.6 11.2 -0.1 9.9 13.3 8.9 4.0 5.6 4.0 12.4 11.1 19.8 4.4 11.8 -16.2 -0.0 3.6 8.4 3.7 5.5 1.4 2.9 10.2 11.2 -0.5 8.2 20.0 FEEDCOW 5.2 10.7 2.1 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 2.7 2.8 7.6 -0.2 12.4 8.9 -20.0 -20.0 -20.0 -20.0 7.4 2.8 6.2 -0.4 8.6 -20.0 -0.0 5.2 2.7 1.9 5.8 0.2 7.1 -20.0 20.0 18.5 20.0 6.5 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 4.1 -17.4 -7.9 -2.4 -2.5 -2.0 -1.8 3.6 -1.0 -7.2 -6.4 -5.0 8.9 -5.0 -7.7 20.0 20.0 20.0 20.0 -7.7 -2.6 -7.2 10.0 -7.1 -5.7 -0.0 -5.0 -0.8 -2.2 -3.8 3.3 -5.3 20.0 -14.7 -12.9 -18.4 -1.6 GASOILINE 15.3 -7.8 -10.6 -2.4 -2.5 -2.0 -1.8 3.6 -1.0 -10.7 -11.2 -0.5 2.6 -0.9 -4.1 -20.0 16.8 -14.4 4.6 -3.9 -4.8 -2.3 4.8 -0.3 -6.7 -0.0 2.1 2.9 0.9 5.7 5.7 5.6 0.0 20.0 20.0 11.1 14.1 GAS_US -20.0 -18.4 -20.0 -2.4 -2.5 -2.0 -1.8 3.6 -1.0 -12.2 -13.2 -15.5 -3.8 -15.8 -15.4 20.0 -3.2 9.6 0.9 -20.0 -19.1 -20.0 -5.6 -20.0 -5.7 -0.0 -5.2 -2.1 -2.2 -5.4 2.1 -6.7 -20.0 -3.8 -20.0 -4.1 -20.0 GBP -12.4 14.6 18.0 3.5 6.8 0.4 4.7 -3.4 4.0 11.6 4.6 -6.2 -5.7 1.8 10.8 -2.0 -1.6 -1.9 -1.9 7.8 3.1 1.9 -7.9 2.3 13.2 -0.0 2.3 5.8 -2.3 2.6 -8.3 2.1 0.5 -4.5 -14.3 -3.2 -4.4 GOLD_micro 7.5 20.0 15.0 3.3 4.8 2.5 2.4 1.1 2.2 13.2 2.0 14.1 -7.3 15.2 14.7 -11.1 -8.7 -10.7 -10.1 16.1 6.5 18.2 -2.7 18.4 7.9 -0.0 4.8 4.9 2.1 4.3 -0.5 4.8 -13.7 7.9 12.8 9.0 0.5 HEATOIL 3.8 -16.2 -8.2 -2.4 -2.5 -2.0 -1.8 3.6 -1.0 -12.5 -6.1 -6.6 8.2 -2.6 -4.4 20.0 20.0 20.0 20.0 -6.7 -1.9 -10.4 10.8 -7.1 -14.5 -0.0 -2.4 -0.3 0.4 -0.4 9.5 -1.2 20.0 2.0 2.0 -2.7 4.5 JPY 7.0 20.0 20.0 3.5 6.8 0.4 4.7 -3.4 4.0 4.0 -0.0 9.2 -10.5 12.5 12.7 -10.8 -10.5 -11.5 -11.6 14.4 3.1 7.3 -11.6 13.9 9.8 -0.0 4.9 1.5 0.5 2.8 -5.4 5.1 -15.5 -13.2 13.5 18.0 9.4 LEANHOG 1.1 -6.9 3.9 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -10.8 3.7 -6.1 -0.5 -3.4 7.1 -20.0 12.6 -20.0 0.3 -1.3 0.7 -13.3 3.0 -6.3 -10.7 -0.0 -1.5 -6.0 -0.7 -5.8 1.0 -3.4 0.2 -15.2 0.4 -0.5 5.2 LIVECOW 6.7 5.1 11.2 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -4.0 11.7 6.0 1.4 10.6 12.3 -20.0 -20.0 -20.0 -20.0 9.3 7.8 2.6 3.2 7.2 -20.0 -0.0 5.7 2.0 4.6 4.0 3.2 5.9 -20.0 11.8 17.5 20.0 17.5 MXP 9.4 -4.0 7.4 3.5 6.8 0.4 4.7 -3.4 4.0 14.0 14.0 15.3 14.8 11.6 12.4 18.8 20.0 18.9 19.5 13.2 14.3 17.7 14.8 14.6 -20.0 -0.0 5.8 6.0 5.6 6.5 5.0 6.1 20.0 -4.1 13.2 -7.3 16.6 NASDAQ -15.4 -3.4 -2.3 0.9 9.5 -0.4 6.6 -1.9 2.5 12.0 -11.9 -8.2 -13.1 -10.1 -10.9 -5.1 -3.5 -4.9 -4.5 -11.9 -13.1 -2.9 -15.1 -11.1 8.0 -0.0 -3.1 5.6 -4.4 1.4 -5.1 -2.1 -3.1 -7.6 -13.7 -7.2 -12.6 NIKKEI -20.0 -17.5 -2.5 0.4 9.3 -0.6 5.4 -2.0 1.5 -3.3 -3.1 -12.9 -0.6 -14.5 -10.1 19.2 10.5 13.4 11.7 -14.6 -6.1 -10.8 -1.4 -18.0 -0.9 -0.0 -5.0 0.8 -3.1 -2.9 -1.7 -5.4 20.0 -20.0 -20.0 -20.0 -11.2 NZD -11.3 20.0 20.0 3.5 6.8 0.4 4.7 -3.4 4.0 11.4 5.6 -3.5 -5.7 5.8 11.3 0.4 0.5 -0.2 -0.1 11.8 6.1 3.6 -5.0 6.1 -0.6 -0.0 4.6 4.5 1.6 3.6 -2.3 4.1 3.8 4.4 -5.8 7.9 5.0 OAT -20.0 2.3 2.9 -1.0 9.3 -3.9 5.5 -7.3 1.2 12.1 -9.9 -2.6 -12.5 -6.7 -6.9 12.9 12.8 13.3 13.6 -11.6 -14.2 5.9 -20.0 -8.8 9.7 -0.0 -2.7 6.3 -4.9 3.1 -8.9 -1.2 20.0 0.8 -16.6 -10.0 -2.5 OJ 1.5 1.0 20.0 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 13.3 13.9 8.2 14.4 9.2 12.9 15.6 12.8 15.7 15.7 15.4 20.0 7.4 20.0 8.2 -20.0 -0.0 6.1 4.4 9.6 4.9 11.8 4.6 8.4 20.0 14.0 9.4 20.0 PALLAD -2.9 -8.3 -12.0 3.3 4.8 2.5 2.4 1.1 2.2 3.2 -12.0 -3.4 -9.2 -9.2 -12.1 -1.3 -1.3 -1.5 -1.5 -11.9 -11.5 -1.5 -8.8 -7.4 7.7 -0.0 -4.4 1.9 -3.8 1.1 -2.5 -2.3 0.0 -0.1 -13.3 -20.0 -20.0 PLAT 3.3 5.7 18.7 3.3 4.8 2.5 2.4 1.1 2.2 11.1 11.8 13.0 1.0 12.9 14.0 -1.3 -0.5 -0.7 -0.5 14.1 10.7 14.6 4.0 15.1 -5.1 -0.0 6.0 2.9 4.3 5.0 1.1 5.9 1.6 12.8 19.1 6.8 16.3 REDWHEAT 3.4 -15.5 -10.8 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -14.0 -13.2 -10.7 -6.9 -11.3 -11.6 4.8 1.0 4.3 3.0 -13.5 -12.5 -13.6 -4.5 -12.0 -3.1 -0.0 -4.3 -4.1 -2.7 -3.2 1.9 -3.4 -13.2 -7.0 3.0 -10.9 2.5 ROBUSTA 6.4 10.0 -20.0 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 5.4 -11.1 1.8 -6.4 6.7 -10.2 15.6 8.9 12.8 10.5 -8.8 -13.5 -1.3 -7.2 -2.8 -1.2 -0.0 -4.5 -1.2 -4.6 -4.4 -2.3 -4.5 -0.2 -20.0 -18.8 6.6 -20.0 RUSSELL -7.8 -5.0 3.8 0.9 9.5 -0.4 6.6 -1.9 2.5 13.1 -6.0 -0.5 -11.0 -7.9 -2.6 -4.9 -2.7 -4.5 -3.8 -5.6 -5.4 3.2 -8.0 -4.4 -3.7 -0.0 -1.3 7.3 -1.7 4.8 -2.6 0.5 -1.8 -4.6 -3.2 -10.5 -4.1 SILVER-mini -2.9 19.3 20.0 3.3 4.8 2.5 2.4 1.1 2.2 2.1 9.1 1.7 -2.7 11.6 14.0 -4.1 -3.5 -4.2 -4.0 16.7 11.8 2.0 1.2 10.3 5.6 -0.0 5.2 -0.1 3.4 0.0 -0.5 2.7 -4.0 -16.3 5.7 12.2 20.0 SOYBEAN 0.3 4.5 4.1 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -5.6 1.2 -4.3 4.9 4.2 10.2 20.0 20.0 20.0 20.0 5.3 5.0 -1.6 7.7 2.6 -20.0 -0.0 5.7 2.6 5.9 4.9 9.6 6.1 20.0 20.0 10.6 14.3 16.8 SOYMEAL -0.0 20.0 9.0 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 7.6 9.7 7.6 10.8 12.2 11.8 17.2 14.5 14.0 14.5 20.0 15.5 9.5 10.9 16.9 -20.0 -0.0 5.9 1.6 4.8 3.3 4.0 5.3 8.7 20.0 14.0 20.0 20.0 SOYOIL 2.5 -20.0 0.4 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -8.0 -0.8 -2.2 4.8 -6.3 -5.5 7.2 20.0 13.7 17.4 -6.3 -0.8 -5.3 6.9 -7.3 -15.4 -0.0 -2.1 0.1 0.9 -1.6 4.4 -3.0 16.1 -3.5 6.0 -20.0 12.7 SP400 -7.5 -0.2 8.2 0.9 9.5 -0.4 6.6 -1.9 2.5 13.0 1.3 3.3 -5.5 -5.5 4.2 -4.4 -2.1 -3.0 -2.4 0.5 0.6 6.3 -2.3 0.2 -7.4 -0.0 1.0 7.5 0.8 5.0 0.2 1.6 0.0 -6.3 -2.5 -5.1 2.0 SP500 -11.5 0.6 4.1 0.9 9.5 -0.4 6.6 -1.9 2.5 12.6 -4.7 -5.8 -8.7 -8.1 -0.3 -5.5 -3.6 -5.1 -4.5 -3.9 -4.8 1.1 -7.2 -4.6 2.6 -0.0 -0.6 4.9 -1.8 2.2 -3.4 -0.3 -3.2 -9.9 -9.1 -4.6 -4.1 SUGAR11 -10.1 4.7 14.6 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -11.6 7.4 -12.7 4.4 -7.2 7.2 20.0 20.0 20.0 20.0 6.7 9.8 -20.0 6.6 -7.4 -20.0 -0.0 5.4 -3.5 4.9 -1.8 3.2 2.5 20.0 -19.8 18.4 20.0 20.0 US10 -8.9 19.8 3.0 -1.0 9.3 -3.9 5.5 -7.3 1.2 13.2 -7.3 3.0 -12.2 3.2 3.3 -8.8 -0.9 -7.3 -5.1 -0.1 -9.8 10.0 -20.0 3.0 -6.5 -0.0 0.7 7.7 -3.5 3.5 -8.8 1.6 -6.2 -15.7 4.6 5.5 2.3 US10U -10.6 19.4 0.9 -1.0 9.3 -3.9 5.5 -7.3 1.2 13.7 -7.1 2.2 -12.1 1.6 2.6 1.3 4.8 0.9 1.9 -0.3 -10.1 10.6 -20.0 2.7 -8.9 -0.0 1.5 8.3 -2.7 5.1 -7.3 3.0 4.7 -6.0 6.9 9.3 3.5 US20 -12.8 20.0 2.6 -1.0 9.3 -3.9 5.5 -7.3 1.2 13.7 -5.5 0.5 -11.3 3.5 4.3 -4.8 1.3 -2.1 -0.5 0.9 -9.4 9.4 -20.0 3.1 -8.5 -0.0 0.9 5.1 -2.5 1.8 -6.3 1.0 -0.2 -19.5 -1.0 13.1 1.8 US30 -15.2 20.0 8.8 -1.0 9.3 -3.9 5.5 -7.3 1.2 13.6 -5.4 -1.0 -12.6 0.9 2.9 -0.6 0.3 -0.6 -0.5 -0.4 -10.4 7.7 -20.0 1.0 -9.1 -0.0 1.5 5.8 -2.0 3.0 -6.2 1.9 -1.3 -11.3 -1.5 15.5 5.7 US5 -7.6 20.0 5.3 -1.0 9.3 -3.9 5.5 -7.3 1.2 12.3 -7.3 1.3 -12.5 3.0 3.2 -5.4 0.6 -5.3 -3.9 -0.2 -10.2 8.1 -20.0 2.4 -4.3 -0.0 0.9 8.1 -3.8 3.5 -10.3 1.8 -4.0 -17.1 7.2 5.2 1.9 VIX -4.8 -14.4 -12.8 -4.5 -4.2 -4.1 -3.3 -2.9 -3.5 -13.5 -14.5 -14.6 -12.1 -15.2 -15.4 -20.0 -20.0 -20.0 -20.0 -19.1 -16.0 -17.2 -11.5 -18.3 NaN -0.0 -5.9 -3.0 -5.1 -3.2 -3.5 -4.4 NaN NaN NaN NaN NaN WHEAT 10.4 -16.2 -14.4 -3.4 -4.1 -4.1 -3.7 -1.3 -2.7 -13.9 -14.4 -10.3 -10.2 -10.6 -11.4 -7.8 -4.9 -6.5 -5.6 -15.6 -16.8 -10.3 -9.2 -10.9 -0.4 -0.0 -3.9 -2.0 -3.4 -1.1 0.4 -1.7 -20.0 1.4 9.6 -11.1 -1.5 End of report for caleb_strategy_v1