******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230110_204336 produced at 2023-01-10 21:35:47.486711 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.20 -0.26 0.0 8211935.79 -8211935.79 -0.20 -0.20 -31.21 999999999 -24 -24 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22947305.66 -22947305.66 -0.11 -0.11 -5.30 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.14 -0.11 0.0 33814374.90 -33814374.90 -0.14 -0.14 -3.29 999999999 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.10 0.0 38665270.01 -38665270.01 -0.15 -0.15 -2.53 999999999 -4 -4 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 40455534.09 -40455534.09 0.00 0.00 -2.35 999999999 0 0 caleb_strategy_v1 CHF False False 0.05 -0.10 -0.08 0.0 48371494.33 -48371494.33 -0.10 -0.10 -1.58 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.05 -0.14 -0.07 0.0 45549195.67 -45549195.67 -0.14 -0.14 -1.45 999999999 -3 -3 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.75 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 -0.09 -0.05 0.0 42739090.75 -42739090.75 -0.09 -0.09 -1.09 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 0.00 -0.04 0.0 49296002.22 -49296002.22 0.00 0.00 -0.86 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.01 -0.04 0.0 12709877.29 -12709877.29 -0.01 -0.01 -2.87 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.03 0.0 3238659.77 -3238659.77 -0.01 -0.01 -8.05 999999999 -2 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 79636267.14 -79636267.14 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.02 0.0 89423191.91 -89423191.91 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 55082689.67 -55082689.67 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9244192.08 -9244192.08 0.00 0.00 -1.30 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13550580.87 -13550580.87 -0.03 -0.03 -0.53 999999999 -2 -2 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69712772.38 -69712772.38 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5983184.49 -5983184.49 0.00 0.00 -1.69 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33823243.08 -33823243.08 -0.07 -0.07 -0.43 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 37331282.73 -37331282.73 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14313244.45 -14313244.45 -0.01 -0.01 -0.29 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13304400.16 -13304400.16 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.00 0.0 5666377.39 -5666377.39 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 -0.00 0.0 47826101.19 -47826101.19 0.00 0.00 -0.04 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 11016941.50 -11016941.50 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 63070504.67 -63070504.67 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 19840338.38 -19840338.38 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.00 0.0 6672064.80 -6672064.80 -0.01 -0.01 -0.15 999999999 -1 -1 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6516339.54 -6516339.54 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.00 0.0 15024472.58 -15024472.58 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 11681168.27 -11681168.27 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.01 0.0 26994743.56 -26994743.56 0.03 0.03 0.55 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4433182.10 -4433182.10 0.00 0.00 1.18 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.05 0.01 0.0 22603220.23 -22603220.23 0.05 0.05 0.47 999999999 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 24504558.28 -24504558.28 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10446717.45 -10446717.45 0.03 0.03 0.88 999999999 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.01 0.0 26436048.15 -26436048.15 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21316890.55 -21316890.55 0.02 0.02 0.59 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7782999.60 -7782999.60 0.02 0.02 1.79 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 19341503.19 -19341503.19 0.00 0.00 0.41 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 619353.77 -619353.77 0.00 0.00 9.42 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.02 0.0 26253618.38 -26253618.38 0.03 0.03 0.69 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.02 0.0 15528914.31 -15528914.31 0.02 0.02 1.36 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 0.02 0.0 26345592.70 -26345592.70 0.03 0.03 0.88 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9208719.35 -9208719.35 0.03 0.03 2.77 999999999 3 3 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 43142646.13 -43142646.13 0.04 0.04 0.70 999999999 1 1 caleb_strategy_v1 COPPER False False 0.04 0.04 0.03 0.0 36142272.46 -36142272.46 0.04 0.04 0.69 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 49973692.10 -49973692.10 0.00 0.00 0.83 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 30302575.15 -30302575.15 0.00 0.00 1.25 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.09 0.05 0.0 42849703.58 -42849703.58 0.09 0.09 1.13 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.06 0.0 16093975.23 -16093975.23 0.08 0.08 3.49 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.11 0.0 24666846.00 -24666846.00 0.05 0.05 4.63 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.15 0.0 0.00 0.00 0.00 0.00 21.27 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.16 0.0 51970049.09 -51970049.09 0.10 0.10 2.99 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.18 0.21 0.0 44636104.04 -44636104.04 0.18 0.18 4.66 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 11.7 Shocked risk 35.3 Sum abs risk 37.1 Leverage 2.24 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2819067.34, 'annual_cash_vol_target': 704766.835, 'daily_cash_vol_target': 44047.9271875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0064 0.6908 0.9199 14.7187 BITCOIN 655.8737 17460.0000 3.7564 60.1030 BOBL 0.3748 117.1600 0.3199 5.1180 BTP 0.9296 113.2400 0.8209 13.1339 BUND 0.8032 136.4100 0.5888 9.4211 BUXL 2.0377 144.5800 1.4094 22.5501 CAC 68.0240 6891.0000 0.9871 15.7943 CAD 0.0043 0.7452 0.5809 9.2942 CANOLA 8.9349 838.7000 1.0653 17.0453 CHF 0.0064 1.0909 0.5832 9.3316 COCOA 40.3726 2606.0000 1.5492 24.7874 COFFEE 0.0378 1.4915 2.5346 40.5531 COPPER 0.0538 4.0755 1.3200 21.1198 CORN 4.4767 589.0000 0.7601 12.1609 COTTON2 0.0183 0.8471 2.1575 34.5205 CRUDE_W 1.2611 74.2700 1.6980 27.1682 DAX 144.1646 14873.0000 0.9693 15.5089 DOW 321.8504 33734.0000 0.9541 15.2653 EUR 0.0062 1.0786 0.5788 9.2616 EUROSTX 45.9573 4076.0000 1.1275 18.0401 FEEDCOW 1.2097 190.6500 0.6345 10.1520 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.9199 854.2500 2.5660 41.0558 GASOILINE 0.0516 2.5057 2.0598 32.9569 GAS_US 0.2324 3.2930 7.0566 112.9059 GBP 0.0097 1.2176 0.7945 12.7113 GOLD_micro 16.1936 1880.9000 0.8610 13.7752 HEATOIL 0.0621 2.8761 2.1580 34.5275 JPY 0.0001 0.0076 0.9666 15.4657 LEANHOG 1.4075 89.5750 1.5713 25.1411 LIVECOW 0.8486 161.7250 0.5247 8.3951 MXP 0.0003 0.0519 0.6596 10.5529 NASDAQ 162.2079 11225.0000 1.4451 23.1209 NIKKEI 253.5590 26225.0000 0.9669 15.4698 NZD 0.0055 0.6372 0.8584 13.7350 OAT 0.8345 131.1700 0.6362 10.1793 OJ 0.0271 2.0705 1.3077 20.9238 PALLAD 46.3540 1778.0000 2.6071 41.7134 PLAT 20.8404 1090.5000 1.9111 30.5774 REDWHEAT 13.5212 807.0000 1.6755 26.8078 ROBUSTA 23.3597 1837.0000 1.2716 20.3460 RUSSELL 24.3560 1826.0000 1.3338 21.3415 SILVER-mini 0.4595 24.0375 1.9116 30.5864 SOYBEAN 10.4000 1390.7500 0.7478 11.9647 SOYMEAL 6.2547 453.7000 1.3786 22.0575 SOYOIL 0.9505 62.5100 1.5206 24.3299 SP400 30.5434 2520.9000 1.2116 19.3857 SP500 44.0119 3930.5000 1.1198 17.9161 SUGAR11 0.0026 0.1959 1.3192 21.1066 US10 0.5152 114.0469 0.4517 7.2278 US10U 0.7085 120.4844 0.5880 9.4084 US20 0.9989 128.4062 0.7779 12.4468 US30 1.6072 138.9688 1.1565 18.5044 US5 0.3437 109.0000 0.3153 5.0446 VIX 0.5246 23.1500 2.2662 36.2596 WHEAT 11.3851 764.0000 1.4902 23.8432 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 690.80 0.92 635.48 1.00 635.48 44047.93 69.31 2.41 16.69 BITCOIN 17.46 3.76 65.59 1.00 65.59 44047.93 671.59 5.95 399.75 BOBL 1171.60 0.32 374.76 1.07 402.85 44047.93 109.34 5.91 64.63 BTP 1132.40 0.82 929.55 1.07 999.21 44047.93 44.08 7.88 34.72 BUND 1364.10 0.59 803.21 1.07 863.40 44047.93 51.02 8.12 41.45 BUXL 1445.80 1.41 2037.68 1.07 2190.38 44047.93 20.11 -2.23 -4.48 CAC 689.10 0.99 680.24 1.07 731.21 44047.93 60.24 4.08 24.61 CAD 745.25 0.58 432.91 1.00 432.91 44047.93 101.75 1.62 16.53 CANOLA 167.74 1.07 178.70 0.75 133.65 44047.93 329.59 3.91 128.78 CHF 1363.62 0.58 795.30 1.00 795.30 44047.93 55.39 -7.60 -42.10 COCOA 260.60 1.55 403.73 1.00 403.73 44047.93 109.10 -5.46 -59.55 COFFEE 559.31 2.53 1417.61 1.00 1417.61 44047.93 31.07 -3.96 -12.30 COPPER 1018.88 1.32 1344.90 1.00 1344.90 44047.93 32.75 7.74 25.35 CORN 294.50 0.76 223.84 1.00 223.84 44047.93 196.79 4.96 97.70 COTTON2 423.55 2.16 913.82 1.00 913.82 44047.93 48.20 1.88 9.08 CRUDE_W 742.70 1.70 1261.11 1.00 1261.11 44047.93 34.93 1.90 6.65 DAX 148.73 0.97 144.16 1.07 154.97 44047.93 284.24 0.03 0.89 DOW 168.67 0.95 160.93 1.00 160.93 44047.93 273.72 -2.17 -59.39 EUR 1348.25 0.58 780.43 1.00 780.43 44047.93 56.44 -0.17 -0.97 EUROSTX 407.60 1.13 459.57 1.07 494.01 44047.93 89.16 5.42 48.30 FEEDCOW 953.25 0.63 604.84 1.00 604.84 44047.93 72.83 -16.81 -122.42 FTSE100 707.00 0.82 576.59 1.22 666.67 44047.93 66.07 -2.56 -16.93 GASOIL 854.25 2.57 2191.99 1.00 2191.99 44047.93 20.09 8.73 17.55 GASOILINE 1052.39 2.06 2167.73 1.00 2167.73 44047.93 20.32 -3.71 -7.55 GAS_US 329.30 7.06 2323.75 1.00 2323.75 44047.93 18.96 -10.72 -20.33 GBP 761.00 0.79 604.58 1.00 604.58 44047.93 72.86 4.26 31.06 GOLD_micro 188.09 0.86 161.94 1.00 161.94 44047.93 272.01 -0.24 -6.49 HEATOIL 1207.96 2.16 2606.74 1.00 2606.74 44047.93 16.90 9.38 15.85 JPY 953.50 0.97 921.66 1.00 921.66 44047.93 47.79 -1.40 -6.67 LEANHOG 358.30 1.57 563.00 1.00 563.00 44047.93 78.24 -7.85 -61.44 LIVECOW 646.90 0.52 339.42 1.00 339.42 44047.93 129.77 -15.21 -197.36 MXP 259.60 0.66 171.22 1.00 171.22 44047.93 257.26 8.81 226.65 NASDAQ 2245.00 1.45 3244.16 1.00 3244.16 44047.93 13.58 -5.39 -7.32 NIKKEI 26225.00 0.97 25355.90 0.01 192.60 44047.93 228.70 4.90 111.98 NZD 637.20 0.86 546.99 1.00 546.99 44047.93 80.53 3.64 29.30 OAT 1311.70 0.64 834.51 1.07 897.05 44047.93 49.10 8.33 40.89 OJ 310.58 1.31 406.15 1.00 406.15 44047.93 108.45 0.42 4.53 PALLAD 1778.00 2.61 4635.40 1.00 4635.40 44047.93 9.50 -2.29 -2.18 PLAT 545.25 1.91 1042.02 1.00 1042.02 44047.93 42.27 4.06 17.18 REDWHEAT 403.50 1.68 676.06 1.00 676.06 44047.93 65.15 -8.24 -53.67 ROBUSTA 183.70 1.27 233.60 1.00 233.60 44047.93 188.56 -0.28 -5.28 RUSSELL 91.30 1.33 121.78 1.00 121.78 44047.93 361.70 -4.30 -155.44 SILVER-mini 600.94 1.91 1148.78 1.00 1148.78 44047.93 38.34 6.85 26.26 SOYBEAN 695.38 0.75 520.00 1.00 520.00 44047.93 84.71 9.27 78.56 SOYMEAL 453.70 1.38 625.47 1.00 625.47 44047.93 70.42 8.41 59.21 SOYOIL 375.06 1.52 570.32 1.00 570.32 44047.93 77.23 2.73 21.06 SP400 2520.90 1.21 3054.34 1.00 3054.34 44047.93 14.42 -2.63 -3.80 SP500 1965.25 1.12 2200.60 1.00 2200.60 44047.93 20.02 -3.53 -7.07 SUGAR11 219.41 1.32 289.43 1.00 289.43 44047.93 152.19 8.69 132.22 US10 1140.47 0.45 515.19 1.00 515.19 44047.93 85.50 -7.16 -61.18 US10U 1204.84 0.59 708.48 1.00 708.48 44047.93 62.17 -1.21 -7.50 US20 1284.06 0.78 998.90 1.00 998.90 44047.93 44.10 -4.46 -19.65 US30 1389.69 1.16 1607.21 1.00 1607.21 44047.93 27.41 -3.76 -10.30 US5 1090.00 0.32 343.66 1.00 343.66 44047.93 128.17 -5.14 -65.92 VIX 231.50 2.27 524.63 1.00 524.63 44047.93 83.96 -19.72 -165.60 WHEAT 382.00 1.49 569.26 1.00 569.26 44047.93 77.38 -12.91 -99.91 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 16.685 0.006 2.5 0.267 BITCOIN 399.753 0.009 2.5 9.419 BOBL 64.633 0.029 2.5 4.664 BTP 34.724 0.008 2.5 0.701 BUND 41.449 0.029 2.5 2.991 BUXL -4.481 0.034 2.5 -0.376 CAC 24.605 0.011 2.5 0.692 CAD 16.530 0.007 2.5 0.295 CANOLA 128.777 0.004 2.5 1.182 CHF -42.104 0.015 2.5 -1.576 COCOA -59.547 0.009 2.5 -1.297 COFFEE -12.304 0.005 2.5 -0.160 COPPER 25.350 0.011 2.5 0.693 CORN 97.703 0.004 2.5 0.881 COTTON2 9.078 0.006 2.5 0.137 CRUDE_W 6.653 0.053 2.5 0.879 DAX 0.892 0.022 2.5 0.048 DOW -59.394 0.011 2.5 -1.693 EUR -0.974 0.015 2.5 -0.036 EUROSTX 48.300 0.011 2.5 1.358 FEEDCOW -122.418 0.011 2.5 -3.290 FTSE100 -16.935 0.041 2.5 -1.746 GASOIL 17.551 0.029 2.5 1.252 GASOILINE -7.546 0.016 2.5 -0.310 GAS_US -20.328 0.006 2.5 -0.306 GBP 31.055 0.007 2.5 0.554 GOLD_micro -6.491 0.009 2.5 -0.145 HEATOIL 15.847 0.029 2.5 1.130 JPY -6.674 0.026 2.5 -0.432 LEANHOG -61.438 0.019 2.5 -2.870 LIVECOW -197.361 0.011 2.5 -5.303 MXP 226.649 0.005 2.5 2.775 NASDAQ -7.324 0.022 2.5 -0.398 NIKKEI 111.983 0.076 2.5 21.269 NZD 29.300 0.006 2.5 0.468 OAT 40.890 0.008 2.5 0.826 OJ 4.528 0.007 2.5 0.079 PALLAD -2.177 0.010 2.5 -0.052 PLAT 17.179 0.010 2.5 0.413 REDWHEAT -53.670 0.002 2.5 -0.287 ROBUSTA -5.278 0.005 2.5 -0.068 RUSSELL -155.442 0.021 2.5 -8.051 SILVER-mini 26.259 0.009 2.5 0.588 SOYBEAN 78.565 0.024 2.5 4.632 SOYMEAL 59.212 0.024 2.5 3.491 SOYOIL 21.063 0.004 2.5 0.193 SP400 -3.796 0.021 2.5 -0.197 SP500 -7.074 0.011 2.5 -0.202 SUGAR11 132.218 0.005 2.5 1.794 US10 -61.183 0.015 2.5 -2.347 US10U -7.505 0.058 2.5 -1.093 US20 -19.653 0.029 2.5 -1.448 US30 -10.295 0.034 2.5 -0.864 US5 -65.916 0.015 2.5 -2.529 VIX -165.604 0.075 2.5 -31.208 WHEAT -99.908 0.002 2.5 -0.533 ==================== Position diags ==================== AUD 1.11 BITCOIN 15.82 BOBL 7.89 BTP 0.89 BUND 3.68 BUXL 1.69 CAC 1.69 CAD 1.82 CANOLA 3.03 CHF 2.07 COCOA 2.38 COFFEE 0.40 COPPER 0.90 CORN 1.78 COTTON2 0.73 CRUDE_W 4.61 DAX 15.44 DOW 7.80 EUR 2.11 EUROSTX 2.51 FEEDCOW 1.96 FTSE100 6.81 GASOIL 1.43 GASOILINE 0.83 GAS_US 0.29 GBP 1.30 GOLD_micro 6.09 HEATOIL 1.21 JPY 3.09 LEANHOG 3.66 LIVECOW 3.49 MXP 3.15 NASDAQ 0.74 NIKKEI 43.44 NZD 1.29 OAT 0.99 OJ 1.89 PALLAD 0.23 PLAT 1.02 REDWHEAT 0.35 ROBUSTA 2.44 RUSSELL 18.73 SILVER-mini 0.86 SOYBEAN 4.99 SOYMEAL 4.15 SOYOIL 0.71 SP400 0.75 SP500 0.57 SUGAR11 2.07 US10 3.28 US10U 9.06 US20 3.25 US30 2.30 US5 4.92 VIX 15.82 WHEAT 0.41 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.3 0.2 0.4 0.0 0 BITCOIN 9.4 7.8 11.0 NaN 0 BOBL 4.7 3.9 5.5 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 0.9 1.0 1 CAD 0.3 0.1 0.5 0.0 0 CANOLA 1.2 0.9 1.5 NaN 0 CHF -1.6 -1.8 -1.4 -2.0 -2 COCOA -1.3 -1.5 -1.1 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.7 0.6 0.8 1.0 1 CORN 0.9 0.7 1.1 3.0 3 COTTON2 0.1 0.1 0.2 NaN 0 CRUDE_W 0.9 0.4 1.3 1.0 1 DAX 0.0 -1.5 1.6 0.0 0 DOW -1.7 -2.5 -0.9 0.0 0 EUR -0.0 -0.2 0.2 0.0 0 EUROSTX 1.4 1.1 1.6 1.0 1 FEEDCOW -3.3 -3.5 -3.1 -4.0 -4 FTSE100 -1.7 -2.4 -1.1 0.0 0 GASOIL 1.3 1.1 1.4 0.0 0 GASOILINE -0.3 -0.4 -0.2 0.0 0 GAS_US -0.3 -0.3 -0.3 0.0 0 GBP 0.6 0.4 0.7 1.0 1 GOLD_micro -0.1 -0.8 0.5 -1.0 -1 HEATOIL 1.1 1.0 1.3 2.0 2 JPY -0.4 -0.7 -0.1 -2.0 -2 LEANHOG -2.9 -3.2 -2.5 -1.0 -1 LIVECOW -5.3 -5.7 -5.0 -5.0 -5 MXP 2.8 2.5 3.1 3.0 3 NASDAQ -0.4 -0.5 -0.3 0.0 0 NIKKEI 21.3 16.9 25.6 0.0 0 NZD 0.5 0.3 0.6 2.0 2 OAT 0.8 0.7 0.9 0.0 0 OJ 0.1 -0.1 0.3 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 -0.3 -1.0 -1 ROBUSTA -0.1 -0.3 0.2 0.0 0 RUSSELL -8.1 -9.9 -6.2 -2.0 -2 SILVER-mini 0.6 0.5 0.7 1.0 1 SOYBEAN 4.6 4.1 5.1 2.0 2 SOYMEAL 3.5 3.1 3.9 5.0 5 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 1.8 1.6 2.0 2.0 2 US10 -2.3 -2.7 -2.0 NaN 0 US10U -1.1 -2.0 -0.2 -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 -4.0 -4 VIX -31.2 -32.8 -29.6 -24.0 -24 WHEAT -0.5 -0.6 -0.5 -2.0 -2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.0 -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 -0.0 0.0 -0.1 0.2 0.1 -0.0 -0.1 BITCOIN 0.0 -0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 -0.3 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 -0.2 -0.3 BOBL -0.1 -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 0.0 -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 0.0 -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 -0.0 -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 -0.1 -0.1 BUXL -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 -0.1 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 0.1 -0.0 -0.4 -0.1 -0.0 CAC -0.0 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 0.9 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 -0.0 -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 0.0 0.2 0.3 -0.1 -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 0.1 0.1 0.0 -0.0 0.0 -1.7 -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 -0.1 -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 1.6 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -1.3 -0.1 -0.0 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 0.2 0.1 0.0 -0.1 0.0 1.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.3 0.4 0.1 0.1 CORN 0.0 -0.2 -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 0.7 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 1.8 -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 -0.0 0.0 -0.1 0.1 0.1 DAX -0.0 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 -0.1 0.0 0.3 0.0 0.1 -0.0 0.2 -0.0 0.0 0.1 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 -0.1 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 -0.0 0.0 -1.3 0.1 0.2 0.2 0.2 EUROSTX -0.0 0.0 0.3 0.0 0.1 -0.0 0.2 -0.0 0.0 0.0 0.3 0.0 0.0 0.0 0.3 0.7 0.2 0.1 0.1 0.2 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 0.1 0.2 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 -0.4 0.1 -0.0 -0.1 0.0 0.1 0.0 -0.9 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.3 0.2 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 -0.2 -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 -0.1 -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 0.9 -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 0.1 -0.2 -0.2 -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 0.2 0.1 LEANHOG -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 0.1 -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 -0.2 -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 0.1 0.0 0.3 0.0 0.4 0.0 0.3 1.4 0.8 0.4 0.4 0.2 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 0.3 -0.1 0.2 NASDAQ -0.2 -0.1 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.1 0.1 -0.3 -0.0 -0.3 -0.0 -0.3 -0.4 -0.1 -0.1 -0.1 -0.1 -0.2 -0.0 -0.2 -0.0 0.9 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.4 -0.2 -0.3 -0.1 -0.2 NIKKEI -0.2 -0.3 -0.0 0.0 0.1 -0.0 0.2 -0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.1 -0.2 1.2 0.4 0.2 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -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 0.1 -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 1.2 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 0.2 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 0.1 0.1 0.3 0.1 0.0 0.1 0.1 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 0.3 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 -0.2 -0.0 -0.1 -0.0 -0.4 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -1.8 -0.1 -0.0 -0.2 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 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.4 0.1 -0.3 RUSSELL -0.1 -0.1 0.1 0.0 0.1 -0.0 0.2 -0.0 0.1 0.1 -0.1 0.0 -0.3 -0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.2 -0.1 -0.0 -0.1 -0.1 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 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.2 0.0 0.3 0.0 0.3 1.5 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 0.1 0.0 1.3 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 -0.0 -0.0 0.2 0.0 0.0 -0.0 0.2 -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 -0.1 -0.0 -0.2 -0.0 0.0 -0.4 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 0.3 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 -0.4 -0.2 -0.2 -0.1 -0.1 SUGAR11 -0.1 0.0 0.2 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.0 0.2 1.6 0.8 0.4 0.4 0.1 0.1 -0.0 0.1 -0.0 -3.3 -0.0 0.1 0.0 0.1 -0.0 0.0 0.0 2.7 -0.0 0.4 0.3 0.3 US10 -0.1 0.3 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 0.1 -0.7 -0.0 -0.2 -0.1 0.0 -0.1 0.0 -0.2 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.9 -0.0 0.0 0.0 0.0 US10U -0.1 0.3 0.0 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 0.1 0.1 0.2 0.0 0.0 0.0 -0.1 0.0 -0.3 0.0 -1.2 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.7 -0.0 0.1 0.1 0.0 US20 -0.1 0.3 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.1 0.0 -0.3 0.0 0.1 -0.4 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.3 0.0 -1.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.1 0.0 US30 -0.2 0.3 0.2 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.1 -0.0 -0.3 0.0 0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.3 0.0 -1.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.1 -0.0 0.2 0.1 US5 -0.1 0.3 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 -0.5 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 -0.8 -0.9 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -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 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.0 0.1 -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 3.2 13.9 11.3 3.6 5.3 0.6 4.8 -3.3 4.3 9.4 -1.4 10.5 -7.1 11.7 11.0 -2.9 -2.1 -2.8 -2.5 7.6 0.3 12.1 -6.6 10.4 5.4 -0.0 4.0 5.5 -0.3 7.0 -3.8 6.5 -0.5 10.6 2.6 -1.8 -7.7 BITCOIN 3.0 -2.9 2.9 3.5 5.5 2.6 3.4 1.1 2.8 14.1 -14.6 2.8 -16.0 4.5 -7.8 2.4 -0.4 1.7 0.9 -6.0 -17.4 5.1 -20.0 0.7 20.0 -0.0 -3.6 4.1 -7.3 2.9 -8.2 0.4 2.8 -1.4 3.5 -14.9 -20.0 BOBL -14.1 -0.0 -6.7 -0.8 5.4 -3.9 4.8 -7.4 1.5 9.4 -13.6 -3.0 -13.8 -7.2 -10.2 -3.6 13.2 6.2 11.9 -16.1 -20.0 3.6 -20.0 -9.2 14.1 -0.0 -4.1 3.1 -6.7 2.2 -10.3 -1.6 20.0 -1.3 -13.8 -16.2 -7.6 BTP -16.0 1.3 10.4 -0.8 5.4 -3.9 4.8 -7.4 1.5 12.9 -4.6 -0.5 -11.2 -5.5 -0.2 10.5 14.4 14.0 15.7 -4.6 -7.8 9.0 -17.2 -2.6 0.2 -0.0 -0.6 5.8 -3.0 4.2 -8.0 0.5 20.0 2.2 -8.8 -5.0 10.5 BUND -16.8 0.6 -2.6 -0.8 5.4 -3.9 4.8 -7.4 1.5 9.1 -11.9 -2.1 -13.2 -6.3 -8.0 12.9 15.9 13.6 14.7 -14.0 -18.7 4.1 -20.0 -8.6 10.4 -0.0 -3.1 3.6 -5.8 2.9 -9.4 -0.9 20.0 1.6 -12.7 -11.2 -5.6 BUXL -20.0 3.7 0.8 -0.8 5.4 -3.9 4.8 -7.4 1.5 10.0 -8.4 -4.2 -11.9 -7.2 -4.9 3.7 -0.7 4.5 3.0 -12.3 -14.5 -0.3 -20.0 -12.0 5.3 -0.0 -2.3 2.9 -3.8 1.4 -6.6 -1.5 0.4 -4.7 -20.0 -4.6 -0.9 CAC -1.2 2.9 18.5 1.3 8.7 -0.3 7.1 -1.8 3.2 13.2 12.3 12.9 1.5 10.6 13.7 -2.1 3.0 -0.7 0.8 14.0 11.6 20.0 6.5 16.0 -13.8 -0.0 3.9 8.1 3.3 7.2 1.7 4.4 7.2 9.5 3.2 5.8 18.5 CAD 9.4 3.2 0.3 3.6 5.3 0.6 4.8 -3.3 4.3 10.0 -9.3 10.6 -10.8 -0.7 -1.4 -1.7 -1.1 -1.8 -1.5 -1.6 -7.9 10.5 -10.8 4.9 12.4 -0.0 0.1 6.8 -4.7 8.3 -7.0 5.2 1.3 6.4 5.9 -19.9 -20.0 CANOLA 5.6 8.0 1.1 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -12.9 -8.7 -2.1 -4.3 6.3 6.2 0.5 11.7 5.7 7.4 1.7 -3.8 -6.0 -0.4 1.4 5.6 -0.0 -0.5 -9.4 -0.8 -4.3 1.8 -1.3 -0.2 -10.1 -1.6 -7.0 17.2 CHF -3.7 16.6 16.1 3.6 5.3 0.6 4.8 -3.3 4.3 8.5 10.6 5.3 -1.7 11.8 14.1 -13.5 -12.1 -12.9 -12.8 13.6 8.9 6.0 -0.6 9.2 -9.7 -0.0 5.1 4.2 2.3 4.2 -1.9 4.9 -17.8 3.0 2.2 5.0 4.2 COCOA 4.4 11.4 17.1 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -0.6 8.2 9.2 -5.3 11.3 13.7 -1.4 -2.9 -0.8 -1.3 12.0 7.0 8.2 -0.2 11.5 -11.3 -0.0 5.8 2.3 3.1 5.5 0.2 6.7 -19.9 15.2 20.0 20.0 20.0 COFFEE 5.5 4.9 -20.0 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -14.1 -13.2 -12.9 -9.8 -6.3 -13.4 -0.1 3.6 2.0 3.9 -15.8 -19.8 -19.3 -13.3 -12.9 9.9 -0.0 -4.4 -8.2 -6.3 -4.9 -4.1 -2.8 -9.2 -20.0 -1.3 4.6 -20.0 COPPER 3.7 15.1 20.0 3.5 5.5 2.6 3.4 1.1 2.8 13.6 -3.4 10.7 -7.4 10.6 11.6 -1.1 -0.2 -0.6 -0.3 12.9 4.6 20.0 -5.5 15.2 10.9 -0.0 5.1 11.6 2.3 8.6 -0.5 6.4 2.0 20.0 16.4 5.4 4.4 CORN 3.8 -14.6 -3.7 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -14.0 0.7 -13.2 4.0 -11.8 -10.4 20.0 16.6 20.0 18.5 -7.9 -1.8 -15.6 10.6 -10.9 -9.2 -0.0 -4.9 -5.3 -2.2 -6.1 3.1 -5.6 13.2 -15.8 -5.0 -10.7 -4.2 COTTON2 9.9 7.5 -16.1 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 8.5 -10.0 1.8 -3.5 2.5 -3.8 0.8 14.3 3.6 9.1 -3.1 -10.2 5.0 -5.1 2.7 0.6 -0.0 1.3 3.5 -1.7 3.9 1.9 3.8 5.1 13.0 14.8 15.3 -9.6 CRUDE_W 3.3 -3.8 -0.9 -2.2 0.6 -2.0 -0.6 3.6 -0.7 -5.1 -6.3 -5.3 1.9 -5.0 4.1 6.6 12.5 7.4 9.6 -3.1 -2.7 -4.0 3.9 -3.6 -5.4 -0.0 -0.1 3.2 0.3 2.1 5.9 1.1 -0.3 5.9 -2.8 6.5 9.8 DAX -2.7 4.4 20.0 1.3 8.7 -0.3 7.1 -1.8 3.2 13.7 10.6 12.6 -2.6 10.2 13.3 -7.9 -3.0 -6.3 -4.7 14.1 10.8 20.0 1.1 15.2 -9.6 -0.0 3.8 8.5 3.2 6.7 0.1 3.9 -2.6 13.9 2.5 6.0 20.0 DOW -9.2 1.5 18.2 1.3 8.7 -0.3 7.1 -1.8 3.2 11.5 8.1 -1.3 -0.2 -5.3 9.3 -5.8 -2.7 -5.4 -4.5 5.4 6.4 4.0 1.6 1.1 -7.0 -0.0 1.9 3.6 2.1 1.9 0.7 0.5 -2.3 -20.0 -10.6 -4.7 10.5 EUR -3.3 20.0 20.0 3.6 5.3 0.6 4.8 -3.3 4.3 11.3 5.8 7.6 -7.4 13.1 15.1 -7.9 -8.4 -7.9 -8.2 17.5 9.0 9.6 -7.7 12.7 0.8 -0.0 5.7 5.6 1.9 5.5 -3.6 6.0 -10.8 7.4 9.9 10.8 13.8 EUROSTX -4.3 2.2 20.0 1.3 8.7 -0.3 7.1 -1.8 3.2 13.5 11.9 12.5 0.2 11.0 13.6 8.9 4.1 5.7 4.1 13.8 11.7 20.0 4.8 14.8 -16.2 -0.0 4.0 8.0 3.8 6.3 1.4 3.8 10.4 10.2 0.3 8.0 20.0 FEEDCOW 6.1 11.2 2.6 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 3.3 2.9 7.7 -0.1 12.4 9.4 -20.0 -20.0 -20.0 -20.0 7.7 3.0 6.0 -0.2 8.6 -20.0 -0.0 5.2 2.2 2.1 5.0 0.3 6.8 -20.0 20.0 18.7 20.0 8.0 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 4.4 -16.1 -8.3 -2.2 0.6 -2.0 -0.6 3.6 -0.7 0.7 -6.5 -4.3 8.9 -4.1 -7.6 20.0 20.0 20.0 20.0 -7.4 -2.6 -3.5 10.0 -5.9 -5.6 -0.0 -5.0 1.3 -2.3 -2.3 3.3 -4.7 20.0 -13.4 -14.5 -18.1 -1.8 GASOILINE 15.5 -6.9 -10.7 -2.2 0.6 -2.0 -0.6 3.6 -0.7 -7.0 -11.1 0.0 2.5 0.1 -3.8 -20.0 15.9 -16.6 3.1 -3.5 -4.7 0.5 4.8 0.5 -6.9 -0.0 2.5 4.3 1.1 6.0 5.6 5.8 0.0 20.0 20.0 11.9 14.5 GAS_US -20.0 -20.0 -20.0 -2.2 0.6 -2.0 -0.6 3.6 -0.7 -13.5 -13.4 -15.6 -4.2 -16.0 -15.6 20.0 -2.9 10.2 1.4 -20.0 -20.0 -20.0 -6.2 -20.0 -5.5 -0.0 -5.3 -3.2 -2.4 -5.3 1.9 -6.7 -20.0 -11.4 -20.0 -6.1 -20.0 GBP -11.5 14.0 18.7 3.6 5.3 0.6 4.8 -3.3 4.3 10.2 4.8 -4.2 -5.5 1.9 10.9 -2.0 -1.6 -1.9 -1.9 8.0 3.3 3.6 -7.8 3.3 13.2 -0.0 2.6 4.7 -2.1 3.1 -8.3 2.7 0.5 -3.7 -13.8 -2.7 -4.4 GOLD_micro 9.6 20.0 16.0 3.5 5.5 2.6 3.4 1.1 2.8 13.8 2.6 14.7 -7.0 15.5 15.0 -11.2 -8.7 -10.8 -10.2 17.4 7.3 19.4 -2.4 19.9 7.6 -0.0 5.0 4.9 2.3 4.7 -0.4 5.1 -13.7 8.3 12.1 8.7 1.3 HEATOIL 4.0 -15.3 -8.8 -2.2 0.6 -2.0 -0.6 3.6 -0.7 -8.9 -6.3 -7.4 8.2 -2.4 -4.5 20.0 20.0 20.0 20.0 -6.8 -2.1 -7.4 10.9 -6.7 -14.6 -0.0 -2.2 2.1 0.5 0.9 9.7 -0.6 20.0 2.2 1.0 -2.8 4.6 JPY 7.2 20.0 20.0 3.6 5.3 0.6 4.8 -3.3 4.3 2.4 0.5 9.0 -10.3 12.4 12.8 -10.9 -10.5 -11.5 -11.6 14.5 3.4 6.2 -11.5 13.3 9.6 -0.0 5.0 0.7 0.6 2.4 -5.3 4.9 -15.5 -14.3 12.3 16.3 9.3 LEANHOG -1.0 -7.7 3.8 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -13.0 3.4 -9.0 -0.6 -5.8 6.2 -20.0 11.7 -20.0 -1.2 -2.5 0.3 -15.3 2.9 -8.4 -10.7 -0.0 -2.1 -7.2 -0.9 -6.6 0.9 -4.3 -1.6 -18.3 -1.1 -1.9 4.4 LIVECOW 6.6 5.6 11.6 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 0.3 11.8 7.1 1.5 10.8 12.5 -20.0 -20.0 -20.0 -20.0 9.6 8.1 3.9 3.4 7.6 -20.0 -0.0 5.8 2.9 4.7 4.2 3.3 5.9 -20.0 15.0 17.0 20.0 18.1 MXP 12.2 -3.6 8.0 3.6 5.3 0.6 4.8 -3.3 4.3 14.1 14.1 15.5 14.9 12.6 12.9 19.0 20.0 19.0 19.5 14.6 15.1 20.0 15.3 16.7 -20.0 -0.0 5.9 6.2 5.5 6.8 4.8 6.4 20.0 -0.8 15.1 -5.9 16.2 NASDAQ -13.1 -4.7 -2.1 1.3 8.7 -0.3 7.1 -1.8 3.2 13.4 -11.9 -6.7 -13.2 -9.5 -10.5 -5.2 -3.5 -4.9 -4.5 -11.7 -13.4 -0.5 -15.6 -9.6 8.1 -0.0 -2.7 5.3 -4.3 2.2 -5.1 -1.3 -3.1 -11.7 -14.6 -8.1 -13.1 NIKKEI -20.0 -19.8 -2.8 1.3 8.7 -0.3 7.1 -1.8 3.2 11.7 -3.7 -9.9 -0.8 -13.1 -10.2 19.9 10.7 14.1 12.2 -14.3 -6.7 -4.1 -1.7 -14.6 -0.0 -0.0 -4.8 2.4 -3.3 -0.9 -1.9 -4.3 20.0 -20.0 -20.0 -20.0 -13.1 NZD -10.7 19.7 20.0 3.6 5.3 0.6 4.8 -3.3 4.3 10.8 5.9 -0.2 -5.6 6.2 11.5 0.4 0.5 -0.1 -0.1 12.1 6.4 5.1 -4.9 7.0 -0.6 -0.0 4.7 3.6 1.7 3.7 -2.2 4.3 3.8 5.1 -5.9 7.8 5.4 OAT -19.3 -0.2 3.7 -0.8 5.4 -3.9 4.8 -7.4 1.5 10.2 -9.9 -1.8 -12.5 -6.1 -6.5 12.9 12.8 13.3 13.6 -11.1 -14.3 5.4 -20.0 -7.4 9.6 -0.0 -2.5 4.0 -4.9 2.9 -9.1 -0.8 20.0 2.5 -14.7 -9.2 -2.2 OJ 1.7 1.5 20.0 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 12.6 14.0 9.2 14.5 10.0 13.1 15.9 12.8 15.8 15.7 15.8 20.0 7.7 20.0 8.7 -20.0 -0.0 6.2 3.3 9.7 4.5 11.9 4.7 8.7 20.0 16.8 12.5 20.0 PALLAD 0.0 -8.2 -12.5 3.5 5.5 2.6 3.4 1.1 2.8 4.0 -12.0 -2.9 -9.3 -8.9 -12.1 -1.4 -1.3 -1.5 -1.5 -11.9 -11.8 -1.1 -9.2 -7.0 7.7 -0.0 -4.3 1.4 -3.9 1.1 -2.6 -2.0 0.0 -3.3 -14.0 -20.0 -20.0 PLAT 5.4 6.3 19.4 3.5 5.5 2.6 3.4 1.1 2.8 9.8 12.0 12.5 1.2 12.7 14.1 -1.3 -0.5 -0.8 -0.5 14.5 11.1 12.6 4.2 14.8 -5.3 -0.0 6.0 1.7 4.4 4.1 1.2 5.6 1.6 7.8 16.3 7.3 15.4 REDWHEAT 2.7 -15.9 -11.4 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -14.0 -13.4 -12.5 -7.1 -12.3 -12.1 4.6 1.0 4.3 3.0 -14.6 -13.0 -17.4 -4.7 -14.4 -2.7 -0.0 -4.6 -7.1 -2.8 -4.9 1.7 -4.4 -12.9 -14.0 -1.9 -12.3 1.6 ROBUSTA 6.0 10.2 -20.0 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 2.0 -11.1 0.9 -6.5 6.3 -10.2 15.5 8.9 12.9 10.6 -8.8 -13.5 -2.4 -7.3 -3.2 -1.1 -0.0 -4.7 -2.0 -4.8 -4.2 -2.4 -4.5 0.2 -20.0 -19.4 7.8 -20.0 RUSSELL -4.2 -5.3 4.4 1.3 8.7 -0.3 7.1 -1.8 3.2 13.7 -5.8 3.4 -11.0 -6.4 -1.9 -4.9 -2.7 -4.5 -3.9 -4.7 -5.3 6.7 -8.1 -2.1 -3.6 -0.0 -0.6 8.9 -1.5 6.2 -2.5 1.8 -1.8 -5.8 -2.1 -10.4 -4.4 SILVER-mini -2.9 19.3 20.0 3.3 4.6 2.5 2.4 1.1 2.2 2.1 9.1 1.7 -2.7 11.6 14.0 -4.2 -3.5 -4.2 -4.0 16.7 11.8 2.0 1.2 10.3 5.5 -0.0 5.2 -0.1 3.4 0.0 -0.5 2.7 -4.0 -16.1 5.8 12.2 20.0 SOYBEAN 0.5 4.5 4.2 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -6.9 1.2 -5.5 4.9 3.1 9.6 20.0 20.0 20.0 20.0 5.0 5.0 -2.2 7.8 1.9 -20.0 -0.0 5.7 1.1 6.0 3.9 9.7 5.7 20.0 20.0 10.8 14.3 16.9 SOYMEAL 2.2 20.0 9.6 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -1.2 9.9 6.3 10.9 12.1 11.9 18.3 14.6 14.5 14.7 19.9 15.9 7.1 11.2 15.7 -20.0 -0.0 5.9 0.6 4.9 2.6 4.1 5.0 9.3 20.0 14.7 20.0 20.0 SOYOIL 2.1 -20.0 0.2 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -9.9 -0.9 -5.2 4.7 -6.4 -5.8 6.9 20.0 13.4 17.1 -6.7 -1.1 -5.8 6.9 -7.8 -15.3 -0.0 -2.3 -0.8 0.8 -1.7 4.4 -3.1 16.0 -4.7 2.9 -20.0 12.6 SP400 -3.8 -0.7 8.9 1.3 8.7 -0.3 7.1 -1.8 3.2 13.7 1.5 7.3 -5.5 -3.9 4.8 -4.4 -2.1 -3.1 -2.5 1.4 0.8 9.1 -2.2 2.2 -7.3 -0.0 1.5 7.8 1.0 6.0 0.3 2.7 0.0 -8.8 -1.8 -5.4 1.7 SP500 -8.6 -0.3 4.8 1.3 8.7 -0.3 7.1 -1.8 3.2 13.6 -4.6 -3.6 -8.7 -7.3 0.1 -5.5 -3.7 -5.2 -4.6 -3.4 -4.7 3.4 -7.4 -3.1 2.7 -0.0 -0.3 5.0 -1.7 2.9 -3.3 0.4 -3.1 -13.6 -9.9 -5.1 -4.4 SUGAR11 -12.2 3.6 13.9 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -4.2 7.3 -10.3 4.4 -6.9 6.9 20.0 20.0 20.0 20.0 6.0 9.1 -13.5 6.3 -6.0 -20.0 -0.0 5.5 0.8 5.0 -0.1 3.3 2.8 20.0 -9.2 19.2 20.0 20.0 US10 -7.7 19.1 3.8 -0.8 5.4 -3.9 4.8 -7.4 1.5 10.2 -7.2 3.6 -12.1 3.4 4.0 -8.9 -0.9 -7.4 -5.2 0.4 -9.5 9.0 -20.0 3.8 -6.2 -0.0 0.9 4.2 -3.4 3.0 -9.0 1.9 -6.2 -14.7 3.8 5.1 2.3 US10U -9.1 19.1 2.9 -0.8 5.4 -3.9 4.8 -7.4 1.5 9.1 -7.0 2.9 -12.0 1.8 3.2 1.5 4.8 1.0 1.9 0.2 -9.4 9.1 -20.0 3.5 -8.7 -0.0 1.8 4.2 -2.5 4.3 -7.4 3.2 4.8 -5.4 6.8 9.2 3.5 US20 -11.8 20.0 3.8 -0.8 5.4 -3.9 4.8 -7.4 1.5 9.3 -5.4 0.2 -11.3 2.7 4.7 -5.4 1.2 -2.5 -0.7 1.1 -9.0 6.8 -20.0 3.1 -8.2 -0.0 0.8 1.3 -2.6 0.9 -6.5 0.8 -0.4 -20.0 -2.8 12.2 1.4 US30 -13.9 20.0 10.7 -0.8 5.4 -3.9 4.8 -7.4 1.5 8.4 -5.3 -1.0 -12.6 0.3 3.2 -0.9 0.3 -0.7 -0.6 -0.2 -9.8 5.7 -20.0 1.4 -8.9 -0.0 1.5 2.2 -2.0 2.1 -6.3 1.9 -1.3 -11.6 -1.7 15.4 5.1 US5 -6.7 19.7 5.7 -0.8 5.4 -3.9 4.8 -7.4 1.5 10.9 -7.2 2.4 -12.5 3.4 4.0 -6.1 0.5 -5.6 -4.1 0.3 -10.0 8.0 -20.0 3.4 -4.0 -0.0 1.1 5.3 -3.8 3.4 -10.4 2.2 -4.2 -14.7 6.5 4.9 2.0 VIX -6.6 -15.5 -13.8 -4.6 -5.7 -4.1 -4.4 -2.9 -4.0 -14.0 -14.6 -15.2 -12.3 -15.6 -15.6 -20.0 -20.0 -20.0 -20.0 -20.0 -16.7 -20.0 -11.9 -20.0 NaN -0.0 -6.0 -4.5 -5.2 -4.0 -3.5 -4.8 NaN NaN NaN NaN NaN WHEAT 9.8 -16.1 -14.9 -3.5 -4.3 -4.1 -3.9 -1.3 -3.0 -14.0 -14.6 -12.3 -10.4 -11.9 -12.0 -8.0 -4.9 -6.6 -5.7 -16.4 -17.2 -13.5 -9.4 -12.8 -0.1 -0.0 -4.2 -4.7 -3.6 -2.6 0.3 -2.5 -20.0 -4.4 6.7 -11.7 -2.2 End of report for caleb_strategy_v1