******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230111_204340 produced at 2023-01-11 21:35:47.188185 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 8024869.64 -8024869.64 -0.19 -0.21 -32.72 999999999 -24 -26 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22511503.86 -22511503.86 -0.11 -0.11 -5.47 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 33054612.48 -33054612.48 -0.13 -0.13 -3.35 999999999 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.09 0.0 38104501.57 -38104501.57 -0.15 -0.11 -2.49 999999999 -4 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.09 0.0 39922636.10 -39922636.10 0.00 0.00 -2.30 999999999 0 0 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.08 0.0 47130844.41 -47130844.41 -0.09 -0.09 -1.68 999999999 -2 -2 caleb_strategy_v1 US20 False False 0.05 -0.14 -0.06 0.0 45041761.50 -45041761.50 -0.14 -0.14 -1.42 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 -1.77 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.04 0.0 49032389.61 -49032389.61 0.00 0.00 -0.80 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.01 -0.04 0.0 12330386.65 -12330386.65 -0.01 -0.01 -3.36 999999999 -1 -1 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.03 0.0 42217792.43 -42217792.43 -0.08 -0.08 -0.79 999999999 -2 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 79803839.45 -79803839.45 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 -0.02 0.0 3226520.95 -3226520.95 -0.01 -0.00 -7.07 999999999 -2 -1 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.02 0.0 33185452.75 -33185452.75 -0.07 -0.07 -0.49 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 55310909.02 -55310909.02 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9193709.34 -9193709.34 0.00 0.00 -1.37 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13485270.06 -13485270.06 -0.03 -0.03 -0.56 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 38129993.62 -38129993.62 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69458735.77 -69458735.77 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 89205148.68 -89205148.68 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5940496.97 -5940496.97 0.00 0.00 -1.39 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.00 0.0 6560505.38 -6560505.38 -0.01 -0.01 -0.08 999999999 -1 -1 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 18703615.99 -18703615.99 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 61843832.30 -61843832.30 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14723891.24 -14723891.24 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10912078.17 -10912078.17 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.00 0.0 47111218.37 -47111218.37 0.00 0.00 0.01 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4305874.55 -4305874.55 0.00 0.00 1.11 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.00 0.0 5648965.38 -5648965.38 0.00 0.00 0.59 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14287757.02 -14287757.02 -0.01 -0.01 -0.30 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12933298.59 -12933298.59 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 -0.00 0.0 6308245.35 -6308245.35 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 11754689.48 -11754689.48 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22223655.28 -22223655.28 0.04 0.04 0.51 999999999 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 24160091.21 -24160091.21 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10284044.89 -10284044.89 0.03 0.03 0.87 999999999 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.01 0.0 26004066.69 -26004066.69 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 20705472.06 -20705472.06 0.02 0.02 0.58 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7678753.52 -7678753.52 0.02 0.02 1.81 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 613379.17 -613379.17 0.00 0.00 10.26 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18853210.03 -18853210.03 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.02 0.0 26091928.41 -26091928.41 0.03 0.03 0.74 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.02 0.0 15466332.64 -15466332.64 0.02 0.02 1.48 999999999 1 1 caleb_strategy_v1 GBP False False 0.03 0.03 0.02 0.0 26530044.56 -26530044.56 0.03 0.03 0.58 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 0.03 0.0 26590231.08 -26590231.08 0.03 0.03 1.15 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.03 0.0 43200620.40 -43200620.40 0.04 0.04 0.78 999999999 1 1 caleb_strategy_v1 COPPER False False 0.04 0.04 0.03 0.0 36452098.05 -36452098.05 0.04 0.04 0.75 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9102993.43 -9102993.43 0.03 0.03 2.99 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 30546840.72 -30546840.72 0.00 0.00 1.32 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.00 0.04 0.0 49803843.49 -49803843.49 0.00 0.00 0.87 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.09 0.05 0.0 43166611.15 -43166611.15 0.09 0.09 1.20 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.06 0.0 16035782.98 -16035782.98 0.08 0.08 3.80 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.11 0.0 24201087.83 -24201087.83 0.05 0.05 4.71 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.16 0.0 51755904.89 -51755904.89 0.10 0.10 3.13 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.17 0.0 0.00 0.00 0.00 0.00 24.13 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.18 0.22 0.0 44195420.93 -44195420.93 0.18 0.18 4.90 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 12.4 Shocked risk 37.6 Sum abs risk 38.0 Leverage 2.28 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2866090.17, 'annual_cash_vol_target': 716522.5425, 'daily_cash_vol_target': 44782.65890625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0062 0.6924 0.8936 14.2977 BITCOIN 645.5164 17580.0000 3.6719 58.7501 BOBL 0.3896 117.7300 0.3309 5.2950 BTP 0.9575 115.0800 0.8320 13.3119 BUND 0.8492 137.8700 0.6160 9.8555 BUXL 2.1283 147.3400 1.4445 23.1112 CAC 68.0912 6950.5000 0.9797 15.6745 CAD 0.0042 0.7453 0.5657 9.0518 CANOLA 8.8965 828.2000 1.0742 17.1871 CHF 0.0066 1.0807 0.6135 9.8161 COCOA 39.9862 2635.0000 1.5175 24.2800 COFFEE 0.0382 1.4295 2.6708 42.7333 COPPER 0.0549 4.1790 1.3130 21.0083 CORN 4.3928 589.5000 0.7452 11.9228 COTTON2 0.0178 0.8440 2.1101 33.7613 CRUDE_W 1.3187 76.2100 1.7304 27.6861 DAX 145.8278 15048.0000 0.9691 15.5053 DOW 316.6400 34052.0000 0.9299 14.8780 EUR 0.0061 1.0802 0.5646 9.0329 EUROSTX 46.0608 4120.0000 1.1180 17.8877 FEEDCOW 1.2142 189.4750 0.6408 10.2534 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 22.3739 875.5000 2.5556 40.8889 GASOILINE 0.0543 2.6020 2.0861 33.3773 GAS_US 0.2297 3.3690 6.8194 109.1096 GBP 0.0094 1.2166 0.7762 12.4184 GOLD_micro 15.8060 1880.3000 0.8406 13.4498 HEATOIL 0.0622 2.9457 2.1108 33.7725 JPY 0.0001 0.0076 0.9473 15.1560 LEANHOG 1.3876 88.3500 1.5706 25.1296 LIVECOW 0.8371 161.3000 0.5190 8.3035 MXP 0.0003 0.0522 0.6475 10.3603 NASDAQ 160.9944 11436.2500 1.4078 22.5241 NIKKEI 253.0109 26495.0000 0.9549 15.2790 NZD 0.0053 0.6370 0.8393 13.4289 OAT 0.8801 132.6700 0.6634 10.6140 OJ 0.0265 2.0850 1.2698 20.3172 PALLAD 45.0652 1772.5000 2.5425 40.6795 PLAT 20.4796 1080.7000 1.8950 30.3204 REDWHEAT 13.3450 819.0000 1.6294 26.0709 ROBUSTA 23.5231 1808.0000 1.3011 20.8169 RUSSELL 24.0942 1849.5000 1.3027 20.8439 SILVER-mini 0.4388 23.7375 1.8487 29.5792 SOYBEAN 10.2106 1387.2500 0.7360 11.7765 SOYMEAL 6.1545 459.6000 1.3391 21.4257 SOYOIL 0.9318 61.7800 1.5083 24.1333 SP400 30.2439 2556.7000 1.1829 18.9268 SP500 43.5591 3981.5000 1.0940 17.5046 SUGAR11 0.0026 0.1965 1.3039 20.8624 US10 0.5112 114.4219 0.4468 7.1481 US10U 0.7038 121.0000 0.5816 9.3060 US20 1.0035 129.0938 0.7773 12.4371 US30 1.6243 140.5312 1.1558 18.4932 US5 0.3390 109.2109 0.3104 4.9669 VIX 0.5159 23.0000 2.2429 35.8869 WHEAT 11.1570 773.0000 1.4433 23.0935 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 692.45 0.89 618.78 1.00 618.78 44782.66 72.37 2.62 18.97 BITCOIN 17.58 3.67 64.55 1.00 64.55 44782.66 693.75 6.28 435.46 BOBL 1177.30 0.33 389.61 1.07 418.45 44782.66 107.02 6.35 67.91 BTP 1150.80 0.83 957.46 1.07 1028.33 44782.66 43.55 8.82 38.43 BUND 1378.70 0.62 849.24 1.07 912.10 44782.66 49.10 8.85 43.43 BUXL 1473.40 1.44 2128.25 1.07 2285.79 44782.66 19.59 -1.88 -3.69 CAC 695.05 0.98 680.91 1.07 731.31 44782.66 61.24 4.31 26.37 CAD 745.30 0.57 421.64 1.00 421.64 44782.66 106.21 2.01 21.33 CANOLA 165.64 1.07 177.93 0.75 132.57 44782.66 337.81 3.57 120.59 CHF 1350.81 0.61 828.73 1.00 828.73 44782.66 54.04 -8.30 -44.86 COCOA 263.50 1.52 399.86 1.00 399.86 44782.66 112.00 -5.63 -63.04 COFFEE 536.06 2.67 1431.73 1.00 1431.73 44782.66 31.28 -4.46 -13.96 COPPER 1044.75 1.31 1371.78 1.00 1371.78 44782.66 32.65 8.37 27.34 CORN 294.75 0.75 219.64 1.00 219.64 44782.66 203.89 4.75 96.77 COTTON2 422.00 2.11 890.45 1.00 890.45 44782.66 50.29 1.69 8.48 CRUDE_W 762.10 1.73 1318.72 1.00 1318.72 44782.66 33.96 2.57 8.71 DAX 150.48 0.97 145.83 1.07 156.62 44782.66 285.93 0.38 10.78 DOW 170.26 0.93 158.32 1.00 158.32 44782.66 282.86 -1.72 -48.61 EUR 1350.25 0.56 762.29 1.00 762.29 44782.66 58.75 0.06 0.34 EUROSTX 412.00 1.12 460.61 1.07 494.70 44782.66 90.52 5.83 52.77 FEEDCOW 947.38 0.64 607.12 1.00 607.12 44782.66 73.76 -16.88 -124.53 FTSE100 707.00 0.82 576.59 1.22 666.67 44782.66 67.17 -2.56 -17.22 GASOIL 875.50 2.56 2237.39 1.00 2237.39 44782.66 20.02 9.25 18.52 GASOILINE 1092.84 2.09 2279.75 1.00 2279.75 44782.66 19.64 -3.88 -7.61 GAS_US 336.90 6.82 2297.44 1.00 2297.44 44782.66 19.49 -10.63 -20.71 GBP 760.38 0.78 590.17 1.00 590.17 44782.66 75.88 4.27 32.43 GOLD_micro 188.03 0.84 158.06 1.00 158.06 44782.66 283.33 -0.13 -3.80 HEATOIL 1237.19 2.11 2611.45 1.00 2611.45 44782.66 17.15 9.77 16.76 JPY 951.12 0.95 900.96 1.00 900.96 44782.66 49.71 -1.53 -7.62 LEANHOG 353.40 1.57 555.05 1.00 555.05 44782.66 80.68 -8.92 -71.93 LIVECOW 645.20 0.52 334.84 1.00 334.84 44782.66 133.74 -15.21 -203.46 MXP 260.90 0.65 168.94 1.00 168.94 44782.66 265.08 9.22 244.42 NASDAQ 2287.25 1.41 3219.89 1.00 3219.89 44782.66 13.91 -4.80 -6.67 NIKKEI 26495.00 0.95 25301.09 0.01 191.42 44782.66 233.95 5.43 127.04 NZD 636.95 0.84 534.59 1.00 534.59 44782.66 83.77 3.78 31.64 OAT 1326.70 0.66 880.10 1.07 945.24 44782.66 47.38 9.08 43.02 OJ 312.75 1.27 397.14 1.00 397.14 44782.66 112.76 0.72 8.16 PALLAD 1772.50 2.54 4506.52 1.00 4506.52 44782.66 9.94 -2.39 -2.38 PLAT 540.35 1.90 1023.98 1.00 1023.98 44782.66 43.73 4.01 17.54 REDWHEAT 409.50 1.63 667.25 1.00 667.25 44782.66 67.12 -8.39 -56.29 ROBUSTA 180.80 1.30 235.23 1.00 235.23 44782.66 190.38 -0.35 -6.58 RUSSELL 92.48 1.30 120.47 1.00 120.47 44782.66 371.73 -3.67 -136.47 SILVER-mini 593.44 1.85 1097.09 1.00 1097.09 44782.66 40.82 6.40 26.14 SOYBEAN 693.62 0.74 510.53 1.00 510.53 44782.66 87.72 9.10 79.83 SOYMEAL 459.60 1.34 615.45 1.00 615.45 44782.66 72.76 8.85 64.42 SOYOIL 370.68 1.51 559.11 1.00 559.11 44782.66 80.10 2.30 18.40 SP400 2556.70 1.18 3024.39 1.00 3024.39 44782.66 14.81 -2.09 -3.10 SP500 1990.75 1.09 2177.96 1.00 2177.96 44782.66 20.56 -3.03 -6.24 SUGAR11 220.08 1.30 286.96 1.00 286.96 44782.66 156.06 8.53 133.12 US10 1144.22 0.45 511.19 1.00 511.19 44782.66 87.61 -6.84 -59.89 US10U 1210.00 0.58 703.77 1.00 703.77 44782.66 63.63 -0.85 -5.42 US20 1290.94 0.78 1003.47 1.00 1003.47 44782.66 44.63 -4.32 -19.30 US30 1405.31 1.16 1624.30 1.00 1624.30 44782.66 27.57 -3.46 -9.54 US5 1092.11 0.31 339.02 1.00 339.02 44782.66 132.09 -4.91 -64.85 VIX 230.00 2.24 515.87 1.00 515.87 44782.66 86.81 -20.00 -173.62 WHEAT 386.50 1.44 557.85 1.00 557.85 44782.66 80.28 -13.07 -104.91 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 18.971 0.006 2.5 0.303 BITCOIN 435.459 0.009 2.5 10.260 BOBL 67.913 0.029 2.5 4.900 BTP 38.430 0.008 2.5 0.776 BUND 43.435 0.029 2.5 3.134 BUXL -3.686 0.034 2.5 -0.309 CAC 26.365 0.011 2.5 0.741 CAD 21.330 0.007 2.5 0.381 CANOLA 120.593 0.004 2.5 1.107 CHF -44.859 0.015 2.5 -1.679 COCOA -63.036 0.009 2.5 -1.373 COFFEE -13.959 0.005 2.5 -0.181 COPPER 27.335 0.011 2.5 0.747 CORN 96.774 0.004 2.5 0.873 COTTON2 8.480 0.006 2.5 0.128 CRUDE_W 8.713 0.053 2.5 1.151 DAX 10.784 0.022 2.5 0.586 DOW -48.607 0.011 2.5 -1.385 EUR 0.340 0.015 2.5 0.013 EUROSTX 52.770 0.011 2.5 1.484 FEEDCOW -124.527 0.011 2.5 -3.346 FTSE100 -17.217 0.041 2.5 -1.775 GASOIL 18.521 0.029 2.5 1.321 GASOILINE -7.614 0.016 2.5 -0.313 GAS_US -20.715 0.006 2.5 -0.312 GBP 32.426 0.007 2.5 0.579 GOLD_micro -3.796 0.009 2.5 -0.085 HEATOIL 16.761 0.029 2.5 1.196 JPY -7.625 0.026 2.5 -0.494 LEANHOG -71.934 0.019 2.5 -3.361 LIVECOW -203.460 0.011 2.5 -5.467 MXP 244.424 0.005 2.5 2.992 NASDAQ -6.674 0.022 2.5 -0.362 NIKKEI 127.041 0.076 2.5 24.129 NZD 31.636 0.006 2.5 0.505 OAT 43.018 0.008 2.5 0.869 OJ 8.165 0.007 2.5 0.142 PALLAD -2.378 0.010 2.5 -0.057 PLAT 17.537 0.010 2.5 0.422 REDWHEAT -56.292 0.002 2.5 -0.301 ROBUSTA -6.585 0.005 2.5 -0.085 RUSSELL -136.469 0.021 2.5 -7.069 SILVER-mini 26.139 0.009 2.5 0.585 SOYBEAN 79.832 0.024 2.5 4.707 SOYMEAL 64.415 0.024 2.5 3.798 SOYOIL 18.396 0.004 2.5 0.169 SP400 -3.102 0.021 2.5 -0.161 SP500 -6.238 0.011 2.5 -0.178 SUGAR11 133.122 0.005 2.5 1.806 US10 -59.891 0.015 2.5 -2.298 US10U -5.424 0.058 2.5 -0.790 US20 -19.296 0.029 2.5 -1.422 US30 -9.543 0.034 2.5 -0.801 US5 -64.847 0.015 2.5 -2.488 VIX -173.619 0.075 2.5 -32.718 WHEAT -104.910 0.002 2.5 -0.560 ==================== Position diags ==================== AUD 1.16 BITCOIN 16.35 BOBL 7.72 BTP 0.88 BUND 3.54 BUXL 1.64 CAC 1.72 CAD 1.90 CANOLA 3.10 CHF 2.02 COCOA 2.44 COFFEE 0.41 COPPER 0.89 CORN 1.84 COTTON2 0.76 CRUDE_W 4.49 DAX 15.53 DOW 8.06 EUR 2.20 EUROSTX 2.54 FEEDCOW 1.98 FTSE100 6.92 GASOIL 1.43 GASOILINE 0.81 GAS_US 0.29 GBP 1.35 GOLD_micro 6.34 HEATOIL 1.22 JPY 3.22 LEANHOG 3.77 LIVECOW 3.59 MXP 3.25 NASDAQ 0.76 NIKKEI 44.43 NZD 1.34 OAT 0.96 OJ 1.97 PALLAD 0.24 PLAT 1.05 REDWHEAT 0.36 ROBUSTA 2.47 RUSSELL 19.25 SILVER-mini 0.91 SOYBEAN 5.17 SOYMEAL 4.29 SOYOIL 0.74 SP400 0.77 SP500 0.59 SUGAR11 2.12 US10 3.36 US10U 9.27 US20 3.29 US30 2.31 US5 5.07 VIX 16.36 WHEAT 0.43 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 10.3 8.6 11.9 NaN 0 BOBL 4.9 4.1 5.7 4.0 4 BTP 0.8 0.7 0.9 1.0 1 BUND 3.1 2.8 3.5 2.0 2 BUXL -0.3 -0.5 -0.1 0.0 0 CAC 0.7 0.6 0.9 1.0 1 CAD 0.4 0.2 0.6 0.0 0 CANOLA 1.1 0.8 1.4 NaN 0 CHF -1.7 -1.9 -1.5 -2.0 -2 COCOA -1.4 -1.6 -1.1 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.7 0.7 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 1.2 0.7 1.6 1.0 1 DAX 0.6 -1.0 2.1 0.0 0 DOW -1.4 -2.2 -0.6 0.0 0 EUR 0.0 -0.2 0.2 0.0 0 EUROSTX 1.5 1.2 1.7 1.0 1 FEEDCOW -3.3 -3.5 -3.1 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.3 1.2 1.5 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 -0.7 0.5 -1.0 -1 HEATOIL 1.2 1.1 1.3 2.0 2 JPY -0.5 -0.8 -0.2 -2.0 -2 LEANHOG -3.4 -3.7 -3.0 -1.0 -1 LIVECOW -5.5 -5.8 -5.1 -5.0 -5 MXP 3.0 2.7 3.3 3.0 3 NASDAQ -0.4 -0.4 -0.3 0.0 0 NIKKEI 24.1 19.7 28.6 0.0 0 NZD 0.5 0.4 0.6 2.0 2 OAT 0.9 0.8 1.0 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 -7.1 -9.0 -5.1 -2.0 -2 SILVER-mini 0.6 0.5 0.7 1.0 1 SOYBEAN 4.7 4.2 5.2 2.0 2 SOYMEAL 3.8 3.4 4.2 5.0 5 SOYOIL 0.2 0.1 0.2 0.0 0 SP400 -0.2 -0.2 -0.1 0.0 0 SP500 -0.2 -0.2 -0.1 0.0 0 SUGAR11 1.8 1.6 2.0 2.0 2 US10 -2.3 -2.6 -2.0 NaN 0 US10U -0.8 -1.7 0.1 -2.0 -2 US20 -1.4 -1.8 -1.1 -3.0 -3 US30 -0.8 -1.0 -0.6 0.0 0 US5 -2.5 -3.0 -2.0 -4.0 -4 VIX -32.7 -34.4 -31.1 -24.0 -24 WHEAT -0.6 -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 0.1 0.2 0.2 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 -0.0 0.0 -0.2 0.1 0.3 -0.2 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 0.6 -0.0 0.1 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 0.1 0.1 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 0.5 0.1 0.2 -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 -0.1 -0.2 -0.1 BTP -0.1 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 -0.0 -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 0.1 -0.1 -0.1 0.2 BUND -0.1 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 -0.1 -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 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 -0.0 -0.3 -0.0 -0.1 0.3 -0.0 0.1 0.1 -0.1 -0.2 0.0 -0.3 -0.0 0.6 -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 0.1 0.1 0.3 0.0 0.0 0.0 0.3 -0.2 0.1 -0.0 0.0 0.2 0.2 0.0 0.1 0.0 -1.5 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.9 0.0 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 1.8 -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 0.1 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 -0.1 -0.1 0.2 CHF -0.1 0.2 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 0.1 0.1 0.0 -0.0 0.0 -1.3 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 -2.3 -0.1 -0.0 0.0 0.0 COCOA 0.1 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 -1.8 -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 0.0 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 1.7 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -1.3 -0.1 -0.2 0.1 -0.3 COPPER 0.1 0.3 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 1.3 -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 -0.3 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 -0.1 -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 0.0 0.5 0.1 0.2 -0.0 -0.1 0.0 -0.0 0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.6 0.0 0.2 0.4 -0.2 CRUDE_W 0.1 -0.0 -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 0.6 0.5 0.2 0.2 -0.0 -0.0 0.0 0.0 -0.0 -0.7 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.1 0.1 DAX 0.0 0.1 0.4 0.0 0.1 -0.0 0.2 -0.0 0.1 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 0.1 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 0.1 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 -0.3 -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 0.2 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 0.1 0.0 0.3 0.0 0.0 0.0 0.3 0.7 0.2 0.1 0.1 0.2 0.2 0.0 0.1 0.0 -2.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 1.4 0.0 -0.0 0.1 0.3 FEEDCOW 0.0 0.2 0.0 -0.1 -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 -0.2 -0.2 -0.0 0.1 -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 -0.1 -0.3 -0.2 -0.0 GASOILINE 0.2 -0.1 -0.2 -0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 -0.3 0.0 0.1 0.0 -0.1 -1.7 0.7 -0.4 0.0 -0.0 -0.0 0.0 0.1 0.0 -0.9 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.2 0.0 0.3 0.2 0.2 GAS_US -0.2 -0.3 -0.3 -0.0 0.0 -0.0 0.0 0.1 -0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.4 1.6 -0.1 0.2 0.0 -0.2 -0.2 -0.0 -0.1 -0.0 -0.6 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.3 -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 0.0 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 -0.1 0.2 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 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -1.6 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.5 -0.1 -0.1 -0.1 0.1 LIVECOW 0.1 0.1 0.2 -0.1 -0.0 -0.1 -0.1 -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 -0.0 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 0.4 -0.1 0.2 NASDAQ -0.1 -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 -0.2 -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 0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.2 1.2 0.4 0.3 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 0.2 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 -0.1 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 -0.1 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 -0.2 -0.1 -0.0 OJ 0.0 0.1 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 0.1 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 0.5 0.2 0.3 PALLAD 0.0 -0.1 -0.2 0.1 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 0.0 0.3 -0.1 -0.0 -0.0 -0.0 0.2 0.1 0.0 0.1 0.0 -0.9 -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 0.0 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 -0.2 1.2 0.4 0.3 0.2 -0.1 -0.2 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.4 0.1 -0.3 RUSSELL -0.0 -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 -0.0 -0.1 0.0 -0.1 0.0 -0.4 -0.0 0.0 0.1 -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 0.1 0.0 0.0 -0.0 0.3 -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 1.1 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 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 1.6 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 0.5 0.8 0.3 0.4 -0.1 -0.0 -0.0 0.1 -0.0 -2.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 2.1 -0.0 0.0 -0.3 0.2 SP400 0.0 -0.0 0.2 0.0 0.0 -0.0 0.2 -0.0 0.1 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 0.1 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 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.0 0.1 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 0.3 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 0.1 -0.0 0.0 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 0.0 0.1 0.1 0.2 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 0.7 -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 -0.5 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 -0.1 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 -0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.6 -0.0 0.0 0.0 0.0 VIX -0.1 -0.8 -1.0 -0.1 -0.0 -0.1 -0.1 -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 -0.3 -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 -0.1 -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 5.1 13.8 12.0 3.7 3.9 0.7 4.6 -3.2 4.4 10.0 -1.1 11.4 -6.9 12.2 11.5 -3.0 -2.1 -2.9 -2.6 8.4 0.8 12.3 -6.5 11.3 5.4 -0.0 4.3 4.5 -0.1 6.4 -3.6 6.5 -0.5 11.2 3.3 -1.4 -7.5 BITCOIN 4.0 -2.0 3.2 3.6 4.7 2.7 3.8 1.2 3.1 14.1 -14.5 7.7 -15.9 6.8 -7.2 2.4 -0.3 1.7 0.9 -5.3 -17.3 6.6 -20.0 1.9 20.0 -0.0 -3.2 4.5 -7.2 3.6 -8.2 1.1 2.9 -2.9 3.5 -11.6 -20.0 BOBL -8.7 2.2 -3.5 -0.4 6.3 -3.7 5.4 -7.3 2.1 12.2 -13.5 2.4 -13.8 -6.1 -9.4 -4.0 12.9 5.7 11.5 -14.3 -19.9 6.7 -20.0 -6.4 14.1 -0.0 -3.7 5.5 -6.7 3.3 -10.5 -0.8 20.0 -0.9 -12.4 -15.0 -7.1 BTP -10.0 2.0 12.4 -0.4 6.3 -3.7 5.4 -7.3 2.1 13.9 -4.3 5.1 -11.2 -3.5 0.6 10.5 14.4 13.9 15.6 -2.9 -7.0 14.6 -16.4 1.3 -0.1 -0.0 -0.0 9.3 -2.7 6.2 -7.8 1.9 20.0 8.8 -4.3 -3.8 10.6 BUND -10.7 2.9 1.0 -0.4 6.3 -3.7 5.4 -7.3 2.1 12.1 -11.8 2.3 -13.2 -5.0 -7.2 12.6 15.9 13.5 14.6 -12.0 -17.3 7.9 -20.0 -5.3 10.3 -0.0 -2.7 6.5 -5.7 4.2 -9.5 0.1 20.0 3.7 -9.8 -10.3 -5.3 BUXL -20.0 4.4 3.0 -0.4 6.3 -3.7 5.4 -7.3 2.1 12.2 -8.5 -1.9 -11.9 -6.5 -4.6 3.7 -0.6 4.5 3.0 -11.0 -13.7 3.0 -20.0 -9.1 5.2 -0.0 -2.0 4.7 -3.8 2.3 -6.7 -0.9 0.6 -4.4 -20.0 -4.4 -1.3 CAC 2.7 3.0 18.8 1.8 10.5 -0.0 8.4 -1.5 4.3 13.5 12.5 13.7 1.8 11.5 14.0 -2.2 2.9 -0.8 0.7 15.1 12.2 20.0 6.8 17.9 -13.7 -0.0 4.2 8.1 3.4 7.5 1.7 5.0 7.1 4.2 2.8 5.1 17.9 CAD 10.4 3.0 0.1 3.7 3.9 0.7 4.6 -3.2 4.4 9.2 -9.1 10.6 -10.8 0.9 -0.6 -1.7 -1.1 -1.8 -1.5 -1.0 -7.8 10.1 -10.9 5.7 12.5 -0.0 0.5 4.8 -4.4 7.4 -6.8 5.4 1.3 11.7 7.2 -18.7 -19.4 CANOLA 2.6 7.7 0.6 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -13.7 -8.8 -6.9 -4.5 4.2 4.8 0.9 11.7 5.6 7.3 -0.1 -4.3 -13.1 -0.5 -2.8 5.7 -0.0 -1.5 -13.1 -1.1 -7.5 1.7 -3.4 -0.3 -18.2 -7.5 -8.1 16.3 CHF -6.5 15.2 17.0 3.7 3.9 0.7 4.6 -3.2 4.4 -1.8 10.7 0.8 -1.5 10.3 13.8 -13.5 -12.1 -13.0 -12.8 12.3 8.5 1.2 -0.5 7.0 -9.6 -0.0 5.0 -0.6 2.4 2.3 -1.9 4.3 -17.9 -5.2 -1.6 3.2 3.1 COCOA 5.0 11.4 16.2 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 0.3 8.4 8.6 -5.1 10.8 13.6 -1.6 -2.9 -0.9 -1.3 12.2 7.3 7.9 -0.1 11.4 -11.8 -0.0 5.9 2.2 3.3 4.9 0.3 6.4 -19.9 20.0 20.0 20.0 20.0 COFFEE 1.6 5.3 -20.0 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -14.1 -13.4 -14.0 -10.0 -8.3 -13.8 -0.3 3.6 1.9 3.8 -17.4 -20.0 -20.0 -13.5 -16.8 10.4 -0.0 -4.8 -10.9 -6.2 -6.9 -4.0 -4.1 -9.4 -20.0 -9.2 3.9 -20.0 COPPER 7.0 16.8 20.0 3.6 4.7 2.7 3.8 1.2 3.1 13.9 -2.8 12.5 -7.2 11.8 12.2 -0.8 -0.1 -0.5 -0.3 15.1 5.7 20.0 -4.9 20.0 10.2 -0.0 5.2 12.5 2.4 9.6 -0.3 7.0 2.1 20.0 20.0 9.4 6.0 CORN 2.8 -15.1 -4.5 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -13.9 0.6 -14.0 3.9 -12.7 -11.1 20.0 16.7 20.0 18.7 -8.7 -2.3 -15.0 10.5 -11.8 -9.3 -0.0 -5.0 -4.0 -2.3 -5.5 3.0 -5.6 13.4 -19.6 -5.7 -10.9 -4.8 COTTON2 6.9 8.2 -15.9 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 6.4 -9.9 1.2 -3.6 2.6 -3.4 0.7 14.2 3.5 8.9 -2.9 -10.2 4.0 -5.2 2.7 0.3 -0.0 1.4 1.5 -1.6 3.2 2.0 3.6 4.8 16.3 15.3 15.3 -8.4 CRUDE_W 4.8 -2.9 -1.2 -2.0 5.0 -1.9 1.4 3.6 -0.1 2.2 -6.2 -1.4 1.9 -2.9 4.5 6.8 12.4 7.4 9.5 -2.3 -2.4 1.3 3.7 -1.5 -5.9 -0.0 0.6 9.3 0.5 5.1 6.0 2.6 0.0 6.9 0.4 7.0 10.0 DAX 1.5 4.5 20.0 1.8 10.5 -0.0 8.4 -1.5 4.3 13.7 10.9 13.4 -2.4 11.2 13.6 -8.0 -3.1 -6.4 -4.8 15.5 11.3 20.0 1.4 17.9 -9.6 -0.0 4.1 9.1 3.2 7.4 0.2 4.6 -2.7 10.2 1.9 5.2 20.0 DOW -6.1 1.6 17.7 1.8 10.5 -0.0 8.4 -1.5 4.3 13.5 8.4 5.2 -0.0 -3.4 9.7 -5.9 -2.7 -5.4 -4.5 6.3 6.8 8.1 1.8 3.5 -6.8 -0.0 2.3 5.9 2.3 3.5 0.8 1.6 -2.3 -20.0 -11.8 -5.7 10.2 EUR -2.8 20.0 20.0 3.7 3.9 0.7 4.6 -3.2 4.4 13.2 6.2 10.5 -7.2 13.8 15.3 -8.0 -8.4 -7.9 -8.2 18.3 9.6 11.5 -7.5 14.0 0.6 -0.0 5.8 4.9 2.1 5.4 -3.4 6.1 -10.8 12.5 10.6 11.2 14.2 EUROSTX -0.4 2.0 20.0 1.8 10.5 -0.0 8.4 -1.5 4.3 13.6 12.2 13.4 0.4 11.9 13.9 9.0 4.1 5.8 4.2 15.1 12.3 20.0 5.1 17.1 -16.1 -0.0 4.3 8.2 3.8 6.9 1.5 4.4 10.6 5.5 -1.3 6.9 20.0 FEEDCOW 5.2 11.6 3.2 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -4.1 2.9 4.8 -0.0 11.2 9.5 -20.0 -20.0 -20.0 -20.0 7.2 3.1 2.6 -0.2 7.1 -20.0 -0.0 5.2 -0.8 2.2 3.3 0.3 6.0 -20.0 20.0 17.5 20.0 9.2 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL 5.8 -14.8 -9.5 -2.0 5.0 -1.9 1.4 3.6 -0.1 7.2 -6.6 -2.9 8.8 -2.8 -7.5 20.0 20.0 20.0 20.0 -6.7 -2.5 0.4 9.7 -4.3 -5.6 -0.0 -4.9 3.8 -2.4 -0.7 3.3 -4.0 20.0 -6.2 -16.1 -18.0 -2.0 GASOILINE 17.0 -4.8 -11.0 -2.0 5.0 -1.9 1.4 3.6 -0.1 1.5 -11.0 3.0 2.6 2.1 -3.1 -20.0 15.1 -18.5 1.7 -2.2 -4.0 6.7 4.6 2.9 -7.3 -0.0 3.0 8.2 1.3 7.4 5.3 6.4 -1.4 20.0 20.0 13.6 15.0 GAS_US -20.0 -20.0 -20.0 -2.0 5.0 -1.9 1.4 3.6 -0.1 -11.5 -13.6 -15.3 -4.5 -16.0 -15.6 20.0 -2.6 11.1 2.0 -20.0 -20.0 -20.0 -6.8 -20.0 -5.2 -0.0 -5.4 -2.4 -2.5 -4.8 1.8 -6.4 -20.0 -17.2 -20.0 -8.3 -20.0 GBP -10.8 13.4 16.9 3.7 3.9 0.7 4.6 -3.2 4.4 9.2 5.0 0.7 -5.4 1.8 11.0 -1.9 -1.6 -1.9 -1.9 8.3 3.5 4.0 -7.8 3.9 13.2 -0.0 2.8 3.3 -2.0 3.1 -8.3 2.9 0.5 -3.2 -14.1 -2.7 -4.2 GOLD_micro 10.9 20.0 17.1 3.6 4.7 2.7 3.8 1.2 3.1 13.6 3.2 15.0 -6.8 15.7 15.2 -11.3 -8.8 -10.8 -10.2 18.5 8.1 19.2 -2.1 20.0 7.2 -0.0 5.1 4.0 2.4 4.6 -0.3 5.2 -13.7 8.5 11.8 8.4 1.8 HEATOIL 5.2 -13.7 -9.5 -2.0 5.0 -1.9 1.4 3.6 -0.1 -3.2 -6.3 -5.8 8.1 -1.0 -4.3 20.0 20.0 20.0 20.0 -6.2 -2.0 -2.3 10.7 -4.9 -14.8 -0.0 -1.7 6.1 0.6 3.0 9.8 0.5 20.0 3.7 0.1 -2.7 4.9 JPY 8.2 20.0 20.0 3.7 3.9 0.7 4.6 -3.2 4.4 -4.0 0.9 8.2 -10.2 12.0 12.8 -10.9 -10.5 -11.5 -11.6 14.4 3.7 4.4 -11.5 12.3 9.4 -0.0 5.0 -0.1 0.7 1.8 -5.3 4.5 -15.5 -12.3 10.9 14.8 9.0 LEANHOG -3.2 -6.8 3.5 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -13.7 3.0 -11.4 -0.7 -7.9 5.2 -20.0 10.9 -20.0 -2.6 -4.0 -0.4 -18.3 2.7 -10.9 -10.6 -0.0 -2.7 -9.0 -1.2 -7.6 0.8 -5.2 -3.4 -20.0 -2.6 -3.7 3.8 LIVECOW 6.4 5.8 11.9 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -2.9 11.9 6.4 1.6 10.3 12.5 -20.0 -20.0 -20.0 -20.0 9.5 8.2 2.8 3.5 7.0 -20.0 -0.0 5.8 1.1 4.8 3.3 3.4 5.5 -20.0 15.5 17.2 20.0 18.6 MXP 15.0 -3.3 8.4 3.7 3.9 0.7 4.6 -3.2 4.4 14.1 14.3 15.7 14.9 13.4 13.4 19.2 20.0 19.1 19.6 16.0 15.8 20.0 15.8 18.8 -20.0 -0.0 6.0 6.8 5.4 7.0 4.7 6.7 20.0 2.6 19.0 -4.6 15.8 NASDAQ -9.2 -4.3 -2.0 1.8 10.5 -0.0 8.4 -1.5 4.3 13.8 -11.8 1.1 -13.2 -7.7 -9.4 -5.2 -3.6 -4.9 -4.5 -10.4 -13.1 5.7 -15.6 -6.0 8.2 -0.0 -2.0 8.6 -4.0 4.7 -5.0 0.4 -3.0 -12.6 -14.8 -8.7 -13.5 NIKKEI -19.0 -19.8 -2.6 1.8 10.5 -0.0 8.4 -1.5 4.3 13.3 -3.8 -7.1 -0.8 -11.8 -9.8 20.0 10.9 14.4 12.4 -13.2 -6.6 1.4 -1.8 -11.4 0.6 -0.0 -4.6 4.6 -3.3 0.8 -1.9 -3.4 20.0 -20.0 -20.0 -20.0 -14.1 NZD -10.1 19.1 20.0 3.7 3.9 0.7 4.6 -3.2 4.4 10.3 6.2 3.7 -5.4 6.4 11.7 0.4 0.5 -0.1 -0.1 12.4 6.7 5.4 -4.8 7.4 -0.6 -0.0 4.9 2.6 1.9 3.4 -2.1 4.4 3.8 2.1 -4.6 7.7 5.8 OAT -12.9 1.3 6.7 -0.4 6.3 -3.7 5.4 -7.3 2.1 12.5 -9.8 2.9 -12.5 -4.9 -5.8 12.8 12.8 13.3 13.6 -9.3 -13.2 9.2 -19.6 -4.0 9.5 -0.0 -2.1 6.7 -4.8 4.2 -9.2 0.2 20.0 5.6 -11.4 -8.4 -2.0 OJ 2.2 3.3 20.0 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 13.7 14.1 11.6 14.5 11.2 13.3 16.1 12.9 15.9 15.8 16.4 20.0 9.1 20.0 9.7 -20.0 -0.0 6.4 4.0 9.6 4.7 11.8 5.0 8.8 20.0 18.6 14.5 20.0 PALLAD 1.0 -7.8 -13.0 3.6 4.7 2.7 3.8 1.2 3.1 3.0 -12.0 -0.2 -9.4 -8.5 -12.0 -1.7 -1.3 -1.6 -1.5 -12.0 -12.1 -1.5 -9.5 -6.8 7.6 -0.0 -4.2 0.7 -4.0 0.7 -2.7 -1.9 0.0 -4.5 -14.8 -20.0 -20.0 PLAT 6.3 6.4 19.7 3.6 4.7 2.7 3.8 1.2 3.1 0.5 12.1 11.5 1.5 12.2 14.1 -1.3 -0.5 -0.8 -0.5 14.6 11.5 9.8 4.5 13.9 -5.4 -0.0 6.0 0.2 4.6 3.1 1.3 5.2 1.6 4.5 13.9 7.5 14.7 REDWHEAT 2.3 -15.9 -12.1 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -11.5 -13.5 -12.2 -7.3 -12.6 -12.5 4.4 1.0 4.2 3.0 -15.2 -13.4 -15.9 -5.0 -14.9 -2.7 -0.0 -4.7 -4.2 -3.0 -4.3 1.7 -4.4 -12.9 -11.3 -1.6 -12.4 0.9 ROBUSTA 4.6 10.8 -20.0 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -6.2 -11.3 -3.4 -6.7 4.0 -10.5 15.4 9.0 12.9 10.7 -9.3 -13.5 -6.2 -7.4 -4.8 -0.8 -0.0 -4.9 -4.6 -4.8 -5.0 -2.4 -5.0 0.3 -20.0 -20.0 8.3 -20.0 RUSSELL -0.4 -4.8 4.4 1.8 10.5 -0.0 8.4 -1.5 4.3 14.0 -5.6 8.1 -11.0 -4.0 -0.7 -5.0 -2.8 -4.5 -3.9 -3.3 -4.8 11.7 -8.0 1.2 -3.5 -0.0 0.3 11.1 -1.1 8.1 -2.2 3.5 -1.8 -6.4 -2.0 -10.3 -4.7 SILVER-mini -2.2 19.2 20.0 3.6 4.7 2.7 3.8 1.2 3.1 -4.4 9.5 -1.9 -2.4 10.5 13.7 -4.3 -3.5 -4.2 -4.0 16.0 12.2 -0.9 1.6 8.1 5.2 -0.0 5.0 -1.4 3.6 -0.7 -0.4 2.1 -4.0 -20.0 -2.2 11.4 18.7 SOYBEAN -0.1 4.0 4.3 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -9.1 1.2 -7.2 4.9 1.9 9.0 20.0 20.0 20.0 20.0 4.6 4.9 -3.4 7.9 1.0 -20.0 -0.0 5.7 -1.0 6.2 2.6 9.9 5.1 20.0 12.5 10.3 15.2 16.9 SOYMEAL 2.5 20.0 10.2 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 6.6 10.2 8.9 11.0 12.6 12.3 19.4 14.8 15.0 15.0 20.0 16.4 8.7 11.6 16.1 -20.0 -0.0 6.0 1.6 5.0 2.7 4.2 4.9 9.6 20.0 16.2 20.0 20.0 SOYOIL 0.1 -20.0 -0.1 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -13.0 -1.1 -9.2 4.6 -7.0 -6.3 6.5 19.8 13.0 16.9 -7.4 -1.5 -8.4 6.8 -9.1 -15.0 -0.0 -2.5 -2.6 0.6 -2.5 4.3 -3.4 15.7 -1.6 0.1 -20.0 12.3 SP400 0.1 -0.3 9.2 1.8 10.5 -0.0 8.4 -1.5 4.3 14.0 1.9 10.4 -5.3 -1.4 5.6 -4.4 -2.1 -3.2 -2.5 2.8 1.4 14.0 -2.0 5.4 -7.2 -0.0 2.2 10.3 1.3 7.7 0.4 4.1 0.0 -7.7 -1.8 -5.7 1.5 SP500 -5.0 -0.3 4.5 1.8 10.5 -0.0 8.4 -1.5 4.3 13.9 -4.3 3.4 -8.7 -5.4 0.9 -5.6 -3.7 -5.2 -4.6 -2.2 -4.4 8.4 -7.3 -0.1 2.8 -0.0 0.3 7.9 -1.5 5.0 -3.2 1.8 -3.1 -14.2 -10.6 -5.8 -4.7 SUGAR11 -13.5 3.0 13.7 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -0.8 7.2 -8.3 4.4 -6.5 6.7 20.0 20.0 20.0 20.0 5.8 9.0 -8.6 6.4 -4.8 -20.0 -0.0 5.6 2.2 5.2 1.0 3.4 3.1 20.0 1.1 16.4 20.0 20.0 US10 -5.2 19.4 5.2 -0.4 6.3 -3.7 5.4 -7.3 2.1 12.1 -7.0 5.5 -12.1 4.4 4.9 -9.0 -1.0 -7.5 -5.3 1.2 -9.1 10.3 -20.0 5.2 -5.9 -0.0 1.2 4.9 -3.3 3.6 -9.0 2.4 -6.4 -14.1 2.1 4.8 2.3 US10U -6.4 19.4 4.3 -0.4 6.3 -3.7 5.4 -7.3 2.1 9.8 -6.8 4.3 -12.0 2.5 4.0 1.5 4.8 1.0 1.9 0.9 -9.1 9.9 -20.0 4.8 -8.4 -0.0 2.0 4.3 -2.3 4.4 -7.3 3.5 4.8 -6.6 6.1 8.7 3.4 US20 -9.3 20.0 5.6 -0.4 6.3 -3.7 5.4 -7.3 2.1 10.1 -5.3 0.9 -11.2 2.6 5.2 -5.8 1.1 -2.7 -0.8 1.5 -8.7 7.1 -20.0 4.0 -7.8 -0.0 0.9 1.9 -2.5 1.1 -6.6 1.0 -0.6 -20.0 -5.1 10.8 0.8 US30 -10.8 20.0 12.7 -0.4 6.3 -3.7 5.4 -7.3 2.1 10.3 -5.2 0.4 -12.5 0.4 3.7 -1.1 0.2 -0.8 -0.6 0.4 -9.3 7.1 -20.0 2.7 -8.7 -0.0 1.7 3.1 -1.9 2.5 -6.4 2.2 -1.3 -11.3 -2.0 14.7 4.4 US5 -4.9 20.0 6.5 -0.4 6.3 -3.7 5.4 -7.3 2.1 12.8 -7.1 5.0 -12.4 4.6 5.0 -6.4 0.4 -5.7 -4.2 1.1 -9.7 9.7 -20.0 4.9 -3.8 -0.0 1.5 5.7 -3.6 4.1 -10.3 2.8 -4.4 -14.9 4.5 4.7 2.2 VIX -8.5 -16.4 -15.1 -4.7 -5.6 -4.1 -4.9 -2.9 -4.3 -14.1 -14.8 -15.5 -12.4 -15.8 -15.8 -20.0 -20.0 -20.0 -20.0 -20.0 -17.6 -20.0 -12.4 -20.0 NaN -0.0 -6.1 -4.6 -5.2 -4.4 -3.5 -5.1 NaN NaN NaN NaN NaN WHEAT 9.7 -15.7 -15.6 -3.8 -5.2 -4.3 -4.6 -1.4 -3.5 -11.7 -14.7 -12.2 -10.6 -12.2 -12.4 -8.1 -5.0 -6.7 -5.8 -16.8 -17.7 -11.9 -9.8 -13.0 -0.1 -0.0 -4.2 -2.4 -3.7 -2.1 0.2 -2.5 -20.0 -5.4 6.9 -10.9 -2.6 End of report for caleb_strategy_v1