******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230112_204326 produced at 2023-01-12 21:35:37.668965 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.20 -0.25 0.0 7808104.37 -7808104.37 -0.20 -0.22 -32.59 999999999 -26 -28 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.12 0.0 22398303.86 -22398303.86 -0.11 -0.11 -5.57 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 32767083.89 -32767083.89 -0.13 -0.13 -3.38 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.09 0.0 47070348.58 -47070348.58 -0.09 -0.09 -1.81 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.11 -0.08 0.0 38173739.68 -38173739.68 -0.11 -0.11 -2.20 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 40062183.63 -40062183.63 0.00 0.00 -2.08 999999999 0 0 caleb_strategy_v1 US20 False False 0.05 -0.14 -0.06 0.0 45420473.52 -45420473.52 -0.14 -0.05 -1.28 999999999 -3 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.01 -0.05 0.0 12141689.25 -12141689.25 -0.01 -0.02 -3.81 999999999 -1 -2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.78 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.03 0.0 49735364.16 -49735364.16 0.00 0.00 -0.67 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 80011332.35 -80011332.35 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.00 -0.02 0.0 3270013.24 -3270013.24 -0.00 0.00 -5.83 999999999 -1 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13507672.77 -13507672.77 -0.03 -0.03 -0.58 999999999 -2 -2 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9195825.37 -9195825.37 0.00 0.00 -1.43 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.01 0.0 42447872.54 -42447872.54 -0.08 -0.08 -0.35 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.01 0.0 56135385.60 -56135385.60 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 38450097.02 -38450097.02 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.07 -0.01 0.0 33849610.61 -33849610.61 -0.07 -0.10 -0.32 999999999 -2 -3 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 89687121.38 -89687121.38 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5968243.70 -5968243.70 0.00 0.00 -1.10 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69542559.89 -69542559.89 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 0.00 0.0 6600891.44 -6600891.44 -0.01 0.00 0.06 999999999 -1 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 19531129.68 -19531129.68 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 62256155.14 -62256155.14 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14244138.74 -14244138.74 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10835701.19 -10835701.19 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 0.00 0.0 6538635.29 -6538635.29 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4375962.49 -4375962.49 0.00 0.00 1.01 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.00 0.0 47322503.40 -47322503.40 0.00 0.00 0.09 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14451079.59 -14451079.59 -0.01 -0.01 -0.30 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13153090.92 -13153090.92 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 11703461.57 -11703461.57 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22241793.97 -22241793.97 0.04 0.04 0.55 999999999 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 24276422.51 -24276422.51 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10247050.12 -10247050.12 0.03 0.03 0.87 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 5719881.29 -5719881.29 0.00 0.00 1.39 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.01 0.0 26039767.24 -26039767.24 0.00 0.00 0.48 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 20954934.90 -20954934.90 0.02 0.02 0.58 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7634900.10 -7634900.10 0.02 0.02 1.83 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 658732.73 -658732.73 0.00 0.00 10.88 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18755101.49 -18755101.49 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.03 0.02 0.0 26580595.85 -26580595.85 0.03 0.05 0.63 999999999 1 2 caleb_strategy_v1 CAC False False 0.03 0.03 0.02 0.0 26451811.25 -26451811.25 0.03 0.05 0.79 999999999 1 2 caleb_strategy_v1 COPPER False False 0.04 0.04 0.03 0.0 36245081.38 -36245081.38 0.04 0.07 0.81 999999999 1 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9126265.42 -9126265.42 0.03 0.03 3.15 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.03 0.0 15623330.82 -15623330.82 0.02 0.02 1.65 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.04 0.0 30867227.76 -30867227.76 0.00 0.00 1.43 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 43577893.05 -43577893.05 0.04 0.04 0.85 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 0.04 0.0 26655372.79 -26655372.79 0.03 0.05 1.42 999999999 1 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 50252596.30 -50252596.30 0.00 0.00 0.95 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.09 0.06 0.0 43545224.22 -43545224.22 0.09 0.09 1.27 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 16231814.30 -16231814.30 0.08 0.08 4.11 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.12 0.0 24311202.48 -24311202.48 0.05 0.05 4.79 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.18 0.0 0.00 0.00 0.00 0.00 25.24 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.18 0.0 52224839.12 -52224839.12 0.10 0.16 3.42 999999999 2 3 caleb_strategy_v1 BOBL False False 0.04 0.18 0.23 0.0 44475395.52 -44475395.52 0.18 0.18 5.27 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 12.9 Shocked risk 38.0 Sum abs risk 38.3 Leverage 2.31 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2875217.71, 'annual_cash_vol_target': 718804.4275, 'daily_cash_vol_target': 44925.27671875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0061 0.6980 0.8724 13.9577 BITCOIN 700.3584 18940.0000 3.6978 59.1644 BOBL 0.3772 117.9400 0.3198 5.1165 BTP 0.9296 115.5600 0.8045 12.8714 BUND 0.8267 138.4900 0.5969 9.5511 BUXL 2.0881 148.8600 1.4027 22.4437 CAC 66.9597 7014.5000 0.9546 15.2734 CAD 0.0042 0.7487 0.5548 8.8763 CANOLA 9.1547 840.7000 1.0889 17.4230 CHF 0.0065 1.0827 0.5961 9.5373 COCOA 38.9994 2644.0000 1.4750 23.6003 COFFEE 0.0392 1.4975 2.6194 41.9100 COPPER 0.0538 4.1685 1.2899 20.6380 CORN 4.3898 589.2500 0.7450 11.9197 COTTON2 0.0180 0.8191 2.2024 35.2387 CRUDE_W 1.2894 76.6400 1.6824 26.9180 DAX 142.7720 15168.0000 0.9413 15.0603 DOW 311.5582 34320.0000 0.9078 14.5249 EUR 0.0061 1.0885 0.5585 8.9361 EUROSTX 44.8700 4143.0000 1.0830 17.3285 FEEDCOW 1.2141 188.4250 0.6443 10.3095 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.6524 887.5000 2.4397 39.0352 GASOILINE 0.0532 2.6322 2.0214 32.3420 GAS_US 0.2240 3.3650 6.6566 106.5053 GBP 0.0093 1.2228 0.7568 12.1086 GOLD_micro 15.7047 1897.9000 0.8275 13.2397 HEATOIL 0.0609 2.9810 2.0414 32.6623 JPY 0.0001 0.0078 0.9915 15.8638 LEANHOG 1.3630 87.2750 1.5618 24.9881 LIVECOW 0.8243 161.0000 0.5120 8.1916 MXP 0.0003 0.0525 0.6369 10.1910 NASDAQ 158.0128 11502.5000 1.3737 21.9796 NIKKEI 253.9439 26145.0000 0.9713 15.5406 NZD 0.0052 0.6395 0.8160 13.0555 OAT 0.8553 133.2600 0.6418 10.2689 OJ 0.0258 2.0770 1.2417 19.8665 PALLAD 43.9399 1790.0000 2.4547 39.2759 PLAT 19.9565 1078.5000 1.8504 29.6063 REDWHEAT 13.3122 831.0000 1.6020 25.6312 ROBUSTA 27.6617 1880.0000 1.4714 23.5418 RUSSELL 23.9792 1880.4000 1.2752 20.4035 SILVER-mini 0.4334 24.1000 1.7985 28.7766 SOYBEAN 10.2424 1398.0000 0.7326 11.7223 SOYMEAL 6.0988 466.7000 1.3068 20.9086 SOYOIL 0.9419 63.0300 1.4944 23.9107 SP400 29.6396 2578.7000 1.1494 18.3904 SP500 42.7499 3999.0000 1.0690 17.1042 SUGAR11 0.0025 0.1960 1.2808 20.4931 US10 0.5163 115.1875 0.4482 7.1719 US10U 0.7120 122.0469 0.5834 9.3342 US20 1.0179 130.5938 0.7795 12.4715 US30 1.6519 143.0000 1.1552 18.4833 US5 0.3431 109.7578 0.3126 5.0015 VIX 0.5196 22.4500 2.3145 37.0327 WHEAT 10.9420 776.7500 1.4087 22.5391 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 698.00 0.87 608.91 1.00 608.91 44925.28 73.78 3.13 23.11 BITCOIN 18.94 3.70 70.04 1.00 70.04 44925.28 641.46 7.20 461.61 BOBL 1179.40 0.32 377.15 1.08 405.78 44925.28 110.71 6.60 73.03 BTP 1155.60 0.80 929.64 1.08 1000.22 44925.28 44.92 9.38 42.15 BUND 1384.90 0.60 826.70 1.08 889.47 44925.28 50.51 9.39 47.42 BUXL 1488.60 1.40 2088.11 1.08 2246.64 44925.28 20.00 -1.44 -2.88 CAC 701.45 0.95 669.60 1.08 720.43 44925.28 62.36 4.51 28.11 CAD 748.70 0.55 415.36 1.00 415.36 44925.28 108.16 2.47 26.74 CANOLA 168.14 1.09 183.09 0.75 136.41 44925.28 329.33 3.34 110.07 CHF 1353.38 0.60 806.72 1.00 806.72 44925.28 55.69 -8.66 -48.25 COCOA 264.40 1.48 389.99 1.00 389.99 44925.28 115.19 -5.68 -65.48 COFFEE 561.56 2.62 1470.94 1.00 1470.94 44925.28 30.54 -4.66 -14.22 COPPER 1042.12 1.29 1344.21 1.00 1344.21 44925.28 33.42 8.89 29.73 CORN 294.62 0.74 219.49 1.00 219.49 44925.28 204.68 4.74 96.99 COTTON2 409.55 2.20 902.00 1.00 902.00 44925.28 49.81 1.44 7.16 CRUDE_W 766.40 1.68 1289.37 1.00 1289.37 44925.28 34.84 3.09 10.76 DAX 151.68 0.94 142.77 1.08 153.61 44925.28 292.46 0.88 25.63 DOW 171.60 0.91 155.78 1.00 155.78 44925.28 288.39 -1.33 -38.47 EUR 1360.62 0.56 759.92 1.00 759.92 44925.28 59.12 0.40 2.39 EUROSTX 414.30 1.08 448.70 1.08 482.77 44925.28 93.06 6.31 58.69 FEEDCOW 942.12 0.64 607.05 1.00 607.05 44925.28 74.01 -17.01 -125.88 FTSE100 707.00 0.82 576.59 1.22 666.67 44925.28 67.39 -2.56 -17.27 GASOIL 887.50 2.44 2165.24 1.00 2165.24 44925.28 20.75 9.67 20.07 GASOILINE 1105.52 2.02 2234.68 1.00 2234.68 44925.28 20.10 -4.17 -8.39 GAS_US 336.50 6.66 2239.94 1.00 2239.94 44925.28 20.06 -10.47 -21.01 GBP 764.25 0.76 578.37 1.00 578.37 44925.28 77.68 4.53 35.19 GOLD_micro 189.79 0.83 157.05 1.00 157.05 44925.28 286.06 0.10 2.83 HEATOIL 1252.02 2.04 2555.87 1.00 2555.87 44925.28 17.58 10.16 17.87 JPY 973.25 0.99 964.97 1.00 964.97 44925.28 46.56 -1.05 -4.87 LEANHOG 349.10 1.56 545.21 1.00 545.21 44925.28 82.40 -9.89 -81.51 LIVECOW 644.00 0.51 329.71 1.00 329.71 44925.28 136.26 -15.22 -207.34 MXP 262.40 0.64 167.13 1.00 167.13 44925.28 268.80 9.57 257.31 NASDAQ 2300.50 1.37 3160.26 1.00 3160.26 44925.28 14.22 -4.58 -6.51 NIKKEI 26145.00 0.97 25394.39 0.01 191.68 44925.28 234.38 5.67 132.90 NZD 639.50 0.82 521.81 1.00 521.81 44925.28 86.09 4.03 34.72 OAT 1332.60 0.64 855.27 1.08 920.20 44925.28 48.82 9.62 46.98 OJ 311.55 1.24 386.84 1.00 386.84 44925.28 116.13 0.89 10.31 PALLAD 1790.00 2.45 4393.99 1.00 4393.99 44925.28 10.22 -2.29 -2.34 PLAT 539.25 1.85 997.83 1.00 997.83 44925.28 45.02 3.89 17.52 REDWHEAT 415.50 1.60 665.61 1.00 665.61 44925.28 67.49 -8.19 -55.30 ROBUSTA 188.00 1.47 276.62 1.00 276.62 44925.28 162.41 0.22 3.59 RUSSELL 94.02 1.28 119.90 1.00 119.90 44925.28 374.70 -3.00 -112.49 SILVER-mini 602.50 1.80 1083.62 1.00 1083.62 44925.28 41.46 6.26 25.94 SOYBEAN 699.00 0.73 512.12 1.00 512.12 44925.28 87.72 9.25 81.18 SOYMEAL 466.70 1.31 609.88 1.00 609.88 44925.28 73.66 9.47 69.78 SOYOIL 378.18 1.49 565.16 1.00 565.16 44925.28 79.49 2.26 17.97 SP400 2578.70 1.15 2963.96 1.00 2963.96 44925.28 15.16 -1.66 -2.52 SP500 1999.50 1.07 2137.50 1.00 2137.50 44925.28 21.02 -2.77 -5.83 SUGAR11 219.52 1.28 281.17 1.00 281.17 44925.28 159.78 8.43 134.77 US10 1151.88 0.45 516.32 1.00 516.32 44925.28 87.01 -6.23 -54.24 US10U 1220.47 0.58 712.00 1.00 712.00 44925.28 63.10 -0.38 -2.40 US20 1305.94 0.78 1017.94 1.00 1017.94 44925.28 44.13 -3.93 -17.32 US30 1430.00 1.16 1651.95 1.00 1651.95 44925.28 27.20 -2.95 -8.03 US5 1097.58 0.31 343.10 1.00 343.10 44925.28 130.94 -4.38 -57.36 VIX 224.50 2.31 519.61 1.00 519.61 44925.28 86.46 -20.00 -172.92 WHEAT 388.38 1.41 547.10 1.00 547.10 44925.28 82.12 -13.13 -107.85 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 23.108 0.006 2.5 0.369 BITCOIN 461.611 0.009 2.5 10.876 BOBL 73.025 0.029 2.5 5.269 BTP 42.151 0.008 2.5 0.851 BUND 47.415 0.029 2.5 3.421 BUXL -2.878 0.034 2.5 -0.242 CAC 28.107 0.011 2.5 0.790 CAD 26.737 0.007 2.5 0.477 CANOLA 110.066 0.004 2.5 1.010 CHF -48.251 0.015 2.5 -1.806 COCOA -65.484 0.009 2.5 -1.426 COFFEE -14.219 0.005 2.5 -0.184 COPPER 29.727 0.011 2.5 0.812 CORN 96.993 0.004 2.5 0.875 COTTON2 7.162 0.006 2.5 0.108 CRUDE_W 10.756 0.053 2.5 1.421 DAX 25.626 0.022 2.5 1.392 DOW -38.473 0.011 2.5 -1.096 EUR 2.386 0.015 2.5 0.089 EUROSTX 58.686 0.011 2.5 1.650 FEEDCOW -125.881 0.011 2.5 -3.383 FTSE100 -17.272 0.041 2.5 -1.781 GASOIL 20.074 0.029 2.5 1.432 GASOILINE -8.390 0.016 2.5 -0.344 GAS_US -21.009 0.006 2.5 -0.316 GBP 35.190 0.007 2.5 0.628 GOLD_micro 2.834 0.009 2.5 0.063 HEATOIL 17.867 0.029 2.5 1.274 JPY -4.874 0.026 2.5 -0.315 LEANHOG -81.511 0.019 2.5 -3.808 LIVECOW -207.340 0.011 2.5 -5.571 MXP 257.308 0.005 2.5 3.150 NASDAQ -6.514 0.022 2.5 -0.354 NIKKEI 132.903 0.076 2.5 25.243 NZD 34.716 0.006 2.5 0.555 OAT 46.980 0.008 2.5 0.949 OJ 10.312 0.007 2.5 0.180 PALLAD -2.339 0.010 2.5 -0.056 PLAT 17.525 0.010 2.5 0.422 REDWHEAT -55.304 0.002 2.5 -0.295 ROBUSTA 3.587 0.005 2.5 0.047 RUSSELL -112.487 0.021 2.5 -5.826 SILVER-mini 25.939 0.009 2.5 0.580 SOYBEAN 81.181 0.024 2.5 4.786 SOYMEAL 69.785 0.024 2.5 4.115 SOYOIL 17.971 0.004 2.5 0.165 SP400 -2.520 0.021 2.5 -0.131 SP500 -5.829 0.011 2.5 -0.166 SUGAR11 134.774 0.005 2.5 1.829 US10 -54.237 0.015 2.5 -2.081 US10U -2.403 0.058 2.5 -0.350 US20 -17.323 0.029 2.5 -1.277 US30 -8.035 0.034 2.5 -0.674 US5 -57.358 0.015 2.5 -2.200 VIX -172.918 0.075 2.5 -32.586 WHEAT -107.849 0.002 2.5 -0.576 ==================== Position diags ==================== AUD 1.18 BITCOIN 15.11 BOBL 7.99 BTP 0.91 BUND 3.64 BUXL 1.68 CAC 1.75 CAD 1.93 CANOLA 3.02 CHF 2.08 COCOA 2.51 COFFEE 0.40 COPPER 0.91 CORN 1.85 COTTON2 0.75 CRUDE_W 4.60 DAX 15.88 DOW 8.22 EUR 2.21 EUROSTX 2.62 FEEDCOW 1.99 FTSE100 6.95 GASOIL 1.48 GASOILINE 0.83 GAS_US 0.30 GBP 1.39 GOLD_micro 6.40 HEATOIL 1.25 JPY 3.01 LEANHOG 3.85 LIVECOW 3.66 MXP 3.29 NASDAQ 0.77 NIKKEI 44.52 NZD 1.38 OAT 0.99 OJ 2.03 PALLAD 0.25 PLAT 1.08 REDWHEAT 0.36 ROBUSTA 2.11 RUSSELL 19.41 SILVER-mini 0.93 SOYBEAN 5.17 SOYMEAL 4.34 SOYOIL 0.73 SP400 0.79 SP500 0.60 SUGAR11 2.17 US10 3.34 US10U 9.19 US20 3.25 US30 2.28 US5 5.02 VIX 16.29 WHEAT 0.44 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.5 0.0 0 BITCOIN 10.9 9.4 12.4 NaN 0 BOBL 5.3 4.5 6.1 4.0 4 BTP 0.9 0.8 0.9 1.0 1 BUND 3.4 3.1 3.8 2.0 2 BUXL -0.2 -0.4 -0.1 0.0 0 CAC 0.8 0.6 1.0 1.0 1 CAD 0.5 0.3 0.7 0.0 0 CANOLA 1.0 0.7 1.3 NaN 0 CHF -1.8 -2.0 -1.6 -2.0 -2 COCOA -1.4 -1.7 -1.2 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.8 0.7 0.9 1.0 1 CORN 0.9 0.7 1.1 3.0 3 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W 1.4 1.0 1.9 1.0 1 DAX 1.4 -0.2 3.0 0.0 0 DOW -1.1 -1.9 -0.3 0.0 0 EUR 0.1 -0.1 0.3 0.0 0 EUROSTX 1.6 1.4 1.9 1.0 1 FEEDCOW -3.4 -3.6 -3.2 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.4 1.3 1.6 0.0 0 GASOILINE -0.3 -0.4 -0.3 0.0 0 GAS_US -0.3 -0.3 -0.3 0.0 0 GBP 0.6 0.5 0.8 1.0 1 GOLD_micro 0.1 -0.6 0.7 -1.0 -1 HEATOIL 1.3 1.1 1.4 2.0 2 JPY -0.3 -0.6 -0.0 -2.0 -2 LEANHOG -3.8 -4.2 -3.4 -1.0 -1 LIVECOW -5.6 -5.9 -5.2 -5.0 -5 MXP 3.2 2.8 3.5 3.0 3 NASDAQ -0.4 -0.4 -0.3 0.0 0 NIKKEI 25.2 20.8 29.7 0.0 0 NZD 0.6 0.4 0.7 2.0 2 OAT 0.9 0.9 1.0 0.0 0 OJ 0.2 -0.0 0.4 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 0.0 -0.2 0.3 0.0 0 RUSSELL -5.8 -7.8 -3.9 -1.0 -1 SILVER-mini 0.6 0.5 0.7 1.0 1 SOYBEAN 4.8 4.3 5.3 2.0 2 SOYMEAL 4.1 3.7 4.5 5.0 5 SOYOIL 0.2 0.1 0.2 0.0 0 SP400 -0.1 -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 -2.1 -2.4 -1.7 NaN 0 US10U -0.4 -1.3 0.6 -2.0 -2 US20 -1.3 -1.6 -1.0 -3.0 -3 US30 -0.7 -0.9 -0.4 0.0 0 US5 -2.2 -2.7 -1.7 -3.0 -3 VIX -32.6 -34.2 -31.0 -26.0 -26 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 0.1 0.0 0.1 -0.1 0.1 0.1 -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 0.1 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 -0.1 0.1 -0.0 0.0 0.0 -0.0 -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 -0.1 -0.3 BOBL -0.0 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 -0.4 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 -0.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 0.1 0.0 -0.1 0.1 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 1.0 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 -0.1 -0.1 -0.1 BUXL -0.2 0.0 0.1 0.0 0.1 -0.1 0.1 -0.2 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 0.3 -0.0 0.1 0.1 -0.1 -0.2 0.0 -0.3 -0.0 0.6 -0.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.0 -0.3 -0.1 -0.0 CAC 0.1 0.1 0.3 0.0 0.1 0.0 0.2 -0.0 0.1 0.1 0.3 0.1 0.1 0.1 0.4 -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 0.1 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 -0.0 0.0 -0.1 0.0 0.2 0.1 0.2 -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 1.2 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.1 0.2 CHF -0.1 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 -0.1 0.0 0.0 COCOA 0.1 0.2 0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.2 0.0 -0.1 0.0 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 -1.9 -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 -0.0 -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 -0.3 0.1 -0.3 COPPER 0.1 0.3 0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.0 -0.1 0.0 -0.2 0.1 0.3 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.1 0.0 1.2 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.3 0.4 0.2 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 0.0 -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 0.1 -0.0 0.1 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 -0.8 -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 0.1 0.1 0.4 0.0 0.1 0.0 0.2 -0.0 0.1 0.0 0.3 0.1 -0.1 0.1 0.4 -0.3 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.0 0.0 -1.4 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.4 0.1 0.1 0.1 0.3 DOW -0.0 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 0.3 -0.5 -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 0.1 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 0.1 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 1.5 0.0 0.0 0.1 0.3 FEEDCOW 0.0 0.2 0.1 -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 0.2 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 -0.0 0.1 0.1 0.0 0.0 -0.2 -0.0 0.2 -0.0 -0.2 1.7 0.9 0.4 0.4 -0.1 -0.0 0.0 0.1 -0.0 -0.6 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 2.7 -0.0 -0.3 -0.2 -0.0 GASOILINE 0.2 -0.1 -0.2 -0.0 0.0 -0.0 0.1 0.1 0.0 0.0 -0.3 0.0 0.1 0.0 -0.1 -1.7 0.6 -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 -0.4 0.0 0.3 0.2 0.2 GAS_US -0.2 -0.3 -0.3 -0.0 0.1 -0.0 0.1 0.1 0.0 -0.0 -0.3 -0.1 -0.1 -0.1 -0.4 1.6 -0.1 0.3 0.1 -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 -2.6 -0.3 -0.4 -0.2 -0.3 GBP -0.1 0.2 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.1 0.0 -0.1 0.0 0.3 -0.2 -0.1 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.0 1.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.1 -0.0 -0.3 -0.0 -0.1 GOLD_micro 0.1 0.3 0.3 0.1 0.1 0.1 0.1 0.0 0.1 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 0.1 -0.0 0.1 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 1.2 -0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -2.0 -0.1 0.3 0.2 0.1 LEANHOG -0.1 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.0 0.1 -1.6 0.4 -0.4 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -1.6 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.7 -0.1 -0.1 -0.1 0.0 LIVECOW 0.0 0.1 0.2 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.3 0.0 0.0 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 0.2 -0.0 0.2 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.3 0.0 0.4 0.1 0.3 1.5 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 -0.0 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 0.1 -0.0 0.0 -0.1 0.0 -0.4 -0.3 -0.4 -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 0.2 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 2.6 -0.2 -0.4 -0.3 -0.2 NZD -0.1 0.3 0.3 0.1 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 0.2 0.1 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 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 1.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 2.7 0.0 -0.1 -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 1.3 0.0 0.5 0.2 0.3 PALLAD 0.0 -0.1 -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 -0.1 -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 0.1 -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 0.2 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 0.3 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 -1.7 -0.0 -0.0 -0.2 0.0 ROBUSTA 0.1 0.2 -0.3 -0.1 -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 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 0.1 -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 0.1 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 -0.1 0.2 0.3 SOYBEAN -0.0 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 0.0 0.2 1.6 0.8 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 0.1 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 0.4 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 0.1 0.0 -0.1 0.0 0.2 -0.2 -0.1 -0.0 -0.0 0.1 0.0 0.0 -0.0 0.0 -1.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.1 -0.1 0.0 SP500 -0.0 -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 -0.0 -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 -0.0 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 -0.8 -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 -0.0 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 -0.2 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 0.1 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 -0.2 0.0 -1.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 0.0 US30 -0.1 0.3 0.3 0.0 0.1 -0.1 0.2 -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 -0.1 0.2 0.1 US5 -0.0 0.3 0.2 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 0.1 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 -0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 -0.7 -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 7.2 14.4 12.4 3.9 5.2 0.8 5.2 -3.0 4.7 12.8 -0.6 13.0 -6.7 13.1 12.1 -3.0 -2.2 -2.9 -2.6 9.5 1.3 14.6 -6.4 12.9 5.4 -0.0 4.5 5.7 0.2 6.6 -3.3 6.6 -0.5 11.8 5.5 -1.0 -7.4 BITCOIN 7.2 1.8 8.3 3.8 6.4 2.7 4.8 1.2 3.7 14.1 -14.2 10.5 -15.9 8.8 -5.8 2.4 -0.3 1.7 0.9 -3.3 -15.2 12.2 -20.0 4.9 20.0 -0.0 -2.1 11.7 -6.7 7.2 -8.0 3.1 3.0 6.6 3.2 -8.8 -20.0 BOBL -4.8 0.7 -3.3 0.1 8.4 -3.4 6.6 -7.0 3.1 13.4 -13.4 6.3 -13.8 -5.0 -8.5 -4.3 12.7 5.3 11.1 -13.6 -20.0 9.7 -20.0 -4.1 14.1 -0.0 -3.4 6.8 -6.7 4.3 -10.7 -0.0 20.0 -4.4 -8.0 -14.6 -6.9 BTP -5.2 1.6 13.3 0.1 8.4 -3.4 6.6 -7.0 3.1 14.0 -4.0 8.7 -11.1 -1.8 1.4 10.7 14.4 13.8 15.5 -1.4 -6.7 18.5 -16.6 4.5 -0.5 -0.0 0.6 9.8 -2.5 7.2 -7.5 2.9 20.0 5.5 0.8 -3.7 10.3 BUND -6.0 2.1 1.7 0.1 8.4 -3.4 6.6 -7.0 3.1 13.4 -11.7 6.6 -13.1 -3.6 -6.3 12.5 15.8 13.4 14.6 -10.9 -17.2 12.1 -20.0 -2.4 10.2 -0.0 -2.2 8.2 -5.6 5.5 -9.5 1.1 20.0 2.4 -5.8 -10.0 -5.1 BUXL -17.8 3.1 3.9 0.1 8.4 -3.4 6.6 -7.0 3.1 13.5 -8.4 2.2 -11.9 -5.4 -4.2 3.6 -0.5 4.4 3.0 -10.0 -13.6 7.5 -20.0 -6.1 5.0 -0.0 -1.7 6.3 -3.7 3.6 -6.8 -0.0 0.7 -4.0 -16.9 -4.8 -1.8 CAC 7.1 3.2 19.8 2.2 10.5 0.2 9.0 -1.3 5.0 13.9 12.7 14.4 2.1 12.5 14.3 -3.0 2.8 -1.2 0.5 16.7 13.0 20.0 7.2 20.0 -13.6 -0.0 4.5 8.6 3.5 7.8 1.8 5.5 6.9 3.2 3.3 4.9 17.8 CAD 12.0 3.7 0.1 3.9 5.2 0.8 5.2 -3.0 4.7 12.5 -8.9 12.5 -10.6 3.7 0.5 -1.7 -1.1 -1.8 -1.5 -0.0 -7.4 11.7 -10.9 7.1 12.7 -0.0 1.1 6.0 -4.0 7.5 -6.5 5.8 1.3 12.6 7.6 -18.3 -18.9 CANOLA 1.1 7.0 0.3 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -8.0 -8.8 -6.8 -4.6 3.8 4.1 1.1 11.6 5.5 7.2 -0.7 -4.3 -11.6 -0.6 -3.7 5.5 -0.0 -1.9 -7.4 -1.3 -6.6 1.6 -3.8 -0.4 -20.0 -9.9 -6.8 15.4 CHF -7.6 15.1 17.6 3.9 5.2 0.8 5.2 -3.0 4.7 -3.1 10.8 -0.9 -1.4 9.6 13.7 -13.4 -12.2 -13.0 -12.8 12.1 8.6 -0.1 -0.3 6.2 -9.5 -0.0 5.0 -1.0 2.5 1.6 -1.8 4.0 -17.9 -13.3 -6.3 1.7 2.6 COCOA 5.4 11.6 16.7 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 2.1 8.7 8.7 -4.9 10.7 13.6 -1.8 -2.9 -1.0 -1.4 12.6 7.8 8.1 0.2 11.6 -12.3 -0.0 5.9 2.4 3.4 4.5 0.4 6.2 -20.0 20.0 20.0 20.0 20.0 COFFEE 0.2 4.1 -20.0 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -9.4 -13.5 -12.5 -10.1 -8.7 -13.9 -0.5 3.5 1.7 3.7 -17.6 -20.0 -20.0 -13.4 -17.0 10.8 -0.0 -5.0 -6.5 -6.3 -6.2 -4.1 -4.3 -9.5 -20.0 -14.6 4.1 -20.0 COPPER 10.1 18.4 20.0 3.8 6.4 2.7 4.8 1.2 3.7 13.7 -2.2 13.5 -7.0 12.7 12.7 -0.4 -0.1 -0.4 -0.2 17.3 6.8 20.0 -4.5 20.0 9.9 -0.0 5.4 9.8 2.5 9.1 -0.1 7.2 2.2 20.0 20.0 11.9 7.0 CORN 2.7 -15.1 -4.5 -3.8 -5.1 -4.3 -4.5 -1.4 -3.5 -14.1 0.6 -14.1 3.9 -12.7 -11.1 20.0 16.7 20.0 18.7 -8.7 -2.3 -15.1 10.5 -11.9 -9.3 -0.0 -5.1 -4.1 -2.3 -5.5 3.0 -5.6 13.4 -20.0 -5.8 -11.0 -4.8 COTTON2 3.9 8.6 -15.4 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -2.6 -9.9 -2.7 -3.8 0.8 -3.1 0.6 14.1 3.3 8.7 -3.4 -10.1 -1.1 -5.2 0.7 0.2 -0.0 1.1 -4.4 -1.7 0.2 2.0 2.5 4.6 7.7 11.8 14.0 -7.7 CRUDE_W 5.2 -2.5 -1.0 -1.7 6.4 -1.8 2.9 3.6 0.6 6.7 -6.1 2.6 1.9 -0.6 4.9 7.1 12.4 7.5 9.6 -1.5 -2.2 5.4 3.8 0.6 -6.3 -0.0 1.4 11.2 0.8 7.3 6.1 4.1 0.0 8.5 4.3 7.3 10.3 DAX 6.1 5.1 20.0 2.2 10.5 0.2 9.0 -1.3 5.0 13.9 11.3 14.3 -2.2 12.2 14.0 -8.1 -3.2 -6.5 -4.9 17.4 12.3 20.0 1.9 20.0 -9.5 -0.0 4.4 9.3 3.3 8.0 0.3 5.3 -2.7 10.3 4.6 4.6 20.0 DOW -3.4 1.4 18.5 2.2 10.5 0.2 9.0 -1.3 5.0 13.9 8.7 8.8 0.2 -1.1 10.2 -5.9 -2.8 -5.4 -4.6 7.5 7.2 12.3 2.0 6.1 -6.7 -0.0 2.8 7.7 2.5 5.1 0.8 2.7 -2.3 -20.0 -12.2 -6.4 9.9 EUR -1.6 20.0 20.0 3.9 5.2 0.8 5.2 -3.0 4.7 13.8 6.8 12.4 -7.0 14.4 15.5 -7.9 -8.4 -7.9 -8.2 19.3 10.3 16.0 -7.1 16.3 0.4 -0.0 5.9 6.2 2.2 6.0 -3.1 6.4 -10.8 15.7 10.4 11.7 14.7 EUROSTX 3.9 2.3 20.0 2.2 10.5 0.2 9.0 -1.3 5.0 13.9 12.4 14.3 0.7 12.8 14.2 9.0 4.2 6.0 4.3 16.7 13.2 20.0 5.5 19.6 -16.1 -0.0 4.5 8.0 3.9 7.2 1.5 4.9 10.8 3.4 0.3 6.1 20.0 FEEDCOW 3.3 11.6 3.7 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -10.5 2.8 0.7 0.0 9.6 9.4 -20.0 -20.0 -20.0 -20.0 6.5 2.9 -1.6 -0.1 5.0 -20.0 -0.0 5.0 -3.9 2.3 1.3 0.4 5.1 -20.0 8.7 15.1 20.0 10.4 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL 6.0 -13.7 -9.6 -1.7 6.4 -1.8 2.9 3.6 0.6 10.9 -6.6 -0.7 8.8 -1.1 -7.2 20.0 20.0 20.0 20.0 -6.1 -2.5 4.5 9.9 -2.3 -5.5 -0.0 -4.6 5.5 -2.4 0.8 3.4 -3.1 20.0 -2.9 -16.6 -17.3 -2.3 GASOILINE 17.7 -3.4 -10.3 -1.7 6.4 -1.8 2.9 3.6 0.6 7.3 -10.8 6.4 2.6 4.5 -2.1 -20.0 14.2 -20.0 0.4 -0.9 -3.6 12.0 4.8 5.8 -7.6 -0.0 3.4 8.8 1.5 8.0 4.9 6.8 -3.2 20.0 20.0 15.3 15.5 GAS_US -20.0 -20.0 -20.0 -1.7 6.4 -1.8 2.9 3.6 0.6 -10.8 -13.7 -15.1 -4.8 -15.9 -15.7 20.0 -2.2 12.0 2.6 -20.0 -20.0 -20.0 -7.4 -20.0 -5.1 -0.0 -5.5 -1.8 -2.7 -4.2 1.7 -6.1 -19.7 -19.1 -20.0 -11.5 -20.0 GBP -8.8 13.4 17.0 3.9 5.2 0.8 5.2 -3.0 4.7 12.6 5.3 6.0 -5.3 2.4 11.3 -2.1 -1.6 -2.0 -1.9 8.8 3.8 6.0 -7.7 5.2 13.2 -0.0 3.0 4.4 -1.8 3.7 -8.2 3.4 0.5 -2.9 -13.3 -2.9 -4.1 GOLD_micro 11.7 20.0 17.9 3.8 6.4 2.7 4.8 1.2 3.7 13.9 3.9 15.3 -6.6 15.9 15.4 -11.4 -8.8 -10.9 -10.3 19.6 8.9 20.0 -1.7 20.0 6.9 -0.0 5.3 5.7 2.5 5.3 -0.2 5.6 -13.8 10.2 12.1 8.3 2.4 HEATOIL 4.8 -12.0 -9.4 -1.7 6.4 -1.8 2.9 3.6 0.6 1.5 -6.3 -3.2 8.1 0.7 -3.9 20.0 20.0 20.0 20.0 -5.5 -1.9 2.5 10.9 -2.8 -15.0 -0.0 -1.0 8.2 0.8 4.9 9.8 1.7 20.0 6.3 0.3 -2.2 5.1 JPY 6.1 20.0 20.0 3.9 5.2 0.8 5.2 -3.0 4.7 8.2 1.7 10.9 -10.0 12.9 13.3 -10.9 -10.5 -11.5 -11.6 14.3 4.0 9.9 -10.3 13.5 9.0 -0.0 5.1 4.0 0.9 3.3 -5.0 4.9 -15.5 -4.5 14.3 14.8 8.6 LEANHOG -7.1 -7.2 3.2 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -14.0 2.5 -13.0 -0.9 -9.6 4.1 -20.0 10.1 -20.0 -3.9 -5.6 -1.1 -20.0 2.5 -13.6 -10.4 -0.0 -3.2 -10.0 -1.4 -8.4 0.6 -5.9 -5.2 -20.0 -4.4 -6.7 3.2 LIVECOW 5.2 5.8 12.3 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -4.9 12.0 4.1 1.7 9.6 12.4 -20.0 -20.0 -20.0 -20.0 9.2 8.3 1.2 3.6 6.1 -20.0 -0.0 5.8 -0.7 5.0 2.3 3.5 5.0 -20.0 6.3 17.2 20.0 19.2 MXP 17.5 -2.7 9.1 3.9 5.2 0.8 5.2 -3.0 4.7 14.1 14.5 15.8 15.0 14.1 13.8 19.6 20.0 19.3 19.7 17.7 16.7 20.0 16.2 20.0 -20.0 -0.0 6.1 7.6 5.3 7.4 4.4 6.9 20.0 5.9 19.6 -3.4 15.2 NASDAQ -6.5 -3.8 -2.1 2.2 10.5 0.2 9.0 -1.3 5.0 14.0 -11.7 6.3 -13.2 -6.0 -8.3 -5.3 -3.6 -5.0 -4.5 -9.1 -12.9 9.8 -15.7 -3.0 8.3 -0.0 -1.2 9.2 -3.7 6.2 -4.9 1.8 -3.0 -16.4 -15.8 -9.4 -13.8 NIKKEI -15.6 -20.0 -2.7 2.2 10.5 0.2 9.0 -1.3 5.0 5.9 -4.1 -7.1 -1.0 -11.7 -10.0 20.0 11.0 14.7 12.6 -12.9 -6.8 -0.6 -2.0 -10.9 1.3 -0.0 -4.6 1.2 -3.4 0.1 -2.0 -3.4 20.0 -20.0 -20.0 -20.0 -15.8 NZD -7.9 19.0 20.0 3.9 5.2 0.8 5.2 -3.0 4.7 13.1 6.6 8.2 -5.3 7.0 11.9 0.4 0.5 -0.1 -0.1 12.9 7.2 6.9 -4.6 8.4 -0.6 -0.0 5.0 3.0 2.0 3.6 -2.0 4.5 3.8 -0.6 -4.3 7.3 6.0 OAT -8.0 0.7 7.5 0.1 8.4 -3.4 6.6 -7.0 3.1 13.5 -9.6 7.0 -12.4 -3.5 -5.0 12.8 12.8 13.3 13.6 -8.1 -13.0 13.4 -19.9 -1.0 9.3 -0.0 -1.6 8.1 -4.7 5.4 -9.2 1.2 20.0 3.4 -6.9 -8.3 -1.9 OJ 2.1 3.9 20.0 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 14.0 14.2 11.0 14.5 11.6 13.4 16.5 13.0 16.1 15.9 16.6 20.0 8.1 20.0 9.7 -20.0 -0.0 6.4 2.6 9.7 4.1 12.0 4.8 9.0 20.0 18.5 15.4 20.0 PALLAD 3.3 -7.1 -13.5 3.8 6.4 2.7 4.8 1.2 3.7 7.2 -12.0 3.0 -9.5 -7.3 -11.9 -1.7 -1.3 -1.6 -1.5 -11.8 -12.3 -0.2 -9.8 -6.1 7.4 -0.0 -4.1 1.6 -4.0 1.2 -2.8 -1.5 0.0 -6.6 -13.8 -20.0 -20.0 PLAT 7.3 6.4 20.0 3.8 6.4 2.7 4.8 1.2 3.7 -4.0 12.2 10.7 1.7 11.8 14.1 -1.4 -0.5 -0.8 -0.6 14.8 11.9 7.7 4.8 13.2 -5.4 -0.0 6.0 -0.5 4.7 2.4 1.4 4.8 1.6 -10.7 9.5 7.3 14.0 REDWHEAT 1.3 -15.2 -12.3 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -7.6 -13.6 -10.2 -7.4 -12.1 -12.6 4.2 1.0 4.2 3.0 -15.1 -13.6 -11.7 -5.2 -13.9 -2.6 -0.0 -4.7 -0.1 -3.1 -2.7 1.6 -3.9 -12.9 -3.8 -2.3 -11.9 0.1 ROBUSTA 7.1 15.2 -20.0 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 7.6 -11.2 3.5 -6.8 6.4 -10.1 15.2 9.0 13.0 10.8 -6.9 -11.1 1.0 -6.3 -1.7 -0.8 -0.0 -4.8 2.4 -4.9 -2.1 -2.5 -3.9 0.4 -4.5 -19.6 9.4 -20.0 RUSSELL 3.0 -3.8 4.7 2.2 10.5 0.2 9.0 -1.3 5.0 14.0 -5.2 10.8 -10.9 -0.9 0.7 -5.0 -2.8 -4.6 -3.9 -1.4 -4.2 17.6 -7.8 5.2 -3.5 -0.0 1.3 13.1 -0.6 9.8 -1.9 5.0 -1.8 -5.9 -1.6 -9.4 -4.6 SILVER-mini -3.4 19.1 20.0 3.8 6.4 2.7 4.8 1.2 3.7 2.4 9.7 -0.2 -2.2 10.7 13.8 -4.5 -3.6 -4.3 -4.1 15.9 12.5 0.8 1.8 8.2 5.0 -0.0 5.0 0.4 3.7 -0.1 -0.4 2.2 -4.1 -20.0 -4.6 11.2 17.7 SOYBEAN -0.1 3.5 4.3 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -4.0 1.3 -5.1 5.0 2.2 9.0 20.0 20.0 20.0 20.0 4.6 5.0 -0.7 7.9 1.6 -20.0 -0.0 5.8 3.6 6.2 3.9 9.7 5.4 20.0 9.9 11.4 16.6 17.1 SOYMEAL 3.0 20.0 10.8 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 11.4 10.6 11.2 11.2 13.4 12.8 20.0 15.0 15.5 15.3 20.0 17.0 12.5 12.0 17.5 -20.0 -0.0 6.0 3.1 5.1 3.3 4.3 5.1 9.9 20.0 18.9 20.0 20.0 SOYOIL 0.3 -20.0 -0.3 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -3.1 -1.2 -8.1 4.6 -6.6 -6.3 6.2 19.7 12.7 16.7 -7.1 -1.6 -4.8 6.6 -7.8 -14.7 -0.0 -2.4 0.5 0.6 -1.3 4.4 -3.0 15.4 -3.4 -0.3 -20.0 12.0 SP400 3.1 0.2 9.6 2.2 10.5 0.2 9.0 -1.3 5.0 14.0 2.4 12.3 -5.2 1.2 6.6 -4.5 -2.2 -3.2 -2.6 4.4 2.0 18.1 -1.8 8.5 -7.1 -0.0 2.8 10.9 1.5 8.7 0.5 5.1 0.0 -8.4 -2.7 -5.6 1.5 SP500 -2.4 -0.0 4.8 2.2 10.5 0.2 9.0 -1.3 5.0 14.0 -4.1 7.6 -8.6 -3.6 1.7 -5.6 -3.7 -5.2 -4.6 -1.0 -4.0 12.0 -7.2 2.6 2.9 -0.0 0.9 8.5 -1.2 6.2 -3.1 2.9 -3.1 -16.9 -11.8 -6.4 -5.0 SUGAR11 -16.1 2.4 13.6 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 1.5 7.0 -7.5 4.4 -6.4 6.4 20.0 20.0 20.0 20.0 5.5 9.0 -6.5 6.5 -4.3 -20.0 -0.0 5.6 1.8 5.3 1.2 3.6 3.2 20.0 -3.6 14.8 20.0 20.0 US10 -2.2 20.0 7.3 0.1 8.4 -3.4 6.6 -7.0 3.1 13.6 -6.8 9.3 -12.0 6.9 6.2 -8.9 -1.1 -7.6 -5.4 2.6 -8.3 15.1 -20.0 8.2 -5.7 -0.0 1.8 8.6 -2.8 5.7 -8.5 3.6 -6.4 -11.7 0.3 5.2 2.7 US10U -3.3 19.8 6.2 0.1 8.4 -3.4 6.6 -7.0 3.1 12.7 -6.6 8.3 -11.9 4.6 5.1 1.1 4.7 0.9 1.9 2.3 -8.3 14.3 -19.8 7.5 -8.2 -0.0 2.5 7.6 -2.0 5.9 -6.9 4.4 4.8 -5.2 3.7 8.9 3.8 US20 -6.5 20.0 7.4 0.1 8.4 -3.4 6.6 -7.0 3.1 12.9 -5.0 5.3 -11.1 4.2 6.1 -6.0 1.0 -2.9 -1.0 2.7 -7.9 11.8 -19.4 6.6 -7.5 -0.0 1.3 5.8 -2.3 3.1 -6.5 2.0 -0.7 -19.7 -8.3 10.1 0.7 US30 -7.7 20.0 14.8 0.1 8.4 -3.4 6.6 -7.0 3.1 12.8 -4.9 4.8 -12.5 1.9 4.5 -1.3 0.2 -0.9 -0.7 1.7 -8.5 12.1 -20.0 5.6 -8.5 -0.0 2.2 6.6 -1.6 4.3 -6.1 3.2 -1.3 -9.0 -4.1 14.5 4.0 US5 -2.2 20.0 8.9 0.1 8.4 -3.4 6.6 -7.0 3.1 13.6 -6.8 9.0 -12.3 7.1 6.3 -6.7 0.2 -5.9 -4.3 2.6 -8.8 15.1 -20.0 8.1 -3.5 -0.0 2.1 9.4 -3.0 6.2 -9.6 4.1 -4.5 -10.4 3.3 5.5 2.8 VIX -9.7 -16.3 -15.9 -4.8 -6.6 -4.1 -5.6 -2.8 -4.7 -14.1 -14.9 -15.6 -12.5 -16.0 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -18.1 -20.0 -12.7 -20.0 NaN -0.0 -6.2 -5.7 -5.2 -5.0 -3.5 -5.4 NaN NaN NaN NaN NaN WHEAT 6.8 -15.1 -16.2 -3.7 -0.7 -4.3 -2.9 -1.4 -3.1 -9.6 -14.7 -11.3 -10.7 -12.2 -12.6 -8.2 -5.0 -6.8 -5.8 -16.9 -18.1 -9.8 -10.2 -12.6 0.0 -0.0 -4.2 -0.5 -3.8 -1.4 0.2 -2.3 -20.0 -3.2 5.4 -10.2 -3.2 End of report for caleb_strategy_v1