******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230113_204310 produced at 2023-01-13 21:35:36.758396 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.21 -0.24 0.0 7517192.25 -7517192.25 -0.21 -0.21 -32.57 999999999 -28 -28 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.13 0.0 22268169.97 -22268169.97 -0.11 -0.11 -5.73 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 32293685.10 -32293685.10 -0.13 -0.13 -3.42 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.09 0.0 46893886.95 -46893886.95 -0.09 -0.09 -1.87 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.11 -0.08 0.0 37820873.52 -37820873.52 -0.11 -0.11 -2.11 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 39670470.03 -39670470.03 0.00 0.00 -2.00 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.06 0.0 44919543.93 -44919543.93 -0.04 -0.04 -1.27 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.02 -0.05 0.0 12093175.03 -12093175.03 -0.02 -0.02 -4.31 999999999 -2 -2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.79 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.03 0.0 49110162.60 -49110162.60 0.00 0.00 -0.68 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 79988109.83 -79988109.83 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.02 0.0 3270756.27 -3270756.27 0.00 0.00 -5.27 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13384058.39 -13384058.39 -0.03 -0.03 -0.60 999999999 -2 -2 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9176158.82 -9176158.82 0.00 0.00 -1.46 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.01 0.0 41970990.07 -41970990.07 -0.08 -0.08 -0.19 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.01 0.0 55074376.51 -55074376.51 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 39105989.38 -39105989.38 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.01 0.0 34045536.52 -34045536.52 -0.10 -0.10 -0.25 999999999 -3 -3 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 89521983.31 -89521983.31 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5938409.07 -5938409.07 0.00 0.00 -0.95 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69313696.83 -69313696.83 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 0.00 0.0 6645543.57 -6645543.57 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 19518778.50 -19518778.50 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 61831066.38 -61831066.38 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14241191.11 -14241191.11 0.00 0.00 0.09 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10736624.24 -10736624.24 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 0.00 0.0 6632410.08 -6632410.08 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4337378.08 -4337378.08 0.00 0.00 0.96 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14533238.35 -14533238.35 -0.01 -0.01 -0.29 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13074730.25 -13074730.25 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 11135813.07 -11135813.07 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22074623.87 -22074623.87 0.04 0.04 0.57 999999999 2 2 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46969490.90 -46969490.90 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 24175981.52 -24175981.52 0.00 0.00 0.41 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10342619.68 -10342619.68 0.03 0.03 0.91 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 5682983.95 -5682983.95 0.00 0.00 2.00 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.01 0.0 25824579.54 -25824579.54 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21201506.31 -21201506.31 0.02 0.02 0.59 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7633458.16 -7633458.16 0.02 0.02 1.87 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 672399.89 -672399.89 0.00 0.00 11.76 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18594250.26 -18594250.26 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26461380.77 -26461380.77 0.05 0.05 0.68 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.05 0.02 0.0 26391832.87 -26391832.87 0.05 0.05 0.90 999999999 2 2 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36445421.75 -36445421.75 0.07 0.07 0.88 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9115675.66 -9115675.66 0.03 0.03 3.31 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.03 0.0 15600788.45 -15600788.45 0.02 0.02 1.79 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 43149205.69 -43149205.69 0.04 0.04 0.90 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 31408038.89 -31408038.89 0.00 0.00 1.57 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.05 0.0 26906363.99 -26906363.99 0.05 0.05 1.67 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 49662010.85 -49662010.85 0.00 0.00 1.00 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.09 0.06 0.0 44111091.50 -44111091.50 0.09 0.09 1.38 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15974465.56 -15974465.56 0.08 0.08 4.29 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.12 0.0 24072296.11 -24072296.11 0.05 0.05 4.94 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 24.73 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.16 0.19 0.0 51671997.27 -51671997.27 0.16 0.16 3.63 999999999 3 3 caleb_strategy_v1 BOBL False False 0.04 0.18 0.24 0.0 44069981.59 -44069981.59 0.18 0.18 5.51 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 13.4 Shocked risk 38.0 Sum abs risk 39.0 Leverage 2.36 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2893367.53, 'annual_cash_vol_target': 723341.8825, 'daily_cash_vol_target': 45208.86765625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0060 0.6995 0.8532 13.6515 BITCOIN 709.0747 19455.0000 3.6447 58.3151 BOBL 0.3662 117.7400 0.3110 4.9763 BTP 0.9083 115.2800 0.7879 12.6066 BUND 0.8014 138.0500 0.5805 9.2884 BUXL 2.0357 147.1400 1.3835 22.1357 CAC 65.3439 7051.0000 0.9267 14.8277 CAD 0.0041 0.7472 0.5491 8.7850 CANOLA 8.9283 840.0000 1.0629 17.0062 CHF 0.0063 1.0854 0.5816 9.3052 COCOA 38.1249 2655.0000 1.4360 22.9755 COFFEE 0.0382 1.5060 2.5368 40.5888 COPPER 0.0525 4.2180 1.2445 19.9120 CORN 4.5777 598.5000 0.7649 12.2379 COTTON2 0.0175 0.8241 2.1274 34.0379 CRUDE_W 1.2798 77.8500 1.6439 26.3028 DAX 138.7598 15183.0000 0.9139 14.6226 DOW 303.2239 34364.0000 0.8824 14.1182 EUR 0.0060 1.0872 0.5554 8.8867 EUROSTX 43.9197 4168.0000 1.0537 16.8598 FEEDCOW 1.2345 186.8750 0.6606 10.5692 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 21.4641 908.7500 2.3619 37.7909 GASOILINE 0.0529 2.6940 1.9632 31.4112 GAS_US 0.2181 3.2220 6.7682 108.2920 GBP 0.0091 1.2250 0.7399 11.8380 GOLD_micro 15.8351 1922.8000 0.8235 13.1767 HEATOIL 0.0600 3.0388 1.9734 31.5752 JPY 0.0001 0.0079 0.9754 15.6072 LEANHOG 1.3393 87.4750 1.5310 24.4962 LIVECOW 0.8095 161.0750 0.5026 8.0413 MXP 0.0003 0.0528 0.6254 10.0063 NASDAQ 153.8960 11571.7500 1.3299 21.2789 NIKKEI 259.8222 25770.0000 1.0082 16.1318 NZD 0.0051 0.6387 0.8037 12.8592 OAT 0.8337 132.6800 0.6283 10.0534 OJ 0.0253 2.0710 1.2193 19.5082 PALLAD 42.8573 1789.0000 2.3956 38.3296 PLAT 19.4774 1076.0000 1.8102 28.9626 REDWHEAT 13.1750 841.0000 1.5666 25.0654 ROBUSTA 28.2226 1919.0000 1.4707 23.5311 RUSSELL 23.5563 1892.7000 1.2446 19.9134 SILVER-mini 0.4300 24.5375 1.7524 28.0376 SOYBEAN 9.9924 1393.0000 0.7173 11.4773 SOYMEAL 6.0365 462.2000 1.3060 20.8966 SOYOIL 0.9185 63.0500 1.4567 23.3072 SP400 28.9274 2590.2000 1.1168 17.8688 SP500 41.6109 4011.0000 1.0374 16.5987 SUGAR11 0.0025 0.1972 1.2502 20.0028 US10 0.5193 114.7812 0.4524 7.2391 US10U 0.7163 121.4375 0.5898 9.4374 US20 1.0032 129.9688 0.7719 12.3496 US30 1.6412 142.0938 1.1550 18.4804 US5 0.3467 109.4297 0.3168 5.0687 VIX 0.5231 21.7500 2.4052 38.4827 WHEAT 10.6663 774.5000 1.3772 22.0349 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 699.50 0.85 596.83 1.00 596.83 45208.87 75.75 3.40 25.74 BITCOIN 19.46 3.64 70.91 1.00 70.91 45208.87 637.58 7.83 499.21 BOBL 1177.40 0.31 366.20 1.08 397.05 45208.87 113.86 6.71 76.36 BTP 1152.80 0.79 908.31 1.08 984.83 45208.87 45.91 9.72 44.61 BUND 1380.50 0.58 801.41 1.08 868.93 45208.87 52.03 9.68 50.34 BUXL 1471.40 1.38 2035.66 1.08 2207.16 45208.87 20.48 -1.32 -2.70 CAC 705.10 0.93 653.44 1.08 708.49 45208.87 63.81 5.01 31.96 CAD 747.20 0.55 410.26 1.00 410.26 45208.87 110.20 2.62 28.83 CANOLA 168.00 1.06 178.57 0.75 133.62 45208.87 338.34 3.10 104.90 CHF 1356.81 0.58 789.09 1.00 789.09 45208.87 57.29 -8.72 -49.98 COCOA 265.50 1.44 381.25 1.00 381.25 45208.87 118.58 -5.64 -66.94 COFFEE 564.75 2.54 1432.66 1.00 1432.66 45208.87 31.56 -4.68 -14.76 COPPER 1054.50 1.24 1312.32 1.00 1312.32 45208.87 34.45 9.32 32.09 CORN 299.25 0.76 228.89 1.00 228.89 45208.87 197.52 5.13 101.35 COTTON2 412.05 2.13 876.58 1.00 876.58 45208.87 51.57 1.15 5.91 CRUDE_W 778.50 1.64 1279.80 1.00 1279.80 45208.87 35.33 3.59 12.66 DAX 151.83 0.91 138.76 1.08 150.45 45208.87 300.49 1.23 36.86 DOW 171.82 0.88 151.61 1.00 151.61 45208.87 298.19 -1.11 -33.21 EUR 1359.00 0.56 754.82 1.00 754.82 45208.87 59.89 0.50 2.97 EUROSTX 416.80 1.05 439.20 1.08 476.20 45208.87 94.94 6.69 63.54 FEEDCOW 934.38 0.66 617.23 1.00 617.23 45208.87 73.25 -17.39 -127.39 FTSE100 707.00 0.82 576.59 1.22 666.67 45208.87 67.81 -2.56 -17.38 GASOIL 908.75 2.36 2146.41 1.00 2146.41 45208.87 21.06 10.48 22.08 GASOILINE 1131.48 1.96 2221.32 1.00 2221.32 45208.87 20.35 -4.28 -8.71 GAS_US 322.20 6.77 2180.73 1.00 2180.73 45208.87 20.73 -10.18 -21.09 GBP 765.62 0.74 566.47 1.00 566.47 45208.87 79.81 4.75 37.93 GOLD_micro 192.28 0.82 158.35 1.00 158.35 45208.87 285.50 0.45 12.91 HEATOIL 1276.30 1.97 2518.71 1.00 2518.71 45208.87 17.95 10.75 19.30 JPY 985.06 0.98 960.88 1.00 960.88 45208.87 47.05 -0.82 -3.87 LEANHOG 349.90 1.53 535.70 1.00 535.70 45208.87 84.39 -10.94 -92.32 LIVECOW 644.30 0.50 323.81 1.00 323.81 45208.87 139.61 -15.28 -213.30 MXP 263.75 0.63 164.95 1.00 164.95 45208.87 274.08 9.86 270.17 NASDAQ 2314.35 1.33 3077.92 1.00 3077.92 45208.87 14.69 -4.61 -6.77 NIKKEI 25770.00 1.01 25982.22 0.01 200.78 45208.87 225.16 5.78 130.22 NZD 638.70 0.80 513.32 1.00 513.32 45208.87 88.07 4.08 35.96 OAT 1326.80 0.63 833.68 1.08 903.91 45208.87 50.01 9.86 49.33 OJ 310.65 1.22 378.76 1.00 378.76 45208.87 119.36 0.79 9.47 PALLAD 1789.00 2.40 4285.73 1.00 4285.73 45208.87 10.55 -2.08 -2.20 PLAT 538.00 1.81 973.87 1.00 973.87 45208.87 46.42 3.84 17.85 REDWHEAT 420.50 1.57 658.75 1.00 658.75 45208.87 68.63 -8.01 -54.94 ROBUSTA 191.90 1.47 282.23 1.00 282.23 45208.87 160.19 0.87 13.89 RUSSELL 94.64 1.24 117.78 1.00 117.78 45208.87 383.84 -2.65 -101.80 SILVER-mini 613.44 1.75 1074.96 1.00 1074.96 45208.87 42.06 6.29 26.43 SOYBEAN 696.50 0.72 499.62 1.00 499.62 45208.87 90.49 9.26 83.75 SOYMEAL 462.20 1.31 603.65 1.00 603.65 45208.87 74.89 9.71 72.73 SOYOIL 378.30 1.46 551.07 1.00 551.07 45208.87 82.04 2.37 19.46 SP400 2590.20 1.12 2892.74 1.00 2892.74 45208.87 15.63 -1.30 -2.02 SP500 2005.50 1.04 2080.55 1.00 2080.55 45208.87 21.73 -2.70 -5.87 SUGAR11 220.86 1.25 276.12 1.00 276.12 45208.87 163.73 8.42 137.88 US10 1147.81 0.45 519.32 1.00 519.32 45208.87 87.05 -5.98 -52.03 US10U 1214.38 0.59 716.29 1.00 716.29 45208.87 63.12 -0.21 -1.32 US20 1299.69 0.77 1003.17 1.00 1003.17 45208.87 45.07 -3.84 -17.30 US30 1420.94 1.16 1641.22 1.00 1641.22 45208.87 27.55 -2.93 -8.06 US5 1094.30 0.32 346.66 1.00 346.66 45208.87 130.41 -4.22 -55.01 VIX 217.50 2.41 523.12 1.00 523.12 45208.87 86.42 -20.00 -172.84 WHEAT 387.25 1.38 533.31 1.00 533.31 45208.87 84.77 -13.35 -113.20 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 25.742 0.006 2.5 0.411 BITCOIN 499.215 0.009 2.5 11.762 BOBL 76.356 0.029 2.5 5.510 BTP 44.609 0.008 2.5 0.901 BUND 50.340 0.029 2.5 3.632 BUXL -2.699 0.034 2.5 -0.227 CAC 31.963 0.011 2.5 0.899 CAD 28.825 0.007 2.5 0.515 CANOLA 104.904 0.004 2.5 0.963 CHF -49.977 0.015 2.5 -1.870 COCOA -66.937 0.009 2.5 -1.458 COFFEE -14.764 0.005 2.5 -0.191 COPPER 32.092 0.011 2.5 0.877 CORN 101.354 0.004 2.5 0.914 COTTON2 5.910 0.006 2.5 0.089 CRUDE_W 12.664 0.053 2.5 1.673 DAX 36.862 0.022 2.5 2.002 DOW -33.211 0.011 2.5 -0.946 EUR 2.971 0.015 2.5 0.111 EUROSTX 63.544 0.011 2.5 1.786 FEEDCOW -127.385 0.011 2.5 -3.423 FTSE100 -17.381 0.041 2.5 -1.792 GASOIL 22.077 0.029 2.5 1.575 GASOILINE -8.714 0.016 2.5 -0.358 GAS_US -21.094 0.006 2.5 -0.318 GBP 37.930 0.007 2.5 0.677 GOLD_micro 12.911 0.009 2.5 0.289 HEATOIL 19.303 0.029 2.5 1.377 JPY -3.870 0.026 2.5 -0.251 LEANHOG -92.317 0.019 2.5 -4.313 LIVECOW -213.298 0.011 2.5 -5.732 MXP 270.169 0.005 2.5 3.308 NASDAQ -6.775 0.022 2.5 -0.368 NIKKEI 130.217 0.076 2.5 24.733 NZD 35.961 0.006 2.5 0.575 OAT 49.335 0.008 2.5 0.996 OJ 9.469 0.007 2.5 0.165 PALLAD -2.195 0.010 2.5 -0.053 PLAT 17.848 0.010 2.5 0.429 REDWHEAT -54.943 0.002 2.5 -0.293 ROBUSTA 13.894 0.005 2.5 0.180 RUSSELL -101.805 0.021 2.5 -5.273 SILVER-mini 26.435 0.009 2.5 0.591 SOYBEAN 83.746 0.024 2.5 4.938 SOYMEAL 72.730 0.024 2.5 4.288 SOYOIL 19.458 0.004 2.5 0.179 SP400 -2.025 0.021 2.5 -0.105 SP500 -5.866 0.011 2.5 -0.167 SUGAR11 137.880 0.005 2.5 1.871 US10 -52.029 0.015 2.5 -1.996 US10U -1.323 0.058 2.5 -0.193 US20 -17.295 0.029 2.5 -1.275 US30 -8.064 0.034 2.5 -0.677 US5 -55.013 0.015 2.5 -2.111 VIX -172.842 0.075 2.5 -32.572 WHEAT -113.201 0.002 2.5 -0.604 ==================== Position diags ==================== AUD 1.21 BITCOIN 15.02 BOBL 8.22 BTP 0.93 BUND 3.75 BUXL 1.72 CAC 1.79 CAD 1.97 CANOLA 3.11 CHF 2.14 COCOA 2.58 COFFEE 0.41 COPPER 0.94 CORN 1.78 COTTON2 0.78 CRUDE_W 4.67 DAX 16.32 DOW 8.50 EUR 2.24 EUROSTX 2.67 FEEDCOW 1.97 FTSE100 6.99 GASOIL 1.50 GASOILINE 0.84 GAS_US 0.31 GBP 1.42 GOLD_micro 6.39 HEATOIL 1.28 JPY 3.05 LEANHOG 3.94 LIVECOW 3.75 MXP 3.36 NASDAQ 0.80 NIKKEI 42.77 NZD 1.41 OAT 1.01 OJ 2.08 PALLAD 0.25 PLAT 1.12 REDWHEAT 0.37 ROBUSTA 2.08 RUSSELL 19.88 SILVER-mini 0.94 SOYBEAN 5.34 SOYMEAL 4.42 SOYOIL 0.75 SP400 0.81 SP500 0.62 SUGAR11 2.22 US10 3.34 US10U 9.20 US20 3.32 US30 2.31 US5 5.00 VIX 16.29 WHEAT 0.45 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 11.8 10.3 13.3 NaN 0 BOBL 5.5 4.7 6.3 4.0 4 BTP 0.9 0.8 1.0 1.0 1 BUND 3.6 3.3 4.0 3.0 3 BUXL -0.2 -0.4 -0.1 0.0 0 CAC 0.9 0.7 1.1 2.0 2 CAD 0.5 0.3 0.7 0.0 0 CANOLA 1.0 0.7 1.3 NaN 0 CHF -1.9 -2.1 -1.7 -2.0 -2 COCOA -1.5 -1.7 -1.2 NaN 0 COFFEE -0.2 -0.2 -0.2 NaN 0 COPPER 0.9 0.8 1.0 2.0 2 CORN 0.9 0.7 1.1 3.0 3 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W 1.7 1.2 2.1 2.0 2 DAX 2.0 0.4 3.6 0.0 0 DOW -0.9 -1.8 -0.1 0.0 0 EUR 0.1 -0.1 0.3 0.0 0 EUROSTX 1.8 1.5 2.1 1.0 1 FEEDCOW -3.4 -3.6 -3.2 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.6 1.4 1.7 0.0 0 GASOILINE -0.4 -0.4 -0.3 0.0 0 GAS_US -0.3 -0.3 -0.3 0.0 0 GBP 0.7 0.5 0.8 2.0 2 GOLD_micro 0.3 -0.3 0.9 0.0 0 HEATOIL 1.4 1.2 1.5 2.0 2 JPY -0.3 -0.6 0.1 -3.0 -3 LEANHOG -4.3 -4.7 -3.9 -2.0 -2 LIVECOW -5.7 -6.1 -5.4 -5.0 -5 MXP 3.3 3.0 3.6 3.0 3 NASDAQ -0.4 -0.4 -0.3 0.0 0 NIKKEI 24.7 20.5 29.0 0.0 0 NZD 0.6 0.4 0.7 2.0 2 OAT 1.0 0.9 1.1 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 0.2 -0.0 0.4 0.0 0 RUSSELL -5.3 -7.3 -3.3 0.0 0 SILVER-mini 0.6 0.5 0.7 1.0 1 SOYBEAN 4.9 4.4 5.5 2.0 2 SOYMEAL 4.3 3.8 4.7 5.0 5 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 -0.1 -0.2 -0.0 0.0 0 SP500 -0.2 -0.2 -0.1 0.0 0 SUGAR11 1.9 1.6 2.1 2.0 2 US10 -2.0 -2.3 -1.7 NaN 0 US10U -0.2 -1.1 0.7 -2.0 -2 US20 -1.3 -1.6 -0.9 -1.0 -1 US30 -0.7 -0.9 -0.4 0.0 0 US5 -2.1 -2.6 -1.6 -3.0 -3 VIX -32.6 -34.2 -30.9 -28.0 -28 WHEAT -0.6 -0.6 -0.6 -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 0.1 -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 0.1 0.1 -0.0 -0.1 BITCOIN 0.1 0.1 0.2 0.1 0.0 0.1 0.1 0.0 0.1 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 -0.1 -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 -0.0 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 0.1 -0.1 0.1 BUND -0.0 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 -0.1 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 -0.0 -0.1 -0.1 BUXL -0.2 0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 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 0.1 0.1 0.1 0.3 CAD 0.2 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 0.1 -0.2 -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 -0.2 0.0 0.0 COCOA 0.1 0.2 0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.2 0.0 -0.1 0.0 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 -2.0 -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 0.0 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 -0.1 0.1 0.0 0.1 -0.2 -0.2 -0.0 -0.2 -0.0 1.8 -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 0.2 0.3 0.3 0.1 0.1 0.1 0.1 0.0 0.1 0.0 -0.0 0.0 -0.2 0.1 0.3 -0.1 -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 -0.0 0.0 -0.1 0.0 -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 -1.5 -0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 1.9 -0.0 -0.1 -0.1 -0.1 COTTON2 0.0 0.1 -0.7 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 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 0.1 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 -0.1 0.0 0.0 0.0 0.1 0.6 0.5 0.2 0.2 -0.0 -0.0 0.0 0.1 0.0 -0.8 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.2 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 0.0 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 0.0 -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 0.1 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 0.1 0.1 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.0 -0.0 -0.0 0.0 -3.4 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -2.7 -0.0 0.2 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 0.1 -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 -0.0 -0.2 -0.0 0.1 -0.0 0.1 0.1 0.0 0.0 -0.3 0.0 0.1 0.0 -0.0 -1.7 0.6 -0.4 -0.0 0.0 -0.0 0.0 0.1 0.0 -1.0 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.7 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 -2.5 -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 0.1 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 -0.0 GOLD_micro 0.2 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 0.8 -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 -1.5 -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 0.1 0.0 -0.2 0.1 0.3 -0.8 -0.4 -0.2 -0.2 0.2 0.1 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 0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.0 -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 -1.5 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.9 -0.1 -0.2 -0.1 0.0 LIVECOW 0.0 0.1 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 0.3 0.0 0.0 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 -0.0 -0.1 -0.1 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 -0.0 0.0 -0.1 0.0 -0.4 -0.3 -0.4 -0.1 -0.2 NIKKEI -0.1 -0.3 -0.1 0.0 0.1 0.0 0.2 -0.0 0.1 -0.0 -0.1 -0.0 -0.0 -0.1 -0.3 1.2 0.4 0.3 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 2.6 -0.2 -0.4 -0.3 -0.3 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 -0.0 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 0.4 0.2 0.3 PALLAD 0.1 -0.1 -0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.3 0.0 -0.2 -0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.1 -0.0 1.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.3 -0.3 PLAT 0.1 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 0.2 0.0 0.1 0.0 -0.8 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 0.2 -0.0 0.1 0.1 0.2 REDWHEAT 0.0 -0.2 -0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 0.3 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 -0.1 -0.0 -0.2 -0.0 ROBUSTA 0.1 0.2 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.2 0.0 -0.2 1.2 0.4 0.3 0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.1 0.0 -0.3 0.1 -0.3 RUSSELL 0.1 -0.1 0.1 0.0 0.1 0.0 0.2 -0.0 0.1 0.1 -0.1 0.0 -0.3 0.0 0.1 -0.3 -0.1 -0.1 -0.1 0.0 -0.0 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 0.1 0.4 -0.3 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.0 0.0 1.0 -0.0 0.1 0.0 0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.2 0.3 SOYBEAN 0.0 0.0 0.1 -0.0 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 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.3 0.0 0.3 0.1 0.3 1.6 0.6 0.3 0.3 0.2 0.2 0.0 0.2 0.0 -2.8 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 1.4 0.1 0.3 0.3 0.3 SOYOIL 0.0 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.1 0.5 0.8 0.3 0.3 -0.1 -0.0 -0.0 0.1 -0.0 -2.0 -0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 2.0 -0.0 -0.0 -0.3 0.2 SP400 0.1 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 -0.1 -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 0.1 -0.4 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.1 0.0 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.4 -0.3 -0.3 -0.1 -0.1 SUGAR11 -0.2 0.0 0.2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.2 -0.0 0.1 -0.0 0.1 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 0.2 0.3 0.3 US10 -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 0.2 -0.7 -0.1 -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 0.0 0.1 0.1 US20 -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 0.2 -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 0.0 -0.1 0.1 -0.2 0.1 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 -1.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.1 -0.1 0.2 0.0 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 0.2 -0.6 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 -0.2 -0.9 -1.1 -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 -0.0 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 -0.1 0.1 -0.1 -0.1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 9.8 14.2 12.0 4.0 5.2 0.9 5.4 -2.8 4.9 13.7 -0.2 14.0 -6.5 13.8 12.6 -2.9 -2.2 -2.8 -2.6 10.5 1.9 16.1 -6.2 14.4 5.3 -0.0 4.7 5.6 0.5 6.6 -3.0 6.7 -0.5 10.0 6.9 -0.5 -7.2 BITCOIN 10.0 3.3 9.9 4.0 8.7 2.7 6.4 1.2 4.5 14.1 -13.9 12.3 -15.9 10.3 -4.1 2.2 -0.3 1.7 0.9 -1.5 -14.1 17.1 -20.0 8.2 20.0 -0.0 -0.8 13.3 -5.6 9.2 -7.1 4.6 3.0 9.0 4.0 -7.0 -20.0 BOBL -1.1 0.3 -3.5 0.4 6.2 -3.2 6.4 -6.9 3.5 12.5 -13.3 9.0 -13.7 -4.3 -7.9 -4.7 12.5 4.8 10.7 -13.0 -20.0 9.9 -20.0 -2.8 14.0 -0.0 -3.1 5.2 -6.7 4.3 -10.9 0.4 20.0 -4.2 -4.6 -14.6 -6.7 BTP -0.9 1.5 13.3 0.4 6.2 -3.2 6.4 -6.9 3.5 13.5 -3.8 10.9 -11.0 -0.5 2.1 10.6 14.4 13.7 15.5 -0.2 -6.3 19.1 -16.8 6.6 -0.9 -0.0 1.0 7.9 -2.3 7.2 -7.4 3.5 20.0 6.9 5.5 -4.1 10.3 BUND -1.9 1.5 1.0 0.4 6.2 -3.2 6.4 -6.9 3.5 13.0 -11.6 9.4 -13.1 -2.8 -5.6 12.6 15.8 13.5 14.6 -10.2 -17.4 12.4 -20.0 -0.8 10.1 -0.0 -1.9 6.4 -5.5 5.5 -9.6 1.6 20.0 4.2 -2.3 -10.0 -5.0 BUXL -13.8 1.9 2.8 0.4 6.2 -3.2 6.4 -6.9 3.5 11.9 -8.4 4.7 -11.9 -5.1 -4.0 3.6 -0.5 4.4 3.0 -9.7 -13.8 6.7 -20.0 -5.2 4.8 -0.0 -1.5 4.1 -3.8 3.2 -7.0 0.2 0.8 -1.4 -14.5 -5.7 -2.6 CAC 11.1 3.8 20.0 2.6 9.3 0.4 8.9 -1.1 5.5 14.0 13.0 15.0 2.4 13.3 14.6 -2.9 2.8 -1.2 0.4 18.4 14.0 20.0 7.7 20.0 -13.6 -0.0 4.7 8.5 3.6 8.0 1.8 5.9 6.9 9.8 4.6 4.5 17.8 CAD 13.5 3.2 -0.7 4.0 5.2 0.9 5.4 -2.8 4.9 11.5 -8.7 12.5 -10.5 5.5 1.4 -1.7 -1.1 -1.8 -1.5 0.7 -7.1 11.0 -10.9 7.6 12.9 -0.0 1.5 4.1 -3.6 6.7 -6.3 5.8 1.3 9.7 7.1 -18.0 -18.6 CANOLA -0.6 6.6 0.2 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -6.3 -8.8 -6.9 -4.8 3.4 3.4 1.0 11.5 5.4 7.1 -1.3 -4.6 -10.8 -0.7 -4.5 5.4 -0.0 -2.2 -5.0 -1.5 -5.9 1.5 -4.0 -0.6 -20.0 -12.8 -6.3 14.2 CHF -6.9 14.8 17.4 4.0 5.2 0.9 5.4 -2.8 4.9 -0.7 10.9 -0.2 -1.2 9.5 13.8 -13.6 -12.2 -13.1 -12.9 12.0 8.9 0.5 -0.2 6.1 -9.5 -0.0 5.1 0.1 2.6 1.6 -1.8 3.9 -18.0 -12.3 -8.1 0.6 1.9 COCOA 5.7 11.7 17.0 -3.3 4.3 -4.1 0.1 -1.4 -1.9 4.3 9.0 9.1 -4.7 10.9 13.7 -1.9 -2.9 -1.1 -1.4 13.1 8.2 8.7 0.4 12.0 -12.8 -0.0 5.9 2.7 3.5 4.4 0.5 6.1 -20.0 20.0 20.0 20.0 20.0 COFFEE -2.1 3.3 -20.0 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -7.0 -13.6 -11.3 -10.2 -8.8 -13.9 -0.8 3.4 1.6 3.6 -18.5 -20.0 -20.0 -13.9 -17.6 11.2 -0.0 -5.2 -4.1 -6.4 -5.4 -4.2 -4.4 -9.6 -20.0 -16.2 3.7 -20.0 COPPER 14.6 19.3 20.0 4.0 8.7 2.7 6.4 1.2 4.5 14.0 -1.6 14.4 -6.7 13.5 13.1 -0.6 -0.1 -0.5 -0.3 19.7 8.0 20.0 -4.1 20.0 9.6 -0.0 5.5 8.8 2.6 8.8 0.1 7.3 2.1 20.0 20.0 13.9 8.0 CORN 2.0 -14.3 -6.1 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -2.2 0.7 -8.8 3.7 -10.1 -11.2 20.0 17.0 20.0 19.1 -7.7 -2.3 -4.2 9.7 -8.1 -9.6 -0.0 -4.8 4.0 -2.5 -1.1 3.0 -4.0 14.0 -17.2 -6.0 -10.2 -5.4 COTTON2 2.2 6.6 -15.2 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -3.7 -9.9 -4.3 -4.0 -0.1 -2.3 0.3 14.0 3.2 8.6 -3.7 -10.3 -2.7 -5.4 -0.1 0.1 -0.0 0.9 -4.3 -1.7 -0.8 2.1 1.9 4.3 -0.1 7.6 13.0 -7.1 CRUDE_W 6.6 -2.2 -0.9 -1.2 8.9 -1.7 5.0 3.6 1.7 11.5 -6.0 6.9 1.9 2.4 5.5 7.1 12.4 7.5 9.5 -0.4 -1.8 10.0 3.9 3.2 -6.7 -0.0 2.2 13.5 1.2 9.4 6.0 5.5 0.0 6.1 6.8 7.7 10.5 DAX 11.4 5.6 20.0 2.6 9.3 0.4 8.9 -1.1 5.5 14.0 11.6 14.8 -1.9 13.1 14.3 -8.3 -3.2 -6.6 -5.0 19.3 13.4 20.0 2.3 20.0 -9.5 -0.0 4.7 8.1 3.4 7.9 0.4 5.7 -2.8 11.6 5.8 3.5 20.0 DOW -0.3 1.5 18.6 2.6 9.3 0.4 8.9 -1.1 5.5 14.0 9.0 11.2 0.3 0.6 10.6 -6.0 -2.8 -5.5 -4.6 8.5 7.8 14.2 2.3 8.1 -6.6 -0.0 3.2 7.2 2.6 5.7 0.9 3.3 -2.3 -20.0 -13.0 -7.3 9.5 EUR -0.4 20.0 20.0 4.0 5.2 0.9 5.4 -2.8 4.9 12.8 7.3 12.9 -6.8 14.6 15.6 -7.9 -8.4 -7.9 -8.2 20.0 10.9 17.0 -6.7 17.6 0.4 -0.0 6.0 5.1 2.4 5.8 -2.8 6.4 -10.8 12.5 9.8 12.0 15.1 EUROSTX 8.6 2.5 20.0 2.6 9.3 0.4 8.9 -1.1 5.5 14.0 12.7 14.8 1.1 13.5 14.5 9.1 4.2 6.1 4.4 18.5 14.2 20.0 6.0 20.0 -16.1 -0.0 4.8 7.9 4.0 7.4 1.6 5.4 11.0 10.1 1.9 5.1 20.0 FEEDCOW 0.2 10.3 3.7 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -12.9 2.5 -5.0 -0.0 6.9 8.7 -20.0 -20.0 -20.0 -20.0 5.1 2.6 -7.5 -0.2 1.7 -20.0 -0.0 4.6 -8.1 2.3 -1.6 0.4 3.6 -20.0 -4.5 9.3 20.0 10.6 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL 7.8 -11.9 -10.2 -1.2 8.9 -1.7 5.0 3.6 1.7 13.0 -6.4 3.5 8.8 1.6 -6.4 20.0 20.0 20.0 20.0 -4.7 -2.0 10.5 10.0 1.1 -5.5 -0.0 -4.1 7.9 -2.3 3.0 3.4 -1.8 20.0 3.5 -15.4 -16.2 -2.3 GASOILINE 19.3 -2.3 -10.2 -1.2 8.9 -1.7 5.0 3.6 1.7 11.6 -10.6 9.5 2.6 6.7 -1.0 -20.0 13.4 -20.0 -0.9 0.8 -2.9 17.4 5.0 9.0 -7.9 -0.0 3.8 9.5 1.7 8.5 4.6 7.0 -4.8 17.9 20.0 17.2 16.0 GAS_US -20.0 -20.0 -20.0 -1.2 8.9 -1.7 5.0 3.6 1.7 -13.1 -13.9 -15.4 -5.1 -16.1 -15.8 20.0 -1.9 12.7 3.1 -20.0 -20.0 -20.0 -8.1 -20.0 -4.9 -0.0 -5.5 -2.5 -2.8 -4.2 1.5 -6.0 -19.0 -20.0 -20.0 -15.5 -20.0 GBP -6.6 13.1 16.3 4.0 5.2 0.9 5.4 -2.8 4.9 13.6 5.6 9.4 -5.2 3.2 11.5 -2.0 -1.6 -2.0 -1.9 9.4 4.1 7.7 -7.6 6.4 13.2 -0.0 3.3 4.7 -1.6 4.2 -8.0 3.9 0.5 -2.1 -12.9 -3.4 -3.1 GOLD_micro 14.8 20.0 19.4 4.0 8.7 2.7 6.4 1.2 4.5 14.0 4.6 15.5 -6.3 16.1 15.6 -11.5 -8.9 -11.0 -10.3 20.0 9.8 20.0 -1.2 20.0 6.6 -0.0 5.4 8.5 2.6 6.7 -0.0 6.1 -13.9 12.6 11.7 8.6 3.1 HEATOIL 6.2 -11.1 -9.6 -1.2 8.9 -1.7 5.0 3.6 1.7 10.0 -6.2 0.6 8.1 2.8 -3.4 20.0 20.0 20.0 20.0 -4.3 -1.6 7.9 11.0 0.1 -15.1 -0.0 -0.3 10.4 1.0 6.9 9.5 3.1 20.0 7.8 1.8 -1.9 5.4 JPY 6.6 20.0 20.0 4.0 5.2 0.9 5.4 -2.8 4.9 12.1 2.5 12.6 -9.7 13.7 13.7 -10.9 -10.5 -11.5 -11.6 15.6 4.8 16.2 -9.9 16.3 8.5 -0.0 5.3 6.3 1.2 4.7 -4.7 5.4 -15.5 -4.3 16.1 15.4 8.3 LEANHOG -10.7 -7.7 2.7 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -13.2 2.0 -13.6 -1.0 -10.8 3.1 -20.0 9.3 -20.0 -5.2 -7.0 -1.7 -20.0 2.2 -15.4 -10.1 -0.0 -3.5 -8.0 -1.6 -8.1 0.4 -6.2 -6.9 -20.0 -11.7 -9.2 2.6 LIVECOW 3.8 5.7 12.2 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -3.7 12.0 2.6 1.8 9.1 12.3 -20.0 -20.0 -20.0 -20.0 9.0 8.4 0.4 3.8 5.4 -20.0 -0.0 5.7 -0.8 5.1 1.7 3.6 4.6 -20.0 2.6 13.7 20.0 19.5 MXP 19.8 -1.4 9.8 4.0 5.2 0.9 5.4 -2.8 4.9 14.1 14.6 15.8 15.0 14.6 14.1 19.6 20.0 19.3 19.7 19.4 17.6 20.0 16.7 20.0 -20.0 -0.0 6.1 7.9 5.1 7.7 4.2 7.1 20.0 14.5 20.0 -2.0 14.8 NASDAQ -3.0 -6.1 -3.8 2.6 9.3 0.4 8.9 -1.1 5.5 14.1 -11.5 9.6 -13.1 -4.4 -7.2 -5.4 -3.6 -5.0 -4.6 -7.9 -12.7 12.8 -16.0 -0.2 8.3 -0.0 -0.6 9.2 -3.4 7.1 -4.8 2.9 -3.0 -20.0 -16.7 -9.5 -14.3 NIKKEI -11.9 -20.0 -2.9 2.6 9.3 0.4 8.9 -1.1 5.5 -5.2 -4.5 -9.2 -1.1 -12.4 -10.5 20.0 11.1 15.0 12.8 -12.9 -7.0 -5.3 -2.1 -11.5 2.1 -0.0 -4.7 -3.1 -3.5 -1.6 -2.1 -3.7 20.0 -20.0 -20.0 -20.0 -17.5 NZD -5.4 18.0 20.0 4.0 5.2 0.9 5.4 -2.8 4.9 12.0 7.0 9.8 -5.1 7.4 12.2 0.4 0.5 -0.1 -0.0 13.2 7.5 7.0 -4.5 8.8 -0.5 -0.0 5.1 2.2 2.2 3.3 -1.9 4.5 3.9 -2.0 -6.6 6.2 6.2 OAT -3.6 0.2 7.0 0.4 6.2 -3.2 6.4 -6.9 3.5 12.4 -9.5 9.4 -12.4 -2.7 -4.4 12.8 12.8 13.3 13.6 -7.4 -13.0 13.2 -20.0 0.4 9.1 -0.0 -1.3 5.9 -4.6 5.2 -9.3 1.6 20.0 4.4 -3.5 -8.7 -1.7 OJ 1.9 4.8 20.0 -3.3 4.3 -4.1 0.1 -1.4 -1.9 12.1 14.3 10.0 14.6 11.9 13.5 16.7 13.1 16.2 16.0 16.7 20.0 6.9 20.0 9.4 -20.0 -0.0 6.5 1.4 9.9 3.4 12.1 4.6 9.1 16.7 13.8 15.3 20.0 PALLAD 5.6 -7.1 -13.6 4.0 8.7 2.7 6.4 1.2 4.5 8.5 -11.9 5.1 -9.5 -6.3 -11.8 -1.8 -1.3 -1.6 -1.6 -11.6 -12.5 0.5 -10.1 -5.4 7.4 -0.0 -4.0 1.6 -4.1 1.3 -2.9 -1.2 0.0 -8.2 -11.8 -20.0 -20.0 PLAT 8.9 6.6 20.0 4.0 8.7 2.7 6.4 1.2 4.5 -7.2 12.3 9.9 1.9 11.2 14.1 -1.5 -0.6 -0.9 -0.6 14.9 12.3 5.7 5.0 12.3 -5.3 -0.0 6.0 -1.0 4.8 1.7 1.5 4.4 1.6 -20.0 5.6 6.0 13.3 REDWHEAT 1.4 -14.8 -12.7 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -1.0 -13.6 -7.4 -7.5 -11.0 -12.5 4.1 1.0 4.1 3.0 -14.7 -13.7 -6.8 -5.4 -12.1 -2.6 -0.0 -4.5 3.5 -3.1 -0.6 1.6 -3.1 -12.8 -10.2 -1.1 -11.5 -0.5 ROBUSTA 8.8 15.5 -20.0 -3.3 4.3 -4.1 0.1 -1.4 -1.9 11.9 -10.9 7.7 -6.8 8.4 -9.4 15.3 9.1 13.1 10.9 -5.2 -10.3 8.1 -6.0 1.7 -0.8 -0.0 -4.3 7.2 -4.9 0.9 -2.6 -2.5 0.6 11.9 -16.0 10.7 -20.0 RUSSELL 7.0 -3.6 4.1 2.6 9.3 0.4 8.9 -1.1 5.5 14.1 -4.7 12.5 -10.8 1.9 2.2 -5.1 -2.8 -4.6 -4.0 0.4 -3.5 20.0 -7.7 8.7 -3.4 -0.0 2.1 12.1 -0.2 10.2 -1.6 5.9 -1.7 -8.4 -1.6 -8.4 -4.5 SILVER-mini -2.6 18.7 20.0 4.0 8.7 2.7 6.4 1.2 4.5 10.6 10.1 4.8 -2.0 11.8 14.1 -4.4 -3.6 -4.3 -4.1 16.3 12.8 4.9 2.1 9.5 4.8 -0.0 5.1 3.1 3.8 1.3 -0.3 2.6 -4.0 -20.0 -6.9 10.6 16.8 SOYBEAN 0.2 3.0 4.5 -3.3 4.3 -4.1 0.1 -1.4 -1.9 2.3 1.3 -5.5 5.0 1.6 8.6 20.0 20.0 20.0 20.0 4.5 5.0 -0.9 8.1 1.4 -20.0 -0.0 5.8 1.9 6.3 3.2 9.9 5.2 20.0 0.9 9.2 16.2 16.9 SOYMEAL 3.5 20.0 11.2 -3.3 4.3 -4.1 0.1 -1.4 -1.9 8.3 10.9 11.2 11.3 13.7 13.1 20.0 15.1 16.0 15.6 20.0 17.4 11.7 12.3 17.3 -20.0 -0.0 6.0 2.0 5.2 3.0 4.3 4.9 10.3 16.1 15.9 20.0 20.0 SOYOIL 0.4 -20.0 -0.3 -3.3 4.3 -4.1 0.1 -1.4 -1.9 8.3 -1.2 -7.3 4.6 -6.4 -6.4 5.8 19.6 12.3 16.4 -7.0 -1.7 -2.8 6.7 -7.0 -14.3 -0.0 -2.4 1.3 0.5 -0.6 4.5 -2.6 15.1 -0.2 -1.5 -20.0 11.8 SP400 6.8 0.4 9.5 2.6 9.3 0.4 8.9 -1.1 5.5 14.1 2.9 13.6 -5.0 3.7 7.5 -4.5 -2.2 -3.3 -2.6 6.0 2.6 20.0 -1.6 11.3 -7.0 -0.0 3.3 10.0 1.7 8.9 0.6 5.8 0.0 -10.7 -3.2 -5.5 1.5 SP500 0.8 -0.9 4.1 2.6 9.3 0.4 8.9 -1.1 5.5 14.1 -3.8 10.5 -8.6 -2.0 2.5 -5.7 -3.8 -5.3 -4.7 0.1 -3.7 14.1 -7.3 4.8 2.9 -0.0 1.5 8.0 -0.9 6.8 -3.0 3.7 -3.1 -20.0 -12.7 -6.8 -5.3 SUGAR11 -18.5 1.8 13.6 -3.3 4.3 -4.1 0.1 -1.4 -1.9 9.8 7.0 -6.3 4.4 -6.0 6.2 20.0 20.0 20.0 20.0 5.5 9.0 -3.7 6.6 -3.4 -20.0 -0.0 5.7 2.4 5.4 1.7 3.7 3.3 20.0 -1.8 12.1 20.0 20.0 US10 -0.1 17.8 9.0 0.4 6.2 -3.2 6.4 -6.9 3.5 10.1 -6.5 9.9 -11.9 7.8 7.0 -9.0 -1.2 -7.6 -5.5 3.5 -7.7 14.4 -19.8 9.2 -5.4 -0.0 2.1 5.8 -2.6 5.4 -8.4 4.0 -6.4 -14.0 -2.4 5.6 2.8 US10U -1.3 18.2 8.1 0.4 6.2 -3.2 6.4 -6.9 3.5 9.9 -6.4 9.2 -11.8 5.5 5.9 1.1 4.6 0.9 1.8 3.0 -7.7 13.3 -19.4 8.3 -7.9 -0.0 2.8 5.0 -1.7 5.4 -6.7 4.6 4.8 -11.0 0.4 9.2 3.7 US20 -4.6 20.0 8.8 0.4 6.2 -3.2 6.4 -6.9 3.5 10.7 -4.9 7.8 -11.0 4.7 6.7 -6.5 0.8 -3.2 -1.2 3.4 -7.5 11.8 -19.4 7.6 -7.2 -0.0 1.6 4.2 -2.2 3.2 -6.6 2.3 -0.8 -20.0 -11.0 9.6 0.2 US30 -5.5 20.0 16.5 0.4 6.2 -3.2 6.4 -6.9 3.5 11.2 -4.6 7.5 -12.4 2.6 5.1 -1.8 0.1 -1.2 -0.8 2.6 -8.1 12.7 -20.0 7.0 -8.3 -0.0 2.5 5.2 -1.4 4.4 -6.1 3.5 -1.4 -11.7 -6.1 14.7 3.3 US5 -0.4 18.3 10.8 0.4 6.2 -3.2 6.4 -6.9 3.5 10.0 -6.6 9.3 -12.2 7.8 7.1 -7.1 0.1 -6.0 -4.5 3.4 -8.2 14.1 -20.0 9.0 -3.3 -0.0 2.4 6.0 -2.8 5.8 -9.5 4.4 -4.6 -13.4 -0.3 6.1 3.2 VIX -14.4 -16.9 -16.8 -4.8 -8.0 -4.0 -6.6 -2.7 -5.2 -14.1 -15.1 -15.8 -12.6 -16.2 -16.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.9 -20.0 -13.1 -20.0 NaN -0.0 -6.2 -7.4 -5.2 -6.0 -3.5 -5.8 NaN NaN NaN NaN NaN WHEAT 5.8 -15.3 -16.9 -3.3 4.3 -4.1 0.1 -1.4 -1.9 -8.8 -14.8 -11.3 -10.9 -12.4 -12.9 -8.4 -5.1 -7.0 -5.9 -17.3 -18.6 -9.1 -10.6 -12.7 0.2 -0.0 -4.3 -0.7 -3.9 -1.3 0.1 -2.3 -20.0 -16.2 3.0 -10.2 -4.0 End of report for caleb_strategy_v1