******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230116_204254 produced at 2023-01-16 21:35:30.000896 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 0.0 7476100.72 -7476100.72 -0.21 -0.22 -32.95 999999999 -28 -29 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.13 0.0 22071644.16 -22071644.16 -0.11 -0.11 -5.79 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 32073500.93 -32073500.93 -0.13 -0.13 -3.47 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.09 0.0 46541299.06 -46541299.06 -0.09 -0.09 -1.94 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.11 -0.08 0.0 37525181.60 -37525181.60 -0.11 -0.11 -2.20 999999999 -3 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 39357769.37 -39357769.37 0.00 0.00 -2.01 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.06 0.0 44603685.80 -44603685.80 -0.04 -0.04 -1.28 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.02 -0.05 0.0 11972049.37 -11972049.37 -0.02 -0.04 -4.37 999999999 -2 -3 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.81 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.03 0.0 48729687.49 -48729687.49 0.00 0.00 -0.68 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 79572461.06 -79572461.06 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.02 0.0 3252961.17 -3252961.17 0.00 0.00 -5.17 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13284653.75 -13284653.75 -0.03 -0.03 -0.61 999999999 -2 -2 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9091350.01 -9091350.01 0.00 0.00 -1.48 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 -0.08 -0.01 0.0 41645824.85 -41645824.85 -0.08 -0.08 -0.20 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.01 0.0 54581130.71 -54581130.71 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 38831827.40 -38831827.40 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.01 0.0 33599585.71 -33599585.71 -0.10 -0.10 -0.27 999999999 -3 -3 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 88972457.43 -88972457.43 0.00 0.00 -0.10 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5904233.40 -5904233.40 0.00 0.00 -0.89 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68913873.42 -68913873.42 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 0.00 0.0 6595429.78 -6595429.78 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 19509022.02 -19509022.02 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 61317743.56 -61317743.56 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14110282.77 -14110282.77 0.00 0.00 0.09 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10658587.64 -10658587.64 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 0.00 0.0 6553591.05 -6553591.05 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4297565.44 -4297565.44 0.00 0.00 0.93 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14407783.56 -14407783.56 -0.01 -0.01 -0.30 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12942570.70 -12942570.70 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 11066686.71 -11066686.71 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 21907032.77 -21907032.77 0.04 0.04 0.60 999999999 2 2 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46558446.08 -46558446.08 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23904660.60 -23904660.60 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10262491.48 -10262491.48 0.03 0.03 0.92 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 5632876.58 -5632876.58 0.00 0.00 2.33 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.01 0.0 25597071.47 -25597071.47 0.00 0.00 0.55 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21112268.39 -21112268.39 0.02 0.02 0.59 999999999 1 1 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7578159.79 -7578159.79 0.02 0.02 1.88 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 734921.28 -734921.28 0.00 0.00 11.93 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18433046.51 -18433046.51 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26177069.42 -26177069.42 0.05 0.05 0.71 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.05 0.02 0.0 26173711.49 -26173711.49 0.05 0.05 0.95 999999999 2 2 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36158778.45 -36158778.45 0.07 0.07 0.88 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9036479.55 -9036479.55 0.03 0.03 3.45 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.03 0.0 15435588.29 -15435588.29 0.02 0.02 1.92 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 42707601.25 -42707601.25 0.04 0.04 0.95 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.05 0.0 31121841.32 -31121841.32 0.00 0.00 1.69 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.05 0.0 26704768.96 -26704768.96 0.05 0.05 1.69 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 49282568.19 -49282568.19 0.00 0.00 1.06 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.09 0.06 0.0 43838482.89 -43838482.89 0.09 0.09 1.39 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15850705.30 -15850705.30 0.08 0.08 4.32 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.12 0.0 23885798.87 -23885798.87 0.05 0.05 4.97 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 25.93 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.15 0.20 0.0 51249121.50 -51249121.50 0.15 0.15 3.85 999999999 3 3 caleb_strategy_v1 BOBL False False 0.04 0.17 0.25 0.0 43735403.65 -43735403.65 0.17 0.17 5.76 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 13.6 Shocked risk 38.9 Sum abs risk 39.4 Leverage 2.41 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2915958.57, 'annual_cash_vol_target': 728989.6425, 'daily_cash_vol_target': 45561.85265625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0059 0.6970 0.8432 13.4919 BITCOIN 794.9160 21430.0000 3.7094 59.3498 BOBL 0.3565 117.8700 0.3024 4.8390 BTP 0.8910 115.1000 0.7741 12.3862 BUND 0.7825 138.1200 0.5665 9.0647 BUXL 1.9843 147.1000 1.3489 21.5832 CAC 63.5766 7054.0000 0.9013 14.4205 CAD 0.0040 0.7464 0.5386 8.6171 CANOLA 8.6963 839.8000 1.0355 16.5683 CHF 0.0062 1.0857 0.5679 9.0859 COCOA 38.0935 2651.0000 1.4369 22.9912 COFFEE 0.0385 1.5170 2.5376 40.6015 COPPER 0.0525 4.2175 1.2445 19.9113 CORN 4.5777 598.5000 0.7649 12.2379 COTTON2 0.0175 0.8229 2.1293 34.0692 CRUDE_W 1.2806 77.8700 1.6445 26.3116 DAX 135.9008 15181.0000 0.8952 14.3233 DOW 303.5698 34433.0000 0.8816 14.1060 EUR 0.0059 1.0861 0.5470 8.7517 EUROSTX 42.9326 4160.0000 1.0320 16.5125 FEEDCOW 1.2250 187.0500 0.6549 10.4785 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 20.8765 907.5000 2.3004 36.8070 GASOILINE 0.0530 2.6960 1.9647 31.4357 GAS_US 0.2180 3.2270 6.7563 108.1001 GBP 0.0089 1.2213 0.7291 11.6664 GOLD_micro 15.8536 1923.2000 0.8243 13.1894 HEATOIL 0.0601 3.0436 1.9751 31.6011 JPY 0.0001 0.0078 0.9666 15.4658 LEANHOG 1.3359 87.2750 1.5306 24.4901 LIVECOW 0.8096 160.9000 0.5032 8.0504 MXP 0.0003 0.0527 0.6172 9.8757 NASDAQ 154.1931 11601.5000 1.3291 21.2653 NIKKEI 253.7926 25855.0000 0.9816 15.7056 NZD 0.0050 0.6388 0.7866 12.5858 OAT 0.8115 132.8200 0.6110 9.7757 OJ 0.0252 2.0720 1.2181 19.4903 PALLAD 42.8634 1788.0000 2.3973 38.3565 PLAT 19.4887 1075.0000 1.8129 29.0064 REDWHEAT 13.1516 840.2500 1.5652 25.0431 ROBUSTA 27.4181 1911.0000 1.4348 22.9560 RUSSELL 23.5754 1897.1000 1.2427 19.8833 SILVER-mini 0.4332 24.6250 1.7590 28.1442 SOYBEAN 9.9924 1393.0000 0.7173 11.4773 SOYMEAL 6.0365 462.2000 1.3060 20.8966 SOYOIL 0.9186 62.9000 1.4604 23.3665 SP400 28.9417 2594.4000 1.1155 17.8487 SP500 41.6471 4019.0000 1.0363 16.5801 SUGAR11 0.0025 0.1973 1.2505 20.0083 US10 0.5200 114.7656 0.4531 7.2498 US10U 0.7163 121.4375 0.5898 9.4374 US20 1.0005 130.0625 0.7692 12.3074 US30 1.6412 142.0938 1.1550 18.4804 US5 0.3470 109.4219 0.3172 5.0746 VIX 0.5212 21.8000 2.3907 38.2509 WHEAT 10.6661 774.7500 1.3767 22.0274 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 697.05 0.84 587.78 1.00 587.78 45561.85 77.51 3.45 26.76 BITCOIN 21.43 3.71 79.49 1.00 79.49 45561.85 573.17 8.84 506.48 BOBL 1178.70 0.30 356.48 1.08 386.07 45561.85 118.02 6.76 79.81 BTP 1151.00 0.77 891.03 1.08 964.97 45561.85 47.22 10.00 47.20 BUND 1381.20 0.57 782.51 1.08 847.45 45561.85 53.76 9.92 53.32 BUXL 1471.00 1.35 1984.30 1.08 2148.97 45561.85 21.20 -1.25 -2.65 CAC 705.40 0.90 635.77 1.08 688.52 45561.85 66.17 5.10 33.75 CAD 746.40 0.54 401.99 1.00 401.99 45561.85 113.34 2.71 30.74 CANOLA 167.96 1.04 173.93 0.75 129.92 45561.85 350.68 2.88 101.01 CHF 1357.12 0.57 770.67 1.00 770.67 45561.85 59.12 -8.76 -51.79 COCOA 265.10 1.44 380.94 1.00 380.94 45561.85 119.61 -5.67 -67.84 COFFEE 568.88 2.54 1443.57 1.00 1443.57 45561.85 31.56 -4.63 -14.61 COPPER 1054.38 1.24 1312.12 1.00 1312.12 45561.85 34.72 9.30 32.31 CORN 299.25 0.76 228.89 1.00 228.89 45561.85 199.06 5.12 102.01 COTTON2 411.45 2.13 876.11 1.00 876.11 45561.85 52.00 1.14 5.94 CRUDE_W 778.70 1.64 1280.55 1.00 1280.55 45561.85 35.58 3.60 12.82 DAX 151.81 0.90 135.90 1.08 147.18 45561.85 309.57 1.39 42.98 DOW 172.16 0.88 151.78 1.00 151.78 45561.85 300.17 -1.04 -31.33 EUR 1357.62 0.55 742.59 1.00 742.59 45561.85 61.36 0.50 3.07 EUROSTX 416.00 1.03 429.33 1.08 464.95 45561.85 97.99 6.96 68.24 FEEDCOW 935.25 0.65 612.50 1.00 612.50 45561.85 74.39 -17.36 -129.17 FTSE100 707.00 0.82 576.59 1.22 666.67 45561.85 68.34 -2.56 -17.52 GASOIL 907.50 2.30 2087.65 1.00 2087.65 45561.85 21.82 10.84 23.66 GASOILINE 1132.32 1.96 2224.70 1.00 2224.70 45561.85 20.48 -4.27 -8.74 GAS_US 322.70 6.76 2180.24 1.00 2180.24 45561.85 20.90 -10.17 -21.26 GBP 763.31 0.73 556.57 1.00 556.57 45561.85 81.86 4.83 39.54 GOLD_micro 192.32 0.82 158.54 1.00 158.54 45561.85 287.39 0.45 12.97 HEATOIL 1278.31 1.98 2524.76 1.00 2524.76 45561.85 18.05 10.78 19.45 JPY 979.75 0.97 947.04 1.00 947.04 45561.85 48.11 -0.87 -4.20 LEANHOG 349.10 1.53 534.34 1.00 534.34 45561.85 85.27 -10.98 -93.58 LIVECOW 643.60 0.50 323.83 1.00 323.83 45561.85 140.70 -15.33 -215.62 MXP 263.50 0.62 162.64 1.00 162.64 45561.85 280.14 10.06 281.85 NASDAQ 2320.30 1.33 3083.86 1.00 3083.86 45561.85 14.77 -4.54 -6.70 NIKKEI 25855.00 0.98 25379.26 0.01 198.45 45561.85 229.59 5.95 136.53 NZD 638.80 0.79 502.49 1.00 502.49 45561.85 90.67 4.13 37.45 OAT 1328.20 0.61 811.51 1.08 878.85 45561.85 51.84 10.10 52.38 OJ 310.80 1.22 378.60 1.00 378.60 45561.85 120.34 0.81 9.76 PALLAD 1788.00 2.40 4286.34 1.00 4286.34 45561.85 10.63 -2.08 -2.21 PLAT 537.50 1.81 974.43 1.00 974.43 45561.85 46.76 3.83 17.92 REDWHEAT 420.12 1.57 657.58 1.00 657.58 45561.85 69.29 -8.03 -55.63 ROBUSTA 191.10 1.43 274.18 1.00 274.18 45561.85 166.17 1.21 20.11 RUSSELL 94.86 1.24 117.88 1.00 117.88 45561.85 386.52 -2.58 -99.75 SILVER-mini 615.62 1.76 1082.89 1.00 1082.89 45561.85 42.07 6.29 26.47 SOYBEAN 696.50 0.72 499.62 1.00 499.62 45561.85 91.19 9.25 84.36 SOYMEAL 462.20 1.31 603.65 1.00 603.65 45561.85 75.48 9.70 73.24 SOYOIL 377.40 1.46 551.16 1.00 551.16 45561.85 82.67 2.33 19.24 SP400 2594.40 1.12 2894.17 1.00 2894.17 45561.85 15.74 -1.29 -2.02 SP500 2009.50 1.04 2082.36 1.00 2082.36 45561.85 21.88 -2.63 -5.76 SUGAR11 220.98 1.25 276.34 1.00 276.34 45561.85 164.88 8.42 138.86 US10 1147.66 0.45 520.02 1.00 520.02 45561.85 87.62 -5.97 -52.30 US10U 1214.38 0.59 716.29 1.00 716.29 45561.85 63.61 -0.22 -1.41 US20 1300.62 0.77 1000.46 1.00 1000.46 45561.85 45.54 -3.82 -17.40 US30 1420.94 1.16 1641.22 1.00 1641.22 45561.85 27.76 -2.93 -8.13 US5 1094.22 0.32 347.05 1.00 347.05 45561.85 131.28 -4.37 -57.40 VIX 218.00 2.39 521.17 1.00 521.17 45561.85 87.42 -20.00 -174.85 WHEAT 387.38 1.38 533.30 1.00 533.30 45561.85 85.43 -13.35 -114.07 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 26.761 0.006 2.5 0.428 BITCOIN 506.478 0.009 2.5 11.933 BOBL 79.814 0.029 2.5 5.759 BTP 47.203 0.008 2.5 0.953 BUND 53.325 0.029 2.5 3.848 BUXL -2.645 0.034 2.5 -0.222 CAC 33.750 0.011 2.5 0.949 CAD 30.744 0.007 2.5 0.549 CANOLA 101.008 0.004 2.5 0.927 CHF -51.791 0.015 2.5 -1.938 COCOA -67.843 0.009 2.5 -1.478 COFFEE -14.608 0.005 2.5 -0.189 COPPER 32.309 0.011 2.5 0.883 CORN 102.008 0.004 2.5 0.920 COTTON2 5.943 0.006 2.5 0.089 CRUDE_W 12.819 0.053 2.5 1.694 DAX 42.976 0.022 2.5 2.334 DOW -31.330 0.011 2.5 -0.893 EUR 3.068 0.015 2.5 0.115 EUROSTX 68.243 0.011 2.5 1.919 FEEDCOW -129.172 0.011 2.5 -3.471 FTSE100 -17.517 0.041 2.5 -1.806 GASOIL 23.662 0.029 2.5 1.688 GASOILINE -8.736 0.016 2.5 -0.359 GAS_US -21.256 0.006 2.5 -0.320 GBP 39.536 0.007 2.5 0.706 GOLD_micro 12.967 0.009 2.5 0.290 HEATOIL 19.451 0.029 2.5 1.387 JPY -4.196 0.026 2.5 -0.272 LEANHOG -93.584 0.019 2.5 -4.372 LIVECOW -215.624 0.011 2.5 -5.794 MXP 281.846 0.005 2.5 3.451 NASDAQ -6.700 0.022 2.5 -0.364 NIKKEI 136.532 0.076 2.5 25.932 NZD 37.449 0.006 2.5 0.598 OAT 52.380 0.008 2.5 1.058 OJ 9.756 0.007 2.5 0.170 PALLAD -2.214 0.010 2.5 -0.053 PLAT 17.923 0.010 2.5 0.431 REDWHEAT -55.632 0.002 2.5 -0.297 ROBUSTA 20.107 0.005 2.5 0.261 RUSSELL -99.748 0.021 2.5 -5.167 SILVER-mini 26.473 0.009 2.5 0.592 SOYBEAN 84.362 0.024 2.5 4.974 SOYMEAL 73.244 0.024 2.5 4.319 SOYOIL 19.240 0.004 2.5 0.177 SP400 -2.025 0.021 2.5 -0.105 SP500 -5.758 0.011 2.5 -0.164 SUGAR11 138.857 0.005 2.5 1.884 US10 -52.301 0.015 2.5 -2.006 US10U -1.405 0.058 2.5 -0.205 US20 -17.403 0.029 2.5 -1.283 US30 -8.130 0.034 2.5 -0.682 US5 -57.398 0.015 2.5 -2.202 VIX -174.845 0.075 2.5 -32.950 WHEAT -114.073 0.002 2.5 -0.609 ==================== Position diags ==================== AUD 1.24 BITCOIN 13.50 BOBL 8.52 BTP 0.95 BUND 3.88 BUXL 1.78 CAC 1.86 CAD 2.02 CANOLA 3.22 CHF 2.21 COCOA 2.61 COFFEE 0.41 COPPER 0.95 CORN 1.80 COTTON2 0.78 CRUDE_W 4.70 DAX 16.81 DOW 8.55 EUR 2.30 EUROSTX 2.75 FEEDCOW 2.00 FTSE100 7.05 GASOIL 1.56 GASOILINE 0.84 GAS_US 0.31 GBP 1.46 GOLD_micro 6.43 HEATOIL 1.29 JPY 3.11 LEANHOG 3.98 LIVECOW 3.78 MXP 3.43 NASDAQ 0.80 NIKKEI 43.61 NZD 1.45 OAT 1.05 OJ 2.10 PALLAD 0.26 PLAT 1.13 REDWHEAT 0.37 ROBUSTA 2.15 RUSSELL 20.02 SILVER-mini 0.94 SOYBEAN 5.38 SOYMEAL 4.45 SOYOIL 0.76 SP400 0.82 SP500 0.62 SUGAR11 2.24 US10 3.36 US10U 9.27 US20 3.36 US30 2.33 US5 5.04 VIX 16.47 WHEAT 0.46 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.6 0.0 0 BITCOIN 11.9 10.6 13.3 NaN 0 BOBL 5.8 4.9 6.6 4.0 4 BTP 1.0 0.9 1.0 1.0 1 BUND 3.8 3.5 4.2 3.0 3 BUXL -0.2 -0.4 -0.0 0.0 0 CAC 0.9 0.8 1.1 2.0 2 CAD 0.5 0.3 0.8 0.0 0 CANOLA 0.9 0.6 1.2 NaN 0 CHF -1.9 -2.2 -1.7 -2.0 -2 COCOA -1.5 -1.7 -1.2 NaN 0 COFFEE -0.2 -0.2 -0.1 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 2.2 2.0 2 DAX 2.3 0.7 4.0 0.0 0 DOW -0.9 -1.7 -0.0 0.0 0 EUR 0.1 -0.1 0.3 0.0 0 EUROSTX 1.9 1.6 2.2 1.0 1 FEEDCOW -3.5 -3.7 -3.3 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.7 1.5 1.8 0.0 0 GASOILINE -0.4 -0.4 -0.3 0.0 0 GAS_US -0.3 -0.4 -0.3 0.0 0 GBP 0.7 0.6 0.9 2.0 2 GOLD_micro 0.3 -0.4 0.9 0.0 0 HEATOIL 1.4 1.3 1.5 2.0 2 JPY -0.3 -0.6 0.0 -3.0 -3 LEANHOG -4.4 -4.8 -4.0 -2.0 -2 LIVECOW -5.8 -6.2 -5.4 -5.0 -5 MXP 3.5 3.1 3.8 3.0 3 NASDAQ -0.4 -0.4 -0.3 0.0 0 NIKKEI 25.9 21.6 30.3 0.0 0 NZD 0.6 0.5 0.7 2.0 2 OAT 1.1 1.0 1.2 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 0.3 0.0 0.5 0.0 0 RUSSELL -5.2 -7.2 -3.2 0.0 0 SILVER-mini 0.6 0.5 0.7 1.0 1 SOYBEAN 5.0 4.4 5.5 2.0 2 SOYMEAL 4.3 3.9 4.8 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 1.7 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 -2.2 -2.7 -1.7 -3.0 -3 VIX -32.9 -34.6 -31.3 -28.0 -28 WHEAT -0.6 -0.7 -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 0.0 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 0.2 -0.0 -0.1 BITCOIN 0.1 0.1 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.3 0.0 -0.4 0.0 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.1 0.0 -0.3 0.0 4.4 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.1 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 -0.0 -0.2 -0.1 BTP 0.0 0.0 0.2 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.1 0.0 -0.3 0.0 0.1 0.9 0.6 0.3 0.3 0.0 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 0.1 0.2 -0.1 0.1 BUND 0.0 -0.0 0.0 0.0 0.0 -0.1 0.1 -0.2 0.1 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 -0.1 -0.0 0.1 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 -0.2 -0.1 -0.1 CAC 0.2 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 -0.3 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 0.0 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 0.1 -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 0.2 0.1 0.4 0.0 0.1 0.0 0.2 -0.0 0.1 0.0 0.3 0.1 -0.0 0.1 0.4 -0.3 -0.1 -0.1 -0.1 0.3 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 0.1 0.0 0.1 0.4 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 0.0 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 -0.1 1.7 0.9 0.4 0.4 -0.0 -0.0 0.0 0.1 0.0 -0.6 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 2.7 0.1 -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 -0.2 -0.1 -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 1.1 -0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -2.0 -0.1 0.4 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 0.1 -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 0.4 -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 -0.0 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 0.1 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 -0.0 -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 -0.1 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 -0.0 -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 -0.2 0.2 -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 -0.1 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 -0.1 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 0.1 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 0.1 -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 -0.7 -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 11.0 14.1 13.2 4.1 3.8 1.1 5.0 -2.7 4.9 12.2 0.2 13.9 -6.3 13.9 13.0 -3.0 -2.2 -2.9 -2.6 11.1 2.4 14.6 -6.0 14.6 5.3 -0.0 4.8 3.6 0.7 5.7 -2.9 6.5 -0.5 8.4 7.4 -0.2 -7.2 BITCOIN 14.1 7.9 16.0 4.0 13.7 2.5 8.9 1.1 5.5 14.1 -13.3 13.6 -15.8 11.5 -1.9 1.8 -0.3 1.6 0.9 1.2 -11.5 20.0 -20.0 12.2 20.0 -0.0 0.6 17.2 -3.9 11.5 -5.5 6.1 3.0 10.4 4.7 -5.4 -20.0 BOBL 3.3 -2.4 -3.3 0.7 4.8 -3.0 6.0 -6.8 3.8 13.9 -13.1 11.6 -13.7 -3.2 -7.0 -5.0 12.3 4.4 10.3 -12.0 -20.0 11.7 -20.0 -0.7 13.8 -0.0 -2.7 5.2 -6.6 4.8 -11.0 1.1 20.0 -0.5 -3.0 -14.0 -6.6 BTP 3.3 0.8 14.0 0.7 4.8 -3.0 6.0 -6.8 3.8 12.8 -3.5 12.2 -11.0 0.6 2.7 10.6 14.3 13.6 15.4 0.9 -5.9 18.5 -16.8 8.1 -1.2 -0.0 1.3 5.8 -2.1 6.8 -7.3 3.9 20.0 9.5 7.7 -4.1 10.1 BUND 2.8 -0.2 1.4 0.7 4.8 -3.0 6.0 -6.8 3.8 12.9 -11.5 11.4 -13.1 -1.8 -4.7 12.7 15.8 13.5 14.6 -9.1 -17.3 13.4 -20.0 1.1 9.9 -0.0 -1.4 5.4 -5.3 5.6 -9.7 2.2 20.0 5.2 -0.5 -9.8 -5.1 BUXL -9.6 -0.0 3.3 0.7 4.8 -3.0 6.0 -6.8 3.8 10.7 -8.4 7.8 -11.9 -4.6 -3.8 3.4 -0.5 4.3 3.0 -9.2 -13.9 6.8 -20.0 -4.0 4.6 -0.0 -1.3 3.1 -3.8 3.1 -7.1 0.6 0.9 -1.5 -12.3 -6.4 -3.7 CAC 14.8 4.1 20.0 2.9 8.2 0.6 8.7 -1.0 5.8 14.1 13.2 15.3 2.7 13.9 14.9 -3.1 2.7 -1.4 0.3 20.0 15.0 20.0 8.3 20.0 -13.5 -0.0 4.9 7.4 3.6 7.8 1.8 6.1 6.8 8.0 3.9 3.9 17.7 CAD 14.0 3.5 -0.1 4.1 3.8 1.1 5.0 -2.7 4.9 10.3 -8.6 12.0 -10.5 6.6 2.0 -1.8 -1.1 -1.8 -1.6 1.1 -6.9 9.5 -10.9 7.7 13.2 -0.0 1.7 2.3 -3.4 5.6 -6.2 5.6 1.3 8.9 6.3 -17.8 -18.3 CANOLA -2.3 5.0 -0.1 -3.2 3.0 -4.2 0.4 -1.5 -1.6 -6.0 -8.9 -7.1 -4.9 3.0 2.8 0.9 11.4 5.2 7.0 -1.9 -4.9 -10.1 -0.8 -5.2 5.3 -0.0 -2.4 -3.8 -1.6 -5.3 1.4 -4.1 -0.8 -20.0 -12.3 -4.7 12.7 CHF -6.3 14.1 18.2 4.1 3.8 1.1 5.0 -2.7 4.9 0.2 11.1 0.1 -1.1 9.1 13.8 -13.5 -12.2 -13.1 -12.9 12.0 9.1 0.8 -0.1 5.9 -9.5 -0.0 5.1 0.4 2.7 1.5 -1.7 3.7 -18.0 -10.6 -9.5 -0.1 1.5 COCOA 5.6 11.7 17.0 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 3.7 9.0 8.9 -4.7 10.8 13.6 -1.9 -2.9 -1.1 -1.4 13.0 8.2 8.4 0.4 11.8 -12.8 -0.0 5.9 2.5 3.5 4.3 0.5 6.0 -20.0 20.0 20.0 20.0 20.0 COFFEE -1.7 3.6 -20.0 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 -6.1 -13.6 -10.9 -10.2 -8.6 -13.9 -0.8 3.4 1.6 3.6 -18.3 -20.0 -19.3 -13.8 -17.1 11.1 -0.0 -5.2 -3.5 -6.4 -5.2 -4.2 -4.3 -9.6 -20.0 -15.4 4.0 -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 -0.7 -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 3.6 -4.1 -0.2 -1.4 -2.0 -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 -16.6 -5.8 -10.1 -5.4 COTTON2 2.2 6.6 -15.2 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 -4.1 -9.9 -4.5 -4.0 -0.2 -2.3 0.3 14.0 3.2 8.6 -3.7 -10.3 -2.9 -5.4 -0.2 0.1 -0.0 0.9 -4.5 -1.7 -0.9 2.1 1.8 4.3 0.1 7.7 13.1 -7.1 CRUDE_W 6.6 -2.2 -0.9 -1.2 9.2 -1.7 5.1 3.6 1.8 11.5 -6.0 6.9 1.9 2.4 5.6 7.2 12.4 7.5 9.5 -0.4 -1.8 10.1 3.9 3.2 -6.7 -0.0 2.2 13.6 1.2 9.5 6.0 5.5 0.0 5.7 6.6 7.7 10.5 DAX 15.0 5.8 20.0 2.9 8.2 0.6 8.7 -1.0 5.8 14.1 11.9 15.2 -1.7 13.7 14.6 -8.4 -3.3 -6.7 -5.1 20.0 14.4 20.0 2.8 20.0 -9.4 -0.0 4.8 6.6 3.5 7.5 0.5 5.8 -2.8 11.9 4.7 2.4 20.0 DOW -0.2 1.6 18.6 2.6 9.5 0.4 9.0 -1.1 5.5 14.0 9.0 11.2 0.3 0.9 10.7 -6.0 -2.8 -5.5 -4.6 8.6 7.8 14.9 2.3 8.3 -6.6 -0.0 3.2 7.8 2.6 5.9 0.9 3.4 -2.2 -20.0 -12.9 -7.2 9.5 EUR 0.2 20.0 20.0 4.1 3.8 1.1 5.0 -2.7 4.9 11.8 7.8 12.8 -6.6 14.6 15.7 -7.9 -8.4 -7.9 -8.2 20.0 11.5 16.1 -6.4 18.0 0.3 -0.0 6.0 3.6 2.5 5.2 -2.7 6.2 -10.8 11.6 9.4 12.5 15.4 EUROSTX 11.9 2.5 20.0 2.9 8.2 0.6 8.7 -1.0 5.8 14.1 12.9 15.2 1.3 14.1 14.8 9.2 4.3 6.2 4.5 19.9 15.1 20.0 6.5 20.0 -16.0 -0.0 4.9 6.2 4.0 7.0 1.7 5.6 11.2 6.9 0.8 3.9 20.0 FEEDCOW 0.4 10.4 3.7 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 -12.9 2.5 -5.0 -0.0 7.0 8.8 -20.0 -20.0 -20.0 -20.0 5.2 2.6 -7.2 -0.2 1.9 -20.0 -0.0 4.6 -7.6 2.3 -1.4 0.4 3.7 -20.0 -3.2 9.8 20.0 10.7 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 8.7 -11.3 -10.1 -0.7 8.6 -1.5 6.1 3.7 2.7 13.6 -6.2 5.9 8.9 3.6 -5.9 20.0 20.0 20.0 20.0 -3.6 -1.7 13.0 10.3 3.3 -5.4 -0.0 -3.8 7.2 -2.3 4.0 3.5 -0.9 20.0 4.3 -15.4 -15.3 -2.7 GASOILINE 19.3 -2.3 -10.2 -1.2 9.2 -1.7 5.1 3.6 1.8 11.6 -10.6 9.5 2.6 6.7 -1.0 -20.0 13.5 -20.0 -0.9 0.8 -2.9 17.5 5.0 9.0 -7.9 -0.0 3.8 9.6 1.7 8.6 4.6 7.0 -4.8 17.7 20.0 17.2 16.0 GAS_US -20.0 -20.0 -20.0 -1.2 9.2 -1.7 5.1 3.6 1.8 -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 -2.4 -2.8 -4.2 1.5 -6.0 -19.0 -20.0 -20.0 -15.6 -20.0 GBP -5.3 12.0 17.0 4.1 3.8 1.1 5.0 -2.7 4.9 12.0 5.8 10.5 -5.0 3.0 11.6 -2.0 -1.6 -2.0 -1.9 9.5 4.3 6.7 -7.5 6.5 13.3 -0.0 3.4 2.7 -1.5 3.6 -8.0 3.8 0.5 -2.9 -12.5 -4.2 -2.1 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 9.7 20.0 -1.2 20.0 6.6 -0.0 5.4 8.5 2.6 6.7 -0.0 6.1 -13.9 12.8 11.8 8.6 3.1 HEATOIL 6.2 -11.1 -9.7 -1.2 9.2 -1.7 5.1 3.6 1.8 10.0 -6.2 0.8 8.1 2.9 -3.3 20.0 20.0 20.0 20.0 -4.3 -1.6 8.1 11.0 0.2 -15.1 -0.0 -0.2 10.6 1.0 7.0 9.5 3.1 20.0 7.8 1.8 -1.9 5.4 JPY 6.9 20.0 20.0 4.1 3.8 1.1 5.0 -2.7 4.9 11.0 3.2 12.6 -9.5 13.9 13.9 -11.0 -10.6 -11.5 -11.6 16.5 5.4 17.1 -9.7 17.5 7.9 -0.0 5.4 4.9 1.3 4.7 -4.5 5.5 -15.5 -5.9 17.4 16.0 7.8 LEANHOG -10.8 -7.8 2.7 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 -13.8 2.0 -13.9 -1.0 -10.9 3.1 -20.0 9.3 -20.0 -5.2 -7.1 -1.7 -20.0 2.2 -15.6 -10.1 -0.0 -3.5 -8.4 -1.6 -8.3 0.4 -6.3 -6.9 -20.0 -11.7 -9.2 2.6 LIVECOW 3.7 5.7 12.2 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 -7.1 12.0 2.0 1.8 8.9 12.2 -20.0 -20.0 -20.0 -20.0 8.9 8.4 -0.3 3.7 5.2 -20.0 -0.0 5.7 -1.5 5.1 1.4 3.6 4.5 -20.0 2.1 13.5 20.0 19.5 MXP 20.0 -0.1 10.4 4.1 3.8 1.1 5.0 -2.7 4.9 13.7 14.7 15.7 15.1 14.9 14.4 19.8 20.0 19.4 19.8 20.0 18.5 20.0 17.2 20.0 -20.0 -0.0 6.2 6.3 5.1 7.2 4.2 7.0 20.0 17.7 20.0 -0.8 14.4 NASDAQ -2.8 -6.0 -3.7 2.6 9.5 0.4 9.0 -1.1 5.5 14.1 -11.5 9.6 -13.1 -4.3 -7.1 -5.4 -3.6 -5.0 -4.6 -7.8 -12.7 13.3 -15.9 0.0 8.3 -0.0 -0.5 9.8 -3.4 7.4 -4.8 3.0 -2.9 -20.0 -16.6 -9.5 -14.3 NIKKEI -9.8 -20.0 -3.4 2.9 8.2 0.6 8.7 -1.0 5.8 -7.3 -4.9 -9.5 -1.3 -12.8 -11.0 20.0 11.2 15.3 13.0 -13.3 -7.5 -7.1 -2.4 -12.1 3.0 -0.0 -4.8 -3.2 -3.6 -2.2 -2.2 -3.8 20.0 -20.0 -20.0 -20.0 -19.2 NZD -4.1 16.9 20.0 4.1 3.8 1.1 5.0 -2.7 4.9 11.6 7.3 10.8 -5.0 7.3 12.3 0.4 0.5 -0.1 -0.0 13.4 7.8 6.5 -4.3 8.9 -0.4 -0.0 5.1 1.7 2.3 3.0 -1.8 4.4 3.9 -1.4 -6.9 5.5 6.5 OAT 1.2 -1.4 7.4 0.7 4.8 -3.0 6.0 -6.8 3.8 12.9 -9.4 11.6 -12.4 -1.7 -3.7 12.8 12.9 13.3 13.6 -6.3 -12.9 14.1 -20.0 2.4 8.9 -0.0 -0.9 5.1 -4.5 5.4 -9.3 2.2 20.0 6.1 -1.4 -8.7 -1.7 OJ 1.9 4.9 20.0 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 12.4 14.3 10.1 14.6 11.9 13.5 16.7 13.1 16.2 16.0 16.8 20.0 7.0 20.0 9.5 -20.0 -0.0 6.5 1.5 9.8 3.5 12.1 4.6 9.1 17.5 14.1 15.4 20.0 PALLAD 5.6 -7.1 -13.6 4.0 8.7 2.7 6.4 1.2 4.5 8.3 -11.9 5.1 -9.5 -6.4 -11.8 -1.8 -1.3 -1.6 -1.6 -11.6 -12.5 0.4 -10.1 -5.4 7.4 -0.0 -4.0 1.5 -4.1 1.3 -2.9 -1.2 0.0 -8.3 -11.8 -20.0 -20.0 PLAT 8.8 6.6 20.0 4.0 8.7 2.7 6.4 1.2 4.5 -7.7 12.3 9.8 1.9 11.1 14.0 -1.5 -0.6 -0.9 -0.6 14.8 12.2 5.6 5.0 12.2 -5.3 -0.0 6.0 -1.1 4.8 1.6 1.5 4.4 1.6 -20.0 5.5 6.0 13.3 REDWHEAT 1.3 -14.9 -12.7 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 -1.3 -13.6 -7.5 -7.5 -11.1 -12.5 4.1 1.0 4.1 3.0 -14.7 -13.7 -6.9 -5.4 -12.2 -2.6 -0.0 -4.5 3.3 -3.1 -0.7 1.6 -3.1 -12.8 -9.9 -1.0 -11.5 -0.5 ROBUSTA 9.6 15.9 -20.0 -3.2 3.0 -4.2 0.4 -1.5 -1.6 12.5 -10.8 10.0 -6.8 9.8 -8.9 15.4 9.2 13.2 11.0 -4.3 -10.1 10.7 -6.1 3.7 -0.9 -0.0 -4.0 6.8 -4.9 2.2 -2.7 -1.6 0.8 17.4 -13.1 11.9 -20.0 RUSSELL 7.1 -3.5 4.1 2.6 9.5 0.4 9.0 -1.1 5.5 14.1 -4.7 12.5 -10.8 2.1 2.3 -5.1 -2.8 -4.6 -4.0 0.5 -3.5 20.0 -7.6 8.9 -3.4 -0.0 2.1 12.6 -0.1 10.4 -1.5 5.9 -1.7 -8.2 -1.5 -8.4 -4.5 SILVER-mini -2.7 18.6 20.0 4.0 8.7 2.7 6.4 1.2 4.5 10.6 10.1 5.5 -2.0 12.0 14.2 -4.5 -3.6 -4.3 -4.1 16.2 12.7 5.5 2.1 9.6 4.8 -0.0 5.2 3.5 3.8 1.5 -0.3 2.7 -4.1 -19.6 -6.5 10.8 16.8 SOYBEAN 0.2 3.0 4.5 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 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 1.4 9.4 16.3 16.9 SOYMEAL 3.5 20.0 11.2 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 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 16.7 16.1 20.0 20.0 SOYOIL 0.3 -20.0 -0.3 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 5.9 -1.3 -7.7 4.6 -6.5 -6.4 5.8 19.6 12.3 16.4 -7.1 -1.7 -3.3 6.7 -7.2 -14.3 -0.0 -2.4 0.9 0.5 -0.8 4.5 -2.7 15.1 -0.5 -1.6 -20.0 11.8 SP400 6.9 0.4 9.5 2.6 9.5 0.4 9.0 -1.1 5.5 14.1 2.9 13.6 -5.0 3.8 7.5 -4.6 -2.2 -3.4 -2.7 6.0 2.6 20.0 -1.6 11.5 -7.0 -0.0 3.3 10.4 1.7 9.1 0.6 5.8 0.0 -10.6 -3.1 -5.5 1.5 SP500 1.0 -0.9 4.1 2.6 9.5 0.4 9.0 -1.1 5.5 14.1 -3.8 10.5 -8.5 -1.8 2.6 -5.7 -3.8 -5.3 -4.7 0.2 -3.6 14.6 -7.2 5.1 2.9 -0.0 1.5 8.6 -0.9 7.1 -3.0 3.8 -3.0 -20.0 -12.5 -6.8 -5.3 SUGAR11 -18.5 1.8 13.6 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 9.8 7.0 -6.3 4.4 -6.0 6.2 20.0 20.0 20.0 20.0 5.5 9.0 -3.6 6.6 -3.3 -20.0 -0.0 5.7 2.4 5.4 1.7 3.7 3.3 20.0 -1.0 12.4 20.0 20.0 US10 -0.1 17.8 9.1 0.4 6.7 -3.2 6.6 -6.9 3.5 10.0 -6.5 9.8 -11.9 7.8 7.0 -9.0 -1.2 -7.6 -5.5 3.4 -7.7 14.3 -19.8 9.1 -5.3 -0.0 2.1 5.8 -2.6 5.4 -8.4 4.0 -6.4 -15.1 -2.8 5.5 2.7 US10U -1.3 18.2 8.1 0.4 6.7 -3.2 6.6 -6.9 3.5 9.9 -6.4 9.2 -11.8 5.5 5.9 1.0 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 -11.9 0.1 9.1 3.7 US20 -4.5 20.0 8.7 0.4 6.7 -3.2 6.6 -6.9 3.5 11.2 -4.8 7.9 -11.0 4.8 6.7 -6.5 0.8 -3.2 -1.2 3.5 -7.5 12.1 -19.4 7.7 -7.2 -0.0 1.6 4.5 -2.2 3.3 -6.6 2.4 -0.8 -20.0 -11.1 9.5 0.2 US30 -5.5 20.0 16.5 0.4 6.7 -3.2 6.6 -6.9 3.5 11.2 -4.6 7.5 -12.4 2.6 5.1 -1.7 0.1 -1.1 -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 -12.6 -6.5 14.6 3.2 US5 -0.4 18.3 10.8 0.4 6.7 -3.2 6.6 -6.9 3.5 9.9 -6.6 9.3 -12.2 7.8 7.1 -7.4 -0.0 -6.2 -4.6 3.4 -8.2 14.0 -20.0 8.9 -3.2 -0.0 2.4 5.9 -2.8 5.8 -9.5 4.4 -4.8 -14.5 -0.6 6.0 3.2 VIX -14.5 -17.0 -16.9 -4.8 -7.8 -4.0 -6.5 -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 -7.2 -5.2 -5.9 -3.5 -5.8 NaN NaN NaN NaN NaN WHEAT 5.8 -15.3 -16.9 -3.3 3.6 -4.1 -0.2 -1.4 -2.0 -8.7 -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 -0.6 -3.9 -1.3 0.1 -2.3 -20.0 -15.5 3.2 -10.1 -3.9 End of report for caleb_strategy_v1