******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230117_204350 produced at 2023-01-17 21:35:58.132722 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.23 -0.26 0.0 7785268.26 -7785268.26 -0.23 -0.23 -32.88 999999999 -29 -30 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.13 0.0 22022169.41 -22022169.41 -0.11 -0.13 -5.90 999999999 -5 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.11 0.0 31931630.07 -31931630.07 -0.13 -0.13 -3.55 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.09 0.0 46879173.26 -46879173.26 -0.09 -0.09 -1.97 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.11 -0.08 0.0 37648130.85 -37648130.85 -0.11 -0.19 -2.01 999999999 -3 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 39436551.33 -39436551.33 0.00 0.00 -1.86 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.04 -0.06 0.0 12126457.57 -12126457.57 -0.04 -0.04 -4.83 999999999 -3 -3 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.05 0.0 44619211.28 -44619211.28 -0.04 -0.04 -1.21 999999999 -1 -1 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.80 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.03 0.0 48711632.92 -48711632.92 0.00 0.00 -0.60 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 79906412.27 -79906412.27 0.00 0.00 -0.33 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13396504.65 -13396504.65 -0.03 -0.03 -0.60 999999999 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3254001.53 -3254001.53 0.00 0.00 -4.07 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 0.00 -0.01 0.0 9094843.18 -9094843.18 0.00 -0.01 -1.58 999999999 0 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.01 0.0 55223451.13 -55223451.13 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.01 0.0 39314264.18 -39314264.18 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5856996.52 -5856996.52 0.00 0.00 -1.00 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 88999536.84 -88999536.84 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.01 0.0 33749051.96 -33749051.96 -0.10 -0.10 -0.36 999999999 -3 -3 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68967508.85 -68967508.85 0.00 0.00 -0.15 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 19495394.43 -19495394.43 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13106060.87 -13106060.87 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14565154.19 -14565154.19 -0.01 -0.01 -0.28 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.05 0.00 0.00 0.0 46554787.08 -46554787.08 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4312149.41 -4312149.41 0.00 0.00 0.90 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 0.00 0.0 6513502.58 -6513502.58 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14217996.53 -14217996.53 0.00 0.00 0.06 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 -0.08 0.00 0.0 41686846.17 -41686846.17 -0.08 -0.04 0.05 999999999 -2 -1 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 59910474.92 -59910474.92 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 0.00 0.0 6571935.06 -6571935.06 0.00 0.00 0.10 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10626117.80 -10626117.80 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 11167477.51 -11167477.51 0.00 0.00 -0.31 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.01 0.0 22125285.55 -22125285.55 0.04 0.04 0.64 999999999 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 24086210.73 -24086210.73 0.00 0.00 0.49 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10380357.67 -10380357.67 0.03 0.03 1.00 999999999 3 3 caleb_strategy_v1 SILVER-mini False False 0.02 0.02 0.01 0.0 21160290.38 -21160290.38 0.02 0.00 0.59 999999999 1 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 737452.23 -737452.23 0.00 0.00 12.59 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7726285.83 -7726285.83 0.02 0.02 1.85 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18021263.34 -18021263.34 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.05 0.02 0.0 26404175.53 -26404175.53 0.05 0.08 0.77 999999999 2 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 25705134.06 -25705134.06 0.00 0.00 0.61 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5658140.48 -5658140.48 0.00 0.00 2.67 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.03 0.0 15527421.59 -15527421.59 0.02 0.02 2.03 999999999 1 1 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36391402.94 -36391402.94 0.07 0.07 0.92 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.05 0.03 0.0 26305715.44 -26305715.44 0.05 0.08 0.98 999999999 2 3 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9103436.19 -9103436.19 0.03 0.03 3.62 999999999 3 3 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 43131726.65 -43131726.65 0.04 0.04 1.00 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.00 0.05 0.0 49687749.10 -49687749.10 0.00 0.05 1.10 999999999 0 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.05 0.0 26920185.86 -26920185.86 0.05 0.08 1.84 999999999 2 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.06 0.0 31407456.37 -31407456.37 0.00 0.03 1.80 999999999 0 1 caleb_strategy_v1 HEATOIL False False 0.04 0.09 0.06 0.0 44209599.62 -44209599.62 0.09 0.09 1.45 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 16013935.90 -16013935.90 0.08 0.08 4.45 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.12 0.0 23940129.54 -23940129.54 0.05 0.05 4.97 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.19 0.0 0.00 0.00 0.00 0.00 27.14 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.15 0.21 0.0 51631923.27 -51631923.27 0.15 0.21 4.02 999999999 3 4 caleb_strategy_v1 BOBL False False 0.04 0.18 0.25 0.0 43944272.72 -43944272.72 0.18 0.18 5.64 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 14.1 Shocked risk 41.1 Sum abs risk 39.9 Leverage 2.45 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2909340.98, 'annual_cash_vol_target': 727335.245, 'daily_cash_vol_target': 45458.4528125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0057 0.7008 0.8136 13.0182 BITCOIN 788.3723 21455.0000 3.6745 58.7926 BOBL 0.3602 118.4400 0.3042 4.8665 BTP 0.8829 116.2500 0.7595 12.1514 BUND 0.7792 139.1600 0.5599 8.9588 BUXL 1.9516 148.8400 1.3112 20.9793 CAC 62.2480 7090.0000 0.8780 14.0475 CAD 0.0039 0.7478 0.5245 8.3923 CANOLA 8.4704 839.0000 1.0096 16.1533 CHF 0.0061 1.0911 0.5596 8.9533 COCOA 38.0938 2646.0000 1.4397 23.0348 COFFEE 0.0385 1.5125 2.5454 40.7257 COPPER 0.0525 4.2350 1.2394 19.8304 CORN 4.5773 604.0000 0.7578 12.1253 COTTON2 0.0175 0.8273 2.1182 33.8910 CRUDE_W 1.2806 78.3200 1.6351 26.1616 DAX 132.9093 15250.0000 0.8715 13.9446 DOW 303.6062 34080.0000 0.8909 14.2538 EUR 0.0059 1.0836 0.5447 8.7151 EUROSTX 41.9917 4185.0000 1.0034 16.0542 FEEDCOW 1.2250 185.8000 0.6593 10.5487 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 20.3288 913.7500 2.2248 35.5963 GASOILINE 0.0530 2.7233 1.9452 31.1237 GAS_US 0.2181 3.2490 6.7115 107.3848 GBP 0.0087 1.2291 0.7066 11.3056 GOLD_micro 15.8549 1912.0000 0.8292 13.2677 HEATOIL 0.0601 3.0624 1.9632 31.4113 JPY 0.0001 0.0079 0.9363 14.9804 LEANHOG 1.3359 88.2000 1.5146 24.2342 LIVECOW 0.8095 160.1750 0.5054 8.0862 MXP 0.0003 0.0530 0.6031 9.6495 NASDAQ 154.2169 11623.7500 1.3267 21.2278 NIKKEI 262.8212 26260.0000 1.0008 16.0135 NZD 0.0050 0.6437 0.7765 12.4233 OAT 0.8091 133.9200 0.6042 9.6669 OJ 0.0252 2.0610 1.2247 19.5945 PALLAD 42.8694 1743.0000 2.4595 39.3523 PLAT 19.4900 1048.6000 1.8587 29.7387 REDWHEAT 13.1525 847.5000 1.5519 24.8306 ROBUSTA 26.9590 1895.0000 1.4226 22.7622 RUSSELL 23.5777 1893.4000 1.2453 19.9241 SILVER-mini 0.4332 24.6250 1.7590 28.1442 SOYBEAN 9.9919 1393.0000 0.7173 11.4767 SOYMEAL 6.0370 465.9000 1.2958 20.7325 SOYOIL 0.9187 63.5500 1.4457 23.1304 SP400 28.9454 2589.3000 1.1179 17.8862 SP500 41.6530 4013.0000 1.0380 16.6072 SUGAR11 0.0025 0.2007 1.2293 19.6689 US10 0.5201 114.7344 0.4533 7.2524 US10U 0.7164 121.2812 0.5907 9.4508 US20 1.0005 129.8125 0.7707 12.3318 US30 1.6413 141.7188 1.1581 18.5302 US5 0.3471 109.5312 0.3169 5.0701 VIX 0.5211 22.6500 2.3007 36.8107 WHEAT 10.6664 779.5000 1.3684 21.8939 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 700.75 0.81 570.16 1.00 570.16 45458.45 79.73 3.84 30.65 BITCOIN 21.46 3.67 78.84 1.00 78.84 45458.45 576.61 9.27 534.27 BOBL 1184.40 0.30 360.25 1.08 389.77 45458.45 116.63 6.71 78.21 BTP 1162.50 0.76 882.88 1.08 955.24 45458.45 47.59 10.44 49.70 BUND 1391.60 0.56 779.19 1.08 843.05 45458.45 53.92 10.33 55.72 BUXL 1488.40 1.31 1951.60 1.08 2111.55 45458.45 21.53 -1.01 -2.17 CAC 709.00 0.88 622.48 1.08 673.50 45458.45 67.50 5.18 34.95 CAD 747.85 0.52 392.26 1.00 392.26 45458.45 115.89 2.94 34.12 CANOLA 167.80 1.01 169.41 0.75 126.40 45458.45 359.65 2.72 97.69 CHF 1363.88 0.56 763.20 1.00 763.20 45458.45 59.56 -8.85 -52.71 COCOA 264.60 1.44 380.94 1.00 380.94 45458.45 119.33 -6.09 -72.70 COFFEE 567.19 2.55 1443.70 1.00 1443.70 45458.45 31.49 -4.65 -14.63 COPPER 1058.75 1.24 1312.22 1.00 1312.22 45458.45 34.64 9.72 33.68 CORN 302.00 0.76 228.87 1.00 228.87 45458.45 198.63 5.57 110.62 COTTON2 413.65 2.12 876.19 1.00 876.19 45458.45 51.88 0.83 4.31 CRUDE_W 783.20 1.64 1280.61 1.00 1280.61 45458.45 35.50 3.92 13.90 DAX 152.50 0.87 132.91 1.08 143.80 45458.45 316.12 1.56 49.19 DOW 170.40 0.89 151.80 1.00 151.80 45458.45 299.46 -1.17 -35.15 EUR 1354.44 0.54 737.75 1.00 737.75 45458.45 61.62 0.36 2.24 EUROSTX 418.50 1.00 419.92 1.08 454.33 45458.45 100.06 7.22 72.24 FEEDCOW 929.00 0.66 612.49 1.00 612.49 45458.45 74.22 -17.78 -131.97 FTSE100 707.00 0.82 576.59 1.22 666.67 45458.45 68.19 -2.56 -17.48 GASOIL 913.75 2.22 2032.88 1.00 2032.88 45458.45 22.36 11.30 25.28 GASOILINE 1143.79 1.95 2224.93 1.00 2224.93 45458.45 20.43 -4.54 -9.27 GAS_US 324.90 6.71 2180.58 1.00 2180.58 45458.45 20.85 -9.95 -20.74 GBP 768.19 0.71 542.80 1.00 542.80 45458.45 83.75 5.15 43.17 GOLD_micro 191.20 0.83 158.55 1.00 158.55 45458.45 286.72 0.16 4.60 HEATOIL 1286.21 1.96 2525.09 1.00 2525.09 45458.45 18.00 11.29 20.32 JPY 981.87 0.94 919.30 1.00 919.30 45458.45 49.45 -1.13 -5.60 LEANHOG 352.80 1.51 534.36 1.00 534.36 45458.45 85.07 -12.16 -103.41 LIVECOW 640.70 0.51 323.80 1.00 323.80 45458.45 140.39 -15.65 -219.74 MXP 264.85 0.60 159.73 1.00 159.73 45458.45 284.60 10.39 295.79 NASDAQ 2324.75 1.33 3084.34 1.00 3084.34 45458.45 14.74 -4.09 -6.03 NIKKEI 26260.00 1.00 26282.12 0.01 204.46 45458.45 222.34 6.43 142.90 NZD 643.70 0.78 499.80 1.00 499.80 45458.45 90.95 4.39 39.90 OAT 1339.20 0.60 809.12 1.08 875.43 45458.45 51.93 10.54 54.71 OJ 309.15 1.22 378.60 1.00 378.60 45458.45 120.07 0.82 9.85 PALLAD 1743.00 2.46 4286.94 1.00 4286.94 45458.45 10.60 -2.07 -2.20 PLAT 524.30 1.86 974.50 1.00 974.50 45458.45 46.65 3.38 15.75 REDWHEAT 423.75 1.55 657.62 1.00 657.62 45458.45 69.13 -7.67 -52.99 ROBUSTA 189.50 1.42 269.59 1.00 269.59 45458.45 168.62 1.31 22.15 RUSSELL 94.67 1.25 117.89 1.00 117.89 45458.45 385.61 -2.04 -78.55 SILVER-mini 615.62 1.76 1082.89 1.00 1082.89 45458.45 41.98 6.29 26.41 SOYBEAN 696.50 0.72 499.60 1.00 499.60 45458.45 90.99 9.26 84.30 SOYMEAL 465.90 1.30 603.70 1.00 603.70 45458.45 75.30 10.02 75.47 SOYOIL 381.30 1.45 551.23 1.00 551.23 45458.45 82.47 2.40 19.78 SP400 2589.30 1.12 2894.54 1.00 2894.54 45458.45 15.70 -1.03 -1.62 SP500 2006.50 1.04 2082.65 1.00 2082.65 45458.45 21.83 -2.41 -5.26 SUGAR11 224.78 1.23 276.33 1.00 276.33 45458.45 164.51 8.29 136.43 US10 1147.34 0.45 520.06 1.00 520.06 45458.45 87.41 -5.53 -48.37 US10U 1212.81 0.59 716.38 1.00 716.38 45458.45 63.46 0.05 0.31 US20 1298.12 0.77 1000.51 1.00 1000.51 45458.45 45.44 -3.61 -16.40 US30 1417.19 1.16 1641.30 1.00 1641.30 45458.45 27.70 -2.58 -7.13 US5 1095.31 0.32 347.08 1.00 347.08 45458.45 130.97 -4.00 -52.37 VIX 226.50 2.30 521.10 1.00 521.10 45458.45 87.24 -20.00 -174.47 WHEAT 389.75 1.37 533.32 1.00 533.32 45458.45 85.24 -13.22 -112.67 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 30.651 0.006 2.5 0.490 BITCOIN 534.275 0.009 2.5 12.588 BOBL 78.211 0.029 2.5 5.643 BTP 49.699 0.008 2.5 1.004 BUND 55.724 0.029 2.5 4.021 BUXL -2.168 0.034 2.5 -0.182 CAC 34.947 0.011 2.5 0.982 CAD 34.115 0.007 2.5 0.609 CANOLA 97.686 0.004 2.5 0.897 CHF -52.707 0.015 2.5 -1.973 COCOA -72.695 0.009 2.5 -1.584 COFFEE -14.635 0.005 2.5 -0.190 COPPER 33.682 0.011 2.5 0.921 CORN 110.618 0.004 2.5 0.998 COTTON2 4.314 0.006 2.5 0.065 CRUDE_W 13.900 0.053 2.5 1.836 DAX 49.192 0.022 2.5 2.672 DOW -35.149 0.011 2.5 -1.002 EUR 2.239 0.015 2.5 0.084 EUROSTX 72.240 0.011 2.5 2.031 FEEDCOW -131.975 0.011 2.5 -3.546 FTSE100 -17.477 0.041 2.5 -1.802 GASOIL 25.275 0.029 2.5 1.803 GASOILINE -9.273 0.016 2.5 -0.381 GAS_US -20.743 0.006 2.5 -0.312 GBP 43.171 0.007 2.5 0.771 GOLD_micro 4.596 0.009 2.5 0.103 HEATOIL 20.319 0.029 2.5 1.449 JPY -5.603 0.026 2.5 -0.363 LEANHOG -103.406 0.019 2.5 -4.831 LIVECOW -219.738 0.011 2.5 -5.905 MXP 295.795 0.005 2.5 3.621 NASDAQ -6.031 0.022 2.5 -0.328 NIKKEI 142.901 0.076 2.5 27.142 NZD 39.898 0.006 2.5 0.637 OAT 54.713 0.008 2.5 1.105 OJ 9.849 0.007 2.5 0.172 PALLAD -2.200 0.010 2.5 -0.053 PLAT 15.754 0.010 2.5 0.379 REDWHEAT -52.990 0.002 2.5 -0.283 ROBUSTA 22.150 0.005 2.5 0.287 RUSSELL -78.549 0.021 2.5 -4.068 SILVER-mini 26.413 0.009 2.5 0.591 SOYBEAN 84.301 0.024 2.5 4.970 SOYMEAL 75.471 0.024 2.5 4.450 SOYOIL 19.785 0.004 2.5 0.182 SP400 -1.618 0.021 2.5 -0.084 SP500 -5.257 0.011 2.5 -0.150 SUGAR11 136.430 0.005 2.5 1.851 US10 -48.374 0.015 2.5 -1.856 US10U 0.313 0.058 2.5 0.046 US20 -16.398 0.029 2.5 -1.209 US30 -7.133 0.034 2.5 -0.599 US5 -52.373 0.015 2.5 -2.009 VIX -174.471 0.075 2.5 -32.879 WHEAT -112.668 0.002 2.5 -0.601 ==================== Position diags ==================== AUD 1.27 BITCOIN 13.59 BOBL 8.42 BTP 0.96 BUND 3.89 BUXL 1.81 CAC 1.90 CAD 2.07 CANOLA 3.30 CHF 2.23 COCOA 2.60 COFFEE 0.41 COPPER 0.95 CORN 1.79 COTTON2 0.78 CRUDE_W 4.69 DAX 17.17 DOW 8.53 EUR 2.31 EUROSTX 2.81 FEEDCOW 1.99 FTSE100 7.03 GASOIL 1.60 GASOILINE 0.84 GAS_US 0.31 GBP 1.50 GOLD_micro 6.42 HEATOIL 1.28 JPY 3.20 LEANHOG 3.97 LIVECOW 3.77 MXP 3.48 NASDAQ 0.80 NIKKEI 42.23 NZD 1.45 OAT 1.05 OJ 2.09 PALLAD 0.26 PLAT 1.12 REDWHEAT 0.37 ROBUSTA 2.19 RUSSELL 19.97 SILVER-mini 0.94 SOYBEAN 5.36 SOYMEAL 4.44 SOYOIL 0.76 SP400 0.81 SP500 0.62 SUGAR11 2.23 US10 3.35 US10U 9.25 US20 3.35 US30 2.32 US5 5.02 VIX 16.44 WHEAT 0.46 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.4 0.6 0.0 0 BITCOIN 12.6 11.2 13.9 NaN 0 BOBL 5.6 4.8 6.5 4.0 4 BTP 1.0 0.9 1.1 1.0 1 BUND 4.0 3.6 4.4 3.0 3 BUXL -0.2 -0.4 -0.0 0.0 0 CAC 1.0 0.8 1.2 2.0 2 CAD 0.6 0.4 0.8 0.0 0 CANOLA 0.9 0.6 1.2 NaN 0 CHF -2.0 -2.2 -1.7 -2.0 -2 COCOA -1.6 -1.8 -1.3 NaN 0 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.9 0.8 1.0 2.0 2 CORN 1.0 0.8 1.2 3.0 3 COTTON2 0.1 -0.0 0.1 NaN 0 CRUDE_W 1.8 1.4 2.3 2.0 2 DAX 2.7 1.0 4.4 0.0 0 DOW -1.0 -1.9 -0.1 0.0 0 EUR 0.1 -0.1 0.3 0.0 0 EUROSTX 2.0 1.7 2.3 1.0 1 FEEDCOW -3.5 -3.7 -3.3 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.8 1.6 2.0 0.0 0 GASOILINE -0.4 -0.5 -0.3 0.0 0 GAS_US -0.3 -0.3 -0.3 0.0 0 GBP 0.8 0.6 0.9 2.0 2 GOLD_micro 0.1 -0.5 0.7 0.0 0 HEATOIL 1.4 1.3 1.6 2.0 2 JPY -0.4 -0.7 -0.0 -3.0 -3 LEANHOG -4.8 -5.2 -4.4 -3.0 -3 LIVECOW -5.9 -6.3 -5.5 -5.0 -5 MXP 3.6 3.3 4.0 3.0 3 NASDAQ -0.3 -0.4 -0.2 0.0 0 NIKKEI 27.1 22.9 31.4 0.0 0 NZD 0.6 0.5 0.8 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 -0.2 -1.0 -1 ROBUSTA 0.3 0.1 0.5 0.0 0 RUSSELL -4.1 -6.1 -2.1 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 4.4 4.0 4.9 5.0 5 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 -0.1 -0.2 -0.0 0.0 0 SP500 -0.1 -0.2 -0.1 0.0 0 SUGAR11 1.9 1.6 2.1 2.0 2 US10 -1.9 -2.2 -1.5 NaN 0 US10U 0.0 -0.9 1.0 -2.0 -2 US20 -1.2 -1.5 -0.9 -1.0 -1 US30 -0.6 -0.8 -0.4 0.0 0 US5 -2.0 -2.5 -1.5 -3.0 -3 VIX -32.9 -34.5 -31.2 -29.0 -29 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 0.2 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 -0.3 -0.1 -0.1 -0.1 0.2 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 0.2 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 0.1 -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 -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 2.7 0.0 -0.0 -0.2 -0.1 BTP 0.1 0.0 0.3 0.0 0.1 -0.1 0.2 -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 0.2 0.2 -0.1 0.1 BUND 0.1 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 1.0 0.7 0.3 0.3 -0.1 -0.2 0.0 -0.3 0.0 1.2 -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 0.1 -0.1 0.2 -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 -0.1 -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 0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 0.1 0.1 -0.2 -0.3 CANOLA -0.0 0.0 -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 -0.0 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 -1.0 -0.5 -0.3 -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 0.0 0.1 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 -0.2 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 -2.1 -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 -0.3 -0.0 -0.3 -0.1 0.1 0.0 0.1 -0.2 -0.2 -0.0 -0.2 -0.0 1.9 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -1.3 -0.1 -0.3 0.0 -0.3 COPPER 0.2 0.3 0.3 0.1 0.1 0.1 0.2 0.0 0.1 0.0 -0.0 0.1 -0.2 0.1 0.3 -0.0 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.0 0.0 1.1 -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 -0.2 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 -0.6 -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 0.1 -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 0.5 -0.0 -0.0 0.4 -0.1 CRUDE_W 0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.2 0.1 0.1 0.0 -0.1 0.0 0.0 0.0 0.2 0.6 0.5 0.2 0.2 0.0 -0.0 0.0 0.1 0.0 -0.9 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.1 0.2 DAX 0.2 0.1 0.4 0.1 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 0.1 0.1 0.0 0.2 -0.0 0.1 0.0 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 -0.7 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.3 -0.2 -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 0.2 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 0.1 0.2 0.2 EUROSTX 0.2 0.0 0.3 0.0 0.0 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 0.1 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 0.0 -0.0 -0.0 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.0 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 0.1 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 0.2 0.1 0.1 0.1 -0.1 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 0.2 0.1 0.0 0.0 -0.2 0.0 0.1 0.0 0.0 -1.7 0.5 -0.4 -0.0 0.0 -0.0 0.0 0.1 0.0 -1.1 -0.0 0.0 0.0 0.0 0.0 0.1 0.0 -0.9 0.0 0.3 0.2 0.2 GAS_US -0.2 -0.3 -0.3 -0.0 0.1 -0.0 0.2 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 -0.5 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.5 -0.3 -0.4 -0.3 -0.3 GBP -0.0 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 0.4 0.1 0.1 0.1 0.2 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 -0.0 0.1 0.1 0.1 HEATOIL 0.1 -0.2 -0.2 -0.0 0.1 -0.0 0.2 0.1 0.1 0.1 -0.2 0.0 0.2 0.0 -0.1 1.7 0.9 0.5 0.5 -0.0 -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 0.1 -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 1.0 -0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -2.0 -0.1 0.2 0.2 0.1 LEANHOG -0.1 -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 -1.2 -0.1 -0.3 -0.2 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 0.2 0.2 0.3 MXP 0.2 0.1 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 0.0 0.0 2.2 0.0 0.4 0.0 0.2 NASDAQ 0.0 -0.1 -0.0 0.1 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 1.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 -0.4 -0.2 -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 0.5 -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 0.2 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 1.0 0.5 0.3 0.3 -0.1 -0.1 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 0.3 0.2 0.3 PALLAD 0.0 -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 -0.3 -0.3 -0.3 PLAT 0.1 0.1 0.3 0.1 0.0 0.1 0.2 0.0 0.1 -0.0 0.3 0.0 0.1 0.0 0.3 -0.1 -0.0 -0.0 -0.0 0.2 0.1 -0.0 0.1 0.0 -0.8 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 0.2 -0.0 -0.1 0.0 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 -0.3 -0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -1.7 -0.1 0.0 -0.1 -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 -0.2 -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 0.1 0.1 0.0 0.2 -0.0 0.1 0.1 -0.1 0.1 -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 -0.0 -0.1 -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 0.1 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 0.0 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 0.4 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 0.4 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 0.4 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 -0.1 -0.3 0.2 SP400 0.1 -0.0 0.2 0.1 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 0.1 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 0.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.4 -0.2 -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 0.1 0.3 0.3 US10 0.0 0.3 0.2 0.0 0.0 -0.1 0.1 -0.2 0.1 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 -0.7 -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 0.2 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 0.1 0.2 0.0 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 0.7 -0.0 -0.1 0.1 0.1 US20 -0.0 0.3 0.2 0.0 0.0 -0.1 0.1 -0.2 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 -0.5 0.0 -0.1 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.1 0.1 -0.0 US30 -0.0 0.3 0.3 0.0 0.1 -0.1 0.2 -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 -0.0 -0.2 0.2 0.0 US5 0.0 0.3 0.2 0.0 0.0 -0.1 0.1 -0.2 0.1 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 -0.4 -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 -0.8 -1.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.5 -0.0 -0.5 -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 0.0 -0.2 -0.3 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.4 -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 0.1 -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 12.8 14.4 14.3 4.2 4.3 1.2 5.2 -2.5 5.1 14.0 0.7 15.1 -6.1 14.8 13.5 -3.1 -2.2 -2.9 -2.6 12.3 3.0 16.0 -5.9 16.0 5.4 -0.0 4.9 4.1 0.9 5.7 -2.7 6.5 -0.5 8.5 9.1 0.3 -7.0 BITCOIN 15.8 9.1 17.0 4.1 12.5 2.6 8.8 1.2 5.7 14.1 -13.0 14.4 -15.8 12.5 -0.6 1.8 -0.3 1.5 0.9 2.3 -10.9 20.0 -20.0 13.5 20.0 -0.0 1.1 15.3 -3.5 11.2 -5.2 6.5 3.0 10.6 6.7 -4.2 -20.0 BOBL 6.3 -1.6 -2.6 1.2 6.9 -2.7 6.9 -6.4 4.4 14.1 -12.9 13.1 -13.6 -1.6 -5.9 -5.5 11.8 3.5 9.6 -10.1 -19.4 16.1 -20.0 2.5 13.7 -0.0 -2.0 8.4 -6.3 6.5 -10.8 2.2 19.2 2.6 -2.0 -13.6 -6.4 BTP 5.7 0.9 15.2 1.2 6.9 -2.7 6.9 -6.4 4.4 13.8 -3.2 13.6 -10.9 2.2 3.5 10.5 14.3 13.4 15.2 2.4 -5.3 20.0 -16.7 10.7 -1.4 -0.0 1.8 7.4 -1.7 7.4 -7.0 4.6 20.0 11.2 8.3 -4.2 10.4 BUND 5.3 0.1 2.3 1.2 6.9 -2.7 6.9 -6.4 4.4 13.9 -11.3 13.1 -13.0 -0.3 -3.7 12.5 15.8 13.4 14.5 -7.5 -16.6 16.8 -20.0 3.9 9.8 -0.0 -0.9 7.5 -5.0 6.7 -9.5 3.1 20.0 4.9 0.8 -9.7 -4.8 BUXL -8.2 -0.9 4.3 1.2 6.9 -2.7 6.9 -6.4 4.4 13.2 -8.3 10.7 -11.9 -3.8 -3.4 3.4 -0.5 4.3 3.0 -8.3 -13.8 9.2 -20.0 -1.9 4.5 -0.0 -1.0 4.4 -3.7 3.9 -7.2 1.2 1.0 -5.9 -10.7 -7.4 -4.3 CAC 17.4 4.6 20.0 3.1 7.5 0.8 8.4 -0.8 6.0 14.1 13.4 15.5 3.0 14.5 15.1 -3.4 2.6 -1.6 0.2 20.0 16.1 20.0 8.9 20.0 -13.5 -0.0 5.0 7.1 3.7 7.7 1.9 6.3 6.7 8.4 4.4 3.9 17.6 CAD 15.0 4.0 0.4 4.2 4.3 1.2 5.2 -2.5 5.1 11.1 -8.4 12.9 -10.4 8.1 2.8 -1.7 -1.1 -1.8 -1.6 1.7 -6.6 9.7 -11.0 8.3 13.5 -0.0 2.0 2.8 -3.2 5.4 -6.1 5.6 1.3 7.5 4.6 -17.8 -18.1 CANOLA -3.2 3.1 -0.4 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 -5.9 -8.9 -7.4 -5.1 2.6 2.2 1.2 11.3 5.1 6.9 -2.5 -5.2 -9.6 -0.9 -5.8 5.2 -0.0 -2.7 -3.2 -1.8 -4.9 1.4 -4.3 -0.9 -20.0 -12.3 -2.9 11.4 CHF -6.0 13.6 18.4 4.2 4.3 1.2 5.2 -2.5 5.1 5.8 11.3 3.3 -0.9 9.9 14.0 -14.1 -12.3 -13.3 -13.1 12.2 9.3 3.5 0.1 6.7 -9.6 -0.0 5.2 2.7 2.8 2.4 -1.6 4.0 -18.2 -8.8 -11.0 -0.8 1.0 COCOA 3.6 10.5 17.7 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 0.4 9.2 8.2 -4.5 10.8 13.6 -2.3 -2.9 -1.2 -1.5 13.1 8.4 7.9 0.6 11.6 -13.8 -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 -3.9 4.3 -20.0 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 -2.7 -13.6 -9.7 -10.3 -8.6 -13.9 -0.9 3.4 1.4 3.5 -18.6 -20.0 -16.3 -14.0 -16.9 11.6 -0.0 -5.2 -3.5 -6.4 -5.2 -4.2 -4.3 -9.8 -20.0 -16.0 2.1 -20.0 COPPER 17.8 19.5 20.0 4.1 12.5 2.6 8.8 1.2 5.7 14.1 -0.9 15.1 -6.4 14.2 13.6 -0.5 -0.1 -0.5 -0.3 20.0 9.1 20.0 -3.5 20.0 9.2 -0.0 5.5 8.8 2.6 8.8 0.1 7.3 2.2 20.0 20.0 14.8 9.1 CORN 3.1 -12.0 -7.0 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 11.8 0.8 -3.2 3.7 -6.9 -10.6 20.0 17.1 20.0 19.2 -6.6 -2.1 4.6 9.7 -4.4 -9.7 -0.0 -4.8 4.0 -2.5 -1.1 3.0 -4.0 14.2 -12.7 -2.9 -7.8 -5.7 COTTON2 1.3 6.6 -13.8 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 -3.1 -9.9 -5.4 -4.1 -0.9 -1.5 0.1 13.8 3.0 8.4 -3.9 -10.2 -3.3 -5.5 -0.8 -0.2 -0.0 0.9 -4.5 -1.7 -0.9 2.1 1.8 4.0 -0.2 -3.0 13.9 -5.4 CRUDE_W 7.2 -2.1 -0.9 -0.2 8.1 -1.3 6.8 3.6 3.4 13.7 -5.8 10.8 1.9 5.6 6.2 7.7 12.4 7.7 9.6 0.9 -1.3 14.8 4.0 6.2 -7.3 -0.0 2.2 13.6 1.2 9.5 6.0 5.5 0.0 2.9 6.8 7.8 11.2 DAX 17.8 6.2 20.0 3.1 7.5 0.8 8.4 -0.8 6.0 14.1 12.1 15.5 -1.4 14.3 14.8 -8.4 -3.3 -6.8 -5.1 20.0 15.5 20.0 3.3 20.0 -9.3 -0.0 5.0 6.1 3.6 7.3 0.6 6.0 -2.9 11.1 5.1 1.9 20.0 DOW 1.0 -0.4 19.2 3.1 7.5 0.8 8.4 -0.8 6.0 7.7 9.2 9.7 0.4 1.4 10.9 -6.0 -2.9 -5.5 -4.7 8.9 7.9 11.2 2.4 8.3 -6.3 -0.0 3.2 7.8 2.6 5.9 0.9 3.4 -2.3 -15.8 -15.9 -9.5 8.8 EUR 0.5 20.0 20.0 4.2 4.3 1.2 5.2 -2.5 5.1 10.1 8.2 12.2 -6.5 14.4 15.7 -7.9 -8.4 -7.9 -8.2 20.0 11.9 13.8 -6.1 17.7 0.3 -0.0 6.0 2.0 2.7 4.4 -2.5 6.0 -10.7 6.0 7.3 12.1 15.5 EUROSTX 14.5 2.7 20.0 3.1 7.5 0.8 8.4 -0.8 6.0 14.1 13.1 15.5 1.7 14.6 15.0 9.3 4.4 6.4 4.6 20.0 16.1 20.0 7.0 20.0 -16.0 -0.0 5.1 6.0 4.1 7.0 1.7 5.8 11.3 6.7 1.1 3.3 20.0 FEEDCOW -3.4 8.6 3.7 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 -13.9 2.1 -9.7 -0.1 3.4 7.8 -20.0 -20.0 -20.0 -20.0 3.4 2.1 -15.3 -0.3 -2.4 -20.0 -0.0 4.6 -7.6 2.3 -1.4 0.4 3.7 -20.0 -5.2 6.1 20.0 11.9 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 10.5 -9.6 -10.0 -0.2 8.1 -1.3 6.8 3.6 3.4 14.0 -6.0 8.1 8.9 5.6 -5.2 20.0 20.0 20.0 20.0 -2.4 -1.3 15.0 10.6 5.5 -5.4 -0.0 -3.3 6.8 -2.2 4.7 3.6 -0.0 20.0 4.8 -13.5 -14.4 -2.9 GASOILINE 18.8 -0.1 -10.1 -0.2 8.1 -1.3 6.8 3.6 3.4 13.7 -10.2 12.3 2.7 8.9 0.4 -20.0 12.7 -20.0 -2.2 2.8 -2.1 20.0 5.2 12.9 -8.6 -0.0 3.8 9.6 1.7 8.6 4.6 7.0 -6.6 12.3 20.0 19.2 16.6 GAS_US -20.0 -20.0 -20.0 -0.2 8.1 -1.3 6.8 3.6 3.4 -11.6 -14.1 -15.2 -5.4 -16.2 -15.9 20.0 -1.9 12.3 3.1 -20.0 -20.0 -20.0 -8.6 -20.0 -4.0 -0.0 -5.5 -2.4 -2.8 -4.2 1.5 -6.0 -19.0 -20.0 -20.0 -20.0 -20.0 GBP -4.1 11.6 17.3 4.2 4.3 1.2 5.2 -2.5 5.1 14.0 6.1 13.1 -4.9 4.1 11.9 -2.1 -1.6 -2.0 -1.9 10.4 4.8 9.3 -7.5 8.1 13.3 -0.0 3.7 4.7 -1.2 4.6 -7.8 4.4 0.5 -1.2 -11.4 -4.4 -1.2 GOLD_micro 16.3 20.0 20.0 4.1 12.5 2.6 8.8 1.2 5.7 10.9 5.2 14.5 -6.0 15.7 15.6 -11.6 -8.9 -11.0 -10.4 20.0 10.5 20.0 -0.7 20.0 6.1 -0.0 5.4 8.5 2.6 6.7 -0.0 6.1 -13.9 -0.5 5.3 7.3 4.0 HEATOIL 6.6 -9.4 -9.8 -0.2 8.1 -1.3 6.8 3.6 3.4 13.5 -6.0 4.9 8.1 5.1 -2.7 20.0 20.0 20.0 20.0 -2.9 -1.1 13.1 11.0 3.3 -15.3 -0.0 -0.2 10.6 1.0 7.0 9.5 3.1 20.0 6.5 3.9 -0.6 5.9 JPY 9.0 20.0 20.0 4.2 4.3 1.2 5.2 -2.5 5.1 12.5 3.9 13.8 -9.3 14.5 14.3 -11.0 -10.6 -11.5 -11.6 17.8 6.3 18.6 -9.5 19.2 7.3 -0.0 5.5 4.2 1.5 4.8 -4.3 5.6 -15.5 -7.7 10.2 16.5 7.4 LEANHOG -13.2 -8.8 1.8 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 -9.7 1.6 -13.3 -1.1 -11.5 2.3 -20.0 8.4 -20.0 -6.8 -8.0 -2.3 -19.0 2.0 -15.9 -9.9 -0.0 -3.5 -8.4 -1.6 -8.3 0.4 -6.3 -8.9 -20.0 -17.5 -12.6 3.1 LIVECOW 1.0 4.7 11.6 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 -13.1 11.8 -5.8 1.9 7.1 11.8 -20.0 -20.0 -20.0 -20.0 8.0 8.1 -4.9 3.7 2.9 -20.0 -0.0 5.7 -1.5 5.1 1.4 3.6 4.5 -20.0 3.6 11.4 18.0 20.0 MXP 20.0 4.8 11.4 4.2 4.3 1.2 5.2 -2.5 5.1 14.1 14.9 15.9 15.1 15.3 14.7 20.0 20.0 19.7 20.0 20.0 19.6 20.0 17.9 20.0 -20.0 -0.0 6.2 6.4 5.0 7.2 4.0 7.0 20.0 20.0 20.0 0.1 14.1 NASDAQ 1.2 -6.0 -2.6 3.1 7.5 0.8 8.4 -0.8 6.0 14.1 -11.3 12.3 -13.1 -2.6 -6.0 -5.5 -3.7 -5.1 -4.6 -6.3 -12.1 15.7 -15.8 2.9 8.4 -0.0 -0.5 9.8 -3.4 7.4 -4.8 3.0 -2.9 -13.3 -18.2 -9.9 -15.6 NIKKEI -7.2 -20.0 -3.5 3.1 7.5 0.8 8.4 -0.8 6.0 2.0 -5.1 -4.4 -1.3 -12.2 -10.8 20.0 11.4 15.6 13.2 -12.2 -7.2 -2.8 -2.4 -9.9 3.8 -0.0 -4.7 0.9 -3.7 -0.8 -2.3 -3.3 20.0 -20.0 -20.0 -20.0 -20.0 NZD -3.5 15.9 20.0 4.2 4.3 1.2 5.2 -2.5 5.1 13.1 7.8 12.4 -4.8 8.2 12.6 0.6 0.5 0.1 0.0 13.8 8.1 8.8 -4.1 9.9 -0.4 -0.0 5.2 3.4 2.4 3.5 -1.7 4.6 4.0 0.6 -5.7 5.0 6.9 OAT 3.6 -1.2 8.4 1.2 6.9 -2.7 6.9 -6.4 4.4 13.8 -9.2 13.2 -12.3 -0.3 -2.8 12.7 12.9 13.2 13.6 -4.8 -12.3 17.4 -20.0 5.1 8.7 -0.0 -0.3 7.2 -4.2 6.4 -9.1 3.0 20.0 5.6 0.5 -8.9 -1.4 OJ 1.3 6.5 20.0 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 5.2 14.3 7.4 14.6 11.8 13.4 17.0 13.1 16.3 16.1 16.3 20.0 4.3 20.0 8.5 -20.0 -0.0 6.5 1.5 9.8 3.5 12.1 4.6 9.3 17.4 11.8 14.3 20.0 PALLAD 4.6 -7.4 -13.3 4.1 12.5 2.6 8.8 1.2 5.7 -10.0 -12.0 2.1 -9.6 -6.7 -12.0 -1.8 -1.4 -1.7 -1.6 -11.7 -12.6 -3.8 -10.2 -6.5 7.6 -0.0 -4.0 1.5 -4.1 1.3 -2.9 -1.2 0.0 -20.0 -13.1 -20.0 -20.0 PLAT 7.9 5.3 20.0 4.1 12.5 2.6 8.8 1.2 5.7 -13.2 12.3 5.8 2.0 8.8 13.5 -1.6 -0.6 -1.0 -0.6 13.7 12.0 -2.0 5.1 8.8 -4.7 -0.0 6.0 -1.1 4.8 1.6 1.5 4.4 1.5 -20.0 -2.9 0.8 11.3 REDWHEAT 1.4 -12.9 -12.9 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 11.9 -13.6 -3.9 -7.6 -9.6 -12.3 4.2 1.1 4.2 3.0 -13.9 -13.6 -0.8 -5.5 -9.6 -2.4 -0.0 -4.5 3.3 -3.1 -0.7 1.6 -3.1 -12.8 -9.5 1.8 -9.5 -1.5 ROBUSTA 10.5 16.3 -20.0 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 9.5 -10.7 9.8 -6.9 10.0 -8.5 15.4 9.3 13.3 11.1 -3.7 -9.9 9.7 -6.1 4.3 -0.9 -0.0 -3.9 4.3 -5.0 2.1 -2.8 -1.2 0.9 17.8 -11.8 11.9 -20.0 RUSSELL 10.6 -3.4 4.7 3.1 7.5 0.8 8.4 -0.8 6.0 13.4 -4.3 13.7 -10.7 4.6 3.6 -5.1 -2.8 -4.7 -4.0 2.2 -2.8 20.0 -7.4 11.6 -3.2 -0.0 2.1 12.6 -0.1 10.4 -1.5 5.9 -1.7 -1.1 -3.0 -7.7 -4.6 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 -4.0 -19.6 -6.5 10.8 16.8 SOYBEAN -0.2 3.7 4.5 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 5.4 1.3 -5.6 5.0 1.2 8.4 20.0 20.0 20.0 20.0 4.3 5.0 -0.6 8.1 1.3 -20.0 -0.0 5.8 1.9 6.3 3.2 9.9 5.2 20.0 1.3 10.2 16.3 16.8 SOYMEAL 3.7 20.0 11.9 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 12.9 11.2 13.2 11.5 14.3 13.5 20.0 15.2 16.4 15.8 20.0 17.7 13.4 12.6 18.0 -20.0 -0.0 6.0 2.0 5.2 3.0 4.3 4.9 10.6 13.2 20.0 20.0 20.0 SOYOIL 0.7 -17.5 -0.9 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 12.9 -1.3 -5.1 4.5 -5.9 -6.3 5.6 19.4 12.0 16.2 -6.5 -1.7 0.9 6.6 -5.4 -13.7 -0.0 -2.4 0.9 0.5 -0.8 4.5 -2.7 14.8 3.9 -5.6 -19.2 11.6 SP400 9.6 -0.2 9.9 3.1 7.5 0.8 8.4 -0.8 6.0 13.3 3.4 14.2 -4.8 6.0 8.4 -4.6 -2.2 -3.4 -2.7 7.3 3.2 20.0 -1.3 13.5 -6.7 -0.0 3.3 10.4 1.7 9.1 0.6 5.8 0.0 -3.3 -5.2 -6.5 1.3 SP500 3.7 -1.7 5.0 3.1 7.5 0.8 8.4 -0.8 6.0 13.3 -3.5 12.4 -8.5 -0.3 3.4 -5.8 -3.8 -5.3 -4.7 1.3 -3.2 15.1 -7.1 6.9 3.1 -0.0 1.5 8.7 -0.9 7.2 -3.1 3.9 -3.1 -13.9 -14.8 -8.2 -6.1 SUGAR11 -19.9 1.2 13.4 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 13.5 7.1 -2.9 4.5 -4.3 6.5 20.0 20.0 20.0 20.0 6.1 9.1 4.6 6.7 -0.1 -20.0 -0.0 5.7 2.4 5.4 1.7 3.7 3.3 20.0 3.5 7.6 20.0 20.0 US10 2.2 16.5 10.7 1.2 6.9 -2.7 6.9 -6.4 4.4 8.0 -6.3 10.2 -11.8 8.5 7.8 -9.0 -1.3 -7.7 -5.5 4.1 -7.2 12.8 -19.5 9.7 -4.7 -0.0 2.1 5.8 -2.6 5.4 -8.4 4.0 -6.5 -6.3 -8.2 4.7 3.0 US10U 1.1 16.3 9.9 1.2 6.9 -2.7 6.9 -6.4 4.4 6.1 -6.2 9.5 -11.8 6.0 6.6 1.0 4.6 0.9 1.8 3.5 -7.3 11.2 -19.2 8.6 -7.3 -0.0 2.8 5.0 -1.7 5.4 -6.7 4.6 4.9 -4.5 -4.8 7.9 3.8 US20 -2.1 18.7 10.8 1.2 6.9 -2.7 6.9 -6.4 4.4 7.8 -4.7 9.6 -11.0 5.2 7.3 -6.8 0.7 -3.4 -1.3 4.0 -7.1 10.8 -19.2 8.3 -6.5 -0.0 1.6 4.5 -2.2 3.3 -6.6 2.4 -1.0 -10.3 -14.7 7.2 -0.5 US30 -2.4 19.0 18.8 1.2 6.9 -2.7 6.9 -6.4 4.4 8.0 -4.4 9.1 -12.3 3.1 5.7 -1.7 0.1 -1.1 -0.8 3.2 -7.6 11.5 -20.0 7.7 -7.9 -0.0 2.5 5.2 -1.4 4.4 -6.1 3.5 -1.3 -3.8 -9.5 12.8 1.8 US5 1.9 17.3 12.7 1.2 6.9 -2.7 6.9 -6.4 4.4 9.8 -6.3 10.3 -12.2 8.8 8.0 -7.7 -0.1 -6.4 -4.7 4.2 -7.6 14.0 -20.0 10.1 -2.6 -0.0 2.4 5.9 -2.8 5.8 -9.5 4.4 -4.9 -6.0 -7.6 5.9 3.6 VIX -16.5 -15.4 -17.9 -4.9 -5.4 -3.9 -6.2 -2.7 -5.5 -13.1 -15.2 -15.5 -12.7 -16.2 -16.1 -20.0 -20.0 -20.0 -20.0 -20.0 -19.7 -20.0 -13.5 -20.0 NaN -0.0 -6.2 -7.2 -5.2 -5.9 -3.5 -5.8 NaN NaN NaN NaN NaN WHEAT 4.6 -13.3 -16.9 -3.3 0.0 -4.2 -0.4 -1.5 -1.8 10.8 -14.9 -9.9 -11.0 -11.9 -13.0 -8.6 -5.1 -7.1 -6.0 -17.0 -18.6 -6.0 -10.7 -11.6 0.6 -0.0 -4.3 -0.6 -3.9 -1.3 0.1 -2.3 -20.0 -17.5 3.3 -8.5 -5.0 End of report for caleb_strategy_v1