******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230118_204342 produced at 2023-01-18 21:35:49.246751 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.24 -0.26 0.0 7849206.95 -7849206.95 -0.24 -0.24 -32.53 999999999 -30 -30 caleb_strategy_v1 LIVECOW False False 0.02 -0.13 -0.14 0.0 21763710.19 -21763710.19 -0.13 -0.13 -6.23 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 31600703.32 -31600703.32 -0.13 -0.13 -3.73 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.09 0.0 46615284.81 -46615284.81 -0.09 -0.09 -1.93 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.06 0.0 37467433.36 -37467433.36 -0.19 -0.19 -1.61 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 39384075.48 -39384075.48 0.00 0.00 -1.46 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.04 -0.06 0.0 11709249.85 -11709249.85 -0.04 -0.02 -5.30 999999999 -3 -2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.82 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.04 0.0 44884466.71 -44884466.71 -0.04 -0.04 -0.91 999999999 -1 -1 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 78398626.60 -78398626.60 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 38399747.55 -38399747.55 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.01 -0.02 0.0 8902563.73 -8902563.73 -0.01 -0.01 -1.75 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 49195584.17 -49195584.17 0.00 0.00 -0.44 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.01 0.0 33204099.22 -33204099.22 -0.10 -0.10 -0.43 999999999 -3 -3 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 87163574.37 -87163574.37 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5697301.00 -5697301.00 0.00 0.00 -1.53 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3179948.19 -3179948.19 0.00 0.00 -4.02 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13145722.69 -13145722.69 -0.03 -0.03 -0.62 999999999 -2 -2 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 67325638.22 -67325638.22 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4205067.34 -4205067.34 0.00 0.00 0.88 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 10523374.00 -10523374.00 0.00 0.00 -0.33 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.00 0.0 6475086.05 -6475086.05 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 19591161.84 -19591161.84 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 58104519.01 -58104519.01 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14402105.49 -14402105.49 0.00 0.00 0.06 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10476652.53 -10476652.53 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 0.00 0.0 6459455.59 -6459455.59 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.00 0.0 45997287.18 -45997287.18 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14194832.06 -14194832.06 -0.01 -0.01 -0.29 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.00 0.0 56060740.46 -56060740.46 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12997063.46 -12997063.46 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23632568.99 -23632568.99 0.00 0.00 0.45 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10206517.48 -10206517.48 0.03 0.03 1.04 999999999 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.01 0.0 25190517.64 -25190517.64 0.00 0.00 0.48 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20281365.37 -20281365.37 0.00 0.00 0.52 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7558072.73 -7558072.73 0.02 0.02 1.80 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17755857.55 -17755857.55 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 711695.41 -711695.41 0.00 0.00 13.23 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 21865647.94 -21865647.94 0.04 0.04 0.69 999999999 2 2 caleb_strategy_v1 GBP False False 0.03 0.08 0.02 0.0 26225610.57 -26225610.57 0.08 0.08 0.87 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.00 0.02 0.0 5580408.57 -5580408.57 0.00 0.00 2.79 999999999 0 0 caleb_strategy_v1 US10U False False 0.04 -0.04 0.03 0.0 41725458.23 -41725458.23 -0.04 -0.04 0.65 999999999 -1 -1 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 35839614.87 -35839614.87 0.07 0.07 0.95 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8924650.24 -8924650.24 0.03 0.03 3.47 999999999 3 3 caleb_strategy_v1 CAC False False 0.03 0.08 0.03 0.0 25960632.63 -25960632.63 0.08 0.05 1.00 999999999 3 2 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.03 0.0 15285626.36 -15285626.36 0.02 0.02 2.13 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 43217001.17 -43217001.17 0.04 0.04 1.06 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.05 0.0 26204798.28 -26204798.28 0.08 0.05 1.79 999999999 3 2 caleb_strategy_v1 HEATOIL False False 0.04 0.09 0.06 0.0 43396124.56 -43396124.56 0.09 0.09 1.50 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.06 0.0 30785201.30 -30785201.30 0.03 0.03 1.90 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.05 0.06 0.0 49585706.61 -49585706.61 0.05 0.05 1.18 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15633853.33 -15633853.33 0.08 0.08 4.48 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.10 0.0 23356487.58 -23356487.58 0.05 0.05 4.41 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 27.65 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.21 0.22 0.0 51440954.13 -51440954.13 0.21 0.21 4.33 999999999 4 4 caleb_strategy_v1 BOBL False False 0.04 0.17 0.27 0.0 43528653.42 -43528653.42 0.17 0.17 6.24 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 14.2 Shocked risk 40.9 Sum abs risk 40.0 Leverage 2.45 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2942972.47, 'annual_cash_vol_target': 735743.1175, 'daily_cash_vol_target': 45983.94484375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0057 0.6955 0.8215 13.1442 BITCOIN 794.9303 20945.0000 3.7953 60.7252 BOBL 0.3550 118.7200 0.2990 4.7844 BTP 0.8993 117.8700 0.7629 12.2071 BUND 0.7821 140.3000 0.5574 8.9189 BUXL 2.0225 152.9000 1.3227 21.1638 CAC 61.2020 7080.5000 0.8644 13.8300 CAD 0.0041 0.7413 0.5483 8.7732 CANOLA 8.3059 834.9000 0.9948 15.9174 CHF 0.0061 1.0975 0.5525 8.8407 COCOA 37.6093 2620.0000 1.4355 22.9675 COFFEE 0.0380 1.5375 2.4746 39.5939 COPPER 0.0517 4.2190 1.2258 19.6125 CORN 4.5235 600.7500 0.7530 12.0476 COTTON2 0.0175 0.8477 2.0668 33.0692 CRUDE_W 1.2826 77.1200 1.6632 26.6108 DAX 130.6554 15220.0000 0.8584 13.7351 DOW 313.9015 33534.0000 0.9361 14.9771 EUR 0.0058 1.0830 0.5353 8.5651 EUROSTX 41.3122 4169.0000 0.9909 15.8550 FEEDCOW 1.1956 186.0000 0.6428 10.2848 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.8204 906.0000 2.1877 35.0029 GASOILINE 0.0527 2.6907 1.9573 31.3168 GAS_US 0.2123 3.0970 6.8543 109.6687 GBP 0.0085 1.2349 0.6912 11.0591 GOLD_micro 15.5867 1905.6000 0.8179 13.0871 HEATOIL 0.0588 3.0408 1.9322 30.9147 JPY 0.0001 0.0078 0.9274 14.8392 LEANHOG 1.3479 86.1500 1.5646 25.0338 LIVECOW 0.7915 160.1250 0.4943 7.9085 MXP 0.0003 0.0525 0.6397 10.2356 NASDAQ 151.4248 11536.2500 1.3126 21.0016 NIKKEI 256.0954 26140.0000 0.9797 15.6753 NZD 0.0049 0.6435 0.7593 12.1491 OAT 0.8172 135.2400 0.6042 9.6679 OJ 0.0247 2.0555 1.2014 19.2232 PALLAD 41.9925 1710.0000 2.4557 39.2912 PLAT 18.9759 1045.1000 1.8157 29.0513 REDWHEAT 13.0933 835.5000 1.5671 25.0740 ROBUSTA 26.3526 1901.0000 1.3862 22.1800 RUSSELL 23.7306 1871.7000 1.2679 20.2858 SILVER-mini 0.4315 23.8750 1.8072 28.9148 SOYBEAN 10.6831 1374.7500 0.7771 12.4335 SOYMEAL 6.0885 460.1000 1.3233 21.1729 SOYOIL 0.8943 63.7500 1.4029 22.4462 SP400 28.8204 2565.2000 1.1235 17.9763 SP500 41.8874 3962.7500 1.0570 16.9124 SUGAR11 0.0025 0.1986 1.2625 20.2008 US10 0.5704 115.9062 0.4921 7.8743 US10U 0.7779 122.7969 0.6334 10.1351 US20 1.1007 132.0938 0.8333 13.3325 US30 1.7396 144.7812 1.2016 19.2251 US5 0.3737 110.2656 0.3389 5.4223 VIX 0.5328 23.1000 2.3064 36.9031 WHEAT 10.5145 773.7500 1.3589 21.7425 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 695.50 0.82 571.36 1.00 571.36 45983.94 80.48 3.47 27.90 BITCOIN 20.94 3.80 79.49 1.00 79.49 45983.94 578.47 9.71 561.64 BOBL 1187.20 0.30 355.00 1.08 383.20 45983.94 120.00 7.21 86.49 BTP 1178.70 0.76 899.28 1.08 970.72 45983.94 47.37 11.07 52.45 BUND 1403.00 0.56 782.08 1.08 844.20 45983.94 54.47 11.01 59.97 BUXL 1529.00 1.32 2022.46 1.08 2183.13 45983.94 21.06 -0.18 -0.38 CAC 708.05 0.86 612.02 1.08 660.64 45983.94 69.61 5.13 35.73 CAD 741.35 0.55 406.50 1.00 406.50 45983.94 113.12 2.40 27.10 CANOLA 166.98 0.99 166.12 0.75 124.20 45983.94 370.25 2.60 96.18 CHF 1371.88 0.55 758.02 1.00 758.02 45983.94 60.66 -8.48 -51.46 COCOA 262.00 1.44 376.09 1.00 376.09 45983.94 122.27 -6.56 -80.15 COFFEE 576.56 2.47 1426.77 1.00 1426.77 45983.94 32.23 -4.65 -14.98 COPPER 1054.75 1.23 1292.89 1.00 1292.89 45983.94 35.57 9.76 34.70 CORN 300.38 0.75 226.17 1.00 226.17 45983.94 203.31 5.68 115.47 COTTON2 423.85 2.07 876.02 1.00 876.02 45983.94 52.49 0.81 4.23 CRUDE_W 771.20 1.66 1282.64 1.00 1282.64 45983.94 35.85 3.79 13.57 DAX 152.20 0.86 130.66 1.08 141.03 45983.94 326.05 1.58 51.45 DOW 167.67 0.94 156.95 1.00 156.95 45983.94 292.98 -1.84 -53.82 EUR 1353.69 0.54 724.65 1.00 724.65 45983.94 63.46 0.31 1.98 EUROSTX 416.90 0.99 413.12 1.08 445.94 45983.94 103.12 7.36 75.90 FEEDCOW 930.00 0.64 597.80 1.00 597.80 45983.94 76.92 -18.06 -138.91 FTSE100 707.00 0.82 576.59 1.23 666.67 45983.94 68.98 -2.56 -17.68 GASOIL 906.00 2.19 1982.04 1.00 1982.04 45983.94 23.20 11.46 26.59 GASOILINE 1130.09 1.96 2211.93 1.00 2211.93 45983.94 20.79 -5.22 -10.84 GAS_US 309.70 6.85 2122.78 1.00 2122.78 45983.94 21.66 -10.17 -22.02 GBP 771.81 0.69 533.47 1.00 533.47 45983.94 86.20 5.66 48.76 GOLD_micro 190.56 0.82 155.87 1.00 155.87 45983.94 295.02 -0.20 -5.86 HEATOIL 1277.14 1.93 2467.64 1.00 2467.64 45983.94 18.63 11.27 20.99 JPY 977.19 0.93 906.29 1.00 906.29 45983.94 50.74 -1.31 -6.67 LEANHOG 344.60 1.56 539.17 1.00 539.17 45983.94 85.29 -13.31 -113.52 LIVECOW 640.50 0.49 316.59 1.00 316.59 45983.94 145.25 -15.96 -231.81 MXP 262.65 0.64 168.02 1.00 168.02 45983.94 273.67 10.36 283.58 NASDAQ 2307.25 1.31 3028.50 1.00 3028.50 45983.94 15.18 -3.84 -5.83 NIKKEI 26140.00 0.98 25609.54 0.01 199.22 45983.94 230.82 6.31 145.59 NZD 643.50 0.76 488.62 1.00 488.62 45983.94 94.11 4.61 43.37 OAT 1352.40 0.60 817.18 1.08 882.10 45983.94 52.13 11.23 58.55 OJ 308.32 1.20 370.44 1.00 370.44 45983.94 124.13 0.79 9.82 PALLAD 1710.00 2.46 4199.25 1.00 4199.25 45983.94 10.95 -2.28 -2.50 PLAT 522.55 1.82 948.80 1.00 948.80 45983.94 48.47 3.11 15.08 REDWHEAT 417.75 1.57 654.67 1.00 654.67 45983.94 70.24 -7.71 -54.15 ROBUSTA 190.10 1.39 263.53 1.00 263.53 45983.94 174.50 1.40 24.35 RUSSELL 93.58 1.27 118.65 1.00 118.65 45983.94 387.55 -2.00 -77.66 SILVER-mini 596.88 1.81 1078.66 1.00 1078.66 45983.94 42.63 5.49 23.42 SOYBEAN 687.38 0.78 534.16 1.00 534.16 45983.94 86.09 8.68 74.76 SOYMEAL 460.10 1.32 608.85 1.00 608.85 45983.94 75.53 10.06 75.97 SOYOIL 382.50 1.40 536.61 1.00 536.61 45983.94 85.69 2.50 21.41 SP400 2565.20 1.12 2882.04 1.00 2882.04 45983.94 15.96 -0.96 -1.53 SP500 1981.38 1.06 2094.37 1.00 2094.37 45983.94 21.96 -2.64 -5.79 SUGAR11 222.43 1.26 280.83 1.00 280.83 45983.94 163.74 8.09 132.52 US10 1159.06 0.49 570.42 1.00 570.42 45983.94 80.61 -4.71 -37.94 US10U 1227.97 0.63 777.85 1.00 777.85 45983.94 59.12 0.75 4.43 US20 1320.94 0.83 1100.71 1.00 1100.71 45983.94 41.78 -2.96 -12.37 US30 1447.81 1.20 1739.65 1.00 1739.65 45983.94 26.43 -1.96 -5.19 US5 1102.66 0.34 373.69 1.00 373.69 45983.94 123.05 -3.40 -41.89 VIX 231.00 2.31 532.79 1.00 532.79 45983.94 86.31 -20.00 -172.62 WHEAT 386.88 1.36 525.73 1.00 525.73 45983.94 87.47 -13.38 -116.99 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 27.900 0.006 2.5 0.446 BITCOIN 561.639 0.009 2.5 13.233 BOBL 86.494 0.029 2.5 6.241 BTP 52.446 0.008 2.5 1.059 BUND 59.972 0.029 2.5 4.327 BUXL -0.380 0.034 2.5 -0.032 CAC 35.731 0.011 2.5 1.004 CAD 27.104 0.007 2.5 0.484 CANOLA 96.177 0.004 2.5 0.883 CHF -51.458 0.015 2.5 -1.926 COCOA -80.149 0.009 2.5 -1.746 COFFEE -14.979 0.005 2.5 -0.194 COPPER 34.701 0.011 2.5 0.948 CORN 115.471 0.004 2.5 1.042 COTTON2 4.233 0.006 2.5 0.064 CRUDE_W 13.574 0.053 2.5 1.793 DAX 51.445 0.022 2.5 2.794 DOW -53.822 0.011 2.5 -1.534 EUR 1.982 0.015 2.5 0.074 EUROSTX 75.901 0.011 2.5 2.134 FEEDCOW -138.908 0.011 2.5 -3.733 FTSE100 -17.679 0.041 2.5 -1.823 GASOIL 26.594 0.029 2.5 1.897 GASOILINE -10.843 0.016 2.5 -0.445 GAS_US -22.024 0.006 2.5 -0.332 GBP 48.764 0.007 2.5 0.871 GOLD_micro -5.859 0.009 2.5 -0.131 HEATOIL 20.994 0.029 2.5 1.497 JPY -6.667 0.026 2.5 -0.432 LEANHOG -113.518 0.019 2.5 -5.304 LIVECOW -231.807 0.011 2.5 -6.229 MXP 283.582 0.005 2.5 3.472 NASDAQ -5.830 0.022 2.5 -0.317 NIKKEI 145.587 0.076 2.5 27.652 NZD 43.373 0.006 2.5 0.693 OAT 58.551 0.008 2.5 1.182 OJ 9.820 0.007 2.5 0.171 PALLAD -2.497 0.010 2.5 -0.060 PLAT 15.077 0.010 2.5 0.363 REDWHEAT -54.147 0.002 2.5 -0.289 ROBUSTA 24.348 0.005 2.5 0.316 RUSSELL -77.656 0.021 2.5 -4.022 SILVER-mini 23.419 0.009 2.5 0.524 SOYBEAN 74.763 0.024 2.5 4.408 SOYMEAL 75.969 0.024 2.5 4.479 SOYOIL 21.413 0.004 2.5 0.197 SP400 -1.526 0.021 2.5 -0.079 SP500 -5.789 0.011 2.5 -0.165 SUGAR11 132.521 0.005 2.5 1.798 US10 -37.938 0.015 2.5 -1.455 US10U 4.433 0.058 2.5 0.646 US20 -12.375 0.029 2.5 -0.912 US30 -5.191 0.034 2.5 -0.436 US5 -41.887 0.015 2.5 -1.607 VIX -172.616 0.075 2.5 -32.529 WHEAT -116.993 0.002 2.5 -0.625 ==================== Position diags ==================== AUD 1.29 BITCOIN 13.63 BOBL 8.66 BTP 0.96 BUND 3.93 BUXL 1.77 CAC 1.96 CAD 2.02 CANOLA 3.40 CHF 2.27 COCOA 2.66 COFFEE 0.42 COPPER 0.97 CORN 1.83 COTTON2 0.79 CRUDE_W 4.74 DAX 17.71 DOW 8.35 EUR 2.37 EUROSTX 2.90 FEEDCOW 2.07 FTSE100 7.11 GASOIL 1.65 GASOILINE 0.85 GAS_US 0.33 GBP 1.54 GOLD_micro 6.60 HEATOIL 1.33 JPY 3.28 LEANHOG 3.98 LIVECOW 3.90 MXP 3.35 NASDAQ 0.82 NIKKEI 43.84 NZD 1.50 OAT 1.05 OJ 2.17 PALLAD 0.26 PLAT 1.17 REDWHEAT 0.37 ROBUSTA 2.26 RUSSELL 20.07 SILVER-mini 0.95 SOYBEAN 5.08 SOYMEAL 4.45 SOYOIL 0.79 SP400 0.83 SP500 0.63 SUGAR11 2.22 US10 3.09 US10U 8.61 US20 3.08 US30 2.22 US5 4.72 VIX 16.26 WHEAT 0.47 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 13.2 11.9 14.6 NaN 0 BOBL 6.2 5.4 7.1 4.0 4 BTP 1.1 1.0 1.2 1.0 1 BUND 4.3 3.9 4.7 4.0 4 BUXL -0.0 -0.2 0.1 0.0 0 CAC 1.0 0.8 1.2 3.0 3 CAD 0.5 0.3 0.7 0.0 0 CANOLA 0.9 0.5 1.2 NaN 0 CHF -1.9 -2.2 -1.7 -2.0 -2 COCOA -1.7 -2.0 -1.5 -1.0 -1 COFFEE -0.2 -0.2 -0.2 NaN 0 COPPER 0.9 0.9 1.0 2.0 2 CORN 1.0 0.9 1.2 3.0 3 COTTON2 0.1 -0.0 0.1 NaN 0 CRUDE_W 1.8 1.3 2.3 3.0 3 DAX 2.8 1.0 4.6 0.0 0 DOW -1.5 -2.4 -0.7 0.0 0 EUR 0.1 -0.2 0.3 0.0 0 EUROSTX 2.1 1.8 2.4 1.0 1 FEEDCOW -3.7 -3.9 -3.5 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 1.9 1.7 2.1 1.0 1 GASOILINE -0.4 -0.5 -0.4 0.0 0 GAS_US -0.3 -0.4 -0.3 0.0 0 GBP 0.9 0.7 1.0 3.0 3 GOLD_micro -0.1 -0.8 0.5 0.0 0 HEATOIL 1.5 1.4 1.6 2.0 2 JPY -0.4 -0.8 -0.1 -3.0 -3 LEANHOG -5.3 -5.7 -4.9 -3.0 -3 LIVECOW -6.2 -6.6 -5.8 -6.0 -6 MXP 3.5 3.1 3.8 3.0 3 NASDAQ -0.3 -0.4 -0.2 0.0 0 NIKKEI 27.7 23.3 32.0 0.0 0 NZD 0.7 0.5 0.8 2.0 2 OAT 1.2 1.1 1.3 1.0 1 OJ 0.2 -0.0 0.4 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.4 0.2 0.5 NaN 0 REDWHEAT -0.3 -0.3 -0.3 -1.0 -1 ROBUSTA 0.3 0.1 0.5 0.0 0 RUSSELL -4.0 -6.0 -2.0 0.0 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 4.4 3.9 4.9 2.0 2 SOYMEAL 4.5 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 -0.2 -0.2 -0.1 0.0 0 SUGAR11 1.8 1.6 2.0 2.0 2 US10 -1.5 -1.8 -1.1 NaN 0 US10U 0.6 -0.2 1.5 -1.0 -1 US20 -0.9 -1.2 -0.6 -1.0 -1 US30 -0.4 -0.7 -0.2 0.0 0 US5 -1.6 -2.1 -1.1 -5.0 -5 VIX -32.5 -34.2 -30.9 -30.0 -30 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 0.2 0.2 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 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 -0.0 0.2 0.0 -0.1 BITCOIN 0.2 0.2 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 0.0 0.2 -0.1 -0.3 BOBL 0.1 -0.0 -0.0 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.1 -0.5 0.5 0.1 0.2 -0.1 -0.2 0.0 -0.2 0.0 2.0 -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 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.1 0.9 0.6 0.3 0.3 0.1 -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 0.2 BUND 0.1 0.0 0.1 0.0 0.1 -0.1 0.2 -0.1 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 0.0 -0.0 0.1 0.0 0.1 -0.1 0.2 -0.1 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 0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.1 -0.2 -0.1 -0.1 CAC 0.2 0.1 0.3 0.1 0.0 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 2.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.2 -0.1 0.0 -0.3 -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 -0.1 -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 0.1 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 0.2 0.1 0.0 0.0 0.0 -1.4 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -2.3 -0.0 -0.2 -0.0 0.0 COCOA 0.0 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 -0.2 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 -2.2 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.1 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 -0.1 -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 -0.1 -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 2.0 -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 0.0 0.1 -0.0 -0.1 0.0 -0.0 0.0 -0.1 -0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.5 0.0 -0.1 0.4 -0.1 CRUDE_W 0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 0.1 0.0 0.0 -0.1 0.0 0.0 0.0 0.2 0.7 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 0.3 0.1 0.4 0.1 0.0 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 -0.4 -0.2 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 0.1 0.0 0.0 0.2 -0.0 0.1 0.0 0.3 0.1 0.1 0.1 0.4 0.8 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 1.6 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 0.1 -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 -0.1 -0.2 -0.0 0.0 -0.0 0.1 0.1 0.0 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 0.2 -0.2 -0.2 -0.0 GASOILINE 0.2 0.0 -0.2 -0.0 0.0 -0.0 0.1 0.1 0.0 0.0 -0.2 0.0 0.1 0.0 0.0 -1.7 0.5 -0.4 -0.1 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 -1.2 0.0 0.3 0.3 0.2 GAS_US -0.2 -0.3 -0.3 -0.0 0.0 -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 -0.5 -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 0.2 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 0.0 -0.1 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 -1.8 -0.1 0.0 0.1 0.1 HEATOIL 0.1 -0.1 -0.2 -0.0 0.0 -0.0 0.1 0.1 0.0 0.0 -0.1 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 0.9 -0.0 0.1 0.0 0.0 0.0 -0.1 0.0 -2.0 0.0 0.1 0.2 0.1 LEANHOG -0.2 -0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -1.6 0.3 -0.4 -0.2 -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 -1.5 -0.1 -0.4 -0.2 0.1 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 0.2 -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 0.1 -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 -0.1 -0.4 -0.1 -0.1 -0.1 -0.1 -0.2 0.0 -0.2 0.0 1.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.4 -0.1 -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 -0.0 0.0 -0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.5 0.0 -0.0 0.1 0.1 OAT 0.1 -0.0 0.2 0.0 0.1 -0.1 0.2 -0.1 0.1 0.0 -0.2 0.0 -0.3 0.0 -0.0 1.0 0.5 0.3 0.3 -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 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 1.3 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 -0.2 -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 -0.7 -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 -0.1 -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 -0.3 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -1.7 -0.0 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 0.2 -0.0 0.1 0.1 0.1 0.0 0.2 -0.0 0.1 0.0 -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 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.0 -0.1 -0.1 -0.1 SILVER-mini -0.1 0.3 0.4 0.1 0.0 0.1 0.2 0.0 0.1 -0.0 0.3 0.0 -0.0 0.0 0.4 -0.3 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.0 0.0 1.1 -0.0 0.1 0.0 0.1 0.0 -0.0 0.0 -0.0 -0.0 -0.3 0.1 0.2 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 0.0 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 -0.1 -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 0.4 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 1.5 0.1 0.4 0.3 0.3 SOYOIL -0.0 -0.2 -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 0.4 0.8 0.2 0.3 -0.1 -0.0 0.0 0.1 -0.0 -1.9 -0.0 -0.0 0.0 0.0 0.0 0.1 -0.0 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 0.1 -0.0 0.1 0.1 0.1 0.0 0.2 -0.0 0.1 0.0 -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 0.1 0.3 0.3 0.0 0.0 -0.1 0.1 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 -0.7 -0.1 -0.2 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.9 -0.0 -0.0 0.0 0.0 US10U 0.1 0.3 0.2 0.0 0.1 -0.1 0.2 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 0.1 0.2 0.0 0.0 0.1 -0.1 0.0 -0.2 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.7 -0.0 -0.1 0.1 0.0 US20 0.0 0.3 0.3 0.0 0.0 -0.1 0.2 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 -0.6 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.8 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.1 -0.0 US30 0.0 0.3 0.3 0.0 0.1 -0.1 0.2 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 -0.2 0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.9 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.1 0.0 US5 0.1 0.3 0.3 0.0 0.0 -0.1 0.2 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.2 -0.7 -0.0 -0.1 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.3 -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 -0.2 -0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.7 -0.1 0.0 -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 12.7 14.1 15.5 4.3 3.0 1.3 4.7 -2.4 5.0 10.0 1.2 13.8 -6.0 14.3 13.6 -3.1 -2.2 -2.9 -2.6 12.3 3.3 12.2 -5.6 14.9 5.4 -0.0 4.9 1.1 1.0 4.4 -2.6 6.0 -0.5 -0.1 7.8 0.1 -7.1 BITCOIN 18.1 10.9 18.7 4.2 10.4 2.6 8.9 1.2 6.0 11.9 -12.6 13.8 -15.7 12.7 0.9 1.7 -0.3 1.5 0.9 3.8 -9.9 20.0 -20.0 15.5 20.0 -0.0 1.8 11.7 -2.9 10.6 -4.7 6.8 3.0 8.9 7.3 -3.5 -20.0 BOBL 12.6 -0.8 -1.3 1.7 10.5 -2.1 8.5 -5.6 5.2 14.1 -12.6 14.1 -13.6 0.1 -4.6 -5.6 11.8 3.5 9.6 -8.2 -18.9 20.0 -20.0 5.9 13.6 -0.0 -1.3 9.7 -5.8 7.8 -10.5 3.3 19.2 -6.1 -3.5 -13.6 -6.5 BTP 12.3 1.9 17.5 1.7 10.5 -2.1 8.5 -5.6 5.2 14.0 -2.6 14.4 -10.8 4.6 4.8 10.6 14.3 13.4 15.2 4.5 -4.3 20.0 -15.9 14.4 -1.6 -0.0 2.4 10.3 -1.3 8.8 -6.4 5.5 20.0 6.7 7.5 -4.8 10.7 BUND 12.8 1.3 4.5 1.7 10.5 -2.1 8.5 -5.6 5.2 14.0 -11.0 14.0 -13.0 1.6 -2.3 12.3 15.8 13.3 14.5 -5.4 -15.7 20.0 -20.0 7.7 9.6 -0.0 -0.1 10.1 -4.5 8.2 -8.9 4.2 20.0 -1.1 0.5 -10.2 -4.6 BUXL 0.5 -0.2 7.5 1.7 10.5 -2.1 8.5 -5.6 5.2 13.8 -8.1 12.4 -11.9 -2.3 -2.5 3.3 -0.4 4.2 3.0 -6.1 -12.6 15.7 -20.0 2.1 4.3 -0.0 -0.4 8.8 -3.4 6.1 -7.0 2.4 1.2 -8.1 -9.3 -8.8 -4.4 CAC 20.0 5.5 20.0 3.3 4.3 0.9 7.1 -0.8 5.8 13.5 13.6 15.5 3.3 14.8 15.3 -3.5 2.5 -1.7 0.1 20.0 17.0 20.0 9.4 20.0 -13.6 -0.0 5.2 5.5 3.7 7.2 1.9 6.4 6.6 6.1 5.0 4.5 17.9 CAD 13.1 4.3 1.9 4.3 3.0 1.3 4.7 -2.4 5.0 0.4 -8.3 8.8 -10.3 6.9 2.8 -1.8 -1.1 -1.8 -1.6 1.3 -6.3 3.7 -10.6 6.0 14.0 -0.0 1.9 -3.4 -3.2 2.5 -6.2 4.6 1.3 -9.6 0.6 -18.1 -18.2 CANOLA -4.1 2.6 -0.7 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 -7.7 -8.9 -8.3 -5.2 2.1 1.6 1.3 11.3 5.0 6.8 -3.1 -5.5 -10.1 -1.0 -6.6 5.2 -0.0 -2.9 -4.1 -1.9 -5.0 1.3 -4.5 -1.0 -20.0 -12.1 -1.2 10.1 CHF -4.7 13.6 19.5 4.3 3.0 1.3 4.7 -2.4 5.0 11.3 11.7 7.5 -0.7 11.1 14.3 -14.1 -12.4 -13.4 -13.1 12.8 9.7 8.0 0.4 8.5 -9.9 -0.0 5.3 5.5 3.0 3.8 -1.5 4.5 -18.2 -1.9 -9.4 -0.4 0.7 COCOA 1.2 10.7 18.2 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 -6.6 9.4 3.5 -4.4 9.6 13.3 -2.6 -3.0 -1.4 -1.6 12.8 8.6 4.4 0.7 10.3 -14.3 -0.0 6.0 0.2 3.6 3.1 0.6 5.6 -20.0 14.2 20.0 20.0 20.0 COFFEE -4.8 4.8 -20.0 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 1.0 -13.6 -8.0 -10.4 -8.0 -13.8 -1.0 3.3 1.3 3.4 -18.6 -20.0 -11.8 -14.3 -15.7 11.7 -0.0 -5.2 0.6 -6.6 -2.9 -4.3 -3.9 -9.9 -19.3 -14.2 1.9 -20.0 COPPER 20.0 20.0 20.0 4.2 10.4 2.6 8.9 1.2 6.0 13.4 -0.2 15.1 -6.2 14.6 13.9 -0.8 -0.2 -0.6 -0.3 20.0 10.2 20.0 -3.0 20.0 9.1 -0.0 5.7 5.8 2.7 8.2 0.2 7.5 2.1 20.0 19.6 14.4 9.3 CORN 1.9 -11.0 -7.4 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 9.2 0.9 -2.1 3.6 -5.5 -10.4 20.0 17.2 20.0 19.4 -6.1 -2.1 4.7 9.7 -3.2 -9.6 -0.0 -4.8 1.4 -2.6 -0.6 3.0 -3.5 14.4 -1.0 -4.2 -7.8 -5.9 COTTON2 1.7 7.2 -13.0 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 2.3 -9.8 -0.1 -4.3 0.3 -0.3 -0.1 13.7 2.8 8.2 -3.3 -9.9 1.2 -5.4 0.6 -0.3 -0.0 1.1 2.6 -1.6 1.5 2.1 2.3 3.8 12.6 -3.7 14.4 -4.3 CRUDE_W 6.2 -1.6 -0.9 -0.1 3.0 -1.3 5.0 3.6 3.2 9.5 -5.7 10.3 1.9 6.7 6.4 8.0 12.4 7.8 9.6 1.5 -1.0 11.8 4.1 6.5 -7.5 -0.0 2.7 6.0 1.4 8.4 5.9 6.1 0.0 6.1 7.2 8.1 11.5 DAX 20.0 6.7 20.0 3.3 4.3 0.9 7.1 -0.8 5.8 13.6 12.4 15.5 -1.2 14.7 15.0 -8.5 -3.4 -6.9 -5.2 20.0 16.3 20.0 3.8 20.0 -9.4 -0.0 5.1 4.6 3.6 6.6 0.7 6.0 -3.0 8.8 6.4 2.2 20.0 DOW 0.0 -1.6 19.5 3.3 4.3 0.9 7.1 -0.8 5.8 -1.6 9.2 3.5 0.5 -0.5 10.7 -6.0 -2.9 -5.6 -4.7 7.7 7.4 2.1 2.3 5.1 -6.1 -0.0 3.3 -0.2 2.7 3.2 1.0 3.1 -2.3 -15.2 -18.8 -11.0 8.1 EUR 0.8 20.0 20.0 4.3 3.0 1.3 4.7 -2.4 5.0 9.0 8.6 11.3 -6.3 14.0 15.6 -8.0 -8.4 -7.9 -8.3 20.0 12.3 11.5 -5.9 17.0 0.3 -0.0 6.0 1.0 2.8 3.6 -2.4 5.6 -10.7 6.1 6.3 12.0 15.5 EUROSTX 17.4 3.0 20.0 3.3 4.3 0.9 7.1 -0.8 5.8 13.4 13.3 15.4 2.0 14.9 15.2 9.4 4.4 6.5 4.7 20.0 16.9 20.0 7.5 20.0 -16.0 -0.0 5.2 4.3 4.2 6.2 1.8 5.8 11.6 4.2 1.5 3.0 20.0 FEEDCOW -5.5 7.1 3.7 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 -13.5 1.7 -11.9 -0.2 1.0 7.1 -20.0 -20.0 -20.0 -20.0 2.2 1.7 -16.6 -0.4 -4.9 -20.0 -0.0 4.2 -7.0 2.3 -3.8 0.5 2.1 -20.0 -19.2 5.7 20.0 12.9 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 8.2 -8.3 -10.2 -0.1 3.0 -1.3 5.0 3.6 3.2 13.1 -5.9 8.4 8.9 6.5 -4.9 20.0 20.0 20.0 20.0 -1.8 -1.1 13.6 10.8 6.1 -5.4 -0.0 -3.1 4.7 -2.2 4.2 3.6 0.3 20.0 13.2 -11.1 -13.1 -2.9 GASOILINE 18.4 1.6 -10.0 -0.1 3.0 -1.3 5.0 3.6 3.2 11.6 -10.0 12.3 2.7 10.1 1.4 -20.0 11.9 -20.0 -3.5 4.0 -1.5 20.0 5.3 14.2 -8.9 -0.0 4.1 5.9 1.9 8.1 4.5 7.3 -8.3 14.2 20.0 20.0 17.0 GAS_US -20.0 -20.0 -20.0 -0.1 3.0 -1.3 5.0 3.6 3.2 -13.3 -14.3 -15.5 -5.7 -16.3 -16.1 20.0 -1.9 11.9 3.1 -20.0 -20.0 -20.0 -9.3 -20.0 -3.8 -0.0 -5.7 -3.9 -2.9 -5.0 1.4 -6.2 -19.0 -20.0 -20.0 -20.0 -20.0 GBP -1.3 11.4 18.3 4.3 3.0 1.3 4.7 -2.4 5.0 14.1 6.5 14.0 -4.8 5.4 12.2 -2.0 -1.6 -2.0 -1.9 11.2 5.3 11.7 -7.3 9.6 13.4 -0.0 4.0 6.2 -0.9 5.4 -7.4 4.8 0.5 4.2 -7.7 -4.1 -0.2 GOLD_micro 17.2 20.0 20.0 4.2 10.4 2.6 8.9 1.2 6.0 8.9 5.7 13.2 -5.8 15.2 15.5 -11.6 -9.0 -11.1 -10.4 20.0 11.3 20.0 -0.3 20.0 6.0 -0.0 5.6 6.3 2.8 7.2 0.1 6.6 -14.0 -9.2 1.1 5.9 3.7 HEATOIL 5.1 -7.1 -9.9 -0.1 3.0 -1.3 5.0 3.6 3.2 12.1 -5.9 6.1 8.2 6.5 -2.2 20.0 20.0 20.0 20.0 -2.0 -0.9 12.9 11.2 4.8 -15.5 -0.0 0.5 7.3 1.3 7.8 9.4 4.2 20.0 7.2 5.0 0.9 6.1 JPY 9.3 20.0 20.0 4.3 3.0 1.3 4.7 -2.4 5.0 9.7 4.5 12.6 -9.1 14.2 14.4 -11.0 -10.6 -11.5 -11.6 18.2 6.8 16.0 -9.3 18.9 6.7 -0.0 5.5 2.3 1.6 4.0 -4.2 5.4 -15.5 1.7 4.9 16.5 7.2 LEANHOG -16.9 -10.6 0.9 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 -12.9 1.1 -14.4 -1.3 -12.6 1.1 -20.0 7.6 -20.0 -8.1 -9.4 -3.0 -20.0 1.7 -17.9 -9.7 -0.0 -4.1 -11.3 -1.8 -10.7 0.2 -7.5 -10.7 -20.0 -20.0 -14.2 3.5 LIVECOW -1.2 4.2 11.5 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 -13.5 11.7 -9.6 1.9 5.7 11.3 -20.0 -20.0 -20.0 -20.0 7.3 8.0 -6.7 3.8 1.2 -20.0 -0.0 5.7 -1.3 5.2 0.7 3.8 4.0 -20.0 -0.1 9.0 17.6 20.0 MXP 20.0 7.0 10.1 4.3 3.0 1.3 4.7 -2.4 5.0 9.6 14.9 14.2 15.1 14.8 14.7 20.0 20.0 19.7 20.0 20.0 19.0 20.0 17.2 20.0 -20.0 -0.0 6.2 2.7 5.1 5.7 4.1 6.6 20.0 20.0 20.0 0.6 13.5 NASDAQ 4.6 -6.0 -2.1 3.3 4.3 0.9 7.1 -0.8 5.8 11.8 -11.1 12.5 -13.1 -1.8 -5.2 -5.5 -3.7 -5.1 -4.6 -5.5 -11.9 13.5 -15.9 3.8 8.5 -0.0 0.0 5.1 -3.2 6.8 -4.8 3.7 -2.9 -6.7 -17.5 -10.2 -16.2 NIKKEI -8.0 -20.0 -3.6 3.1 7.1 0.8 8.3 -0.9 5.9 -1.0 -5.2 -5.9 -1.4 -12.5 -11.0 20.0 11.4 15.6 13.2 -12.8 -7.5 -4.3 -2.5 -10.7 3.8 -0.0 -4.7 -0.2 -3.7 -1.3 -2.3 -3.5 20.0 -20.0 -20.0 -20.0 -20.0 NZD -1.3 15.5 20.0 4.3 3.0 1.3 4.7 -2.4 5.0 13.8 8.2 13.6 -4.7 8.9 12.9 0.6 0.5 0.0 0.0 14.3 8.6 9.7 -3.9 10.7 -0.4 -0.0 5.3 3.3 2.6 3.6 -1.6 4.7 4.0 2.7 -2.6 4.7 7.3 OAT 11.3 -0.2 10.7 1.7 10.5 -2.1 8.5 -5.6 5.2 14.0 -8.8 14.1 -12.2 1.7 -1.5 12.7 12.9 13.2 13.6 -2.6 -11.3 20.0 -19.9 9.0 8.6 -0.0 0.4 10.1 -3.7 8.1 -8.6 4.1 20.0 0.7 0.9 -9.6 -1.0 OJ 1.6 6.7 20.0 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 -8.5 14.4 6.2 14.6 11.5 13.2 17.3 13.2 16.5 16.2 16.1 20.0 2.3 20.0 7.6 -20.0 -0.0 6.5 -0.2 10.0 2.3 12.4 4.3 9.4 13.0 10.0 13.7 20.0 PALLAD 2.2 -7.7 -13.9 4.2 10.4 2.6 8.9 1.2 6.0 -13.2 -12.2 -2.4 -9.8 -7.9 -12.3 -1.8 -1.4 -1.7 -1.6 -12.5 -13.1 -8.1 -10.6 -8.4 7.8 -0.0 -4.1 -2.2 -4.2 -0.5 -3.0 -1.6 0.0 -20.0 -14.9 -20.0 -20.0 PLAT 6.5 5.4 19.9 4.2 10.4 2.6 8.9 1.2 6.0 -13.8 12.1 3.3 2.1 6.8 13.0 -1.7 -0.6 -1.0 -0.7 13.0 12.1 -5.4 5.3 6.3 -4.4 -0.0 5.9 -1.5 4.9 0.6 1.6 3.9 1.5 -20.0 -6.2 -1.7 10.3 REDWHEAT 0.1 -12.0 -13.2 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 6.5 -13.6 -3.9 -7.7 -9.0 -12.3 4.3 1.1 4.2 3.0 -13.7 -13.6 -1.7 -5.7 -9.0 -2.3 -0.0 -4.6 -1.2 -3.3 -1.5 1.6 -3.2 -12.7 -5.1 0.4 -9.7 -2.5 ROBUSTA 11.5 16.5 -20.0 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 9.9 -10.5 10.5 -6.9 10.5 -8.0 15.2 9.3 13.3 11.2 -3.1 -9.7 9.8 -6.2 5.2 -1.1 -0.0 -3.7 3.7 -5.0 2.4 -2.9 -0.8 1.0 12.9 -9.9 12.6 -20.0 RUSSELL 13.0 -2.8 5.5 3.3 4.3 0.9 7.1 -0.8 5.8 10.1 -4.0 12.7 -10.7 5.6 4.5 -5.1 -2.9 -4.7 -4.0 3.0 -2.3 18.5 -7.2 11.7 -3.1 -0.0 2.6 5.5 0.1 8.8 -1.4 6.3 -1.7 -0.1 -3.8 -7.5 -5.0 SILVER-mini -5.3 15.7 20.0 4.2 10.4 2.6 8.9 1.2 6.0 -1.8 10.6 1.2 -1.6 11.6 14.1 -4.7 -3.6 -4.4 -4.2 15.3 12.8 1.1 2.4 7.8 4.9 -0.0 5.2 1.0 4.0 1.3 -0.2 2.7 -4.1 -20.0 -20.0 4.4 13.9 SOYBEAN -2.6 2.6 3.4 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 -8.5 1.2 -9.6 5.0 -1.8 7.3 20.0 20.0 20.0 20.0 3.0 4.3 -6.6 7.4 -1.4 -20.0 -0.0 5.1 -11.8 6.2 -4.3 10.1 2.4 20.0 -6.2 8.3 14.9 16.3 SOYMEAL 3.7 20.0 12.4 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 5.5 11.4 11.3 11.6 14.2 13.7 20.0 15.4 17.0 16.1 20.0 17.7 9.5 12.7 16.5 -20.0 -0.0 6.0 -0.8 5.3 1.6 4.5 4.5 11.0 8.8 20.0 20.0 20.0 SOYOIL -0.6 -15.7 -1.2 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 13.8 -1.3 -3.1 4.5 -5.4 -6.2 5.6 19.3 11.8 16.0 -6.1 -1.7 3.1 6.6 -4.0 -13.3 -0.0 -2.4 1.8 0.5 0.3 4.6 -2.2 14.6 7.0 -4.6 -19.4 11.9 SP400 11.1 0.4 10.6 3.3 4.3 0.9 7.1 -0.8 5.8 9.9 3.7 12.9 -4.7 6.8 8.9 -4.6 -2.3 -3.4 -2.7 7.9 3.6 17.0 -1.1 13.3 -6.5 -0.0 3.7 4.5 1.9 7.6 0.6 6.1 0.0 -2.6 -6.2 -6.8 0.9 SP500 5.2 -1.8 5.8 3.3 4.3 0.9 7.1 -0.8 5.8 7.6 -3.4 10.3 -8.5 -0.4 3.6 -5.9 -3.8 -5.4 -4.8 1.4 -3.0 9.5 -6.9 5.9 3.3 -0.0 1.8 1.7 -0.8 4.9 -3.0 3.9 -3.1 -12.0 -16.0 -9.2 -6.7 SUGAR11 -19.3 0.5 13.2 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 9.1 7.1 -2.1 4.6 -3.6 6.5 20.0 20.0 20.0 20.0 6.2 9.0 4.5 6.7 0.9 -20.0 -0.0 5.6 -1.2 5.6 0.4 3.8 2.9 20.0 0.6 3.8 20.0 20.0 US10 6.3 16.9 15.5 1.7 10.5 -2.1 8.5 -5.6 5.2 11.8 -6.0 12.0 -11.7 10.0 8.7 -8.9 -1.3 -7.7 -5.6 5.2 -5.8 17.2 -17.4 11.7 -4.3 -0.0 2.9 12.9 -1.9 10.0 -7.4 6.0 -6.5 -1.8 -10.4 4.1 2.6 US10U 5.5 16.7 14.1 1.7 10.5 -2.1 8.5 -5.6 5.2 11.2 -5.9 11.5 -11.7 8.0 7.6 0.8 4.5 0.8 1.7 4.5 -6.0 15.2 -17.3 10.5 -6.9 -0.0 3.4 11.4 -1.2 9.3 -6.0 6.2 4.7 -2.0 -6.5 7.1 3.5 US20 2.5 19.5 15.2 1.7 10.5 -2.1 8.5 -5.6 5.2 11.7 -4.4 11.7 -10.8 7.4 8.3 -7.3 0.6 -3.7 -1.5 5.0 -5.7 15.6 -17.1 10.4 -6.1 -0.0 2.3 12.0 -1.7 8.3 -6.0 4.5 -1.2 -5.3 -16.3 5.7 -0.9 US30 2.5 19.5 20.0 1.7 10.5 -2.1 8.5 -5.6 5.2 11.9 -4.1 11.4 -12.2 4.9 6.6 -2.1 0.0 -1.3 -0.9 4.3 -6.5 15.5 -18.9 9.9 -7.6 -0.0 3.1 10.4 -1.0 8.1 -5.6 5.2 -1.4 -2.5 -11.2 11.0 1.0 US5 6.0 17.5 17.1 1.7 10.5 -2.1 8.5 -5.6 5.2 12.5 -6.0 12.1 -12.1 10.2 8.9 -8.2 -0.3 -6.6 -4.9 5.5 -6.3 18.5 -19.0 12.4 -2.3 -0.0 3.1 12.1 -2.1 9.8 -8.4 6.1 -5.1 -1.6 -10.8 5.6 3.2 VIX -16.3 -14.7 -18.1 -5.0 -2.8 -4.0 -5.2 -2.7 -5.3 -9.4 -15.2 -14.1 -12.8 -15.5 -16.1 -20.0 -20.0 -20.0 -20.0 -20.0 -19.8 -20.0 -13.6 -20.0 NaN -0.0 -6.4 -3.8 -5.2 -5.5 -3.5 -6.0 NaN NaN NaN NaN NaN WHEAT 3.0 -12.8 -17.4 -3.4 -2.9 -4.2 -1.6 -1.6 -2.1 2.4 -15.0 -10.1 -11.2 -11.8 -13.3 -8.8 -5.2 -7.2 -6.1 -17.0 -18.9 -6.0 -11.0 -11.3 0.8 -0.0 -4.5 -4.0 -4.1 -3.1 0.0 -3.0 -20.0 -10.2 1.1 -8.5 -5.8 End of report for caleb_strategy_v1