******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230119_204356 produced at 2023-01-19 21:35:55.621413 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 7981231.53 -7981231.53 -0.24 -0.24 -32.12 999999999 -30 -30 caleb_strategy_v1 LIVECOW False False 0.02 -0.13 -0.13 0.0 21926839.10 -21926839.10 -0.13 -0.13 -6.05 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 31894759.47 -31894759.47 -0.13 -0.13 -3.74 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.09 0.0 47350853.89 -47350853.89 -0.09 -0.09 -1.88 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.02 -0.07 0.0 11625361.86 -11625361.86 -0.02 -0.03 -5.66 999999999 -2 -3 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.06 0.0 37945325.92 -37945325.92 -0.19 -0.19 -1.51 999999999 -5 -5 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 US10 False False 0.04 0.00 -0.05 0.0 39879223.14 -39879223.14 0.00 0.00 -1.34 999999999 0 0 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.04 0.0 45443891.18 -45443891.18 -0.05 0.00 -0.82 999999999 -1 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.03 0.0 78710801.90 -78710801.90 0.00 0.00 -0.33 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 39961871.12 -39961871.12 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.02 0.0 33788793.63 -33788793.63 -0.10 -0.10 -0.52 999999999 -3 -3 caleb_strategy_v1 COCOA False False 0.01 -0.01 -0.02 0.0 8843135.58 -8843135.58 -0.01 -0.01 -1.88 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 49699542.44 -49699542.44 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 87445337.57 -87445337.57 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5732696.24 -5732696.24 0.00 0.00 -2.04 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3186976.43 -3186976.43 0.00 0.00 -4.58 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13247465.29 -13247465.29 -0.03 -0.03 -0.65 999999999 -2 -2 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 67780134.70 -67780134.70 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4229999.60 -4229999.60 0.00 0.00 0.80 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 10666924.56 -10666924.56 0.00 0.00 -0.33 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.00 0.0 6668379.27 -6668379.27 0.00 -0.01 -0.03 999999999 0 -1 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20052197.79 -20052197.79 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 60402236.01 -60402236.01 0.00 0.00 -0.06 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14404140.53 -14404140.53 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10539362.76 -10539362.76 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.00 0.00 0.0 6605632.66 -6605632.66 0.00 0.01 0.34 999999999 0 1 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14264512.07 -14264512.07 -0.01 -0.01 -0.30 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.06 0.00 0.00 0.0 56456752.41 -56456752.41 0.00 0.11 0.00 999999999 0 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13023715.00 -13023715.00 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46846640.02 -46846640.02 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23904047.00 -23904047.00 0.00 0.00 0.40 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10269586.79 -10269586.79 0.03 0.03 0.98 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.00 0.01 0.0 5620654.72 -5620654.72 0.00 0.01 2.11 999999999 0 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.01 0.0 25629578.91 -25629578.91 0.00 0.00 0.47 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20793435.27 -20793435.27 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7602959.08 -7602959.08 0.02 0.02 1.71 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 731756.54 -731756.54 0.00 0.00 13.25 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18024137.55 -18024137.55 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 22069915.17 -22069915.17 0.04 0.04 0.70 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.05 0.02 0.0 26150179.17 -26150179.17 0.05 0.05 0.86 999999999 2 2 caleb_strategy_v1 GBP False False 0.03 0.08 0.03 0.0 26731954.19 -26731954.19 0.08 0.08 0.95 999999999 3 3 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36674017.44 -36674017.44 0.07 0.07 0.94 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8991383.08 -8991383.08 0.03 0.03 3.22 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.02 0.02 0.03 0.0 15374550.18 -15374550.18 0.02 0.03 2.00 999999999 1 2 caleb_strategy_v1 US10U False False 0.04 -0.04 0.04 0.0 42271006.88 -42271006.88 -0.04 0.00 0.98 999999999 -1 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 43849397.19 -43849397.19 0.04 0.00 1.05 999999999 1 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.05 0.0 26984492.08 -26984492.08 0.05 0.05 1.92 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.05 0.06 0.0 50246434.95 -50246434.95 0.05 0.05 1.19 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15717682.30 -15717682.30 0.08 0.08 4.41 999999999 5 5 caleb_strategy_v1 HEATOIL False False 0.05 0.09 0.07 0.0 45390418.65 -45390418.65 0.09 0.09 1.52 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.07 0.0 32364497.18 -32364497.18 0.03 0.03 2.02 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.10 0.0 23525671.12 -23525671.12 0.05 0.05 4.05 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.21 0.22 0.0 52061356.35 -52061356.35 0.21 0.10 4.30 999999999 4 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.22 0.0 0.00 0.00 0.00 0.00 31.13 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.18 0.26 0.0 44148149.69 -44148149.69 0.18 0.18 5.92 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 14.5 Shocked risk 41.7 Sum abs risk 41.0 Leverage 2.49 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2900554.87, 'annual_cash_vol_target': 725138.7175, 'daily_cash_vol_target': 45321.16984375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0056 0.6934 0.8095 12.9520 BITCOIN 787.8510 21225.0000 3.7119 59.3904 BOBL 0.3602 118.2200 0.3047 4.8748 BTP 0.9038 117.4200 0.7697 12.3159 BUND 0.7899 139.4100 0.5666 9.0653 BUXL 2.0206 151.1800 1.3365 21.3844 CAC 63.5963 7002.5000 0.9082 14.5311 CAD 0.0040 0.7434 0.5350 8.5599 CANOLA 8.2855 825.5000 1.0037 16.0590 CHF 0.0060 1.0987 0.5422 8.6753 COCOA 38.8670 2565.0000 1.5153 24.2445 COFFEE 0.0375 1.5510 2.4209 38.7346 COPPER 0.0501 4.2550 1.1770 18.8321 CORN 4.5601 595.7500 0.7654 12.2469 COTTON2 0.0173 0.8356 2.0691 33.1062 CRUDE_W 1.2777 78.2700 1.6325 26.1193 DAX 135.7267 15051.0000 0.9018 14.4285 DOW 318.2683 33256.0000 0.9570 15.3124 EUR 0.0057 1.0870 0.5228 8.3645 EUROSTX 42.9597 4117.0000 1.0435 16.6955 FEEDCOW 1.2041 185.0250 0.6508 10.4127 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.7716 938.7500 2.1062 33.6985 GASOILINE 0.0529 2.7598 1.9178 30.6845 GAS_US 0.2072 3.0940 6.6980 107.1676 GBP 0.0084 1.2406 0.6761 10.8170 GOLD_micro 15.8955 1934.2000 0.8218 13.1490 HEATOIL 0.0597 3.1347 1.9047 30.4758 JPY 0.0001 0.0078 0.8991 14.3857 LEANHOG 1.3465 84.3000 1.5973 25.5569 LIVECOW 0.8296 159.0000 0.5218 8.3484 MXP 0.0003 0.0522 0.6604 10.5668 NASDAQ 149.9023 11415.2500 1.3132 21.0108 NIKKEI 257.4083 26365.0000 0.9763 15.6212 NZD 0.0049 0.6402 0.7616 12.1861 OAT 0.8244 134.5500 0.6127 9.8039 OJ 0.0245 2.0380 1.2014 19.2217 PALLAD 41.4713 1752.0000 2.3671 37.8733 PLAT 18.4673 1045.6000 1.7662 28.2591 REDWHEAT 12.7957 827.5000 1.5463 24.7410 ROBUSTA 25.8954 1916.0000 1.3515 21.6245 RUSSELL 23.8264 1848.8000 1.2887 20.6200 SILVER-mini 0.4309 24.1250 1.7862 28.5794 SOYBEAN 10.6571 1364.7500 0.7809 12.4941 SOYMEAL 6.0181 455.9000 1.3201 21.1209 SOYOIL 0.8818 62.9600 1.4006 22.4098 SP400 28.8876 2536.4000 1.1389 18.2227 SP500 41.7934 3932.0000 1.0629 17.0065 SUGAR11 0.0025 0.1969 1.2652 20.2437 US10 0.5585 115.6719 0.4828 7.7252 US10U 0.7597 122.6094 0.6196 9.9143 US20 1.0811 131.8125 0.8202 13.1229 US30 1.7067 144.1562 1.1840 18.9433 US5 0.3657 110.0625 0.3322 5.3155 VIX 0.5318 23.1500 2.2972 36.7548 WHEAT 10.2683 768.5000 1.3362 21.3784 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 693.35 0.81 561.27 1.00 561.27 45321.17 80.75 3.12 25.23 BITCOIN 21.22 3.71 78.79 1.00 78.79 45321.17 575.25 9.78 562.43 BOBL 1182.20 0.30 360.19 1.08 388.66 45321.17 116.61 7.03 82.01 BTP 1174.20 0.77 903.83 1.08 975.27 45321.17 46.47 11.22 52.13 BUND 1394.10 0.57 789.87 1.08 852.31 45321.17 53.17 11.22 59.64 BUXL 1511.80 1.34 2020.56 1.08 2180.27 45321.17 20.79 0.02 0.05 CAC 700.25 0.91 635.96 1.08 686.23 45321.17 66.04 4.63 30.56 CAD 743.40 0.53 397.71 1.00 397.71 45321.17 113.95 2.30 26.16 CANOLA 165.10 1.00 165.71 0.74 122.81 45321.17 369.03 2.36 87.24 CHF 1373.44 0.54 744.68 1.00 744.68 45321.17 60.86 -8.24 -50.13 COCOA 256.50 1.52 388.67 1.00 388.67 45321.17 116.61 -7.41 -86.36 COFFEE 581.62 2.42 1408.06 1.00 1408.06 45321.17 32.19 -4.60 -14.80 COPPER 1063.75 1.18 1252.04 1.00 1252.04 45321.17 36.20 9.48 34.33 CORN 297.88 0.77 228.00 1.00 228.00 45321.17 198.77 5.48 108.92 COTTON2 417.80 2.07 864.49 1.00 864.49 45321.17 52.43 0.96 5.04 CRUDE_W 782.70 1.63 1277.72 1.00 1277.72 45321.17 35.47 4.11 14.56 DAX 150.51 0.90 135.73 1.08 146.45 45321.17 309.46 1.26 38.94 DOW 166.28 0.96 159.13 1.00 159.13 45321.17 284.80 -2.52 -71.67 EUR 1358.81 0.52 710.36 1.00 710.36 45321.17 63.80 0.46 2.96 EUROSTX 411.70 1.04 429.60 1.08 463.55 45321.17 97.77 7.26 70.98 FEEDCOW 925.12 0.65 602.07 1.00 602.07 45321.17 75.28 -18.47 -139.04 FTSE100 707.00 0.82 576.59 1.23 666.67 45321.17 67.98 -2.56 -17.42 GASOIL 938.75 2.11 1977.16 1.00 1977.16 45321.17 22.92 12.36 28.33 GASOILINE 1159.12 1.92 2222.93 1.00 2222.93 45321.17 20.39 -5.53 -11.27 GAS_US 309.40 6.70 2072.35 1.00 2072.35 45321.17 21.87 -10.09 -22.06 GBP 775.38 0.68 524.20 1.00 524.20 45321.17 86.46 6.17 53.37 GOLD_micro 193.42 0.82 158.96 1.00 158.96 45321.17 285.12 -0.04 -1.16 HEATOIL 1316.57 1.90 2507.73 1.00 2507.73 45321.17 18.07 11.79 21.30 JPY 980.06 0.90 881.18 1.00 881.18 45321.17 51.43 -1.55 -8.00 LEANHOG 337.20 1.60 538.61 1.00 538.61 45321.17 84.14 -14.40 -121.17 LIVECOW 636.00 0.52 331.85 1.00 331.85 45321.17 136.57 -16.49 -225.24 MXP 260.80 0.66 172.24 1.00 172.24 45321.17 263.13 10.00 263.23 NASDAQ 2283.05 1.31 2998.05 1.00 2998.05 45321.17 15.12 -4.03 -6.09 NIKKEI 26365.00 0.98 25740.83 0.01 199.84 45321.17 226.78 7.23 163.91 NZD 640.15 0.76 487.56 1.00 487.56 45321.17 92.96 4.70 43.72 OAT 1345.50 0.61 824.45 1.08 889.61 45321.17 50.94 11.53 58.72 OJ 305.70 1.20 367.25 1.00 367.25 45321.17 123.41 0.80 9.85 PALLAD 1752.00 2.37 4147.13 1.00 4147.13 45321.17 10.93 -2.28 -2.49 PLAT 522.80 1.77 923.37 1.00 923.37 45321.17 49.08 2.84 13.94 REDWHEAT 413.75 1.55 639.79 1.00 639.79 45321.17 70.84 -8.02 -56.79 ROBUSTA 191.60 1.35 258.95 1.00 258.95 45321.17 175.02 1.48 25.94 RUSSELL 92.44 1.29 119.13 1.00 119.13 45321.17 380.43 -2.32 -88.38 SILVER-mini 603.12 1.79 1077.31 1.00 1077.31 45321.17 42.07 5.44 22.87 SOYBEAN 682.38 0.78 532.85 1.00 532.85 45321.17 85.05 8.07 68.66 SOYMEAL 455.90 1.32 601.81 1.00 601.81 45321.17 75.31 9.94 74.88 SOYOIL 377.76 1.40 529.10 1.00 529.10 45321.17 85.66 2.28 19.55 SP400 2536.40 1.14 2888.76 1.00 2888.76 45321.17 15.69 -1.10 -1.72 SP500 1966.00 1.06 2089.67 1.00 2089.67 45321.17 21.69 -3.10 -6.72 SUGAR11 220.53 1.27 279.02 1.00 279.02 45321.17 162.43 7.77 126.23 US10 1156.72 0.48 558.49 1.00 558.49 45321.17 81.15 -4.29 -34.82 US10U 1226.09 0.62 759.74 1.00 759.74 45321.17 59.65 1.13 6.71 US20 1318.12 0.82 1081.10 1.00 1081.10 45321.17 41.92 -2.65 -11.11 US30 1441.56 1.18 1706.75 1.00 1706.75 45321.17 26.55 -1.79 -4.76 US5 1100.62 0.33 365.65 1.00 365.65 45321.17 123.95 -3.18 -39.45 VIX 231.50 2.30 531.80 1.00 531.80 45321.17 85.22 -20.00 -170.45 WHEAT 384.25 1.34 513.42 1.00 513.42 45321.17 88.27 -13.69 -120.84 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 25.228 0.006 2.5 0.403 BITCOIN 562.426 0.009 2.5 13.251 BOBL 82.010 0.029 2.5 5.918 BTP 52.125 0.008 2.5 1.053 BUND 59.638 0.029 2.5 4.303 BUXL 0.049 0.034 2.5 0.004 CAC 30.561 0.011 2.5 0.859 CAD 26.158 0.007 2.5 0.467 CANOLA 87.236 0.004 2.5 0.801 CHF -50.131 0.015 2.5 -1.876 COCOA -86.357 0.009 2.5 -1.881 COFFEE -14.800 0.005 2.5 -0.192 COPPER 34.332 0.011 2.5 0.938 CORN 108.917 0.004 2.5 0.982 COTTON2 5.042 0.006 2.5 0.076 CRUDE_W 14.564 0.053 2.5 1.924 DAX 38.942 0.022 2.5 2.115 DOW -71.669 0.011 2.5 -2.042 EUR 2.956 0.015 2.5 0.111 EUROSTX 70.980 0.011 2.5 1.995 FEEDCOW -139.038 0.011 2.5 -3.736 FTSE100 -17.424 0.041 2.5 -1.796 GASOIL 28.330 0.029 2.5 2.021 GASOILINE -11.269 0.016 2.5 -0.463 GAS_US -22.061 0.006 2.5 -0.332 GBP 53.369 0.007 2.5 0.953 GOLD_micro -1.164 0.009 2.5 -0.026 HEATOIL 21.302 0.029 2.5 1.520 JPY -7.996 0.026 2.5 -0.518 LEANHOG -121.171 0.019 2.5 -5.661 LIVECOW -225.240 0.011 2.5 -6.052 MXP 263.226 0.005 2.5 3.223 NASDAQ -6.094 0.022 2.5 -0.331 NIKKEI 163.909 0.076 2.5 31.132 NZD 43.718 0.006 2.5 0.699 OAT 58.723 0.008 2.5 1.186 OJ 9.845 0.007 2.5 0.172 PALLAD -2.495 0.010 2.5 -0.060 PLAT 13.936 0.010 2.5 0.335 REDWHEAT -56.787 0.002 2.5 -0.303 ROBUSTA 25.937 0.005 2.5 0.336 RUSSELL -88.380 0.021 2.5 -4.578 SILVER-mini 22.871 0.009 2.5 0.512 SOYBEAN 68.657 0.024 2.5 4.048 SOYMEAL 74.875 0.024 2.5 4.415 SOYOIL 19.546 0.004 2.5 0.179 SP400 -1.721 0.021 2.5 -0.089 SP500 -6.720 0.011 2.5 -0.192 SUGAR11 126.234 0.005 2.5 1.713 US10 -34.823 0.015 2.5 -1.336 US10U 6.711 0.058 2.5 0.978 US20 -11.108 0.029 2.5 -0.819 US30 -4.759 0.034 2.5 -0.399 US5 -39.448 0.015 2.5 -1.513 VIX -170.446 0.075 2.5 -32.120 WHEAT -120.842 0.002 2.5 -0.645 ==================== Position diags ==================== AUD 1.29 BITCOIN 13.55 BOBL 8.41 BTP 0.94 BUND 3.84 BUXL 1.74 CAC 1.86 CAD 2.03 CANOLA 3.39 CHF 2.28 COCOA 2.54 COFFEE 0.42 COPPER 0.99 CORN 1.79 COTTON2 0.79 CRUDE_W 4.69 DAX 16.81 DOW 8.12 EUR 2.39 EUROSTX 2.75 FEEDCOW 2.02 FTSE100 7.01 GASOIL 1.64 GASOILINE 0.84 GAS_US 0.33 GBP 1.54 GOLD_micro 6.38 HEATOIL 1.29 JPY 3.33 LEANHOG 3.93 LIVECOW 3.67 MXP 3.22 NASDAQ 0.82 NIKKEI 43.07 NZD 1.49 OAT 1.03 OJ 2.15 PALLAD 0.26 PLAT 1.18 REDWHEAT 0.38 ROBUSTA 2.27 RUSSELL 19.70 SILVER-mini 0.94 SOYBEAN 5.01 SOYMEAL 4.44 SOYOIL 0.79 SP400 0.81 SP500 0.62 SUGAR11 2.20 US10 3.11 US10U 8.69 US20 3.09 US30 2.23 US5 4.76 VIX 16.06 WHEAT 0.47 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.5 0.0 0 BITCOIN 13.3 11.9 14.6 NaN 0 BOBL 5.9 5.1 6.8 4.0 4 BTP 1.1 1.0 1.1 1.0 1 BUND 4.3 3.9 4.7 4.0 4 BUXL 0.0 -0.2 0.2 0.0 0 CAC 0.9 0.7 1.0 2.0 2 CAD 0.5 0.3 0.7 0.0 0 CANOLA 0.8 0.5 1.1 NaN 0 CHF -1.9 -2.1 -1.6 -2.0 -2 COCOA -1.9 -2.1 -1.6 -1.0 -1 COFFEE -0.2 -0.2 -0.2 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 0.2 NaN 0 CRUDE_W 1.9 1.5 2.4 2.0 2 DAX 2.1 0.4 3.8 0.0 0 DOW -2.0 -2.9 -1.2 0.0 0 EUR 0.1 -0.1 0.3 0.0 0 EUROSTX 2.0 1.7 2.3 1.0 1 FEEDCOW -3.7 -3.9 -3.5 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 2.0 1.9 2.2 1.0 1 GASOILINE -0.5 -0.5 -0.4 0.0 0 GAS_US -0.3 -0.4 -0.3 0.0 0 GBP 1.0 0.8 1.1 3.0 3 GOLD_micro -0.0 -0.7 0.6 0.0 0 HEATOIL 1.5 1.4 1.6 2.0 2 JPY -0.5 -0.9 -0.2 -3.0 -3 LEANHOG -5.7 -6.1 -5.3 -2.0 -2 LIVECOW -6.1 -6.4 -5.7 -6.0 -6 MXP 3.2 2.9 3.5 3.0 3 NASDAQ -0.3 -0.4 -0.2 0.0 0 NIKKEI 31.1 26.8 35.4 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 0.3 0.2 0.5 NaN 0 REDWHEAT -0.3 -0.3 -0.3 -1.0 -1 ROBUSTA 0.3 0.1 0.6 0.0 0 RUSSELL -4.6 -6.5 -2.6 0.0 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 4.0 3.5 4.5 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 -0.2 -0.3 -0.1 0.0 0 SUGAR11 1.7 1.5 1.9 2.0 2 US10 -1.3 -1.6 -1.0 NaN 0 US10U 1.0 0.1 1.8 -1.0 -1 US20 -0.8 -1.1 -0.5 -1.0 -1 US30 -0.4 -0.6 -0.2 0.0 0 US5 -1.5 -2.0 -1.0 -5.0 -5 VIX -32.1 -33.7 -30.5 -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 0.0 -0.1 0.1 0.3 -0.2 -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 0.1 -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 0.1 0.1 -0.0 0.0 0.0 0.1 -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 0.1 -0.1 -0.3 BOBL 0.2 -0.0 0.0 0.0 0.0 -0.0 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 2.6 -0.0 -0.1 -0.2 -0.1 BTP 0.2 0.0 0.3 0.0 0.1 -0.0 0.2 -0.1 0.1 0.0 -0.1 0.0 -0.3 0.0 0.1 0.8 0.6 0.3 0.3 0.1 -0.0 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 0.2 0.0 0.1 0.0 0.0 -0.0 0.2 -0.1 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.0 1.0 0.7 0.3 0.3 -0.0 -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 -0.0 0.2 -0.1 0.1 0.0 -0.2 0.0 -0.3 -0.0 -0.0 0.3 -0.0 0.1 0.1 -0.1 -0.1 0.0 -0.3 0.0 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.1 -0.2 -0.1 -0.1 CAC 0.2 0.1 0.3 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 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 -0.0 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 -0.2 -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 -0.2 -0.0 -0.1 0.0 0.1 CHF -0.0 0.2 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.3 0.0 -0.0 0.1 0.4 -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 0.1 0.3 -0.1 -0.0 -0.1 -0.1 -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 -2.3 -0.0 0.1 -0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.4 0.3 0.3 COFFEE -0.1 0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -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 -1.4 -0.0 -0.2 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 0.2 0.4 0.2 0.1 CORN -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 1.6 0.7 0.4 0.4 -0.1 -0.0 0.0 0.1 -0.0 -1.4 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 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 -0.1 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 0.0 0.4 -0.1 CRUDE_W 0.1 -0.0 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 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 0.1 -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 0.1 0.0 -1.4 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.4 0.0 0.1 0.0 0.3 DOW -0.0 -0.0 0.3 0.1 0.0 0.0 0.1 -0.0 0.1 -0.1 0.2 -0.0 0.0 -0.0 0.3 -0.5 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.0 0.0 -0.7 -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 0.1 -0.0 0.1 0.0 0.3 0.0 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 -0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -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 0.1 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 0.2 -0.1 -0.1 -0.0 GASOILINE 0.2 0.1 -0.2 0.0 0.0 -0.0 0.1 0.1 0.1 0.0 -0.2 0.0 0.1 0.0 0.1 -1.7 0.5 -0.4 -0.1 0.1 -0.0 0.0 0.1 0.0 -1.1 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 -1.4 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 0.1 -0.0 -0.3 -0.1 -0.2 -0.1 -0.4 1.6 -0.1 0.2 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -0.4 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -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 0.1 0.0 -0.0 0.0 -0.1 0.0 0.1 0.1 -0.1 -0.0 0.0 GOLD_micro 0.2 0.3 0.4 0.1 0.1 0.1 0.2 0.0 0.1 0.0 0.2 0.1 -0.1 0.1 0.4 -0.9 -0.4 -0.2 -0.2 0.2 0.2 0.0 0.0 0.0 0.7 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -1.8 -0.0 0.0 0.1 0.1 HEATOIL 0.1 -0.1 -0.2 0.0 0.0 -0.0 0.1 0.1 0.1 0.1 -0.1 0.0 0.2 0.0 -0.0 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 0.4 -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 0.0 0.2 0.1 LEANHOG -0.2 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -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 -1.7 -0.1 -0.4 -0.2 0.1 LIVECOW -0.0 0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 0.0 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 0.1 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 0.1 0.0 2.2 0.0 0.3 -0.0 0.2 NASDAQ 0.1 -0.1 -0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -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 -0.0 -0.3 -0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.0 -0.0 -0.3 1.2 0.4 0.3 0.2 -0.1 -0.1 0.0 -0.0 -0.0 0.7 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.0 2.6 -0.1 -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 0.1 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 0.2 0.0 0.2 0.0 0.0 -0.0 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 0.0 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 1.5 -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 0.1 0.2 -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 -0.2 -0.1 0.1 REDWHEAT -0.0 -0.2 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.3 -0.0 -0.2 -0.0 -0.3 0.3 0.0 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -0.3 -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 -0.1 -0.0 -0.1 -0.1 -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 0.2 0.0 -0.1 0.2 -0.3 RUSSELL 0.2 -0.0 0.1 0.1 0.0 0.0 0.1 -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 0.0 0.2 SOYBEAN -0.1 0.0 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 1.6 0.8 0.4 0.4 0.0 0.0 -0.0 0.1 -0.0 -3.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.7 -0.0 0.2 0.2 0.2 SOYMEAL 0.0 0.3 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 0.3 0.0 0.3 0.1 0.3 1.6 0.7 0.4 0.4 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 -0.1 -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 1.9 0.1 -0.1 -0.3 0.2 SP400 0.2 0.0 0.2 0.1 0.0 0.0 0.1 -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 -1.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 -0.2 -0.1 0.0 SP500 0.1 -0.0 0.1 0.1 0.0 0.0 0.1 -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 -0.4 -0.1 -0.1 SUGAR11 -0.2 0.0 0.2 -0.1 -0.0 -0.1 -0.1 -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 0.0 0.3 0.3 US10 0.1 0.3 0.3 0.0 0.0 -0.0 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 0.3 0.0 0.0 -0.0 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 0.1 0.3 0.3 0.0 0.0 -0.0 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 -0.2 0.1 -0.0 US30 0.1 0.3 0.3 0.0 0.1 -0.0 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 -0.0 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 -1.2 -0.1 -0.0 -0.1 -0.0 -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 -0.1 -0.0 -0.1 -0.1 -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 -0.0 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 12.6 14.4 15.1 4.3 2.8 1.4 4.5 -2.3 5.0 0.1 1.6 11.9 -5.8 13.5 13.7 -3.0 -2.2 -2.9 -2.6 12.4 3.6 8.9 -5.5 13.8 5.5 -0.0 4.9 -0.7 1.1 3.1 -2.5 5.5 -0.5 -5.6 6.2 -0.5 -7.1 BITCOIN 20.0 12.4 18.8 4.3 9.7 2.5 8.9 1.1 6.3 12.1 -11.9 13.8 -15.6 13.1 2.3 1.5 -0.3 1.5 0.8 5.2 -9.2 20.0 -20.0 17.1 20.0 -0.0 2.2 9.5 -2.4 9.9 -4.3 7.0 3.0 -1.1 4.8 -3.4 -20.0 BOBL 17.6 -0.5 1.0 2.0 8.3 -1.8 8.2 -5.3 5.5 8.7 -12.5 13.0 -13.5 0.7 -3.9 -6.4 11.5 2.9 9.1 -7.2 -18.1 16.8 -20.0 6.2 13.5 -0.0 -1.0 5.1 -5.7 6.6 -10.6 3.5 18.7 -12.9 -5.9 -14.2 -7.0 BTP 17.8 2.2 19.4 2.0 8.3 -1.8 8.2 -5.3 5.5 11.6 -2.2 14.2 -10.7 6.2 5.7 10.4 14.2 13.2 15.0 6.0 -3.5 20.0 -15.5 16.3 -2.0 -0.0 2.8 8.2 -1.0 8.6 -6.0 5.9 20.0 4.7 7.1 -5.1 11.0 BUND 18.7 1.4 6.8 2.0 8.3 -1.8 8.2 -5.3 5.5 10.0 -10.8 13.4 -12.9 2.5 -1.4 12.1 15.7 13.2 14.4 -4.1 -14.9 20.0 -20.0 8.8 9.5 -0.0 0.3 6.6 -4.3 7.5 -8.8 4.5 20.0 -6.2 -0.1 -10.9 -4.4 BUXL 7.1 -0.9 8.6 2.0 8.3 -1.8 8.2 -5.3 5.5 10.4 -8.0 12.6 -11.8 -1.5 -2.0 3.2 -0.4 4.2 3.0 -5.0 -12.1 15.8 -20.0 3.9 4.2 -0.0 0.0 6.6 -3.2 6.1 -6.9 2.9 1.3 -10.2 -8.4 -10.2 -4.3 CAC 20.0 4.1 20.0 3.3 1.6 1.0 5.6 -0.7 5.5 6.2 13.7 14.2 3.5 14.3 15.3 -3.5 2.5 -1.8 0.0 20.0 16.7 20.0 9.3 20.0 -13.7 -0.0 5.2 1.9 3.8 5.6 2.0 6.0 6.6 -0.5 3.7 4.5 18.0 CAD 12.9 4.9 1.6 4.3 2.8 1.4 4.5 -2.3 5.0 -4.5 -8.1 7.7 -10.3 6.8 3.0 -1.7 -1.1 -1.8 -1.6 1.3 -6.3 2.3 -10.7 5.3 14.3 -0.0 1.9 -2.7 -3.2 1.6 -6.3 4.1 1.3 -14.9 -1.6 -18.2 -18.0 CANOLA -6.7 2.1 -1.2 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -11.8 -9.0 -10.7 -5.4 0.8 0.7 1.2 11.2 4.9 6.7 -4.1 -5.9 -13.3 -1.2 -8.4 5.3 -0.0 -3.4 -7.6 -2.1 -6.4 1.2 -5.2 -1.2 -20.0 -13.4 0.9 8.5 CHF -3.8 13.8 20.0 4.3 2.8 1.4 4.5 -2.3 5.0 13.1 11.9 10.3 -0.4 12.2 14.6 -14.2 -12.4 -13.5 -13.2 13.6 10.2 10.9 0.6 10.2 -10.0 -0.0 5.5 5.9 3.1 4.6 -1.3 4.9 -18.3 0.4 -7.5 -0.0 0.4 COCOA -2.7 9.6 18.5 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -11.7 9.3 -3.7 -4.3 7.1 12.6 -2.9 -3.0 -1.5 -1.6 11.3 8.1 -1.9 0.8 6.9 -14.8 -0.0 5.7 -3.7 3.7 0.3 0.7 4.4 -20.0 3.6 20.0 20.0 20.0 COFFEE -7.4 5.3 -20.0 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 6.2 -13.6 -6.2 -10.5 -6.9 -13.6 -1.2 3.3 1.2 3.3 -18.3 -20.0 -7.4 -14.6 -13.8 11.8 -0.0 -5.2 1.4 -6.7 -1.4 -4.5 -3.3 -10.0 -10.3 -10.3 2.6 -20.0 COPPER 20.0 20.0 20.0 4.3 9.7 2.5 8.9 1.1 6.3 14.0 0.7 15.6 -5.9 15.2 14.3 -0.9 -0.2 -0.6 -0.4 20.0 11.6 20.0 -2.6 20.0 9.0 -0.0 5.8 4.9 2.8 7.5 0.3 7.5 2.1 12.2 17.4 14.0 9.2 CORN -0.8 -10.1 -8.3 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 2.0 0.9 -3.8 3.5 -5.8 -10.6 20.0 17.3 20.0 19.6 -6.1 -2.2 1.0 9.4 -3.7 -9.5 -0.0 -5.0 -2.6 -2.7 -2.4 2.9 -4.0 14.7 3.1 -5.2 -8.0 -6.2 COTTON2 2.0 7.3 -12.4 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -1.8 -9.8 0.5 -4.4 0.2 0.5 -0.4 13.6 2.6 8.0 -3.2 -9.9 0.6 -5.5 0.5 -0.2 -0.0 1.0 -0.8 -1.6 0.2 2.2 1.9 3.5 9.4 0.1 14.9 -2.8 CRUDE_W 6.6 -0.5 -0.9 0.2 4.7 -1.1 5.4 3.7 3.6 12.4 -5.5 12.2 1.9 8.7 6.9 8.5 12.4 8.0 9.7 2.4 -0.6 12.7 4.2 7.9 -7.7 -0.0 3.3 7.4 1.6 8.8 5.6 6.7 0.0 4.7 7.1 8.1 11.6 DAX 20.0 6.0 20.0 3.3 1.6 1.0 5.6 -0.7 5.5 7.8 12.5 14.1 -1.0 14.2 15.0 -8.6 -3.5 -7.0 -5.3 20.0 16.1 20.0 3.9 20.0 -9.4 -0.0 5.2 1.3 3.8 5.1 0.7 5.7 -3.0 2.9 6.4 1.8 20.0 DOW -0.7 -2.6 18.5 3.3 1.6 1.0 5.6 -0.7 5.5 -10.9 9.1 -3.0 0.5 -3.2 10.3 -6.0 -2.9 -5.6 -4.7 6.2 6.9 -5.0 2.2 1.5 -5.8 -0.0 3.0 -3.3 2.7 0.1 1.0 1.9 -2.3 -16.4 -20.0 -12.5 7.3 EUR 1.8 20.0 20.0 4.3 2.8 1.4 4.5 -2.3 5.0 10.5 9.0 12.3 -6.1 14.3 15.7 -8.0 -8.4 -8.0 -8.3 20.0 12.9 12.1 -5.6 17.5 0.3 -0.0 6.0 1.9 2.9 3.6 -2.3 5.5 -10.7 9.1 6.1 12.2 15.3 EUROSTX 17.5 2.0 20.0 3.3 1.6 1.0 5.6 -0.7 5.5 6.5 13.4 14.1 2.2 14.4 15.2 9.5 4.5 6.7 4.8 20.0 16.6 20.0 7.5 20.0 -16.0 -0.0 5.3 1.0 4.3 4.8 1.9 5.4 11.8 -1.3 1.0 2.6 20.0 FEEDCOW -8.3 5.8 3.5 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -13.5 1.3 -13.0 -0.3 -1.6 6.1 -20.0 -20.0 -20.0 -20.0 0.7 1.2 -18.2 -0.5 -7.3 -20.0 -0.0 3.6 -7.7 2.2 -5.3 0.5 0.7 -20.0 -20.0 4.5 20.0 13.4 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL 9.7 -4.8 -10.5 0.2 4.7 -1.1 5.4 3.7 3.6 14.0 -5.5 12.2 9.0 9.1 -3.8 20.0 20.0 20.0 20.0 0.2 -0.3 19.3 11.0 9.9 -5.6 -0.0 -2.3 8.2 -1.9 6.4 3.6 1.8 20.0 18.9 -7.3 -10.9 -2.6 GASOILINE 19.4 4.0 -9.9 0.2 4.7 -1.1 5.4 3.7 3.6 13.2 -9.6 13.5 2.8 11.4 2.7 -20.0 11.1 -20.0 -4.7 5.6 -0.7 20.0 5.5 16.4 -9.3 -0.0 4.4 6.3 2.1 8.2 4.3 7.5 -10.0 16.4 20.0 20.0 17.4 GAS_US -20.0 -20.0 -20.0 0.2 4.7 -1.1 5.4 3.7 3.6 -13.1 -14.4 -15.5 -6.0 -16.4 -16.2 20.0 -1.8 11.6 3.1 -20.0 -20.0 -20.0 -10.0 -20.0 -3.5 -0.0 -5.8 -2.8 -3.1 -4.6 1.2 -6.1 -19.0 -20.0 -20.0 -20.0 -20.0 GBP 1.2 11.6 19.1 4.3 2.8 1.4 4.5 -2.3 5.0 14.1 7.0 14.7 -4.6 7.2 12.7 -2.0 -1.7 -2.0 -1.9 12.2 5.8 14.7 -7.1 11.6 13.4 -0.0 4.2 7.5 -0.6 6.3 -7.0 5.3 0.5 9.7 -4.5 -3.6 0.3 GOLD_micro 18.4 20.0 20.0 4.3 9.7 2.5 8.9 1.1 6.3 12.5 6.4 14.3 -5.5 15.5 15.7 -11.7 -9.0 -11.1 -10.5 20.0 12.0 20.0 0.2 20.0 5.9 -0.0 5.8 7.8 2.9 8.2 0.3 7.2 -14.0 -5.4 1.0 5.5 3.8 HEATOIL 6.1 -4.8 -10.6 0.2 4.7 -1.1 5.4 3.7 3.6 13.4 -5.7 9.7 8.2 8.6 -1.3 20.0 20.0 20.0 20.0 -0.4 -0.3 16.7 11.1 7.7 -15.7 -0.0 1.4 9.7 1.5 9.5 8.8 5.6 20.0 11.5 7.4 2.3 6.4 JPY 10.6 20.0 20.0 4.3 2.8 1.4 4.5 -2.3 5.0 10.3 5.1 12.9 -8.9 14.4 14.6 -11.2 -10.6 -11.6 -11.7 19.0 7.5 15.4 -9.2 19.3 6.2 -0.0 5.5 2.1 1.8 3.7 -4.0 5.3 -15.6 1.0 1.0 16.6 7.0 LEANHOG -20.0 -11.3 -0.2 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -13.7 0.3 -15.0 -1.6 -13.5 -0.3 -20.0 6.9 -20.0 -9.2 -11.3 -3.9 -20.0 1.3 -20.0 -9.7 -0.0 -4.5 -10.6 -2.0 -10.9 0.1 -8.0 -12.2 -20.0 -20.0 -15.8 3.8 LIVECOW -4.9 4.4 10.7 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -13.5 11.4 -11.7 1.9 3.1 10.4 -20.0 -20.0 -20.0 -20.0 5.6 7.2 -10.7 3.6 -1.6 -20.0 -0.0 5.2 -6.3 5.2 -2.6 3.9 2.4 -20.0 -5.5 7.1 17.0 20.0 MXP 19.2 6.7 9.5 4.3 2.8 1.4 4.5 -2.3 5.0 1.1 14.8 11.1 15.1 13.7 14.3 20.0 20.0 19.8 20.0 20.0 18.6 15.4 16.9 20.0 -20.0 -0.0 6.1 -0.8 5.2 3.8 4.2 6.0 20.0 2.6 14.6 -0.1 12.6 NASDAQ 7.5 -6.1 -2.9 3.3 1.6 1.0 5.6 -0.7 5.5 5.1 -11.1 10.3 -13.1 -2.0 -4.9 -5.6 -3.7 -5.1 -4.7 -5.3 -11.9 8.4 -16.0 2.9 8.7 -0.0 0.1 0.9 -3.1 4.1 -4.8 3.1 -2.9 -5.4 -16.9 -10.5 -16.9 NIKKEI -1.0 -20.0 -3.7 3.3 1.6 1.0 5.6 -0.7 5.5 9.0 -5.3 4.9 -1.4 -10.6 -10.3 20.0 11.6 16.2 13.6 -10.9 -7.1 3.2 -2.6 -6.3 5.1 -0.0 -4.3 3.2 -3.8 1.3 -2.4 -2.2 20.0 -12.3 -20.0 -20.0 -20.0 NZD -1.1 14.7 20.0 4.3 2.8 1.4 4.5 -2.3 5.0 5.1 8.5 12.4 -4.5 8.9 13.1 0.8 0.5 0.2 0.1 14.2 8.7 7.7 -3.7 10.3 -0.4 -0.0 5.4 1.3 2.7 2.9 -1.6 4.5 4.1 -1.9 -1.5 3.7 7.5 OAT 17.5 0.0 12.9 2.0 8.3 -1.8 8.2 -5.3 5.5 10.6 -8.6 13.7 -12.2 2.8 -0.5 12.7 12.9 13.2 13.6 -1.2 -10.5 20.0 -19.4 10.6 8.3 -0.0 0.8 7.3 -3.4 7.7 -8.4 4.6 20.0 -2.9 1.4 -10.4 -0.6 OJ 0.8 5.9 20.0 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -12.3 14.3 1.6 14.6 10.6 12.9 17.5 13.3 16.6 16.2 15.3 20.0 -1.1 20.0 5.8 -20.0 -0.0 6.4 -2.5 10.2 0.5 12.8 3.5 9.6 5.6 10.3 13.4 20.0 PALLAD 2.2 -7.2 -14.0 4.3 9.7 2.5 8.9 1.1 6.3 -6.1 -12.2 -2.6 -9.9 -7.6 -12.4 -1.9 -1.4 -1.7 -1.6 -12.4 -13.2 -5.7 -10.8 -7.9 8.0 -0.0 -3.8 1.9 -4.3 1.3 -3.1 -0.9 0.0 -20.0 -17.2 -20.0 -20.0 PLAT 5.8 5.5 19.9 4.3 9.7 2.5 8.9 1.1 6.3 -14.0 12.1 -0.0 2.3 5.4 12.6 -1.8 -0.6 -1.1 -0.7 12.4 12.2 -6.4 5.5 4.6 -4.2 -0.0 5.9 -1.1 5.1 0.4 1.7 3.5 1.5 -20.0 -9.8 -4.4 9.2 REDWHEAT -1.7 -11.0 -13.8 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 1.5 -13.7 -5.2 -7.9 -9.2 -12.5 4.2 1.1 4.2 3.1 -14.0 -14.0 -4.1 -6.0 -9.5 -2.2 -0.0 -4.8 -3.1 -3.4 -2.7 1.5 -3.6 -12.6 -4.0 -0.4 -9.7 -3.2 ROBUSTA 12.1 16.4 -20.0 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 12.7 -10.3 12.4 -6.9 11.7 -7.5 15.1 9.4 13.4 11.2 -2.2 -9.4 11.2 -6.2 6.5 -1.4 -0.0 -3.4 4.7 -5.0 3.1 -2.9 -0.1 1.2 20.0 -5.9 13.4 -20.0 RUSSELL 14.8 -2.2 5.6 3.3 1.6 1.0 5.6 -0.7 5.5 2.8 -3.9 10.1 -10.6 5.2 4.7 -5.1 -2.9 -4.7 -4.1 3.1 -2.2 11.6 -7.0 9.9 -2.8 -0.0 2.8 0.9 0.3 5.7 -1.4 5.7 -1.7 -1.9 -5.7 -7.5 -5.6 SILVER-mini -5.0 14.9 20.0 4.3 9.7 2.5 8.9 1.1 6.3 -2.4 10.8 0.7 -1.5 11.4 14.1 -4.7 -3.6 -4.4 -4.2 14.8 12.7 1.0 2.6 7.2 5.1 -0.0 5.3 2.0 4.1 1.7 -0.1 2.9 -4.1 -20.0 -20.0 1.5 12.9 SOYBEAN -6.0 1.6 3.0 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -12.3 1.1 -12.0 4.9 -4.9 5.8 20.0 20.0 20.0 20.0 1.6 3.8 -11.9 7.3 -4.4 -20.0 -0.0 3.9 -13.3 5.8 -8.2 9.9 -0.4 20.0 -7.5 8.3 13.7 15.8 SOYMEAL 3.2 20.0 12.7 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -4.6 11.6 8.3 11.7 13.7 13.6 20.0 15.6 17.6 16.4 20.0 17.9 5.0 12.9 14.5 -20.0 -0.0 5.9 -1.7 5.5 0.6 4.7 3.9 11.4 7.1 20.0 20.0 20.0 SOYOIL -1.3 -14.3 -1.7 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 6.0 -1.2 -4.4 4.5 -5.4 -6.3 5.3 19.2 11.5 15.8 -6.1 -1.9 1.0 6.6 -4.1 -13.0 -0.0 -2.5 -1.0 0.4 -0.9 4.6 -2.5 14.3 7.4 -3.0 -19.7 11.7 SP400 12.3 0.6 10.7 3.3 1.6 1.0 5.6 -0.7 5.5 0.2 3.9 9.9 -4.7 6.2 9.0 -4.7 -2.3 -3.5 -2.8 7.7 3.7 10.1 -1.0 11.2 -6.3 -0.0 3.8 0.1 2.0 4.6 0.7 5.3 0.0 -4.7 -8.3 -7.4 0.4 SP500 6.4 -2.0 5.3 3.3 1.6 1.0 5.6 -0.7 5.5 -4.4 -3.4 6.8 -8.5 -1.4 3.5 -5.9 -3.9 -5.4 -4.8 1.0 -3.1 3.7 -6.9 3.9 3.5 -0.0 1.7 -1.4 -0.8 2.1 -3.0 2.9 -3.0 -12.2 -17.4 -10.2 -7.4 SUGAR11 -18.8 0.2 13.2 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 4.9 7.0 -3.2 4.6 -3.9 6.3 20.0 20.0 20.0 20.0 5.8 8.8 1.2 6.7 0.2 -20.0 -0.0 5.4 -2.5 5.7 -0.9 4.0 2.2 20.0 2.3 0.2 20.0 20.0 US10 10.6 17.2 15.9 2.0 8.3 -1.8 8.2 -5.3 5.5 11.2 -5.7 12.8 -11.6 11.0 9.5 -8.8 -1.4 -7.7 -5.7 6.4 -5.2 17.8 -17.4 13.3 -4.0 -0.0 3.4 7.9 -1.5 8.9 -6.9 6.4 -6.5 1.8 -11.7 4.6 2.5 US10U 10.0 16.6 15.2 2.0 8.3 -1.8 8.2 -5.3 5.5 11.8 -5.6 12.8 -11.6 9.6 8.6 0.8 4.5 0.9 1.7 5.7 -5.5 16.4 -17.4 12.2 -6.6 -0.0 3.8 7.3 -0.8 8.4 -5.6 6.6 4.8 -1.8 -8.0 7.6 3.3 US20 7.4 19.2 16.1 2.0 8.3 -1.8 8.2 -5.3 5.5 11.8 -4.1 12.8 -10.7 9.1 9.2 -7.6 0.5 -4.0 -1.7 6.3 -5.2 17.0 -17.0 12.3 -5.8 -0.0 2.9 7.9 -1.4 7.9 -5.7 5.3 -1.3 -4.0 -17.1 5.8 -1.1 US30 7.1 18.9 20.0 2.0 8.3 -1.8 8.2 -5.3 5.5 11.5 -3.8 12.5 -12.1 6.2 7.4 -2.1 0.0 -1.4 -0.9 5.4 -6.0 16.0 -18.9 11.4 -7.2 -0.0 3.5 6.5 -0.7 7.4 -5.3 5.6 -1.3 -5.6 -13.1 10.6 0.4 US5 9.9 18.0 15.7 2.0 8.3 -1.8 8.2 -5.3 5.5 10.9 -5.7 12.6 -11.9 11.0 9.6 -8.5 -0.4 -6.8 -5.0 6.7 -5.7 18.6 -19.0 13.9 -1.9 -0.0 3.5 7.0 -1.7 8.4 -8.0 6.4 -5.2 3.1 -12.8 6.3 2.9 VIX -16.0 -14.9 -18.7 -5.0 -1.6 -4.0 -4.3 -2.8 -5.1 -6.2 -15.2 -12.6 -12.9 -14.9 -15.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.8 -13.9 -20.0 NaN -0.0 -6.4 -2.5 -5.4 -4.5 -3.6 -5.8 NaN NaN NaN NaN NaN WHEAT -0.0 -11.8 -18.1 -3.8 -8.8 -4.4 -4.8 -1.7 -3.4 -5.4 -15.1 -11.5 -11.3 -12.3 -13.6 -8.9 -5.2 -7.3 -6.2 -17.4 -19.4 -7.5 -11.5 -11.9 1.0 -0.0 -4.7 -4.6 -4.2 -3.9 -0.1 -3.6 -20.0 -7.7 0.9 -8.2 -6.4 End of report for caleb_strategy_v1