******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230120_204349 produced at 2023-01-20 21:35:46.632423 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.23 -0.25 0.0 7779852.61 -7779852.61 -0.23 -0.23 -32.62 999999999 -30 -30 caleb_strategy_v1 LIVECOW False False 0.02 -0.13 -0.14 0.0 21875919.63 -21875919.63 -0.13 -0.15 -6.18 999999999 -6 -7 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 31739233.86 -31739233.86 -0.13 -0.13 -3.90 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.09 0.0 46689802.27 -46689802.27 -0.09 -0.09 -1.93 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.04 -0.07 0.0 11753561.94 -11753561.94 -0.04 -0.04 -5.88 999999999 -3 -3 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.06 0.0 37512675.31 -37512675.31 -0.19 -0.19 -1.52 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 -1.81 999999999 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.05 0.0 39353444.01 -39353444.01 0.00 0.00 -1.30 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 0.00 -0.04 0.0 44648659.62 -44648659.62 0.00 0.00 -0.81 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.02 0.0 79751183.61 -79751183.61 0.00 0.00 -0.25 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 40151220.87 -40151220.87 0.00 0.00 -0.49 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.02 0.0 33228947.40 -33228947.40 -0.10 -0.10 -0.67 999999999 -3 -3 caleb_strategy_v1 COCOA False False 0.01 -0.01 -0.02 0.0 8798927.81 -8798927.81 -0.01 -0.01 -2.12 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 48570645.76 -48570645.76 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.01 0.0 87691762.85 -87691762.85 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5710069.84 -5710069.84 0.00 0.00 -2.24 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3201708.57 -3201708.57 0.00 0.00 -4.01 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13272770.52 -13272770.52 -0.03 -0.03 -0.66 999999999 -2 -2 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68125006.07 -68125006.07 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4152928.56 -4152928.56 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 10265985.73 -10265985.73 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.00 0.0 6604154.44 -6604154.44 -0.01 -0.02 -0.03 999999999 -1 -3 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 19774504.49 -19774504.49 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 58921696.91 -58921696.91 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14838145.26 -14838145.26 0.00 0.00 0.10 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10443810.93 -10443810.93 0.00 0.00 0.23 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.00 0.0 6651346.52 -6651346.52 0.01 0.01 0.41 999999999 1 1 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14401276.62 -14401276.62 -0.01 -0.01 -0.29 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.05 0.11 -0.00 0.0 54669426.62 -54669426.62 0.11 0.05 -0.03 999999999 2 1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12729548.73 -12729548.73 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46559425.62 -46559425.62 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23878163.01 -23878163.01 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10182202.70 -10182202.70 0.03 0.03 1.01 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 5620967.18 -5620967.18 0.01 0.01 1.97 999999999 1 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.01 0.0 25552113.72 -25552113.72 0.00 0.00 0.54 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20625158.71 -20625158.71 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7545260.13 -7545260.13 0.02 0.02 1.73 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 751995.42 -751995.42 0.00 0.00 14.10 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 17982573.60 -17982573.60 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 22140947.57 -22140947.57 0.04 0.04 0.72 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.05 0.02 0.0 26067258.51 -26067258.51 0.05 0.05 0.77 999999999 2 2 caleb_strategy_v1 GBP False False 0.03 0.08 0.03 0.0 26534854.44 -26534854.44 0.08 0.08 1.03 999999999 3 3 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36488363.67 -36488363.67 0.07 0.07 0.95 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8973333.30 -8973333.30 0.03 0.03 3.20 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.02 0.03 0.03 0.0 15361626.39 -15361626.39 0.03 0.03 2.00 999999999 2 2 caleb_strategy_v1 BTP False False 0.04 0.00 0.04 0.0 42896757.15 -42896757.15 0.00 0.04 0.94 999999999 0 1 caleb_strategy_v1 US10U False False 0.04 0.00 0.04 0.0 41624348.79 -41624348.79 0.00 0.00 1.01 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.05 0.06 0.0 49428881.45 -49428881.45 0.05 0.10 1.13 999999999 1 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.06 0.0 27022591.35 -27022591.35 0.05 0.05 2.11 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15440015.18 -15440015.18 0.08 0.08 4.35 999999999 5 5 caleb_strategy_v1 HEATOIL False False 0.05 0.09 0.07 0.0 45807293.41 -45807293.41 0.09 0.09 1.63 999999999 2 2 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.07 0.0 32795071.00 -32795071.00 0.03 0.03 2.00 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.09 0.0 23151473.48 -23151473.48 0.05 0.05 3.70 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.21 0.0 51314290.05 -51314290.05 0.10 0.10 4.15 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.17 0.23 0.0 43720695.56 -43720695.56 0.17 0.17 5.31 999999999 4 4 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.23 0.0 0.00 0.00 0.00 0.00 31.98 999999999 0 0 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 14.8 Shocked risk 42.0 Sum abs risk 41.4 Leverage 2.46 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2924219.92, 'annual_cash_vol_target': 731054.98, 'daily_cash_vol_target': 45690.93625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0056 0.6982 0.7958 12.7323 BITCOIN 782.1661 21990.0000 3.5569 56.9107 BOBL 0.3619 117.8000 0.3073 4.9160 BTP 0.9720 115.5800 0.8410 13.4552 BUND 0.8098 138.2600 0.5857 9.3715 BUXL 2.1346 147.3000 1.4492 23.1868 CAC 65.7995 7023.5000 0.9368 14.9896 CAD 0.0040 0.7472 0.5294 8.4701 CANOLA 8.3704 812.8000 1.0298 16.4771 CHF 0.0060 1.0922 0.5508 8.8126 COCOA 37.5761 2573.0000 1.4604 23.3664 COFFEE 0.0365 1.5420 2.3692 37.9067 COPPER 0.0488 4.2680 1.1427 18.2839 CORN 4.4351 595.5000 0.7448 11.9163 COTTON2 0.0182 0.8678 2.1015 33.6240 CRUDE_W 1.2537 79.0200 1.5865 25.3844 DAX 138.6904 15145.0000 0.9158 14.6520 DOW 315.3951 33395.0000 0.9444 15.1110 EUR 0.0056 1.0892 0.5107 8.1719 EUROSTX 43.3936 4139.0000 1.0484 16.7745 FEEDCOW 1.1763 185.6250 0.6337 10.1394 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 20.6647 959.0000 2.1548 34.4771 GASOILINE 0.0520 2.7955 1.8615 29.7839 GAS_US 0.2009 3.0020 6.6923 107.0762 GBP 0.0082 1.2415 0.6612 10.5800 GOLD_micro 15.5453 1931.2000 0.8050 12.8793 HEATOIL 0.0585 3.1893 1.8357 29.3706 JPY 0.0001 0.0078 0.9076 14.5224 LEANHOG 1.3768 85.9250 1.6023 25.6370 LIVECOW 0.8233 159.9250 0.5148 8.2366 MXP 0.0003 0.0525 0.6530 10.4487 NASDAQ 154.9692 11660.5000 1.3290 21.2642 NIKKEI 280.1548 26895.0000 1.0417 16.6666 NZD 0.0050 0.6474 0.7662 12.2594 OAT 0.8552 133.1800 0.6421 10.2744 OJ 0.0238 2.0360 1.1693 18.7085 PALLAD 40.7951 1723.0000 2.3677 37.8829 PLAT 18.0984 1051.7000 1.7209 27.5339 REDWHEAT 12.9319 842.2500 1.5354 24.5665 ROBUSTA 25.8699 1945.0000 1.3301 21.2812 RUSSELL 24.0010 1872.5000 1.2818 20.5082 SILVER-mini 0.4195 24.1250 1.7389 27.8228 SOYBEAN 10.6155 1354.0000 0.7840 12.5442 SOYMEAL 5.9491 451.5000 1.3176 21.0819 SOYOIL 0.8731 62.0400 1.4074 22.5184 SP400 29.3992 2564.3000 1.1465 18.3437 SP500 42.7469 3984.2500 1.0729 17.1663 SUGAR11 0.0024 0.1970 1.2361 19.7777 US10 0.5621 115.0781 0.4884 7.8152 US10U 0.7720 121.7188 0.6343 10.1482 US20 1.0958 130.5625 0.8393 13.4282 US30 1.7445 142.0312 1.2282 19.6516 US5 0.3661 109.6953 0.3338 5.3404 VIX 0.5279 22.7500 2.3202 37.1240 WHEAT 10.1641 776.2500 1.3094 20.9501 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 698.25 0.80 555.65 1.00 555.65 45690.94 82.23 3.23 26.59 BITCOIN 21.99 3.56 78.22 1.00 78.22 45690.94 584.16 10.24 598.26 BOBL 1178.00 0.31 361.94 1.08 392.05 45690.94 116.54 6.31 73.55 BTP 1155.80 0.84 971.97 1.08 1052.82 45690.94 43.40 10.72 46.53 BUND 1382.60 0.59 809.81 1.08 877.18 45690.94 52.09 11.03 57.48 BUXL 1473.00 1.45 2134.64 1.08 2312.21 45690.94 19.76 -0.19 -0.37 CAC 702.35 0.94 657.99 1.08 712.73 45690.94 64.11 4.26 27.32 CAD 747.20 0.53 395.55 1.00 395.55 45690.94 115.51 2.61 30.20 CANOLA 162.56 1.03 167.41 0.74 124.41 45690.94 367.27 2.03 74.63 CHF 1365.31 0.55 752.00 1.00 752.00 45690.94 60.76 -8.47 -51.45 COCOA 257.30 1.46 375.76 1.00 375.76 45690.94 121.60 -8.02 -97.48 COFFEE 578.25 2.37 1369.97 1.00 1369.97 45690.94 33.35 -4.75 -15.83 COPPER 1067.00 1.14 1219.31 1.00 1219.31 45690.94 37.47 9.25 34.68 CORN 297.75 0.74 221.76 1.00 221.76 45690.94 206.04 5.43 111.97 COTTON2 433.90 2.10 911.84 1.00 911.84 45690.94 50.11 1.32 6.60 CRUDE_W 790.20 1.59 1253.67 1.00 1253.67 45690.94 36.45 4.37 15.94 DAX 151.45 0.92 138.69 1.08 150.23 45690.94 304.15 1.19 36.26 DOW 166.98 0.94 157.70 1.00 157.70 45690.94 289.74 -2.72 -78.72 EUR 1361.50 0.51 695.38 1.00 695.38 45690.94 65.71 0.56 3.65 EUROSTX 413.90 1.05 433.94 1.08 470.03 45690.94 97.21 7.32 71.14 FEEDCOW 928.12 0.63 588.16 1.00 588.16 45690.94 77.68 -18.67 -145.03 FTSE100 707.00 0.82 576.59 1.24 666.67 45690.94 68.54 -2.56 -17.57 GASOIL 959.00 2.15 2066.47 1.00 2066.47 45690.94 22.11 12.71 28.10 GASOILINE 1174.11 1.86 2185.60 1.00 2185.60 45690.94 20.91 -5.72 -11.95 GAS_US 300.20 6.69 2009.02 1.00 2009.02 45690.94 22.74 -9.97 -22.67 GBP 775.94 0.66 513.09 1.00 513.09 45690.94 89.05 6.49 57.81 GOLD_micro 193.12 0.80 155.45 1.00 155.45 45690.94 293.92 -0.04 -1.14 HEATOIL 1339.51 1.84 2458.88 1.00 2458.88 45690.94 18.58 12.33 22.91 JPY 971.69 0.91 881.95 1.00 881.95 45690.94 51.81 -1.99 -10.29 LEANHOG 343.70 1.60 550.71 1.00 550.71 45690.94 82.97 -15.16 -125.78 LIVECOW 639.70 0.51 329.31 1.00 329.31 45690.94 138.75 -16.58 -230.01 MXP 262.40 0.65 171.36 1.00 171.36 45690.94 266.64 9.80 261.30 NASDAQ 2332.10 1.33 3099.38 1.00 3099.38 45690.94 14.74 -3.15 -4.65 NIKKEI 26895.00 1.04 28015.48 0.01 218.07 45690.94 209.52 8.04 168.39 NZD 647.45 0.77 496.08 1.00 496.08 45690.94 92.10 4.89 45.05 OAT 1331.80 0.64 855.21 1.08 926.35 45690.94 49.32 11.37 56.09 OJ 305.40 1.17 357.10 1.00 357.10 45690.94 127.95 1.03 13.13 PALLAD 1723.00 2.37 4079.51 1.00 4079.51 45690.94 11.20 -2.42 -2.71 PLAT 525.85 1.72 904.92 1.00 904.92 45690.94 50.49 2.48 12.54 REDWHEAT 421.12 1.54 646.60 1.00 646.60 45690.94 70.66 -7.76 -54.83 ROBUSTA 194.50 1.33 258.70 1.00 258.70 45690.94 176.62 1.81 31.88 RUSSELL 93.62 1.28 120.01 1.00 120.01 45690.94 380.74 -2.03 -77.39 SILVER-mini 603.12 1.74 1048.79 1.00 1048.79 45690.94 43.57 5.40 23.53 SOYBEAN 677.00 0.78 530.78 1.00 530.78 45690.94 86.08 7.29 62.73 SOYMEAL 451.50 1.32 594.91 1.00 594.91 45690.94 76.80 9.61 73.84 SOYOIL 372.24 1.41 523.89 1.00 523.89 45690.94 87.21 1.70 14.79 SP400 2564.30 1.15 2939.92 1.00 2939.92 45690.94 15.54 -1.04 -1.61 SP500 1992.12 1.07 2137.34 1.00 2137.34 45690.94 21.38 -2.77 -5.93 SUGAR11 220.64 1.24 272.73 1.00 272.73 45690.94 167.53 7.63 127.78 US10 1150.78 0.49 562.10 1.00 562.10 45690.94 81.29 -4.16 -33.82 US10U 1217.19 0.63 772.02 1.00 772.02 45690.94 59.18 1.18 6.96 US20 1305.62 0.84 1095.76 1.00 1095.76 45690.94 41.70 -2.64 -11.01 US30 1420.31 1.23 1744.46 1.00 1744.46 45690.94 26.19 -1.92 -5.02 US5 1096.95 0.33 366.14 1.00 366.14 45690.94 124.79 -3.18 -39.69 VIX 227.50 2.32 527.86 1.00 527.86 45690.94 86.56 -20.00 -173.12 WHEAT 388.12 1.31 508.20 1.00 508.20 45690.94 89.91 -13.76 -123.73 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 26.587 0.006 2.5 0.425 BITCOIN 598.263 0.009 2.5 14.096 BOBL 73.547 0.029 2.5 5.307 BTP 46.525 0.008 2.5 0.940 BUND 57.475 0.029 2.5 4.147 BUXL -0.369 0.034 2.5 -0.031 CAC 27.315 0.011 2.5 0.768 CAD 30.197 0.007 2.5 0.539 CANOLA 74.628 0.004 2.5 0.685 CHF -51.451 0.015 2.5 -1.926 COCOA -97.476 0.009 2.5 -2.123 COFFEE -15.827 0.005 2.5 -0.205 COPPER 34.677 0.011 2.5 0.948 CORN 111.973 0.004 2.5 1.010 COTTON2 6.598 0.006 2.5 0.099 CRUDE_W 15.942 0.053 2.5 2.106 DAX 36.261 0.022 2.5 1.969 DOW -78.725 0.011 2.5 -2.243 EUR 3.651 0.015 2.5 0.137 EUROSTX 71.139 0.011 2.5 2.000 FEEDCOW -145.026 0.011 2.5 -3.897 FTSE100 -17.566 0.041 2.5 -1.811 GASOIL 28.096 0.029 2.5 2.004 GASOILINE -11.954 0.016 2.5 -0.491 GAS_US -22.673 0.006 2.5 -0.341 GBP 57.806 0.007 2.5 1.032 GOLD_micro -1.139 0.009 2.5 -0.025 HEATOIL 22.914 0.029 2.5 1.635 JPY -10.285 0.026 2.5 -0.666 LEANHOG -125.782 0.019 2.5 -5.876 LIVECOW -230.014 0.011 2.5 -6.181 MXP 261.303 0.005 2.5 3.199 NASDAQ -4.646 0.022 2.5 -0.252 NIKKEI 168.386 0.076 2.5 31.982 NZD 45.051 0.006 2.5 0.720 OAT 56.086 0.008 2.5 1.133 OJ 13.128 0.007 2.5 0.229 PALLAD -2.706 0.010 2.5 -0.065 PLAT 12.539 0.010 2.5 0.302 REDWHEAT -54.833 0.002 2.5 -0.293 ROBUSTA 31.880 0.005 2.5 0.413 RUSSELL -77.389 0.021 2.5 -4.008 SILVER-mini 23.534 0.009 2.5 0.527 SOYBEAN 62.727 0.024 2.5 3.698 SOYMEAL 73.841 0.024 2.5 4.354 SOYOIL 14.791 0.004 2.5 0.136 SP400 -1.613 0.021 2.5 -0.084 SP500 -5.928 0.011 2.5 -0.169 SUGAR11 127.782 0.005 2.5 1.734 US10 -33.824 0.015 2.5 -1.298 US10U 6.963 0.058 2.5 1.015 US20 -11.007 0.029 2.5 -0.811 US30 -5.025 0.034 2.5 -0.422 US5 -39.687 0.015 2.5 -1.523 VIX -173.119 0.075 2.5 -32.624 WHEAT -123.730 0.002 2.5 -0.661 ==================== Position diags ==================== AUD 1.31 BITCOIN 13.76 BOBL 8.41 BTP 0.88 BUND 3.76 BUXL 1.66 CAC 1.80 CAD 2.06 CANOLA 3.37 CHF 2.27 COCOA 2.65 COFFEE 0.43 COPPER 1.02 CORN 1.86 COTTON2 0.75 CRUDE_W 4.81 DAX 16.52 DOW 8.26 EUR 2.46 EUROSTX 2.73 FEEDCOW 2.09 FTSE100 7.07 GASOIL 1.58 GASOILINE 0.86 GAS_US 0.34 GBP 1.59 GOLD_micro 6.58 HEATOIL 1.33 JPY 3.35 LEANHOG 3.88 LIVECOW 3.73 MXP 3.26 NASDAQ 0.80 NIKKEI 39.80 NZD 1.47 OAT 1.00 OJ 2.23 PALLAD 0.27 PLAT 1.21 REDWHEAT 0.38 ROBUSTA 2.29 RUSSELL 19.72 SILVER-mini 0.97 SOYBEAN 5.08 SOYMEAL 4.53 SOYOIL 0.80 SP400 0.80 SP500 0.61 SUGAR11 2.27 US10 3.12 US10U 8.62 US20 3.07 US30 2.20 US5 4.79 VIX 16.31 WHEAT 0.48 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 14.1 12.7 15.5 NaN 0 BOBL 5.3 4.5 6.1 4.0 4 BTP 0.9 0.9 1.0 0.0 0 BUND 4.1 3.8 4.5 2.0 2 BUXL -0.0 -0.2 0.1 2.0 2 CAC 0.8 0.6 0.9 2.0 2 CAD 0.5 0.3 0.7 0.0 0 CANOLA 0.7 0.3 1.0 NaN 0 CHF -1.9 -2.2 -1.7 -2.0 -2 COCOA -2.1 -2.4 -1.9 -1.0 -1 COFFEE -0.2 -0.2 -0.2 NaN 0 COPPER 0.9 0.8 1.1 2.0 2 CORN 1.0 0.8 1.2 3.0 3 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W 2.1 1.6 2.6 2.0 2 DAX 2.0 0.3 3.6 1.0 1 DOW -2.2 -3.1 -1.4 0.0 0 EUR 0.1 -0.1 0.4 0.0 0 EUROSTX 2.0 1.7 2.3 2.0 2 FEEDCOW -3.9 -4.1 -3.7 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 2.0 1.8 2.2 1.0 1 GASOILINE -0.5 -0.6 -0.4 0.0 0 GAS_US -0.3 -0.4 -0.3 0.0 0 GBP 1.0 0.9 1.2 3.0 3 GOLD_micro -0.0 -0.7 0.6 -1.0 -1 HEATOIL 1.6 1.5 1.8 2.0 2 JPY -0.7 -1.0 -0.3 -3.0 -3 LEANHOG -5.9 -6.3 -5.5 -3.0 -3 LIVECOW -6.2 -6.6 -5.8 -6.0 -6 MXP 3.2 2.9 3.5 3.0 3 NASDAQ -0.3 -0.3 -0.2 0.0 0 NIKKEI 32.0 28.0 36.0 0.0 0 NZD 0.7 0.6 0.9 2.0 2 OAT 1.1 1.0 1.2 1.0 1 OJ 0.2 0.0 0.5 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT -0.3 -0.3 -0.3 -1.0 -1 ROBUSTA 0.4 0.2 0.6 1.0 1 RUSSELL -4.0 -6.0 -2.0 0.0 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 3.7 3.2 4.2 2.0 2 SOYMEAL 4.4 3.9 4.8 5.0 5 SOYOIL 0.1 0.1 0.2 0.0 0 SP400 -0.1 -0.2 -0.0 0.0 0 SP500 -0.2 -0.2 -0.1 0.0 0 SUGAR11 1.7 1.5 2.0 2.0 2 US10 -1.3 -1.6 -1.0 NaN 0 US10U 1.0 0.2 1.9 0.0 0 US20 -0.8 -1.1 -0.5 0.0 0 US30 -0.4 -0.6 -0.2 0.0 0 US5 -1.5 -2.0 -1.0 -5.0 -5 VIX -32.6 -34.3 -31.0 -30.0 -30 WHEAT -0.7 -0.7 -0.6 -2.0 -2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 0.1 0.2 0.3 0.1 0.0 0.0 0.1 -0.1 0.1 0.0 0.0 0.0 -0.1 0.1 0.3 -0.3 -0.1 -0.1 -0.1 0.2 0.0 0.0 -0.1 0.0 0.6 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.1 0.1 -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 0.1 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 -0.0 0.0 0.2 0.0 0.1 -0.0 -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 -0.6 0.5 0.0 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 2.5 -0.0 -0.1 -0.2 -0.1 BTP 0.2 0.0 0.3 0.0 0.0 -0.0 0.1 -0.1 0.1 0.0 -0.0 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 -0.3 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 0.0 0.1 -0.1 0.2 BUND 0.2 0.0 0.1 0.0 0.0 -0.0 0.1 -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 0.2 0.0 0.0 -0.0 0.1 -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 -0.2 0.0 0.5 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.1 -0.2 -0.2 -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 0.0 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 0.0 0.0 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 -0.1 -0.2 -0.3 CANOLA -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 0.1 0.4 0.1 0.1 -0.0 -0.1 -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 -0.2 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 0.1 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 -0.1 -0.2 -0.0 -0.0 COCOA -0.0 0.1 0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 -0.1 0.0 0.3 -0.3 -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 0.3 0.3 0.3 COFFEE -0.1 0.1 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.3 -0.0 -0.3 -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 -0.1 0.1 0.4 -0.1 -0.0 -0.0 -0.0 0.2 0.2 0.0 -0.0 0.0 1.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.3 0.1 0.3 0.2 0.1 CORN -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -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 -0.5 -0.1 -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 0.4 0.0 0.1 0.5 -0.0 CRUDE_W 0.1 0.0 -0.0 0.0 0.1 -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 -1.0 -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 0.0 -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 -0.1 0.3 0.1 0.0 0.0 0.1 -0.0 0.1 -0.0 0.2 -0.0 0.0 -0.0 0.2 -0.5 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.0 -0.0 -0.6 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 -0.3 -0.3 -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 -0.1 -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 -0.0 -0.2 0.0 0.1 -0.0 0.2 0.1 0.1 0.1 -0.1 0.0 0.2 0.0 -0.1 1.7 0.9 0.4 0.4 0.0 0.0 0.0 0.1 0.0 -0.6 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 2.7 0.2 -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 0.1 0.1 -1.7 0.4 -0.4 -0.1 0.1 0.0 0.0 0.1 0.0 -1.2 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 -1.6 0.0 0.3 0.3 0.3 GAS_US -0.2 -0.3 -0.3 0.0 0.1 -0.0 0.1 0.1 0.1 -0.0 -0.4 -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 0.2 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 -0.0 -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 -0.1 0.0 0.1 0.1 HEATOIL 0.1 -0.0 -0.2 0.0 0.1 -0.0 0.2 0.1 0.1 0.1 -0.1 0.0 0.2 0.0 -0.0 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 0.2 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 0.8 -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 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -1.6 0.3 -0.4 -0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.5 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -1.9 -0.1 -0.4 -0.2 0.1 LIVECOW -0.1 0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.0 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 0.0 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 0.2 -0.0 0.2 NASDAQ 0.1 -0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 -0.3 0.0 -0.3 -0.0 -0.1 -0.4 -0.2 -0.1 -0.1 -0.1 -0.1 0.0 -0.2 0.0 1.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.4 -0.0 -0.3 -0.1 -0.3 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 -0.2 1.2 0.4 0.3 0.2 -0.1 -0.1 0.0 -0.0 -0.0 0.8 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 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 0.0 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 0.2 0.0 0.2 0.0 0.0 -0.0 0.1 -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 1.4 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 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -0.4 -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 -0.6 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.2 -0.0 -0.3 -0.1 0.1 REDWHEAT -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 0.4 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 -0.1 ROBUSTA 0.1 0.2 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -0.2 0.0 -0.1 1.2 0.4 0.3 0.2 -0.0 -0.1 0.0 -0.1 0.0 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.2 0.0 -0.0 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 -0.3 -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 0.1 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 -0.1 -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 0.1 0.2 0.2 SOYMEAL 0.0 0.3 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -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 1.6 -0.0 0.4 0.3 0.3 SOYOIL -0.0 -0.2 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.2 0.4 0.8 0.2 0.3 -0.1 -0.0 -0.0 0.1 -0.0 -1.8 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 1.9 -0.0 -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 -0.1 -0.4 -0.1 -0.1 SUGAR11 -0.2 -0.0 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 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 -0.5 -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 0.2 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 0.1 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 0.6 -0.0 -0.1 0.1 0.0 US20 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 -0.6 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.1 -0.0 US30 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 -0.2 -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 0.1 -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 -0.8 -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 -0.1 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 0.2 -0.0 -0.1 -0.0 -0.1 -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 12.4 14.7 15.9 4.4 3.7 1.5 4.7 -2.2 5.1 5.0 2.0 12.3 -5.6 13.7 13.9 -3.2 -2.2 -3.0 -2.7 12.7 4.0 9.1 -5.3 13.7 5.6 -0.0 5.0 1.1 1.3 3.2 -2.4 5.4 -0.5 -7.1 5.1 -0.9 -7.0 BITCOIN 20.0 14.2 19.8 4.4 7.8 2.6 8.4 1.2 6.4 13.4 -10.8 14.5 -15.6 13.7 3.8 1.1 -0.3 1.3 0.8 7.0 -8.2 20.0 -20.0 19.4 20.0 -0.0 2.7 9.4 -1.8 9.7 -3.8 7.2 3.0 9.1 5.8 -2.5 -20.0 BOBL 20.0 -0.2 1.9 2.2 3.8 -1.6 6.7 -5.2 5.3 2.3 -12.4 10.9 -13.5 0.6 -3.6 -7.6 11.0 1.7 8.2 -6.7 -17.6 11.0 -20.0 5.3 13.3 -0.0 -0.9 0.1 -5.7 4.5 -10.7 3.1 17.5 -13.2 -6.7 -14.5 -7.6 BTP 19.3 2.1 20.0 2.2 3.8 -1.6 6.7 -5.2 5.3 3.5 -2.0 12.0 -10.6 6.4 6.1 10.0 14.2 13.0 14.9 5.9 -2.9 17.9 -14.2 14.0 -2.3 -0.0 2.9 2.0 -0.9 6.3 -6.0 5.5 20.0 1.3 4.8 -5.9 10.9 BUND 20.0 2.0 7.7 2.2 3.8 -1.6 6.7 -5.2 5.3 3.6 -10.7 11.4 -12.9 2.6 -1.0 11.9 15.7 13.1 14.4 -3.6 -14.2 13.7 -20.0 7.7 9.3 -0.0 0.4 1.2 -4.2 5.4 -8.9 4.1 20.0 -8.9 -1.1 -11.4 -4.6 BUXL 11.6 -0.9 9.6 2.2 3.8 -1.6 6.7 -5.2 5.3 1.7 -8.0 10.4 -11.8 -1.6 -1.9 3.2 -0.4 4.2 3.0 -4.5 -11.3 9.0 -19.4 2.7 4.2 -0.0 0.1 0.6 -3.2 4.0 -7.0 2.6 1.3 -13.4 -9.6 -12.1 -4.4 CAC 19.5 3.2 20.0 3.5 2.4 1.1 5.2 -0.6 5.4 4.1 13.7 13.1 3.8 13.8 15.2 -3.8 2.4 -1.9 -0.1 20.0 16.4 18.0 9.2 20.0 -13.6 -0.0 5.3 0.9 3.9 4.5 2.1 5.6 6.5 -5.9 2.1 3.7 17.5 CAD 12.7 6.0 2.3 4.4 3.7 1.5 4.7 -2.2 5.1 3.3 -7.9 9.3 -10.2 8.0 3.6 -1.7 -1.1 -1.8 -1.6 1.7 -6.0 4.2 -10.6 5.8 14.5 -0.0 2.1 1.3 -3.0 2.6 -6.3 4.3 1.4 -14.1 -2.5 -17.7 -17.6 CANOLA -10.9 0.9 -1.9 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -13.3 -9.2 -12.5 -5.6 -2.1 -0.7 1.1 11.1 4.7 6.6 -5.7 -6.4 -18.8 -1.4 -11.4 5.4 -0.0 -3.7 -11.3 -2.2 -8.3 0.9 -5.9 -1.3 -20.0 -17.2 1.8 6.6 CHF -4.7 13.0 20.0 4.4 3.7 1.5 4.7 -2.2 5.1 7.2 12.1 9.3 -0.2 12.0 14.6 -14.1 -12.4 -13.5 -13.2 13.3 10.2 8.3 0.8 9.6 -10.1 -0.0 5.5 2.3 3.2 3.6 -1.3 4.6 -18.3 -6.6 -7.5 -0.5 -0.1 COCOA -2.7 9.5 18.7 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -12.8 9.2 -7.8 -4.2 5.5 12.0 -3.6 -3.0 -1.8 -1.8 10.9 8.2 -3.9 0.9 5.4 -15.3 -0.0 5.6 -3.2 3.9 -0.3 0.7 3.8 -20.0 2.3 16.6 20.0 20.0 COFFEE -8.9 5.1 -20.0 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 6.1 -13.6 -5.8 -10.6 -6.7 -13.5 -1.4 3.2 1.0 3.2 -18.6 -20.0 -6.5 -15.2 -13.3 11.8 -0.0 -5.2 0.5 -6.9 -1.4 -4.7 -3.2 -10.1 -7.1 -9.6 2.7 -20.0 COPPER 20.0 20.0 20.0 4.4 7.8 2.6 8.4 1.2 6.4 14.1 1.6 15.7 -5.7 15.5 14.6 -0.9 -0.2 -0.6 -0.4 20.0 12.9 20.0 -2.1 20.0 8.8 -0.0 5.9 4.0 3.0 6.7 0.4 7.3 2.1 6.8 15.3 13.7 9.3 CORN -3.2 -9.4 -8.6 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -0.4 0.9 -4.9 3.4 -6.1 -10.8 20.0 17.4 20.0 19.7 -6.3 -2.4 -0.9 9.5 -4.1 -9.3 -0.0 -5.1 -2.9 -2.9 -2.9 2.8 -4.2 14.9 3.5 -5.4 -8.3 -6.6 COTTON2 4.1 8.4 -11.0 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 8.6 -9.6 5.8 -4.5 2.3 1.8 -0.6 13.4 2.4 7.8 -2.1 -8.9 5.7 -5.1 2.7 -0.3 -0.0 1.6 5.9 -1.3 3.5 2.2 3.1 3.2 7.9 5.8 16.4 -1.1 CRUDE_W 7.8 1.1 -0.6 0.7 6.6 -0.9 6.4 3.6 4.2 13.6 -5.3 13.6 1.9 10.3 7.4 8.5 12.4 8.0 9.7 3.6 -0.1 14.8 4.4 9.8 -7.9 -0.0 3.7 7.8 1.8 8.9 5.2 7.2 0.0 4.1 6.9 7.0 11.8 DAX 20.0 5.6 20.0 3.5 2.4 1.1 5.2 -0.6 5.4 6.8 12.7 13.6 -0.8 14.0 15.1 -8.6 -3.5 -7.0 -5.4 20.0 16.1 19.2 4.2 20.0 -9.4 -0.0 5.2 1.3 3.9 4.3 0.8 5.4 -3.0 1.6 5.6 1.2 20.0 DOW -1.2 -3.4 18.4 3.5 2.4 1.1 5.2 -0.6 5.4 -9.5 9.0 -5.4 0.5 -4.6 9.9 -6.1 -3.0 -5.6 -4.7 5.5 6.7 -6.3 2.2 -0.1 -5.5 -0.0 3.0 -1.5 2.8 -0.1 1.1 1.6 -2.2 -20.0 -20.0 -13.7 6.7 EUR 2.3 20.0 20.0 4.4 3.7 1.5 4.7 -2.2 5.1 12.8 9.4 13.5 -5.9 14.8 15.9 -8.0 -8.4 -8.0 -8.3 20.0 13.6 12.9 -5.3 18.0 0.2 -0.0 6.1 2.5 3.0 3.7 -2.2 5.5 -10.7 8.1 5.9 12.2 14.8 EUROSTX 17.8 1.4 20.0 3.5 2.4 1.1 5.2 -0.6 5.4 4.4 13.5 13.3 2.5 14.0 15.2 9.6 4.6 6.8 4.9 20.0 16.7 16.8 7.6 20.0 -16.0 -0.0 5.3 0.7 4.4 3.9 1.9 5.2 12.0 -3.9 0.2 1.8 20.0 FEEDCOW -10.7 5.1 3.2 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -12.2 1.0 -13.2 -0.4 -3.2 5.5 -20.0 -20.0 -20.0 -20.0 -0.3 0.9 -17.0 -0.6 -8.5 -20.0 -0.0 3.3 -5.1 2.2 -4.9 0.5 0.1 -20.0 -17.1 4.7 20.0 14.3 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 11.1 -2.4 -11.8 0.7 6.6 -0.9 6.4 3.6 4.2 13.4 -5.2 12.9 9.0 10.2 -3.1 20.0 20.0 20.0 20.0 1.5 0.2 20.0 10.6 11.2 -5.7 -0.0 -1.7 9.6 -1.7 7.2 3.6 2.6 20.0 15.4 -5.2 -10.1 -2.9 GASOILINE 20.0 6.8 -9.4 0.7 6.6 -0.9 6.4 3.6 4.2 13.8 -9.2 14.4 2.9 12.5 4.1 -20.0 10.3 -20.0 -5.8 7.6 0.2 20.0 5.8 19.1 -9.6 -0.0 4.7 6.0 2.3 7.9 4.1 7.6 -11.5 18.9 20.0 20.0 17.8 GAS_US -20.0 -20.0 -20.0 0.7 6.6 -0.9 6.4 3.6 4.2 -14.0 -14.6 -15.8 -6.3 -16.5 -16.3 19.8 -1.8 11.2 3.0 -20.0 -20.0 -20.0 -10.9 -20.0 -3.1 -0.0 -5.8 -2.7 -3.2 -4.5 1.1 -6.1 -19.0 -20.0 -20.0 -20.0 -20.0 GBP 3.3 11.6 20.0 4.4 3.7 1.5 4.7 -2.2 5.1 14.1 7.6 15.1 -4.4 8.7 13.1 -2.0 -1.7 -2.0 -1.9 13.2 6.4 16.0 -6.9 13.1 13.3 -0.0 4.4 6.8 -0.4 6.5 -6.6 5.6 0.5 8.5 -2.3 -3.6 0.2 GOLD_micro 19.9 20.0 20.0 4.4 7.8 2.6 8.4 1.2 6.4 12.7 6.9 14.7 -5.2 15.7 15.8 -11.8 -9.1 -11.2 -10.5 20.0 13.0 20.0 0.6 20.0 6.0 -0.0 5.9 5.8 3.0 7.5 0.4 7.2 -14.1 -7.1 0.7 5.0 3.8 HEATOIL 7.9 -1.8 -10.6 0.7 6.6 -0.9 6.4 3.6 4.2 13.9 -5.4 12.0 8.2 10.3 -0.3 20.0 20.0 20.0 20.0 1.4 0.4 20.0 11.4 11.1 -15.9 -0.0 2.1 10.0 1.7 9.9 8.1 6.5 20.0 13.4 9.1 2.6 6.7 JPY 9.5 20.0 20.0 4.4 3.7 1.5 4.7 -2.2 5.1 5.4 5.6 10.8 -8.8 13.7 14.5 -11.3 -10.7 -11.6 -11.7 18.7 7.7 11.0 -8.9 17.7 6.0 -0.0 5.5 0.1 1.9 2.7 -4.0 4.9 -15.6 -2.3 -2.9 15.5 6.4 LEANHOG -20.0 -12.0 -1.1 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -9.5 -0.2 -13.9 -1.8 -13.4 -1.2 -20.0 6.2 -20.0 -10.3 -11.8 -4.4 -20.0 1.0 -20.0 -9.6 -0.0 -4.7 -5.5 -2.1 -8.6 -0.1 -7.7 -13.7 -20.0 -20.0 -16.5 4.1 LIVECOW -7.0 4.5 10.1 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -7.9 11.3 -10.5 1.9 2.5 10.0 -20.0 -20.0 -20.0 -20.0 5.1 7.1 -8.6 3.6 -2.0 -20.0 -0.0 5.2 -2.0 5.4 -1.4 4.0 2.4 -20.0 1.2 7.8 17.1 20.0 MXP 18.2 7.7 9.6 4.4 3.7 1.5 4.7 -2.2 5.1 2.1 14.9 10.5 15.1 13.4 14.2 20.0 20.0 19.8 20.0 20.0 19.0 14.0 17.2 20.0 -20.0 -0.0 6.1 0.3 5.3 3.4 4.3 5.7 20.0 1.4 9.2 -0.5 11.6 NASDAQ 9.9 -4.3 -1.1 3.5 2.4 1.1 5.2 -0.6 5.4 10.9 -10.9 12.1 -13.1 -0.8 -4.0 -5.6 -3.7 -5.2 -4.7 -4.0 -11.0 10.6 -15.3 4.5 8.7 -0.0 0.7 5.4 -2.8 5.7 -4.7 4.1 -2.9 -0.3 -14.1 -9.9 -17.0 NIKKEI 3.6 -19.1 -3.3 3.5 2.4 1.1 5.2 -0.6 5.4 11.8 -5.1 8.0 -1.4 -8.9 -9.5 20.0 11.7 16.3 13.8 -8.6 -6.2 8.7 -2.3 -2.7 5.7 -0.0 -3.8 7.6 -3.7 3.6 -2.5 -1.0 20.0 -5.3 -20.0 -20.0 -20.0 NZD -0.9 13.9 20.0 4.4 3.7 1.5 4.7 -2.2 5.1 11.0 8.9 13.6 -4.3 10.3 13.5 0.7 0.5 0.1 0.0 14.5 8.9 10.5 -3.3 11.3 -0.4 -0.0 5.5 3.8 2.8 3.8 -1.4 4.7 4.1 -0.9 0.4 3.8 8.1 OAT 20.0 0.3 13.1 2.2 3.8 -1.6 6.7 -5.2 5.3 3.8 -8.5 11.6 -12.1 2.9 -0.1 12.7 12.9 13.2 13.6 -0.7 -9.8 15.2 -18.6 9.3 8.0 -0.0 0.9 1.7 -3.3 5.6 -8.4 4.3 20.0 -5.9 0.4 -11.1 -0.6 OJ 0.3 7.1 20.0 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -13.5 14.3 -1.1 14.7 9.9 12.6 17.9 13.4 16.8 16.3 14.9 20.0 -2.8 20.0 4.6 -20.0 -0.0 6.3 -2.7 10.4 -0.2 13.1 3.0 9.7 0.9 12.3 12.9 20.0 PALLAD 1.1 -7.0 -14.2 4.4 7.8 2.6 8.4 1.2 6.4 -9.3 -12.3 -5.6 -10.0 -8.1 -12.6 -2.0 -1.4 -1.8 -1.6 -12.7 -13.5 -6.7 -11.1 -8.5 8.2 -0.0 -3.8 -0.2 -4.4 0.5 -3.3 -1.0 0.0 -20.0 -20.0 -20.0 -20.0 PLAT 4.5 5.3 20.0 4.4 7.8 2.6 8.4 1.2 6.4 -10.4 12.0 -1.6 2.4 4.4 12.1 -1.9 -0.6 -1.1 -0.7 11.8 12.2 -5.8 5.6 3.6 -4.0 -0.0 5.9 0.0 5.2 0.6 1.8 3.4 1.5 -20.0 -15.7 -6.5 8.2 REDWHEAT -1.2 -9.9 -13.8 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 6.7 -13.7 -3.9 -8.0 -8.0 -12.4 4.4 1.2 4.2 3.1 -13.2 -13.8 -1.5 -6.0 -8.0 -2.1 -0.0 -4.7 0.9 -3.5 -1.0 1.5 -3.0 -12.5 3.7 0.4 -9.1 -3.9 ROBUSTA 13.9 17.3 -20.0 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 13.6 -10.1 13.6 -6.9 12.7 -6.6 15.2 9.5 13.5 11.3 -0.8 -8.7 14.7 -6.0 8.7 -1.7 -0.0 -2.8 7.4 -4.8 4.7 -2.9 1.0 1.3 20.0 -0.2 14.2 -20.0 RUSSELL 15.5 -1.3 6.4 3.5 2.4 1.1 5.2 -0.6 5.4 5.0 -3.6 10.2 -10.6 5.9 5.3 -5.1 -2.9 -4.7 -4.1 3.6 -1.8 10.9 -6.8 9.8 -2.6 -0.0 3.1 2.9 0.5 5.6 -1.3 5.7 -1.6 -0.8 -6.2 -7.2 -6.0 SILVER-mini -5.4 14.6 20.0 4.4 7.8 2.6 8.4 1.2 6.4 -2.0 11.0 1.1 -1.3 11.5 14.1 -4.8 -3.7 -4.5 -4.2 14.8 13.0 1.3 2.8 7.0 5.3 -0.0 5.4 1.9 4.2 1.9 -0.0 3.0 -4.1 -20.0 -20.0 -0.6 11.7 SOYBEAN -10.1 0.2 2.9 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -13.5 1.0 -13.4 4.8 -7.3 3.8 20.0 20.0 20.0 20.0 -0.1 3.1 -16.8 7.1 -7.7 -20.0 -0.0 2.3 -14.5 5.0 -10.6 9.0 -3.0 20.0 -20.0 5.0 11.9 15.3 SOYMEAL 1.3 18.6 13.3 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -10.8 11.6 4.5 11.8 12.8 13.4 20.0 15.7 17.9 16.6 19.6 17.9 0.3 13.2 11.9 -20.0 -0.0 5.8 -2.5 5.6 -0.4 4.8 3.2 11.7 -6.1 20.0 20.0 20.0 SOYOIL -3.8 -13.2 -2.5 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 -5.5 -1.2 -7.9 4.4 -6.0 -6.6 4.8 19.0 11.1 15.5 -6.6 -2.2 -3.3 6.5 -5.5 -12.8 -0.0 -2.8 -3.9 0.2 -2.6 4.5 -3.2 14.0 -2.5 -4.2 -20.0 11.7 SP400 12.7 0.9 11.3 3.5 2.4 1.1 5.2 -0.6 5.4 2.5 4.2 9.8 -4.6 6.6 9.4 -4.8 -2.4 -3.6 -2.9 7.8 3.8 9.2 -0.9 10.6 -6.1 -0.0 4.0 2.3 2.2 4.6 0.8 5.3 0.0 -6.3 -9.8 -7.6 -0.0 SP500 7.3 -1.5 6.0 3.5 2.4 1.1 5.2 -0.6 5.4 1.1 -3.3 7.8 -8.4 -1.0 3.9 -5.9 -3.9 -5.4 -4.8 1.4 -2.8 4.8 -6.7 4.2 3.5 -0.0 2.0 2.5 -0.6 3.2 -2.9 3.3 -3.0 -10.6 -17.3 -10.4 -7.6 SUGAR11 -19.1 -0.1 13.4 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 2.4 6.9 -1.6 4.6 -4.1 6.1 20.0 20.0 20.0 20.0 5.6 8.8 -0.1 6.9 -0.1 -20.0 -0.0 5.3 -2.1 5.8 -1.2 4.1 1.7 20.0 10.5 -2.0 20.0 20.0 US10 12.6 16.2 18.0 2.2 3.8 -1.6 6.7 -5.2 5.3 5.0 -5.5 11.3 -11.5 10.6 9.8 -8.8 -1.5 -7.8 -5.7 6.7 -4.8 13.4 -17.0 12.5 -3.7 -0.0 3.6 2.9 -1.3 6.5 -6.8 6.1 -6.6 -1.6 -12.3 3.9 2.5 US10U 11.9 15.5 17.7 2.2 3.8 -1.6 6.7 -5.2 5.3 4.8 -5.4 11.4 -11.5 9.6 9.0 0.7 4.4 0.8 1.7 5.9 -5.1 11.9 -16.9 11.2 -6.4 -0.0 4.0 2.5 -0.6 6.1 -5.5 6.2 4.7 -3.6 -8.0 6.7 3.4 US20 9.6 17.9 18.7 2.2 3.8 -1.6 6.7 -5.2 5.3 5.8 -3.9 11.5 -10.7 9.2 9.6 -8.0 0.4 -4.2 -1.9 6.4 -4.7 12.5 -16.5 11.4 -5.4 -0.0 3.0 2.9 -1.2 5.8 -5.7 5.1 -1.5 -4.1 -17.1 4.5 -1.2 US30 9.1 16.9 20.0 2.2 3.8 -1.6 6.7 -5.2 5.3 4.7 -3.6 10.9 -12.1 6.0 7.7 -2.1 -0.0 -1.4 -1.0 5.4 -5.6 10.9 -18.3 10.2 -6.8 -0.0 3.6 1.9 -0.6 5.2 -5.3 5.2 -1.3 -5.3 -12.8 9.0 0.1 US5 11.8 17.1 17.7 2.2 3.8 -1.6 6.7 -5.2 5.3 4.8 -5.5 11.0 -11.9 10.5 9.9 -8.7 -0.5 -6.9 -5.2 7.0 -5.3 14.1 -18.7 13.1 -1.7 -0.0 3.7 2.4 -1.5 6.1 -7.9 6.0 -5.4 -1.8 -13.6 5.7 3.0 VIX -16.3 -15.4 -19.4 -5.0 -2.3 -4.1 -4.1 -2.8 -5.0 -9.2 -15.3 -13.0 -13.0 -14.9 -16.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.3 -14.3 -20.0 NaN -0.0 -6.5 -3.1 -5.4 -4.5 -3.7 -5.8 NaN NaN NaN NaN NaN WHEAT -0.9 -11.4 -18.5 -4.2 -8.2 -4.6 -5.9 -1.7 -4.2 0.9 -15.1 -10.9 -11.4 -11.9 -13.7 -9.2 -5.3 -7.5 -6.3 -17.2 -19.6 -5.6 -11.7 -11.0 1.2 -0.0 -4.8 -1.6 -4.3 -2.8 -0.2 -3.4 -20.0 -3.4 1.0 -7.6 -7.0 End of report for caleb_strategy_v1