******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230123_204317 produced at 2023-01-23 21:35:37.305805 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.23 -0.26 0.0 7702542.99 -7702542.99 -0.23 -0.24 -33.27 999999999 -30 -31 caleb_strategy_v1 LIVECOW False False 0.02 -0.15 -0.14 0.0 21936022.65 -21936022.65 -0.15 -0.15 -6.21 999999999 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 32078273.54 -32078273.54 -0.13 -0.13 -3.66 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.09 0.0 46518406.80 -46518406.80 -0.09 -0.09 -2.03 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.04 -0.07 0.0 11675074.03 -11675074.03 -0.04 -0.05 -6.38 999999999 -3 -4 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.06 0.0 37362563.88 -37362563.88 -0.19 -0.19 -1.63 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 39174518.80 -39174518.80 0.00 0.00 -1.35 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 0.00 -0.04 0.0 44351532.87 -44351532.87 0.00 0.00 -0.89 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.03 0.0 32885247.28 -32885247.28 -0.10 -0.10 -0.87 999999999 -3 -3 caleb_strategy_v1 COCOA False False 0.01 -0.01 -0.02 0.0 8894643.88 -8894643.88 -0.01 -0.01 -2.28 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 48204939.21 -48204939.21 0.00 0.00 -0.47 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 40602614.68 -40602614.68 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.05 -0.01 0.0 54152648.49 -54152648.49 0.05 0.00 -0.11 999999999 1 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68814792.32 -68814792.32 0.00 0.00 -0.13 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 81173872.66 -81173872.66 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5744628.29 -5744628.29 0.00 0.00 -2.08 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3231823.08 -3231823.08 0.00 0.00 -2.93 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 12885961.61 -12885961.61 -0.03 -0.03 -0.64 999999999 -2 -2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4116636.44 -4116636.44 0.00 0.00 0.57 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 10896280.33 -10896280.33 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20353670.97 -20353670.97 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 58102109.20 -58102109.20 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14916632.03 -14916632.03 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10467602.21 -10467602.21 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.00 0.0 6636825.29 -6636825.29 0.01 0.01 0.48 999999999 1 1 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 13927768.97 -13927768.97 -0.01 -0.01 -0.29 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 88683425.11 -88683425.11 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.00 0.0 6587979.89 -6587979.89 -0.02 -0.03 -0.09 999999999 -3 -5 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12720980.31 -12720980.31 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46518406.80 -46518406.80 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 24033300.43 -24033300.43 0.00 0.00 0.49 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10008182.24 -10008182.24 0.03 0.03 0.86 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 5623430.09 -5623430.09 0.01 0.01 1.93 999999999 1 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20206366.24 -20206366.24 0.00 0.00 0.50 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7528885.66 -7528885.66 0.02 0.02 1.76 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 779647.64 -779647.64 0.00 0.00 14.82 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18018143.80 -18018143.80 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 25529404.12 -25529404.12 0.00 0.00 0.59 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 22156339.29 -22156339.29 0.04 0.04 0.77 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.05 0.02 0.0 26130118.59 -26130118.59 0.05 0.08 0.78 999999999 2 3 caleb_strategy_v1 US10U False False 0.04 0.00 0.03 0.0 41421449.65 -41421449.65 0.00 0.00 0.81 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36279660.63 -36279660.63 0.07 0.07 0.91 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8997116.73 -8997116.73 0.03 0.03 3.24 999999999 3 3 caleb_strategy_v1 GBP False False 0.03 0.08 0.03 0.0 26435861.93 -26435861.93 0.08 0.08 1.06 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.02 0.03 0.03 0.0 15428718.13 -15428718.13 0.03 0.05 2.13 999999999 2 3 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 42761074.49 -42761074.49 0.04 0.04 0.93 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.10 0.05 0.0 49180430.52 -49180430.52 0.10 0.15 1.10 999999999 2 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.06 0.0 27086991.53 -27086991.53 0.05 0.08 2.26 999999999 2 3 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.07 0.0 22885604.45 -22885604.45 0.05 0.05 3.23 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15306028.88 -15306028.88 0.08 0.08 4.37 999999999 5 5 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.07 0.0 33559860.25 -33559860.25 0.03 0.03 2.16 999999999 1 1 caleb_strategy_v1 HEATOIL False False 0.05 0.09 0.08 0.0 46683968.77 -46683968.77 0.09 0.14 1.74 999999999 2 3 caleb_strategy_v1 BUND False False 0.05 0.10 0.21 0.0 51095105.50 -51095105.50 0.10 0.10 4.02 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.17 0.22 0.0 43607093.67 -43607093.67 0.17 0.13 5.08 999999999 4 3 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.25 0.0 0.00 0.00 0.00 0.00 35.56 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 15.3 Shocked risk 44.4 Sum abs risk 41.8 Leverage 2.48 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2927604.56, 'annual_cash_vol_target': 731901.14, 'daily_cash_vol_target': 45743.82125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0055 0.7036 0.7817 12.5077 BITCOIN 785.4082 22825.0000 3.4410 55.0560 BOBL 0.3574 117.5200 0.3041 4.8659 BTP 0.9470 115.2400 0.8218 13.1485 BUND 0.7986 137.7000 0.5800 9.2793 BUXL 2.1021 145.9400 1.4404 23.0463 CAC 64.1304 7042.0000 0.9107 14.5710 CAD 0.0039 0.7474 0.5186 8.2972 CANOLA 8.2050 806.5000 1.0174 16.2777 CHF 0.0059 1.0895 0.5440 8.7038 COCOA 37.4042 2604.0000 1.4364 22.9826 COFFEE 0.0367 1.5890 2.3101 36.9608 COPPER 0.0489 4.2485 1.1506 18.4097 CORN 4.8098 586.0000 0.8208 13.1327 COTTON2 0.0177 0.8734 2.0268 32.4296 CRUDE_W 1.2219 79.3000 1.5408 24.6532 DAX 134.4424 15155.0000 0.8871 14.1939 DOW 310.7360 33636.0000 0.9238 14.7811 EUR 0.0055 1.0895 0.5005 8.0073 EUROSTX 42.5043 4158.0000 1.0222 16.3557 FEEDCOW 1.2397 187.8250 0.6601 10.5609 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 20.3673 982.5000 2.0730 33.1681 GASOILINE 0.0508 2.8302 1.7949 28.7186 GAS_US 0.2010 3.1900 6.3017 100.8274 GBP 0.0081 1.2383 0.6534 10.4550 GOLD_micro 15.2587 1928.7000 0.7911 12.6582 HEATOIL 0.0577 3.2541 1.7729 28.3662 JPY 0.0001 0.0077 0.9172 14.6751 LEANHOG 1.3298 85.4500 1.5562 24.8988 LIVECOW 0.8163 160.5500 0.5084 8.1348 MXP 0.0003 0.0527 0.6411 10.2571 NASDAQ 155.6898 11882.2500 1.3103 20.9644 NIKKEI 275.9099 27110.0000 1.0177 16.2839 NZD 0.0049 0.6486 0.7482 11.9716 OAT 0.8457 132.5400 0.6380 10.2087 OJ 0.0233 2.0430 1.1405 18.2484 PALLAD 39.8672 1701.0000 2.3437 37.5000 PLAT 17.6406 1055.0000 1.6721 26.7535 REDWHEAT 13.5507 815.5000 1.6616 26.5863 ROBUSTA 25.2639 1943.0000 1.3003 20.8040 RUSSELL 23.6282 1892.3000 1.2487 19.9784 SILVER-mini 0.4217 23.6625 1.7821 28.5133 SOYBEAN 10.6858 1340.0000 0.7974 12.7592 SOYMEAL 5.8465 448.1000 1.3047 20.8758 SOYOIL 0.8528 62.0700 1.3740 21.9833 SP400 29.1407 2596.3000 1.1224 17.9583 SP500 42.3554 4029.2500 1.0512 16.8192 SUGAR11 0.0024 0.1968 1.2101 19.3620 US10 0.5556 114.6875 0.4845 7.7516 US10U 0.7615 121.2656 0.6279 10.0469 US20 1.0810 129.8438 0.8325 13.3206 US30 1.7163 141.1250 1.2161 19.4582 US5 0.3635 109.3828 0.3323 5.3173 VIX 0.5183 22.5500 2.2984 36.7742 WHEAT 10.6821 754.5000 1.4158 22.6526 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 703.60 0.78 550.03 1.00 550.03 45743.82 83.17 3.65 30.37 BITCOIN 22.82 3.44 78.54 1.00 78.54 45743.82 582.42 10.80 629.10 BOBL 1175.20 0.30 357.40 1.09 387.89 45743.82 117.93 5.98 70.47 BTP 1152.40 0.82 947.02 1.09 1027.81 45743.82 44.51 10.35 46.06 BUND 1377.00 0.58 798.60 1.09 866.73 45743.82 52.78 10.57 55.77 BUXL 1459.40 1.44 2102.12 1.09 2281.44 45743.82 20.05 -0.65 -1.30 CAC 704.20 0.91 641.30 1.09 696.01 45743.82 65.72 4.22 27.72 CAD 747.40 0.52 387.58 1.00 387.58 45743.82 118.02 2.82 33.32 CANOLA 161.30 1.02 164.10 0.75 122.59 45743.82 373.14 1.67 62.48 CHF 1361.88 0.54 740.84 1.00 740.84 45743.82 61.75 -8.79 -54.28 COCOA 260.40 1.44 374.04 1.00 374.04 45743.82 122.30 -8.56 -104.74 COFFEE 595.88 2.31 1376.50 1.00 1376.50 45743.82 33.23 -4.43 -14.72 COPPER 1062.12 1.15 1222.09 1.00 1222.09 45743.82 37.43 8.86 33.16 CORN 293.00 0.82 240.49 1.00 240.49 45743.82 190.21 5.04 95.85 COTTON2 436.70 2.03 885.13 1.00 885.13 45743.82 51.68 1.61 8.34 CRUDE_W 793.00 1.54 1221.88 1.00 1221.88 45743.82 37.44 4.57 17.11 DAX 151.55 0.89 134.44 1.09 145.91 45743.82 313.50 1.13 35.58 DOW 168.18 0.92 155.37 1.00 155.37 45743.82 294.42 -2.48 -72.95 EUR 1361.88 0.50 681.56 1.00 681.56 45743.82 67.12 0.52 3.47 EUROSTX 415.80 1.02 425.04 1.09 461.30 45743.82 99.16 7.62 75.60 FEEDCOW 939.12 0.66 619.87 1.00 619.87 45743.82 73.80 -18.46 -136.23 FTSE100 707.00 0.82 576.59 1.24 666.67 45743.82 68.62 -2.56 -17.59 GASOIL 982.50 2.07 2036.73 1.00 2036.73 45743.82 22.46 13.50 30.33 GASOILINE 1188.68 1.79 2133.58 1.00 2133.58 45743.82 21.44 -5.95 -12.76 GAS_US 319.00 6.30 2010.25 1.00 2010.25 45743.82 22.76 -10.02 -22.81 GBP 773.94 0.65 505.72 1.00 505.72 45743.82 90.45 6.54 59.12 GOLD_micro 192.87 0.79 152.59 1.00 152.59 45743.82 299.79 -0.13 -3.95 HEATOIL 1366.72 1.77 2423.04 1.00 2423.04 45743.82 18.88 12.91 24.37 JPY 962.75 0.92 883.03 1.00 883.03 45743.82 51.80 -2.59 -13.42 LEANHOG 341.80 1.56 531.90 1.00 531.90 45743.82 86.00 -15.88 -136.57 LIVECOW 642.20 0.51 326.51 1.00 326.51 45743.82 140.10 -16.49 -231.03 MXP 263.40 0.64 168.86 1.00 168.86 45743.82 270.90 9.77 264.76 NASDAQ 2376.45 1.31 3113.80 1.00 3113.80 45743.82 14.69 -2.10 -3.09 NIKKEI 27110.00 1.02 27590.99 0.01 212.95 45743.82 214.81 8.72 187.22 NZD 648.65 0.75 485.34 1.00 485.34 45743.82 94.25 5.10 48.11 OAT 1325.40 0.64 845.66 1.09 917.80 45743.82 49.84 10.88 54.24 OJ 306.45 1.14 349.51 1.00 349.51 45743.82 130.88 1.30 17.01 PALLAD 1701.00 2.34 3986.72 1.00 3986.72 45743.82 11.47 -2.52 -2.89 PLAT 527.50 1.67 882.03 1.00 882.03 45743.82 51.86 2.27 11.78 REDWHEAT 407.75 1.66 677.53 1.00 677.53 45743.82 67.52 -8.04 -54.26 ROBUSTA 194.30 1.30 252.64 1.00 252.64 45743.82 181.06 2.03 36.73 RUSSELL 94.62 1.25 118.14 1.00 118.14 45743.82 387.20 -1.46 -56.54 SILVER-mini 591.56 1.78 1054.21 1.00 1054.21 45743.82 43.39 5.19 22.51 SOYBEAN 670.00 0.80 534.29 1.00 534.29 45743.82 85.62 6.39 54.73 SOYMEAL 448.10 1.30 584.65 1.00 584.65 45743.82 78.24 9.47 74.09 SOYOIL 372.42 1.37 511.69 1.00 511.69 45743.82 89.40 1.35 12.05 SP400 2596.30 1.12 2914.07 1.00 2914.07 45743.82 15.70 -0.66 -1.03 SP500 2014.62 1.05 2117.77 1.00 2117.77 45743.82 21.60 -2.07 -4.47 SUGAR11 220.42 1.21 266.73 1.00 266.73 45743.82 171.50 7.57 129.81 US10 1146.88 0.48 555.63 1.00 555.63 45743.82 82.33 -4.28 -35.21 US10U 1212.66 0.63 761.46 1.00 761.46 45743.82 60.07 0.93 5.59 US20 1298.44 0.83 1081.00 1.00 1081.00 45743.82 42.32 -2.86 -12.09 US30 1411.25 1.22 1716.27 1.00 1716.27 45743.82 26.65 -2.09 -5.58 US5 1093.83 0.33 363.51 1.00 363.51 45743.82 125.84 -3.38 -42.56 VIX 225.50 2.30 518.29 1.00 518.29 45743.82 88.26 -20.00 -176.52 WHEAT 377.25 1.42 534.11 1.00 534.11 45743.82 85.65 -14.04 -120.27 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 30.368 0.006 2.5 0.485 BITCOIN 629.099 0.009 2.5 14.822 BOBL 70.465 0.029 2.5 5.085 BTP 46.056 0.008 2.5 0.930 BUND 55.773 0.029 2.5 4.024 BUXL -1.296 0.034 2.5 -0.109 CAC 27.719 0.011 2.5 0.779 CAD 33.322 0.007 2.5 0.595 CANOLA 62.476 0.004 2.5 0.573 CHF -54.281 0.015 2.5 -2.031 COCOA -104.744 0.009 2.5 -2.282 COFFEE -14.723 0.005 2.5 -0.191 COPPER 33.159 0.011 2.5 0.906 CORN 95.855 0.004 2.5 0.865 COTTON2 8.337 0.006 2.5 0.126 CRUDE_W 17.112 0.053 2.5 2.261 DAX 35.581 0.022 2.5 1.932 DOW -72.948 0.011 2.5 -2.079 EUR 3.468 0.015 2.5 0.130 EUROSTX 75.596 0.011 2.5 2.125 FEEDCOW -136.228 0.011 2.5 -3.661 FTSE100 -17.587 0.041 2.5 -1.813 GASOIL 30.325 0.029 2.5 2.163 GASOILINE -12.756 0.016 2.5 -0.524 GAS_US -22.805 0.006 2.5 -0.343 GBP 59.124 0.007 2.5 1.056 GOLD_micro -3.950 0.009 2.5 -0.088 HEATOIL 24.370 0.029 2.5 1.738 JPY -13.416 0.026 2.5 -0.868 LEANHOG -136.568 0.019 2.5 -6.380 LIVECOW -231.031 0.011 2.5 -6.208 MXP 264.763 0.005 2.5 3.241 NASDAQ -3.088 0.022 2.5 -0.168 NIKKEI 187.218 0.076 2.5 35.559 NZD 48.112 0.006 2.5 0.769 OAT 54.236 0.008 2.5 1.095 OJ 17.011 0.007 2.5 0.297 PALLAD -2.890 0.010 2.5 -0.070 PLAT 11.781 0.010 2.5 0.283 REDWHEAT -54.258 0.002 2.5 -0.290 ROBUSTA 36.733 0.005 2.5 0.476 RUSSELL -56.540 0.021 2.5 -2.929 SILVER-mini 22.513 0.009 2.5 0.504 SOYBEAN 54.732 0.024 2.5 3.227 SOYMEAL 74.092 0.024 2.5 4.369 SOYOIL 12.048 0.004 2.5 0.111 SP400 -1.028 0.021 2.5 -0.053 SP500 -4.465 0.011 2.5 -0.127 SUGAR11 129.810 0.005 2.5 1.761 US10 -35.214 0.015 2.5 -1.351 US10U 5.587 0.058 2.5 0.814 US20 -12.092 0.029 2.5 -0.891 US30 -5.578 0.034 2.5 -0.468 US5 -42.559 0.015 2.5 -1.633 VIX -176.520 0.075 2.5 -33.265 WHEAT -120.266 0.002 2.5 -0.642 ==================== Position diags ==================== AUD 1.33 BITCOIN 13.72 BOBL 8.51 BTP 0.90 BUND 3.81 BUXL 1.68 CAC 1.85 CAD 2.11 CANOLA 3.43 CHF 2.31 COCOA 2.66 COFFEE 0.43 COPPER 1.02 CORN 1.72 COTTON2 0.78 CRUDE_W 4.95 DAX 17.03 DOW 8.39 EUR 2.51 EUROSTX 2.79 FEEDCOW 1.98 FTSE100 7.07 GASOIL 1.60 GASOILINE 0.88 GAS_US 0.34 GBP 1.62 GOLD_micro 6.71 HEATOIL 1.35 JPY 3.35 LEANHOG 4.02 LIVECOW 3.76 MXP 3.32 NASDAQ 0.80 NIKKEI 40.80 NZD 1.51 OAT 1.01 OJ 2.28 PALLAD 0.28 PLAT 1.25 REDWHEAT 0.36 ROBUSTA 2.35 RUSSELL 20.06 SILVER-mini 0.97 SOYBEAN 5.05 SOYMEAL 4.61 SOYOIL 0.82 SP400 0.81 SP500 0.62 SUGAR11 2.33 US10 3.16 US10U 8.75 US20 3.12 US30 2.24 US5 4.83 VIX 16.63 WHEAT 0.46 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.4 0.6 0.0 0 BITCOIN 14.8 13.4 16.2 NaN 0 BOBL 5.1 4.2 5.9 4.0 4 BTP 0.9 0.8 1.0 1.0 1 BUND 4.0 3.6 4.4 2.0 2 BUXL -0.1 -0.3 0.1 1.0 1 CAC 0.8 0.6 1.0 2.0 2 CAD 0.6 0.4 0.8 0.0 0 CANOLA 0.6 0.2 0.9 NaN 0 CHF -2.0 -2.3 -1.8 -2.0 -2 COCOA -2.3 -2.5 -2.0 -1.0 -1 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.9 0.8 1.0 2.0 2 CORN 0.9 0.7 1.0 3.0 3 COTTON2 0.1 0.0 0.2 NaN 0 CRUDE_W 2.3 1.8 2.8 2.0 2 DAX 1.9 0.2 3.6 1.0 1 DOW -2.1 -2.9 -1.2 0.0 0 EUR 0.1 -0.1 0.4 0.0 0 EUROSTX 2.1 1.8 2.4 2.0 2 FEEDCOW -3.7 -3.9 -3.5 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 2.2 2.0 2.3 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 1.1 0.9 1.2 3.0 3 GOLD_micro -0.1 -0.8 0.6 -3.0 -3 HEATOIL 1.7 1.6 1.9 2.0 2 JPY -0.9 -1.2 -0.5 -3.0 -3 LEANHOG -6.4 -6.8 -6.0 -3.0 -3 LIVECOW -6.2 -6.6 -5.8 -7.0 -7 MXP 3.2 2.9 3.6 3.0 3 NASDAQ -0.2 -0.2 -0.1 0.0 0 NIKKEI 35.6 31.5 39.6 0.0 0 NZD 0.8 0.6 0.9 2.0 2 OAT 1.1 1.0 1.2 2.0 2 OJ 0.3 0.1 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 0.5 0.2 0.7 1.0 1 RUSSELL -2.9 -4.9 -0.9 0.0 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 3.2 2.7 3.7 2.0 2 SOYMEAL 4.4 3.9 4.8 5.0 5 SOYOIL 0.1 0.0 0.2 0.0 0 SP400 -0.1 -0.1 0.0 0.0 0 SP500 -0.1 -0.2 -0.1 0.0 0 SUGAR11 1.8 1.5 2.0 2.0 2 US10 -1.4 -1.7 -1.0 NaN 0 US10U 0.8 -0.1 1.7 0.0 0 US20 -0.9 -1.2 -0.6 0.0 0 US30 -0.5 -0.7 -0.2 0.0 0 US5 -1.6 -2.1 -1.1 -5.0 -5 VIX -33.3 -34.9 -31.6 -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 0.1 0.1 0.1 -0.1 0.1 0.3 -0.3 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.1 0.0 0.6 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 0.1 -0.0 -0.1 BITCOIN 0.2 0.3 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.2 0.0 -0.4 0.1 0.1 0.0 -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 0.1 0.2 -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 0.2 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 -0.2 -0.1 BUXL 0.2 -0.0 0.1 0.0 0.0 -0.0 0.1 -0.1 0.1 -0.0 -0.2 0.0 -0.3 -0.0 -0.0 0.2 -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 0.1 0.0 0.0 0.0 0.9 -0.1 0.0 0.0 0.2 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 2.1 -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 -0.1 -0.1 -0.0 -0.0 -0.0 1.3 -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 0.0 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 -2.4 -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 -0.1 0.1 -0.3 COPPER 0.2 0.3 0.3 0.1 0.0 0.1 0.2 0.0 0.1 0.0 0.1 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 -0.1 -0.1 -0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 -0.3 1.6 0.7 0.4 0.4 -0.1 -0.0 -0.0 0.1 -0.0 -1.3 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.1 -0.0 -0.2 -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 -0.1 0.5 0.0 0.1 -0.0 -0.0 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 0.2 0.1 0.1 0.0 -0.1 0.1 0.1 0.0 0.2 0.7 0.5 0.2 0.2 0.1 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 0.1 0.0 0.0 0.0 -0.4 -0.1 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 0.1 -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 0.0 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 1.7 -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 -0.1 -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 0.2 0.3 0.2 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 -0.1 0.2 -0.0 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 -0.0 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.9 -0.2 -0.3 0.1 0.0 GASOIL 0.2 0.0 -0.2 0.0 0.1 -0.0 0.2 0.1 0.1 0.1 -0.1 0.1 0.2 0.0 -0.0 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 -0.0 -0.1 -0.0 GASOILINE 0.2 0.2 -0.2 0.0 0.1 -0.0 0.2 0.1 0.1 0.0 -0.2 0.1 0.1 0.1 0.1 -1.7 0.4 -0.4 -0.2 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 -1.8 0.0 0.3 0.3 0.3 GAS_US -0.2 -0.3 -0.3 0.0 0.1 -0.0 0.2 0.1 0.1 -0.0 -0.4 -0.0 -0.2 -0.1 -0.4 1.5 -0.1 0.2 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 -2.5 -0.3 -0.4 -0.3 -0.3 GBP 0.1 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 0.0 -0.0 -0.1 -0.0 GOLD_micro 0.2 0.3 0.4 0.1 0.1 0.1 0.2 0.0 0.1 0.0 0.2 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 0.8 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -1.8 -0.1 -0.0 0.1 0.1 HEATOIL 0.1 0.0 -0.2 0.0 0.1 -0.0 0.2 0.1 0.1 0.1 -0.1 0.0 0.2 0.1 0.0 1.7 0.9 0.5 0.5 0.0 0.0 0.0 0.2 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 -0.1 -0.2 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 -0.1 -0.0 -1.6 0.2 -0.4 -0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.4 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.1 -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 0.2 0.2 0.3 MXP 0.2 0.1 0.2 0.1 0.0 0.0 0.1 -0.0 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 0.1 -0.0 0.2 NASDAQ 0.2 -0.0 -0.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 -0.3 0.1 -0.3 0.0 -0.1 -0.4 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 1.0 -0.0 0.0 0.1 -0.0 0.0 -0.1 0.0 -0.4 0.1 -0.2 -0.1 -0.3 NIKKEI 0.1 -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 0.3 -0.1 -0.1 0.0 -0.0 0.0 0.9 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 2.6 -0.0 -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 1.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 2.7 -0.0 -0.0 -0.2 -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 0.4 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 -0.3 -0.0 -0.3 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 1.6 -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 0.0 0.1 0.3 0.1 0.0 0.1 0.1 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 -0.4 -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 0.1 0.1 0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -1.7 -0.0 -0.1 -0.1 -0.1 ROBUSTA 0.2 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 -0.4 -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 0.2 -0.3 -0.1 -0.1 -0.1 0.1 -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 0.2 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 1.2 -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 -0.2 -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 0.0 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 0.0 -0.0 0.1 -0.0 2.7 -0.0 0.0 0.1 0.2 SOYMEAL -0.0 0.2 0.2 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.3 0.0 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 -0.1 -0.2 -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 0.3 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 0.3 -0.2 -0.1 -0.1 -0.0 0.1 0.1 0.0 -0.0 0.0 -1.0 -0.0 0.1 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 -0.3 -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 0.1 0.0 2.7 0.0 -0.1 0.3 0.3 US10 0.2 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 -0.7 -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 0.2 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 0.0 0.2 0.0 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 0.6 -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 0.0 -0.0 US30 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 -0.2 -0.0 -0.0 -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 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 -0.2 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.8 -0.0 -0.0 0.1 0.0 VIX -0.2 -0.8 -1.3 -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 -0.3 -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 -0.1 -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 -0.1 -0.1 -0.1 -0.1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 12.5 15.0 16.0 4.5 3.5 1.6 4.6 -2.1 5.1 11.2 2.6 13.6 -5.4 14.3 14.3 -3.2 -2.3 -3.0 -2.7 13.4 4.5 11.9 -5.1 14.8 5.6 -0.0 5.1 3.8 1.5 4.1 -2.3 5.6 -0.6 -2.6 6.1 -0.2 -6.9 BITCOIN 20.0 16.1 20.0 4.4 6.1 2.6 7.7 1.2 6.3 13.8 -9.5 15.0 -15.5 14.3 5.1 0.7 -0.3 1.2 0.7 9.1 -7.0 20.0 -20.0 20.0 20.0 -0.0 3.1 9.6 -1.3 9.7 -3.3 7.4 3.0 17.8 9.0 -0.8 -20.0 BOBL 20.0 -0.7 -0.4 2.3 0.7 -1.5 5.0 -5.2 5.0 -3.3 -12.4 8.4 -13.5 0.1 -3.5 -7.6 11.0 1.7 8.2 -6.9 -17.7 4.9 -20.0 3.4 13.1 -0.0 -1.0 -3.6 -5.8 2.1 -11.0 2.3 17.5 -12.4 -7.6 -15.1 -8.4 BTP 20.0 1.5 17.2 2.3 0.7 -1.5 5.0 -5.2 5.0 -0.5 -1.8 10.2 -10.5 6.2 6.3 10.1 14.2 12.9 14.8 6.1 -2.7 12.7 -14.3 12.8 -2.6 -0.0 2.9 -0.7 -0.8 4.4 -6.0 5.0 20.0 2.4 3.8 -6.1 10.7 BUND 20.0 1.4 3.7 2.3 0.7 -1.5 5.0 -5.2 5.0 -1.3 -10.7 9.2 -12.9 2.2 -0.9 11.8 15.7 13.0 14.3 -3.6 -14.1 7.6 -20.0 6.0 9.2 -0.0 0.4 -2.3 -4.2 3.2 -9.1 3.5 20.0 -7.2 -2.0 -12.0 -5.0 BUXL 14.9 -2.5 5.9 2.3 0.7 -1.5 5.0 -5.2 5.0 -4.2 -8.0 8.0 -11.9 -2.1 -2.1 2.8 -0.3 4.0 2.9 -4.8 -11.4 3.2 -19.6 1.1 4.4 -0.0 -0.0 -2.9 -3.2 1.8 -7.2 1.9 1.3 -11.5 -10.5 -13.6 -4.8 CAC 20.0 3.8 20.0 3.6 4.0 1.2 5.5 -0.5 5.5 5.6 13.8 12.9 4.0 13.7 15.2 -3.9 2.3 -2.0 -0.2 20.0 17.2 16.8 9.7 20.0 -13.4 -0.0 5.3 1.4 4.0 4.0 2.1 5.5 6.4 -12.1 2.0 2.6 17.0 CAD 12.8 6.5 2.2 4.5 3.5 1.6 4.6 -2.1 5.1 6.5 -7.6 10.6 -10.1 9.1 4.1 -1.6 -1.1 -1.7 -1.5 2.1 -5.8 5.4 -10.7 6.2 14.7 -0.0 2.3 2.4 -2.8 3.1 -6.2 4.4 1.4 -14.0 -3.1 -17.0 -17.6 CANOLA -14.4 -0.7 -2.5 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -13.8 -9.4 -13.7 -5.8 -4.8 -2.2 1.1 11.0 4.6 6.5 -7.5 -7.2 -20.0 -1.7 -14.7 5.6 -0.0 -4.0 -11.8 -2.3 -9.2 0.7 -6.5 -1.5 -20.0 -20.0 0.8 4.7 CHF -5.4 12.5 20.0 4.5 3.5 1.6 4.6 -2.1 5.1 2.2 12.2 7.3 -0.1 11.4 14.5 -14.2 -12.4 -13.5 -13.2 13.1 10.3 5.3 1.0 8.7 -10.1 -0.0 5.5 -0.1 3.3 2.4 -1.2 4.3 -18.3 -14.6 -8.4 -1.6 -0.3 COCOA -4.0 9.0 19.0 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -5.8 9.3 -7.6 -4.0 5.0 11.8 -4.0 -3.1 -2.0 -1.9 10.5 8.2 -2.5 1.0 4.9 -15.9 -0.0 5.6 -0.5 4.0 0.3 0.8 3.7 -20.0 -5.7 15.4 20.0 20.0 COFFEE -7.4 7.0 -20.0 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 11.7 -13.5 -3.6 -10.6 -5.2 -13.2 -1.4 3.2 0.9 3.1 -17.4 -20.0 -1.2 -15.1 -10.4 11.7 -0.0 -5.0 3.3 -7.0 0.4 -4.9 -2.3 -10.2 3.8 -6.2 4.0 -20.0 COPPER 20.0 20.0 20.0 4.4 6.1 2.6 7.7 1.2 6.3 11.1 2.4 15.2 -5.4 15.4 14.8 -0.9 -0.2 -0.6 -0.4 20.0 13.7 20.0 -1.5 20.0 8.7 -0.0 5.9 2.5 3.1 5.6 0.5 6.9 2.2 -3.6 13.5 13.4 9.8 CORN -5.6 -8.9 -10.8 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -9.4 0.8 -8.7 3.3 -8.2 -11.5 20.0 17.5 20.0 19.8 -6.8 -2.7 -7.8 8.5 -6.5 -8.8 -0.0 -5.3 -8.3 -3.0 -5.7 2.4 -5.3 15.1 -4.6 -9.4 -10.4 -7.4 COTTON2 5.6 9.2 -10.3 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 12.3 -9.4 9.3 -4.6 4.4 3.1 -0.8 13.3 2.2 7.6 -1.1 -8.6 9.2 -5.1 4.7 -0.3 -0.0 2.1 7.5 -1.0 5.1 2.2 4.1 3.0 9.9 10.5 18.0 0.7 CRUDE_W 7.9 2.8 -0.3 1.1 8.5 -0.6 7.4 3.4 4.8 13.9 -5.0 14.4 2.0 11.6 7.8 8.8 12.4 8.2 9.8 4.7 0.4 15.7 4.6 11.2 -8.1 -0.0 4.0 6.9 2.0 8.4 5.0 7.2 0.0 -2.0 5.7 5.8 11.6 DAX 20.0 6.2 20.0 3.6 4.0 1.2 5.5 -0.5 5.5 6.5 12.8 13.2 -0.6 13.8 15.1 -8.7 -3.6 -7.1 -5.4 20.0 16.9 17.4 4.6 20.0 -9.3 -0.0 5.3 1.3 4.0 3.8 0.9 5.2 -3.0 -9.6 5.2 0.0 20.0 DOW -0.7 -3.8 18.4 3.6 4.0 1.2 5.5 -0.5 5.5 -5.1 9.1 -4.1 0.6 -4.4 9.9 -6.1 -3.0 -5.6 -4.8 5.5 6.7 -3.4 2.3 0.3 -5.3 -0.0 3.2 1.8 2.9 1.5 1.2 2.1 -2.2 -19.1 -20.0 -14.2 6.1 EUR 2.2 20.0 20.0 4.5 3.5 1.6 4.6 -2.1 5.1 13.6 9.8 14.3 -5.7 15.1 16.0 -8.1 -8.5 -8.0 -8.3 20.0 14.2 13.0 -5.1 18.3 0.2 -0.0 6.1 2.3 3.1 3.6 -2.1 5.4 -10.7 3.1 5.7 12.2 14.6 EUROSTX 20.0 1.7 20.0 3.6 4.0 1.2 5.5 -0.5 5.5 6.5 13.6 13.4 2.7 14.0 15.2 9.8 4.6 7.0 5.0 20.0 17.3 15.9 8.1 20.0 -15.8 -0.0 5.4 1.5 4.5 3.7 2.0 5.0 12.3 -12.4 0.5 0.5 20.0 FEEDCOW -10.8 4.4 3.3 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -3.9 0.9 -9.5 -0.4 -2.8 5.6 -20.0 -20.0 -20.0 -20.0 -0.2 0.8 -9.0 -0.6 -6.3 -20.0 -0.0 3.5 2.3 2.3 -1.3 0.6 1.0 -20.0 -7.1 8.6 20.0 15.4 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 13.6 0.5 -11.8 1.1 8.5 -0.6 7.4 3.4 4.8 13.8 -4.7 13.9 9.1 11.4 -2.0 20.0 20.0 20.0 20.0 3.4 1.0 20.0 10.9 14.6 -5.7 -0.0 -0.8 11.7 -1.3 8.8 3.5 3.8 20.0 18.7 -2.0 -8.8 -2.6 GASOILINE 19.8 9.8 -8.9 1.1 8.5 -0.6 7.4 3.4 4.8 14.0 -8.7 14.9 3.0 13.4 5.5 -20.0 9.6 -20.0 -6.9 9.5 1.1 20.0 6.3 20.0 -10.0 -0.0 4.9 5.7 2.4 7.5 4.0 7.5 -13.1 16.8 20.0 20.0 18.0 GAS_US -20.0 -20.0 -20.0 1.1 8.5 -0.6 7.4 3.4 4.8 -4.4 -14.7 -14.5 -6.6 -16.2 -16.3 18.0 -1.8 10.9 3.0 -20.0 -20.0 -17.2 -11.3 -20.0 -2.7 -0.0 -5.8 -0.6 -3.4 -3.3 1.0 -5.6 -19.0 -20.0 -20.0 -20.0 -20.0 GBP 4.6 11.4 19.2 4.5 3.5 1.6 4.6 -2.1 5.1 11.9 8.0 14.8 -4.3 9.5 13.3 -2.0 -1.7 -2.0 -1.9 13.7 6.8 14.7 -6.7 13.5 13.3 -0.0 4.6 4.5 -0.2 5.8 -6.4 5.6 0.6 4.4 -1.8 -3.8 -0.0 GOLD_micro 20.0 20.0 20.0 4.4 6.1 2.6 7.7 1.2 6.3 11.5 7.4 14.5 -4.9 15.6 15.9 -11.9 -9.1 -11.3 -10.6 20.0 13.9 20.0 1.1 20.0 6.0 -0.0 5.9 4.1 3.1 6.4 0.5 7.0 -14.1 -9.1 -0.0 4.8 3.6 HEATOIL 9.7 1.0 -10.5 1.1 8.5 -0.6 7.4 3.4 4.8 14.0 -5.0 13.4 8.3 11.6 0.9 20.0 20.0 20.0 20.0 3.5 1.2 20.0 11.8 14.7 -16.1 -0.0 2.8 10.2 1.9 10.1 7.3 7.1 20.0 17.1 11.0 4.0 7.1 JPY 6.8 20.0 20.0 4.5 3.5 1.6 4.6 -2.1 5.1 -1.3 5.9 7.2 -8.6 12.3 14.2 -11.3 -10.7 -11.6 -11.7 17.8 7.8 5.0 -8.6 14.9 6.0 -0.0 5.4 -2.3 2.0 1.2 -4.0 4.3 -15.6 -6.5 -7.5 13.0 5.8 LEANHOG -20.0 -12.7 -2.0 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -8.9 -0.7 -13.8 -1.9 -13.6 -2.1 -20.0 5.5 -20.0 -11.4 -13.2 -5.2 -20.0 0.8 -20.0 -9.5 -0.0 -4.9 -4.1 -2.3 -7.5 -0.2 -7.4 -15.2 -20.0 -20.0 -15.4 4.1 LIVECOW -7.6 4.7 9.7 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -1.4 11.3 -7.6 2.0 2.7 9.9 -20.0 -20.0 -20.0 -20.0 5.0 7.0 -5.1 3.7 -1.3 -20.0 -0.0 5.3 2.0 5.5 0.5 4.1 2.9 -20.0 4.3 9.7 17.7 20.0 MXP 19.2 8.7 9.9 4.5 3.5 1.6 4.6 -2.1 5.1 5.1 14.9 11.1 15.2 13.6 14.3 20.0 20.0 19.9 20.0 20.0 19.6 14.6 17.7 20.0 -20.0 -0.0 6.2 1.7 5.4 3.5 4.3 5.6 20.0 6.0 6.7 -1.3 10.9 NASDAQ 13.6 -3.0 -0.2 3.6 4.0 1.2 5.5 -0.5 5.5 13.0 -10.6 13.5 -13.0 1.3 -2.5 -5.7 -3.8 -5.2 -4.7 -2.2 -10.2 16.0 -15.0 7.6 8.7 -0.0 1.6 9.8 -2.3 8.2 -4.4 5.6 -2.8 3.9 -9.3 -9.2 -17.0 NIKKEI 7.6 -18.5 -3.2 3.6 4.0 1.2 5.5 -0.5 5.5 13.3 -4.8 10.7 -1.3 -6.9 -8.5 20.0 11.8 16.5 13.9 -7.2 -5.8 14.2 -2.3 0.6 6.1 -0.0 -3.2 9.9 -3.5 5.7 -2.4 0.3 20.0 -2.2 -20.0 -20.0 -20.0 NZD 0.3 13.7 20.0 4.5 3.5 1.6 4.6 -2.1 5.1 13.1 9.4 14.4 -4.2 11.5 13.8 0.5 0.5 0.1 0.0 15.3 9.5 12.6 -3.1 12.6 -0.5 -0.0 5.6 4.4 2.9 4.2 -1.3 4.9 4.1 1.9 2.1 4.1 8.4 OAT 20.0 -0.4 9.5 2.3 0.7 -1.5 5.0 -5.2 5.0 -1.3 -8.5 9.3 -12.1 2.5 -0.0 12.6 12.9 13.2 13.6 -0.8 -9.7 8.8 -18.6 7.5 7.7 -0.0 0.9 -1.9 -3.3 3.4 -8.6 3.7 20.0 -5.2 -0.5 -11.8 -0.9 OJ -0.4 8.1 20.0 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -10.2 14.3 -2.0 14.7 9.4 12.4 18.3 13.5 17.0 16.5 14.5 20.0 -2.9 20.0 3.8 -20.0 -0.0 6.2 -1.5 10.6 -0.2 13.5 2.7 9.9 1.0 14.2 13.4 20.0 PALLAD 0.2 -8.5 -14.5 4.4 6.1 2.6 7.7 1.2 6.3 -12.0 -12.5 -8.8 -10.1 -8.9 -12.9 -2.2 -1.4 -1.8 -1.7 -13.2 -14.0 -8.4 -11.5 -9.5 8.5 -0.0 -3.9 -2.6 -4.5 -0.7 -3.4 -1.5 0.0 -20.0 -20.0 -20.0 -20.0 PLAT 2.2 5.1 20.0 4.4 6.1 2.6 7.7 1.2 6.3 -7.9 12.0 -1.9 2.5 4.1 11.8 -1.7 -0.6 -1.1 -0.7 11.6 12.4 -4.3 5.9 3.3 -3.8 -0.0 5.9 0.9 5.3 1.0 1.9 3.4 1.5 -20.0 -19.1 -8.5 7.4 REDWHEAT -3.4 -8.0 -13.7 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -4.3 -13.9 -7.2 -8.1 -9.3 -12.8 4.3 1.2 4.3 3.1 -13.1 -13.4 -6.3 -5.9 -9.2 -1.8 -0.0 -5.0 -5.2 -3.6 -3.6 1.3 -4.0 -12.5 -1.3 -2.7 -9.5 -5.1 ROBUSTA 17.4 17.7 -19.8 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 13.8 -9.8 14.3 -6.8 13.4 -6.0 15.2 9.5 13.6 11.4 0.3 -8.3 15.8 -6.0 10.2 -2.1 -0.0 -2.4 6.8 -4.7 5.3 -2.9 1.7 1.5 20.0 3.6 14.6 -20.0 RUSSELL 17.3 -0.3 6.0 3.6 4.0 1.2 5.5 -0.5 5.5 9.9 -3.3 12.0 -10.5 7.4 6.2 -5.1 -2.9 -4.7 -4.1 4.7 -1.3 13.2 -6.7 11.2 -2.5 -0.0 3.5 5.1 0.8 6.3 -1.1 6.1 -1.6 0.5 -4.6 -6.7 -6.5 SILVER-mini -7.5 13.0 20.0 4.4 6.1 2.6 7.7 1.2 6.3 -10.1 11.1 -3.3 -1.2 10.5 13.9 -4.7 -3.7 -4.4 -4.2 13.8 12.7 -2.0 2.9 5.2 5.5 -0.0 5.3 -0.9 4.3 0.6 0.0 2.6 -4.1 -20.0 -20.0 -2.6 9.8 SOYBEAN -14.9 -1.7 2.4 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -13.9 0.7 -14.3 4.7 -9.2 1.5 20.0 20.0 20.0 20.0 -2.2 2.3 -20.0 6.7 -11.7 -20.0 -0.0 0.6 -15.5 3.7 -12.1 7.6 -5.1 20.0 -20.0 0.4 8.3 14.5 SOYMEAL -1.2 16.0 13.8 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -13.0 11.6 0.4 11.8 11.7 13.0 20.0 15.9 18.3 16.9 18.5 17.9 -4.1 13.4 9.1 -20.0 -0.0 5.6 -3.2 5.7 -1.3 5.0 2.5 11.9 -6.2 20.0 20.0 20.0 SOYOIL -4.8 -12.2 -3.1 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -9.3 -1.2 -10.2 4.3 -6.4 -6.9 4.4 18.9 10.7 15.3 -7.1 -2.5 -5.4 6.4 -6.5 -12.5 -0.0 -3.0 -3.8 0.0 -3.2 4.4 -3.6 13.7 -4.6 -4.9 -20.0 11.4 SP400 14.5 1.6 11.3 3.6 4.0 1.2 5.5 -0.5 5.5 10.5 4.6 12.1 -4.4 8.3 10.1 -4.9 -2.4 -3.7 -2.9 8.8 4.4 12.5 -0.6 12.2 -6.1 -0.0 4.3 5.4 2.3 5.9 0.9 5.8 0.0 -3.8 -8.2 -7.2 -0.5 SP500 9.4 -0.9 6.3 3.6 4.0 1.2 5.5 -0.5 5.5 10.0 -3.0 10.8 -8.4 0.6 4.6 -5.9 -3.9 -5.5 -4.9 2.4 -2.3 9.0 -6.5 6.2 3.6 -0.0 2.5 6.5 -0.3 5.3 -2.8 4.4 -3.0 -7.0 -14.8 -10.2 -7.9 SUGAR11 -17.4 -0.5 13.7 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -5.4 6.8 -0.6 4.7 -4.2 5.9 20.0 20.0 20.0 20.0 5.4 8.9 -0.8 7.0 -0.3 -20.0 -0.0 5.1 -1.8 5.9 -1.3 4.3 1.5 20.0 10.9 -3.2 20.0 20.0 US10 14.4 15.3 16.3 2.3 0.7 -1.5 5.0 -5.2 5.0 -0.9 -5.4 9.3 -11.5 9.6 9.9 -8.7 -1.5 -7.8 -5.8 6.6 -4.6 8.6 -17.0 11.0 -3.5 -0.0 3.6 -0.4 -1.2 4.3 -6.9 5.4 -6.8 -4.0 -12.8 3.2 2.6 US10U 13.4 14.3 15.3 2.3 0.7 -1.5 5.0 -5.2 5.0 -1.1 -5.3 9.5 -11.5 8.9 9.2 0.6 4.3 0.8 1.6 5.8 -4.9 7.5 -16.9 9.8 -6.1 -0.0 4.0 -0.3 -0.5 4.1 -5.5 5.6 4.6 -7.2 -7.9 5.9 3.5 US20 11.9 16.8 15.6 2.3 0.7 -1.5 5.0 -5.2 5.0 0.5 -3.8 9.6 -10.6 8.7 9.8 -8.1 0.3 -4.4 -2.0 6.4 -4.5 8.0 -16.5 10.1 -5.0 -0.0 3.1 -0.3 -1.1 3.8 -5.7 4.5 -1.7 -5.1 -17.0 3.4 -1.1 US30 11.0 15.3 20.0 2.3 0.7 -1.5 5.0 -5.2 5.0 -0.4 -3.5 9.0 -12.0 5.4 7.8 -2.1 -0.1 -1.4 -1.0 5.3 -5.4 6.6 -18.4 8.8 -6.4 -0.0 3.6 -0.7 -0.5 3.3 -5.3 4.7 -1.4 -7.5 -12.4 7.5 0.1 US5 13.4 16.4 17.5 2.3 0.7 -1.5 5.0 -5.2 5.0 -1.6 -5.4 8.6 -11.8 9.3 9.9 -9.0 -0.6 -7.1 -5.3 6.8 -5.1 8.7 -18.6 11.4 -1.5 -0.0 3.7 -1.2 -1.5 3.7 -8.0 5.3 -5.7 -5.4 -14.5 5.2 3.0 VIX -17.5 -16.0 -20.0 -5.0 -2.8 -4.1 -4.2 -2.8 -5.0 -12.6 -15.4 -14.1 -13.1 -15.3 -16.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.9 -14.9 -20.0 NaN -0.0 -6.5 -3.3 -5.5 -4.5 -3.7 -5.8 NaN NaN NaN NaN NaN WHEAT -3.6 -8.9 -17.9 -4.4 -7.5 -4.6 -6.5 -1.8 -4.7 -9.6 -15.3 -12.8 -11.6 -13.0 -14.1 -9.4 -5.4 -7.6 -6.4 -17.1 -18.9 -10.7 -11.4 -12.5 1.6 -0.0 -5.1 -7.1 -4.3 -5.3 -0.3 -4.6 -20.0 -11.1 -3.0 -8.3 -8.0 End of report for caleb_strategy_v1