******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230124_204257 produced at 2023-01-24 21:35:35.507293 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 7418198.63 -7418198.63 -0.23 -0.23 -33.64 999999999 -31 -31 caleb_strategy_v1 LIVECOW False False 0.02 -0.15 -0.13 0.0 21911695.16 -21911695.16 -0.15 -0.13 -6.16 999999999 -7 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 31896556.56 -31896556.56 -0.13 -0.13 -3.71 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.10 0.0 46213085.77 -46213085.77 -0.09 -0.09 -2.14 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.05 -0.08 0.0 11614488.56 -11614488.56 -0.05 -0.05 -6.82 999999999 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.06 0.0 37191783.87 -37191783.87 -0.19 -0.19 -1.69 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 -1.82 999999999 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.05 0.0 39053760.21 -39053760.21 0.00 0.00 -1.37 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 0.00 -0.04 0.0 44422193.43 -44422193.43 0.00 0.00 -0.89 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.03 0.0 32836562.85 -32836562.85 -0.10 -0.10 -0.96 999999999 -3 -3 caleb_strategy_v1 COCOA False False 0.01 -0.01 -0.02 0.0 8806776.77 -8806776.77 -0.01 -0.01 -2.39 999999999 -1 -1 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 48453823.11 -48453823.11 0.00 0.00 -0.44 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 39546569.65 -39546569.65 0.00 0.00 -0.50 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.01 0.0 54665337.42 -54665337.42 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68474047.38 -68474047.38 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 80853272.43 -80853272.43 0.00 0.00 -0.12 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5747321.53 -5747321.53 0.00 0.00 -1.82 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3222927.21 -3222927.21 0.00 0.00 -2.40 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 12994579.06 -12994579.06 -0.03 -0.03 -0.63 999999999 -2 -2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4047353.13 -4047353.13 0.00 0.00 0.50 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 10399058.30 -10399058.30 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20427631.05 -20427631.05 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 59023058.63 -59023058.63 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14743033.19 -14743033.19 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10386326.84 -10386326.84 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.00 0.0 6610175.16 -6610175.16 0.01 0.01 0.54 999999999 1 1 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14064021.88 -14064021.88 -0.01 -0.01 -0.28 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 88152644.07 -88152644.07 0.00 0.00 -0.04 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.03 -0.00 0.0 6583354.21 -6583354.21 -0.03 -0.03 -0.06 999999999 -5 -5 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12444240.38 -12444240.38 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46331912.75 -46331912.75 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23974192.03 -23974192.03 0.00 0.00 0.54 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10036636.01 -10036636.01 0.03 0.03 0.86 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 5602864.57 -5602864.57 0.01 0.01 1.99 999999999 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20338510.82 -20338510.82 0.00 0.00 0.52 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7551692.25 -7551692.25 0.02 0.02 1.81 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 789011.15 -789011.15 0.00 0.00 15.54 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18119416.96 -18119416.96 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 25410300.97 -25410300.97 0.00 0.00 0.67 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 22095028.22 -22095028.22 0.04 0.04 0.83 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.08 0.02 0.0 26141159.43 -26141159.43 0.08 0.08 0.84 999999999 3 3 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36136133.46 -36136133.46 0.07 0.07 0.88 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8951066.67 -8951066.67 0.03 0.03 3.33 999999999 3 3 caleb_strategy_v1 GBP False False 0.03 0.08 0.03 0.0 26199227.24 -26199227.24 0.08 0.08 1.05 999999999 3 3 caleb_strategy_v1 EUROSTX False False 0.02 0.05 0.03 0.0 15391713.69 -15391713.69 0.05 0.03 2.23 999999999 3 2 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 42931280.13 -42931280.13 0.04 0.04 0.94 999999999 1 1 caleb_strategy_v1 US10U False False 0.04 0.00 0.04 0.0 41361337.73 -41361337.73 0.00 0.00 1.01 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.15 0.05 0.0 49285996.30 -49285996.30 0.15 0.10 1.11 999999999 3 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.06 0.0 26559527.62 -26559527.62 0.08 0.08 2.18 999999999 3 3 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.07 0.0 22721416.15 -22721416.15 0.05 0.05 2.99 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15216643.59 -15216643.59 0.08 0.08 4.45 999999999 5 5 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.07 0.0 32380352.12 -32380352.12 0.03 0.03 2.29 999999999 1 1 caleb_strategy_v1 HEATOIL False False 0.05 0.14 0.08 0.0 45258820.24 -45258820.24 0.14 0.14 1.68 999999999 3 3 caleb_strategy_v1 BOBL False False 0.04 0.13 0.20 0.0 43544584.13 -43544584.13 0.13 0.09 4.53 999999999 3 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.21 0.0 51144381.31 -51144381.31 0.10 0.10 4.11 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.25 0.0 0.00 0.00 0.00 0.00 35.28 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 43.7 Sum abs risk 41.3 Leverage 2.46 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2945459.01, 'annual_cash_vol_target': 736364.7525, 'daily_cash_vol_target': 46022.79703125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0054 0.7062 0.7619 12.1906 BITCOIN 778.5697 23240.0000 3.3501 53.6020 BOBL 0.3475 117.8600 0.2949 4.7181 BTP 0.9333 116.2000 0.8032 12.8512 BUND 0.7779 138.4300 0.5620 8.9914 BUXL 2.0634 147.9600 1.3946 22.3131 CAC 62.8529 7075.5000 0.8883 14.2131 CAD 0.0038 0.7484 0.5076 8.1216 CANOLA 8.1276 796.6000 1.0203 16.3246 CHF 0.0058 1.0890 0.5327 8.5226 COCOA 36.8660 2594.0000 1.4212 22.7393 COFFEE 0.0358 1.6045 2.2284 35.6547 COPPER 0.0474 4.2575 1.1140 17.8243 CORN 4.9243 591.2500 0.8329 13.3259 COTTON2 0.0174 0.8685 2.0051 32.0817 CRUDE_W 1.2244 78.2300 1.5652 25.0428 DAX 131.7451 15165.0000 0.8687 13.8999 DOW 305.3392 33857.0000 0.9018 14.4296 EUR 0.0053 1.0918 0.4897 7.8347 EUROSTX 41.6669 4166.0000 1.0002 16.0026 FEEDCOW 1.2189 187.9000 0.6487 10.3791 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.4007 953.7500 2.0341 32.5463 GASOILINE 0.0510 2.7734 1.8392 29.4278 GAS_US 0.1961 3.0630 6.4034 102.4547 GBP 0.0080 1.2347 0.6471 10.3534 GOLD_micro 14.8432 1939.1000 0.7655 12.2475 HEATOIL 0.0601 3.1740 1.8949 30.3190 JPY 0.0001 0.0077 0.8941 14.3049 LEANHOG 1.3002 85.5250 1.5203 24.3241 LIVECOW 0.8153 161.3500 0.5053 8.0845 MXP 0.0003 0.0527 0.6282 10.0510 NASDAQ 154.5293 11907.5000 1.2977 20.7640 NIKKEI 273.0751 26880.0000 1.0159 16.2545 NZD 0.0048 0.6508 0.7311 11.6972 OAT 0.8254 133.4000 0.6188 9.9002 OJ 0.0228 2.0395 1.1184 17.8937 PALLAD 39.3238 1738.5000 2.2619 36.1910 PLAT 17.2905 1067.4000 1.6199 25.9180 REDWHEAT 13.7593 828.5000 1.6607 26.5720 ROBUSTA 24.7286 1947.0000 1.2701 20.3214 RUSSELL 23.2051 1898.6000 1.2222 19.5555 SILVER-mini 0.4104 23.9625 1.7126 27.4018 SOYBEAN 10.4675 1338.5000 0.7820 12.5125 SOYMEAL 5.7128 448.2000 1.2746 20.3936 SOYOIL 0.8454 61.0900 1.3838 22.1409 SP400 28.5827 2596.5000 1.1008 17.6131 SP500 41.5108 4033.7500 1.0291 16.4654 SUGAR11 0.0024 0.1986 1.1843 18.9487 US10 0.5409 115.0312 0.4702 7.5235 US10U 0.7437 121.8281 0.6104 9.7672 US20 1.0571 130.8438 0.8079 12.9267 US30 1.6837 142.7188 1.1798 18.8763 US5 0.3535 109.5469 0.3227 5.1624 VIX 0.5156 21.8500 2.3597 37.7551 WHEAT 10.8919 765.5000 1.4229 22.7656 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 706.15 0.76 538.02 1.00 538.02 46022.8 85.54 3.97 33.94 BITCOIN 23.24 3.35 77.86 1.00 77.86 46022.8 591.12 11.16 659.40 BOBL 1178.60 0.29 347.54 1.09 377.54 46022.8 121.90 5.15 62.72 BTP 1162.00 0.80 933.32 1.09 1013.88 46022.8 45.39 10.25 46.52 BUND 1384.30 0.56 777.93 1.09 845.08 46022.8 54.46 10.46 56.94 BUXL 1479.60 1.39 2063.41 1.09 2241.52 46022.8 20.53 -0.67 -1.38 CAC 707.55 0.89 628.53 1.09 682.78 46022.8 67.40 4.42 29.76 CAD 748.45 0.51 379.91 1.00 379.91 46022.8 121.14 3.10 37.57 CANOLA 159.32 1.02 162.55 0.75 121.45 46022.8 378.93 1.45 54.85 CHF 1361.19 0.53 725.05 1.00 725.05 46022.8 63.48 -9.03 -57.31 COCOA 259.40 1.42 368.66 1.00 368.66 46022.8 124.84 -8.79 -109.72 COFFEE 601.69 2.23 1340.81 1.00 1340.81 46022.8 34.32 -4.13 -14.16 COPPER 1064.38 1.11 1185.73 1.00 1185.73 46022.8 38.81 8.29 32.16 CORN 295.62 0.83 246.22 1.00 246.22 46022.8 186.92 5.10 95.41 COTTON2 434.25 2.01 870.72 1.00 870.72 46022.8 52.86 1.73 9.14 CRUDE_W 782.30 1.57 1224.43 1.00 1224.43 46022.8 37.59 4.40 16.54 DAX 151.65 0.87 131.75 1.09 143.12 46022.8 321.57 1.14 36.67 DOW 169.28 0.90 152.67 1.00 152.67 46022.8 301.45 -2.12 -63.82 EUR 1364.69 0.49 668.24 1.00 668.24 46022.8 68.87 0.61 4.21 EUROSTX 416.60 1.00 416.67 1.09 452.64 46022.8 101.68 7.79 79.18 FEEDCOW 939.50 0.65 609.45 1.00 609.45 46022.8 75.52 -18.30 -138.21 FTSE100 707.00 0.82 576.59 1.24 666.67 46022.8 69.03 -2.56 -17.69 GASOIL 953.75 2.03 1940.07 1.00 1940.07 46022.8 23.72 13.51 32.06 GASOILINE 1164.83 1.84 2142.40 1.00 2142.40 46022.8 21.48 -5.66 -12.15 GAS_US 306.30 6.40 1961.37 1.00 1961.37 46022.8 23.46 -10.46 -24.54 GBP 771.69 0.65 499.35 1.00 499.35 46022.8 92.17 6.39 58.86 GOLD_micro 193.91 0.77 148.43 1.00 148.43 46022.8 310.06 -0.09 -2.84 HEATOIL 1333.08 1.89 2526.11 1.00 2526.11 46022.8 18.22 12.91 23.52 JPY 967.19 0.89 864.72 1.00 864.72 46022.8 53.22 -2.79 -14.85 LEANHOG 342.10 1.52 520.08 1.00 520.08 46022.8 88.49 -16.51 -146.06 LIVECOW 645.40 0.51 326.11 1.00 326.11 46022.8 141.13 -16.23 -229.07 MXP 263.65 0.63 165.62 1.00 165.62 46022.8 277.88 9.79 272.16 NASDAQ 2381.50 1.30 3090.59 1.00 3090.59 46022.8 14.89 -1.52 -2.27 NIKKEI 26880.00 1.02 27307.51 0.01 210.76 46022.8 218.37 8.51 185.77 NZD 650.80 0.73 475.79 1.00 475.79 46022.8 96.73 5.38 52.08 OAT 1334.00 0.62 825.43 1.09 896.68 46022.8 51.33 10.75 55.20 OJ 305.92 1.12 342.13 1.00 342.13 46022.8 134.52 1.53 20.57 PALLAD 1738.50 2.26 3932.38 1.00 3932.38 46022.8 11.70 -2.41 -2.82 PLAT 533.70 1.62 864.53 1.00 864.53 46022.8 53.23 2.27 12.09 REDWHEAT 414.25 1.66 687.96 1.00 687.96 46022.8 66.90 -7.79 -52.10 ROBUSTA 194.70 1.27 247.29 1.00 247.29 46022.8 186.11 2.24 41.73 RUSSELL 94.93 1.22 116.03 1.00 116.03 46022.8 396.66 -1.17 -46.25 SILVER-mini 599.06 1.71 1025.96 1.00 1025.96 46022.8 44.86 5.17 23.18 SOYBEAN 669.25 0.78 523.37 1.00 523.37 46022.8 87.93 5.76 50.65 SOYMEAL 448.20 1.27 571.28 1.00 571.28 46022.8 80.56 9.36 75.44 SOYOIL 366.54 1.38 507.22 1.00 507.22 46022.8 90.74 0.83 7.49 SP400 2596.50 1.10 2858.27 1.00 2858.27 46022.8 16.10 -0.43 -0.69 SP500 2016.88 1.03 2075.54 1.00 2075.54 46022.8 22.17 -1.78 -3.94 SUGAR11 222.43 1.18 263.43 1.00 263.43 46022.8 174.71 7.61 133.04 US10 1150.31 0.47 540.90 1.00 540.90 46022.8 85.09 -4.19 -35.61 US10U 1218.28 0.61 743.70 1.00 743.70 46022.8 61.88 1.12 6.92 US20 1308.44 0.81 1057.11 1.00 1057.11 46022.8 43.54 -2.79 -12.13 US30 1427.19 1.18 1683.75 1.00 1683.75 46022.8 27.33 -1.93 -5.28 US5 1095.47 0.32 353.46 1.00 353.46 46022.8 130.21 -3.39 -44.11 VIX 218.50 2.36 515.59 1.00 515.59 46022.8 89.26 -20.00 -178.52 WHEAT 382.75 1.42 544.60 1.00 544.60 46022.8 84.51 -13.87 -117.25 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 33.938 0.006 2.5 0.542 BITCOIN 659.403 0.009 2.5 15.536 BOBL 62.719 0.029 2.5 4.526 BTP 46.518 0.008 2.5 0.939 BUND 56.940 0.029 2.5 4.109 BUXL -1.384 0.034 2.5 -0.116 CAC 29.761 0.011 2.5 0.837 CAD 37.569 0.007 2.5 0.671 CANOLA 54.848 0.004 2.5 0.503 CHF -57.307 0.015 2.5 -2.145 COCOA -109.724 0.009 2.5 -2.390 COFFEE -14.162 0.005 2.5 -0.184 COPPER 32.159 0.011 2.5 0.879 CORN 95.411 0.004 2.5 0.861 COTTON2 9.137 0.006 2.5 0.138 CRUDE_W 16.538 0.053 2.5 2.185 DAX 36.675 0.022 2.5 1.992 DOW -63.818 0.011 2.5 -1.819 EUR 4.214 0.015 2.5 0.158 EUROSTX 79.180 0.011 2.5 2.226 FEEDCOW -138.213 0.011 2.5 -3.714 FTSE100 -17.694 0.041 2.5 -1.824 GASOIL 32.061 0.029 2.5 2.287 GASOILINE -12.151 0.016 2.5 -0.499 GAS_US -24.542 0.006 2.5 -0.370 GBP 58.860 0.007 2.5 1.051 GOLD_micro -2.838 0.009 2.5 -0.063 HEATOIL 23.517 0.029 2.5 1.677 JPY -14.849 0.026 2.5 -0.961 LEANHOG -146.059 0.019 2.5 -6.824 LIVECOW -229.066 0.011 2.5 -6.155 MXP 272.161 0.005 2.5 3.332 NASDAQ -2.271 0.022 2.5 -0.123 NIKKEI 185.768 0.076 2.5 35.284 NZD 52.076 0.006 2.5 0.832 OAT 55.199 0.008 2.5 1.115 OJ 20.569 0.007 2.5 0.359 PALLAD -2.818 0.010 2.5 -0.068 PLAT 12.085 0.010 2.5 0.291 REDWHEAT -52.100 0.002 2.5 -0.278 ROBUSTA 41.730 0.005 2.5 0.541 RUSSELL -46.255 0.021 2.5 -2.396 SILVER-mini 23.177 0.009 2.5 0.519 SOYBEAN 50.648 0.024 2.5 2.986 SOYMEAL 75.443 0.024 2.5 4.448 SOYOIL 7.491 0.004 2.5 0.069 SP400 -0.688 0.021 2.5 -0.036 SP500 -3.943 0.011 2.5 -0.112 SUGAR11 133.040 0.005 2.5 1.805 US10 -35.611 0.015 2.5 -1.366 US10U 6.923 0.058 2.5 1.009 US20 -12.132 0.029 2.5 -0.894 US30 -5.280 0.034 2.5 -0.443 US5 -44.108 0.015 2.5 -1.692 VIX -178.524 0.075 2.5 -33.643 WHEAT -117.249 0.002 2.5 -0.626 ==================== Position diags ==================== AUD 1.37 BITCOIN 13.93 BOBL 8.80 BTP 0.92 BUND 3.93 BUXL 1.72 CAC 1.89 CAD 2.16 CANOLA 3.48 CHF 2.38 COCOA 2.72 COFFEE 0.45 COPPER 1.06 CORN 1.69 COTTON2 0.80 CRUDE_W 4.97 DAX 17.46 DOW 8.59 EUR 2.58 EUROSTX 2.86 FEEDCOW 2.03 FTSE100 7.12 GASOIL 1.69 GASOILINE 0.88 GAS_US 0.35 GBP 1.65 GOLD_micro 6.94 HEATOIL 1.30 JPY 3.45 LEANHOG 4.13 LIVECOW 3.79 MXP 3.40 NASDAQ 0.81 NIKKEI 41.48 NZD 1.55 OAT 1.04 OJ 2.35 PALLAD 0.28 PLAT 1.28 REDWHEAT 0.36 ROBUSTA 2.41 RUSSELL 20.55 SILVER-mini 1.00 SOYBEAN 5.18 SOYMEAL 4.75 SOYOIL 0.83 SP400 0.83 SP500 0.63 SUGAR11 2.37 US10 3.26 US10U 9.02 US20 3.21 US30 2.29 US5 5.00 VIX 16.82 WHEAT 0.45 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.4 0.7 0.0 0 BITCOIN 15.5 14.1 16.9 NaN 0 BOBL 4.5 3.6 5.4 3.0 3 BTP 0.9 0.8 1.0 1.0 1 BUND 4.1 3.7 4.5 2.0 2 BUXL -0.1 -0.3 0.1 0.0 0 CAC 0.8 0.6 1.0 3.0 3 CAD 0.7 0.5 0.9 0.0 0 CANOLA 0.5 0.2 0.9 NaN 0 CHF -2.1 -2.4 -1.9 -2.0 -2 COCOA -2.4 -2.7 -2.1 -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 0.1 0.2 NaN 0 CRUDE_W 2.2 1.7 2.7 3.0 3 DAX 2.0 0.2 3.7 2.0 2 DOW -1.8 -2.7 -1.0 0.0 0 EUR 0.2 -0.1 0.4 0.0 0 EUROSTX 2.2 1.9 2.5 3.0 3 FEEDCOW -3.7 -3.9 -3.5 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 2.3 2.1 2.5 1.0 1 GASOILINE -0.5 -0.6 -0.4 0.0 0 GAS_US -0.4 -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 -5.0 -5 HEATOIL 1.7 1.5 1.8 3.0 3 JPY -1.0 -1.3 -0.6 -3.0 -3 LEANHOG -6.8 -7.2 -6.4 -4.0 -4 LIVECOW -6.2 -6.5 -5.8 -7.0 -7 MXP 3.3 3.0 3.7 3.0 3 NASDAQ -0.1 -0.2 -0.0 0.0 0 NIKKEI 35.3 31.1 39.4 0.0 0 NZD 0.8 0.7 1.0 2.0 2 OAT 1.1 1.0 1.2 3.0 3 OJ 0.4 0.1 0.6 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 -0.2 -1.0 -1 ROBUSTA 0.5 0.3 0.8 1.0 1 RUSSELL -2.4 -4.5 -0.3 0.0 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 3.0 2.5 3.5 2.0 2 SOYMEAL 4.4 4.0 4.9 5.0 5 SOYOIL 0.1 -0.0 0.2 0.0 0 SP400 -0.0 -0.1 0.0 0.0 0 SP500 -0.1 -0.2 -0.0 0.0 0 SUGAR11 1.8 1.6 2.0 2.0 2 US10 -1.4 -1.7 -1.0 NaN 0 US10U 1.0 0.1 1.9 0.0 0 US20 -0.9 -1.2 -0.6 0.0 0 US30 -0.4 -0.7 -0.2 0.0 0 US5 -1.7 -2.2 -1.2 -5.0 -5 VIX -33.6 -35.3 -32.0 -31.0 -31 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 -0.0 0.1 0.1 0.1 0.1 -0.1 0.1 0.4 -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 -0.7 0.4 0.0 0.2 -0.1 -0.2 0.0 -0.2 0.0 1.9 -0.0 -0.0 -0.0 -0.1 0.0 -0.1 0.0 2.3 -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 -0.4 -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 1.1 -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 -0.1 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 0.8 -0.1 0.0 0.0 0.2 CAD 0.2 0.1 0.0 0.1 0.0 0.0 0.1 -0.0 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 -0.1 0.1 0.4 0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 1.4 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.2 -0.0 0.0 CHF -0.1 0.2 0.3 0.1 0.0 0.0 0.1 -0.0 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 -2.4 -0.2 -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 -2.5 -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 0.1 -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 -0.2 0.2 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 -0.2 -0.1 COTTON2 0.0 0.1 -0.4 -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 0.2 0.5 0.0 CRUDE_W 0.1 0.1 -0.0 0.0 0.0 -0.0 0.2 0.1 0.1 0.0 -0.1 0.0 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 0.1 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 0.3 -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 -0.2 -0.4 -0.2 0.1 EUR 0.0 0.3 0.4 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.1 -0.1 0.1 0.4 -0.5 -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 0.2 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 0.1 -0.0 1.7 0.9 0.4 0.4 0.1 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 -0.1 0.0 0.0 -0.0 0.1 0.1 0.1 0.0 -0.2 0.0 0.1 0.1 0.2 -1.7 0.4 -0.4 -0.1 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 -1.7 0.0 0.3 0.3 0.3 GAS_US -0.2 -0.3 -0.3 0.0 0.0 -0.0 0.1 0.1 0.1 -0.0 -0.4 -0.1 -0.2 -0.1 -0.4 1.3 -0.1 0.2 0.1 -0.2 -0.2 -0.0 -0.2 -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 -0.0 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 -0.1 -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 -1.0 -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 0.1 -0.2 0.0 0.1 -0.0 0.2 0.1 0.1 0.0 -0.1 0.0 0.2 0.1 0.0 1.7 0.9 0.5 0.5 0.1 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 -0.0 0.1 -0.0 0.2 0.0 -0.2 0.0 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 -0.1 -0.1 -0.1 -1.6 0.2 -0.4 -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 -0.4 -0.2 0.1 LIVECOW -0.1 0.1 0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.3 -0.0 0.1 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 0.1 0.3 1.5 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 -0.0 0.1 0.0 0.1 0.0 0.1 0.0 2.2 0.0 0.1 -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 -0.0 -0.4 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 1.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.4 0.1 -0.2 -0.1 -0.2 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 -0.1 -0.4 -0.3 -0.3 NZD 0.0 0.2 0.3 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.2 0.0 -0.1 0.1 0.3 0.1 0.0 0.0 0.0 0.2 0.1 0.0 -0.0 0.0 -0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.5 0.0 0.1 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 0.2 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 1.4 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 -0.1 -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 0.3 0.0 0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -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 1.3 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.3 -0.1 0.1 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 -0.1 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 -0.1 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 -1.7 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 1.8 -0.1 -0.2 -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 0.1 -0.1 0.0 -0.2 0.0 0.1 -0.5 -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 -1.0 -0.0 -0.0 0.0 0.0 US10U 0.2 0.2 0.2 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 -0.8 -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 0.2 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 -0.6 0.0 -0.1 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.6 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.3 -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 -0.7 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.2 -0.0 -0.2 0.1 0.0 US5 0.2 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 -0.9 -1.3 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.5 -0.0 -0.5 -0.1 -0.5 -3.1 -1.6 -0.8 -0.8 -0.3 -0.3 -0.0 -0.3 -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 -0.8 -0.2 -0.2 -0.1 -0.2 -0.2 -0.0 -0.1 -0.0 0.3 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.0 -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 14.0 15.4 15.3 4.5 3.7 1.7 4.7 -1.9 5.2 13.1 3.1 14.4 -5.2 14.7 14.6 -3.4 -2.3 -3.1 -2.7 14.3 5.2 14.3 -4.9 16.1 5.5 -0.0 5.2 5.0 1.6 4.8 -2.1 5.7 -0.6 0.4 6.9 0.1 -6.5 BITCOIN 20.0 18.0 20.0 4.5 5.9 2.6 7.4 1.2 6.3 13.8 -8.3 15.2 -15.4 14.7 6.3 0.5 -0.3 1.1 0.7 11.0 -6.0 20.0 -20.0 20.0 20.0 -0.0 3.4 8.3 -0.9 9.2 -2.9 7.4 3.0 17.2 10.0 0.2 -20.0 BOBL 20.0 -2.3 -0.5 2.5 1.8 -1.4 4.8 -5.0 5.0 -4.7 -12.2 8.3 -13.5 0.4 -3.0 -8.8 10.5 0.6 7.3 -6.5 -17.7 5.0 -20.0 3.6 12.9 -0.0 -0.9 -1.3 -5.8 2.1 -11.2 2.4 16.2 -10.9 -8.0 -16.2 -9.1 BTP 20.0 1.5 17.8 2.5 1.8 -1.4 4.8 -5.0 5.0 -1.6 -1.5 10.0 -10.5 6.8 6.8 10.1 14.2 12.9 14.9 6.7 -2.3 12.3 -14.3 12.9 -2.9 -0.0 3.1 0.9 -0.6 4.2 -5.9 4.9 20.0 -1.4 2.9 -6.9 10.4 BUND 20.0 -0.0 3.6 2.5 1.8 -1.4 4.8 -5.0 5.0 -3.8 -10.6 9.0 -12.9 2.5 -0.4 11.7 15.6 13.0 14.3 -3.1 -14.1 7.4 -20.0 6.2 8.9 -0.0 0.6 -0.5 -4.1 3.0 -9.2 3.5 20.0 -6.0 -2.5 -13.0 -5.4 BUXL 15.7 -4.2 6.2 2.5 1.8 -1.4 4.8 -5.0 5.0 -6.0 -8.0 7.9 -11.9 -1.9 -1.9 2.9 -0.3 4.0 3.0 -4.5 -11.4 3.3 -19.8 1.2 4.4 -0.0 0.1 -0.9 -3.2 1.8 -7.3 1.9 1.3 -10.7 -11.2 -15.6 -5.0 CAC 20.0 4.2 20.0 3.7 4.1 1.3 5.5 -0.5 5.5 8.9 14.0 13.6 4.3 14.1 15.3 -3.9 2.3 -2.1 -0.3 20.0 17.9 17.5 10.2 20.0 -13.4 -0.0 5.4 2.5 4.1 4.2 2.2 5.5 6.4 -6.3 1.0 2.0 16.6 CAD 13.5 7.3 2.4 4.5 3.7 1.7 4.7 -1.9 5.2 9.8 -7.3 11.9 -10.0 10.2 4.7 -1.6 -1.1 -1.7 -1.5 2.6 -5.6 6.4 -10.7 6.7 15.0 -0.0 2.5 3.2 -2.6 3.5 -6.1 4.5 1.4 -13.4 -3.7 -15.7 -17.7 CANOLA -17.6 -2.4 -3.3 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -14.0 -9.6 -14.4 -6.1 -7.0 -3.7 1.1 10.9 4.4 6.4 -9.6 -8.2 -20.0 -2.1 -18.4 6.0 -0.0 -4.2 -12.2 -2.4 -9.8 0.4 -6.9 -1.6 -20.0 -20.0 -2.4 2.8 CHF -5.6 11.9 20.0 4.5 3.7 1.7 4.7 -1.9 5.2 -0.1 12.3 5.7 0.1 10.2 14.5 -14.2 -12.5 -13.5 -13.3 13.0 10.5 3.2 1.1 7.9 -10.0 -0.0 5.4 -1.0 3.4 1.6 -1.2 3.9 -18.3 -18.7 -9.7 -2.3 -0.8 COCOA -4.4 8.9 19.5 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -5.3 9.3 -8.0 -3.9 4.4 11.5 -4.5 -3.2 -2.3 -2.0 10.2 8.3 -2.2 1.1 4.4 -16.5 -0.0 5.6 -0.4 4.1 0.4 0.9 3.5 -20.0 0.5 13.7 20.0 20.0 COFFEE -6.5 7.8 -20.0 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 13.3 -13.4 -1.9 -10.7 -4.0 -12.9 -1.3 3.2 0.9 3.0 -16.8 -20.0 2.1 -15.5 -8.3 11.7 -0.0 -4.8 4.2 -7.1 1.4 -5.0 -1.6 -10.2 16.9 -4.2 3.8 -20.0 COPPER 20.0 20.0 20.0 4.5 5.9 2.6 7.4 1.2 6.3 9.5 3.1 15.1 -5.2 15.5 15.0 -1.6 -0.3 -0.9 -0.5 20.0 14.9 20.0 -1.1 20.0 8.7 -0.0 6.0 2.0 3.2 4.9 0.6 6.6 2.0 -15.3 11.1 12.5 10.2 CORN -5.7 -8.2 -11.9 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -7.0 0.8 -9.0 3.2 -8.5 -11.7 20.0 17.6 20.0 20.0 -6.9 -2.9 -7.5 8.1 -6.8 -8.4 -0.0 -5.4 -5.2 -3.1 -5.2 2.3 -5.4 15.3 -3.1 -10.6 -11.5 -8.0 COTTON2 6.6 10.2 -9.6 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 10.2 -9.3 10.1 -4.7 5.6 4.2 -0.9 13.1 2.1 7.5 -0.5 -8.4 9.2 -5.1 5.6 -0.3 -0.0 2.3 4.8 -0.8 4.8 2.3 4.3 2.7 9.8 12.2 18.3 1.7 CRUDE_W 8.5 4.1 -0.3 1.4 5.1 -0.5 6.5 3.4 4.9 7.4 -4.7 13.2 2.0 11.7 7.8 9.0 12.4 8.2 9.8 5.0 0.7 12.5 4.7 10.8 -8.2 -0.0 4.2 2.7 2.2 6.5 5.0 6.8 0.0 -2.9 4.8 4.6 11.5 DAX 20.0 6.7 20.0 3.7 4.1 1.3 5.5 -0.5 5.5 5.6 13.0 13.5 -0.4 14.0 15.2 -8.8 -3.6 -7.2 -5.5 20.0 17.6 16.7 5.0 20.0 -9.2 -0.0 5.4 1.5 4.1 3.6 1.0 5.1 -3.1 -8.4 3.4 -0.5 20.0 DOW -0.1 -3.5 18.7 3.7 4.1 1.3 5.5 -0.5 5.5 -0.3 9.3 -1.3 0.7 -3.4 10.1 -6.1 -3.0 -5.7 -4.8 5.9 6.9 0.5 2.5 1.6 -5.2 -0.0 3.6 4.5 3.1 3.2 1.3 2.9 -2.2 -15.8 -20.0 -14.4 5.7 EUR 3.1 20.0 20.0 4.5 3.7 1.7 4.7 -1.9 5.2 13.9 10.2 14.8 -5.5 15.4 16.1 -8.1 -8.5 -8.0 -8.3 20.0 14.8 13.9 -4.8 18.8 0.2 -0.0 6.1 2.7 3.2 3.7 -1.9 5.3 -10.7 0.5 5.7 12.3 14.1 EUROSTX 20.0 2.0 20.0 3.7 4.1 1.3 5.5 -0.5 5.5 8.2 13.8 13.9 3.0 14.3 15.4 9.9 4.7 7.1 5.2 20.0 18.0 16.0 8.5 20.0 -15.8 -0.0 5.4 2.0 4.6 3.7 2.1 5.0 12.5 -9.5 -0.7 -0.4 20.0 FEEDCOW -10.6 4.0 3.3 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 1.1 0.8 -7.0 -0.4 -2.7 5.7 -20.0 -20.0 -20.0 -20.0 -0.1 0.8 -4.9 -0.6 -4.9 -20.0 -0.0 3.7 4.0 2.5 0.5 0.7 1.7 -20.0 -5.7 10.6 20.0 16.6 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 14.7 2.6 -11.1 1.4 5.1 -0.5 6.5 3.4 4.9 13.6 -4.5 14.5 9.1 12.3 -1.6 20.0 20.0 20.0 20.0 4.2 1.4 20.0 11.5 14.8 -5.5 -0.0 -0.6 7.0 -1.3 7.4 3.6 3.9 20.0 14.6 -2.3 -8.2 -3.0 GASOILINE 20.0 12.5 -8.4 1.4 5.1 -0.5 6.5 3.4 4.9 10.9 -8.2 14.3 3.0 13.6 6.5 -20.0 9.9 -20.0 -6.2 10.6 1.8 20.0 6.5 20.0 -10.4 -0.0 5.0 3.6 2.6 6.4 3.9 7.2 -12.5 15.2 20.0 20.0 18.3 GAS_US -20.0 -20.0 -20.0 1.4 5.1 -0.5 6.5 3.4 4.9 -8.4 -14.8 -14.6 -6.8 -16.3 -16.3 16.3 -1.7 10.5 3.0 -20.0 -20.0 -16.3 -12.0 -20.0 -2.7 -0.0 -5.9 -1.1 -3.5 -3.1 0.9 -5.4 -18.9 -20.0 -20.0 -20.0 -20.0 GBP 4.9 10.9 19.1 4.5 3.7 1.7 4.7 -1.9 5.2 8.2 8.4 13.7 -4.1 9.7 13.5 -2.1 -1.7 -2.0 -2.0 13.9 7.2 12.0 -6.6 13.0 13.3 -0.0 4.6 2.0 -0.0 4.6 -6.3 5.3 0.6 -1.3 -2.9 -4.5 -0.6 GOLD_micro 20.0 20.0 20.0 4.5 5.9 2.6 7.4 1.2 6.3 13.6 8.0 15.2 -4.6 16.0 16.1 -12.0 -9.2 -11.3 -10.6 20.0 15.0 20.0 1.6 20.0 6.0 -0.0 6.0 4.2 3.2 6.1 0.6 6.9 -14.2 -9.5 -0.3 4.7 3.5 HEATOIL 11.1 3.3 -10.5 1.4 5.1 -0.5 6.5 3.4 4.9 8.9 -4.7 12.2 8.4 11.7 1.7 20.0 20.0 20.0 20.0 4.4 1.7 20.0 11.4 14.6 -16.2 -0.0 3.1 5.4 2.1 8.3 7.2 6.9 20.0 12.8 11.2 3.9 7.3 JPY 6.6 20.0 20.0 4.5 3.7 1.7 4.7 -1.9 5.2 -1.0 6.2 6.0 -8.5 11.5 14.1 -11.4 -10.7 -11.6 -11.7 17.6 8.1 3.3 -8.5 13.7 5.9 -0.0 5.3 -1.7 2.1 0.8 -4.0 4.0 -15.6 -6.6 -10.1 11.0 5.3 LEANHOG -20.0 -13.2 -2.9 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -7.1 -1.2 -13.5 -2.1 -13.6 -3.4 -20.0 4.8 -20.0 -12.5 -14.1 -5.9 -19.3 0.5 -20.0 -9.4 -0.0 -5.0 -2.9 -2.5 -6.3 -0.3 -7.1 -16.8 -20.0 -20.0 -14.3 4.7 LIVECOW -7.1 5.0 9.5 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 8.9 11.4 -3.1 2.1 3.9 10.2 -20.0 -20.0 -20.0 -20.0 5.3 7.1 0.0 3.7 0.4 -20.0 -0.0 5.5 6.2 5.5 3.0 4.1 3.8 -20.0 7.1 12.2 18.7 20.0 MXP 20.0 10.6 10.6 4.5 3.7 1.7 4.7 -1.9 5.2 5.6 15.0 11.7 15.2 13.8 14.5 20.0 20.0 20.0 20.0 20.0 20.0 14.7 18.2 20.0 -20.0 -0.0 6.2 2.1 5.5 3.5 4.4 5.5 20.0 1.9 4.6 -2.6 10.4 NASDAQ 16.1 -1.7 0.6 3.7 4.1 1.3 5.5 -0.5 5.5 12.8 -10.3 14.1 -13.0 3.2 -1.1 -5.7 -3.8 -5.3 -4.8 -0.6 -9.4 18.8 -14.8 10.2 8.7 -0.0 2.3 9.0 -1.8 8.6 -3.9 6.2 -2.8 5.3 -7.7 -8.2 -16.9 NIKKEI 6.9 -18.8 -3.4 3.6 4.2 1.2 5.6 -0.5 5.5 13.2 -5.0 10.6 -1.4 -7.5 -8.8 20.0 11.8 16.5 13.9 -7.6 -6.0 11.7 -2.4 -0.4 6.2 -0.0 -3.4 7.8 -3.6 4.8 -2.5 -0.1 20.0 -7.1 -20.0 -20.0 -20.0 NZD 1.6 13.3 20.0 4.5 3.7 1.7 4.7 -1.9 5.2 13.7 9.8 14.9 -4.0 12.4 14.2 0.7 0.5 0.2 0.1 16.1 10.1 14.4 -2.8 14.0 -0.5 -0.0 5.6 4.8 3.0 4.6 -1.2 5.1 4.2 2.6 3.3 4.1 9.0 OAT 20.0 -1.2 9.6 2.5 1.8 -1.4 4.8 -5.0 5.0 -3.3 -8.3 9.2 -12.1 2.9 0.4 12.4 12.9 13.1 13.5 -0.2 -9.5 8.7 -18.9 7.8 7.3 -0.0 1.1 -0.0 -3.2 3.3 -8.7 3.7 20.0 -4.2 -0.9 -12.7 -1.2 OJ -1.0 8.3 20.0 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -10.6 14.3 -3.1 14.7 9.0 12.2 18.9 13.6 17.3 16.6 14.1 20.0 -3.1 20.0 3.1 -20.0 -0.0 6.1 -1.4 10.8 -0.4 13.9 2.4 10.2 -1.7 14.6 14.0 20.0 PALLAD 0.3 -8.9 -14.6 4.5 5.9 2.6 7.4 1.2 6.3 -6.4 -12.5 -7.9 -10.2 -8.8 -12.9 -2.3 -1.4 -1.9 -1.7 -13.1 -14.2 -6.1 -11.7 -8.8 8.9 -0.0 -3.7 0.5 -4.4 0.3 -3.4 -1.0 0.0 -20.0 -20.0 -20.0 -20.0 PLAT 2.4 5.1 19.8 4.5 5.9 2.6 7.4 1.2 6.3 0.1 12.0 -0.2 2.7 4.6 11.8 -1.8 -0.7 -1.1 -0.8 11.7 12.7 -1.0 6.1 4.1 -3.6 -0.0 6.0 2.8 5.4 2.1 2.0 3.7 1.5 -20.0 -20.0 -10.3 6.6 REDWHEAT -2.9 -6.3 -13.8 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -3.3 -13.9 -7.5 -8.2 -9.3 -12.9 4.4 1.2 4.3 3.2 -12.8 -13.3 -5.5 -6.0 -8.8 -1.6 -0.0 -5.1 -2.7 -3.7 -3.2 1.2 -4.0 -12.4 5.6 -3.7 -9.0 -5.9 ROBUSTA 19.0 18.2 -18.1 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 13.9 -9.6 14.8 -6.8 13.9 -5.3 15.1 9.6 13.6 11.5 1.3 -7.9 16.2 -5.9 11.4 -2.5 -0.0 -2.0 6.2 -4.6 5.5 -2.9 2.2 1.6 20.0 5.7 14.8 -20.0 RUSSELL 19.0 1.0 6.4 3.7 4.1 1.3 5.5 -0.5 5.5 13.1 -2.9 13.6 -10.4 9.0 7.2 -5.2 -3.0 -4.8 -4.1 5.8 -0.7 14.9 -6.5 12.6 -2.4 -0.0 3.8 5.3 1.0 6.5 -0.9 6.3 -1.5 -1.3 -5.1 -6.3 -6.8 SILVER-mini -7.6 12.2 20.0 4.5 5.9 2.6 7.4 1.2 6.3 -7.8 11.2 -2.7 -1.0 9.7 13.9 -4.8 -3.7 -4.5 -4.3 13.8 13.0 -1.2 3.1 5.1 5.8 -0.0 5.3 0.2 4.5 0.9 0.1 2.6 -4.1 -20.0 -20.0 -4.4 8.2 SOYBEAN -17.7 -3.4 2.0 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -14.0 0.5 -14.9 4.6 -10.7 -0.4 20.0 20.0 20.0 20.0 -4.1 1.5 -20.0 6.5 -14.6 -20.0 -0.0 -0.4 -12.8 3.0 -11.6 6.7 -6.0 20.0 -20.0 -3.3 5.0 13.6 SOYMEAL -2.5 13.5 14.4 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -12.9 11.6 -4.9 11.8 10.5 12.6 20.0 16.0 18.5 17.0 17.7 18.0 -6.2 13.8 7.0 -20.0 -0.0 5.4 -2.9 5.8 -1.7 5.2 2.0 12.2 -8.3 19.0 20.0 20.0 SOYOIL -6.2 -11.3 -4.1 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -12.5 -1.3 -12.2 4.3 -7.2 -7.4 3.8 18.7 10.3 15.0 -8.0 -3.0 -9.7 6.2 -8.5 -12.2 -0.0 -3.4 -5.9 -0.2 -4.5 4.2 -4.2 13.3 -10.1 -8.1 -20.0 10.6 SP400 15.9 2.7 11.7 3.7 4.1 1.3 5.5 -0.5 5.5 11.8 5.0 13.2 -4.2 9.7 10.7 -4.9 -2.4 -3.7 -3.0 9.7 4.9 13.8 -0.4 13.3 -6.0 -0.0 4.5 5.1 2.5 6.0 0.9 6.0 0.0 -4.9 -9.3 -7.2 -1.0 SP500 10.9 -0.2 6.7 3.7 4.1 1.3 5.5 -0.5 5.5 12.2 -2.7 12.4 -8.3 2.0 5.3 -6.0 -3.9 -5.5 -4.9 3.3 -1.9 11.3 -6.4 7.8 3.6 -0.0 3.0 6.6 -0.1 6.2 -2.7 5.1 -2.9 -6.5 -15.1 -10.1 -8.2 SUGAR11 -17.1 -0.7 14.0 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -1.7 6.8 1.7 4.7 -3.6 5.9 20.0 20.0 20.0 20.0 5.6 8.9 1.1 7.2 0.5 -20.0 -0.0 5.2 0.2 6.0 -0.5 4.5 1.6 20.0 2.5 -3.2 20.0 20.0 US10 15.1 15.0 16.1 2.5 1.8 -1.4 4.8 -5.0 5.0 -2.3 -5.2 9.2 -11.4 9.6 10.2 -8.7 -1.6 -7.8 -5.8 7.0 -4.3 7.9 -17.2 10.8 -3.2 -0.0 3.7 0.5 -1.0 3.8 -6.8 5.2 -6.9 -6.3 -13.8 3.1 2.6 US10U 14.0 13.8 14.7 2.5 1.8 -1.4 4.8 -5.0 5.0 -0.9 -5.2 9.7 -11.4 9.3 9.7 0.9 4.3 0.9 1.6 6.2 -4.6 7.4 -17.0 9.8 -5.8 -0.0 4.2 0.8 -0.3 3.8 -5.4 5.4 4.5 -6.8 -8.3 5.9 3.5 US20 12.8 15.5 14.5 2.5 1.8 -1.4 4.8 -5.0 5.0 1.6 -3.6 10.1 -10.5 9.2 10.3 -8.1 0.2 -4.6 -2.1 6.9 -4.2 8.4 -16.6 10.4 -4.6 -0.0 3.3 1.3 -0.9 3.7 -5.6 4.6 -1.9 -2.7 -17.1 3.3 -1.0 US30 11.7 13.6 18.9 2.5 1.8 -1.4 4.8 -5.0 5.0 0.5 -3.3 9.5 -11.9 5.9 8.2 -2.0 -0.1 -1.5 -1.1 5.8 -5.1 7.1 -18.4 9.0 -6.0 -0.0 3.8 1.0 -0.3 3.3 -5.2 4.7 -1.5 -4.9 -12.2 7.2 0.3 US5 13.8 16.3 17.3 2.5 1.8 -1.4 4.8 -5.0 5.0 -4.5 -5.2 8.0 -11.7 8.9 10.1 -9.1 -0.7 -7.2 -5.4 7.1 -4.9 7.2 -18.9 10.9 -1.3 -0.0 3.7 -0.7 -1.3 3.0 -8.0 4.9 -5.9 -10.6 -16.1 4.8 2.9 VIX -19.2 -17.0 -20.0 -5.1 -4.5 -4.1 -4.9 -2.8 -5.2 -13.6 -15.5 -14.8 -13.2 -15.6 -16.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.4 -20.0 NaN -0.0 -6.5 -4.9 -5.4 -5.2 -3.7 -6.0 NaN NaN NaN NaN NaN WHEAT -3.0 -6.8 -17.7 -4.5 -4.4 -4.7 -5.6 -1.8 -4.7 -4.8 -15.3 -12.0 -11.7 -12.6 -14.2 -9.4 -5.4 -7.7 -6.5 -16.8 -18.7 -9.4 -11.3 -12.2 1.9 -0.0 -5.2 -4.1 -4.5 -4.8 -0.4 -4.6 -20.0 -6.1 -4.3 -8.2 -8.6 End of report for caleb_strategy_v1