******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230125_204300 produced at 2023-01-25 21:35:46.156840 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 7395052.54 -7395052.54 -0.23 -0.24 -33.87 999999999 -31 -32 caleb_strategy_v1 LIVECOW False False 0.02 -0.13 -0.14 0.0 21903602.86 -21903602.86 -0.13 -0.13 -6.22 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 31942047.45 -31942047.45 -0.13 -0.13 -3.76 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.10 0.0 46439573.04 -46439573.04 -0.09 -0.09 -2.10 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.05 -0.08 0.0 11574274.89 -11574274.89 -0.05 -0.05 -7.29 999999999 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.07 0.0 37197877.51 -37197877.51 -0.19 -0.19 -1.79 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.05 0.0 39047700.71 -39047700.71 0.00 0.00 -1.39 999999999 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.83 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 0.00 -0.04 0.0 44385156.21 -44385156.21 0.00 0.00 -0.89 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.03 0.0 32936393.68 -32936393.68 -0.10 -0.10 -1.01 999999999 -3 -3 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 48402823.80 -48402823.80 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.01 -0.02 0.0 8762119.59 -8762119.59 -0.01 -0.02 -2.56 999999999 -1 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 38969348.77 -38969348.77 0.00 0.00 -0.51 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 80595895.97 -80595895.97 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3214982.13 -3214982.13 0.00 0.00 -2.47 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.01 0.0 54688118.78 -54688118.78 0.00 0.00 -0.17 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13026147.59 -13026147.59 -0.03 -0.03 -0.64 999999999 -2 -2 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 68353352.57 -68353352.57 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5740833.56 -5740833.56 0.00 0.00 -1.77 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12354486.85 -12354486.85 0.00 0.00 0.04 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 20734981.02 -20734981.02 0.00 0.00 -0.18 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 57481268.45 -57481268.45 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14807066.20 -14807066.20 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10375123.02 -10375123.02 0.00 0.00 0.44 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4057489.35 -4057489.35 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.00 0.0 6692861.77 -6692861.77 0.01 0.01 0.60 999999999 1 1 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 17768479.44 -17768479.44 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14209186.38 -14209186.38 -0.01 -0.01 -0.28 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 88092715.28 -88092715.28 0.00 0.00 -0.03 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.03 0.00 0.0 6605681.56 -6605681.56 -0.03 -0.02 0.01 999999999 -5 -3 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 9810317.40 -9810317.40 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46437452.90 -46437452.90 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 24145864.20 -24145864.20 0.00 0.00 0.62 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 9968903.96 -9968903.96 0.03 0.03 0.85 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 5627655.50 -5627655.50 0.01 0.01 2.11 999999999 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20416959.84 -20416959.84 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.01 0.0 7628980.44 -7628980.44 0.02 0.02 1.89 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 783943.41 -783943.41 0.00 0.00 16.07 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.08 0.02 0.0 26235116.15 -26235116.15 0.08 0.08 0.87 999999999 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 25363673.31 -25363673.31 0.00 0.00 0.72 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 21990104.62 -21990104.62 0.04 0.04 0.83 999999999 2 2 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36114485.35 -36114485.35 0.07 0.07 0.87 999999999 2 2 caleb_strategy_v1 GBP False False 0.03 0.08 0.03 0.0 26315192.68 -26315192.68 0.08 0.08 1.10 999999999 3 3 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8946995.90 -8946995.90 0.03 0.03 3.39 999999999 3 3 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 42932209.70 -42932209.70 0.04 0.04 0.92 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.03 0.04 0.0 15462260.26 -15462260.26 0.03 0.05 2.33 999999999 2 3 caleb_strategy_v1 US10U False False 0.04 0.00 0.04 0.0 41348053.92 -41348053.92 0.00 0.00 1.07 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.10 0.05 0.0 49360007.54 -49360007.54 0.10 0.15 1.11 999999999 2 3 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.06 0.0 22804238.84 -22804238.84 0.05 0.05 2.77 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.06 0.0 26530599.03 -26530599.03 0.08 0.08 2.20 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.07 0.0 31861482.09 -31861482.09 0.03 0.03 2.31 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15387136.84 -15387136.84 0.08 0.08 4.55 999999999 5 5 caleb_strategy_v1 HEATOIL False False 0.04 0.13 0.08 0.0 44662589.40 -44662589.40 0.13 0.13 1.70 999999999 3 3 caleb_strategy_v1 BOBL False False 0.04 0.09 0.20 0.0 43683847.35 -43683847.35 0.09 0.09 4.51 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.21 0.0 51277979.48 -51277979.48 0.10 0.10 4.13 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.30 0.0 0.00 0.00 0.00 0.00 42.06 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 15.8 Shocked risk 45.5 Sum abs risk 41.9 Leverage 2.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2947916.85, 'annual_cash_vol_target': 736979.2125, 'daily_cash_vol_target': 46061.20078125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0053 0.7118 0.7485 11.9762 BITCOIN 768.8364 23110.0000 3.3269 53.2297 BOBL 0.3398 117.9800 0.2880 4.6083 BTP 0.9139 115.9500 0.7882 12.6105 BUND 0.7583 138.4900 0.5476 8.7613 BUXL 2.0119 147.7000 1.3621 21.7941 CAC 61.4423 7085.5000 0.8672 13.8745 CAD 0.0037 0.7477 0.4992 7.9871 CANOLA 8.0588 800.0000 1.0074 16.1176 CHF 0.0058 1.0952 0.5286 8.4576 COCOA 36.2399 2583.0000 1.4030 22.4483 COFFEE 0.0352 1.6300 2.1613 34.5812 COPPER 0.0464 4.2585 1.0902 17.4433 CORN 4.8527 587.7500 0.8256 13.2102 COTTON2 0.0170 0.8730 1.9463 31.1415 CRUDE_W 1.1944 78.2100 1.5272 24.4349 DAX 129.0903 15199.0000 0.8493 13.5894 DOW 297.0102 33847.0000 0.8775 14.0401 EUR 0.0053 1.0952 0.4795 7.6722 EUROSTX 40.8222 4176.0000 0.9775 15.6407 FEEDCOW 1.1925 188.3250 0.6332 10.1317 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.5368 939.2500 2.0800 33.2806 GASOILINE 0.0512 2.7352 1.8704 29.9264 GAS_US 0.1920 2.8920 6.6384 106.2139 GBP 0.0079 1.2412 0.6346 10.1543 GOLD_micro 14.4811 1947.3000 0.7437 11.8984 HEATOIL 0.0591 3.1348 1.8864 30.1826 JPY 0.0001 0.0078 0.8712 13.9396 LEANHOG 1.2679 85.3000 1.4864 23.7827 LIVECOW 0.7960 161.4250 0.4931 7.8893 MXP 0.0003 0.0528 0.6168 9.8686 NASDAQ 151.8846 11879.5000 1.2785 20.4567 NIKKEI 268.6516 27390.0000 0.9808 15.6934 NZD 0.0047 0.6482 0.7320 11.7115 OAT 0.8042 133.3100 0.6033 9.6525 OJ 0.0223 2.0390 1.0940 17.5038 PALLAD 39.3498 1694.5000 2.3222 37.1553 PLAT 17.4423 1047.6000 1.6650 26.6396 REDWHEAT 13.5769 837.7500 1.6206 25.9302 ROBUSTA 24.8097 1973.0000 1.2575 20.1194 RUSSELL 22.6995 1895.5000 1.1975 19.1607 SILVER-mini 0.4003 24.0750 1.6627 26.6028 SOYBEAN 10.4168 1344.5000 0.7748 12.3963 SOYMEAL 5.6512 453.6000 1.2459 19.9338 SOYOIL 0.8236 60.7000 1.3568 21.7093 SP400 28.0355 2596.9000 1.0796 17.2732 SP500 40.4620 4030.0000 1.0040 16.0643 SUGAR11 0.0023 0.2008 1.1663 18.6606 US10 0.5276 115.1094 0.4584 7.3340 US10U 0.7286 121.8906 0.5978 9.5642 US20 1.0382 130.8438 0.7935 12.6959 US30 1.6604 142.6875 1.1636 18.6183 US5 0.3445 109.6562 0.3142 5.0268 VIX 0.5125 21.8000 2.3511 37.6178 WHEAT 10.6973 768.0000 1.3929 22.2861 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 711.80 0.75 532.79 1.00 532.79 46061.2 86.45 4.47 38.63 BITCOIN 23.11 3.33 76.88 1.00 76.88 46061.2 599.10 11.38 681.98 BOBL 1179.80 0.29 339.80 1.09 369.79 46061.2 124.56 5.02 62.55 BTP 1159.50 0.79 913.87 1.09 994.50 46061.2 46.32 9.81 45.42 BUND 1384.90 0.55 758.35 1.09 825.26 46061.2 55.81 10.27 57.30 BUXL 1477.00 1.36 2011.86 1.09 2189.37 46061.2 21.04 -0.96 -2.02 CAC 708.55 0.87 614.42 1.09 668.63 46061.2 68.89 4.48 30.88 CAD 747.70 0.50 373.25 1.00 373.25 46061.2 123.41 3.28 40.47 CANOLA 160.00 1.01 161.18 0.75 120.60 46061.2 381.93 1.24 47.33 CHF 1369.00 0.53 723.65 1.00 723.65 46061.2 63.65 -8.80 -56.01 COCOA 258.30 1.40 362.40 1.00 362.40 46061.2 127.10 -9.23 -117.32 COFFEE 611.25 2.16 1321.11 1.00 1321.11 46061.2 34.87 -4.07 -14.20 COPPER 1064.62 1.09 1160.66 1.00 1160.66 46061.2 39.69 8.05 31.94 CORN 293.88 0.83 242.63 1.00 242.63 46061.2 189.84 4.98 94.46 COTTON2 436.50 1.95 849.58 1.00 849.58 46061.2 54.22 1.80 9.78 CRUDE_W 782.10 1.53 1194.41 1.00 1194.41 46061.2 38.56 4.33 16.68 DAX 151.99 0.85 129.09 1.09 140.48 46061.2 327.88 1.19 38.93 DOW 169.24 0.88 148.51 1.00 148.51 46061.2 310.17 -2.00 -62.08 EUR 1368.94 0.48 656.42 1.00 656.42 46061.2 70.17 0.80 5.59 EUROSTX 417.60 0.98 408.22 1.09 444.24 46061.2 103.69 7.99 82.85 FEEDCOW 941.62 0.63 596.27 1.00 596.27 46061.2 77.25 -18.14 -140.10 FTSE100 707.00 0.82 576.59 1.23 666.67 46061.2 69.09 -2.56 -17.71 GASOIL 939.25 2.08 1953.68 1.00 1953.68 46061.2 23.58 13.71 32.32 GASOILINE 1148.78 1.87 2148.68 1.00 2148.68 46061.2 21.44 -5.79 -12.40 GAS_US 289.20 6.64 1919.82 1.00 1919.82 46061.2 23.99 -11.04 -26.50 GBP 775.75 0.63 492.33 1.00 492.33 46061.2 93.56 6.59 61.64 GOLD_micro 194.73 0.74 144.81 1.00 144.81 46061.2 318.08 0.01 0.26 HEATOIL 1316.62 1.89 2483.68 1.00 2483.68 46061.2 18.55 12.82 23.78 JPY 970.94 0.87 845.91 1.00 845.91 46061.2 54.45 -2.87 -15.65 LEANHOG 341.20 1.49 507.17 1.00 507.17 46061.2 90.82 -17.17 -155.93 LIVECOW 645.70 0.49 318.38 1.00 318.38 46061.2 144.67 -16.01 -231.62 MXP 263.75 0.62 162.68 1.00 162.68 46061.2 283.14 9.78 276.89 NASDAQ 2375.90 1.28 3037.69 1.00 3037.69 46061.2 15.16 -1.39 -2.11 NIKKEI 27390.00 0.98 26865.16 0.01 206.58 46061.2 222.97 9.93 221.43 NZD 648.25 0.73 474.50 1.00 474.50 46061.2 97.07 5.36 52.05 OAT 1333.10 0.60 804.24 1.09 875.19 46061.2 52.63 10.47 55.09 OJ 305.85 1.09 334.60 1.00 334.60 46061.2 137.66 1.84 25.36 PALLAD 1694.50 2.32 3934.98 1.00 3934.98 46061.2 11.71 -2.37 -2.78 PLAT 523.80 1.66 872.12 1.00 872.12 46061.2 52.82 2.01 10.63 REDWHEAT 418.88 1.62 678.84 1.00 678.84 46061.2 67.85 -7.65 -51.91 ROBUSTA 197.30 1.26 248.10 1.00 248.10 46061.2 185.66 2.51 46.60 RUSSELL 94.78 1.20 113.50 1.00 113.50 46061.2 405.84 -1.17 -47.59 SILVER-mini 601.88 1.66 1000.72 1.00 1000.72 46061.2 46.03 5.17 23.80 SOYBEAN 672.25 0.77 520.84 1.00 520.84 46061.2 88.44 5.31 46.97 SOYMEAL 453.60 1.25 565.12 1.00 565.12 46061.2 81.51 9.48 77.25 SOYOIL 364.20 1.36 494.16 1.00 494.16 46061.2 93.21 0.43 3.97 SP400 2596.90 1.08 2803.55 1.00 2803.55 46061.2 16.43 -0.30 -0.49 SP500 2015.00 1.00 2023.10 1.00 2023.10 46061.2 22.77 -1.72 -3.92 SUGAR11 224.90 1.17 262.29 1.00 262.29 46061.2 175.61 7.94 139.43 US10 1151.09 0.46 527.64 1.00 527.64 46061.2 87.30 -4.14 -36.13 US10U 1218.91 0.60 728.62 1.00 728.62 46061.2 63.22 1.16 7.33 US20 1308.44 0.79 1038.23 1.00 1038.23 46061.2 44.36 -2.73 -12.09 US30 1426.88 1.16 1660.37 1.00 1660.37 46061.2 27.74 -1.56 -4.32 US5 1096.56 0.31 344.51 1.00 344.51 46061.2 133.70 -3.49 -46.64 VIX 218.00 2.35 512.54 1.00 512.54 46061.2 89.87 -20.00 -179.74 WHEAT 384.00 1.39 534.87 1.00 534.87 46061.2 86.12 -13.97 -120.30 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 38.632 0.006 2.5 0.617 BITCOIN 681.980 0.009 2.5 16.068 BOBL 62.547 0.029 2.5 4.513 BTP 45.418 0.008 2.5 0.917 BUND 57.302 0.029 2.5 4.135 BUXL -2.020 0.034 2.5 -0.170 CAC 30.876 0.011 2.5 0.868 CAD 40.472 0.007 2.5 0.723 CANOLA 47.333 0.004 2.5 0.434 CHF -56.005 0.015 2.5 -2.096 COCOA -117.317 0.009 2.5 -2.556 COFFEE -14.200 0.005 2.5 -0.184 COPPER 31.939 0.011 2.5 0.873 CORN 94.464 0.004 2.5 0.852 COTTON2 9.779 0.006 2.5 0.147 CRUDE_W 16.680 0.053 2.5 2.204 DAX 38.933 0.022 2.5 2.114 DOW -62.085 0.011 2.5 -1.769 EUR 5.591 0.015 2.5 0.209 EUROSTX 82.849 0.011 2.5 2.329 FEEDCOW -140.100 0.011 2.5 -3.765 FTSE100 -17.709 0.041 2.5 -1.826 GASOIL 32.316 0.029 2.5 2.305 GASOILINE -12.404 0.016 2.5 -0.509 GAS_US -26.498 0.006 2.5 -0.399 GBP 61.636 0.007 2.5 1.100 GOLD_micro 0.265 0.009 2.5 0.006 HEATOIL 23.779 0.029 2.5 1.696 JPY -15.649 0.026 2.5 -1.013 LEANHOG -155.934 0.019 2.5 -7.285 LIVECOW -231.619 0.011 2.5 -6.224 MXP 276.891 0.005 2.5 3.390 NASDAQ -2.114 0.022 2.5 -0.115 NIKKEI 221.427 0.076 2.5 42.056 NZD 52.049 0.006 2.5 0.832 OAT 55.087 0.008 2.5 1.113 OJ 25.364 0.007 2.5 0.442 PALLAD -2.775 0.010 2.5 -0.067 PLAT 10.628 0.010 2.5 0.256 REDWHEAT -51.905 0.002 2.5 -0.277 ROBUSTA 46.600 0.005 2.5 0.604 RUSSELL -47.595 0.021 2.5 -2.465 SILVER-mini 23.799 0.009 2.5 0.532 SOYBEAN 46.975 0.024 2.5 2.770 SOYMEAL 77.249 0.024 2.5 4.555 SOYOIL 3.974 0.004 2.5 0.036 SP400 -0.485 0.021 2.5 -0.025 SP500 -3.921 0.011 2.5 -0.112 SUGAR11 139.430 0.005 2.5 1.892 US10 -36.130 0.015 2.5 -1.386 US10U 7.328 0.058 2.5 1.068 US20 -12.092 0.029 2.5 -0.891 US30 -4.322 0.034 2.5 -0.363 US5 -46.638 0.015 2.5 -1.789 VIX -179.736 0.075 2.5 -33.871 WHEAT -120.303 0.002 2.5 -0.642 ==================== Position diags ==================== AUD 1.38 BITCOIN 14.12 BOBL 8.99 BTP 0.94 BUND 4.03 BUXL 1.77 CAC 1.94 CAD 2.20 CANOLA 3.51 CHF 2.38 COCOA 2.77 COFFEE 0.45 COPPER 1.08 CORN 1.71 COTTON2 0.82 CRUDE_W 5.09 DAX 17.81 DOW 8.84 EUR 2.63 EUROSTX 2.91 FEEDCOW 2.08 FTSE100 7.12 GASOIL 1.68 GASOILINE 0.88 GAS_US 0.36 GBP 1.67 GOLD_micro 7.12 HEATOIL 1.32 JPY 3.52 LEANHOG 4.24 LIVECOW 3.89 MXP 3.47 NASDAQ 0.82 NIKKEI 42.35 NZD 1.55 OAT 1.06 OJ 2.40 PALLAD 0.28 PLAT 1.27 REDWHEAT 0.36 ROBUSTA 2.41 RUSSELL 21.02 SILVER-mini 1.03 SOYBEAN 5.21 SOYMEAL 4.81 SOYOIL 0.86 SP400 0.85 SP500 0.65 SUGAR11 2.38 US10 3.35 US10U 9.21 US20 3.27 US30 2.33 US5 5.13 VIX 16.94 WHEAT 0.46 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.6 0.5 0.8 0.0 0 BITCOIN 16.1 14.7 17.5 NaN 0 BOBL 4.5 3.6 5.4 2.0 2 BTP 0.9 0.8 1.0 1.0 1 BUND 4.1 3.7 4.5 2.0 2 BUXL -0.2 -0.3 0.0 0.0 0 CAC 0.9 0.7 1.1 3.0 3 CAD 0.7 0.5 0.9 0.0 0 CANOLA 0.4 0.1 0.8 NaN 0 CHF -2.1 -2.3 -1.9 -2.0 -2 COCOA -2.6 -2.8 -2.3 -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 2.1 0.3 3.9 2.0 2 DOW -1.8 -2.7 -0.9 0.0 0 EUR 0.2 -0.1 0.5 0.0 0 EUROSTX 2.3 2.0 2.6 2.0 2 FEEDCOW -3.8 -4.0 -3.6 -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 -0.4 0.0 0 GBP 1.1 0.9 1.3 3.0 3 GOLD_micro 0.0 -0.7 0.7 -5.0 -5 HEATOIL 1.7 1.6 1.8 3.0 3 JPY -1.0 -1.4 -0.7 -3.0 -3 LEANHOG -7.3 -7.7 -6.9 -4.0 -4 LIVECOW -6.2 -6.6 -5.8 -6.0 -6 MXP 3.4 3.0 3.7 3.0 3 NASDAQ -0.1 -0.2 -0.0 0.0 0 NIKKEI 42.1 37.8 46.3 0.0 0 NZD 0.8 0.7 1.0 2.0 2 OAT 1.1 1.0 1.2 2.0 2 OJ 0.4 0.2 0.7 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.3 0.1 0.4 NaN 0 REDWHEAT -0.3 -0.3 -0.2 -1.0 -1 ROBUSTA 0.6 0.4 0.8 1.0 1 RUSSELL -2.5 -4.6 -0.4 0.0 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 2.8 2.2 3.3 2.0 2 SOYMEAL 4.6 4.1 5.0 5.0 5 SOYOIL 0.0 -0.0 0.1 0.0 0 SP400 -0.0 -0.1 0.1 0.0 0 SP500 -0.1 -0.2 -0.0 0.0 0 SUGAR11 1.9 1.7 2.1 2.0 2 US10 -1.4 -1.7 -1.1 NaN 0 US10U 1.1 0.1 2.0 0.0 0 US20 -0.9 -1.2 -0.6 0.0 0 US30 -0.4 -0.6 -0.1 0.0 0 US5 -1.8 -2.3 -1.3 -5.0 -5 VIX -33.9 -35.6 -32.2 -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 0.3 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 0.2 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 0.2 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 -0.1 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 0.2 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 -0.1 0.0 -0.1 0.1 BUND 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 -0.0 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 -0.1 -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 -0.3 0.0 0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 0.2 -0.2 -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 0.1 0.1 0.1 0.4 -0.3 0.1 -0.0 -0.0 0.2 0.2 0.0 0.1 0.0 -1.5 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.8 -0.0 -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 -0.2 -0.1 -0.2 -0.3 CANOLA -0.0 -0.0 -0.1 -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 -0.1 0.0 CHF -0.0 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 -0.1 -0.2 -0.0 -0.0 COCOA -0.1 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 -0.4 -0.1 -0.1 -0.0 0.1 0.1 -0.0 0.0 0.0 -2.6 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 -2.7 -0.0 0.2 0.3 0.3 COFFEE -0.0 0.0 -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 -0.0 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 0.1 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 -0.3 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 -1.2 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.1 -0.0 -0.3 -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 0.3 0.0 0.2 0.5 0.1 CRUDE_W 0.1 0.1 -0.0 0.0 0.0 -0.0 0.1 0.1 0.1 0.0 -0.1 0.0 0.1 0.0 0.2 0.8 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 0.0 -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 0.1 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 -0.4 -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 0.0 0.1 -0.1 -0.0 -0.1 -0.0 -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 0.3 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 0.1 -0.2 0.0 0.0 -0.0 0.1 0.1 0.1 0.0 -0.1 0.0 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 0.1 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 1.2 -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 0.0 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 0.7 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 -1.8 -0.0 0.0 0.1 0.1 HEATOIL 0.2 0.1 -0.2 0.0 0.0 -0.0 0.1 0.1 0.1 0.0 -0.1 0.0 0.2 0.1 0.1 1.7 0.9 0.5 0.5 0.1 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 0.1 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 0.1 0.1 LEANHOG -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -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 -2.5 -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 0.3 0.3 0.3 MXP 0.2 0.2 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 0.0 -0.0 0.1 NASDAQ 0.3 -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 -0.0 0.0 -0.4 0.0 -0.2 -0.1 -0.3 NIKKEI 0.2 -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 -0.0 -0.1 0.0 -0.0 0.0 1.0 -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 0.0 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 0.0 0.1 OAT 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 1.0 0.5 0.3 0.3 0.0 -0.1 0.0 -0.2 0.0 0.9 -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 1.5 -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 -0.2 -0.2 -0.0 -0.1 -0.0 1.7 -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 -0.5 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 0.2 -0.0 -0.4 -0.2 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 0.3 -0.3 -0.1 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -0.2 0.1 -0.1 1.2 0.4 0.3 0.2 0.0 -0.1 0.0 -0.1 0.0 -0.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 0.0 0.2 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 0.1 0.0 0.0 0.0 -0.0 0.0 -0.2 -0.1 -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 -0.1 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 -0.1 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 0.0 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 1.7 -0.1 0.3 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 0.0 -0.0 1.8 -0.1 -0.2 -0.3 0.1 SP400 0.2 0.1 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 -0.1 0.1 0.1 0.0 -0.0 0.0 -0.9 -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 0.2 0.0 0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 -0.1 0.1 -0.2 0.0 0.1 -0.5 -0.2 -0.1 -0.1 0.1 -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 -0.2 -0.1 SUGAR11 -0.1 -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 -0.0 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 -0.0 0.0 -0.2 0.0 -0.4 -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 0.1 0.0 -0.0 0.0 -0.1 0.0 0.6 -0.0 -0.1 0.1 0.1 US20 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 0.3 -0.7 0.0 -0.1 -0.0 0.1 -0.0 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 -0.1 0.0 -0.0 US30 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 -0.1 -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 -0.8 -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 -0.9 -0.0 -0.0 0.0 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 16.2 16.1 16.3 4.6 4.4 1.8 5.0 -1.8 5.3 13.8 3.8 14.9 -5.0 15.1 14.8 -3.3 -2.3 -3.1 -2.7 15.5 5.9 18.3 -4.6 18.1 5.5 -0.0 5.3 6.8 1.8 5.8 -1.9 6.0 -0.6 2.6 8.2 0.4 -6.1 BITCOIN 20.0 19.6 20.0 4.6 4.5 2.7 6.7 1.2 6.2 13.2 -7.2 15.2 -15.3 14.9 7.3 0.5 -0.3 1.1 0.7 12.5 -5.1 20.0 -20.0 20.0 20.0 -0.0 3.6 6.1 -0.6 8.3 -2.7 7.3 3.1 15.5 9.4 1.3 -20.0 BOBL 20.0 -2.1 -3.5 2.6 1.6 -1.2 4.3 -5.0 4.9 -5.4 -12.1 8.2 -13.4 0.5 -2.6 -8.8 10.5 0.6 7.3 -6.1 -17.8 5.2 -20.0 3.7 12.8 -0.0 -0.7 0.2 -5.8 2.1 -11.4 2.4 16.2 -9.9 -8.5 -16.2 -9.6 BTP 20.0 1.5 14.2 2.6 1.6 -1.2 4.3 -5.0 4.9 -5.3 -1.3 9.6 -10.4 7.0 7.1 9.8 14.1 12.7 14.6 7.1 -2.0 10.5 -14.3 12.4 -3.1 -0.0 3.2 0.5 -0.5 3.6 -5.9 4.7 20.0 -6.7 2.1 -6.9 10.3 BUND 20.0 -0.0 2.1 2.6 1.6 -1.2 4.3 -5.0 4.9 -6.7 -10.5 8.6 -12.8 2.6 -0.1 11.6 15.6 12.9 14.2 -2.8 -14.1 6.5 -20.0 6.0 8.8 -0.0 0.7 0.0 -4.1 2.7 -9.3 3.4 20.0 -9.1 -3.5 -13.2 -5.7 BUXL 15.9 -5.2 5.9 2.6 1.6 -1.2 4.3 -5.0 4.9 -7.8 -8.0 7.4 -11.9 -1.9 -1.8 2.8 -0.3 3.9 2.9 -4.4 -11.5 2.3 -20.0 0.9 4.3 -0.0 0.1 -0.7 -3.2 1.4 -7.3 1.7 1.3 -14.6 -12.2 -16.8 -5.2 CAC 20.0 5.1 20.0 3.8 4.0 1.5 5.5 -0.4 5.6 10.4 14.1 14.1 4.6 14.4 15.5 -4.0 2.2 -2.2 -0.3 20.0 18.7 17.4 10.7 20.0 -13.3 -0.0 5.5 2.7 4.2 4.1 2.3 5.4 6.4 -4.5 -0.5 1.4 16.0 CAD 14.9 8.2 2.8 4.6 4.4 1.8 5.0 -1.8 5.3 9.4 -7.1 12.5 -9.9 11.0 5.1 -1.6 -1.1 -1.7 -1.6 2.9 -5.3 6.3 -10.8 6.9 15.2 -0.0 2.6 2.3 -2.4 3.4 -6.1 4.5 1.4 -16.8 -3.6 -15.5 -17.8 CANOLA -20.0 -3.8 -3.9 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -12.5 -9.8 -14.4 -6.3 -8.5 -4.9 1.1 10.8 4.3 6.3 -11.2 -8.9 -20.0 -2.5 -20.0 6.4 -0.0 -4.4 -9.2 -2.5 -9.2 0.3 -7.0 -1.7 -20.0 -20.0 -5.2 0.9 CHF -3.6 11.5 20.0 4.6 4.4 1.8 5.0 -1.8 5.3 5.4 12.5 7.6 0.3 10.6 14.6 -14.6 -12.6 -13.8 -13.4 13.1 10.7 5.1 1.3 8.4 -10.0 -0.0 5.5 1.8 3.5 2.3 -1.1 4.1 -18.5 -9.3 -9.9 -2.5 -1.1 COCOA -4.8 8.5 19.5 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -8.6 9.3 -10.0 -3.8 3.4 11.1 -5.0 -3.2 -2.5 -2.2 9.7 8.3 -3.4 1.2 3.3 -16.9 -0.0 5.5 -1.2 4.2 -0.2 1.0 3.0 -20.0 -5.4 12.4 20.0 20.0 COFFEE -5.0 2.9 -20.0 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 13.8 -13.2 1.0 -10.7 -2.4 -12.4 -1.1 3.1 0.9 3.0 -15.7 -20.0 6.0 -15.8 -5.6 11.6 -0.0 -4.4 5.6 -7.1 2.7 -5.1 -0.7 -10.2 20.0 -4.9 4.3 -20.0 COPPER 20.0 20.0 20.0 4.6 4.5 2.7 6.7 1.2 6.2 9.2 3.9 15.1 -5.0 15.6 15.1 -1.6 -0.3 -0.9 -0.5 20.0 16.0 20.0 -0.6 20.0 8.5 -0.0 6.0 1.5 3.4 4.3 0.7 6.3 2.1 -20.0 9.4 11.4 10.2 CORN -7.4 -8.1 -12.5 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -9.9 0.7 -10.7 3.1 -9.7 -12.1 20.0 17.7 20.0 20.0 -7.6 -3.2 -9.4 8.0 -8.0 -8.0 -0.0 -5.6 -5.5 -3.2 -5.5 2.1 -5.6 15.5 -8.4 -15.0 -12.0 -8.8 COTTON2 7.5 11.0 -8.8 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 11.0 -9.1 11.3 -4.8 6.7 5.1 -1.2 13.0 1.9 7.3 0.1 -8.2 9.5 -5.1 6.4 -0.3 -0.0 2.6 4.4 -0.6 4.8 2.3 4.5 2.5 10.3 14.7 17.6 3.2 CRUDE_W 9.2 5.1 -0.2 1.5 0.8 -0.4 4.7 3.5 4.6 4.5 -4.5 12.4 2.0 11.8 7.8 9.5 12.4 8.5 9.9 5.5 1.0 10.5 4.9 10.6 -8.5 -0.0 4.3 1.2 2.3 5.2 5.1 6.4 0.0 -1.6 5.2 4.2 11.6 DAX 20.0 7.4 20.0 3.8 4.0 1.5 5.5 -0.4 5.6 7.4 13.2 13.9 -0.2 14.3 15.4 -8.8 -3.7 -7.3 -5.6 20.0 18.4 16.2 5.4 20.0 -9.1 -0.0 5.4 1.8 4.2 3.5 1.1 5.0 -3.1 -9.4 1.3 -0.4 20.0 DOW 1.1 -3.3 18.9 3.8 4.0 1.5 5.5 -0.4 5.6 0.6 9.4 -0.2 0.8 -2.6 10.1 -6.2 -3.1 -5.7 -4.9 6.1 7.1 1.9 2.6 2.2 -5.0 -0.0 3.8 4.1 3.2 3.5 1.4 3.2 -2.1 -16.4 -20.0 -15.5 5.1 EUR 6.2 20.0 20.0 4.6 4.4 1.8 5.0 -1.8 5.3 14.0 10.6 15.2 -5.3 15.7 16.2 -8.2 -8.5 -8.1 -8.3 20.0 15.6 15.8 -4.4 19.9 0.2 -0.0 6.1 3.5 3.4 4.0 -1.8 5.4 -10.7 -1.8 6.8 12.6 13.9 EUROSTX 20.0 2.6 20.0 3.8 4.0 1.5 5.5 -0.4 5.6 10.9 14.0 14.4 3.2 14.7 15.5 10.0 4.8 7.3 5.3 20.0 18.7 16.0 9.0 20.0 -15.6 -0.0 5.5 2.3 4.7 3.7 2.2 5.0 12.8 -8.6 -2.2 -0.8 19.7 FEEDCOW -9.7 3.7 3.5 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 9.4 0.8 -4.7 -0.3 -2.3 5.8 -20.0 -20.0 -20.0 -20.0 0.2 0.8 -1.6 -0.6 -3.5 -20.0 -0.0 3.9 4.9 2.6 1.8 0.7 2.3 -20.0 -1.5 12.0 20.0 17.4 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 15.9 4.7 -11.9 1.5 0.8 -0.4 4.7 3.5 4.6 8.0 -4.2 13.5 9.2 12.5 -1.0 20.0 20.0 20.0 20.0 4.9 1.8 18.6 11.4 14.8 -5.4 -0.0 -0.3 3.7 -1.1 6.4 3.7 4.0 20.0 17.3 2.2 -7.3 -3.3 GASOILINE 20.0 14.6 -8.6 1.5 0.8 -0.4 4.7 3.5 4.6 6.5 -7.8 13.0 3.1 13.5 7.2 -20.0 9.9 -20.0 -5.9 11.1 2.4 20.0 6.6 20.0 -10.9 -0.0 5.0 1.3 2.7 5.0 4.0 6.7 -12.4 10.6 20.0 20.0 18.6 GAS_US -20.0 -20.0 -20.0 1.5 0.8 -0.4 4.7 3.5 4.6 -12.3 -15.0 -15.1 -7.1 -16.4 -16.4 14.7 -1.7 10.2 2.9 -20.0 -20.0 -17.9 -12.8 -20.0 -2.7 -0.0 -5.9 -2.5 -3.6 -3.4 0.8 -5.4 -19.0 -20.0 -20.0 -20.0 -20.0 GBP 7.5 10.8 19.5 4.6 4.4 1.8 5.0 -1.8 5.3 12.2 8.8 14.5 -4.0 10.8 13.8 -2.2 -1.7 -2.1 -2.0 14.5 7.6 12.7 -6.3 13.7 13.3 -0.0 4.8 3.5 0.2 4.8 -6.1 5.4 0.6 -1.3 -3.0 -4.6 -0.8 GOLD_micro 20.0 20.0 20.0 4.6 4.5 2.7 6.7 1.2 6.2 13.9 8.5 15.4 -4.3 16.1 16.2 -12.2 -9.2 -11.4 -10.7 20.0 16.2 20.0 2.1 20.0 6.0 -0.0 6.0 4.3 3.3 5.9 0.7 6.8 -14.2 -6.1 0.8 5.1 3.5 HEATOIL 12.8 4.9 -10.9 1.5 0.8 -0.4 4.7 3.5 4.6 4.1 -4.5 10.7 8.4 11.6 2.2 20.0 20.0 20.0 20.0 5.1 2.1 17.0 11.6 14.3 -16.1 -0.0 3.3 1.7 2.2 6.3 7.2 6.4 20.0 12.4 12.0 4.1 7.2 JPY 5.3 20.0 20.0 4.6 4.4 1.8 5.0 -1.8 5.3 -2.7 6.6 5.5 -8.3 11.3 14.0 -11.5 -10.7 -11.7 -11.8 17.7 8.4 3.6 -8.4 13.2 5.9 -0.0 5.3 -0.5 2.2 0.9 -4.0 3.8 -15.6 -6.4 -11.0 9.7 4.9 LEANHOG -20.0 -13.8 -3.3 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -7.4 -1.8 -13.6 -2.3 -13.9 -4.6 -20.0 4.0 -20.0 -13.8 -15.0 -6.6 -18.2 0.2 -20.0 -9.2 -0.0 -5.1 -2.5 -2.6 -5.6 -0.4 -6.8 -18.4 -20.0 -20.0 -13.9 4.8 LIVECOW -5.9 5.0 9.4 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 12.3 11.6 -0.1 2.2 5.0 10.4 -20.0 -20.0 -20.0 -20.0 5.7 7.4 2.9 3.9 1.8 -20.0 -0.0 5.6 6.5 5.6 4.1 4.2 4.3 -20.0 8.3 14.1 19.0 20.0 MXP 20.0 12.2 11.4 4.6 4.4 1.8 5.0 -1.8 5.3 6.3 15.1 12.1 15.2 14.0 14.6 20.0 20.0 20.0 20.0 20.0 20.0 14.4 18.7 20.0 -20.0 -0.0 6.2 2.0 5.5 3.4 4.4 5.4 20.0 -6.3 1.6 -2.7 9.8 NASDAQ 19.1 -0.9 -0.2 3.8 4.0 1.5 5.5 -0.4 5.6 11.0 -10.0 14.0 -12.9 4.8 0.2 -5.8 -3.8 -5.3 -4.8 0.8 -8.9 19.0 -14.8 11.8 8.7 -0.0 2.7 6.5 -1.4 8.0 -3.6 6.4 -2.7 2.2 -7.7 -8.7 -16.9 NIKKEI 15.6 -16.8 -3.1 3.8 4.0 1.5 5.5 -0.4 5.6 13.9 -4.1 13.5 -1.1 -3.0 -6.2 20.0 12.0 16.9 14.2 -4.0 -4.8 20.0 -2.1 6.6 7.0 -0.0 -1.9 10.0 -3.0 7.9 -2.3 2.5 20.0 4.4 -20.0 -20.0 -20.0 NZD 3.9 12.8 20.0 4.6 4.4 1.8 5.0 -1.8 5.3 9.6 10.1 14.1 -3.8 12.6 14.4 0.6 0.5 0.2 0.1 16.4 10.4 13.3 -2.6 14.1 -0.5 -0.0 5.7 3.1 3.1 4.2 -1.1 5.1 4.2 -3.1 1.1 3.0 9.0 OAT 20.0 -1.4 7.3 2.6 1.6 -1.2 4.3 -5.0 4.9 -7.0 -8.2 8.7 -12.1 3.0 0.7 12.3 12.9 13.0 13.5 0.0 -9.5 7.3 -19.2 7.4 7.0 -0.0 1.2 -0.0 -3.2 2.8 -8.8 3.5 20.0 -8.5 -1.8 -13.0 -1.4 OJ -0.7 8.9 20.0 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -11.2 14.3 -4.2 14.7 8.6 12.0 19.6 13.7 17.6 16.8 13.7 20.0 -3.4 20.0 2.4 -20.0 -0.0 6.0 -1.3 11.0 -0.6 14.3 2.1 10.5 -5.8 15.4 15.3 20.0 PALLAD 1.1 -9.3 -14.4 4.6 4.5 2.7 6.7 1.2 6.2 -11.4 -12.7 -10.6 -10.3 -9.7 -13.2 -2.5 -1.5 -2.0 -1.8 -13.4 -14.3 -8.0 -11.8 -9.6 9.3 -0.0 -3.8 -3.0 -4.5 -1.2 -3.5 -1.6 0.0 -20.0 -20.0 -20.0 -20.0 PLAT -1.1 5.1 19.6 4.6 4.5 2.7 6.7 1.2 6.2 -6.7 12.0 -4.7 2.8 3.8 11.4 -1.9 -0.7 -1.2 -0.8 10.9 12.3 -2.9 6.1 2.9 -3.4 -0.0 5.9 -0.3 5.6 1.0 2.1 3.3 1.6 -20.0 -20.0 -13.0 5.7 REDWHEAT -3.0 -7.0 -14.0 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 2.2 -14.0 -6.1 -8.3 -8.2 -12.9 4.4 1.3 4.3 3.2 -12.5 -13.3 -2.7 -6.1 -7.7 -1.5 -0.0 -5.0 0.8 -3.8 -1.7 1.2 -3.5 -12.3 5.5 -3.6 -8.4 -6.4 ROBUSTA 20.0 18.6 -16.9 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 14.0 -9.3 15.1 -6.7 14.4 -4.5 15.0 9.6 13.6 11.5 2.5 -7.1 18.4 -5.7 13.1 -2.9 -0.0 -1.4 8.1 -4.3 6.6 -2.9 3.1 1.7 20.0 9.1 15.0 -20.0 RUSSELL 20.0 1.7 6.7 3.8 4.0 1.5 5.5 -0.4 5.6 12.0 -2.6 13.9 -10.3 9.9 7.9 -5.2 -3.0 -4.8 -4.2 6.5 -0.3 13.9 -6.5 12.9 -2.2 -0.0 4.0 4.0 1.2 5.8 -0.8 6.2 -1.5 -5.3 -6.6 -7.1 -7.4 SILVER-mini -7.6 11.6 20.0 4.6 4.5 2.7 6.7 1.2 6.2 -4.7 11.4 -1.7 -0.9 9.4 13.9 -4.8 -3.7 -4.5 -4.3 13.7 13.3 -0.1 3.3 5.1 6.0 -0.0 5.4 1.1 4.6 1.2 0.2 2.7 -4.1 -20.0 -20.0 -6.3 7.1 SOYBEAN -19.1 -4.2 1.6 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -12.0 0.4 -14.4 4.6 -11.3 -1.9 20.0 20.0 20.0 20.0 -5.3 0.9 -20.0 6.3 -15.6 -20.0 -0.0 -1.0 -8.1 2.5 -10.0 6.4 -6.2 20.0 -20.0 -7.7 2.9 13.0 SOYMEAL -3.5 16.2 14.8 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -7.3 11.6 -4.9 11.9 10.2 12.6 20.0 16.1 18.8 17.2 17.3 18.1 -3.8 14.0 6.8 -20.0 -0.0 5.4 -0.8 5.9 -1.0 5.4 2.0 12.4 -10.4 16.4 20.0 20.0 SOYOIL -7.2 -10.8 -4.7 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -13.6 -1.4 -13.5 4.2 -7.4 -8.0 3.2 18.5 9.9 14.7 -9.1 -3.5 -13.0 6.1 -10.6 -12.0 -0.0 -3.7 -6.5 -0.4 -5.3 4.0 -4.8 13.0 -13.9 -8.8 -20.0 9.7 SP400 17.6 3.3 12.2 3.8 4.0 1.5 5.5 -0.4 5.6 11.6 5.3 13.5 -4.1 10.7 11.2 -5.1 -2.5 -3.9 -3.1 10.3 5.4 13.2 -0.2 13.5 -5.8 -0.0 4.7 4.1 2.6 5.5 1.0 5.9 0.0 -7.9 -10.4 -8.0 -1.6 SP500 12.9 0.1 6.7 3.8 4.0 1.5 5.5 -0.4 5.6 12.2 -2.5 13.3 -8.2 3.2 5.9 -6.1 -4.0 -5.6 -4.9 4.1 -1.6 11.7 -6.4 8.7 3.7 -0.0 3.4 5.2 0.2 6.1 -2.6 5.4 -2.9 -9.5 -15.8 -11.0 -8.5 SUGAR11 -13.6 -0.2 14.5 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 7.0 7.0 4.9 4.8 -2.5 6.2 20.0 20.0 20.0 20.0 6.1 9.1 4.9 7.3 2.3 -20.0 -0.0 5.3 2.9 6.2 1.0 4.6 2.1 20.0 2.3 -0.2 20.0 20.0 US10 16.1 15.3 15.5 2.6 1.6 -1.2 4.3 -5.0 4.9 -2.2 -5.0 9.3 -11.3 9.7 10.5 -8.7 -1.7 -7.9 -5.9 7.5 -4.0 7.6 -17.3 10.8 -3.0 -0.0 3.9 0.9 -0.9 3.5 -6.7 5.1 -7.1 -5.4 -13.2 2.0 2.7 US10U 15.5 13.9 14.5 2.6 1.6 -1.2 4.3 -5.0 4.9 -0.0 -5.0 9.9 -11.3 9.7 10.1 0.7 4.2 0.8 1.6 6.6 -4.3 7.3 -17.1 9.9 -5.6 -0.0 4.3 1.1 -0.1 3.5 -5.3 5.2 4.4 -4.4 -7.8 5.1 3.7 US20 13.9 15.4 15.0 2.6 1.6 -1.2 4.3 -5.0 4.9 1.0 -3.4 10.4 -10.4 9.7 10.7 -8.3 0.1 -4.8 -2.3 7.4 -3.9 8.2 -16.6 10.5 -4.3 -0.0 3.5 1.4 -0.8 3.5 -5.6 4.5 -2.2 -1.1 -16.1 2.6 -0.9 US30 13.5 13.4 19.5 2.6 1.6 -1.2 4.3 -5.0 4.9 -1.1 -3.1 9.8 -11.9 6.3 8.6 -1.4 -0.0 -1.2 -0.9 6.2 -4.8 7.0 -18.4 9.1 -5.7 -0.0 3.9 1.1 -0.1 3.2 -5.2 4.6 -1.4 -3.7 -11.3 6.8 0.3 US5 15.1 16.6 15.7 2.6 1.6 -1.2 4.3 -5.0 4.9 -5.1 -5.0 8.1 -11.7 8.9 10.4 -9.4 -0.9 -7.4 -5.5 7.5 -4.6 7.1 -19.1 10.8 -1.1 -0.0 3.8 0.4 -1.2 2.8 -8.0 4.8 -6.1 -9.4 -15.9 3.4 2.9 VIX -20.0 -17.4 -20.0 -5.1 -4.3 -4.1 -5.0 -2.8 -5.3 -13.3 -15.6 -15.1 -13.3 -15.8 -16.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -15.9 -20.0 NaN -0.0 -6.5 -4.5 -5.5 -5.2 -3.7 -6.0 NaN NaN NaN NaN NaN WHEAT -4.2 -7.4 -18.2 -4.5 -1.6 -4.7 -4.4 -1.9 -4.5 -1.4 -15.4 -10.9 -11.8 -12.0 -14.2 -9.4 -5.5 -7.8 -6.5 -16.8 -19.0 -7.6 -11.7 -11.6 2.1 -0.0 -5.3 -1.9 -4.6 -3.8 -0.5 -4.4 -20.0 -8.5 -6.5 -8.2 -9.2 End of report for caleb_strategy_v1