******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230126_204305 produced at 2023-01-26 21:35:36.370816 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 7320456.47 -7320456.47 -0.23 -0.25 -34.60 999999999 -32 -34 caleb_strategy_v1 LIVECOW False False 0.02 -0.13 -0.13 0.0 21862628.36 -21862628.36 -0.13 -0.13 -6.06 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 32554750.89 -32554750.89 -0.13 -0.13 -3.72 999999999 -4 -4 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.10 0.0 46484898.57 -46484898.57 -0.09 -0.09 -2.09 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.05 -0.09 0.0 11838710.30 -11838710.30 -0.05 -0.05 -7.18 999999999 -4 -4 caleb_strategy_v1 US5 False False 0.04 -0.19 -0.07 0.0 37264634.69 -37264634.69 -0.19 -0.19 -1.88 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 39102728.95 -39102728.95 0.00 0.00 -1.41 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 -1.82 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 0.00 -0.04 0.0 44401547.74 -44401547.74 0.00 0.00 -0.92 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.04 0.0 32878212.92 -32878212.92 -0.10 -0.13 -1.21 999999999 -3 -4 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.02 0.0 9039912.52 -9039912.52 -0.02 -0.02 -2.47 999999999 -2 -2 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 48519304.50 -48519304.50 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 39452016.87 -39452016.87 0.00 0.00 -0.51 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.01 0.0 69178313.63 -69178313.63 0.00 0.00 -0.09 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13308760.10 -13308760.10 -0.03 -0.03 -0.61 999999999 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3236833.46 -3236833.46 0.00 0.00 -2.35 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.01 0.0 82111687.53 -82111687.53 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5777372.34 -5777372.34 0.00 0.00 -1.71 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.01 0.0 54258116.05 -54258116.05 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 17477164.21 -17477164.21 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4111567.94 -4111567.94 0.00 0.00 0.39 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 9625549.04 -9625549.04 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 56895268.64 -56895268.64 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14983101.72 -14983101.72 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.00 0.0 6630631.13 -6630631.13 -0.02 -0.02 -0.19 999999999 -3 -3 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14564303.51 -14564303.51 -0.01 -0.01 -0.25 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 88904390.16 -88904390.16 0.00 0.00 -0.01 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21386798.69 -21386798.69 0.00 0.00 -0.16 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12447499.89 -12447499.89 0.00 0.00 0.01 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 6796107.49 -6796107.49 0.01 0.01 0.75 999999999 1 1 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46478514.45 -46478514.45 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.01 0.0 7379020.12 -7379020.12 0.01 0.01 1.86 999999999 2 2 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10040091.17 -10040091.17 0.03 0.03 0.89 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 5636407.55 -5636407.55 0.01 0.01 2.05 999999999 2 2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20652625.01 -20652625.01 0.00 0.00 0.54 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.01 0.0 10490384.36 -10490384.36 0.00 0.00 0.50 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 792311.73 -792311.73 0.00 0.00 16.59 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 24259652.25 -24259652.25 0.00 0.00 0.66 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 25539880.92 -25539880.92 0.00 0.00 0.78 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 22104373.67 -22104373.67 0.04 0.04 0.85 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.08 0.02 0.0 26354153.95 -26354153.95 0.08 0.08 0.89 999999999 3 3 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8985434.71 -8985434.71 0.03 0.03 3.46 999999999 3 3 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36423527.01 -36423527.01 0.07 0.07 0.91 999999999 2 2 caleb_strategy_v1 GBP False False 0.03 0.08 0.03 0.0 26432380.75 -26432380.75 0.08 0.13 1.15 999999999 3 5 caleb_strategy_v1 EUROSTX False False 0.02 0.05 0.04 0.0 15527742.93 -15527742.93 0.05 0.05 2.37 999999999 3 3 caleb_strategy_v1 US10U False False 0.04 0.00 0.04 0.0 41390371.60 -41390371.60 0.00 0.00 1.04 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 42801400.28 -42801400.28 0.04 0.04 0.91 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.15 0.05 0.0 49160062.91 -49160062.91 0.15 0.15 1.08 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.06 0.0 26738392.86 -26738392.86 0.08 0.08 2.25 999999999 3 3 caleb_strategy_v1 SOYBEAN False False 0.02 0.05 0.06 0.0 23025389.24 -23025389.24 0.05 0.02 2.71 999999999 2 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 15754303.29 -15754303.29 0.08 0.08 4.59 999999999 5 5 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.08 0.0 32295130.05 -32295130.05 0.03 0.03 2.34 999999999 1 1 caleb_strategy_v1 HEATOIL False False 0.04 0.13 0.08 0.0 43491887.39 -43491887.39 0.13 0.13 1.74 999999999 3 3 caleb_strategy_v1 BOBL False False 0.04 0.09 0.16 0.0 43631919.48 -43631919.48 0.09 0.09 3.65 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.21 0.0 51117715.32 -51117715.32 0.10 0.10 4.05 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.33 0.0 0.00 0.00 0.00 0.00 45.67 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 16.0 Shocked risk 47.0 Sum abs risk 42.2 Leverage 2.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2936975.32, 'annual_cash_vol_target': 734243.83, 'daily_cash_vol_target': 45890.239375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.7125 0.7309 11.6942 BITCOIN 754.6621 23270.0000 3.2431 51.8891 BOBL 0.3351 117.6800 0.2847 4.5558 BTP 0.9001 115.4400 0.7797 12.4759 BUND 0.7475 137.8700 0.5422 8.6749 BUXL 1.9757 146.3400 1.3501 21.6014 CAC 60.7748 7108.0000 0.8550 13.6803 CAD 0.0037 0.7501 0.4922 7.8758 CANOLA 8.0116 805.0000 0.9952 15.9236 CHF 0.0057 1.0922 0.5232 8.3706 COCOA 35.9933 2655.0000 1.3557 21.6909 COFFEE 0.0355 1.6750 2.1164 33.8631 COPPER 0.0452 4.2790 1.0567 16.9079 CORN 4.7810 589.7500 0.8107 12.9710 COTTON2 0.0166 0.8801 1.8849 30.1590 CRUDE_W 1.1725 78.5300 1.4931 23.8898 DAX 126.9648 15202.0000 0.8352 13.3630 DOW 290.3028 33936.0000 0.8554 13.6871 EUR 0.0052 1.0920 0.4788 7.6604 EUROSTX 40.4082 4188.0000 0.9649 15.4377 FEEDCOW 1.2102 191.2250 0.6329 10.1258 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.3386 948.5000 2.0389 32.6218 GASOILINE 0.0504 2.7588 1.8279 29.2469 GAS_US 0.1867 2.8270 6.6048 105.6767 GBP 0.0077 1.2421 0.6211 9.9373 GOLD_micro 14.8235 1947.4000 0.7612 12.1791 HEATOIL 0.0580 3.0413 1.9058 30.4922 JPY 0.0001 0.0077 0.8658 13.8531 LEANHOG 1.3023 86.9250 1.4982 23.9708 LIVECOW 0.8222 160.5250 0.5122 8.1947 MXP 0.0003 0.0528 0.6055 9.6879 NASDAQ 150.8464 12058.0000 1.2510 20.0161 NIKKEI 263.4471 27455.0000 0.9596 15.3530 NZD 0.0046 0.6492 0.7156 11.4494 OAT 0.7965 132.5900 0.6007 9.6114 OJ 0.0220 2.0540 1.0689 17.1030 PALLAD 38.6516 1671.0000 2.3131 37.0093 PLAT 17.6053 1026.6000 1.7149 27.4387 REDWHEAT 13.7384 855.5000 1.6059 25.6942 ROBUSTA 24.5460 1996.0000 1.2298 19.6761 RUSSELL 22.1186 1901.3000 1.1633 18.6134 SILVER-mini 0.3919 24.2625 1.6153 25.8446 SOYBEAN 10.4089 1352.5000 0.7696 12.3137 SOYMEAL 5.8120 462.7000 1.2561 20.0977 SOYOIL 0.8063 60.9300 1.3234 21.1741 SP400 27.3396 2611.1000 1.0471 16.7529 SP500 39.7372 4063.5000 0.9779 15.6465 SUGAR11 0.0025 0.1935 1.3069 20.9096 US10 0.5221 114.8438 0.4547 7.2745 US10U 0.7199 121.5625 0.5922 9.4752 US20 1.0255 130.4062 0.7864 12.5816 US30 1.6278 142.5000 1.1423 18.2766 US5 0.3415 109.4453 0.3120 4.9925 VIX 0.4999 21.5000 2.3249 37.1992 WHEAT 10.7958 781.7500 1.3810 22.0956 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 712.50 0.73 520.76 1.00 520.76 45890.24 88.12 4.69 41.35 BITCOIN 23.27 3.24 75.47 1.00 75.47 45890.24 608.09 11.58 703.95 BOBL 1176.80 0.28 335.08 1.09 365.74 45890.24 125.47 4.03 50.55 BTP 1154.40 0.78 900.14 1.09 982.51 45890.24 46.71 9.60 44.86 BUND 1378.70 0.54 747.51 1.09 815.91 45890.24 56.24 9.97 56.09 BUXL 1463.40 1.35 1975.72 1.09 2156.52 45890.24 21.28 -1.26 -2.69 CAC 710.80 0.86 607.75 1.09 663.36 45890.24 69.18 4.56 31.53 CAD 750.10 0.49 369.23 1.00 369.23 45890.24 124.29 3.52 43.70 CANOLA 161.00 1.00 160.23 0.75 119.78 45890.24 383.11 1.10 42.08 CHF 1365.25 0.52 714.25 1.00 714.25 45890.24 64.25 -8.71 -55.94 COCOA 265.50 1.36 359.93 1.00 359.93 45890.24 127.50 -8.89 -113.40 COFFEE 628.12 2.12 1329.39 1.00 1329.39 45890.24 34.52 -3.48 -12.00 COPPER 1069.75 1.06 1130.45 1.00 1130.45 45890.24 40.59 8.17 33.19 CORN 294.88 0.81 239.05 1.00 239.05 45890.24 191.97 5.14 98.62 COTTON2 440.05 1.88 829.47 1.00 829.47 45890.24 55.32 1.85 10.21 CRUDE_W 785.30 1.49 1172.54 1.00 1172.54 45890.24 39.14 4.34 17.00 DAX 152.02 0.84 126.96 1.09 138.58 45890.24 331.14 1.14 37.66 DOW 169.68 0.86 145.15 1.00 145.15 45890.24 316.15 -1.90 -59.95 EUR 1365.06 0.48 653.56 1.00 653.56 45890.24 70.22 0.63 4.43 EUROSTX 418.80 0.96 404.08 1.09 441.06 45890.24 104.05 8.10 84.26 FEEDCOW 956.12 0.63 605.10 1.00 605.10 45890.24 75.84 -18.23 -138.25 FTSE100 707.00 0.82 576.59 1.24 666.67 45890.24 68.83 -2.56 -17.64 GASOIL 948.50 2.04 1933.86 1.00 1933.86 45890.24 23.73 13.81 32.78 GASOILINE 1158.70 1.83 2118.01 1.00 2118.01 45890.24 21.67 -5.73 -12.41 GAS_US 282.70 6.60 1867.18 1.00 1867.18 45890.24 24.58 -11.50 -28.27 GBP 776.31 0.62 482.16 1.00 482.16 45890.24 95.18 6.79 64.62 GOLD_micro 194.74 0.76 148.24 1.00 148.24 45890.24 309.58 -0.28 -8.53 HEATOIL 1277.35 1.91 2434.32 1.00 2434.32 45890.24 18.85 12.94 24.40 JPY 965.62 0.87 836.05 1.00 836.05 45890.24 54.89 -3.40 -18.66 LEANHOG 347.70 1.50 520.92 1.00 520.92 45890.24 88.10 -17.45 -153.76 LIVECOW 642.10 0.51 328.86 1.00 328.86 45890.24 139.54 -16.15 -225.42 MXP 263.90 0.61 159.79 1.00 159.79 45890.24 287.19 9.85 282.94 NASDAQ 2411.60 1.25 3016.93 1.00 3016.93 45890.24 15.21 -0.84 -1.27 NIKKEI 27455.00 0.96 26344.71 0.01 203.40 45890.24 225.61 10.66 240.44 NZD 649.20 0.72 464.56 1.00 464.56 45890.24 98.78 5.41 53.47 OAT 1325.90 0.60 796.49 1.09 869.37 45890.24 52.79 10.13 53.47 OJ 308.10 1.07 329.34 1.00 329.34 45890.24 139.34 2.04 28.41 PALLAD 1671.00 2.31 3865.16 1.00 3865.16 45890.24 11.87 -2.51 -2.97 PLAT 513.30 1.71 880.27 1.00 880.27 45890.24 52.13 1.65 8.61 REDWHEAT 427.75 1.61 686.92 1.00 686.92 45890.24 66.81 -6.89 -46.01 ROBUSTA 199.60 1.23 245.46 1.00 245.46 45890.24 186.96 3.11 58.12 RUSSELL 95.06 1.16 110.59 1.00 110.59 45890.24 414.95 -1.10 -45.46 SILVER-mini 606.56 1.62 979.77 1.00 979.77 45890.24 46.84 5.16 24.16 SOYBEAN 676.25 0.77 520.45 1.00 520.45 45890.24 88.17 5.21 45.95 SOYMEAL 462.70 1.26 581.20 1.00 581.20 45890.24 78.96 9.87 77.90 SOYOIL 365.58 1.32 483.80 1.00 483.80 45890.24 94.85 0.06 0.57 SP400 2611.10 1.05 2733.96 1.00 2733.96 45890.24 16.79 -0.08 -0.13 SP500 2031.75 0.98 1986.86 1.00 1986.86 45890.24 23.10 -1.34 -3.09 SUGAR11 216.72 1.31 283.22 1.00 283.22 45890.24 162.03 8.47 137.29 US10 1148.44 0.45 522.14 1.00 522.14 45890.24 87.89 -4.20 -36.87 US10U 1215.62 0.59 719.89 1.00 719.89 45890.24 63.75 1.12 7.11 US20 1304.06 0.79 1025.45 1.00 1025.45 45890.24 44.75 -2.80 -12.54 US30 1425.00 1.14 1627.76 1.00 1627.76 45890.24 28.19 -1.44 -4.06 US5 1094.45 0.31 341.50 1.00 341.50 45890.24 134.38 -3.64 -48.98 VIX 215.00 2.32 499.86 1.00 499.86 45890.24 91.81 -20.00 -183.61 WHEAT 390.88 1.38 539.79 1.00 539.79 45890.24 85.02 -13.41 -114.04 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 41.348 0.006 2.5 0.661 BITCOIN 703.948 0.009 2.5 16.586 BOBL 50.546 0.029 2.5 3.647 BTP 44.855 0.008 2.5 0.906 BUND 56.087 0.029 2.5 4.047 BUXL -2.685 0.034 2.5 -0.225 CAC 31.533 0.011 2.5 0.886 CAD 43.700 0.007 2.5 0.780 CANOLA 42.085 0.004 2.5 0.386 CHF -55.945 0.015 2.5 -2.094 COCOA -113.397 0.009 2.5 -2.470 COFFEE -12.002 0.005 2.5 -0.156 COPPER 33.186 0.011 2.5 0.907 CORN 98.625 0.004 2.5 0.890 COTTON2 10.213 0.006 2.5 0.154 CRUDE_W 17.000 0.053 2.5 2.246 DAX 37.657 0.022 2.5 2.045 DOW -59.950 0.011 2.5 -1.708 EUR 4.427 0.015 2.5 0.166 EUROSTX 84.256 0.011 2.5 2.369 FEEDCOW -138.253 0.011 2.5 -3.715 FTSE100 -17.643 0.041 2.5 -1.819 GASOIL 32.781 0.029 2.5 2.338 GASOILINE -12.414 0.016 2.5 -0.510 GAS_US -28.267 0.006 2.5 -0.426 GBP 64.617 0.007 2.5 1.154 GOLD_micro -8.533 0.009 2.5 -0.191 HEATOIL 24.399 0.029 2.5 1.740 JPY -18.659 0.026 2.5 -1.208 LEANHOG -153.763 0.019 2.5 -7.184 LIVECOW -225.415 0.011 2.5 -6.057 MXP 282.939 0.005 2.5 3.464 NASDAQ -1.275 0.022 2.5 -0.069 NIKKEI 240.438 0.076 2.5 45.667 NZD 53.471 0.006 2.5 0.854 OAT 53.470 0.008 2.5 1.080 OJ 28.412 0.007 2.5 0.496 PALLAD -2.975 0.010 2.5 -0.072 PLAT 8.612 0.010 2.5 0.207 REDWHEAT -46.009 0.002 2.5 -0.246 ROBUSTA 58.124 0.005 2.5 0.754 RUSSELL -45.459 0.021 2.5 -2.355 SILVER-mini 24.163 0.009 2.5 0.541 SOYBEAN 45.948 0.024 2.5 2.709 SOYMEAL 77.896 0.024 2.5 4.593 SOYOIL 0.568 0.004 2.5 0.005 SP400 -0.129 0.021 2.5 -0.007 SP500 -3.092 0.011 2.5 -0.088 SUGAR11 137.286 0.005 2.5 1.863 US10 -36.875 0.015 2.5 -1.415 US10U 7.114 0.058 2.5 1.036 US20 -12.544 0.029 2.5 -0.925 US30 -4.060 0.034 2.5 -0.341 US5 -48.978 0.015 2.5 -1.879 VIX -183.611 0.075 2.5 -34.601 WHEAT -114.040 0.002 2.5 -0.609 ==================== Position diags ==================== AUD 1.41 BITCOIN 14.33 BOBL 9.05 BTP 0.94 BUND 4.06 BUXL 1.79 CAC 1.94 CAD 2.22 CANOLA 3.52 CHF 2.40 COCOA 2.78 COFFEE 0.45 COPPER 1.11 CORN 1.73 COTTON2 0.83 CRUDE_W 5.17 DAX 17.98 DOW 9.01 EUR 2.63 EUROSTX 2.92 FEEDCOW 2.04 FTSE100 7.10 GASOIL 1.69 GASOILINE 0.89 GAS_US 0.37 GBP 1.70 GOLD_micro 6.93 HEATOIL 1.34 JPY 3.55 LEANHOG 4.12 LIVECOW 3.75 MXP 3.52 NASDAQ 0.83 NIKKEI 42.85 NZD 1.58 OAT 1.07 OJ 2.43 PALLAD 0.29 PLAT 1.25 REDWHEAT 0.36 ROBUSTA 2.42 RUSSELL 21.49 SILVER-mini 1.05 SOYBEAN 5.20 SOYMEAL 4.66 SOYOIL 0.87 SP400 0.87 SP500 0.66 SUGAR11 2.20 US10 3.37 US10U 9.29 US20 3.30 US30 2.37 US5 5.16 VIX 17.30 WHEAT 0.45 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.5 0.8 0.0 0 BITCOIN 16.6 15.2 18.0 NaN 0 BOBL 3.6 2.7 4.6 2.0 2 BTP 0.9 0.8 1.0 1.0 1 BUND 4.0 3.6 4.5 2.0 2 BUXL -0.2 -0.4 -0.0 0.0 0 CAC 0.9 0.7 1.1 3.0 3 CAD 0.8 0.6 1.0 0.0 0 CANOLA 0.4 0.0 0.7 NaN 0 CHF -2.1 -2.3 -1.9 -2.0 -2 COCOA -2.5 -2.7 -2.2 -2.0 -2 COFFEE -0.2 -0.2 -0.1 NaN 0 COPPER 0.9 0.8 1.0 2.0 2 CORN 0.9 0.7 1.1 3.0 3 COTTON2 0.2 0.1 0.2 NaN 0 CRUDE_W 2.2 1.7 2.8 3.0 3 DAX 2.0 0.2 3.8 2.0 2 DOW -1.7 -2.6 -0.8 0.0 0 EUR 0.2 -0.1 0.4 0.0 0 EUROSTX 2.4 2.1 2.7 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 2.2 2.5 1.0 1 GASOILINE -0.5 -0.6 -0.4 0.0 0 GAS_US -0.4 -0.5 -0.4 0.0 0 GBP 1.2 1.0 1.3 3.0 3 GOLD_micro -0.2 -0.9 0.5 -3.0 -3 HEATOIL 1.7 1.6 1.9 3.0 3 JPY -1.2 -1.6 -0.9 -3.0 -3 LEANHOG -7.2 -7.6 -6.8 -4.0 -4 LIVECOW -6.1 -6.4 -5.7 -6.0 -6 MXP 3.5 3.1 3.8 3.0 3 NASDAQ -0.1 -0.2 0.0 0.0 0 NIKKEI 45.7 41.4 50.0 0.0 0 NZD 0.9 0.7 1.0 2.0 2 OAT 1.1 1.0 1.2 3.0 3 OJ 0.5 0.3 0.7 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.2 0.1 0.3 NaN 0 REDWHEAT -0.2 -0.3 -0.2 -1.0 -1 ROBUSTA 0.8 0.5 1.0 1.0 1 RUSSELL -2.4 -4.5 -0.2 0.0 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 2.7 2.2 3.2 2.0 2 SOYMEAL 4.6 4.1 5.1 5.0 5 SOYOIL 0.0 -0.1 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 1.6 2.1 2.0 2 US10 -1.4 -1.8 -1.1 NaN 0 US10U 1.0 0.1 2.0 0.0 0 US20 -0.9 -1.3 -0.6 0.0 0 US30 -0.3 -0.6 -0.1 0.0 0 US5 -1.9 -2.4 -1.4 -5.0 -5 VIX -34.6 -36.3 -32.9 -32.0 -32 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 -0.1 0.0 -0.4 0.1 0.2 -0.0 -0.0 0.0 0.0 0.2 -0.1 0.0 -0.3 0.0 4.4 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 0.0 0.2 0.1 -0.3 BOBL 0.2 -0.0 -0.1 0.0 0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.3 0.0 -0.3 0.0 -0.1 -0.8 0.4 -0.0 0.1 -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 2.1 -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 -0.1 -0.3 -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 0.4 0.1 0.1 0.1 0.4 -0.3 0.1 -0.1 -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 0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.2 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 -0.1 -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 1.5 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.3 -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 -1.3 -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 0.0 -0.0 -0.0 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 -2.7 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 -2.7 -0.0 0.3 0.3 0.3 COFFEE -0.0 0.1 -0.3 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 -0.1 0.1 0.0 0.1 -0.2 -0.2 0.0 -0.2 -0.0 1.9 -0.0 -0.0 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 1.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.3 -0.3 0.2 0.2 0.2 CORN -0.1 -0.1 -0.2 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -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 -1.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.2 -0.0 -0.4 -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 0.4 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 0.1 0.2 0.8 0.5 0.2 0.2 0.1 0.0 0.0 0.1 0.0 -1.1 -0.0 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 0.1 0.0 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 -0.6 -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 -0.1 0.1 0.2 0.2 EUROSTX 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 0.8 0.2 0.2 0.1 0.2 0.2 0.0 0.1 0.0 -2.0 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 1.8 -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 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.1 -1.6 -0.8 -0.4 -0.4 -0.0 0.0 -0.0 -0.0 -0.0 -3.4 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 -2.7 -0.0 0.1 0.3 0.3 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 0.1 -0.1 -0.1 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 -1.4 -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 1.1 -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 -2.6 -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 -0.0 -0.1 -0.0 GOLD_micro 0.2 0.3 0.4 0.1 0.0 0.1 0.1 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 0.0 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 -0.2 -0.3 0.1 0.1 LEANHOG -0.2 -0.2 -0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -1.6 0.1 -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 -2.7 -0.1 -0.4 -0.2 0.1 LIVECOW -0.1 0.1 0.1 -0.1 0.0 -0.1 0.0 -0.0 -0.0 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 0.2 0.2 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.4 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 0.0 0.0 0.1 -0.0 0.1 0.1 -0.2 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 -0.3 0.2 -0.1 -0.1 -0.2 NIKKEI 0.2 -0.3 -0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -0.1 0.1 -0.0 -0.0 -0.1 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 0.2 -0.4 -0.3 -0.3 NZD 0.1 0.2 0.3 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.3 0.0 -0.1 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 -0.1 -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 1.5 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 -0.2 -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 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 1.8 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.3 -0.3 PLAT -0.1 0.1 0.3 0.1 0.0 0.1 0.1 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 0.1 -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 0.0 -0.0 -0.0 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 0.1 -0.0 -0.1 -0.1 ROBUSTA 0.2 0.3 -0.2 -0.1 0.0 -0.1 0.0 -0.0 -0.0 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 0.3 0.0 0.3 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 -0.2 -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 0.1 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 0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.1 1.6 0.8 0.4 0.4 -0.1 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 -0.2 0.0 0.2 SOYMEAL -0.0 0.2 0.2 -0.1 0.0 -0.1 0.0 -0.0 -0.0 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 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.2 0.2 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 1.7 -0.1 -0.3 -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 0.1 0.3 -0.3 -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 0.2 -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 -0.1 -0.1 SUGAR11 -0.1 -0.0 0.2 -0.1 0.0 -0.1 0.0 -0.0 -0.0 0.0 0.2 0.0 0.1 0.0 0.2 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 -0.0 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 -0.0 0.0 -0.2 0.0 -0.7 -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 -0.1 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 0.2 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 -0.8 -0.0 -0.2 -0.1 0.1 -0.1 0.0 -0.2 0.0 -0.1 -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 -1.0 -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 0.0 -0.0 -0.0 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 0.4 -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 17.2 16.3 17.1 4.6 4.0 1.9 4.9 -1.7 5.3 14.0 4.4 15.3 -4.7 15.4 15.1 -3.5 -2.3 -3.1 -2.8 16.7 6.6 20.0 -4.3 19.7 5.3 -0.0 5.4 6.4 1.9 6.1 -1.7 6.2 -0.6 3.2 9.2 1.3 -5.7 BITCOIN 20.0 20.0 20.0 4.6 2.9 2.7 5.8 1.3 6.0 13.7 -6.1 15.4 -15.2 15.3 8.2 -0.0 -0.4 0.9 0.6 13.9 -4.2 20.0 -20.0 20.0 20.0 -0.0 3.8 5.0 -0.3 7.5 -2.5 7.1 3.0 10.1 11.0 3.6 -20.0 BOBL 20.0 -2.2 -4.8 2.7 0.1 -1.1 3.4 -4.9 4.6 -11.3 -12.1 7.0 -13.4 0.2 -2.5 -10.0 9.9 -0.5 6.4 -6.2 -17.8 2.1 -20.0 2.6 12.5 -0.0 -0.8 -2.1 -5.9 0.9 -11.7 1.9 14.9 -9.6 -9.8 -17.0 -10.1 BTP 20.0 1.2 14.2 2.7 0.1 -1.1 3.4 -4.9 4.6 -10.2 -1.2 8.5 -10.4 6.7 7.3 9.8 14.1 12.7 14.6 7.1 -1.9 7.2 -14.3 11.1 -3.3 -0.0 3.2 -1.0 -0.4 2.5 -6.0 4.3 20.0 -5.6 0.8 -7.0 10.2 BUND 20.0 -0.2 1.9 2.7 0.1 -1.1 3.4 -4.9 4.6 -12.0 -10.5 7.4 -12.8 2.2 0.0 11.6 15.6 12.9 14.2 -2.9 -14.1 3.1 -20.0 4.6 8.5 -0.0 0.6 -2.0 -4.1 1.4 -9.5 2.8 20.0 -9.1 -4.7 -13.7 -6.0 BUXL 14.4 -6.2 6.3 2.7 0.1 -1.1 3.4 -4.9 4.6 -12.5 -8.0 6.0 -11.9 -2.3 -2.0 2.8 -0.3 3.9 2.9 -4.7 -11.7 -0.7 -20.0 -0.4 4.1 -0.0 0.0 -2.3 -3.1 0.2 -7.3 1.2 1.3 -12.8 -12.8 -18.0 -5.7 CAC 20.0 6.3 20.0 3.9 3.5 1.6 5.1 -0.3 5.5 11.3 14.2 14.3 4.8 14.5 15.5 -4.0 2.1 -2.3 -0.4 20.0 19.3 17.2 11.1 20.0 -13.2 -0.0 5.5 3.1 4.3 4.1 2.3 5.3 6.3 -2.8 -0.8 1.1 15.7 CAD 13.0 8.5 3.4 4.6 4.0 1.9 4.9 -1.7 5.3 12.2 -6.8 13.5 -9.8 12.0 5.7 -1.6 -1.1 -1.7 -1.6 3.4 -5.0 7.7 -10.7 7.6 15.2 -0.0 2.8 4.0 -2.2 4.1 -5.9 4.7 1.5 -15.0 -2.6 -14.2 -17.7 CANOLA -20.0 -4.9 -4.4 -4.1 7.2 -4.7 0.1 -1.9 -2.9 -9.8 -10.0 -13.7 -6.5 -9.3 -5.8 0.9 10.7 4.2 6.2 -12.2 -9.5 -20.0 -2.7 -20.0 6.6 -0.0 -4.5 -5.7 -2.6 -7.9 0.2 -6.8 -1.9 -20.0 -20.0 -5.7 -0.9 CHF -3.0 10.9 20.0 4.6 4.0 1.9 4.9 -1.7 5.3 2.2 12.6 7.4 0.4 10.2 14.7 -14.5 -12.6 -13.7 -13.4 13.0 10.8 4.4 1.5 8.1 -9.7 -0.0 5.5 0.9 3.6 2.0 -1.0 3.9 -18.4 -6.4 -11.9 -3.0 -1.6 COCOA -5.1 8.3 20.0 -4.1 7.2 -4.7 0.1 -1.9 -2.9 0.7 9.5 -6.7 -3.7 4.1 11.2 -4.5 -3.2 -2.5 -2.1 9.8 8.5 0.2 1.3 4.2 -17.4 -0.0 5.6 2.1 4.3 1.2 1.1 3.4 -20.0 -2.8 14.0 20.0 20.0 COFFEE -1.5 4.6 -20.0 -4.1 7.2 -4.7 0.1 -1.9 -2.9 14.0 -13.0 5.9 -10.7 -0.2 -11.8 -0.8 3.1 0.9 2.9 -13.8 -20.0 11.5 -15.5 -2.0 11.6 -0.0 -3.7 8.4 -6.8 4.7 -5.1 0.6 -10.2 20.0 -3.8 5.3 -20.0 COPPER 20.0 20.0 20.0 4.6 2.9 2.7 5.8 1.3 6.0 12.5 4.6 15.4 -4.7 15.8 15.4 -1.4 -0.3 -0.9 -0.5 20.0 17.1 20.0 -0.1 20.0 8.2 -0.0 6.0 1.7 3.5 4.0 0.8 6.1 2.2 -20.0 10.9 11.7 10.8 CORN -7.0 -7.9 -13.1 -4.1 7.2 -4.7 0.1 -1.9 -2.9 -8.6 0.7 -10.8 3.0 -10.1 -12.4 20.0 17.8 20.0 20.0 -7.9 -3.5 -8.6 7.9 -8.3 -7.4 -0.0 -5.6 -3.5 -3.3 -4.9 2.0 -5.5 15.8 -17.0 -19.8 -12.3 -9.7 COTTON2 9.7 11.1 -7.9 -4.1 7.2 -4.7 0.1 -1.9 -2.9 13.0 -9.0 12.8 -4.9 8.1 6.1 -1.3 12.9 1.7 7.1 0.9 -7.9 10.6 -5.1 7.6 -0.3 -0.0 2.9 5.2 -0.4 5.2 2.4 4.9 2.2 18.1 15.3 16.2 4.4 CRUDE_W 11.5 5.8 -0.1 1.6 0.8 -0.3 4.0 3.5 4.4 4.0 -4.2 12.1 2.0 11.9 7.9 9.5 12.4 8.5 9.9 5.8 1.3 9.4 5.1 10.4 -8.8 -0.0 4.4 1.5 2.5 4.5 5.1 6.0 0.0 -1.1 5.2 3.3 11.7 DAX 20.0 7.9 20.0 3.9 3.5 1.6 5.1 -0.3 5.5 6.9 13.4 13.8 0.0 14.3 15.4 -8.9 -3.7 -7.4 -5.7 20.0 18.9 14.8 5.8 20.0 -9.1 -0.0 5.4 1.6 4.3 3.2 1.1 4.9 -3.1 -11.5 0.1 -0.5 20.0 DOW 1.7 -3.7 17.6 3.9 3.5 1.6 5.1 -0.3 5.5 2.0 9.5 1.0 0.9 -1.7 10.2 -6.3 -3.1 -5.8 -4.9 6.4 7.3 3.4 2.8 2.8 -4.8 -0.0 4.0 4.4 3.3 3.9 1.4 3.6 -2.1 -14.5 -20.0 -15.5 4.8 EUR 6.8 20.0 20.0 4.6 4.0 1.9 4.9 -1.7 5.3 9.5 10.9 14.7 -5.1 15.5 16.2 -8.3 -8.5 -8.1 -8.4 20.0 15.9 14.1 -4.0 19.4 0.2 -0.0 6.1 2.2 3.5 3.5 -1.7 5.2 -10.7 -8.5 5.8 12.2 13.4 EUROSTX 20.0 3.5 20.0 3.9 3.5 1.6 5.1 -0.3 5.5 11.3 14.1 14.6 3.5 14.8 15.6 9.9 4.8 7.3 5.3 20.0 19.2 15.5 9.4 20.0 -15.5 -0.0 5.6 2.5 4.8 3.6 2.3 4.9 12.9 -7.7 -2.7 -1.1 19.2 FEEDCOW -10.6 3.0 3.5 -4.1 7.2 -4.7 0.1 -1.9 -2.9 5.0 0.6 -5.2 -0.4 -3.0 5.7 -20.0 -20.0 -20.0 -20.0 -0.1 0.7 -2.6 -0.6 -3.6 -20.0 -0.0 3.8 0.8 2.7 0.9 0.8 2.1 -20.0 -1.3 7.6 19.8 17.6 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 18.4 5.5 -12.3 1.6 0.8 -0.3 4.0 3.5 4.4 7.2 -3.9 13.3 9.2 12.7 -0.5 20.0 20.0 20.0 20.0 5.6 2.2 16.8 11.6 14.9 -5.3 -0.0 0.0 3.2 -1.0 5.7 3.7 4.1 20.0 13.3 4.4 -7.9 -3.8 GASOILINE 20.0 15.8 -7.9 1.6 0.8 -0.3 4.0 3.5 4.4 4.6 -7.4 12.5 3.2 13.5 7.9 -20.0 9.9 -20.0 -5.7 11.8 2.9 17.7 6.9 20.0 -11.3 -0.0 5.1 1.1 2.9 4.3 4.0 6.3 -12.3 8.8 20.0 20.0 18.8 GAS_US -20.0 -20.0 -20.0 1.6 0.8 -0.3 4.0 3.5 4.4 -13.5 -15.1 -15.4 -7.4 -16.5 -16.5 12.8 -1.8 9.7 2.8 -20.0 -20.0 -19.1 -13.7 -20.0 -2.7 -0.0 -5.9 -3.0 -3.7 -3.7 0.7 -5.4 -19.1 -20.0 -20.0 -20.0 -20.0 GBP 9.0 10.5 20.0 4.6 4.0 1.9 4.9 -1.7 5.3 13.5 9.2 15.0 -3.8 11.7 14.1 -2.2 -1.7 -2.1 -2.0 15.1 8.1 12.9 -6.2 14.2 13.3 -0.0 4.9 3.6 0.3 4.8 -5.9 5.5 0.6 -0.1 -2.4 -5.0 -1.0 GOLD_micro 20.0 20.0 20.0 4.6 2.9 2.7 5.8 1.3 6.0 6.4 8.9 14.1 -4.1 15.6 16.1 -12.3 -9.3 -11.5 -10.8 20.0 16.2 19.1 2.5 20.0 6.1 -0.0 6.0 1.7 3.4 4.6 0.8 6.3 -14.3 -11.1 -0.1 4.3 3.4 HEATOIL 15.4 5.9 -11.1 1.6 0.8 -0.3 4.0 3.5 4.4 2.0 -4.2 9.9 8.4 11.5 2.6 20.0 20.0 20.0 20.0 5.7 2.5 14.8 11.9 14.1 -16.1 -0.0 3.4 1.4 2.4 5.3 7.2 6.1 20.0 10.8 12.3 4.5 6.8 JPY 5.4 20.0 20.0 4.6 4.0 1.9 4.9 -1.7 5.3 -7.7 6.9 3.7 -8.2 10.5 13.9 -11.5 -10.8 -11.7 -11.8 17.3 8.6 1.7 -8.3 11.8 6.0 -0.0 5.3 -1.3 2.2 0.4 -4.0 3.4 -15.6 -18.3 -13.2 7.5 4.2 LEANHOG -20.0 -13.4 -4.0 -4.1 7.2 -4.7 0.1 -1.9 -2.9 0.9 -2.0 -11.9 -2.5 -13.1 -5.2 -20.0 3.2 -20.0 -15.1 -14.4 -6.7 -12.1 -0.0 -18.7 -9.0 -0.0 -5.0 0.8 -2.7 -3.7 -0.4 -6.1 -20.0 -12.3 -20.0 -15.7 4.7 LIVECOW -6.8 4.0 8.9 -4.1 7.2 -4.7 0.1 -1.9 -2.9 5.5 11.6 0.5 2.3 4.8 10.3 -20.0 -20.0 -20.0 -20.0 5.3 7.0 1.1 3.8 1.4 -20.0 -0.0 5.6 1.5 5.7 2.8 4.3 4.0 -20.0 4.6 9.7 17.8 20.0 MXP 19.9 15.1 11.8 4.6 4.0 1.9 4.9 -1.7 5.3 7.4 15.1 12.6 15.3 14.2 14.7 20.0 20.0 20.0 20.0 20.0 20.0 14.0 19.3 20.0 -20.0 -0.0 6.2 1.9 5.6 3.3 4.5 5.3 20.0 -8.9 0.5 -2.7 9.0 NASDAQ 20.0 0.0 -2.3 3.9 3.5 1.6 5.1 -0.3 5.5 13.0 -9.6 14.7 -12.8 6.9 1.6 -5.8 -3.8 -5.3 -4.8 2.3 -8.2 20.0 -14.5 13.8 8.8 -0.0 3.1 7.5 -1.0 8.1 -3.2 6.6 -2.7 8.7 -6.4 -8.1 -16.6 NIKKEI 19.3 -15.9 -3.0 3.9 3.5 1.6 5.1 -0.3 5.5 14.0 -3.8 14.4 -1.0 -0.3 -5.0 20.0 12.2 17.1 14.4 -2.4 -4.3 20.0 -2.0 9.2 7.3 -0.0 -1.3 9.2 -2.8 8.4 -2.2 3.4 20.0 15.9 -20.0 -20.0 -20.0 NZD 5.5 12.4 20.0 4.6 4.0 1.9 4.9 -1.7 5.3 9.6 10.4 13.9 -3.6 12.9 14.6 0.6 0.5 0.2 0.1 16.9 10.9 12.7 -2.3 14.5 -0.5 -0.0 5.7 2.6 3.3 3.9 -1.0 5.0 4.2 -2.2 -0.1 2.2 9.1 OAT 20.0 -1.6 7.2 2.7 0.1 -1.1 3.4 -4.9 4.6 -11.9 -8.2 7.4 -12.1 2.6 0.7 12.2 12.9 13.0 13.5 -0.1 -9.4 3.4 -19.2 5.9 6.7 -0.0 1.2 -2.3 -3.2 1.4 -9.0 3.0 20.0 -9.1 -3.4 -13.8 -1.7 OJ -0.7 8.8 20.0 -4.1 7.2 -4.7 0.1 -1.9 -2.9 -3.2 14.4 -1.5 14.7 8.3 12.0 20.0 13.9 18.0 17.1 13.7 20.0 -1.1 20.0 2.9 -20.0 -0.0 6.1 1.4 11.1 0.6 14.6 2.4 10.8 -4.1 14.4 16.5 20.0 PALLAD -2.2 -10.3 -14.6 4.6 2.9 2.7 5.8 1.3 6.0 -13.2 -13.0 -12.4 -10.4 -11.0 -13.6 -2.6 -1.5 -2.0 -1.8 -14.2 -14.9 -10.8 -12.2 -11.1 9.7 -0.0 -4.1 -5.6 -4.6 -3.0 -3.5 -2.4 0.0 -20.0 -20.0 -20.0 -20.0 PLAT -5.1 4.2 19.1 4.6 2.9 2.7 5.8 1.3 6.0 -11.8 11.8 -8.6 2.8 1.9 10.8 -2.0 -0.7 -1.3 -0.9 9.5 11.8 -7.3 6.0 0.5 -3.1 -0.0 5.6 -4.7 5.6 -1.2 2.2 2.3 1.6 -20.0 -20.0 -15.3 4.6 REDWHEAT -0.9 -5.5 -13.8 -4.1 7.2 -4.7 0.1 -1.9 -2.9 10.1 -13.8 -2.6 -8.4 -5.8 -12.5 4.6 1.3 4.4 3.3 -11.2 -12.8 2.8 -6.1 -4.9 -1.3 -0.0 -4.5 6.4 -3.8 1.3 1.2 -2.1 -12.2 6.5 -1.4 -7.6 -6.6 ROBUSTA 20.0 19.6 -15.7 -4.1 7.2 -4.7 0.1 -1.9 -2.9 14.0 -8.9 15.4 -6.6 14.9 -3.5 14.9 9.7 13.6 11.6 4.1 -6.3 20.0 -5.5 15.5 -3.1 -0.0 -0.6 9.9 -3.8 7.8 -2.7 4.0 1.9 20.0 15.0 14.6 -20.0 RUSSELL 20.0 2.5 6.1 3.9 3.5 1.6 5.1 -0.3 5.5 13.6 -2.3 14.7 -10.3 11.2 8.7 -5.2 -3.0 -4.8 -4.2 7.4 0.2 14.2 -6.4 13.7 -2.1 -0.0 4.2 3.8 1.4 5.6 -0.7 6.1 -1.4 -7.3 -7.2 -6.6 -7.7 SILVER-mini -6.9 10.8 20.0 4.6 2.9 2.7 5.8 1.3 6.0 1.0 11.6 1.5 -0.7 10.0 14.1 -5.4 -3.8 -4.8 -4.4 14.0 13.6 2.3 3.6 5.9 6.2 -0.0 5.5 2.4 4.7 1.9 0.3 3.0 -4.2 -20.0 -20.0 -7.1 6.1 SOYBEAN -19.2 -5.1 1.2 -4.1 7.2 -4.7 0.1 -1.9 -2.9 -8.4 0.3 -12.9 4.5 -11.2 -2.8 20.0 20.0 20.0 20.0 -5.9 0.4 -18.3 6.1 -15.0 -20.0 -0.0 -1.3 -3.1 2.4 -7.7 6.3 -5.9 20.0 -20.0 -12.1 2.4 12.3 SOYMEAL -4.4 14.3 14.5 -4.1 7.2 -4.7 0.1 -1.9 -2.9 3.1 11.9 -0.2 12.0 10.9 12.9 20.0 16.2 19.1 17.4 16.9 17.7 2.1 13.8 8.0 -20.0 -0.0 5.4 2.5 6.0 0.5 5.5 2.4 12.8 -9.9 15.8 20.0 20.0 SOYOIL -7.3 -10.8 -5.4 -4.1 7.2 -4.7 0.1 -1.9 -2.9 -12.5 -1.5 -13.6 4.1 -7.4 -8.4 2.7 18.4 9.5 14.4 -9.8 -4.0 -13.3 6.0 -11.7 -11.7 -0.0 -3.9 -5.0 -0.6 -5.1 3.8 -4.9 12.6 -20.0 -13.6 -20.0 8.5 SP400 18.7 4.0 12.2 3.9 3.5 1.6 5.1 -0.3 5.5 13.3 5.8 14.4 -4.0 11.9 11.8 -5.2 -2.5 -4.0 -3.1 11.3 6.0 14.5 0.0 14.6 -5.8 -0.0 4.9 4.7 2.8 5.7 1.1 6.0 0.0 -5.9 -9.8 -7.5 -1.9 SP500 14.7 0.4 5.5 3.9 3.5 1.6 5.1 -0.3 5.5 13.4 -2.2 14.2 -8.1 5.0 6.6 -6.2 -4.0 -5.6 -5.0 5.1 -1.1 13.7 -6.3 10.2 3.7 -0.0 3.8 6.5 0.4 6.7 -2.4 5.8 -2.9 -3.9 -15.0 -10.8 -8.5 SUGAR11 -9.4 -0.3 14.2 -4.1 7.2 -4.7 0.1 -1.9 -2.9 12.2 7.4 8.9 5.1 0.1 7.0 20.0 20.0 20.0 20.0 7.2 8.9 12.7 6.9 6.0 -20.0 -0.0 5.5 8.4 6.1 4.0 4.5 3.4 20.0 14.7 2.8 20.0 20.0 US10 15.7 14.1 15.3 2.7 0.1 -1.1 3.4 -4.9 4.6 -5.6 -4.9 8.7 -11.2 9.4 10.7 -8.7 -1.8 -7.9 -5.9 7.5 -3.8 5.7 -17.3 10.0 -2.8 -0.0 3.9 -0.5 -0.7 2.6 -6.7 4.7 -7.2 -6.2 -12.7 1.6 2.8 US10U 15.2 12.9 14.8 2.7 0.1 -1.1 3.4 -4.9 4.6 -3.1 -4.8 9.3 -11.3 9.6 10.4 0.6 4.2 0.8 1.5 6.7 -4.1 5.6 -17.1 9.3 -5.4 -0.0 4.3 -0.1 0.0 2.7 -5.2 4.9 4.3 -5.0 -7.4 4.7 3.8 US20 13.7 14.4 15.6 2.7 0.1 -1.1 3.4 -4.9 4.6 -2.0 -3.3 10.0 -10.4 9.8 11.0 -8.5 -0.0 -5.0 -2.5 7.5 -3.6 6.5 -16.6 9.9 -4.0 -0.0 3.5 0.0 -0.6 2.7 -5.6 4.3 -2.4 -0.7 -15.4 2.2 -0.8 US30 14.0 12.8 20.0 2.7 0.1 -1.1 3.4 -4.9 4.6 -2.1 -2.9 10.0 -11.8 6.6 9.0 -1.3 -0.1 -1.2 -0.9 6.5 -4.5 6.5 -18.5 9.1 -5.4 -0.0 4.0 0.7 0.0 2.8 -5.1 4.5 -1.4 -3.0 -9.8 6.4 0.3 US5 15.0 15.2 15.2 2.7 0.1 -1.1 3.4 -4.9 4.6 -9.8 -4.9 7.3 -11.6 8.3 10.5 -9.5 -1.0 -7.5 -5.6 7.5 -4.3 4.8 -19.0 9.8 -0.9 -0.0 3.8 -1.1 -1.1 1.9 -8.0 4.3 -6.4 -11.0 -15.3 2.6 2.9 VIX -20.0 -18.8 -20.0 -5.1 -4.3 -4.0 -5.1 -2.8 -5.4 -14.0 -15.7 -15.4 -13.4 -16.0 -16.4 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -16.7 -20.0 NaN -0.0 -6.5 -4.4 -5.5 -5.2 -3.7 -6.1 NaN NaN NaN NaN NaN WHEAT -3.5 -5.5 -18.0 -4.1 7.2 -4.7 0.1 -1.9 -2.9 9.1 -15.3 -7.8 -11.9 -10.0 -13.9 -9.4 -5.5 -7.8 -6.6 -15.7 -18.5 -2.1 -11.6 -9.1 2.4 -0.0 -5.1 3.1 -4.7 -1.2 -0.5 -3.5 -20.0 -4.4 -6.1 -8.0 -9.5 End of report for caleb_strategy_v1