******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230127_204257 produced at 2023-01-27 21:35:35.891770 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.24 -0.25 0.0 7165524.46 -7165524.46 -0.24 -0.24 -35.53 999999999 -34 -34 caleb_strategy_v1 LIVECOW False False 0.02 -0.13 -0.13 0.0 21756830.63 -21756830.63 -0.13 -0.13 -6.18 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.13 -0.12 0.0 32422308.18 -32422308.18 -0.13 -0.16 -3.82 999999999 -4 -5 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.10 0.0 46090039.09 -46090039.09 -0.09 -0.09 -2.16 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.05 -0.09 0.0 11704816.60 -11704816.60 -0.05 -0.06 -7.41 999999999 -4 -5 caleb_strategy_v1 US5 False False 0.04 -0.18 -0.08 0.0 36947235.48 -36947235.48 -0.18 -0.22 -2.03 999999999 -5 -6 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 38742841.55 -38742841.55 0.00 0.00 -1.48 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.13 -0.05 0.0 32718055.06 -32718055.06 -0.13 -0.16 -1.38 999999999 -4 -5 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 43992348.70 -43992348.70 0.00 0.00 -1.01 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.02 0.0 53489599.95 -53489599.95 0.00 0.00 -0.29 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 48153929.83 -48153929.83 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.02 0.0 8973805.39 -8973805.39 -0.02 -0.02 -2.51 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 38785902.29 -38785902.29 0.00 0.00 -0.54 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13160736.25 -13160736.25 -0.03 -0.03 -0.62 999999999 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.01 0.0 3253384.70 -3253384.70 0.00 -0.06 -1.78 999999999 0 -19 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5785316.01 -5785316.01 0.00 0.00 -1.30 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 9801896.66 -9801896.66 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.00 0.0 83164023.23 -83164023.23 0.00 0.00 -0.01 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 17244578.20 -17244578.20 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 -0.00 0.0 12362557.67 -12362557.67 0.00 -0.02 -0.01 999999999 0 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.00 0.0 6578086.65 -6578086.65 -0.02 -0.02 -0.33 999999999 -3 -3 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 69335744.02 -69335744.02 0.00 -0.14 -0.06 999999999 0 -2 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21471223.64 -21471223.64 0.00 0.00 -0.14 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.00 0.0 54265327.90 -54265327.90 0.00 0.00 -0.07 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14797484.00 -14797484.00 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10155102.94 -10155102.94 0.00 0.00 0.44 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14571871.37 -14571871.37 -0.01 -0.01 -0.23 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.00 0.00 0.0 89082340.84 -89082340.84 0.00 0.36 0.02 999999999 0 4 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4108430.70 -4108430.70 0.00 0.00 0.31 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20131912.76 -20131912.76 0.00 0.00 0.52 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 6874847.52 -6874847.52 0.01 0.01 0.87 999999999 1 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 796657.60 -796657.60 0.00 0.00 17.52 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 9928645.33 -9928645.33 0.03 0.03 0.96 999999999 3 3 caleb_strategy_v1 EUR False False 0.05 0.00 0.01 0.0 46064689.36 -46064689.36 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 5597706.11 -5597706.11 0.01 0.01 2.21 999999999 2 2 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 21952868.56 -21952868.56 0.04 0.04 0.90 999999999 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 24078866.14 -24078866.14 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.01 0.02 0.0 7446196.70 -7446196.70 0.01 0.01 2.03 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.08 0.02 0.0 26160595.66 -26160595.66 0.08 0.05 0.94 999999999 3 2 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 25417332.03 -25417332.03 0.00 0.00 0.90 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 35734673.26 -35734673.26 0.07 0.07 0.86 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8938315.77 -8938315.77 0.03 0.03 3.61 999999999 3 3 caleb_strategy_v1 GBP False False 0.03 0.13 0.03 0.0 26211623.66 -26211623.66 0.13 0.16 1.20 999999999 5 6 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 42099452.96 -42099452.96 0.04 0.04 0.87 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.05 0.04 0.0 15402418.12 -15402418.12 0.05 0.05 2.56 999999999 3 3 caleb_strategy_v1 US10U False False 0.04 0.00 0.04 0.0 40997911.52 -40997911.52 0.00 0.00 0.93 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.15 0.05 0.0 48602859.47 -48602859.47 0.15 0.15 1.08 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.05 0.0 25985166.05 -25985166.05 0.08 0.03 1.88 999999999 3 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.06 0.0 22852784.07 -22852784.07 0.02 0.02 2.74 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.07 0.0 30884424.40 -30884424.40 0.03 0.03 2.23 999999999 1 1 caleb_strategy_v1 HEATOIL False False 0.04 0.13 0.07 0.0 42058045.80 -42058045.80 0.13 0.08 1.68 999999999 3 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.08 0.0 15544456.12 -15544456.12 0.08 0.08 4.86 999999999 5 5 caleb_strategy_v1 BOBL False False 0.04 0.09 0.16 0.0 43242141.90 -43242141.90 0.09 0.09 3.64 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.21 0.0 50561229.90 -50561229.90 0.10 0.10 4.06 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.35 0.0 0.00 0.00 0.00 0.00 49.49 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 16.1 Shocked risk 47.5 Sum abs risk 42.0 Leverage 2.57 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2958611.07, 'annual_cash_vol_target': 739652.7675, 'daily_cash_vol_target': 46228.29796875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.7124 0.7171 11.4737 BITCOIN 740.3947 23570.0000 3.1413 50.2601 BOBL 0.3273 117.6900 0.2781 4.4495 BTP 0.8948 114.5800 0.7810 12.4954 BUND 0.7341 137.6100 0.5334 8.5352 BUXL 1.9386 145.5800 1.3316 21.3062 CAC 59.4135 7120.0000 0.8345 13.3514 CAD 0.0036 0.7520 0.4823 7.7163 CANOLA 7.9362 808.4000 0.9817 15.7074 CHF 0.0056 1.0909 0.5138 8.2207 COCOA 35.3195 2655.0000 1.3303 21.2848 COFFEE 0.0346 1.6940 2.0435 32.6960 COPPER 0.0466 4.2290 1.1015 17.6240 CORN 4.7023 587.5000 0.8004 12.8063 COTTON2 0.0162 0.8756 1.8539 29.6621 CRUDE_W 1.1977 76.8800 1.5579 24.9258 DAX 124.2568 15235.0000 0.8156 13.0496 DOW 286.4615 34233.0000 0.8368 13.3888 EUR 0.0052 1.0903 0.4740 7.5840 EUROSTX 39.4208 4192.0000 0.9404 15.0461 FEEDCOW 1.1860 191.8500 0.6182 9.8909 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.6496 913.7500 2.1504 34.4070 GASOILINE 0.0498 2.7322 1.8238 29.1802 GAS_US 0.1830 2.9000 6.3094 100.9508 GBP 0.0076 1.2408 0.6107 9.7717 GOLD_micro 14.5329 1946.2000 0.7467 11.9477 HEATOIL 0.0586 2.9627 1.9782 31.6516 JPY 0.0001 0.0077 0.8446 13.5140 LEANHOG 1.2764 86.5750 1.4743 23.5894 LIVECOW 0.8087 160.9250 0.5025 8.0402 MXP 0.0003 0.0529 0.5939 9.5029 NASDAQ 151.8441 12302.5000 1.2343 19.7481 NIKKEI 258.0842 27470.0000 0.9395 15.0322 NZD 0.0046 0.6495 0.7007 11.2117 OAT 0.7821 132.2800 0.5913 9.4603 OJ 0.0214 2.0030 1.0688 17.1007 PALLAD 39.3048 1605.5000 2.4481 39.1702 PLAT 17.2533 1020.4000 1.6908 27.0534 REDWHEAT 13.5236 862.2500 1.5684 25.0945 ROBUSTA 24.9547 2034.0000 1.2269 19.6300 RUSSELL 21.7343 1925.1000 1.1290 18.0640 SILVER-mini 0.3947 23.8250 1.6568 26.5088 SOYBEAN 10.1814 1352.2500 0.7529 12.0468 SOYMEAL 5.6548 459.9000 1.2296 19.6731 SOYOIL 0.7867 60.9600 1.2906 20.6489 SP400 26.8155 2635.6000 1.0174 16.2790 SP500 39.1310 4102.7500 0.9538 15.2604 SUGAR11 0.0025 0.1967 1.2835 20.5361 US10 0.5121 114.6250 0.4468 7.1482 US10U 0.7068 121.2969 0.5827 9.3226 US20 1.0046 130.1562 0.7719 12.3498 US30 1.5947 142.4688 1.1194 17.9099 US5 0.3344 109.3125 0.3059 4.8940 VIX 0.4904 21.2000 2.3133 37.0121 WHEAT 10.5642 778.7500 1.3566 21.7049 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 712.40 0.72 510.86 1.00 510.86 46228.3 90.49 4.87 44.03 BITCOIN 23.57 3.14 74.04 1.00 74.04 46228.3 624.37 11.91 743.78 BOBL 1176.90 0.28 327.28 1.09 356.39 46228.3 129.71 3.89 50.51 BTP 1145.80 0.78 894.83 1.09 974.41 46228.3 47.44 9.09 43.14 BUND 1376.10 0.53 734.08 1.09 799.36 46228.3 57.83 9.73 56.25 BUXL 1455.80 1.33 1938.60 1.09 2111.00 46228.3 21.90 -1.55 -3.40 CAC 712.00 0.83 594.14 1.09 646.97 46228.3 71.45 4.69 33.53 CAD 752.00 0.48 362.67 1.00 362.67 46228.3 127.47 3.96 50.46 CANOLA 161.68 0.98 158.72 0.75 119.05 46228.3 388.32 0.86 33.28 CHF 1363.62 0.51 700.63 1.00 700.63 46228.3 65.98 -8.73 -57.61 COCOA 265.50 1.33 353.19 1.00 353.19 46228.3 130.89 -8.80 -115.18 COFFEE 635.25 2.04 1298.13 1.00 1298.13 46228.3 35.61 -2.94 -10.47 COPPER 1057.25 1.10 1164.56 1.00 1164.56 46228.3 39.70 7.93 31.49 CORN 293.75 0.80 235.12 1.00 235.12 46228.3 196.62 5.43 106.74 COTTON2 437.80 1.85 811.63 1.00 811.63 46228.3 56.96 1.91 10.90 CRUDE_W 768.80 1.56 1197.68 1.00 1197.68 46228.3 38.60 3.68 14.21 DAX 152.35 0.82 124.26 1.09 135.31 46228.3 341.65 1.19 40.69 DOW 171.16 0.84 143.23 1.00 143.23 46228.3 322.75 -1.42 -45.74 EUR 1362.88 0.47 646.00 1.00 646.00 46228.3 71.56 0.53 3.78 EUROSTX 419.20 0.94 394.21 1.09 429.27 46228.3 107.69 8.45 91.00 FEEDCOW 959.25 0.62 592.99 1.00 592.99 46228.3 77.96 -18.23 -142.13 FTSE100 707.00 0.82 576.59 1.24 666.67 46228.3 69.34 -2.56 -17.77 GASOIL 913.75 2.15 1964.96 1.00 1964.96 46228.3 23.53 13.30 31.29 GASOILINE 1147.52 1.82 2092.81 1.00 2092.81 46228.3 22.09 -5.97 -13.19 GAS_US 290.00 6.31 1829.73 1.00 1829.73 46228.3 25.27 -11.92 -30.11 GBP 775.50 0.61 473.62 1.00 473.62 46228.3 97.61 6.89 67.30 GOLD_micro 194.62 0.75 145.33 1.00 145.33 46228.3 318.09 -0.47 -14.86 HEATOIL 1244.33 1.98 2461.57 1.00 2461.57 46228.3 18.78 12.57 23.60 JPY 968.00 0.84 817.60 1.00 817.60 46228.3 56.54 -3.76 -21.26 LEANHOG 346.30 1.47 510.56 1.00 510.56 46228.3 90.54 -17.51 -158.52 LIVECOW 643.70 0.50 323.47 1.00 323.47 46228.3 142.92 -16.10 -230.07 MXP 264.45 0.59 157.06 1.00 157.06 46228.3 294.33 10.01 294.55 NASDAQ 2460.50 1.23 3036.88 1.00 3036.88 46228.3 15.22 -0.07 -0.11 NIKKEI 27470.00 0.94 25808.42 0.01 198.21 46228.3 233.23 11.17 260.55 NZD 649.50 0.70 455.13 1.00 455.13 46228.3 101.57 5.52 56.08 OAT 1322.80 0.59 782.13 1.09 851.69 46228.3 54.28 9.81 53.23 OJ 300.45 1.07 321.12 1.00 321.12 46228.3 143.96 1.75 25.26 PALLAD 1605.50 2.45 3930.48 1.00 3930.48 46228.3 11.76 -2.54 -2.98 PLAT 510.20 1.69 862.67 1.00 862.67 46228.3 53.59 1.40 7.50 REDWHEAT 431.12 1.57 676.18 1.00 676.18 46228.3 68.37 -6.38 -43.64 ROBUSTA 203.40 1.23 249.55 1.00 249.55 46228.3 185.25 3.64 67.41 RUSSELL 96.26 1.13 108.67 1.00 108.67 46228.3 425.39 -0.81 -34.28 SILVER-mini 595.62 1.66 986.83 1.00 986.83 46228.3 46.85 4.97 23.28 SOYBEAN 676.12 0.75 509.07 1.00 509.07 46228.3 90.81 5.12 46.48 SOYMEAL 459.90 1.23 565.48 1.00 565.48 46228.3 81.75 10.08 82.45 SOYOIL 365.76 1.29 472.03 1.00 472.03 46228.3 97.93 -0.15 -1.46 SP400 2635.60 1.02 2681.55 1.00 2681.55 46228.3 17.24 0.19 0.32 SP500 2051.38 0.95 1956.55 1.00 1956.55 46228.3 23.63 -0.86 -2.04 SUGAR11 220.30 1.28 282.76 1.00 282.76 46228.3 163.49 9.16 149.81 US10 1146.25 0.45 512.10 1.00 512.10 46228.3 90.27 -4.27 -38.57 US10U 1212.97 0.58 706.75 1.00 706.75 46228.3 65.41 0.97 6.37 US20 1301.56 0.77 1004.62 1.00 1004.62 46228.3 46.02 -2.97 -13.68 US30 1424.69 1.12 1594.75 1.00 1594.75 46228.3 28.99 -1.51 -4.39 US5 1093.12 0.31 334.36 1.00 334.36 46228.3 138.26 -3.83 -53.01 VIX 212.00 2.31 490.41 1.00 490.41 46228.3 94.26 -20.00 -188.53 WHEAT 389.38 1.36 528.21 1.00 528.21 46228.3 87.52 -13.31 -116.45 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 44.033 0.006 2.5 0.704 BITCOIN 743.782 0.009 2.5 17.524 BOBL 50.508 0.029 2.5 3.645 BTP 43.135 0.008 2.5 0.871 BUND 56.253 0.029 2.5 4.059 BUXL -3.403 0.034 2.5 -0.286 CAC 33.534 0.011 2.5 0.943 CAD 50.458 0.007 2.5 0.901 CANOLA 33.277 0.004 2.5 0.305 CHF -57.615 0.015 2.5 -2.156 COCOA -115.178 0.009 2.5 -2.509 COFFEE -10.469 0.005 2.5 -0.136 COPPER 31.486 0.011 2.5 0.861 CORN 106.737 0.004 2.5 0.963 COTTON2 10.899 0.006 2.5 0.164 CRUDE_W 14.212 0.053 2.5 1.878 DAX 40.693 0.022 2.5 2.210 DOW -45.744 0.011 2.5 -1.304 EUR 3.780 0.015 2.5 0.141 EUROSTX 90.996 0.011 2.5 2.558 FEEDCOW -142.125 0.011 2.5 -3.819 FTSE100 -17.773 0.041 2.5 -1.832 GASOIL 31.287 0.029 2.5 2.232 GASOILINE -13.190 0.016 2.5 -0.542 GAS_US -30.105 0.006 2.5 -0.453 GBP 67.295 0.007 2.5 1.202 GOLD_micro -14.861 0.009 2.5 -0.333 HEATOIL 23.603 0.029 2.5 1.684 JPY -21.264 0.026 2.5 -1.376 LEANHOG -158.523 0.019 2.5 -7.406 LIVECOW -230.067 0.011 2.5 -6.182 MXP 294.547 0.005 2.5 3.606 NASDAQ -0.111 0.022 2.5 -0.006 NIKKEI 260.549 0.076 2.5 49.487 NZD 56.079 0.006 2.5 0.896 OAT 53.234 0.008 2.5 1.075 OJ 25.255 0.007 2.5 0.441 PALLAD -2.983 0.010 2.5 -0.072 PLAT 7.497 0.010 2.5 0.180 REDWHEAT -43.644 0.002 2.5 -0.233 ROBUSTA 67.405 0.005 2.5 0.874 RUSSELL -34.275 0.021 2.5 -1.775 SILVER-mini 23.285 0.009 2.5 0.521 SOYBEAN 46.477 0.024 2.5 2.740 SOYMEAL 82.446 0.024 2.5 4.861 SOYOIL -1.464 0.004 2.5 -0.013 SP400 0.323 0.021 2.5 0.017 SP500 -2.037 0.011 2.5 -0.058 SUGAR11 149.814 0.005 2.5 2.033 US10 -38.568 0.015 2.5 -1.480 US10U 6.367 0.058 2.5 0.928 US20 -13.682 0.029 2.5 -1.008 US30 -4.387 0.034 2.5 -0.368 US5 -53.012 0.015 2.5 -2.034 VIX -188.529 0.075 2.5 -35.528 WHEAT -116.448 0.002 2.5 -0.622 ==================== Position diags ==================== AUD 1.45 BITCOIN 14.71 BOBL 9.36 BTP 0.96 BUND 4.17 BUXL 1.84 CAC 2.01 CAD 2.28 CANOLA 3.56 CHF 2.47 COCOA 2.85 COFFEE 0.46 COPPER 1.08 CORN 1.77 COTTON2 0.86 CRUDE_W 5.10 DAX 18.55 DOW 9.20 EUR 2.68 EUROSTX 3.03 FEEDCOW 2.09 FTSE100 7.15 GASOIL 1.68 GASOILINE 0.91 GAS_US 0.38 GBP 1.74 GOLD_micro 7.12 HEATOIL 1.34 JPY 3.66 LEANHOG 4.23 LIVECOW 3.84 MXP 3.60 NASDAQ 0.83 NIKKEI 44.30 NZD 1.62 OAT 1.10 OJ 2.51 PALLAD 0.28 PLAT 1.29 REDWHEAT 0.36 ROBUSTA 2.40 RUSSELL 22.03 SILVER-mini 1.05 SOYBEAN 5.35 SOYMEAL 4.82 SOYOIL 0.90 SP400 0.89 SP500 0.67 SUGAR11 2.22 US10 3.46 US10U 9.53 US20 3.39 US30 2.43 US5 5.30 VIX 17.76 WHEAT 0.47 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.6 0.8 0.0 0 BITCOIN 17.5 16.1 19.0 NaN 0 BOBL 3.6 2.7 4.6 2.0 2 BTP 0.9 0.8 1.0 1.0 1 BUND 4.1 3.6 4.5 2.0 2 BUXL -0.3 -0.5 -0.1 0.0 0 CAC 0.9 0.7 1.1 3.0 3 CAD 0.9 0.7 1.1 0.0 0 CANOLA 0.3 -0.1 0.7 NaN 0 CHF -2.2 -2.4 -1.9 -2.0 -2 COCOA -2.5 -2.8 -2.2 -2.0 -2 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.9 0.8 1.0 2.0 2 CORN 1.0 0.8 1.1 3.0 3 COTTON2 0.2 0.1 0.2 NaN 0 CRUDE_W 1.9 1.4 2.4 3.0 3 DAX 2.2 0.4 4.1 2.0 2 DOW -1.3 -2.2 -0.4 0.0 0 EUR 0.1 -0.1 0.4 0.0 0 EUROSTX 2.6 2.3 2.9 3.0 3 FEEDCOW -3.8 -4.0 -3.6 -4.0 -4 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 2.2 2.1 2.4 1.0 1 GASOILINE -0.5 -0.6 -0.5 0.0 0 GAS_US -0.5 -0.5 -0.4 0.0 0 GBP 1.2 1.0 1.4 5.0 5 GOLD_micro -0.3 -1.0 0.4 -3.0 -3 HEATOIL 1.7 1.5 1.8 3.0 3 JPY -1.4 -1.7 -1.0 -4.0 -4 LEANHOG -7.4 -7.8 -7.0 -4.0 -4 LIVECOW -6.2 -6.6 -5.8 -6.0 -6 MXP 3.6 3.2 4.0 3.0 3 NASDAQ -0.0 -0.1 0.1 0.0 0 NIKKEI 49.5 45.1 53.9 0.0 0 NZD 0.9 0.7 1.1 2.0 2 OAT 1.1 1.0 1.2 3.0 3 OJ 0.4 0.2 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 0.9 0.6 1.1 1.0 1 RUSSELL -1.8 -4.0 0.4 0.0 0 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 2.7 2.2 3.3 1.0 1 SOYMEAL 4.9 4.4 5.3 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 -0.1 0.0 0.0 0 SUGAR11 2.0 1.8 2.3 2.0 2 US10 -1.5 -1.8 -1.1 NaN 0 US10U 0.9 -0.0 1.9 0.0 0 US20 -1.0 -1.3 -0.7 0.0 0 US30 -0.4 -0.6 -0.1 0.0 0 US5 -2.0 -2.6 -1.5 -5.0 -5 VIX -35.5 -37.3 -33.8 -34.0 -34 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 0.1 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 0.0 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 -0.0 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 0.3 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 1.8 -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 0.0 -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 1.0 -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 -0.1 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 -0.2 -0.3 -0.1 CAC 0.2 0.1 0.3 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 0.4 0.1 0.1 0.1 0.4 -0.3 0.1 -0.1 -0.0 0.2 0.3 0.0 0.1 0.0 -1.5 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.8 -0.1 0.0 0.0 0.2 CAD 0.2 0.1 0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.2 0.1 0.2 -0.1 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.1 0.0 2.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.1 -0.0 -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 0.1 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 -0.3 -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 -0.2 -0.0 0.1 0.0 0.1 -0.1 -0.2 0.0 -0.2 0.0 1.8 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 -1.4 0.1 -0.0 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 0.1 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 -1.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.2 -0.1 -0.4 -0.2 -0.2 COTTON2 0.0 0.1 -0.3 -0.0 0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.0 -0.1 0.4 0.0 0.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -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 0.0 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 -1.1 -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 0.1 0.0 0.1 0.4 -0.3 -0.1 -0.1 -0.1 0.3 0.3 0.0 0.1 0.0 -1.3 -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 0.1 -0.1 0.3 0.1 0.1 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 -0.5 -0.0 0.1 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 0.1 0.1 -0.0 0.1 0.0 0.3 0.0 -0.1 0.1 0.4 -0.6 -0.4 -0.2 -0.2 0.2 0.2 0.0 -0.0 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 -0.0 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 0.2 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 0.0 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 -0.5 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.0 2.7 0.1 0.1 -0.1 -0.1 GASOILINE 0.2 0.3 -0.1 0.0 -0.0 -0.0 0.0 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 -1.5 -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 0.0 0.1 0.0 -0.0 -0.4 -0.1 -0.2 -0.1 -0.4 0.9 -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 -0.2 -0.4 -0.3 -0.3 GBP 0.1 0.2 0.3 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 0.2 0.0 -0.1 0.1 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 0.0 -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 0.0 0.1 0.1 -0.0 -0.1 0.0 0.2 0.0 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 0.1 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 -0.4 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 -0.1 -0.0 -0.1 -0.0 -0.1 -1.6 0.1 -0.4 -0.4 -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 -2.7 -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 0.1 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 0.1 0.0 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.3 0.0 0.1 -0.4 -0.2 -0.1 -0.1 0.1 -0.1 0.0 -0.2 0.0 1.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.0 -0.3 0.2 -0.1 -0.1 -0.2 NIKKEI 0.2 -0.2 -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 -0.0 0.0 -0.0 0.0 1.1 -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 0.4 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 0.6 0.0 -0.0 0.0 0.1 OAT 0.2 -0.0 0.1 0.0 -0.0 -0.0 0.0 -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 0.8 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 2.7 -0.1 -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 1.4 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 0.1 0.0 1.5 -0.0 0.3 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 1.9 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.4 -0.3 -0.3 PLAT -0.1 0.0 0.3 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 0.3 -0.0 0.1 0.0 0.2 -0.1 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.1 -0.0 -0.4 -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 -0.0 0.0 -0.0 0.0 0.0 -0.0 -1.6 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 0.1 -0.1 0.0 -0.1 0.0 -0.6 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.3 0.0 0.4 0.2 -0.3 RUSSELL 0.3 0.1 0.1 0.1 0.1 0.0 0.1 -0.0 0.1 0.1 -0.0 0.1 -0.3 0.1 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 1.4 -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 -0.3 0.0 0.2 SOYMEAL -0.0 0.2 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 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 1.8 -0.1 0.2 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 -0.1 -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 0.2 0.0 -0.1 0.1 0.3 -0.3 -0.1 -0.1 -0.1 0.2 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 0.1 0.0 0.1 -0.0 0.1 0.1 -0.0 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 0.1 0.0 0.0 0.0 -0.0 0.0 -0.3 -0.0 -0.3 -0.1 -0.1 SUGAR11 -0.0 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 0.2 0.3 0.3 US10 0.2 0.2 0.3 0.0 -0.0 -0.0 0.0 -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 0.3 0.0 -0.0 -0.0 0.0 -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 0.0 0.1 US20 0.2 0.2 0.3 0.0 -0.0 -0.0 0.0 -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 -0.5 -0.0 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.4 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 0.0 -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 -0.2 -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 19.2 16.8 18.2 4.7 3.3 2.0 4.7 -1.6 5.3 13.9 5.0 15.5 -4.5 15.7 15.3 -3.6 -2.3 -3.2 -2.8 17.7 7.4 20.0 -4.0 20.0 5.2 -0.0 5.4 5.3 2.1 5.9 -1.5 6.2 -0.6 3.3 9.1 2.2 -5.3 BITCOIN 20.0 20.0 20.0 4.6 1.3 2.8 4.7 1.3 5.7 14.0 -5.0 15.6 -15.1 15.6 9.1 -0.5 -0.4 0.6 0.5 15.4 -3.3 20.0 -19.9 20.0 20.0 -0.0 4.0 4.5 -0.0 7.0 -2.3 7.0 3.0 14.4 13.9 5.7 -20.0 BOBL 19.6 -2.4 -4.8 2.7 -1.2 -1.1 2.3 -5.0 4.1 -12.8 -12.1 5.6 -13.4 -0.0 -2.3 -10.0 9.9 -0.5 6.4 -6.2 -17.9 0.8 -20.0 1.9 12.2 -0.0 -0.9 -2.2 -6.0 0.3 -11.9 1.5 14.9 -9.7 -9.2 -16.7 -10.3 BTP 20.0 0.9 13.4 2.7 -1.2 -1.1 2.3 -5.0 4.1 -13.2 -1.2 6.3 -10.3 5.9 7.1 9.6 14.0 12.4 14.4 6.5 -1.9 2.0 -14.3 8.7 -3.2 -0.0 3.1 -3.5 -0.4 0.7 -6.1 3.5 20.0 -10.5 -0.8 -7.3 10.0 BUND 20.0 -0.5 1.8 2.7 -1.2 -1.1 2.3 -5.0 4.1 -13.4 -10.5 5.4 -12.8 1.8 -0.0 11.5 15.6 12.8 14.1 -3.2 -14.2 0.1 -20.0 3.2 8.2 -0.0 0.5 -3.2 -4.2 0.2 -9.7 2.2 20.0 -11.6 -4.6 -13.8 -6.2 BUXL 13.8 -7.5 5.6 2.7 -1.2 -1.1 2.3 -5.0 4.1 -13.6 -8.1 3.5 -11.9 -2.8 -2.2 2.7 -0.2 3.8 2.9 -5.1 -11.9 -3.4 -20.0 -1.8 3.9 -0.0 -0.1 -3.3 -3.2 -0.8 -7.3 0.6 1.3 -12.6 -11.5 -19.3 -5.9 CAC 20.0 7.9 20.0 4.0 4.3 1.7 5.4 -0.2 5.6 13.2 14.4 14.9 5.1 15.0 15.7 -4.0 2.1 -2.4 -0.5 20.0 20.0 18.0 11.7 20.0 -13.1 -0.0 5.6 3.4 4.4 4.3 2.4 5.4 6.3 -6.6 0.0 0.5 15.2 CAD 13.9 9.4 3.9 4.7 3.3 2.0 4.7 -1.6 5.3 13.5 -6.5 14.3 -9.7 12.9 6.4 -1.6 -1.2 -1.7 -1.6 4.2 -4.6 10.0 -10.7 8.8 15.1 -0.0 3.1 5.7 -1.9 5.0 -5.7 5.1 1.5 -8.8 -1.1 -12.5 -17.8 CANOLA -20.0 -5.8 -5.0 -3.7 8.3 -4.5 2.3 -1.9 -1.7 -7.2 -10.0 -12.4 -6.7 -9.6 -6.4 0.7 10.6 4.0 6.1 -12.7 -10.0 -20.0 -3.0 -20.0 6.6 -0.0 -4.6 -2.9 -2.7 -6.4 0.1 -6.5 -2.0 -20.0 -20.0 -7.9 -2.3 CHF -0.8 10.1 20.0 4.7 3.3 2.0 4.7 -1.6 5.3 -0.8 12.7 6.7 0.6 9.5 14.6 -14.5 -12.6 -13.8 -13.4 12.9 11.0 3.2 1.7 7.6 -9.4 -0.0 5.5 -0.1 3.7 1.5 -0.9 3.7 -18.5 -8.1 -12.7 -3.5 -2.1 COCOA -5.9 8.2 20.0 -3.7 8.3 -4.5 2.3 -1.9 -1.7 5.2 9.6 -4.9 -3.5 4.6 11.2 -4.3 -3.2 -2.5 -2.1 10.0 8.7 1.9 1.5 4.8 -17.6 -0.0 5.6 2.5 4.5 1.8 1.2 3.5 -20.0 -3.1 13.4 20.0 20.0 COFFEE 2.1 5.3 -20.0 -3.7 8.3 -4.5 2.3 -1.9 -1.7 14.0 -12.7 9.2 -10.6 2.0 -11.1 -0.5 3.1 1.0 2.9 -12.3 -20.0 15.7 -15.8 1.3 11.5 -0.0 -3.0 9.3 -6.5 6.1 -5.1 1.8 -10.2 20.0 -1.0 6.7 -20.0 COPPER 20.0 20.0 20.0 4.6 1.3 2.8 4.7 1.3 5.7 -4.8 5.1 14.5 -4.5 15.4 15.4 -1.5 -0.3 -0.9 -0.6 20.0 17.1 17.7 0.4 20.0 7.9 -0.0 6.0 -0.1 3.6 3.0 0.9 5.6 2.2 -20.0 11.5 10.7 11.1 CORN -5.8 -7.8 -13.5 -3.7 8.3 -4.5 2.3 -1.9 -1.7 -10.6 0.9 -11.7 2.9 -11.0 -12.7 20.0 17.9 20.0 20.0 -8.4 -3.9 -9.3 7.8 -9.0 -6.8 -0.0 -5.7 -3.8 -3.4 -4.8 1.8 -5.5 16.1 -20.0 -20.0 -12.7 -10.7 COTTON2 10.5 11.9 -7.0 -3.7 8.3 -4.5 2.3 -1.9 -1.7 11.9 -8.8 13.2 -5.0 9.0 7.0 -1.4 12.7 1.6 6.9 1.5 -7.6 10.0 -5.1 8.0 -0.2 -0.0 3.1 3.6 -0.2 4.7 2.4 4.9 2.0 19.1 14.2 15.1 5.3 CRUDE_W 11.8 5.8 -0.5 1.4 -4.0 -0.3 1.4 3.6 3.5 -8.3 -3.9 9.4 2.0 10.8 7.3 9.5 12.4 8.6 9.9 5.3 1.2 4.1 5.0 8.1 -9.2 -0.0 4.2 -3.4 2.5 2.0 5.3 5.0 0.0 -1.5 4.1 1.9 11.5 DAX 20.0 8.2 20.0 4.0 4.3 1.7 5.4 -0.2 5.6 10.2 13.5 14.3 0.2 14.6 15.6 -9.1 -3.8 -7.5 -5.8 20.0 19.6 14.8 6.3 20.0 -8.9 -0.0 5.5 2.0 4.4 3.2 1.2 4.8 -3.1 -13.3 -1.1 -1.4 19.9 DOW 4.1 -3.8 17.6 4.0 4.3 1.7 5.4 -0.2 5.6 10.4 9.7 4.8 1.0 1.2 10.6 -6.3 -3.2 -5.8 -5.0 7.2 7.7 7.7 3.0 4.9 -4.7 -0.0 4.3 7.2 3.4 5.5 1.5 4.4 -2.1 -12.5 -20.0 -15.4 4.6 EUR 9.9 20.0 20.0 4.7 3.3 2.0 4.7 -1.6 5.3 5.2 11.1 13.8 -5.0 15.0 16.2 -8.4 -8.5 -8.2 -8.4 20.0 16.3 11.7 -3.7 18.6 0.2 -0.0 6.1 0.9 3.6 2.9 -1.6 5.0 -10.7 -10.3 3.8 11.6 13.0 EUROSTX 20.0 3.8 20.0 4.0 4.3 1.7 5.4 -0.2 5.6 13.1 14.2 15.0 3.7 15.1 15.8 10.4 4.9 7.6 5.5 20.0 20.0 15.6 9.9 20.0 -15.3 -0.0 5.6 2.7 4.8 3.6 2.3 4.9 13.3 -10.9 -2.5 -2.0 18.5 FEEDCOW -10.9 2.5 3.7 -3.7 8.3 -4.5 2.3 -1.9 -1.7 7.0 0.5 -4.5 -0.4 -3.1 5.7 -20.0 -20.0 -20.0 -20.0 -0.1 0.7 -1.6 -0.6 -3.1 -20.0 -0.0 3.9 1.4 2.8 1.2 0.9 2.2 -20.0 7.7 6.0 17.6 18.1 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 19.0 5.4 -13.4 1.4 -4.0 -0.3 1.4 3.6 3.5 -5.0 -3.8 10.7 9.2 11.7 -0.4 20.0 20.0 20.0 20.0 5.2 2.3 9.2 11.4 12.1 -5.1 -0.0 -0.1 -2.4 -1.0 2.9 3.8 3.2 20.0 10.4 6.2 -7.9 -4.6 GASOILINE 20.0 16.3 -7.7 1.4 -4.0 -0.3 1.4 3.6 3.5 0.9 -7.1 11.5 3.2 13.2 8.3 -20.0 9.9 -20.0 -5.4 12.1 3.4 14.2 7.1 19.2 -11.8 -0.0 5.1 0.1 3.0 3.4 4.1 5.9 -12.2 11.0 20.0 20.0 19.3 GAS_US -20.0 -20.0 -20.0 1.4 -4.0 -0.3 1.4 3.6 3.5 -12.0 -15.2 -15.1 -7.6 -16.5 -16.5 11.2 -1.8 9.2 2.7 -20.0 -20.0 -17.5 -14.4 -20.0 -2.8 -0.0 -6.0 -2.0 -3.8 -3.3 0.6 -5.2 -19.2 -13.4 -20.0 -20.0 -20.0 GBP 12.0 10.0 19.9 4.7 3.3 2.0 4.7 -1.6 5.3 12.6 9.6 15.1 -3.7 12.3 14.3 -2.2 -1.7 -2.1 -2.0 15.5 8.5 12.0 -6.0 14.2 13.3 -0.0 5.0 2.6 0.5 4.4 -5.8 5.4 0.6 -0.6 -2.3 -5.6 -1.2 GOLD_micro 20.0 20.0 20.0 4.6 1.3 2.8 4.7 1.3 5.7 3.2 9.2 12.9 -3.8 15.1 16.0 -12.4 -9.3 -11.6 -10.8 20.0 17.0 15.9 2.9 20.0 6.1 -0.0 6.0 0.6 3.6 3.7 0.9 5.9 -14.3 -14.1 -0.4 3.9 3.4 HEATOIL 16.5 5.7 -10.7 1.4 -4.0 -0.3 1.4 3.6 3.5 -5.4 -4.0 7.6 8.5 10.7 2.8 20.0 20.0 20.0 20.0 5.4 2.6 8.6 11.7 11.7 -16.1 -0.0 3.4 -2.3 2.5 3.1 7.4 5.3 20.0 10.3 12.5 4.7 6.4 JPY 5.4 20.0 20.0 4.7 3.3 2.0 4.7 -1.6 5.3 -7.5 7.2 3.1 -8.1 10.1 13.8 -11.7 -10.8 -11.8 -11.8 17.1 8.9 1.4 -8.2 11.1 5.9 -0.0 5.2 -0.8 2.3 0.3 -4.0 3.2 -15.7 -20.0 -17.0 5.4 3.5 LEANHOG -20.0 -13.6 -4.6 -3.7 8.3 -4.5 2.3 -1.9 -1.7 2.0 -2.3 -10.7 -2.6 -12.7 -5.8 -20.0 2.2 -20.0 -16.6 -14.5 -7.1 -9.5 -0.2 -17.5 -8.8 -0.0 -5.0 1.0 -2.9 -2.8 -0.5 -5.6 -20.0 -9.8 -20.0 -18.1 4.8 LIVECOW -6.8 3.9 8.8 -3.7 8.3 -4.5 2.3 -1.9 -1.7 6.4 11.6 2.6 2.4 5.1 10.4 -20.0 -20.0 -20.0 -20.0 5.3 7.1 1.4 3.9 1.7 -20.0 -0.0 5.7 1.7 5.8 2.7 4.4 4.0 -20.0 6.3 8.4 16.4 20.0 MXP 19.6 16.3 12.3 4.7 3.3 2.0 4.7 -1.6 5.3 10.1 15.2 13.4 15.3 14.5 14.9 20.0 20.0 20.0 20.0 20.0 20.0 14.1 19.8 20.0 -20.0 -0.0 6.2 2.3 5.7 3.4 4.6 5.2 20.0 -11.4 1.8 -1.0 8.0 NASDAQ 20.0 1.6 -1.2 4.0 4.3 1.7 5.4 -0.2 5.6 13.7 -9.1 15.1 -12.7 8.7 3.2 -6.0 -3.9 -5.4 -4.9 4.3 -7.1 20.0 -14.0 16.9 8.8 -0.0 3.5 10.0 -0.5 8.9 -2.8 7.0 -2.6 14.3 -5.5 -7.1 -16.1 NIKKEI 20.0 -15.2 -3.0 4.0 4.3 1.7 5.4 -0.2 5.6 14.0 -3.5 14.8 -0.8 1.7 -4.0 20.0 12.3 17.3 14.6 -1.2 -3.8 20.0 -1.8 10.9 7.7 -0.0 -0.8 7.7 -2.5 8.1 -2.2 3.9 20.0 20.0 -19.9 -20.0 -20.0 NZD 8.3 12.1 20.0 4.7 3.3 2.0 4.7 -1.6 5.3 10.0 10.7 13.9 -3.4 13.2 14.8 0.6 0.5 0.2 0.1 17.3 11.4 12.1 -2.1 14.6 -0.5 -0.0 5.8 2.2 3.4 3.7 -0.9 5.0 4.2 0.5 -0.3 1.1 9.3 OAT 20.0 -1.9 6.6 2.7 -1.2 -1.1 2.3 -5.0 4.1 -13.4 -8.2 5.3 -12.1 2.1 0.6 12.1 12.9 12.9 13.4 -0.5 -9.5 -0.0 -19.5 4.2 6.4 -0.0 1.0 -3.6 -3.3 0.1 -9.2 2.3 20.0 -11.4 -3.6 -14.1 -1.8 OJ -1.4 9.1 20.0 -3.7 8.3 -4.5 2.3 -1.9 -1.7 -1.0 14.4 -1.3 14.7 7.6 11.9 19.1 13.9 17.6 16.9 13.5 20.0 -0.8 20.0 2.7 -20.0 -0.0 6.1 1.1 11.3 0.6 15.0 2.3 10.7 -4.1 12.0 15.9 20.0 PALLAD -3.4 -10.6 -14.3 4.6 1.3 2.8 4.7 1.3 5.7 -13.8 -13.2 -13.6 -10.6 -12.2 -14.0 -2.7 -1.5 -2.1 -1.8 -15.1 -15.1 -16.4 -12.3 -13.7 10.1 -0.0 -4.6 -11.3 -4.7 -6.2 -3.5 -4.0 0.0 -20.0 -20.0 -20.0 -20.0 PLAT -6.8 3.2 18.9 4.6 1.3 2.8 4.7 1.3 5.7 -13.3 11.5 -11.1 2.9 0.1 10.1 -2.1 -0.7 -1.3 -0.9 8.4 11.5 -10.5 6.1 -1.7 -2.8 -0.0 5.2 -6.2 5.6 -2.8 2.3 1.3 1.6 -20.0 -20.0 -16.2 3.4 REDWHEAT 2.2 -4.4 -13.7 -3.7 8.3 -4.5 2.3 -1.9 -1.7 12.8 -13.6 3.4 -8.5 -3.1 -12.0 4.7 1.4 4.4 3.3 -10.1 -12.6 7.3 -6.1 -2.3 -1.4 -0.0 -3.9 8.8 -3.6 3.8 1.2 -0.7 -12.0 6.7 -2.1 -5.9 -6.6 ROBUSTA 20.0 20.0 -14.1 -3.7 8.3 -4.5 2.3 -1.9 -1.7 14.1 -8.5 15.6 -6.5 15.2 -2.3 14.8 9.7 13.7 11.7 6.0 -5.2 20.0 -5.0 18.5 -3.4 -0.0 0.2 12.4 -3.1 9.4 -2.4 5.1 2.0 20.0 20.0 15.3 -20.0 RUSSELL 20.0 3.7 6.4 4.0 4.3 1.7 5.4 -0.2 5.6 13.9 -1.8 15.1 -10.1 12.3 9.7 -5.3 -3.1 -4.9 -4.2 8.7 0.8 17.3 -6.2 15.5 -2.0 -0.0 4.4 5.8 1.6 6.3 -0.5 6.4 -1.4 -6.9 -8.7 -6.5 -7.9 SILVER-mini -6.2 8.9 20.0 4.6 1.3 2.8 4.7 1.3 5.7 -5.5 11.7 -1.3 -0.6 8.8 13.9 -5.7 -3.8 -4.9 -4.5 13.2 13.3 -0.3 3.7 4.7 6.5 -0.0 5.4 -0.8 4.8 0.8 0.4 2.6 -4.2 -20.0 -20.0 -9.4 5.0 SOYBEAN -18.8 -6.1 1.1 -3.7 8.3 -4.5 2.3 -1.9 -1.7 -7.4 0.4 -11.3 4.4 -11.1 -3.6 20.0 20.0 20.0 20.0 -6.5 0.0 -15.4 6.0 -14.7 -19.9 -0.0 -1.5 -1.4 2.2 -6.2 6.3 -5.6 20.0 -20.0 -15.8 1.2 11.7 SOYMEAL -4.2 13.7 15.1 -3.7 8.3 -4.5 2.3 -1.9 -1.7 3.8 12.0 1.3 12.1 10.9 13.0 20.0 16.4 19.6 17.7 17.2 18.2 3.7 14.3 8.5 -20.0 -0.0 5.5 2.2 6.2 0.9 5.7 2.5 13.2 -8.4 11.0 20.0 20.0 SOYOIL -7.1 -10.9 -5.8 -3.7 8.3 -4.5 2.3 -1.9 -1.7 -12.0 -1.6 -13.5 4.0 -7.3 -8.8 2.1 18.2 9.0 14.1 -10.5 -4.5 -12.9 5.9 -12.3 -11.6 -0.0 -4.0 -3.7 -0.8 -4.7 3.7 -5.0 12.3 -20.0 -14.1 -20.0 7.4 SP400 20.0 5.0 12.7 4.0 4.3 1.7 5.4 -0.2 5.6 13.8 6.3 14.9 -3.8 12.8 12.4 -5.4 -2.6 -4.1 -3.2 12.6 6.7 17.6 0.3 16.5 -5.8 -0.0 5.0 6.3 2.9 6.4 1.2 6.3 0.0 -4.9 -10.3 -7.2 -2.1 SP500 17.8 1.2 5.8 4.0 4.3 1.7 5.4 -0.2 5.6 13.9 -1.8 14.8 -8.0 7.3 7.6 -6.3 -4.1 -5.7 -5.0 6.5 -0.5 17.3 -6.1 12.5 3.8 -0.0 4.1 8.4 0.7 7.6 -2.1 6.3 -2.8 -1.2 -15.3 -10.6 -8.4 SUGAR11 -3.6 0.9 14.5 -3.7 8.3 -4.5 2.3 -1.9 -1.7 13.4 7.9 11.3 5.4 3.1 8.0 20.0 20.0 20.0 20.0 8.9 9.5 19.8 7.2 10.1 -20.0 -0.0 5.7 10.7 5.9 6.2 4.4 4.4 20.0 20.0 8.4 20.0 20.0 US10 15.6 13.6 16.1 2.7 -1.2 -1.1 2.3 -5.0 4.1 -10.5 -4.8 6.4 -11.2 8.6 10.6 -8.7 -1.8 -7.9 -6.0 7.3 -3.7 2.7 -17.4 8.6 -2.6 -0.0 3.8 -2.1 -0.7 1.4 -6.8 4.1 -7.3 -4.4 -13.4 0.9 2.7 US10U 14.8 12.5 15.7 2.7 -1.2 -1.1 2.3 -5.0 4.1 -7.9 -4.8 7.4 -11.2 9.0 10.4 0.6 4.1 0.8 1.5 6.5 -4.0 2.8 -17.2 8.0 -5.2 -0.0 4.3 -1.6 0.1 1.6 -5.3 4.4 4.2 -3.0 -9.1 3.9 3.8 US20 13.5 13.7 16.7 2.7 -1.2 -1.1 2.3 -5.0 4.1 -5.8 -3.2 8.0 -10.3 9.3 11.2 -8.9 -0.1 -5.2 -2.7 7.4 -3.5 4.0 -16.7 8.8 -3.7 -0.0 3.5 -1.2 -0.6 1.7 -5.6 3.8 -2.7 0.0 -15.2 1.5 -0.9 US30 14.0 12.2 20.0 2.7 -1.2 -1.1 2.3 -5.0 4.1 -4.1 -2.8 9.2 -11.8 6.5 9.1 -1.4 -0.1 -1.2 -0.9 6.6 -4.4 5.2 -18.7 8.5 -5.2 -0.0 4.1 0.2 0.1 2.3 -5.1 4.2 -1.5 -0.7 -10.0 5.5 0.4 US5 15.4 14.6 15.9 2.7 -1.2 -1.1 2.3 -5.0 4.1 -12.8 -4.8 5.5 -11.5 7.4 10.4 -9.8 -1.1 -7.7 -5.8 7.2 -4.3 1.9 -19.2 8.3 -0.7 -0.0 3.7 -2.6 -1.0 0.7 -8.2 3.7 -6.6 -8.5 -15.9 1.7 2.9 VIX -20.0 -19.6 -20.0 -5.1 -4.4 -4.0 -5.2 -2.7 -5.4 -14.1 -15.8 -15.6 -13.5 -16.2 -16.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.5 -20.0 NaN -0.0 -6.5 -4.5 -5.5 -5.3 -3.7 -6.1 NaN NaN NaN NaN NaN WHEAT -1.8 -4.7 -18.8 -3.7 8.3 -4.5 2.3 -1.9 -1.7 10.2 -15.2 -5.4 -12.0 -8.9 -13.8 -9.4 -5.6 -7.9 -6.6 -15.3 -18.7 -0.4 -11.9 -8.0 2.6 -0.0 -5.0 2.9 -4.8 -0.4 -0.6 -3.0 -20.0 -3.8 -9.8 -7.3 -9.9 End of report for caleb_strategy_v1