******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230130_204309 produced at 2023-01-30 21:35:47.973253 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.25 -0.26 0.0 7323597.08 -7323597.08 -0.25 -0.25 -34.83 999999999 -34 -34 caleb_strategy_v1 FEEDCOW False False 0.03 -0.16 -0.13 0.0 32718297.39 -32718297.39 -0.16 -0.16 -3.84 999999999 -5 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.13 -0.11 0.0 22208680.70 -22208680.70 -0.13 -0.11 -5.07 999999999 -6 -5 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.10 0.0 46120819.89 -46120819.89 -0.09 -0.09 -2.24 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 11751739.54 -11751739.54 -0.06 -0.07 -7.55 999999999 -5 -6 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.08 0.0 37056063.09 -37056063.09 -0.22 -0.22 -2.15 999999999 -6 -6 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 38842889.09 -38842889.09 0.00 0.00 -1.54 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 0.00 -0.05 0.0 44105131.48 -44105131.48 0.00 0.00 -1.06 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.16 -0.05 0.0 32737413.51 -32737413.51 -0.16 -0.16 -1.54 999999999 -5 -5 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.82 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.02 0.0 53118347.59 -53118347.59 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 48183236.58 -48183236.58 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.02 0.0 9046596.48 -9046596.48 -0.02 -0.02 -2.50 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 38022824.63 -38022824.63 0.00 0.00 -0.57 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13300569.87 -13300569.87 -0.03 -0.03 -0.62 999999999 -2 -2 caleb_strategy_v1 RUSSELL False False 0.00 -0.06 -0.01 0.0 3225951.06 -3225951.06 -0.06 -0.09 -1.76 999999999 -19 -27 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5745540.33 -5745540.33 0.00 0.00 -1.52 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 9247103.32 -9247103.32 0.00 0.00 -0.48 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.00 -0.00 0.0 81517922.57 -81517922.57 0.00 0.00 -0.01 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 17294564.05 -17294564.05 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 -0.03 -0.00 0.0 12574837.08 -12574837.08 -0.03 -0.03 -0.01 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.00 0.0 6583760.84 -6583760.84 -0.02 -0.01 -0.48 999999999 -3 -2 caleb_strategy_v1 SP500 False False 0.07 -0.14 -0.00 0.0 68575886.10 -68575886.10 -0.14 -0.14 -0.07 999999999 -2 -2 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 21766885.98 -21766885.98 0.00 0.00 -0.11 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 55343284.65 -55343284.65 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14572428.90 -14572428.90 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 10424656.17 -10424656.17 0.00 0.00 0.40 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.00 0.0 46201532.38 -46201532.38 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 -0.01 -0.00 0.0 14727906.65 -14727906.65 -0.01 -0.01 -0.22 999999999 -1 -1 caleb_strategy_v1 SP400 False False 0.09 0.35 0.00 0.0 88617223.87 -88617223.87 0.35 0.44 0.03 999999999 4 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4195700.54 -4195700.54 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20305564.99 -20305564.99 0.00 0.00 0.54 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 6919184.99 -6919184.99 0.01 0.01 0.93 999999999 2 2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 780617.28 -780617.28 0.00 0.00 17.61 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10029589.74 -10029589.74 0.03 0.03 1.05 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.01 0.01 0.0 5585389.82 -5585389.82 0.01 0.01 2.59 999999999 2 2 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 21997978.60 -21997978.60 0.04 0.04 0.90 999999999 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 24035331.94 -24035331.94 0.00 0.00 0.66 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7574400.54 -7574400.54 0.02 0.02 2.21 999999999 2 2 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 25406594.79 -25406594.79 0.00 0.00 0.86 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.05 0.03 0.0 26116766.68 -26116766.68 0.05 0.05 0.98 999999999 2 2 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 35496506.49 -35496506.49 0.07 0.07 0.81 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8983725.70 -8983725.70 0.03 0.03 3.69 999999999 3 3 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26252801.59 -26252801.59 0.16 0.16 1.19 999999999 6 6 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 41943881.21 -41943881.21 0.04 0.04 0.84 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.05 0.04 0.0 15329406.53 -15329406.53 0.05 0.05 2.65 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.03 0.04 0.0 25624093.72 -25624093.72 0.03 0.05 1.46 999999999 1 2 caleb_strategy_v1 US10U False False 0.04 0.00 0.04 0.0 41120893.11 -41120893.11 0.00 0.00 0.92 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.15 0.05 0.0 48406711.81 -48406711.81 0.15 0.15 1.01 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.06 0.0 29846631.71 -29846631.71 0.03 0.03 2.01 999999999 1 1 caleb_strategy_v1 HEATOIL False False 0.04 0.08 0.06 0.0 41087316.71 -41087316.71 0.08 0.08 1.56 999999999 2 2 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 23228206.98 -23228206.98 0.02 0.02 2.80 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.08 0.0 16020156.21 -16020156.21 0.08 0.08 4.80 999999999 5 5 caleb_strategy_v1 BOBL False False 0.04 0.09 0.14 0.0 43333776.90 -43333776.90 0.09 0.09 3.28 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.20 0.0 50670361.55 -50670361.55 0.10 0.10 4.01 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.37 0.0 0.00 0.00 0.00 0.00 51.92 999999999 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 15.8 Shocked risk 46.9 Sum abs risk 42.1 Leverage 2.55 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2942543.09, 'annual_cash_vol_target': 735635.7725, 'daily_cash_vol_target': 45977.23578125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.7072 0.7317 11.7078 BITCOIN 740.0132 22970.0000 3.2217 51.5464 BOBL 0.3284 117.5400 0.2794 4.4698 BTP 0.8894 113.7700 0.7818 12.5087 BUND 0.7360 137.4400 0.5355 8.5686 BUXL 1.9110 144.0800 1.3263 21.2212 CAC 58.6754 7084.0000 0.8283 13.2525 CAD 0.0037 0.7476 0.4926 7.8809 CANOLA 8.6791 825.9000 1.0509 16.8139 CHF 0.0056 1.0857 0.5154 8.2456 COCOA 34.5041 2662.0000 1.2962 20.7387 COFFEE 0.0339 1.7080 1.9853 31.7649 COPPER 0.0473 4.1780 1.1331 18.1302 CORN 4.6903 590.2500 0.7946 12.7140 COTTON2 0.0163 0.8576 1.8996 30.3937 CRUDE_W 1.2115 75.4000 1.6068 25.7088 DAX 122.4297 15150.0000 0.8081 12.9299 DOW 282.2458 33813.0000 0.8347 13.3556 EUR 0.0051 1.0876 0.4718 7.5488 EUROSTX 39.1902 4158.0000 0.9425 15.0804 FEEDCOW 1.1676 192.5500 0.6064 9.7026 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 20.4971 878.2500 2.3339 37.3417 GASOILINE 0.0512 2.6639 1.9204 30.7259 GAS_US 0.1788 2.7210 6.5727 105.1639 GBP 0.0075 1.2360 0.6090 9.7442 GOLD_micro 14.3654 1937.3000 0.7415 11.8643 HEATOIL 0.0596 2.8786 2.0709 33.1346 JPY 0.0001 0.0077 0.8360 13.3767 LEANHOG 1.2483 86.4500 1.4439 23.1029 LIVECOW 0.9556 163.3750 0.5849 9.3588 MXP 0.0003 0.0529 0.5855 9.3673 NASDAQ 154.2920 11993.5000 1.2865 20.5834 NIKKEI 253.1985 27440.0000 0.9227 14.7638 NZD 0.0045 0.6473 0.6954 11.1260 OAT 0.7808 131.3000 0.5947 9.5146 OJ 0.0224 2.0450 1.0977 17.5631 PALLAD 38.7092 1628.5000 2.3770 38.0318 PLAT 16.8580 1017.8000 1.6563 26.5011 REDWHEAT 13.2047 866.7500 1.5235 24.3756 ROBUSTA 26.2166 2036.0000 1.2877 20.6024 RUSSELL 21.7123 1898.5000 1.1437 18.2985 SILVER-mini 0.3828 23.9000 1.6015 25.6247 SOYBEAN 10.6104 1367.0000 0.7762 12.4189 SOYMEAL 5.9674 471.4000 1.2659 20.2541 SOYOIL 0.7923 61.6700 1.2848 20.5567 SP400 26.6726 2607.6000 1.0229 16.3660 SP500 39.4342 4035.7500 0.9771 15.6339 SUGAR11 0.0025 0.1990 1.2481 19.9699 US10 0.5055 114.2969 0.4423 7.0768 US10U 0.6951 121.0000 0.5744 9.1911 US20 0.9878 129.7812 0.7611 12.1781 US30 1.5732 141.7812 1.1096 17.7536 US5 0.3320 109.0391 0.3045 4.8715 VIX 0.4976 21.5500 2.3089 36.9429 WHEAT 10.3404 782.7500 1.3210 21.1366 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 707.25 0.73 517.52 1.00 517.52 45977.24 88.84 4.64 41.21 BITCOIN 22.97 3.22 74.00 1.00 74.00 45977.24 621.30 12.03 747.51 BOBL 1175.40 0.28 328.36 1.09 357.57 45977.24 128.58 3.54 45.52 BTP 1137.70 0.78 889.45 1.09 966.89 45977.24 47.55 8.72 41.47 BUND 1374.40 0.54 736.04 1.09 801.50 45977.24 57.36 9.69 55.59 BUXL 1440.80 1.33 1910.97 1.09 2077.34 45977.24 22.13 -1.93 -4.28 CAC 708.40 0.83 586.75 1.09 637.84 45977.24 72.08 4.84 34.90 CAD 747.60 0.49 368.23 1.00 368.23 45977.24 124.86 3.88 48.41 CANOLA 165.18 1.05 173.58 0.75 130.50 45977.24 352.31 0.83 29.24 CHF 1357.12 0.52 699.39 1.00 699.39 45977.24 65.74 -9.12 -59.97 COCOA 266.20 1.30 345.04 1.00 345.04 45977.24 133.25 -8.61 -114.78 COFFEE 640.50 1.99 1271.59 1.00 1271.59 45977.24 36.16 -2.31 -8.36 COPPER 1044.50 1.13 1183.56 1.00 1183.56 45977.24 38.85 7.59 29.50 CORN 295.12 0.79 234.51 1.00 234.51 45977.24 196.05 5.94 116.50 COTTON2 428.80 1.90 814.55 1.00 814.55 45977.24 56.44 1.94 10.94 CRUDE_W 754.00 1.61 1211.53 1.00 1211.53 45977.24 37.95 2.91 11.05 DAX 151.50 0.81 122.43 1.09 133.09 45977.24 345.46 1.38 47.78 DOW 169.06 0.83 141.12 1.00 141.12 45977.24 325.80 -1.63 -53.19 EUR 1359.50 0.47 641.42 1.00 641.42 45977.24 71.68 0.31 2.21 EUROSTX 415.80 0.94 391.90 1.09 426.02 45977.24 107.92 8.74 94.34 FEEDCOW 962.75 0.61 583.82 1.00 583.82 45977.24 78.75 -18.12 -142.72 FTSE100 707.00 0.82 576.59 1.24 666.67 45977.24 68.97 -2.56 -17.68 GASOIL 878.25 2.33 2049.71 1.00 2049.71 45977.24 22.43 12.55 28.16 GASOILINE 1118.84 1.92 2148.58 1.00 2148.58 45977.24 21.40 -6.43 -13.76 GAS_US 272.10 6.57 1788.44 1.00 1788.44 45977.24 25.71 -12.47 -32.07 GBP 772.50 0.61 470.46 1.00 470.46 45977.24 97.73 6.82 66.62 GOLD_micro 193.73 0.74 143.65 1.00 143.65 45977.24 320.06 -0.67 -21.41 HEATOIL 1209.01 2.07 2503.76 1.00 2503.76 45977.24 18.36 11.94 21.92 JPY 963.31 0.84 805.37 1.00 805.37 45977.24 57.09 -4.18 -23.84 LEANHOG 345.80 1.44 499.31 1.00 499.31 45977.24 92.08 -17.55 -161.61 LIVECOW 653.50 0.58 382.25 1.00 382.25 45977.24 120.28 -15.68 -188.65 MXP 264.35 0.59 154.77 1.00 154.77 45977.24 297.08 10.15 301.66 NASDAQ 2398.70 1.29 3085.84 1.00 3085.84 45977.24 14.90 -0.13 -0.20 NIKKEI 27440.00 0.92 25319.85 0.01 194.90 45977.24 235.90 11.59 273.36 NZD 647.30 0.70 450.12 1.00 450.12 45977.24 102.15 5.52 56.39 OAT 1313.00 0.59 780.79 1.09 848.77 45977.24 54.17 9.25 50.09 OJ 306.75 1.10 336.72 1.00 336.72 45977.24 136.55 1.67 22.76 PALLAD 1628.50 2.38 3870.92 1.00 3870.92 45977.24 11.88 -2.68 -3.18 PLAT 508.90 1.66 842.90 1.00 842.90 45977.24 54.55 1.17 6.37 REDWHEAT 433.38 1.52 660.24 1.00 660.24 45977.24 69.64 -5.82 -40.51 ROBUSTA 203.60 1.29 262.17 1.00 262.17 45977.24 175.37 4.07 71.46 RUSSELL 94.92 1.14 108.56 1.00 108.56 45977.24 423.51 -0.80 -33.93 SILVER-mini 597.50 1.60 956.92 1.00 956.92 45977.24 48.05 5.03 24.16 SOYBEAN 683.50 0.78 530.52 1.00 530.52 45977.24 86.66 5.48 47.52 SOYMEAL 471.40 1.27 596.74 1.00 596.74 45977.24 77.05 10.57 81.41 SOYOIL 370.02 1.28 475.40 1.00 475.40 45977.24 96.71 -0.10 -0.92 SP400 2607.60 1.02 2667.26 1.00 2667.26 45977.24 17.24 0.34 0.58 SP500 2017.88 0.98 1971.71 1.00 1971.71 45977.24 23.32 -1.06 -2.47 SUGAR11 222.88 1.25 278.18 1.00 278.18 45977.24 165.28 9.86 163.00 US10 1142.97 0.44 505.54 1.00 505.54 45977.24 90.95 -4.42 -40.23 US10U 1210.00 0.57 695.07 1.00 695.07 45977.24 66.15 0.95 6.31 US20 1297.81 0.76 987.80 1.00 987.80 45977.24 46.54 -3.09 -14.37 US30 1417.81 1.11 1573.21 1.00 1573.21 45977.24 29.23 -1.55 -4.52 US5 1090.39 0.30 331.99 1.00 331.99 45977.24 138.49 -4.05 -56.07 VIX 215.50 2.31 497.57 1.00 497.57 45977.24 92.40 -20.00 -184.81 WHEAT 391.38 1.32 517.02 1.00 517.02 45977.24 88.93 -13.05 -116.03 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 41.209 0.006 2.5 0.658 BITCOIN 747.512 0.009 2.5 17.612 BOBL 45.523 0.029 2.5 3.285 BTP 41.467 0.008 2.5 0.837 BUND 55.587 0.029 2.5 4.011 BUXL -4.277 0.034 2.5 -0.359 CAC 34.899 0.011 2.5 0.981 CAD 48.407 0.007 2.5 0.864 CANOLA 29.244 0.004 2.5 0.268 CHF -59.969 0.015 2.5 -2.244 COCOA -114.779 0.009 2.5 -2.500 COFFEE -8.362 0.005 2.5 -0.108 COPPER 29.499 0.011 2.5 0.806 CORN 116.504 0.004 2.5 1.051 COTTON2 10.936 0.006 2.5 0.165 CRUDE_W 11.051 0.053 2.5 1.460 DAX 47.776 0.022 2.5 2.595 DOW -53.195 0.011 2.5 -1.516 EUR 2.206 0.015 2.5 0.083 EUROSTX 94.340 0.011 2.5 2.652 FEEDCOW -142.724 0.011 2.5 -3.835 FTSE100 -17.676 0.041 2.5 -1.822 GASOIL 28.156 0.029 2.5 2.008 GASOILINE -13.763 0.016 2.5 -0.565 GAS_US -32.068 0.006 2.5 -0.483 GBP 66.621 0.007 2.5 1.189 GOLD_micro -21.408 0.009 2.5 -0.479 HEATOIL 21.919 0.029 2.5 1.564 JPY -23.838 0.026 2.5 -1.543 LEANHOG -161.606 0.019 2.5 -7.550 LIVECOW -188.655 0.011 2.5 -5.069 MXP 301.658 0.005 2.5 3.693 NASDAQ -0.198 0.022 2.5 -0.011 NIKKEI 273.363 0.076 2.5 51.921 NZD 56.391 0.006 2.5 0.901 OAT 50.093 0.008 2.5 1.012 OJ 22.762 0.007 2.5 0.397 PALLAD -3.179 0.010 2.5 -0.077 PLAT 6.370 0.010 2.5 0.153 REDWHEAT -40.512 0.002 2.5 -0.216 ROBUSTA 71.465 0.005 2.5 0.927 RUSSELL -33.927 0.021 2.5 -1.757 SILVER-mini 24.160 0.009 2.5 0.541 SOYBEAN 47.522 0.024 2.5 2.802 SOYMEAL 81.414 0.024 2.5 4.800 SOYOIL -0.921 0.004 2.5 -0.008 SP400 0.580 0.021 2.5 0.030 SP500 -2.472 0.011 2.5 -0.070 SUGAR11 162.996 0.005 2.5 2.212 US10 -40.229 0.015 2.5 -1.543 US10U 6.309 0.058 2.5 0.919 US20 -14.371 0.029 2.5 -1.059 US30 -4.520 0.034 2.5 -0.379 US5 -56.071 0.015 2.5 -2.151 VIX -184.805 0.075 2.5 -34.827 WHEAT -116.028 0.002 2.5 -0.619 ==================== Position diags ==================== AUD 1.42 BITCOIN 14.64 BOBL 9.28 BTP 0.96 BUND 4.14 BUXL 1.86 CAC 2.03 CAD 2.23 CANOLA 3.23 CHF 2.46 COCOA 2.90 COFFEE 0.47 COPPER 1.06 CORN 1.77 COTTON2 0.85 CRUDE_W 5.01 DAX 18.76 DOW 9.28 EUR 2.68 EUROSTX 3.03 FEEDCOW 2.12 FTSE100 7.11 GASOIL 1.60 GASOILINE 0.88 GAS_US 0.39 GBP 1.74 GOLD_micro 7.16 HEATOIL 1.31 JPY 3.70 LEANHOG 4.30 LIVECOW 3.23 MXP 3.64 NASDAQ 0.81 NIKKEI 44.81 NZD 1.63 OAT 1.09 OJ 2.38 PALLAD 0.29 PLAT 1.31 REDWHEAT 0.37 ROBUSTA 2.27 RUSSELL 21.94 SILVER-mini 1.08 SOYBEAN 5.11 SOYMEAL 4.54 SOYOIL 0.89 SP400 0.89 SP500 0.66 SUGAR11 2.24 US10 3.49 US10U 9.64 US20 3.43 US30 2.45 US5 5.31 VIX 17.41 WHEAT 0.47 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 17.6 16.1 19.1 NaN 0 BOBL 3.3 2.4 4.2 2.0 2 BTP 0.8 0.7 0.9 1.0 1 BUND 4.0 3.6 4.4 2.0 2 BUXL -0.4 -0.5 -0.2 0.0 0 CAC 1.0 0.8 1.2 2.0 2 CAD 0.9 0.6 1.1 0.0 0 CANOLA 0.3 -0.1 0.6 NaN 0 CHF -2.2 -2.5 -2.0 -2.0 -2 COCOA -2.5 -2.8 -2.2 -2.0 -2 COFFEE -0.1 -0.2 -0.1 NaN 0 COPPER 0.8 0.7 0.9 2.0 2 CORN 1.1 0.9 1.2 3.0 3 COTTON2 0.2 0.1 0.2 NaN 0 CRUDE_W 1.5 1.0 2.0 1.0 1 DAX 2.6 0.7 4.5 2.0 2 DOW -1.5 -2.4 -0.6 0.0 0 EUR 0.1 -0.2 0.4 0.0 0 EUROSTX 2.7 2.3 3.0 3.0 3 FEEDCOW -3.8 -4.0 -3.6 -5.0 -5 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 2.0 1.8 2.2 1.0 1 GASOILINE -0.6 -0.7 -0.5 0.0 0 GAS_US -0.5 -0.5 -0.4 0.0 0 GBP 1.2 1.0 1.4 6.0 6 GOLD_micro -0.5 -1.2 0.2 -3.0 -3 HEATOIL 1.6 1.4 1.7 2.0 2 JPY -1.5 -1.9 -1.2 -5.0 -5 LEANHOG -7.6 -8.0 -7.1 -5.0 -5 LIVECOW -5.1 -5.4 -4.7 -6.0 -6 MXP 3.7 3.3 4.1 3.0 3 NASDAQ -0.0 -0.1 0.1 0.0 0 NIKKEI 51.9 47.4 56.4 0.0 0 NZD 0.9 0.7 1.1 2.0 2 OAT 1.0 0.9 1.1 3.0 3 OJ 0.4 0.2 0.6 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.2 0.0 0.3 NaN 0 REDWHEAT -0.2 -0.3 -0.2 -1.0 -1 ROBUSTA 0.9 0.7 1.2 2.0 2 RUSSELL -1.8 -4.0 0.4 -19.0 -19 SILVER-mini 0.5 0.4 0.6 0.0 0 SOYBEAN 2.8 2.3 3.3 1.0 1 SOYMEAL 4.8 4.3 5.3 5.0 5 SOYOIL -0.0 -0.1 0.1 -2.0 -2 SP400 0.0 -0.1 0.1 4.0 4 SP500 -0.1 -0.1 -0.0 -2.0 -2 SUGAR11 2.2 2.0 2.4 2.0 2 US10 -1.5 -1.9 -1.2 NaN 0 US10U 0.9 -0.0 1.9 0.0 0 US20 -1.1 -1.4 -0.7 0.0 0 US30 -0.4 -0.6 -0.1 0.0 0 US5 -2.2 -2.7 -1.6 -6.0 -6 VIX -34.8 -36.6 -33.1 -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 0.0 0.1 0.1 -0.1 0.1 0.4 -0.3 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.0 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 -0.2 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 -0.9 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 2.0 -0.0 -0.1 -0.2 -0.1 BTP 0.2 0.0 0.2 0.0 -0.0 -0.0 0.0 -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 -0.2 -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 0.1 -0.1 0.1 0.0 -0.0 -0.0 0.0 -0.1 0.1 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 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 0.2 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 0.3 0.0 0.2 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 0.1 0.2 0.1 0.1 0.0 0.1 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 0.0 -0.1 0.0 -0.1 0.0 2.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.1 -0.0 -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 0.0 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 0.1 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 0.1 0.1 -0.0 0.0 0.0 -1.2 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.0 -2.4 -0.1 -0.3 -0.1 -0.0 COCOA -0.1 0.1 0.3 -0.0 0.0 -0.1 0.1 -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 -0.1 0.2 0.3 0.3 COFFEE 0.1 0.1 -0.3 -0.0 0.0 -0.1 0.1 -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 0.0 -0.1 0.1 0.4 -0.1 -0.0 -0.0 -0.0 0.2 0.2 0.0 0.0 0.0 0.9 -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 -0.0 -0.1 -0.2 -0.0 0.0 -0.1 0.1 -0.0 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.3 1.6 0.8 0.4 0.4 -0.1 -0.0 -0.0 0.1 -0.0 -0.9 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.3 -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 0.1 -0.0 0.0 -0.0 -0.0 0.0 0.0 0.0 0.3 0.0 0.1 0.3 0.1 CRUDE_W 0.1 0.1 -0.0 0.0 -0.1 -0.0 -0.0 0.1 0.0 -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 0.0 -0.0 0.0 -0.0 0.1 0.0 0.0 -0.0 0.1 0.0 0.2 DAX 0.3 0.2 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 0.3 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 0.0 -0.0 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 -0.5 -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 0.1 0.2 EUROSTX 0.2 0.2 0.3 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.4 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 0.1 -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 -0.3 0.0 -0.1 -0.0 -0.0 0.1 0.0 -0.0 -0.1 0.0 0.2 0.0 -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 -0.1 -0.0 -0.0 0.1 0.0 -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 -0.1 -0.0 -0.0 0.1 0.0 -0.0 -0.4 -0.1 -0.2 -0.1 -0.4 0.8 -0.1 0.2 0.1 -0.2 -0.2 -0.0 -0.2 -0.0 -0.4 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -2.6 -0.1 -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 0.0 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 0.0 -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 0.1 HEATOIL 0.2 0.1 -0.2 0.0 -0.1 -0.0 -0.0 0.1 0.0 -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 0.1 0.0 -1.5 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 2.8 0.0 0.2 0.1 0.1 JPY 0.0 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 0.0 LEANHOG -0.2 -0.2 -0.1 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -1.6 0.0 -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 -0.3 0.1 LIVECOW -0.0 0.0 0.1 -0.0 0.0 -0.1 0.1 -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 0.0 -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 0.1 0.0 0.1 NASDAQ 0.3 0.0 0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -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 0.0 -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 -0.3 -0.3 -0.3 NZD 0.1 0.2 0.3 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 0.3 0.0 -0.1 0.1 0.4 0.0 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 0.0 -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 0.1 0.5 -0.1 0.0 -0.1 0.0 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.3 0.5 0.3 0.3 0.0 0.1 0.0 0.1 0.0 -5.1 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 1.5 0.0 0.3 0.2 0.3 PALLAD -0.1 -0.2 -0.2 0.1 -0.0 0.1 0.0 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 0.0 REDWHEAT 0.1 -0.1 -0.2 -0.0 0.0 -0.1 0.1 -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 -0.1 0.0 -0.1 -0.0 -0.2 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.0 -1.6 0.0 -0.1 -0.0 -0.1 ROBUSTA 0.2 0.3 -0.2 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.2 0.0 -0.1 0.1 -0.0 1.1 0.4 0.3 0.2 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 0.3 0.0 0.4 0.2 -0.3 RUSSELL 0.3 0.1 0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -0.0 0.1 -0.3 0.1 0.3 -0.3 -0.1 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 -0.2 -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 -0.0 0.0 -0.1 0.1 -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 -2.9 -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 -0.1 0.2 0.2 -0.0 0.0 -0.1 0.1 -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 1.9 -0.0 0.2 0.3 0.3 SOYOIL -0.1 -0.2 -0.1 -0.0 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.2 0.1 0.7 0.2 0.3 -0.1 -0.1 -0.0 0.1 -0.0 -1.6 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 1.6 -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 -0.1 -0.1 -0.0 SP500 0.2 0.0 0.1 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 -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 -0.0 0.0 -0.1 0.1 -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 0.0 0.0 2.7 0.0 0.2 0.3 0.3 US10 0.1 0.2 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -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 -0.3 -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 0.1 0.2 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -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 0.0 -0.0 0.0 0.0 -0.1 0.0 0.6 0.0 -0.1 0.1 0.1 US20 0.1 0.2 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -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 0.1 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 -0.0 -0.0 -0.0 0.1 -0.1 0.0 -0.2 0.0 -0.6 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 0.1 0.0 US5 0.1 0.2 0.3 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.0 -0.1 0.0 -0.3 0.0 0.2 -0.8 -0.1 -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 -1.0 -0.0 -0.0 0.0 0.0 VIX -0.2 -1.0 -1.3 -0.1 -0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.5 -0.0 -0.5 -0.1 -0.5 -3.1 -1.6 -0.8 -0.8 -0.3 -0.3 -0.0 -0.3 -0.0 NaN -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 NaN NaN NaN NaN NaN WHEAT 0.0 -0.1 -0.3 -0.0 0.0 -0.1 0.1 -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 -0.2 -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 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 18.0 16.7 19.4 4.7 1.4 2.0 3.8 -1.5 5.0 8.9 5.4 14.1 -4.3 15.1 15.2 -3.5 -2.3 -3.2 -2.8 17.5 7.6 16.0 -3.7 19.4 5.0 -0.0 5.4 2.0 2.2 4.7 -1.4 5.9 -0.6 1.2 8.3 2.7 -4.9 BITCOIN 20.0 20.0 20.0 4.6 -0.2 2.9 3.5 1.4 5.3 11.1 -4.2 15.1 -15.1 15.4 9.7 -0.7 -0.5 0.5 0.4 15.8 -2.6 20.0 -19.5 20.0 20.0 -0.0 4.1 2.3 0.1 5.7 -2.2 6.6 2.9 13.7 14.8 6.5 -20.0 BOBL 19.3 -2.4 -4.7 2.7 -1.2 -1.1 2.3 -5.0 4.1 -13.1 -12.1 4.9 -13.4 -0.2 -2.4 -10.4 9.6 -1.0 6.0 -6.4 -17.9 -0.6 -20.0 1.3 12.3 -0.0 -0.9 -3.6 -6.0 -0.3 -11.9 1.3 14.3 -12.0 -10.1 -17.1 -10.4 BTP 18.3 0.6 13.9 2.6 -3.3 -1.1 0.8 -5.1 3.5 -13.8 -1.2 3.4 -10.3 4.9 6.9 9.4 14.0 12.3 14.3 5.7 -2.0 -3.2 -14.3 5.9 -3.2 -0.0 2.8 -5.9 -0.5 -1.1 -6.2 2.6 20.0 -11.1 -0.7 -7.8 9.7 BUND 20.0 -0.5 1.9 2.7 -1.2 -1.1 2.3 -5.0 4.1 -13.4 -10.5 5.1 -12.8 1.7 -0.1 11.5 15.6 12.8 14.1 -3.3 -14.2 -0.6 -20.0 2.9 8.2 -0.0 0.5 -3.9 -4.2 -0.1 -9.7 2.1 20.0 -12.8 -5.0 -14.0 -6.2 BUXL 10.9 -8.2 6.0 2.6 -3.3 -1.1 0.8 -5.1 3.5 -13.9 -8.2 -0.8 -11.9 -3.5 -2.5 2.7 -0.2 3.8 2.9 -5.8 -12.2 -6.8 -20.0 -3.6 3.7 -0.0 -0.4 -5.0 -3.2 -2.2 -7.4 -0.1 1.3 -11.9 -10.8 -20.0 -5.7 CAC 20.0 12.5 20.0 4.1 1.7 1.7 4.2 -0.2 5.2 10.9 14.5 14.8 5.3 15.1 15.8 -3.9 2.0 -2.4 -0.5 20.0 20.0 15.4 12.1 20.0 -13.1 -0.0 5.6 1.7 4.5 3.6 2.5 5.2 6.4 -4.4 1.2 0.6 14.7 CAD 11.9 9.9 5.0 4.7 1.4 2.0 3.8 -1.5 5.0 6.2 -6.3 12.6 -9.6 12.3 6.7 -1.7 -1.2 -1.7 -1.6 4.1 -4.4 6.7 -10.3 7.9 15.1 -0.0 3.1 1.0 -1.8 3.4 -5.7 4.7 1.5 -10.0 -1.3 -11.4 -18.0 CANOLA -20.0 -4.6 -4.9 -2.9 12.3 -4.3 5.6 -1.9 0.1 0.8 -9.9 -9.3 -6.8 -8.5 -6.4 0.7 10.5 3.9 6.0 -11.1 -9.1 -10.8 -2.8 -15.4 6.4 -0.0 -4.5 3.0 -2.8 -3.4 0.0 -5.5 -2.0 -20.0 -20.0 -9.4 -3.3 CHF -1.3 9.0 20.0 4.7 1.4 2.0 3.8 -1.5 5.0 -9.8 12.7 3.7 0.7 7.6 14.4 -14.7 -12.7 -13.9 -13.5 12.2 10.9 -0.6 1.7 5.8 -9.0 -0.0 5.3 -3.1 3.8 -0.1 -0.9 3.0 -18.6 -10.4 -14.0 -4.7 -2.5 COCOA -5.8 8.3 20.0 -2.9 12.3 -4.3 5.6 -1.9 0.1 8.7 9.8 -2.9 -3.4 5.3 11.3 -4.1 -3.2 -2.4 -2.1 10.3 9.0 3.4 1.7 5.5 -17.7 -0.0 5.7 2.8 4.6 2.3 1.3 3.7 -20.0 -6.5 12.1 20.0 20.0 COFFEE 6.2 5.2 -20.0 -2.9 12.3 -4.3 5.6 -1.9 0.1 14.1 -12.5 11.5 -10.6 4.2 -10.4 -0.3 3.1 1.0 2.9 -10.6 -20.0 19.0 -15.9 4.5 11.6 -0.0 -2.3 9.1 -6.1 7.0 -4.9 2.8 -10.0 20.0 0.6 7.7 -20.0 COPPER 20.0 20.0 20.0 4.6 -0.2 2.9 3.5 1.4 5.3 -10.9 5.6 13.0 -4.4 14.4 15.2 -1.7 -0.3 -1.0 -0.6 20.0 17.0 10.6 0.7 20.0 7.6 -0.0 5.9 -2.2 3.7 1.6 1.0 4.9 2.2 -20.0 10.7 9.5 10.9 CORN -4.2 -7.6 -14.2 -2.9 12.3 -4.3 5.6 -1.9 0.1 -8.5 1.1 -11.0 2.8 -11.1 -12.9 20.0 18.0 20.0 20.0 -8.5 -4.0 -7.5 7.6 -8.6 -6.0 -0.0 -5.7 -1.7 -3.6 -3.9 1.7 -5.3 16.5 -20.0 -20.0 -12.9 -12.1 COTTON2 8.7 12.6 -6.2 -2.9 12.3 -4.3 5.6 -1.9 0.1 4.5 -8.7 10.7 -5.1 8.3 7.3 -1.5 12.6 1.5 6.8 1.3 -7.4 5.6 -5.0 6.6 0.2 -0.0 3.0 -1.9 -0.1 2.3 2.5 4.1 2.0 9.1 9.9 12.6 5.2 CRUDE_W 11.3 5.7 -0.9 1.0 -9.0 -0.4 -1.9 3.6 2.0 -12.2 -3.8 5.4 2.0 8.7 6.3 9.5 12.4 8.6 9.9 4.3 1.0 -2.3 4.8 5.0 -9.5 -0.0 3.7 -8.7 2.5 -1.4 5.4 3.4 0.0 -1.6 3.1 0.6 11.3 DAX 20.0 14.6 20.0 4.1 1.7 1.7 4.2 -0.2 5.2 4.6 13.7 13.6 0.4 14.4 15.6 -9.0 -3.9 -7.5 -5.8 20.0 20.0 11.9 6.6 20.0 -8.9 -0.0 5.5 0.6 4.5 2.5 1.3 4.5 -3.1 -11.0 0.2 -1.8 19.4 DOW 3.3 -1.7 17.5 4.1 1.7 1.7 4.2 -0.2 5.2 7.9 9.7 2.6 1.0 0.8 10.5 -6.4 -3.2 -5.9 -5.0 6.8 7.6 3.9 3.0 3.8 -4.5 -0.0 4.3 1.7 3.6 3.6 1.6 3.9 -2.1 -12.4 -20.0 -15.5 4.2 EUR 10.9 20.0 20.0 4.7 1.4 2.0 3.8 -1.5 5.0 -0.8 11.3 12.4 -4.8 14.2 16.1 -8.5 -8.5 -8.2 -8.4 20.0 16.5 8.1 -3.5 17.0 0.3 -0.0 6.1 -0.5 3.7 2.0 -1.6 4.6 -10.8 -10.6 2.6 10.4 12.6 EUROSTX 20.0 11.7 20.0 4.1 1.7 1.7 4.2 -0.2 5.2 8.0 14.4 14.5 4.0 15.1 15.8 10.6 5.0 7.8 5.6 20.0 20.0 12.2 10.2 20.0 -15.2 -0.0 5.6 0.7 4.9 2.8 2.4 4.6 13.5 -9.1 -1.9 -2.5 18.0 FEEDCOW -10.5 2.3 3.9 -2.9 12.3 -4.3 5.6 -1.9 0.1 11.6 0.5 -3.0 -0.3 -2.5 5.8 -20.0 -20.0 -20.0 -20.0 0.2 0.7 0.7 -0.6 -1.9 -20.0 -0.0 4.1 3.6 2.9 2.2 1.0 2.7 -20.0 9.3 4.7 15.0 19.0 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 17.8 5.0 -14.6 1.0 -9.0 -0.4 -1.9 3.6 2.0 -10.2 -3.8 7.1 9.2 10.1 -0.4 20.0 20.0 20.0 20.0 4.2 2.0 0.4 10.8 8.1 -4.9 -0.0 -0.5 -8.6 -1.1 -0.7 3.8 1.8 20.0 7.0 6.7 -8.3 -5.6 GASOILINE 20.0 16.8 -7.6 1.0 -9.0 -0.4 -1.9 3.6 2.0 -9.0 -6.9 9.1 3.2 12.3 8.3 -20.0 9.9 -20.0 -5.1 11.2 3.4 7.3 7.0 15.8 -12.3 -0.0 5.0 -2.5 3.1 1.8 4.2 5.1 -12.0 10.9 20.0 20.0 19.8 GAS_US -20.0 -20.0 -20.0 1.0 -9.0 -0.4 -1.9 3.6 2.0 -13.7 -15.3 -15.6 -7.9 -16.5 -16.6 9.6 -1.8 8.7 2.5 -20.0 -20.0 -19.4 -15.2 -20.0 -2.9 -0.0 -6.0 -3.2 -3.9 -3.7 0.4 -5.3 -19.3 -6.7 -20.0 -20.0 -20.0 GBP 12.5 10.1 20.0 4.7 1.4 2.0 3.8 -1.5 5.0 4.8 9.9 14.0 -3.5 12.2 14.4 -2.2 -1.7 -2.1 -2.0 15.4 8.7 8.9 -5.8 13.2 13.4 -0.0 5.0 0.1 0.6 3.2 -5.8 5.0 0.6 -1.0 -2.3 -6.6 -1.5 GOLD_micro 20.0 20.0 20.0 4.6 -0.2 2.9 3.5 1.4 5.3 -2.2 9.4 11.2 -3.6 14.4 15.8 -12.6 -9.4 -11.7 -10.9 20.0 17.4 11.3 3.3 20.0 6.2 -0.0 6.0 -0.8 3.7 2.6 1.0 5.4 -14.3 -15.7 -0.9 4.0 3.5 HEATOIL 16.2 5.3 -11.6 1.0 -9.0 -0.4 -1.9 3.6 2.0 -11.3 -4.0 4.1 8.4 9.3 2.5 20.0 20.0 20.0 20.0 4.4 2.4 0.8 11.4 8.1 -16.1 -0.0 3.1 -6.7 2.5 0.2 7.6 4.0 20.0 9.1 12.0 5.4 6.2 JPY 4.2 20.0 20.0 4.7 1.4 2.0 3.8 -1.5 5.0 -11.3 7.5 1.4 -7.9 9.4 13.6 -11.8 -10.8 -11.8 -11.9 16.6 9.0 -0.6 -8.1 9.7 5.7 -0.0 5.1 -1.7 2.4 -0.3 -4.0 2.8 -15.7 -20.0 -19.4 3.9 2.8 LEANHOG -20.0 -13.5 -5.2 -2.9 12.3 -4.3 5.6 -1.9 0.1 1.4 -2.7 -10.2 -2.8 -12.5 -6.5 -20.0 1.2 -20.0 -18.3 -14.8 -7.6 -8.2 -0.4 -16.7 -8.3 -0.0 -5.0 0.6 -3.0 -2.4 -0.6 -5.2 -20.0 -14.1 -20.0 -20.0 4.1 LIVECOW -5.6 2.9 7.8 -2.9 12.3 -4.3 5.6 -1.9 0.1 11.3 11.9 6.8 2.6 7.2 11.0 -20.0 -20.0 -20.0 -20.0 5.6 6.4 8.8 3.5 4.6 -20.0 -0.0 5.6 11.6 5.4 6.6 4.0 5.2 -20.0 18.2 11.8 16.8 20.0 MXP 18.6 17.3 12.7 4.7 1.4 2.0 3.8 -1.5 5.0 10.7 15.3 13.8 15.3 14.8 15.1 20.0 20.0 20.0 20.0 20.0 20.0 13.5 20.0 20.0 -20.0 -0.0 6.2 1.9 5.8 3.2 4.7 5.1 20.0 -9.3 3.7 1.4 7.1 NASDAQ 20.0 2.0 0.1 4.1 1.7 1.7 4.2 -0.2 5.2 8.8 -8.9 13.6 -12.7 9.3 4.0 -6.0 -3.9 -5.4 -4.9 4.8 -6.5 19.7 -13.6 15.7 8.8 -0.0 3.6 4.2 -0.3 6.9 -2.7 6.6 -2.6 13.0 -3.8 -7.0 -15.8 NIKKEI 20.0 -14.2 -3.0 4.1 1.7 1.7 4.2 -0.2 5.2 13.8 -3.2 14.9 -0.7 3.1 -3.2 20.0 12.4 17.6 14.8 -0.2 -3.4 20.0 -1.8 11.8 8.0 -0.0 -0.4 5.9 -2.4 7.5 -2.1 4.2 20.0 20.0 -14.1 -20.0 -20.0 NZD 9.3 12.2 20.0 4.7 1.4 2.0 3.8 -1.5 5.0 6.0 11.0 13.0 -3.3 12.9 14.8 0.5 0.5 0.2 0.1 17.3 11.6 9.7 -1.9 13.9 -0.5 -0.0 5.8 0.7 3.5 2.9 -0.8 4.7 4.2 2.0 -0.3 0.4 9.5 OAT 17.0 -2.9 7.3 2.6 -3.3 -1.1 0.8 -5.1 3.5 -13.8 -8.3 1.2 -12.1 1.0 0.2 11.8 12.9 12.8 13.4 -1.4 -9.6 -5.8 -19.5 1.2 6.1 -0.0 0.7 -6.9 -3.4 -2.2 -9.3 1.2 20.0 -13.9 -4.7 -14.9 -1.9 OJ -2.3 6.9 20.0 -2.9 12.3 -4.3 5.6 -1.9 0.1 9.6 14.5 4.8 14.8 9.4 12.2 18.2 13.8 17.3 16.8 13.4 20.0 5.4 20.0 4.9 -20.0 -0.0 6.3 8.1 11.0 3.9 14.4 3.5 10.8 2.2 13.1 15.9 20.0 PALLAD -6.2 -12.5 -14.6 4.6 -0.2 2.9 3.5 1.4 5.3 -11.1 -13.4 -13.2 -10.7 -12.6 -14.1 -2.9 -1.5 -2.2 -1.9 -16.0 -15.7 -17.0 -12.7 -14.9 10.4 -0.0 -4.8 -8.6 -4.8 -6.5 -3.5 -4.5 0.0 -20.0 -20.0 -20.0 -20.0 PLAT -9.4 3.0 18.7 4.6 -0.2 2.9 3.5 1.4 5.3 -13.8 11.3 -12.7 2.9 -1.5 9.4 -2.2 -0.7 -1.4 -0.9 7.3 11.3 -12.4 6.1 -3.5 -2.5 -0.0 4.8 -6.2 5.6 -3.8 2.4 0.4 1.6 -20.0 -20.0 -16.6 2.4 REDWHEAT 5.3 -3.6 -14.1 -2.9 12.3 -4.3 5.6 -1.9 0.1 13.6 -13.3 7.7 -8.5 -0.7 -11.4 4.8 1.4 4.5 3.4 -9.0 -12.4 10.3 -6.2 -0.0 -1.3 -0.0 -3.3 9.3 -3.5 5.4 1.2 0.5 -11.7 3.9 -3.4 -3.5 -7.6 ROBUSTA 20.0 20.0 -12.2 -2.9 12.3 -4.3 5.6 -1.9 0.1 12.1 -8.0 15.0 -6.3 15.1 -1.0 14.7 9.8 13.7 11.7 7.7 -3.9 20.0 -4.4 20.0 -3.7 -0.0 1.0 11.0 -2.5 9.8 -2.0 5.8 2.3 20.0 20.0 15.7 -20.0 RUSSELL 20.0 4.7 6.8 4.1 1.7 1.7 4.2 -0.2 5.2 9.0 -1.6 14.1 -10.1 12.5 10.1 -5.4 -3.1 -4.9 -4.3 8.8 1.2 13.4 -6.0 14.4 -2.0 -0.0 4.5 2.1 1.7 4.8 -0.5 5.9 -1.4 -5.6 -7.0 -5.9 -8.1 SILVER-mini -5.6 9.7 20.0 4.6 -0.2 2.9 3.5 1.4 5.3 -4.5 11.8 -2.1 -0.5 8.3 13.9 -5.6 -3.9 -4.9 -4.5 13.0 13.6 -1.0 3.9 4.2 6.7 -0.0 5.4 -0.9 4.9 0.5 0.4 2.4 -4.2 -20.0 -20.0 -9.7 4.4 SOYBEAN -17.7 -6.4 0.5 -2.9 12.3 -4.3 5.6 -1.9 0.1 -2.1 0.5 -7.8 4.4 -9.9 -3.7 20.0 20.0 20.0 20.0 -6.0 -0.1 -8.4 5.7 -11.9 -19.3 -0.0 -1.4 4.5 2.2 -2.9 6.4 -4.5 20.0 -20.0 -16.9 0.7 11.2 SOYMEAL -4.9 11.6 13.9 -2.9 12.3 -4.3 5.6 -1.9 0.1 10.5 12.3 6.1 12.3 12.0 13.4 20.0 16.5 20.0 18.0 17.0 17.6 10.0 13.8 10.6 -20.0 -0.0 5.6 5.3 6.2 2.6 5.7 3.1 13.7 -1.7 10.3 20.0 20.0 SOYOIL -6.6 -10.5 -6.9 -2.9 12.3 -4.3 5.6 -1.9 0.1 -7.7 -1.7 -11.3 3.9 -6.7 -9.0 1.6 18.0 8.6 13.8 -10.4 -4.7 -9.4 5.6 -11.4 -11.4 -0.0 -4.1 -0.6 -0.9 -3.4 3.7 -4.6 12.1 -20.0 -14.2 -20.0 6.6 SP400 20.0 6.3 13.0 4.1 1.7 1.7 4.2 -0.2 5.2 10.0 6.6 14.1 -3.6 12.9 12.6 -5.4 -2.6 -4.1 -3.3 12.8 7.0 14.5 0.5 15.8 -5.8 -0.0 5.1 2.9 3.0 5.1 1.3 6.0 0.0 -2.2 -7.6 -6.1 -2.4 SP500 16.6 1.7 6.4 4.1 1.7 1.7 4.2 -0.2 5.2 8.5 -1.6 13.1 -7.9 8.0 7.8 -6.3 -4.1 -5.7 -5.1 6.5 -0.2 12.2 -5.9 11.2 3.8 -0.0 4.1 2.4 0.9 5.4 -2.1 5.8 -2.8 -1.7 -13.8 -10.6 -8.5 SUGAR11 3.8 2.3 15.0 -2.9 12.3 -4.3 5.6 -1.9 0.1 13.9 8.3 12.8 5.7 5.5 8.8 20.0 20.0 20.0 20.0 10.8 10.4 20.0 7.6 14.0 -20.0 -0.0 5.8 11.1 5.7 7.4 4.2 5.2 20.0 20.0 12.4 20.0 20.0 US10 12.4 13.0 17.3 2.6 -3.3 -1.1 0.8 -5.1 3.5 -12.6 -4.8 4.0 -11.1 7.5 10.4 -8.6 -1.9 -8.0 -6.1 6.8 -3.7 -0.7 -17.4 6.8 -2.3 -0.0 3.7 -4.1 -0.7 -0.1 -6.9 3.3 -7.5 -2.6 -10.1 1.2 2.7 US10U 12.2 11.7 16.7 2.6 -3.3 -1.1 0.8 -5.1 3.5 -11.6 -4.7 5.8 -11.2 8.3 10.4 0.7 4.1 0.8 1.5 6.2 -4.0 0.4 -17.3 6.6 -4.9 -0.0 4.2 -2.8 0.1 0.6 -5.3 3.8 4.1 0.2 -6.0 4.1 3.9 US20 11.4 12.7 17.6 2.6 -3.3 -1.1 0.8 -5.1 3.5 -9.0 -3.1 6.2 -10.3 8.9 11.2 -9.1 -0.2 -5.4 -2.8 7.2 -3.4 1.8 -16.8 7.7 -3.4 -0.0 3.5 -2.3 -0.5 0.8 -5.7 3.4 -3.0 3.0 -10.7 1.6 -0.7 US30 12.4 11.4 20.0 2.6 -3.3 -1.1 0.8 -5.1 3.5 -7.7 -2.7 8.2 -11.7 6.2 9.3 -1.5 -0.1 -1.3 -1.0 6.5 -4.2 3.3 -18.7 7.7 -5.0 -0.0 4.0 -1.0 0.2 1.5 -5.1 3.8 -1.6 2.5 -5.9 5.1 0.6 US5 12.1 14.0 17.1 2.6 -3.3 -1.1 0.8 -5.1 3.5 -13.6 -4.8 3.2 -11.5 6.0 10.1 -9.8 -1.2 -7.8 -5.9 6.6 -4.3 -1.9 -19.1 6.2 -0.4 -0.0 3.5 -5.1 -1.1 -1.0 -8.3 2.8 -6.8 -7.5 -13.0 1.8 2.7 VIX -20.0 -20.0 -20.0 -5.1 -2.8 -4.1 -4.6 -2.8 -5.3 -10.9 -15.8 -14.9 -13.6 -15.9 -16.5 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -17.6 -20.0 NaN -0.0 -6.5 -2.8 -5.5 -4.6 -3.7 -5.8 NaN NaN NaN NaN NaN WHEAT 0.2 -4.0 -19.6 -2.9 12.3 -4.3 5.6 -1.9 0.1 12.9 -15.1 -3.0 -12.1 -7.6 -13.5 -9.4 -5.6 -8.0 -6.7 -14.8 -18.9 1.8 -12.2 -6.5 2.9 -0.0 -4.8 3.8 -4.8 0.8 -0.7 -2.3 -20.0 -6.0 -12.8 -5.7 -10.9 End of report for caleb_strategy_v1