******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230131_204343 produced at 2023-01-31 21:36:04.126899 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 7280432.23 -7280432.23 -0.25 -0.25 -35.39 999999999 -34 -34 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.13 0.0 33308407.72 -33308407.72 -0.17 -0.17 -3.77 999999999 -5 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.11 0.0 22436811.94 -22436811.94 -0.11 -0.11 -4.96 999999999 -5 -5 caleb_strategy_v1 CHF False False 0.05 -0.09 -0.10 0.0 47185118.07 -47185118.07 -0.09 -0.09 -2.02 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.09 0.0 11862113.21 -11862113.21 -0.07 -0.07 -7.63 999999999 -6 -6 caleb_strategy_v1 US5 False False 0.04 -0.23 -0.08 0.0 37615028.64 -37615028.64 -0.23 -0.23 -2.23 999999999 -6 -6 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 39435674.55 -39435674.55 0.00 0.00 -1.58 999999999 0 0 caleb_strategy_v1 US20 False False 0.04 0.00 -0.05 0.0 44760458.76 -44760458.76 0.00 0.00 -1.09 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.17 -0.05 0.0 33243864.88 -33243864.88 -0.17 -0.20 -1.65 999999999 -5 -6 caleb_strategy_v1 FTSE100 True False 0.03 0.00 -0.05 0.0 0.00 0.00 0.00 0.00 -1.80 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 -0.02 0.0 48880443.31 -48880443.31 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.02 0.0 9046324.30 -9046324.30 -0.02 -0.02 -2.53 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.02 0.0 39336226.95 -39336226.95 0.00 0.00 -0.55 999999999 0 0 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.02 0.0 53957635.16 -53957635.16 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.01 0.0 5853605.20 -5853605.20 0.00 0.00 -1.35 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.01 0.0 13614236.15 -13614236.15 -0.03 -0.03 -0.59 999999999 -2 -2 caleb_strategy_v1 NASDAQ False False 0.08 0.00 0.00 0.0 83280915.86 -83280915.86 0.00 0.08 0.02 999999999 0 1 caleb_strategy_v1 SOYOIL False False 0.01 -0.03 0.00 0.0 12889979.44 -12889979.44 -0.03 -0.01 0.02 999999999 -2 -1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.00 0.0 4302079.84 -4302079.84 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 17531556.18 -17531556.18 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.09 -0.00 0.0 3321804.77 -3321804.77 -0.09 -0.10 -0.42 999999999 -27 -30 caleb_strategy_v1 GAS_US False False 0.01 0.00 -0.00 0.0 9624628.13 -9624628.13 0.00 0.00 -0.50 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 -0.14 -0.00 0.0 70016071.61 -70016071.61 -0.14 -0.21 -0.05 999999999 -2 -3 caleb_strategy_v1 COFFEE False False 0.02 0.00 -0.00 0.0 23454867.65 -23454867.65 0.00 0.00 -0.04 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.00 0.0 56573949.70 -56573949.70 0.00 0.00 -0.08 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.00 0.0 14965332.91 -14965332.91 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 0.00 0.0 11023916.88 -11023916.88 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 EUR False False 0.05 0.00 0.00 0.0 46875312.45 -46875312.45 0.00 0.00 0.10 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 -0.02 -0.00 0.0 15016967.18 -15016967.18 -0.02 -0.02 -0.19 999999999 -1 -1 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.00 0.0 6691801.53 -6691801.53 -0.01 -0.01 -0.34 999999999 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.01 0.0 803257.14 -803257.14 0.00 0.00 17.66 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.03 0.01 0.0 10167648.55 -10167648.55 0.03 0.03 1.16 999999999 3 3 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 7242567.09 -7242567.09 0.01 0.01 0.95 999999999 2 2 caleb_strategy_v1 SP400 False False 0.09 0.45 0.01 0.0 90993354.82 -90993354.82 0.45 0.45 0.06 999999999 5 5 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 0.01 0.0 20675222.72 -20675222.72 0.00 0.00 0.55 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.04 0.02 0.0 22256091.99 -22256091.99 0.04 0.04 0.89 999999999 2 2 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 24321462.83 -24321462.83 0.00 0.00 0.64 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 7895775.05 -7895775.05 0.02 0.02 2.19 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.01 0.02 0.0 5685556.78 -5685556.78 0.01 0.01 2.81 999999999 2 2 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 25877375.53 -25877375.53 0.00 0.00 0.94 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.05 0.03 0.0 26582455.19 -26582455.19 0.05 0.05 1.00 999999999 2 2 caleb_strategy_v1 COPPER False False 0.04 0.07 0.03 0.0 36350526.86 -36350526.86 0.07 0.07 0.85 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9075583.72 -9075583.72 0.03 0.03 3.67 999999999 3 3 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26533561.06 -26533561.06 0.16 0.19 1.16 999999999 6 7 caleb_strategy_v1 US10U False False 0.04 0.00 0.04 0.0 41748459.61 -41748459.61 0.00 0.00 0.97 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 42687481.84 -42687481.84 0.04 0.04 0.84 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.05 0.04 0.0 15626400.37 -15626400.37 0.05 0.05 2.76 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.04 0.0 26440189.09 -26440189.09 0.05 0.05 1.43 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.15 0.05 0.0 49193807.91 -49193807.91 0.15 0.15 0.99 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.03 0.07 0.0 30765419.86 -30765419.86 0.03 0.03 2.14 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 23463473.36 -23463473.36 0.02 0.02 2.94 999999999 1 1 caleb_strategy_v1 HEATOIL False False 0.04 0.09 0.07 0.0 42675931.60 -42675931.60 0.09 0.09 1.56 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.08 0.0 16130546.29 -16130546.29 0.08 0.08 4.94 999999999 5 5 caleb_strategy_v1 BOBL False False 0.04 0.09 0.10 0.0 43839176.34 -43839176.34 0.09 0.09 2.22 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.19 0.0 51160662.81 -51160662.81 0.10 0.10 3.78 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.40 0.0 0.00 0.00 0.00 0.00 54.95 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 48.7 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': 2905047.3, 'annual_cash_vol_target': 726261.825, 'daily_cash_vol_target': 45391.3640625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.7066 0.7204 11.5269 BITCOIN 735.5399 23335.0000 3.1521 50.4334 BOBL 0.3240 117.2400 0.2763 4.4213 BTP 0.8666 114.1600 0.7591 12.1461 BUND 0.7160 136.8200 0.5233 8.3731 BUXL 1.8579 144.3000 1.2876 20.6008 CAC 57.3349 7109.0000 0.8065 12.9042 CAD 0.0037 0.7518 0.4935 7.8960 CANOLA 8.6075 831.5000 1.0352 16.5629 CHF 0.0059 1.0966 0.5383 8.6130 COCOA 34.3401 2628.0000 1.3067 20.9072 COFFEE 0.0392 1.8170 2.1554 34.4859 COPPER 0.0463 4.2240 1.0953 17.5252 CORN 4.5911 590.7500 0.7772 12.4346 COTTON2 0.0161 0.8695 1.8471 29.5542 CRUDE_W 1.2106 76.8100 1.5760 25.2167 DAX 119.3600 15205.0000 0.7850 12.5601 DOW 277.8037 34010.0000 0.8168 13.0693 EUR 0.0050 1.0894 0.4620 7.3923 EUROSTX 38.1908 4179.0000 0.9139 14.6220 FEEDCOW 1.1562 193.5250 0.5974 9.5589 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.5389 893.7500 2.1862 34.9787 GASOILINE 0.0505 2.7208 1.8553 29.6851 GAS_US 0.1755 2.7960 6.2781 100.4495 GBP 0.0074 1.2333 0.6015 9.6236 GOLD_micro 13.9792 1944.0000 0.7191 11.5055 HEATOIL 0.0598 2.9518 2.0249 32.3991 JPY 0.0001 0.0077 0.8169 13.0700 LEANHOG 1.2204 86.1500 1.4166 22.6649 LIVECOW 0.9412 162.9500 0.5776 9.2419 MXP 0.0003 0.0527 0.5831 9.3292 NASDAQ 151.1770 12096.7500 1.2497 19.9957 NIKKEI 248.0276 27425.0000 0.9044 14.4702 NZD 0.0044 0.6466 0.6844 10.9506 OAT 0.7611 131.5600 0.5785 9.2562 OJ 0.0286 2.1350 1.3403 21.4448 PALLAD 37.9696 1643.5000 2.3103 36.9646 PLAT 16.4706 1018.6000 1.6170 25.8717 REDWHEAT 12.9105 872.5000 1.4797 23.6754 ROBUSTA 28.2191 2104.0000 1.3412 21.4594 RUSSELL 21.9990 1930.0000 1.1398 18.2375 SILVER-mini 0.3742 24.0250 1.5577 24.9231 SOYBEAN 10.4490 1363.2500 0.7665 12.2636 SOYMEAL 5.9308 468.6000 1.2656 20.2501 SOYOIL 0.7906 62.4100 1.2667 20.2679 SP400 26.7948 2643.4000 1.0136 16.2184 SP500 38.4432 4068.0000 0.9450 15.1202 SUGAR11 0.0026 0.2048 1.2893 20.6288 US10 0.4907 114.5625 0.4283 6.8535 US10U 0.6769 121.2812 0.5582 8.9305 US20 0.9619 130.0312 0.7397 11.8358 US30 1.5324 142.0000 1.0791 17.2661 US5 0.3224 109.2734 0.2950 4.7199 VIX 0.4835 21.1500 2.2859 36.5741 WHEAT 10.2481 791.0000 1.2956 20.7294 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 706.55 0.72 509.02 1.00 509.02 45391.36 89.17 4.48 39.96 BITCOIN 23.34 3.15 73.55 1.00 73.55 45391.36 617.12 12.14 749.42 BOBL 1172.40 0.28 323.97 1.08 351.46 45391.36 129.15 2.39 30.81 BTP 1141.60 0.76 866.62 1.08 940.14 45391.36 48.28 8.61 41.58 BUND 1368.20 0.52 716.01 1.08 776.75 45391.36 58.44 8.98 52.45 BUXL 1443.00 1.29 1857.94 1.08 2015.56 45391.36 22.52 -2.14 -4.82 CAC 710.90 0.81 573.35 1.08 621.99 45391.36 72.98 4.88 35.64 CAD 751.75 0.49 370.99 1.00 370.99 45391.36 122.35 4.32 52.80 CANOLA 166.30 1.04 172.15 0.75 128.67 45391.36 352.77 0.79 27.77 CHF 1370.75 0.54 737.89 1.00 737.89 45391.36 61.52 -8.78 -54.01 COCOA 262.80 1.31 343.40 1.00 343.40 45391.36 132.18 -8.79 -116.17 COFFEE 681.38 2.16 1468.61 1.00 1468.61 45391.36 30.91 -1.05 -3.26 COPPER 1056.00 1.10 1156.67 1.00 1156.67 45391.36 39.24 7.92 31.08 CORN 295.38 0.78 229.55 1.00 229.55 45391.36 197.74 6.48 128.10 COTTON2 434.75 1.85 803.04 1.00 803.04 45391.36 56.52 1.98 11.21 CRUDE_W 768.10 1.58 1210.56 1.00 1210.56 45391.36 37.50 2.89 10.82 DAX 152.05 0.79 119.36 1.08 129.49 45391.36 350.55 1.48 51.77 DOW 170.05 0.82 138.90 1.00 138.90 45391.36 326.79 -1.45 -47.52 EUR 1361.75 0.46 629.16 1.00 629.16 45391.36 72.15 0.37 2.70 EUROSTX 417.90 0.91 381.91 1.08 414.31 45391.36 109.56 8.96 98.15 FEEDCOW 967.62 0.60 578.09 1.00 578.09 45391.36 78.52 -17.85 -140.12 FTSE100 707.00 0.82 576.59 1.23 666.67 45391.36 68.09 -2.56 -17.45 GASOIL 893.75 2.19 1953.89 1.00 1953.89 45391.36 23.23 12.91 29.98 GASOILINE 1142.74 1.86 2120.14 1.00 2120.14 45391.36 21.41 -6.31 -13.50 GAS_US 279.60 6.28 1755.35 1.00 1755.35 45391.36 25.86 -12.86 -33.25 GBP 770.81 0.60 463.63 1.00 463.63 45391.36 97.91 6.61 64.73 GOLD_micro 194.40 0.72 139.79 1.00 139.79 45391.36 324.71 -0.46 -15.06 HEATOIL 1239.76 2.02 2510.44 1.00 2510.44 45391.36 18.08 12.08 21.84 JPY 965.75 0.82 788.90 1.00 788.90 45391.36 57.54 -4.43 -25.49 LEANHOG 344.60 1.42 488.14 1.00 488.14 45391.36 92.99 -17.57 -163.38 LIVECOW 651.80 0.58 376.49 1.00 376.49 45391.36 120.56 -15.31 -184.57 MXP 263.65 0.58 153.73 1.00 153.73 45391.36 295.27 10.15 299.75 NASDAQ 2419.35 1.25 3023.54 1.00 3023.54 45391.36 15.01 0.21 0.31 NIKKEI 27425.00 0.90 24802.76 0.01 190.04 45391.36 238.85 12.11 289.30 NZD 646.55 0.68 442.51 1.00 442.51 45391.36 102.58 5.44 55.77 OAT 1315.60 0.58 761.09 1.08 825.66 45391.36 54.98 8.91 48.96 OJ 320.25 1.34 429.23 1.00 429.23 45391.36 105.75 1.43 15.15 PALLAD 1643.50 2.31 3796.96 1.00 3796.96 45391.36 11.95 -2.67 -3.19 PLAT 509.30 1.62 823.53 1.00 823.53 45391.36 55.12 1.04 5.74 REDWHEAT 436.25 1.48 645.53 1.00 645.53 45391.36 70.32 -5.18 -36.42 ROBUSTA 210.40 1.34 282.19 1.00 282.19 45391.36 160.85 4.57 73.49 RUSSELL 96.50 1.14 109.99 1.00 109.99 45391.36 412.67 -0.20 -8.09 SILVER-mini 600.62 1.56 935.59 1.00 935.59 45391.36 48.52 5.06 24.54 SOYBEAN 681.62 0.77 522.45 1.00 522.45 45391.36 86.88 5.74 49.88 SOYMEAL 468.60 1.27 593.08 1.00 593.08 45391.36 76.54 10.95 83.77 SOYOIL 374.46 1.27 474.34 1.00 474.34 45391.36 95.69 0.20 1.88 SP400 2643.40 1.01 2679.48 1.00 2679.48 45391.36 16.94 0.66 1.12 SP500 2034.00 0.95 1922.16 1.00 1922.16 45391.36 23.61 -0.70 -1.65 SUGAR11 229.38 1.29 295.73 1.00 295.73 45391.36 153.49 10.52 161.45 US10 1145.62 0.43 490.72 1.00 490.72 45391.36 92.50 -4.46 -41.24 US10U 1212.81 0.56 676.94 1.00 676.94 45391.36 67.05 0.99 6.64 US20 1300.31 0.74 961.89 1.00 961.89 45391.36 47.19 -3.14 -14.83 US30 1420.00 1.08 1532.36 1.00 1532.36 45391.36 29.62 -1.40 -4.15 US5 1092.73 0.29 322.35 1.00 322.35 45391.36 140.81 -4.12 -58.02 VIX 211.50 2.29 483.46 1.00 483.46 45391.36 93.89 -20.00 -187.78 WHEAT 395.50 1.30 512.40 1.00 512.40 45391.36 88.59 -12.55 -111.18 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 39.959 0.006 2.5 0.638 BITCOIN 749.421 0.009 2.5 17.657 BOBL 30.810 0.029 2.5 2.223 BTP 41.577 0.008 2.5 0.840 BUND 52.450 0.029 2.5 3.785 BUXL -4.819 0.034 2.5 -0.405 CAC 35.640 0.011 2.5 1.002 CAD 52.798 0.007 2.5 0.943 CANOLA 27.770 0.004 2.5 0.255 CHF -54.013 0.015 2.5 -2.021 COCOA -116.172 0.009 2.5 -2.531 COFFEE -3.258 0.005 2.5 -0.042 COPPER 31.081 0.011 2.5 0.849 CORN 128.098 0.004 2.5 1.155 COTTON2 11.211 0.006 2.5 0.169 CRUDE_W 10.819 0.053 2.5 1.429 DAX 51.768 0.022 2.5 2.811 DOW -47.525 0.011 2.5 -1.354 EUR 2.702 0.015 2.5 0.101 EUROSTX 98.146 0.011 2.5 2.759 FEEDCOW -140.124 0.011 2.5 -3.765 FTSE100 -17.451 0.041 2.5 -1.799 GASOIL 29.985 0.029 2.5 2.139 GASOILINE -13.502 0.016 2.5 -0.554 GAS_US -33.249 0.006 2.5 -0.501 GBP 64.731 0.007 2.5 1.156 GOLD_micro -15.062 0.009 2.5 -0.337 HEATOIL 21.841 0.029 2.5 1.558 JPY -25.485 0.026 2.5 -1.650 LEANHOG -163.381 0.019 2.5 -7.633 LIVECOW -184.571 0.011 2.5 -4.960 MXP 299.751 0.005 2.5 3.670 NASDAQ 0.313 0.022 2.5 0.017 NIKKEI 289.300 0.076 2.5 54.948 NZD 55.766 0.006 2.5 0.891 OAT 48.962 0.008 2.5 0.989 OJ 15.147 0.007 2.5 0.264 PALLAD -3.187 0.010 2.5 -0.077 PLAT 5.739 0.010 2.5 0.138 REDWHEAT -36.416 0.002 2.5 -0.194 ROBUSTA 73.486 0.005 2.5 0.953 RUSSELL -8.088 0.021 2.5 -0.419 SILVER-mini 24.539 0.009 2.5 0.549 SOYBEAN 49.875 0.024 2.5 2.941 SOYMEAL 83.769 0.024 2.5 4.939 SOYOIL 1.882 0.004 2.5 0.017 SP400 1.119 0.021 2.5 0.058 SP500 -1.650 0.011 2.5 -0.047 SUGAR11 161.448 0.005 2.5 2.191 US10 -41.240 0.015 2.5 -1.582 US10U 6.636 0.058 2.5 0.967 US20 -14.827 0.029 2.5 -1.093 US30 -4.146 0.034 2.5 -0.348 US5 -58.020 0.015 2.5 -2.226 VIX -187.775 0.075 2.5 -35.386 WHEAT -111.181 0.002 2.5 -0.594 ==================== Position diags ==================== AUD 1.42 BITCOIN 14.54 BOBL 9.32 BTP 0.98 BUND 4.22 BUXL 1.89 CAC 2.05 CAD 2.18 CANOLA 3.24 CHF 2.30 COCOA 2.88 COFFEE 0.40 COPPER 1.07 CORN 1.78 COTTON2 0.85 CRUDE_W 4.95 DAX 19.04 DOW 9.31 EUR 2.70 EUROSTX 3.08 FEEDCOW 2.11 FTSE100 7.02 GASOIL 1.66 GASOILINE 0.88 GAS_US 0.39 GBP 1.75 GOLD_micro 7.27 HEATOIL 1.29 JPY 3.72 LEANHOG 4.34 LIVECOW 3.24 MXP 3.61 NASDAQ 0.82 NIKKEI 45.37 NZD 1.64 OAT 1.11 OJ 1.84 PALLAD 0.29 PLAT 1.33 REDWHEAT 0.38 ROBUSTA 2.09 RUSSELL 21.37 SILVER-mini 1.09 SOYBEAN 5.12 SOYMEAL 4.51 SOYOIL 0.88 SP400 0.88 SP500 0.67 SUGAR11 2.08 US10 3.55 US10U 9.77 US20 3.48 US30 2.49 US5 5.40 VIX 17.69 WHEAT 0.47 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.6 0.5 0.8 0.0 0 BITCOIN 17.7 16.2 19.1 NaN 0 BOBL 2.2 1.3 3.2 2.0 2 BTP 0.8 0.7 0.9 1.0 1 BUND 3.8 3.4 4.2 2.0 2 BUXL -0.4 -0.6 -0.2 0.0 0 CAC 1.0 0.8 1.2 2.0 2 CAD 0.9 0.7 1.2 0.0 0 CANOLA 0.3 -0.1 0.6 NaN 0 CHF -2.0 -2.3 -1.8 -2.0 -2 COCOA -2.5 -2.8 -2.2 -2.0 -2 COFFEE -0.0 -0.1 -0.0 NaN 0 COPPER 0.8 0.7 1.0 2.0 2 CORN 1.2 1.0 1.3 3.0 3 COTTON2 0.2 0.1 0.3 NaN 0 CRUDE_W 1.4 0.9 1.9 2.0 2 DAX 2.8 0.9 4.7 2.0 2 DOW -1.4 -2.3 -0.4 0.0 0 EUR 0.1 -0.2 0.4 0.0 0 EUROSTX 2.8 2.5 3.1 3.0 3 FEEDCOW -3.8 -4.0 -3.6 -5.0 -5 FTSE100 -1.8 -2.5 -1.1 0.0 0 GASOIL 2.1 2.0 2.3 1.0 1 GASOILINE -0.6 -0.6 -0.5 0.0 0 GAS_US -0.5 -0.5 -0.5 0.0 0 GBP 1.2 1.0 1.3 6.0 6 GOLD_micro -0.3 -1.1 0.4 -2.0 -2 HEATOIL 1.6 1.4 1.7 2.0 2 JPY -1.6 -2.0 -1.3 -5.0 -5 LEANHOG -7.6 -8.1 -7.2 -6.0 -6 LIVECOW -5.0 -5.3 -4.6 -5.0 -5 MXP 3.7 3.3 4.0 3.0 3 NASDAQ 0.0 -0.1 0.1 0.0 0 NIKKEI 54.9 50.4 59.5 0.0 0 NZD 0.9 0.7 1.1 2.0 2 OAT 1.0 0.9 1.1 3.0 3 OJ 0.3 0.1 0.4 NaN 0 PALLAD -0.1 -0.1 -0.0 NaN 0 PLAT 0.1 0.0 0.3 NaN 0 REDWHEAT -0.2 -0.2 -0.2 -1.0 -1 ROBUSTA 1.0 0.7 1.2 2.0 2 RUSSELL -0.4 -2.6 1.7 -27.0 -27 SILVER-mini 0.5 0.4 0.7 0.0 0 SOYBEAN 2.9 2.4 3.5 1.0 1 SOYMEAL 4.9 4.5 5.4 5.0 5 SOYOIL 0.0 -0.1 0.1 -2.0 -2 SP400 0.1 -0.0 0.1 5.0 5 SP500 -0.0 -0.1 0.0 -2.0 -2 SUGAR11 2.2 2.0 2.4 2.0 2 US10 -1.6 -1.9 -1.2 NaN 0 US10U 1.0 -0.0 1.9 0.0 0 US20 -1.1 -1.4 -0.7 0.0 0 US30 -0.3 -0.6 -0.1 0.0 0 US5 -2.2 -2.8 -1.7 -6.0 -6 VIX -35.4 -37.2 -33.6 -34.0 -34 WHEAT -0.6 -0.6 -0.5 -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 0.0 -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 0.1 -0.1 -0.1 0.0 -0.0 -0.0 0.0 -0.1 0.0 -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 1.8 -0.0 -0.1 -0.2 -0.2 BTP 0.2 0.0 0.2 0.0 -0.0 -0.0 0.0 -0.1 0.0 -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 0.0 -0.0 -0.3 -0.0 -0.3 0.0 -0.0 1.0 0.7 0.3 0.3 -0.1 -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 0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 0.2 -0.0 0.1 0.1 -0.1 -0.2 -0.0 -0.3 -0.0 0.4 -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 0.1 0.4 0.1 0.1 0.1 0.4 -0.3 0.1 -0.1 -0.0 0.2 0.3 0.0 0.2 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 0.1 0.2 0.1 0.1 0.0 0.1 0.1 -0.0 0.1 0.0 -0.1 0.0 -0.2 0.1 0.2 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 2.1 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.2 -0.0 0.0 -0.1 -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 1.4 -0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 -0.3 -0.0 -0.2 -0.1 -0.1 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 -0.0 -0.2 -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 -1.3 0.1 0.1 0.1 -0.3 COPPER 0.2 0.3 0.3 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 0.1 0.0 -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 -0.2 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 -0.1 -0.0 0.1 -0.0 -0.8 -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 0.2 -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 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.1 0.0 0.1 0.0 0.1 0.8 0.5 0.2 0.2 0.0 0.0 -0.0 0.1 0.0 -1.2 -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 0.3 0.4 0.1 0.0 0.0 0.1 -0.0 0.1 0.0 0.4 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 0.0 -0.0 0.3 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 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 -0.1 -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 -0.0 0.0 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 0.9 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 1.9 -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 -0.2 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 0.2 -0.1 -0.1 GASOILINE 0.2 0.3 -0.1 0.0 -0.0 -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 -1.6 -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 0.6 -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 -0.1 -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 -0.0 -0.0 0.1 0.1 HEATOIL 0.2 0.1 -0.2 0.0 -0.0 -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 -1.6 -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 -0.9 -0.4 -0.2 -0.2 0.2 0.1 -0.0 -0.1 0.0 0.7 -0.0 0.1 -0.0 0.0 -0.0 -0.1 0.0 -2.0 -0.2 -0.4 0.0 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 -0.2 -1.6 0.0 -0.4 -0.4 -0.2 -0.1 -0.0 -0.0 -0.0 -1.2 -0.0 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -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 0.1 0.3 0.2 0.1 0.0 0.1 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 0.1 -0.0 0.1 0.0 0.0 0.1 -0.0 0.1 0.1 -0.2 0.1 -0.3 0.0 0.1 -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 -0.0 -0.1 -0.2 NIKKEI 0.2 -0.2 -0.0 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 0.5 0.3 0.3 0.0 -0.0 0.0 -0.0 0.0 1.2 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.0 2.6 0.2 -0.2 -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 -0.0 0.3 -0.0 0.0 -0.0 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 1.6 0.0 0.5 0.3 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 2.0 -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 -0.0 -0.2 -0.0 0.0 -0.1 0.2 -0.0 0.0 0.0 -0.3 0.0 -0.2 0.0 -0.2 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 -0.0 0.0 -0.7 -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 0.1 -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 -0.3 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.1 -0.1 SILVER-mini -0.1 0.2 0.4 0.1 0.0 0.1 0.1 0.0 0.1 -0.0 0.3 -0.0 -0.0 0.0 0.4 -0.4 -0.1 -0.1 -0.1 0.2 0.2 -0.0 0.1 0.0 1.5 -0.0 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.0 -0.3 -0.2 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 -2.8 -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 0.2 -0.0 0.0 -0.1 0.2 -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 -0.1 -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 -0.2 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 -0.4 0.0 -0.2 -0.1 -0.1 SUGAR11 0.1 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 0.3 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 -1.1 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 -0.6 -0.0 0.0 -0.0 0.0 0.0 -0.1 0.0 0.5 0.0 -0.0 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 -0.4 -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 0.0 -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 0.1 -0.0 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 -0.0 -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 -0.0 -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 0.5 -0.0 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -2.7 -0.0 -0.3 -0.0 -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 16.4 17.4 20.0 4.7 0.9 2.1 3.2 -1.4 4.8 6.4 5.8 12.8 -4.1 14.6 15.2 -3.6 -2.4 -3.2 -2.9 17.7 8.1 12.8 -3.4 18.4 4.9 -0.0 5.4 0.5 2.3 3.6 -1.4 5.5 -0.6 -0.0 7.2 2.9 -4.5 BITCOIN 20.0 20.0 20.0 4.6 0.3 2.9 3.2 1.4 5.0 12.7 -3.3 15.3 -15.0 15.6 10.4 -0.9 -0.5 0.4 0.3 16.5 -1.9 20.0 -19.2 20.0 19.9 -0.0 4.2 2.3 0.3 5.2 -2.1 6.4 2.9 13.4 15.4 7.1 -19.9 BOBL 13.9 -5.1 -3.7 2.5 -2.4 -1.0 0.4 -5.1 3.2 -12.4 -12.2 -3.2 -13.5 -1.8 -3.0 -11.1 9.1 -1.9 5.2 -7.5 -18.2 -7.6 -20.0 -2.7 12.0 -0.0 -1.6 -6.4 -6.2 -3.5 -12.3 -0.6 13.1 -18.5 -11.1 -18.4 -11.4 BTP 16.4 1.1 14.0 2.5 -2.4 -1.0 0.4 -5.1 3.2 -12.8 -1.1 0.8 -10.3 4.4 6.8 9.3 13.9 12.1 14.2 5.3 -2.0 -4.3 -14.5 4.5 -3.2 -0.0 2.7 -4.6 -0.5 -1.5 -6.3 2.1 20.0 -11.1 0.0 -8.2 9.4 BUND 15.3 -2.1 2.8 2.5 -2.4 -1.0 0.4 -5.1 3.2 -13.4 -10.6 -2.4 -12.9 0.2 -0.6 11.5 15.5 12.8 14.1 -4.5 -14.6 -7.3 -20.0 -1.2 7.9 -0.0 -0.1 -6.0 -4.4 -2.9 -10.1 0.4 20.0 -15.8 -6.7 -15.3 -6.4 BUXL 9.6 -8.8 5.8 2.5 -2.4 -1.0 0.4 -5.1 3.2 -14.0 -8.3 -4.4 -12.0 -3.8 -2.7 2.6 -0.2 3.7 2.9 -6.2 -12.6 -7.7 -20.0 -4.6 3.4 -0.0 -0.5 -4.3 -3.2 -2.5 -7.3 -0.5 1.3 -10.2 -11.3 -20.0 -5.6 CAC 20.0 14.7 20.0 4.1 2.0 1.8 4.1 -0.1 5.2 13.3 14.7 15.3 5.6 15.5 15.9 -4.0 2.0 -2.5 -0.6 20.0 20.0 15.4 12.7 20.0 -13.0 -0.0 5.7 2.1 4.6 3.6 2.6 5.1 6.3 -6.3 1.5 -0.2 14.3 CAD 10.6 11.2 6.0 4.7 0.9 2.1 3.2 -1.4 4.8 11.2 -6.0 13.6 -9.4 13.1 7.3 -1.7 -1.2 -1.7 -1.6 4.6 -3.9 8.1 -10.1 8.4 15.1 -0.0 3.3 3.7 -1.6 4.2 -5.5 4.9 1.5 -3.6 0.5 -9.5 -17.8 CANOLA -20.0 -4.6 -5.3 -2.0 14.1 -3.8 8.2 -1.7 1.9 7.7 -9.5 -6.0 -6.9 -7.1 -6.2 0.7 10.4 3.8 5.9 -10.3 -9.1 -3.4 -2.9 -12.2 6.1 -0.0 -4.3 5.9 -2.9 -0.8 0.0 -4.5 -1.9 -20.0 -20.0 -9.8 -4.1 CHF -2.7 7.8 20.0 4.7 0.9 2.1 3.2 -1.4 4.8 3.5 12.9 6.8 0.9 8.7 14.6 -14.7 -12.7 -13.9 -13.5 11.7 10.4 3.2 1.8 6.4 -8.8 -0.0 5.4 2.3 3.9 1.6 -0.8 3.4 -18.6 -4.4 -11.4 -4.6 -2.6 COCOA -6.2 8.4 20.0 -2.0 14.1 -3.8 8.2 -1.7 1.9 1.3 9.8 -5.4 -3.3 4.5 11.0 -3.9 -3.2 -2.4 -2.2 9.7 8.9 0.5 1.7 4.2 -17.6 -0.0 5.6 -0.7 4.7 0.9 1.4 3.2 -20.0 -16.9 8.0 19.4 20.0 COFFEE 14.0 9.4 -19.8 -2.0 14.1 -3.8 8.2 -1.7 1.9 14.1 -12.0 13.0 -10.4 6.5 -9.1 -0.1 3.1 1.0 2.9 -6.5 -16.2 20.0 -13.5 9.0 11.4 -0.0 -1.0 14.3 -5.0 9.6 -4.3 4.4 -9.9 20.0 6.5 10.1 -20.0 COPPER 20.0 20.0 20.0 4.6 0.3 2.9 3.2 1.4 5.0 -5.5 6.1 12.9 -4.2 14.3 15.2 -1.4 -0.3 -0.9 -0.6 20.0 17.7 9.7 1.1 20.0 7.4 -0.0 5.8 -1.0 3.8 1.4 1.1 4.7 2.3 -12.5 11.1 8.5 10.8 CORN -2.8 -7.5 -14.3 -2.0 14.1 -3.8 8.2 -1.7 1.9 -6.5 1.3 -10.0 2.7 -11.1 -13.0 20.0 18.1 20.0 20.0 -8.6 -4.3 -6.1 7.6 -8.3 -5.3 -0.0 -5.7 -0.6 -3.7 -3.2 1.6 -5.0 16.9 -20.0 -20.0 -13.0 -13.2 COTTON2 7.9 13.1 -5.8 -2.0 14.1 -3.8 8.2 -1.7 1.9 6.1 -8.5 10.8 -5.2 8.7 7.9 -1.7 12.5 1.3 6.6 1.6 -7.2 5.4 -5.0 6.6 0.6 -0.0 3.1 0.1 -0.0 2.3 2.6 4.0 1.9 6.3 7.7 10.5 5.2 CRUDE_W 11.0 6.3 -1.1 0.9 -5.0 -0.4 -1.8 3.6 1.6 -7.0 -3.6 5.1 2.0 8.2 5.9 9.5 12.4 8.6 9.9 4.1 1.1 -1.9 4.8 4.3 -9.9 -0.0 3.7 -4.5 2.6 -1.2 5.6 3.0 0.0 -2.2 2.7 0.1 11.2 DAX 20.0 16.4 20.0 4.1 2.0 1.8 4.1 -0.1 5.2 8.7 13.8 14.0 0.6 14.8 15.7 -9.1 -3.9 -7.6 -5.9 20.0 20.0 12.3 7.1 20.0 -8.8 -0.0 5.5 1.2 4.6 2.6 1.4 4.5 -3.2 -10.8 0.4 -2.3 19.0 DOW 3.2 -1.0 17.3 4.1 2.0 1.8 4.1 -0.1 5.2 11.1 9.9 3.7 1.1 2.0 10.6 -6.5 -3.2 -5.9 -5.1 7.1 7.8 4.9 3.2 4.4 -4.4 -0.0 4.5 2.9 3.7 3.8 1.7 4.0 -2.1 -10.2 -20.0 -15.5 3.8 EUR 10.5 20.0 20.0 4.7 0.9 2.1 3.2 -1.4 4.8 0.1 11.6 12.0 -4.6 13.8 16.0 -8.5 -8.5 -8.2 -8.4 20.0 16.9 7.2 -3.2 16.3 0.3 -0.0 6.0 -0.1 3.8 1.8 -1.5 4.4 -10.7 -4.1 2.3 9.7 12.2 EUROSTX 19.3 13.4 20.0 4.1 2.0 1.8 4.1 -0.1 5.2 12.0 14.5 15.0 4.2 15.4 16.0 10.7 5.0 7.9 5.8 20.0 20.0 12.4 10.7 20.0 -15.1 -0.0 5.7 1.3 5.0 2.8 2.5 4.6 13.7 -8.8 -1.7 -3.2 17.6 FEEDCOW -9.9 2.5 4.1 -2.0 14.1 -3.8 8.2 -1.7 1.9 13.3 0.6 -0.2 -0.3 -1.0 6.3 -20.0 -20.0 -20.0 -20.0 0.9 0.9 4.7 -0.5 0.1 -20.0 -0.0 4.3 6.6 3.0 4.0 1.0 3.5 -20.0 11.0 4.7 14.2 19.5 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 -0.9 4.3 -0.9 0.9 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 -0.0 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL 18.7 5.4 -13.6 1.1 -8.7 -0.4 -1.8 3.6 2.1 -10.2 -3.7 8.2 9.2 10.6 -0.2 20.0 20.0 20.0 20.0 4.7 2.3 2.9 11.4 9.5 -4.9 -0.0 -0.3 -6.3 -1.1 0.4 3.9 2.3 20.0 10.8 8.1 -7.8 -5.5 GASOILINE 20.0 18.1 -7.2 0.9 -5.0 -0.4 -1.8 3.6 1.6 -4.9 -6.6 9.0 3.3 12.2 8.7 -20.0 9.9 -20.0 -4.9 11.4 3.8 7.1 7.2 15.2 -12.8 -0.0 5.0 -0.9 3.2 1.7 4.3 4.9 -11.9 10.0 20.0 20.0 20.0 GAS_US -19.5 -20.0 -20.0 0.9 -5.0 -0.4 -1.8 3.6 1.6 -11.6 -15.4 -15.1 -8.1 -16.5 -16.6 7.9 -1.9 8.1 2.3 -20.0 -20.0 -18.0 -16.0 -20.0 -3.0 -0.0 -6.0 -2.3 -4.0 -3.4 0.3 -5.2 -19.5 -8.8 -20.0 -20.0 -20.0 GBP 11.4 10.0 20.0 4.7 0.9 2.1 3.2 -1.4 4.8 -7.9 10.2 12.7 -3.4 11.7 14.4 -2.2 -1.7 -2.1 -2.0 15.1 8.9 5.8 -5.6 11.9 13.4 -0.0 4.9 -1.6 0.7 1.9 -5.8 4.5 0.6 -4.3 -3.1 -7.7 -1.8 GOLD_micro 18.8 20.0 20.0 4.6 0.3 2.9 3.2 1.4 5.0 -0.3 9.7 11.0 -3.4 14.1 15.7 -12.7 -9.4 -11.8 -11.0 20.0 18.2 10.4 3.7 20.0 6.2 -0.0 5.9 -0.1 3.8 2.3 1.1 5.1 -14.4 -1.6 -1.2 4.1 3.6 HEATOIL 16.9 5.7 -12.0 0.9 -5.0 -0.4 -1.8 3.6 1.6 -7.9 -3.9 3.5 8.5 8.8 2.7 20.0 20.0 20.0 20.0 4.3 2.5 0.4 11.3 7.1 -16.2 -0.0 3.0 -3.6 2.6 0.0 7.8 3.6 20.0 8.4 12.0 6.1 6.0 JPY 3.0 20.0 20.0 4.7 0.9 2.1 3.2 -1.4 4.8 -10.0 7.7 0.9 -7.8 9.0 13.5 -12.0 -10.9 -11.9 -11.9 16.4 9.2 -0.8 -8.0 8.9 5.4 -0.0 5.1 -1.1 2.5 -0.3 -4.1 2.6 -15.8 -20.0 -20.0 2.7 2.3 LEANHOG -20.0 -14.1 -5.7 -2.0 14.1 -3.8 8.2 -1.7 1.9 3.8 -3.0 -9.9 -2.9 -12.4 -7.1 -20.0 0.1 -20.0 -20.0 -15.0 -8.0 -7.7 -0.7 -16.1 -7.8 -0.0 -5.0 -0.1 -3.1 -2.2 -0.7 -5.0 -20.0 -20.0 -20.0 -20.0 3.5 LIVECOW -4.4 3.5 8.0 -2.0 14.1 -3.8 8.2 -1.7 1.9 11.4 12.1 8.9 2.8 8.5 11.5 -20.0 -20.0 -20.0 -20.0 6.5 6.8 11.3 3.7 6.4 -20.0 -0.0 5.7 10.3 5.2 7.4 3.8 5.8 -20.0 16.4 12.4 18.2 20.0 MXP 16.3 18.1 12.8 4.7 0.9 2.1 3.2 -1.4 4.8 8.6 15.4 13.3 15.4 14.7 15.1 20.0 20.0 20.0 20.0 20.0 20.0 11.1 20.0 19.8 -20.0 -0.0 6.2 0.6 5.9 2.6 4.8 4.8 20.0 -13.3 3.9 2.9 6.3 NASDAQ 20.0 3.5 -0.2 4.1 2.0 1.8 4.1 -0.1 5.2 9.5 -8.5 13.4 -12.6 10.1 5.0 -6.0 -3.9 -5.5 -5.0 5.8 -5.9 19.0 -13.6 16.4 8.8 -0.0 3.8 3.9 -0.1 6.4 -2.5 6.5 -2.6 14.3 -1.7 -6.6 -15.4 NIKKEI 20.0 -12.4 -2.8 4.1 2.0 1.8 4.1 -0.1 5.2 13.7 -3.0 15.2 -0.6 5.1 -2.4 20.0 12.5 17.8 15.0 0.9 -3.0 19.9 -1.6 12.7 8.4 -0.0 -0.0 4.8 -2.2 7.0 -2.1 4.4 20.0 20.0 -10.5 -20.0 -20.0 NZD 8.3 11.9 20.0 4.7 0.9 2.1 3.2 -1.4 4.8 3.4 11.2 12.1 -3.1 12.5 14.9 0.5 0.5 0.2 0.1 17.3 11.9 7.5 -1.7 13.1 -0.5 -0.0 5.8 -0.1 3.6 2.2 -0.7 4.4 4.3 -2.4 -0.8 -0.7 9.5 OAT 15.0 -2.9 7.5 2.5 -2.4 -1.0 0.4 -5.1 3.2 -13.1 -8.4 -2.3 -12.1 0.5 -0.0 11.5 12.9 12.7 13.3 -1.9 -9.9 -7.3 -19.9 -0.3 5.9 -0.0 0.5 -5.7 -3.5 -2.8 -9.5 0.6 20.0 -14.9 -5.5 -15.7 -2.0 OJ -4.9 -1.0 10.8 -2.0 14.1 -3.8 8.2 -1.7 1.9 12.6 14.6 8.6 14.8 10.8 12.7 18.0 13.9 17.3 16.8 12.2 20.0 15.7 20.0 8.8 -20.0 -0.0 5.8 17.8 8.7 8.9 11.1 5.3 11.1 20.0 20.0 17.6 20.0 PALLAD -7.1 -12.6 -14.7 4.6 0.3 2.9 3.2 1.4 5.0 -8.1 -13.5 -12.0 -10.9 -12.7 -14.2 -3.0 -1.6 -2.3 -1.9 -16.5 -16.2 -15.3 -13.1 -15.2 10.7 -0.0 -5.0 -5.3 -4.9 -5.7 -3.6 -4.6 0.0 -20.0 -20.0 -20.0 -20.0 PLAT -11.5 2.9 18.7 4.6 0.3 2.9 3.2 1.4 5.0 -13.4 11.1 -13.6 2.9 -2.8 8.8 -2.3 -0.8 -1.5 -1.0 6.4 11.1 -12.7 6.2 -4.8 -2.2 -0.0 4.5 -5.2 5.6 -4.1 2.4 -0.1 1.6 -20.0 -20.0 -16.9 1.5 REDWHEAT 8.6 -2.4 -13.8 -2.0 14.1 -3.8 8.2 -1.7 1.9 13.9 -13.0 10.5 -8.6 1.8 -10.7 5.0 1.5 4.5 3.4 -7.9 -12.2 12.9 -6.3 2.2 -1.2 -0.0 -2.6 9.7 -3.2 6.6 1.3 1.7 -11.4 1.8 -4.4 -1.1 -7.9 ROBUSTA 20.0 20.0 -10.0 -2.0 14.1 -3.8 8.2 -1.7 1.9 13.4 -7.3 15.3 -6.0 15.4 0.8 14.4 9.8 13.6 11.7 9.5 -2.4 20.0 -3.7 20.0 -3.9 -0.0 1.7 13.3 -1.8 10.9 -1.7 6.5 2.5 20.0 20.0 16.3 -19.0 RUSSELL 20.0 6.3 6.3 4.1 2.0 1.8 4.1 -0.1 5.2 12.3 -1.2 14.7 -10.0 13.3 10.8 -5.4 -3.1 -5.0 -4.3 9.6 1.7 15.2 -5.6 15.3 -2.0 -0.0 4.6 4.6 1.9 5.4 -0.3 6.1 -1.4 0.2 -3.7 -4.9 -8.3 SILVER-mini -5.8 9.1 20.0 4.6 0.3 2.9 3.2 1.4 5.0 -0.4 12.0 -1.7 -0.3 7.4 13.9 -5.7 -3.9 -5.0 -4.6 12.9 13.8 -0.5 4.1 4.1 6.9 -0.0 5.4 -0.0 5.0 0.6 0.5 2.3 -4.2 -14.1 -20.0 -10.2 3.7 SOYBEAN -17.2 -6.9 0.0 -2.0 14.1 -3.8 8.2 -1.7 1.9 3.0 0.9 -5.9 4.4 -9.2 -4.0 20.0 20.0 20.0 20.0 -5.9 -0.3 -5.5 5.7 -10.5 -18.8 -0.0 -1.3 4.3 2.2 -1.5 6.6 -3.8 20.0 -20.0 -19.0 -0.8 10.6 SOYMEAL -3.5 10.9 14.1 -2.0 14.1 -3.8 8.2 -1.7 1.9 10.4 12.5 7.9 12.4 12.2 13.7 20.0 16.7 20.0 18.2 17.5 17.9 11.8 14.1 11.9 -20.0 -0.0 5.7 4.6 6.3 3.1 5.8 3.5 14.2 -5.0 8.4 20.0 20.0 SOYOIL -5.6 -9.9 -6.8 -2.0 14.1 -3.8 8.2 -1.7 1.9 -1.7 -1.6 -7.1 3.9 -5.4 -9.0 1.2 17.8 8.2 13.5 -9.9 -4.7 -4.3 5.5 -9.4 -11.3 -0.0 -3.9 2.9 -1.0 -1.5 3.7 -3.9 11.9 -20.0 -13.5 -18.3 6.1 SP400 20.0 7.7 12.8 4.1 2.0 1.8 4.1 -0.1 5.2 12.7 7.1 14.7 -3.4 13.6 13.1 -5.3 -2.6 -4.1 -3.3 13.6 7.5 16.3 0.8 16.7 -5.9 -0.0 5.2 5.1 3.1 5.7 1.3 6.1 0.0 3.4 -3.8 -5.0 -2.6 SP500 17.2 2.9 6.1 4.1 2.0 1.8 4.1 -0.1 5.2 10.5 -1.3 13.5 -7.8 9.3 8.4 -6.4 -4.1 -5.8 -5.1 7.2 0.2 12.6 -5.9 11.9 3.8 -0.0 4.3 3.4 1.0 5.4 -1.9 5.8 -2.8 0.9 -11.4 -10.3 -8.5 SUGAR11 9.2 2.2 14.8 -2.0 14.1 -3.8 8.2 -1.7 1.9 14.0 8.8 13.9 6.0 7.6 9.7 20.0 20.0 20.0 20.0 12.7 10.8 20.0 7.6 18.5 -20.0 -0.0 5.8 12.9 5.4 8.9 3.8 6.0 20.0 20.0 18.9 20.0 20.0 US10 10.6 12.5 17.9 2.5 -2.4 -1.0 0.4 -5.1 3.2 -11.6 -4.7 3.3 -11.1 7.1 10.4 -8.6 -2.0 -8.0 -6.1 6.7 -3.6 -0.8 -17.7 6.2 -2.1 -0.0 3.7 -2.5 -0.6 -0.1 -7.0 3.1 -7.6 5.8 -6.0 1.8 2.8 US10U 10.0 11.2 17.2 2.5 -2.4 -1.0 0.4 -5.1 3.2 -10.8 -4.6 4.5 -11.1 8.1 10.5 0.7 4.0 0.8 1.5 6.2 -3.9 0.1 -17.5 6.1 -4.7 -0.0 4.2 -1.7 0.2 0.5 -5.4 3.5 4.0 8.2 -2.4 4.3 3.9 US20 9.8 11.7 18.2 2.5 -2.4 -1.0 0.4 -5.1 3.2 -10.9 -3.0 4.8 -10.2 8.6 11.3 -9.3 -0.4 -5.7 -3.0 7.2 -3.3 1.1 -17.0 7.1 -3.1 -0.0 3.4 -1.7 -0.5 0.5 -5.8 3.1 -3.2 10.1 -6.5 1.4 -0.6 US30 10.7 10.6 20.0 2.5 -2.4 -1.0 0.4 -5.1 3.2 -8.2 -2.5 7.0 -11.6 6.1 9.4 -1.6 -0.2 -1.4 -1.0 6.6 -4.1 2.5 -18.9 7.2 -4.7 -0.0 4.0 -0.9 0.3 1.2 -5.2 3.6 -1.7 9.2 -2.0 4.5 0.8 US5 10.5 13.5 17.8 2.5 -2.4 -1.0 0.4 -5.1 3.2 -11.3 -4.7 2.9 -11.5 5.6 10.1 -9.9 -1.3 -7.9 -6.0 6.5 -4.2 -1.7 -19.5 5.7 -0.2 -0.0 3.5 -2.9 -1.0 -0.8 -8.5 2.6 -7.0 1.7 -8.7 2.6 2.7 VIX -20.0 -20.0 -20.0 -5.2 -3.1 -4.1 -4.6 -2.8 -5.3 -13.3 -15.9 -15.4 -13.7 -16.2 -16.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -18.5 -20.0 NaN -0.0 -6.5 -3.2 -5.6 -4.5 -3.8 -5.8 NaN NaN NaN NaN NaN WHEAT 2.8 -2.6 -19.8 -2.0 14.1 -3.8 8.2 -1.7 1.9 13.7 -15.0 3.4 -12.2 -5.8 -13.1 -9.4 -5.6 -8.0 -6.8 -13.8 -18.6 5.2 -12.3 -4.4 3.2 -0.0 -4.4 6.5 -4.8 2.6 -0.7 -1.3 -20.0 -6.1 -14.3 -3.6 -11.3 End of report for caleb_strategy_v1