******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230207_204319 produced at 2023-02-07 21:36:04.847166 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.23 -0.26 0.0 7442098.68 -7442098.68 -0.23 -0.22 -34.61 999999999 -31 -30 caleb_strategy_v1 US10U False False 0.04 -0.21 -0.20 0.0 41224125.26 -41224125.26 -0.21 -0.21 -4.75 999999999 -5 -5 caleb_strategy_v1 CHF False False 0.05 -0.28 -0.14 0.0 46356644.06 -46356644.06 -0.28 -0.28 -2.99 999999999 -6 -6 caleb_strategy_v1 US20 False False 0.04 0.00 -0.13 0.0 44251764.77 -44251764.77 0.00 0.00 -3.02 999999999 0 0 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.08 0.0 11341484.03 -11341484.03 -0.07 -0.07 -7.39 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.08 0.0 33528026.38 -33528026.38 -0.17 -0.17 -2.33 999999999 -5 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.07 0.0 22549216.05 -22549216.05 -0.11 -0.11 -2.99 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.05 -0.06 0.0 46082280.98 -46082280.98 -0.05 -0.05 -1.34 999999999 -1 -1 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.05 0.0 52647245.27 -52647245.27 0.00 0.00 -0.97 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.04 0.0 8988820.57 -8988820.57 -0.02 -0.02 -4.34 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.04 0.0 36600721.45 -36600721.45 0.00 0.00 -1.07 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 6445131.82 -6445131.82 -0.01 -0.01 -4.58 999999999 -2 -2 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 54495367.76 -54495367.76 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 8714457.49 -8714457.49 -0.02 -0.02 -0.76 999999999 -2 -2 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14431498.27 -14431498.27 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 19323306.34 -19323306.34 0.00 0.00 -0.27 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.01 0.0 32499164.81 -32499164.81 -0.10 -0.10 -0.18 999999999 -3 -3 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 11793325.73 -11793325.73 0.00 0.00 -0.60 999999999 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 0.00 0.0 38935980.00 -38935980.00 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 792909.32 -792909.32 0.00 0.00 2.29 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 13525242.71 -13525242.71 -0.03 -0.03 -0.31 999999999 -2 -2 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.00 0.0 22686397.59 -22686397.59 0.00 0.00 0.22 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12231106.33 -12231106.33 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14656990.43 -14656990.43 0.00 0.00 0.08 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.01 0.0 23440896.08 -23440896.08 0.02 0.02 0.62 999999999 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 7003117.75 -7003117.75 0.01 0.01 1.86 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16761869.73 -16761869.73 0.00 0.00 0.58 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4243792.63 -4243792.63 0.00 0.00 2.06 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.01 0.0 37181020.81 -37181020.81 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 23631235.47 -23631235.47 0.00 0.00 0.86 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 10224311.84 -10224311.84 0.06 0.06 2.41 999999999 6 6 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5811524.57 -5811524.57 0.00 0.00 3.07 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 38489093.97 -38489093.97 0.04 0.04 0.47 999999999 1 1 caleb_strategy_v1 SP500 False False 0.07 0.00 0.02 0.0 70644207.47 -70644207.47 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 26904730.03 -26904730.03 0.00 0.00 0.62 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7497794.39 -7497794.39 0.00 0.00 2.94 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.03 0.0 34586896.41 -34586896.41 0.00 0.00 1.01 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 21623240.64 -21623240.64 0.00 0.00 1.26 999999999 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.03 0.0 0.00 0.00 0.00 0.00 1.00 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15518710.94 -15518710.94 0.00 0.00 1.71 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 -0.01 0.04 0.0 3360776.31 -3360776.31 -0.01 -0.00 12.56 999999999 -2 -1 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 8899652.57 -8899652.57 0.03 0.03 4.11 999999999 3 3 caleb_strategy_v1 CAC False False 0.03 0.00 0.04 0.0 26336511.93 -26336511.93 0.00 0.00 1.64 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.04 0.0 48613709.13 -48613709.13 0.00 0.00 0.77 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.15 0.04 0.0 25798703.84 -25798703.84 0.15 0.15 1.36 999999999 6 6 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 25514052.14 -25514052.14 0.00 0.00 1.90 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.05 0.0 25052779.20 -25052779.20 0.05 0.05 2.05 999999999 2 2 caleb_strategy_v1 SP400 False False 0.09 0.55 0.05 0.0 91983653.79 -91983653.79 0.55 0.55 0.58 999999999 6 6 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 42472067.69 -42472067.69 0.04 0.04 1.09 999999999 1 1 caleb_strategy_v1 NASDAQ False False 0.09 0.17 0.05 0.0 85844779.77 -85844779.77 0.17 0.17 0.54 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.06 0.0 16262871.87 -16262871.87 0.08 0.08 3.50 999999999 5 5 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5669816.65 -5669816.65 0.00 0.00 10.51 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 48482161.72 -48482161.72 0.10 0.10 1.29 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.09 0.24 0.0 43212281.47 -43212281.47 0.09 0.09 5.54 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.25 0.0 50400825.31 -50400825.31 0.10 0.10 4.93 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.33 0.0 0.00 0.00 0.00 0.00 45.62 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 17.8 Shocked risk 53.6 Sum abs risk 48.8 Leverage 3.00 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2915844.16, 'annual_cash_vol_target': 728961.04, 'daily_cash_vol_target': 45560.065} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0059 0.6891 0.8530 13.6478 BITCOIN 714.2343 23120.0000 3.0892 49.4280 BOBL 0.4253 117.3400 0.3625 5.7998 BTP 1.1527 115.3300 0.9995 15.9920 BUND 0.9394 136.8600 0.6864 10.9822 BUXL 2.1909 142.9600 1.5325 24.5199 CAC 59.6104 7151.5000 0.8335 13.3366 CAD 0.0036 0.7440 0.4831 7.7294 CANOLA 7.9486 830.2000 0.9574 15.3188 CHF 0.0064 1.0814 0.5946 9.5138 COCOA 31.7686 2621.0000 1.2121 19.3933 COFFEE 0.0395 1.7640 2.2390 35.8240 COPPER 0.0488 4.0340 1.2097 19.3545 CORN 4.4352 596.2500 0.7438 11.9015 COTTON2 0.0154 0.8416 1.8291 29.2656 CRUDE_W 1.2841 73.0500 1.7578 28.1254 DAX 130.2778 15396.0000 0.8462 13.5389 DOW 258.1590 33891.0000 0.7617 12.1877 EUR 0.0061 1.0750 0.5643 9.0282 EUROSTX 38.9358 4214.0000 0.9240 14.7834 FEEDCOW 1.1918 195.5250 0.6095 9.7523 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.1187 784.5000 2.4371 38.9928 GASOILINE 0.0547 2.5410 2.1519 34.4303 GAS_US 0.1633 2.5410 6.4276 102.8410 GBP 0.0083 1.2036 0.6876 11.0023 GOLD_micro 18.2876 1879.3000 0.9731 15.5697 HEATOIL 0.0608 2.6721 2.2759 36.4145 JPY 0.0001 0.0076 0.8969 14.3497 LEANHOG 1.4408 82.6750 1.7427 27.8829 LIVECOW 0.9308 164.3750 0.5663 9.0605 MXP 0.0004 0.0519 0.7183 11.4920 NASDAQ 155.2412 12515.5000 1.2404 19.8463 NIKKEI 236.3144 27665.0000 0.8542 13.6672 NZD 0.0051 0.6305 0.8075 12.9206 OAT 0.9952 131.6500 0.7559 12.0947 OJ 0.0280 2.2925 1.2219 19.5504 PALLAD 35.2533 1589.0000 2.2186 35.4974 PLAT 18.5757 977.5000 1.9003 30.4052 REDWHEAT 11.9055 854.7500 1.3929 22.2857 ROBUSTA 29.0348 2042.0000 1.4219 22.7501 RUSSELL 23.5029 1959.9000 1.1992 19.1870 SILVER-mini 0.4215 22.5375 1.8700 29.9199 SOYBEAN 9.8777 1367.0000 0.7226 11.5613 SOYMEAL 5.7379 474.2000 1.2100 19.3604 SOYOIL 0.8254 59.4400 1.3887 22.2185 SP400 27.9884 2682.1000 1.0435 16.6964 SP500 37.3915 4119.7500 0.9076 14.5218 SUGAR11 0.0030 0.1952 1.5114 24.1817 US10 0.5442 113.5312 0.4794 7.6696 US10U 0.7220 120.2031 0.6006 9.6101 US20 1.0009 129.0312 0.7757 12.4108 US30 1.5258 141.7500 1.0764 17.2225 US5 0.3681 108.4141 0.3395 5.4318 VIX 0.4962 21.7000 2.2866 36.5859 WHEAT 9.4587 788.7500 1.1992 19.1873 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 689.05 0.85 587.75 1.00 587.75 45560.06 77.52 6.96 53.97 BITCOIN 23.12 3.09 71.42 1.00 71.42 45560.06 637.89 1.53 97.32 BOBL 1173.40 0.36 425.34 1.07 459.14 45560.06 99.23 7.73 76.73 BTP 1153.30 1.00 1152.72 1.07 1244.32 45560.06 36.61 14.68 53.76 BUND 1368.60 0.69 939.39 1.07 1014.04 45560.06 44.93 15.21 68.33 BUXL 1429.60 1.53 2190.85 1.07 2364.94 45560.06 19.26 -6.02 -11.60 CAC 715.15 0.83 596.10 1.07 643.47 45560.06 70.80 8.23 58.29 CAD 743.95 0.48 359.39 1.00 359.39 45560.06 126.77 8.40 106.46 CANOLA 166.04 0.96 158.97 0.74 118.66 45560.06 383.95 5.83 223.90 CHF 1351.69 0.59 803.73 1.00 803.73 45560.06 56.69 -14.10 -79.91 COCOA 262.10 1.21 317.69 1.00 317.69 45560.06 143.41 -13.89 -199.19 COFFEE 661.50 2.24 1481.10 1.00 1481.10 45560.06 30.76 5.43 16.70 COPPER 1008.50 1.21 1219.94 1.00 1219.94 45560.06 37.35 9.86 36.81 CORN 298.12 0.74 221.76 1.00 221.76 45560.06 205.45 13.01 267.23 COTTON2 420.80 1.83 769.68 1.00 769.68 45560.06 59.19 -3.92 -23.18 CRUDE_W 730.50 1.76 1284.10 1.00 1284.10 45560.06 35.48 4.36 15.48 DAX 153.96 0.85 130.28 1.07 140.63 45560.06 323.97 5.98 193.62 DOW 169.46 0.76 129.08 1.00 129.08 45560.06 352.96 3.05 107.68 EUR 1343.69 0.56 758.19 1.00 758.19 45560.06 60.09 -5.97 -35.89 EUROSTX 421.40 0.92 389.36 1.07 420.30 45560.06 108.40 5.61 60.79 FEEDCOW 977.62 0.61 595.88 1.00 595.88 45560.06 76.46 -11.34 -86.72 FTSE100 707.00 0.82 576.59 1.20 666.67 45560.06 68.34 1.42 9.70 GASOIL 784.50 2.44 1911.87 1.00 1911.87 45560.06 23.83 3.64 8.68 GASOILINE 1067.22 2.15 2296.54 1.00 2296.54 45560.06 19.84 -13.13 -26.04 GAS_US 254.10 6.43 1633.24 1.00 1633.24 45560.06 27.90 -18.19 -50.74 GBP 752.25 0.69 517.28 1.00 517.28 45560.06 88.08 8.66 76.31 GOLD_micro 187.93 0.97 182.88 1.00 182.88 45560.06 249.13 -8.21 -204.56 HEATOIL 1122.28 2.28 2554.21 1.00 2554.21 45560.06 17.84 3.67 6.55 JPY 947.62 0.90 849.88 1.00 849.88 45560.06 53.61 -0.51 -2.75 LEANHOG 330.70 1.74 576.30 1.00 576.30 45560.06 79.06 -20.00 -158.11 LIVECOW 657.50 0.57 372.33 1.00 372.33 45560.06 122.36 -9.08 -111.14 MXP 259.50 0.72 186.39 1.00 186.39 45560.06 244.44 13.72 335.39 NASDAQ 2503.10 1.24 3104.82 1.00 3104.82 45560.06 14.67 6.83 10.02 NIKKEI 27665.00 0.85 23631.44 0.01 180.14 45560.06 252.92 9.50 240.20 NZD 630.50 0.81 509.15 1.00 509.15 45560.06 89.48 8.79 78.64 OAT 1316.50 0.76 995.17 1.07 1074.24 45560.06 42.41 15.09 64.00 OJ 343.88 1.22 420.18 1.00 420.18 45560.06 108.43 -3.18 -34.43 PALLAD 1589.00 2.22 3525.33 1.00 3525.33 45560.06 12.92 -8.62 -11.14 PLAT 488.75 1.90 928.78 1.00 928.78 45560.06 49.05 4.94 24.22 REDWHEAT 427.38 1.39 595.27 1.00 595.27 45560.06 76.54 2.04 15.62 ROBUSTA 204.20 1.42 290.35 1.00 290.35 45560.06 156.92 9.17 143.82 RUSSELL 98.00 1.20 117.51 1.00 117.51 45560.06 387.70 6.26 242.55 SILVER-mini 563.44 1.87 1053.63 1.00 1053.63 45560.06 43.24 -2.80 -12.09 SOYBEAN 683.50 0.72 493.88 1.00 493.88 45560.06 92.25 1.14 10.49 SOYMEAL 474.20 1.21 573.79 1.00 573.79 45560.06 79.40 7.48 59.40 SOYOIL 356.64 1.39 495.25 1.00 495.25 45560.06 91.99 4.52 41.57 SP400 2682.10 1.04 2798.84 1.00 2798.84 45560.06 16.28 6.91 11.25 SP500 2059.88 0.91 1869.57 1.00 1869.57 45560.06 24.37 5.06 12.34 SUGAR11 218.62 1.51 330.42 1.00 330.42 45560.06 137.89 15.73 216.86 US10 1135.31 0.48 544.21 1.00 544.21 45560.06 83.72 0.16 1.33 US10U 1202.03 0.60 721.98 1.00 721.98 45560.06 63.10 -5.16 -32.57 US20 1290.31 0.78 1000.87 1.00 1000.87 45560.06 45.52 -9.02 -41.04 US30 1417.50 1.08 1525.81 1.00 1525.81 45560.06 29.86 3.06 9.12 US5 1084.14 0.34 368.05 1.00 368.05 45560.06 123.79 0.44 5.42 VIX 217.00 2.29 496.20 1.00 496.20 45560.06 91.82 -20.00 -183.64 WHEAT 394.38 1.20 472.94 1.00 472.94 45560.06 96.33 -6.08 -58.59 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 53.969 0.006 2.5 0.862 BITCOIN 97.321 0.009 2.5 2.293 BOBL 76.728 0.029 2.5 5.536 BTP 53.757 0.008 2.5 1.086 BUND 68.326 0.029 2.5 4.930 BUXL -11.600 0.034 2.5 -0.974 CAC 58.285 0.011 2.5 1.639 CAD 106.458 0.007 2.5 1.901 CANOLA 223.905 0.004 2.5 2.055 CHF -79.913 0.015 2.5 -2.991 COCOA -199.191 0.009 2.5 -4.339 COFFEE 16.699 0.005 2.5 0.217 COPPER 36.807 0.011 2.5 1.006 CORN 267.225 0.004 2.5 2.410 COTTON2 -23.182 0.006 2.5 -0.349 CRUDE_W 15.485 0.053 2.5 2.046 DAX 193.615 0.022 2.5 10.515 DOW 107.676 0.011 2.5 3.069 EUR -35.894 0.015 2.5 -1.343 EUROSTX 60.791 0.011 2.5 1.709 FEEDCOW -86.722 0.011 2.5 -2.330 FTSE100 9.700 0.041 2.5 1.000 GASOIL 8.682 0.029 2.5 0.619 GASOILINE -26.040 0.016 2.5 -1.069 GAS_US -50.745 0.006 2.5 -0.764 GBP 76.315 0.007 2.5 1.363 GOLD_micro -204.555 0.009 2.5 -4.577 HEATOIL 6.551 0.029 2.5 0.467 JPY -2.747 0.026 2.5 -0.178 LEANHOG -158.111 0.019 2.5 -7.387 LIVECOW -111.144 0.011 2.5 -2.987 MXP 335.395 0.005 2.5 4.106 NASDAQ 10.023 0.022 2.5 0.544 NIKKEI 240.201 0.076 2.5 45.622 NZD 78.635 0.006 2.5 1.256 OAT 63.998 0.008 2.5 1.293 OJ -34.429 0.007 2.5 -0.601 PALLAD -11.140 0.010 2.5 -0.268 PLAT 24.221 0.010 2.5 0.583 REDWHEAT 15.620 0.002 2.5 0.083 ROBUSTA 143.824 0.005 2.5 1.865 RUSSELL 242.553 0.021 2.5 12.563 SILVER-mini -12.091 0.009 2.5 -0.271 SOYBEAN 10.489 0.024 2.5 0.618 SOYMEAL 59.404 0.024 2.5 3.503 SOYOIL 41.570 0.004 2.5 0.382 SP400 11.255 0.021 2.5 0.583 SP500 12.339 0.011 2.5 0.352 SUGAR11 216.863 0.005 2.5 2.943 US10 1.335 0.015 2.5 0.051 US10U -32.575 0.058 2.5 -4.746 US20 -41.038 0.029 2.5 -3.025 US30 9.125 0.034 2.5 0.766 US5 5.424 0.015 2.5 0.208 VIX -183.637 0.075 2.5 -34.606 WHEAT -58.589 0.002 2.5 -0.313 ==================== Position diags ==================== AUD 1.24 BITCOIN 15.03 BOBL 7.16 BTP 0.74 BUND 3.24 BUXL 1.62 CAC 1.99 CAD 2.26 CANOLA 3.52 CHF 2.12 COCOA 3.12 COFFEE 0.40 COPPER 1.02 CORN 1.85 COTTON2 0.89 CRUDE_W 4.69 DAX 17.59 DOW 10.06 EUR 2.25 EUROSTX 3.05 FEEDCOW 2.05 FTSE100 7.05 GASOIL 1.70 GASOILINE 0.81 GAS_US 0.42 GBP 1.57 GOLD_micro 5.57 HEATOIL 1.27 JPY 3.47 LEANHOG 3.69 LIVECOW 3.29 MXP 2.99 NASDAQ 0.80 NIKKEI 48.04 NZD 1.43 OAT 0.86 OJ 1.89 PALLAD 0.31 PLAT 1.18 REDWHEAT 0.41 ROBUSTA 2.03 RUSSELL 20.08 SILVER-mini 0.97 SOYBEAN 5.44 SOYMEAL 4.68 SOYOIL 0.84 SP400 0.84 SP500 0.69 SUGAR11 1.87 US10 3.21 US10U 9.19 US20 3.36 US30 2.51 US5 4.75 VIX 17.30 WHEAT 0.51 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.9 0.7 1.0 0.0 0 BITCOIN 2.3 0.8 3.8 NaN 0 BOBL 5.5 4.8 6.3 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.9 4.6 5.3 2.0 2 BUXL -1.0 -1.1 -0.8 0.0 0 CAC 1.6 1.4 1.8 0.0 0 CAD 1.9 1.7 2.1 0.0 0 CANOLA 2.1 1.7 2.4 NaN 0 CHF -3.0 -3.2 -2.8 -6.0 -6 COCOA -4.3 -4.7 -4.0 -2.0 -2 COFFEE 0.2 0.2 0.3 NaN 0 COPPER 1.0 0.9 1.1 0.0 0 CORN 2.4 2.2 2.6 6.0 6 COTTON2 -0.3 -0.4 -0.3 NaN 0 CRUDE_W 2.0 1.6 2.5 2.0 2 DAX 10.5 8.8 12.3 0.0 0 DOW 3.1 2.1 4.1 0.0 0 EUR -1.3 -1.6 -1.1 -1.0 -1 EUROSTX 1.7 1.4 2.0 0.0 0 FEEDCOW -2.3 -2.5 -2.1 -5.0 -5 FTSE100 1.0 0.3 1.7 0.0 0 GASOIL 0.6 0.4 0.8 0.0 0 GASOILINE -1.1 -1.2 -1.0 0.0 0 GAS_US -0.8 -0.8 -0.7 -2.0 -2 GBP 1.4 1.2 1.5 6.0 6 GOLD_micro -4.6 -5.1 -4.0 -2.0 -2 HEATOIL 0.5 0.3 0.6 1.0 1 JPY -0.2 -0.5 0.2 -3.0 -3 LEANHOG -7.4 -7.8 -7.0 -6.0 -6 LIVECOW -3.0 -3.3 -2.7 -5.0 -5 MXP 4.1 3.8 4.4 3.0 3 NASDAQ 0.5 0.5 0.6 2.0 2 NIKKEI 45.6 40.8 50.4 0.0 0 NZD 1.3 1.1 1.4 0.0 0 OAT 1.3 1.2 1.4 2.0 2 OJ -0.6 -0.8 -0.4 NaN 0 PALLAD -0.3 -0.3 -0.2 NaN 0 PLAT 0.6 0.5 0.7 NaN 0 REDWHEAT 0.1 0.0 0.1 0.0 0 ROBUSTA 1.9 1.7 2.1 2.0 2 RUSSELL 12.6 10.6 14.6 -2.0 -2 SILVER-mini -0.3 -0.4 -0.2 0.0 0 SOYBEAN 0.6 0.1 1.2 1.0 1 SOYMEAL 3.5 3.0 4.0 5.0 5 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.6 0.5 0.7 6.0 6 SP500 0.4 0.3 0.4 0.0 0 SUGAR11 2.9 2.8 3.1 0.0 0 US10 0.1 -0.3 0.4 NaN 0 US10U -4.7 -5.7 -3.8 -5.0 -5 US20 -3.0 -3.4 -2.7 0.0 0 US30 0.8 0.5 1.0 0.0 0 US5 0.2 -0.3 0.7 0.0 0 VIX -34.6 -36.3 -32.9 -31.0 -31 WHEAT -0.3 -0.4 -0.3 -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 0.0 0.3 0.3 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.2 -0.0 -0.1 0.0 0.3 -0.3 -0.1 -0.1 -0.1 0.2 0.1 -0.0 -0.0 0.0 0.5 2.2 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.0 0.0 -0.1 BITCOIN 0.2 0.3 0.3 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.4 0.1 0.3 -0.1 -0.0 -0.0 -0.0 0.2 0.0 0.0 -0.2 0.0 3.8 -4.8 0.1 0.0 0.0 0.0 -0.0 0.0 0.2 0.1 0.4 0.3 -0.3 BOBL 0.1 0.1 0.2 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 0.3 -0.1 0.1 -0.1 -0.1 -0.0 -0.2 -0.0 1.7 2.4 -0.0 0.0 -0.1 0.0 -0.1 0.0 1.6 0.0 -0.1 -0.2 -0.2 BTP 0.1 0.1 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.0 0.0 -0.3 0.0 0.2 0.7 0.6 0.2 0.3 0.1 -0.0 0.0 -0.1 0.0 -0.5 2.2 0.0 0.0 0.0 0.0 -0.1 0.0 2.7 0.2 0.2 -0.1 0.1 BUND 0.1 0.1 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.3 -0.0 -0.3 0.0 -0.0 0.9 0.7 0.3 0.3 -0.0 -0.1 -0.0 -0.2 -0.0 0.9 2.5 0.0 -0.0 -0.0 0.0 -0.1 0.0 2.8 0.0 -0.1 -0.2 -0.1 BUXL 0.1 -0.0 0.2 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 -0.1 -0.0 -0.2 -0.0 0.4 -2.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 -0.0 -0.2 -0.3 -0.1 CAC 0.1 0.3 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.0 0.2 0.1 0.4 -0.4 0.1 -0.1 -0.0 0.2 0.3 0.0 0.2 0.0 -1.5 1.7 0.1 0.0 0.1 0.0 0.0 0.0 0.8 0.1 -0.1 -0.0 0.2 CAD 0.1 0.2 0.1 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 0.2 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 0.0 2.1 2.2 0.0 -0.0 -0.0 -0.0 -0.1 0.0 0.2 0.1 -0.1 -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 -0.2 -0.0 -0.1 0.1 0.4 0.1 0.1 -0.1 -0.1 0.0 -0.0 -0.0 0.9 2.9 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.2 0.0 -0.2 -0.2 -0.1 CHF -0.0 0.1 0.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.3 -0.0 0.0 0.0 0.3 -1.0 -0.5 -0.3 -0.3 0.1 0.1 -0.0 0.0 0.0 -1.1 -2.4 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 0.1 -0.0 0.2 -0.0 -0.1 0.0 0.2 -0.3 -0.1 -0.0 -0.0 0.1 0.1 -0.0 0.0 0.0 -2.6 -2.2 0.1 -0.0 0.1 -0.0 0.0 0.0 -2.6 -0.2 -0.2 0.2 0.3 COFFEE 0.2 0.2 -0.2 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 -0.2 0.0 -0.1 0.0 1.8 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.3 0.1 0.3 0.2 -0.3 COPPER 0.0 0.3 0.3 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.2 -0.0 -0.1 0.0 0.3 -0.2 -0.0 -0.0 -0.0 0.2 0.2 -0.0 0.0 0.0 0.7 2.1 0.1 -0.0 0.0 -0.0 0.0 0.0 0.3 -0.1 -0.1 0.1 0.1 CORN 0.0 -0.1 -0.3 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 -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 -0.6 2.3 -0.1 0.0 -0.0 0.0 0.0 -0.0 2.5 -0.0 -0.2 -0.2 -0.2 COTTON2 0.0 0.1 -0.2 -0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.0 -0.2 0.4 0.0 0.1 0.0 -0.0 -0.0 -0.0 0.0 0.3 -2.7 0.0 -0.0 0.0 -0.0 0.0 0.0 0.2 -0.0 -0.1 0.2 0.2 CRUDE_W -0.0 0.1 -0.1 -0.0 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 0.0 0.7 0.5 0.2 0.2 -0.0 -0.0 -0.0 0.1 -0.0 -1.4 2.1 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 0.0 0.0 -0.0 0.2 DAX 0.1 0.3 0.4 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.4 0.0 0.0 0.1 0.4 -0.4 -0.2 -0.1 -0.1 0.3 0.3 0.0 0.1 0.0 -1.4 2.2 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 0.1 0.1 0.0 0.1 -0.0 0.3 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 -0.4 2.1 0.1 -0.0 0.1 0.0 0.0 0.0 -0.3 -0.1 -0.4 -0.2 0.0 EUR -0.1 0.2 0.4 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.3 -0.0 -0.1 0.0 0.4 -0.6 -0.4 -0.2 -0.2 0.2 0.2 -0.0 -0.0 0.0 0.0 -2.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 -1.3 -0.0 0.1 0.1 0.2 EUROSTX 0.1 0.3 0.3 0.1 0.0 0.1 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 -1.8 0.1 0.0 0.1 0.0 0.0 0.0 2.0 0.0 -0.1 -0.0 0.2 FEEDCOW -0.0 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 0.2 -1.6 -0.8 -0.4 -0.4 0.0 0.0 0.0 -0.0 0.0 -3.2 2.7 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.0 -0.0 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 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 0.9 -0.2 -0.3 0.1 0.0 GASOIL 0.0 0.1 -0.3 -0.0 -0.1 -0.0 -0.2 0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.0 -0.1 1.7 0.9 0.4 0.4 -0.0 0.0 -0.0 0.1 -0.0 -0.4 -3.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 2.7 -0.2 0.0 -0.1 -0.1 GASOILINE 0.1 0.3 -0.1 -0.0 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.2 -0.0 0.1 0.0 0.2 -1.3 0.4 -0.4 -0.1 0.1 0.0 -0.0 0.1 0.0 -1.7 -2.6 0.0 -0.0 0.0 -0.0 0.1 0.0 -1.6 0.0 0.3 0.3 0.3 GAS_US -0.2 -0.3 -0.3 -0.0 -0.1 -0.0 -0.2 0.1 -0.1 -0.0 -0.4 -0.1 -0.2 -0.1 -0.4 0.2 -0.1 0.1 0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -0.4 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.2 -0.4 -0.3 -0.3 GBP -0.0 0.1 0.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.3 -0.0 -0.1 0.0 0.3 -0.2 -0.1 -0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.0 2.0 2.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.2 -0.2 -0.1 GOLD_micro -0.1 0.3 0.4 0.1 -0.1 0.1 -0.1 0.0 0.0 -0.0 0.2 -0.0 -0.1 0.0 0.3 -1.0 -0.4 -0.2 -0.2 0.2 0.2 -0.0 0.0 0.0 0.8 -2.7 0.1 -0.0 0.0 -0.0 0.0 0.0 -1.8 -0.0 -0.1 0.1 0.1 HEATOIL 0.0 0.1 -0.3 -0.0 -0.1 -0.0 -0.2 0.1 -0.1 -0.1 -0.1 -0.0 0.2 -0.0 -0.0 1.7 0.9 0.5 0.5 -0.0 0.0 -0.0 0.1 -0.0 -1.5 -2.7 0.0 -0.0 0.0 -0.0 0.1 -0.0 2.8 -0.0 0.1 0.1 0.1 JPY -0.1 0.2 0.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.2 0.0 0.3 -0.9 -0.5 -0.2 -0.2 0.2 0.1 -0.0 -0.1 0.0 0.6 2.0 0.1 -0.0 0.0 -0.0 -0.1 0.0 -2.0 -0.0 -0.2 0.0 0.0 LEANHOG -0.1 -0.2 -0.1 -0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -1.6 -0.1 -0.4 -0.4 -0.2 -0.1 -0.0 -0.0 -0.0 -0.9 -2.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.3 -0.0 LIVECOW 0.0 0.1 0.1 -0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.3 0.0 0.1 0.0 0.3 -1.6 -0.8 -0.4 -0.4 0.1 0.1 0.0 0.1 0.0 -3.3 2.6 0.1 0.0 0.1 0.0 0.0 0.0 -2.8 0.0 0.3 0.3 0.3 MXP -0.0 0.2 0.1 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.4 0.0 0.4 0.0 0.3 1.5 0.8 0.4 0.4 0.2 0.2 -0.0 0.2 0.0 -3.6 2.2 0.1 -0.0 0.1 -0.0 0.1 0.0 2.2 0.0 0.1 0.1 0.1 NASDAQ 0.3 0.2 0.1 0.1 0.0 0.1 0.1 0.0 0.1 0.1 -0.2 0.1 -0.3 0.1 0.2 -0.4 -0.2 -0.1 -0.1 0.2 -0.0 0.0 -0.1 0.0 0.9 1.9 0.1 0.0 0.0 0.0 -0.0 0.0 -0.3 0.3 0.4 -0.0 -0.2 NIKKEI 0.2 -0.0 -0.0 0.1 0.0 0.1 0.1 0.0 0.1 0.0 -0.0 0.1 -0.0 0.0 0.0 1.2 0.5 0.3 0.3 0.1 -0.0 0.0 -0.0 0.0 1.3 -1.9 0.0 0.0 -0.0 0.0 -0.0 0.0 2.6 0.1 0.0 -0.3 -0.3 NZD -0.0 0.1 0.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.3 -0.0 -0.1 0.0 0.3 0.0 0.0 0.0 0.0 0.1 0.1 -0.0 -0.0 0.0 -0.1 2.3 0.1 -0.0 0.0 -0.0 -0.0 0.0 0.6 -0.0 -0.1 -0.1 0.1 OAT 0.1 0.1 0.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 -0.2 -0.0 -0.3 0.0 0.0 0.9 0.5 0.3 0.3 -0.0 -0.1 -0.0 -0.2 0.0 0.7 2.6 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 0.0 -0.0 -0.2 -0.0 OJ 0.0 0.1 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 1.4 0.5 0.3 0.3 0.1 0.1 0.0 0.1 0.0 -5.1 -2.8 0.0 0.0 0.0 0.0 0.0 0.0 1.7 0.0 0.5 0.3 0.3 PALLAD -0.1 -0.2 -0.3 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 2.1 -2.6 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 -0.4 -0.3 -0.3 PLAT -0.2 -0.0 0.3 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.2 -0.0 0.1 -0.0 0.1 -0.2 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.1 -0.0 -0.3 2.5 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.2 -0.0 -0.4 -0.2 -0.0 REDWHEAT 0.2 0.0 -0.2 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.3 0.0 -0.2 0.0 -0.2 0.5 0.1 0.1 0.1 -0.1 -0.1 0.0 -0.1 0.0 -0.1 2.6 -0.0 0.0 -0.0 0.0 0.0 0.0 -1.4 0.1 0.0 0.0 -0.1 ROBUSTA 0.2 0.3 -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 0.9 0.4 0.3 0.2 0.1 0.0 0.0 -0.0 0.0 -0.7 2.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.4 0.0 0.4 0.2 -0.2 RUSSELL 0.3 0.2 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.0 -0.2 0.1 0.3 -0.3 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.1 0.0 -0.3 2.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.1 0.3 0.2 0.0 -0.1 SILVER-mini -0.2 0.0 0.4 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.3 -0.0 -0.0 -0.0 0.3 -0.4 -0.1 -0.1 -0.1 0.1 0.1 -0.0 0.1 -0.0 1.6 -3.2 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.2 0.0 SOYBEAN -0.2 -0.1 -0.0 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 0.1 -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 -2.7 -2.5 -0.0 0.0 0.0 0.0 0.1 -0.0 2.7 -0.0 -0.4 -0.1 0.1 SOYMEAL -0.0 0.2 0.3 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 0.3 0.0 0.3 0.1 0.3 1.6 0.7 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -2.8 -2.5 0.1 0.0 0.1 0.0 0.1 0.0 2.2 0.2 0.2 0.3 0.3 SOYOIL -0.1 -0.2 -0.2 -0.0 0.0 -0.1 0.1 -0.0 0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.2 -0.0 0.7 0.1 0.3 -0.1 -0.1 -0.0 0.1 -0.0 -1.5 2.7 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 1.5 -0.1 -0.4 -0.2 0.0 SP400 0.2 0.2 0.3 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.2 0.0 -0.1 0.1 0.4 -0.3 -0.1 -0.1 -0.1 0.2 0.1 0.0 0.0 0.0 -1.1 2.4 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 0.0 -0.0 SP500 0.2 0.2 0.2 0.1 0.0 0.1 0.1 0.0 0.1 0.0 0.0 0.1 -0.2 0.1 0.3 -0.5 -0.2 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 0.4 2.0 0.1 0.0 0.0 0.0 -0.0 0.0 -0.3 0.1 -0.0 -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 0.2 0.0 0.2 1.6 0.8 0.4 0.4 0.2 0.1 0.0 0.1 0.0 -3.3 2.3 0.1 -0.0 0.1 0.0 0.0 0.0 2.7 0.0 0.4 0.3 0.3 US10 0.0 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 -0.2 2.3 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 -0.0 -0.0 0.0 0.0 US10U 0.0 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 0.0 0.2 0.0 0.0 0.1 -0.0 -0.0 -0.2 0.0 -0.5 -2.9 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.5 -0.0 -0.0 0.0 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 -0.8 -0.0 -0.1 -0.1 0.1 -0.0 -0.0 -0.2 0.0 -0.3 -2.7 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -0.6 0.0 -0.0 -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 -0.0 0.0 -0.3 0.0 0.3 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.2 0.0 -0.5 2.0 0.1 -0.0 0.0 0.0 -0.1 0.0 -0.3 0.1 0.0 0.0 0.0 US5 0.0 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 -0.9 -0.1 -0.2 -0.1 0.1 -0.0 -0.0 -0.2 0.0 0.1 2.4 0.0 -0.0 -0.0 -0.0 -0.1 0.0 -1.1 -0.0 -0.0 0.0 0.0 VIX -0.1 -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 -3.1 -0.1 0.0 -0.1 -0.0 -0.1 -0.0 NaN NaN NaN NaN NaN WHEAT 0.1 -0.0 -0.3 -0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.3 0.0 -0.3 -0.0 -0.3 -0.8 -0.2 -0.2 -0.1 -0.1 -0.2 0.0 -0.2 0.0 0.6 2.5 -0.0 0.0 -0.1 0.0 -0.0 0.0 -2.7 0.0 -0.1 -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 3.5 16.1 18.8 4.3 -6.7 2.3 -1.4 -1.3 2.8 -11.8 6.9 -2.6 -3.6 9.9 14.0 -3.5 -2.4 -3.3 -2.9 12.8 7.2 -6.6 -2.3 7.5 4.4 11.7 4.7 -9.1 2.5 -2.8 -1.2 2.6 -0.6 -2.7 -1.0 1.7 -3.5 BITCOIN 20.0 20.0 20.0 3.9 -7.9 3.0 -2.9 1.6 2.1 -2.8 0.1 13.8 -14.6 15.2 12.1 -2.2 -0.6 -0.3 -0.0 18.7 0.9 14.7 -17.9 20.0 17.3 -18.1 4.5 0.2 0.9 3.3 -1.7 5.6 2.8 20.0 20.0 17.2 -17.2 BOBL 12.8 8.4 10.9 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -5.7 -11.9 -2.9 -13.4 0.7 -2.1 -11.7 8.2 -3.3 3.8 -4.5 -12.8 -0.3 -20.0 -0.2 11.6 10.8 -0.8 0.7 -5.8 1.6 -12.2 1.2 11.0 10.4 -4.8 -15.1 -12.0 BTP 7.9 7.1 20.0 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -1.7 -0.4 2.2 -10.1 7.0 7.9 8.3 13.7 11.4 13.7 5.0 -0.6 4.6 -10.2 5.7 -3.8 11.4 3.3 3.4 0.1 3.6 -5.8 3.7 20.0 16.5 7.9 -4.2 10.2 BUND 11.2 9.3 15.9 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -8.3 -10.4 -3.6 -12.8 2.0 -0.1 10.9 15.4 12.4 13.8 -2.8 -10.3 -1.4 -18.5 -0.0 7.3 12.3 0.4 -0.3 -4.0 1.1 -10.1 1.6 20.0 6.8 -3.1 -12.8 -6.0 BUXL 6.3 -1.7 14.2 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -11.4 -8.5 -9.9 -12.0 -4.0 -3.2 2.2 -0.1 3.4 2.8 -5.6 -10.5 -6.2 -18.2 -4.7 3.1 -10.8 -0.7 -3.3 -3.2 -1.7 -7.3 -0.7 1.3 -0.6 -11.0 -20.0 -4.8 CAC 11.5 18.0 20.0 4.3 1.1 2.2 3.5 0.2 4.9 5.0 15.0 12.9 6.6 15.3 16.0 -4.5 1.7 -2.9 -1.0 20.0 20.0 16.2 13.3 20.0 -13.0 8.9 5.8 2.8 4.8 4.3 2.8 5.3 6.0 6.8 -3.8 -0.1 12.7 CAD 5.8 13.6 3.7 4.3 -6.7 2.3 -1.4 -1.3 2.8 -11.6 -5.4 3.2 -9.1 11.3 7.6 -1.7 -1.2 -1.7 -1.6 4.4 -3.3 -1.2 -9.8 5.2 14.9 10.4 3.1 -6.6 -1.3 -0.9 -5.5 3.0 1.6 7.5 -5.1 -4.1 -17.6 CANOLA -12.0 -5.8 -7.4 -0.2 3.8 -2.9 6.5 -1.5 3.9 12.5 -8.1 1.3 -7.4 -4.7 -6.0 1.3 10.2 3.6 5.7 -9.1 -9.6 2.7 -3.4 -6.6 4.1 11.5 -3.9 3.6 -3.1 1.4 -0.1 -2.4 -1.5 1.5 -20.0 -15.0 -7.2 CHF -4.0 3.6 20.0 4.3 -6.7 2.3 -1.4 -1.3 2.8 -11.7 12.9 -3.4 1.6 4.0 14.0 -14.3 -12.8 -13.9 -13.6 9.5 9.4 -4.4 2.1 3.2 -8.0 -11.5 5.0 -7.0 4.0 -1.8 -0.6 2.1 -18.7 2.8 -8.6 -4.4 -2.5 COCOA -6.7 7.9 18.8 -0.2 3.8 -2.9 6.5 -1.5 3.9 -9.9 9.9 -7.7 -2.9 3.1 10.4 -3.3 -3.2 -2.4 -2.2 8.7 9.1 -2.5 2.2 2.1 -17.1 -10.4 5.3 -2.1 5.1 -0.8 1.8 2.1 -19.3 -19.4 -9.8 13.9 20.0 COFFEE 20.0 14.7 -15.1 -0.2 3.8 -2.9 6.5 -1.5 3.9 6.7 -10.8 11.4 -10.1 9.3 -4.6 0.4 3.1 1.1 2.8 -1.3 -13.2 17.8 -12.6 12.7 11.6 10.0 0.9 4.1 -3.6 6.7 -3.7 5.4 -9.2 20.0 16.1 14.1 -20.0 COPPER 2.2 20.0 20.0 3.9 -7.9 3.0 -2.9 1.6 2.1 -13.7 7.0 -5.0 -3.7 8.3 13.3 -2.0 -0.4 -1.2 -0.8 20.0 15.8 -13.6 1.7 7.9 5.8 11.1 4.7 -6.8 3.9 -3.9 1.3 1.2 2.3 -6.3 -2.4 6.3 9.0 CORN 1.5 -5.9 -15.9 -0.2 3.8 -2.9 6.5 -1.5 3.9 13.4 2.3 -0.4 2.5 -7.3 -11.9 20.0 18.5 20.0 20.0 -6.7 -4.1 3.2 7.4 -2.9 -3.8 11.0 -5.2 3.2 -4.0 1.1 1.6 -2.6 18.3 -6.7 -13.1 -11.7 -15.7 COTTON2 7.7 8.3 -5.1 -0.2 3.8 -2.9 6.5 -1.5 3.9 -11.1 -8.2 3.5 -5.5 6.6 9.1 -2.6 11.9 0.5 5.8 1.3 -6.8 -2.4 -5.0 3.2 1.3 -10.9 2.6 -8.0 0.1 -2.5 2.9 1.7 1.5 -20.0 -5.9 8.0 6.3 CRUDE_W -0.7 4.3 -3.2 -1.3 -10.6 -1.0 -8.8 2.9 -3.7 -10.8 -3.7 -8.4 1.7 -2.0 0.4 9.0 12.3 8.6 9.8 -0.8 -0.5 -16.5 4.0 -6.4 -11.8 10.8 0.6 -11.6 1.5 -9.2 4.9 -3.1 -0.2 1.9 1.4 -0.9 11.4 DAX 9.5 18.0 20.0 4.3 1.1 2.2 3.5 0.2 4.9 5.8 14.3 12.4 1.5 14.9 15.9 -9.4 -4.2 -8.0 -6.2 20.0 20.0 17.0 7.9 20.0 -9.5 9.9 5.8 3.6 4.8 4.7 1.7 5.3 -3.4 8.3 -0.7 -0.3 18.0 DOW -1.3 1.9 17.3 4.3 1.1 2.2 3.5 0.2 4.9 -2.7 10.4 4.2 1.5 4.7 10.6 -6.8 -3.4 -6.2 -5.2 7.8 8.6 2.9 3.8 4.8 -3.8 10.8 4.8 -0.7 4.1 2.1 2.0 3.8 -2.1 -4.6 -17.6 -17.4 1.3 EUR -4.3 12.8 20.0 4.3 -6.7 2.3 -1.4 -1.3 2.8 -12.3 12.0 -2.3 -3.9 9.0 15.1 -8.4 -8.6 -8.3 -8.5 17.2 14.0 -4.9 -1.7 7.9 0.2 -11.1 5.6 -5.8 4.1 -1.2 -1.2 2.9 -10.7 -1.4 3.1 8.9 11.0 EUROSTX 10.3 16.7 20.0 4.3 1.1 2.2 3.5 0.2 4.9 6.2 14.9 13.3 5.3 15.5 16.1 11.2 5.3 8.5 6.2 20.0 20.0 14.9 11.6 20.0 -15.0 -8.5 5.9 2.6 5.3 4.0 2.8 5.0 14.7 3.6 -5.4 -3.4 16.3 FEEDCOW -2.4 2.8 5.5 -0.2 3.8 -2.9 6.5 -1.5 3.9 13.8 1.3 11.1 0.1 5.3 8.4 -20.0 -20.0 -20.0 -20.0 3.6 2.0 13.0 -0.0 6.4 -19.1 12.2 5.0 8.8 3.4 7.0 1.3 5.4 -20.0 7.5 -1.0 13.0 20.0 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 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 6.6 -12.6 -13.6 4.9 2.9 GASOIL 3.4 3.2 -17.3 -1.3 -10.6 -1.0 -8.8 2.9 -3.7 -14.0 -4.9 -10.1 8.9 -0.7 -2.8 20.0 20.0 20.0 20.0 -2.4 0.1 -20.0 10.5 -9.2 -3.6 -15.4 -2.8 -13.5 -1.8 -9.9 2.8 -4.6 20.0 -13.7 2.4 -7.1 -8.4 GASOILINE 7.9 16.8 -8.7 -1.3 -10.6 -1.0 -8.8 2.9 -3.7 -11.3 -6.6 -3.8 3.2 6.0 6.6 -16.1 9.8 -18.1 -4.1 5.9 2.7 -12.7 6.4 1.4 -14.1 -13.1 3.8 -6.7 3.3 -4.0 4.8 1.2 -11.5 2.6 15.8 20.0 20.0 GAS_US -16.6 -20.0 -20.0 -1.3 -10.6 -1.0 -8.8 2.9 -3.7 -11.4 -15.8 -14.8 -9.0 -16.5 -16.8 2.0 -2.2 5.7 1.5 -20.0 -20.0 -20.0 -19.3 -20.0 -3.5 -9.3 -6.1 -2.7 -4.4 -4.0 -0.1 -5.3 -20.0 15.9 -20.0 -20.0 -20.0 GBP -0.6 6.0 18.7 4.3 -6.7 2.3 -1.4 -1.3 2.8 -13.6 10.5 -5.5 -3.1 3.9 12.8 -2.5 -1.8 -2.2 -2.1 9.0 7.0 -15.0 -4.7 -0.5 14.0 9.4 2.8 -14.1 0.3 -7.7 -5.7 -0.8 0.6 -20.0 -10.3 -13.6 -5.6 GOLD_micro -6.1 18.2 20.0 3.9 -7.9 3.0 -2.9 1.6 2.1 -13.0 10.0 -5.0 -2.8 8.5 14.0 -12.3 -9.5 -11.8 -11.1 17.0 13.3 -11.7 3.4 6.5 6.6 -13.8 4.8 -9.1 3.9 -3.9 1.3 1.7 -14.3 -0.5 -5.2 5.0 4.0 HEATOIL 3.8 3.3 -15.6 -1.3 -10.6 -1.0 -8.8 2.9 -3.7 -14.0 -4.8 -10.5 8.2 -1.5 -0.4 20.0 20.0 20.0 20.0 -1.8 0.4 -20.0 10.2 -7.7 -16.0 -13.6 0.3 -12.4 1.7 -8.7 7.2 -2.5 20.0 -13.5 5.4 5.6 4.3 JPY -4.5 15.8 20.0 4.3 -6.7 2.3 -1.4 -1.3 2.8 -11.4 8.5 -5.2 -7.4 7.0 12.9 -12.3 -11.0 -12.1 -12.1 12.7 8.4 -7.5 -6.7 3.7 4.4 9.9 4.6 -6.6 2.6 -2.6 -4.1 1.3 -15.9 -2.1 -9.6 3.0 3.2 LEANHOG -10.0 -14.7 -7.5 -0.2 3.8 -2.9 6.5 -1.5 3.9 -7.5 -4.6 -11.1 -3.6 -13.3 -9.6 -20.0 -3.2 -20.0 -20.0 -13.6 -8.1 -11.4 -1.4 -14.1 -5.6 -11.1 -5.2 -6.0 -3.5 -4.2 -1.0 -5.1 -20.0 -20.0 -20.0 -20.0 -1.1 LIVECOW 1.2 4.9 8.7 -0.2 3.8 -2.9 6.5 -1.5 3.9 13.9 13.0 13.8 3.6 12.5 13.1 -20.0 -20.0 -20.0 -20.0 9.7 8.3 17.4 4.5 12.3 -20.0 12.0 5.9 7.7 5.0 7.7 3.5 6.6 -20.0 18.9 14.3 20.0 20.0 MXP -2.7 11.7 5.9 4.3 -6.7 2.3 -1.4 -1.3 2.8 -11.1 15.3 0.5 15.4 12.5 14.4 20.0 20.0 20.0 20.0 17.7 18.9 -2.6 17.3 10.5 -20.0 9.7 5.7 -6.6 6.1 -1.2 5.1 3.1 20.0 0.8 5.2 9.0 3.7 NASDAQ 20.0 12.6 5.5 4.3 1.1 2.2 3.5 0.2 4.9 10.0 -6.4 14.1 -12.0 13.2 8.9 -6.2 -4.1 -5.6 -5.1 12.5 -1.7 20.0 -11.4 20.0 8.1 10.2 4.6 5.0 1.0 7.2 -1.4 6.9 -2.5 20.0 16.8 -0.9 -11.7 NIKKEI 20.0 -3.1 -2.3 4.3 1.1 2.2 3.5 0.2 4.9 10.8 -1.7 15.2 -0.1 10.9 1.0 20.0 13.0 18.8 15.7 5.1 -0.9 18.9 -1.0 16.0 9.5 -9.4 1.4 4.4 -1.3 6.4 -1.8 5.3 20.0 8.0 0.2 -20.0 -20.0 NZD -2.5 7.1 20.0 4.3 -6.7 2.3 -1.4 -1.3 2.8 -12.8 11.6 -4.0 -2.5 6.0 14.1 0.4 0.5 0.2 0.1 11.5 9.7 -10.3 -1.0 2.7 -0.5 10.8 4.7 -10.1 3.6 -4.4 -0.6 1.1 4.4 -14.7 -7.1 -5.8 8.5 OAT 9.6 6.2 18.2 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -7.6 -8.2 -4.0 -12.1 2.4 0.4 10.5 12.7 12.2 13.0 -1.0 -6.9 -1.2 -14.7 0.5 5.2 12.7 0.9 0.1 -3.1 1.2 -9.5 1.6 20.0 6.5 -2.0 -13.5 -1.4 OJ 9.7 4.8 12.0 -0.2 3.8 -2.9 6.5 -1.5 3.9 14.1 15.1 14.5 15.1 14.1 14.2 18.8 14.2 17.8 17.1 20.0 20.0 20.0 20.0 20.0 -20.0 -10.8 5.4 12.2 5.3 10.9 5.9 7.4 12.4 20.0 20.0 20.0 20.0 PALLAD -11.3 -11.7 -16.3 3.9 -7.9 3.0 -2.9 1.6 2.1 -12.7 -14.0 -13.1 -11.4 -13.9 -14.7 -3.5 -1.7 -2.6 -2.1 -18.9 -18.4 -16.0 -14.8 -17.1 11.6 -11.1 -5.4 -7.4 -5.1 -6.2 -3.8 -5.4 0.0 6.8 -20.0 -20.0 -20.0 PLAT -20.0 -1.6 14.7 3.9 -7.9 3.0 -2.9 1.6 2.1 -13.3 9.9 -14.5 2.8 -8.3 6.0 -2.5 -0.9 -1.7 -1.1 1.4 7.8 -17.3 5.0 -9.7 -1.8 11.2 2.2 -11.0 4.6 -7.9 2.3 -3.3 1.7 -2.6 -20.0 -14.9 -1.5 REDWHEAT 15.2 0.9 -14.4 -0.2 3.8 -2.9 6.5 -1.5 3.9 8.1 -11.8 11.6 -8.7 6.8 -8.7 5.7 1.7 4.9 3.7 -4.8 -11.4 9.5 -6.5 5.5 -0.7 12.9 -1.0 1.0 -2.5 4.3 1.4 3.0 -10.2 6.9 1.6 1.7 -8.2 ROBUSTA 20.0 20.0 -5.0 -0.2 3.8 -2.9 6.5 -1.5 3.9 2.8 -5.8 10.2 -5.4 12.3 4.2 10.9 9.6 12.4 11.2 12.0 0.2 17.2 -2.5 20.0 -4.0 9.6 2.7 2.3 -0.8 5.9 -1.2 6.1 2.8 17.1 20.0 13.6 -13.4 RUSSELL 20.0 13.6 10.1 4.3 1.1 2.2 3.5 0.2 4.9 5.8 1.2 12.5 -9.3 14.0 12.3 -5.7 -3.3 -5.1 -4.5 14.1 4.7 20.0 -3.8 20.0 -2.6 10.0 5.0 3.6 2.4 6.4 0.2 6.6 -1.3 17.0 10.2 1.6 -7.0 SILVER-mini -14.2 2.4 20.0 3.9 -7.9 3.0 -2.9 1.6 2.1 -13.2 11.6 -11.0 -0.1 -2.4 12.2 -5.9 -4.0 -5.2 -4.7 7.0 10.6 -15.8 3.6 -4.5 7.4 -11.3 3.3 -12.6 4.4 -7.1 0.6 -1.6 -4.2 6.0 -20.0 -12.9 2.8 SOYBEAN -14.8 -7.5 -0.9 -0.2 3.8 -2.9 6.5 -1.5 3.9 11.6 2.1 -1.0 4.2 -6.5 -4.2 20.0 20.0 20.0 20.0 -5.1 -0.7 0.9 5.6 -5.8 -17.8 -11.7 -0.8 3.6 2.3 1.7 7.2 -1.4 20.0 -0.4 -20.0 -4.8 9.3 SOYMEAL -1.7 12.3 16.5 -0.2 3.8 -2.9 6.5 -1.5 3.9 10.1 13.3 12.0 12.8 13.5 14.6 20.0 17.3 20.0 19.3 20.0 19.7 16.8 15.4 16.8 -20.0 -12.0 6.0 3.4 6.5 4.2 6.0 4.5 16.4 18.8 8.2 20.0 20.0 SOYOIL -7.1 -10.8 -11.0 -0.2 3.8 -2.9 6.5 -1.5 3.9 -12.6 -2.2 -12.9 3.5 -9.3 -10.8 -0.3 17.1 6.7 12.3 -11.7 -6.0 -15.1 4.2 -13.4 -10.7 12.9 -4.5 -7.1 -1.6 -5.6 3.1 -5.2 11.2 -20.0 -20.0 -15.6 1.9 SP400 18.6 14.2 15.4 4.3 1.1 2.2 3.5 0.2 4.9 6.8 8.9 12.6 -2.4 14.2 14.0 -5.5 -2.8 -4.4 -3.5 18.1 10.2 20.0 2.3 20.0 -6.7 10.2 5.4 3.4 3.3 6.3 1.5 6.6 -0.0 18.5 8.7 1.2 -1.3 SP500 17.8 9.3 9.0 4.3 1.1 2.2 3.5 0.2 4.9 6.9 0.3 13.1 -7.3 12.6 11.0 -6.7 -4.3 -6.0 -5.3 11.7 2.8 17.7 -4.7 17.5 3.4 10.2 4.9 3.1 1.8 5.9 -1.1 6.3 -2.8 10.2 -0.1 -7.5 -7.2 SUGAR11 13.5 -0.7 14.2 -0.2 3.8 -2.9 6.5 -1.5 3.9 3.1 9.8 9.3 6.7 9.4 10.9 20.0 20.0 20.0 20.0 14.3 11.4 15.1 7.7 17.3 -20.0 10.7 5.9 -0.3 5.4 4.4 3.9 5.6 20.0 20.0 20.0 20.0 20.0 US10 2.5 13.1 20.0 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -11.3 -4.4 -4.1 -10.9 5.7 10.4 -8.7 -2.2 -8.1 -6.3 5.0 -2.7 -6.2 -15.2 2.4 -1.1 9.7 3.2 -9.3 -0.4 -3.0 -6.9 1.5 -8.1 -5.2 -4.5 1.0 2.3 US10U 3.4 11.8 20.0 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -10.9 -4.3 -2.7 -10.9 7.5 10.9 0.5 3.8 0.6 1.3 5.2 -2.9 -4.2 -15.6 3.2 -3.8 -14.1 3.9 -6.8 0.5 -1.6 -5.2 2.3 3.5 -0.5 -3.4 3.5 3.7 US20 4.8 11.6 20.0 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -10.5 -2.6 1.0 -10.0 8.8 12.0 -10.3 -0.8 -6.6 -3.7 6.6 -2.3 -1.9 -15.4 4.9 -2.1 -12.3 3.4 -5.5 -0.1 -0.9 -5.7 2.4 -4.3 3.3 -1.8 -0.5 -0.6 US30 7.2 11.1 20.0 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -8.2 -1.9 6.6 -11.4 9.3 10.5 -1.8 -0.3 -1.5 -1.1 7.2 -2.8 2.3 -17.9 7.1 -4.0 10.0 4.3 -2.4 0.8 1.0 -4.9 3.4 -2.0 11.8 2.0 2.1 1.5 US5 1.6 13.9 20.0 2.6 -3.9 -0.8 -0.2 -5.1 2.5 -11.4 -4.5 -5.4 -11.3 3.4 9.8 -10.6 -1.8 -8.5 -6.5 4.4 -3.3 -8.1 -16.3 1.2 0.7 10.8 2.8 -11.2 -0.9 -4.2 -8.3 0.7 -8.0 -9.1 -7.3 1.2 2.0 VIX -10.8 -20.0 -20.0 -5.1 0.6 -4.3 -2.4 -2.9 -4.5 7.0 -15.9 -10.4 -13.9 -14.6 -16.2 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -11.9 -19.4 -20.0 NaN -13.5 -6.4 0.8 -5.9 -2.3 -4.1 -4.8 NaN NaN NaN NaN NaN WHEAT 9.8 -0.6 -20.0 -0.2 3.8 -2.9 6.5 -1.5 3.9 9.0 -14.3 11.2 -12.4 -1.0 -11.9 -9.8 -5.9 -8.4 -7.1 -10.9 -18.4 7.4 -13.2 0.5 4.2 11.9 -3.1 2.2 -4.6 3.7 -0.8 1.1 -20.0 4.1 -6.9 -0.1 -11.7 End of report for caleb_strategy_v1