******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230208_204329 produced at 2023-02-08 21:35:44.345399 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.22 -0.26 0.0 7222626.20 -7222626.20 -0.22 -0.22 -35.65 999999999 -30 -30 caleb_strategy_v1 US10U False False 0.04 -0.20 -0.21 0.0 40701622.93 -40701622.93 -0.20 -0.24 -5.20 999999999 -5 -6 caleb_strategy_v1 US20 False False 0.04 0.00 -0.14 0.0 43611916.43 -43611916.43 0.00 0.00 -3.22 999999999 0 0 caleb_strategy_v1 CHF False False 0.05 -0.28 -0.14 0.0 46188694.54 -46188694.54 -0.28 -0.28 -3.00 999999999 -6 -6 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.09 0.0 11297886.82 -11297886.82 -0.07 -0.07 -7.62 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.08 0.0 33075379.39 -33075379.39 -0.17 -0.17 -2.33 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.05 -0.07 0.0 45598138.63 -45598138.63 -0.05 -0.05 -1.52 999999999 -1 -1 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.07 0.0 22235492.04 -22235492.04 -0.11 -0.11 -3.01 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.06 0.0 51581826.87 -51581826.87 0.00 0.00 -1.07 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 0.00 -0.04 0.0 37399880.09 -37399880.09 0.00 0.00 -1.02 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.04 0.0 8874483.30 -8874483.30 -0.02 -0.02 -4.50 999999999 -2 -2 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.03 0.0 6394318.43 -6394318.43 -0.01 -0.02 -4.87 999999999 -2 -3 caleb_strategy_v1 GAS_US False False 0.01 -0.02 -0.01 0.0 8962854.25 -8962854.25 -0.02 -0.02 -0.78 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 18970015.28 -18970015.28 0.00 0.00 -0.32 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.06 0.00 -0.01 0.0 55605724.52 -55605724.52 0.00 0.00 -0.26 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.10 -0.01 0.0 32523060.91 -32523060.91 -0.10 -0.10 -0.18 999999999 -3 -3 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14684873.64 -14684873.64 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 11981062.28 -11981062.28 0.00 0.00 -0.63 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14674676.99 -14674676.99 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.00 0.0 38492349.04 -38492349.04 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 13434084.73 -13434084.73 -0.03 -0.03 -0.32 999999999 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 0.00 0.00 0.0 787521.17 -787521.17 0.00 0.00 0.88 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12417478.85 -12417478.85 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 US5 False False 0.04 0.00 0.00 0.0 36800873.71 -36800873.71 0.00 0.00 0.02 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16644329.64 -16644329.64 0.00 0.00 0.57 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4218198.59 -4218198.59 0.00 0.00 2.08 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 7069676.47 -7069676.47 0.01 0.01 1.87 999999999 2 2 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 22611068.61 -22611068.61 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 23613739.07 -23613739.07 0.00 0.00 0.84 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 10090433.66 -10090433.66 0.06 0.06 2.47 999999999 6 6 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5786938.05 -5786938.05 0.00 0.00 3.42 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 39706769.90 -39706769.90 0.04 0.04 0.48 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.02 0.0 23290845.19 -23290845.19 0.02 0.02 0.74 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 27981303.61 -27981303.61 0.00 0.00 0.62 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7499295.27 -7499295.27 0.00 0.00 3.00 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.03 0.0 70650030.03 -70650030.03 0.00 0.00 0.39 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 8930564.86 -8930564.86 0.03 0.03 3.82 999999999 3 3 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 21460546.74 -21460546.74 0.00 0.00 1.23 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.03 0.0 47764926.49 -47764926.49 0.00 0.00 0.68 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.15 0.03 0.0 25555350.93 -25555350.93 0.15 0.15 1.33 999999999 6 6 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15431520.66 -15431520.66 0.00 0.00 1.79 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 1.01 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.04 0.0 26113618.91 -26113618.91 0.00 0.00 1.66 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.04 0.0 34494413.00 -34494413.00 0.00 0.00 1.03 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 25338672.15 -25338672.15 0.00 0.00 1.93 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.09 0.17 0.05 0.0 86197370.22 -86197370.22 0.17 0.17 0.59 999999999 2 2 caleb_strategy_v1 RUSSELL False False 0.00 -0.00 0.05 0.0 3343481.13 -3343481.13 -0.00 -0.00 13.48 999999999 -1 -1 caleb_strategy_v1 CRUDE_W False False 0.03 0.05 0.05 0.0 25532408.47 -25532408.47 0.05 0.05 2.14 999999999 2 2 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 42024639.81 -42024639.81 0.04 0.04 1.12 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.05 0.0 15906772.05 -15906772.05 0.08 0.08 3.42 999999999 5 5 caleb_strategy_v1 SP400 False False 0.09 0.55 0.06 0.0 91579501.32 -91579501.32 0.55 0.55 0.63 999999999 6 6 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5623826.64 -5623826.64 0.00 0.00 10.82 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 47698421.98 -47698421.98 0.10 0.10 1.29 999999999 2 2 caleb_strategy_v1 BOBL False False 0.04 0.09 0.23 0.0 42622647.70 -42622647.70 0.09 0.09 5.34 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.24 0.0 49579959.00 -49579959.00 0.10 0.10 4.91 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.34 0.0 0.00 0.00 0.00 0.00 48.03 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 54.4 Sum abs risk 49.2 Leverage 3.03 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2942143.12, 'annual_cash_vol_target': 735535.78, 'daily_cash_vol_target': 45970.98625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0059 0.6948 0.8455 13.5282 BITCOIN 702.2920 23170.0000 3.0310 48.4966 BOBL 0.4221 116.8900 0.3611 5.7776 BTP 1.1221 115.2500 0.9736 15.5780 BUND 0.9293 135.9700 0.6834 10.9349 BUXL 2.1538 141.4600 1.5225 24.3605 CAC 58.9300 7161.5000 0.8229 13.1660 CAD 0.0035 0.7455 0.4747 7.5958 CANOLA 7.7718 831.1000 0.9351 14.9619 CHF 0.0064 1.0872 0.5885 9.4165 COCOA 31.1662 2611.0000 1.1936 19.0984 COFFEE 0.0384 1.7740 2.1673 34.6763 COPPER 0.0479 4.0595 1.1803 18.8847 CORN 4.4534 593.7500 0.7500 12.0006 COTTON2 0.0158 0.8641 1.8247 29.1958 CRUDE_W 1.3276 75.1200 1.7673 28.2766 DAX 127.6129 15423.0000 0.8274 13.2387 DOW 252.7866 34052.0000 0.7424 11.8777 EUR 0.0060 1.0732 0.5551 8.8822 EUROSTX 38.4100 4232.0000 0.9076 14.5217 FEEDCOW 1.1911 194.6250 0.6120 9.7919 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 19.8814 823.2500 2.4150 38.6398 GASOILINE 0.0555 2.6199 2.1185 33.8965 GAS_US 0.1621 2.6370 6.1484 98.3742 GBP 0.0081 1.2030 0.6743 10.7890 GOLD_micro 17.8414 1881.3000 0.9484 15.1737 HEATOIL 0.0631 2.7815 2.2690 36.3041 JPY 0.0001 0.0077 0.8895 14.2318 LEANHOG 1.4100 83.1000 1.6968 27.1486 LIVECOW 0.9433 163.5500 0.5768 9.2282 MXP 0.0004 0.0526 0.7515 12.0242 NASDAQ 152.9476 12680.2500 1.2062 19.2990 NIKKEI 234.1585 27555.0000 0.8498 13.5966 NZD 0.0050 0.6314 0.7934 12.6943 OAT 0.9813 130.8100 0.7502 12.0033 OJ 0.0286 2.3500 1.2156 19.4490 PALLAD 36.5291 1636.0000 2.2328 35.7253 PLAT 18.1636 979.4000 1.8546 29.6730 REDWHEAT 11.6547 863.5000 1.3497 21.5953 ROBUSTA 29.2576 2080.0000 1.4066 22.5059 RUSSELL 22.6488 1967.4000 1.1512 18.4193 SILVER-mini 0.4119 22.3250 1.8448 29.5174 SOYBEAN 9.7001 1370.5000 0.7078 11.3244 SOYMEAL 5.7857 468.0000 1.2363 19.7801 SOYOIL 0.8642 60.8900 1.4194 22.7097 SP400 26.9975 2694.4000 1.0020 16.0318 SP500 36.6818 4157.2500 0.8824 14.1177 SUGAR11 0.0029 0.1970 1.4803 23.6852 US10 0.5374 113.2500 0.4746 7.5929 US10U 0.7135 119.7500 0.5958 9.5327 US20 0.9876 128.3125 0.7697 12.3154 US30 1.5162 140.5312 1.0789 17.2625 US5 0.3648 108.2734 0.3370 5.3912 VIX 0.4861 21.2500 2.2874 36.5985 WHEAT 9.2448 790.5000 1.1695 18.7119 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 694.75 0.85 587.42 1.00 587.42 45970.99 78.26 6.76 52.87 BITCOIN 23.17 3.03 70.23 1.00 70.23 45970.99 654.59 0.57 37.18 BOBL 1168.90 0.36 422.09 1.07 453.25 45970.99 101.43 7.29 73.99 BTP 1152.50 0.97 1122.11 1.07 1204.93 45970.99 38.15 14.58 55.64 BUND 1359.70 0.68 929.26 1.07 997.85 45970.99 46.07 14.78 68.07 BUXL 1414.60 1.52 2153.77 1.07 2312.74 45970.99 19.88 -6.41 -12.75 CAC 716.15 0.82 589.30 1.07 632.80 45970.99 72.65 8.14 59.12 CAD 745.50 0.47 353.92 1.00 353.92 45970.99 129.89 8.33 108.20 CANOLA 166.22 0.94 155.44 0.75 115.63 45970.99 397.55 5.70 226.55 CHF 1358.94 0.59 799.77 1.00 799.77 45970.99 57.48 -13.95 -80.16 COCOA 261.10 1.19 311.66 1.00 311.66 45970.99 147.50 -13.99 -206.39 COFFEE 665.25 2.17 1441.77 1.00 1441.77 45970.99 31.89 5.72 18.24 COPPER 1014.88 1.18 1197.85 1.00 1197.85 45970.99 38.38 9.83 37.73 CORN 296.88 0.75 222.67 1.00 222.67 45970.99 206.46 13.27 273.95 COTTON2 432.05 1.82 788.38 1.00 788.38 45970.99 58.31 -3.98 -23.19 CRUDE_W 751.20 1.77 1327.59 1.00 1327.59 45970.99 34.63 4.67 16.16 DAX 154.23 0.83 127.61 1.07 137.03 45970.99 335.48 5.94 199.24 DOW 170.26 0.74 126.39 1.00 126.39 45970.99 363.71 3.30 120.09 EUR 1341.56 0.56 744.75 1.00 744.75 45970.99 61.73 -6.57 -40.58 EUROSTX 423.20 0.91 384.10 1.07 412.45 45970.99 111.46 5.73 63.82 FEEDCOW 973.12 0.61 595.54 1.00 595.54 45970.99 77.19 -11.25 -86.88 FTSE100 707.00 0.82 576.59 1.20 666.67 45970.99 68.96 1.42 9.79 GASOIL 823.25 2.41 1988.14 1.00 1988.14 45970.99 23.12 3.74 8.66 GASOILINE 1100.36 2.12 2331.14 1.00 2331.14 45970.99 19.72 -12.56 -24.76 GAS_US 263.70 6.15 1621.33 1.00 1621.33 45970.99 28.35 -18.26 -51.78 GBP 751.88 0.67 507.00 1.00 507.00 45970.99 90.67 8.22 74.55 GOLD_micro 188.13 0.95 178.41 1.00 178.41 45970.99 257.66 -8.45 -217.63 HEATOIL 1168.23 2.27 2650.72 1.00 2650.72 45970.99 17.34 3.87 6.71 JPY 956.88 0.89 851.13 1.00 851.13 45970.99 54.01 -0.52 -2.82 LEANHOG 332.40 1.70 564.01 1.00 564.01 45970.99 81.51 -20.00 -163.01 LIVECOW 654.20 0.58 377.32 1.00 377.32 45970.99 121.84 -9.18 -111.85 MXP 262.75 0.75 197.46 1.00 197.46 45970.99 232.81 13.42 312.37 NASDAQ 2536.05 1.21 3058.95 1.00 3058.95 45970.99 15.03 7.25 10.89 NIKKEI 27555.00 0.85 23415.85 0.01 176.39 45970.99 260.63 9.70 252.89 NZD 631.40 0.79 500.95 1.00 500.95 45970.99 91.77 8.42 77.26 OAT 1308.10 0.75 981.34 1.07 1053.77 45970.99 43.63 14.62 63.77 OJ 352.50 1.22 428.49 1.00 428.49 45970.99 107.29 -3.36 -36.06 PALLAD 1636.00 2.23 3652.91 1.00 3652.91 45970.99 12.58 -8.52 -10.72 PLAT 489.70 1.85 908.18 1.00 908.18 45970.99 50.62 4.71 23.85 REDWHEAT 431.75 1.35 582.74 1.00 582.74 45970.99 78.89 2.64 20.85 ROBUSTA 208.00 1.41 292.58 1.00 292.58 45970.99 157.12 9.20 144.53 RUSSELL 98.37 1.15 113.24 1.00 113.24 45970.99 405.95 6.41 260.16 SILVER-mini 558.12 1.84 1029.65 1.00 1029.65 45970.99 44.65 -3.22 -14.39 SOYBEAN 685.25 0.71 485.00 1.00 485.00 45970.99 94.78 1.32 12.54 SOYMEAL 468.00 1.24 578.57 1.00 578.57 45970.99 79.46 7.29 57.94 SOYOIL 365.34 1.42 518.55 1.00 518.55 45970.99 88.65 4.55 40.30 SP400 2694.40 1.00 2699.75 1.00 2699.75 45970.99 17.03 7.11 12.11 SP500 2078.62 0.88 1834.09 1.00 1834.09 45970.99 25.06 5.53 13.85 SUGAR11 220.64 1.48 326.62 1.00 326.62 45970.99 140.75 15.72 221.30 US10 1132.50 0.47 537.43 1.00 537.43 45970.99 85.54 -0.14 -1.22 US10U 1197.50 0.60 713.47 1.00 713.47 45970.99 64.43 -5.54 -35.71 US20 1283.12 0.77 987.64 1.00 987.64 45970.99 46.55 -9.38 -43.66 US30 1405.31 1.08 1516.20 1.00 1516.20 45970.99 30.32 2.67 8.11 US5 1082.73 0.34 364.83 1.00 364.83 45970.99 126.01 0.03 0.39 VIX 212.50 2.29 486.07 1.00 486.07 45970.99 94.58 -20.00 -189.15 WHEAT 395.25 1.17 462.24 1.00 462.24 45970.99 99.45 -5.98 -59.45 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 52.872 0.006 2.5 0.845 BITCOIN 37.184 0.009 2.5 0.876 BOBL 73.989 0.029 2.5 5.339 BTP 55.637 0.008 2.5 1.124 BUND 68.073 0.029 2.5 4.912 BUXL -12.746 0.034 2.5 -1.070 CAC 59.125 0.011 2.5 1.662 CAD 108.203 0.007 2.5 1.932 CANOLA 226.548 0.004 2.5 2.080 CHF -80.159 0.015 2.5 -3.000 COCOA -206.392 0.009 2.5 -4.496 COFFEE 18.245 0.005 2.5 0.237 COPPER 37.728 0.011 2.5 1.031 CORN 273.946 0.004 2.5 2.471 COTTON2 -23.191 0.006 2.5 -0.349 CRUDE_W 16.162 0.053 2.5 2.135 DAX 199.242 0.022 2.5 10.820 DOW 120.091 0.011 2.5 3.422 EUR -40.582 0.015 2.5 -1.519 EUROSTX 63.825 0.011 2.5 1.794 FEEDCOW -86.876 0.011 2.5 -2.334 FTSE100 9.788 0.041 2.5 1.009 GASOIL 8.659 0.029 2.5 0.618 GASOILINE -24.761 0.016 2.5 -1.017 GAS_US -51.784 0.006 2.5 -0.780 GBP 74.554 0.007 2.5 1.331 GOLD_micro -217.634 0.009 2.5 -4.869 HEATOIL 6.711 0.029 2.5 0.479 JPY -2.824 0.026 2.5 -0.183 LEANHOG -163.014 0.019 2.5 -7.616 LIVECOW -111.854 0.011 2.5 -3.006 MXP 312.370 0.005 2.5 3.824 NASDAQ 10.892 0.022 2.5 0.592 NIKKEI 252.892 0.076 2.5 48.032 NZD 77.255 0.006 2.5 1.234 OAT 63.772 0.008 2.5 1.288 OJ -36.062 0.007 2.5 -0.629 PALLAD -10.721 0.010 2.5 -0.258 PLAT 23.854 0.010 2.5 0.574 REDWHEAT 20.851 0.002 2.5 0.111 ROBUSTA 144.528 0.005 2.5 1.874 RUSSELL 260.159 0.021 2.5 13.475 SILVER-mini -14.393 0.009 2.5 -0.322 SOYBEAN 12.539 0.024 2.5 0.739 SOYMEAL 57.936 0.024 2.5 3.416 SOYOIL 40.296 0.004 2.5 0.370 SP400 12.111 0.021 2.5 0.627 SP500 13.853 0.011 2.5 0.395 SUGAR11 221.304 0.005 2.5 3.003 US10 -1.225 0.015 2.5 -0.047 US10U -35.714 0.058 2.5 -5.204 US20 -43.658 0.029 2.5 -3.218 US30 8.110 0.034 2.5 0.681 US5 0.392 0.015 2.5 0.015 VIX -189.152 0.075 2.5 -35.646 WHEAT -59.447 0.002 2.5 -0.317 ==================== Position diags ==================== AUD 1.25 BITCOIN 15.42 BOBL 7.32 BTP 0.77 BUND 3.32 BUXL 1.67 CAC 2.04 CAD 2.32 CANOLA 3.65 CHF 2.15 COCOA 3.21 COFFEE 0.41 COPPER 1.05 CORN 1.86 COTTON2 0.88 CRUDE_W 4.57 DAX 18.22 DOW 10.37 EUR 2.31 EUROSTX 3.13 FEEDCOW 2.07 FTSE100 7.11 GASOIL 1.65 GASOILINE 0.81 GAS_US 0.43 GBP 1.62 GOLD_micro 5.77 HEATOIL 1.24 JPY 3.50 LEANHOG 3.81 LIVECOW 3.27 MXP 2.85 NASDAQ 0.82 NIKKEI 49.50 NZD 1.47 OAT 0.88 OJ 1.87 PALLAD 0.30 PLAT 1.22 REDWHEAT 0.42 ROBUSTA 2.04 RUSSELL 21.03 SILVER-mini 1.00 SOYBEAN 5.59 SOYMEAL 4.68 SOYOIL 0.81 SP400 0.88 SP500 0.71 SUGAR11 1.91 US10 3.28 US10U 9.39 US20 3.43 US30 2.55 US5 4.83 VIX 17.82 WHEAT 0.53 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.7 1.0 0.0 0 BITCOIN 0.9 -0.7 2.4 NaN 0 BOBL 5.3 4.6 6.1 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.9 4.6 5.2 2.0 2 BUXL -1.1 -1.2 -0.9 0.0 0 CAC 1.7 1.5 1.9 0.0 0 CAD 1.9 1.7 2.2 0.0 0 CANOLA 2.1 1.7 2.4 NaN 0 CHF -3.0 -3.2 -2.8 -6.0 -6 COCOA -4.5 -4.8 -4.2 -2.0 -2 COFFEE 0.2 0.2 0.3 NaN 0 COPPER 1.0 0.9 1.1 0.0 0 CORN 2.5 2.3 2.7 6.0 6 COTTON2 -0.3 -0.4 -0.3 NaN 0 CRUDE_W 2.1 1.7 2.6 2.0 2 DAX 10.8 9.0 12.6 0.0 0 DOW 3.4 2.4 4.5 0.0 0 EUR -1.5 -1.7 -1.3 -1.0 -1 EUROSTX 1.8 1.5 2.1 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 0.5 0.8 0.0 0 GASOILINE -1.0 -1.1 -0.9 0.0 0 GAS_US -0.8 -0.8 -0.7 -2.0 -2 GBP 1.3 1.2 1.5 6.0 6 GOLD_micro -4.9 -5.4 -4.3 -2.0 -2 HEATOIL 0.5 0.4 0.6 1.0 1 JPY -0.2 -0.5 0.2 -3.0 -3 LEANHOG -7.6 -8.0 -7.2 -6.0 -6 LIVECOW -3.0 -3.3 -2.7 -5.0 -5 MXP 3.8 3.5 4.1 3.0 3 NASDAQ 0.6 0.5 0.7 2.0 2 NIKKEI 48.0 43.1 53.0 0.0 0 NZD 1.2 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 0.1 0.2 0.0 0 ROBUSTA 1.9 1.7 2.1 2.0 2 RUSSELL 13.5 11.4 15.6 -1.0 -1 SILVER-mini -0.3 -0.4 -0.2 0.0 0 SOYBEAN 0.7 0.2 1.3 1.0 1 SOYMEAL 3.4 2.9 3.9 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 0.5 0.0 0 SUGAR11 3.0 2.8 3.2 0.0 0 US10 -0.0 -0.4 0.3 NaN 0 US10U -5.2 -6.1 -4.3 -5.0 -5 US20 -3.2 -3.6 -2.9 0.0 0 US30 0.7 0.4 0.9 0.0 0 US5 0.0 -0.5 0.5 0.0 0 VIX -35.6 -37.4 -33.9 -30.0 -30 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 0.2 0.3 0.1 -0.1 0.1 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.1 0.0 0.3 -0.3 -0.1 -0.1 -0.1 0.1 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 -0.1 -0.0 0.0 -0.0 BITCOIN 0.2 0.3 0.0 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 3.6 -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 -0.1 -1.0 0.3 -0.1 0.1 -0.1 -0.2 -0.0 -0.2 -0.0 1.7 2.4 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 1.5 0.0 -0.0 -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 0.3 0.2 -0.0 0.2 BUND 0.1 0.2 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 -0.1 -0.0 -0.1 0.0 2.8 0.0 -0.0 -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 -0.0 -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 0.0 -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 -0.0 -0.3 CANOLA -0.0 -0.1 -0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 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 0.8 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 -0.1 0.0 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 0.1 -0.0 -0.0 0.0 -2.4 0.1 -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 0.1 0.0 -0.2 0.0 -0.2 0.0 -0.1 0.0 0.1 0.0 0.1 -0.0 -0.1 0.0 -0.2 0.0 1.8 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.2 0.1 0.4 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 -0.1 -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 0.0 -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 -0.5 2.3 -0.1 0.0 -0.0 0.0 0.0 -0.0 2.6 -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 -0.0 -0.0 -0.1 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 0.0 -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 -1.5 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 0.1 0.0 -0.4 2.1 0.1 0.0 0.1 0.0 0.0 0.0 -0.3 -0.0 -0.3 -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 -1.2 -0.1 -0.0 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 0.2 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 0.0 -0.3 -0.0 -0.0 -0.0 -0.2 0.1 -0.1 -0.0 -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 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.2 0.0 -0.1 -0.1 GASOILINE 0.1 0.2 -0.1 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.0 -0.2 -0.0 0.1 0.0 0.2 -1.2 0.4 -0.4 -0.1 0.1 0.0 -0.0 0.1 0.0 -1.8 -2.6 0.0 -0.0 0.0 -0.0 0.1 0.0 -1.6 0.0 0.2 0.3 0.3 GAS_US -0.2 -0.3 -0.3 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.0 -0.4 -0.0 -0.2 -0.1 -0.4 0.1 -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 0.0 -0.3 -0.0 -0.0 -0.0 -0.2 0.1 -0.1 -0.0 -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 0.1 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 0.1 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 -0.1 -0.2 -1.6 -0.2 -0.4 -0.4 -0.2 -0.1 -0.0 -0.0 -0.0 -0.8 -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 0.1 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 0.2 0.3 0.3 MXP -0.1 0.1 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 -0.1 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 1.4 -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 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.6 -0.0 -0.2 -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 0.8 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 1.5 0.5 0.3 0.3 0.1 0.1 0.0 0.1 0.0 -5.1 -3.1 0.0 0.0 0.0 0.0 0.0 0.0 1.8 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 -0.0 -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 0.2 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 -0.0 -0.1 0.0 -0.1 0.0 -0.1 2.6 -0.0 0.0 -0.0 0.0 0.0 0.0 -1.3 0.1 0.1 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 0.8 0.4 0.2 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 0.3 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 -0.0 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 -0.1 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 0.0 -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 -2.6 -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 0.0 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 2.3 0.1 0.1 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 -0.3 -0.0 0.7 0.1 0.3 -0.1 -0.1 -0.0 0.0 -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 0.3 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 0.1 0.0 0.1 -0.2 0.1 0.3 -0.5 -0.2 -0.1 -0.1 0.2 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 0.2 0.1 -0.1 -0.1 SUGAR11 0.1 -0.0 0.2 0.0 0.0 -0.1 0.1 -0.0 0.1 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 0.0 -0.0 -0.0 -0.2 -0.0 -0.1 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 0.2 0.0 0.2 0.0 0.0 0.0 -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 -0.1 0.0 0.1 US20 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 -0.8 -0.0 -0.1 -0.1 0.1 -0.0 -0.0 -0.2 0.0 -0.2 -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 0.2 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.2 0.0 -0.5 2.0 0.0 -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 0.0 -0.0 -0.0 -0.2 -0.0 0.2 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 -0.2 -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 -0.2 -0.1 -0.2 0.0 -0.2 0.0 0.7 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 0.8 15.8 18.9 4.1 -5.1 2.3 -2.0 -1.3 2.2 -8.8 7.0 -4.5 -3.5 8.6 13.6 -3.6 -2.4 -3.3 -2.9 11.9 7.0 -7.2 -2.2 5.7 4.3 11.7 4.5 -6.4 2.5 -3.2 -1.2 1.9 -0.6 -3.5 -1.2 1.5 -3.2 BITCOIN 20.0 20.0 0.6 3.6 -6.9 3.0 -3.7 1.6 1.3 -4.9 0.8 13.1 -14.5 14.8 12.3 -2.4 -0.7 -0.4 -0.1 18.9 1.4 12.2 -17.8 20.0 16.6 -18.1 4.5 -0.1 1.0 2.7 -1.6 5.2 2.8 20.0 20.0 19.3 -16.6 BOBL 10.4 9.6 10.0 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -11.2 -12.0 -7.2 -13.4 -0.4 -2.6 -11.7 8.0 -3.6 3.5 -5.2 -13.0 -5.7 -20.0 -2.4 11.4 10.8 -1.0 -4.7 -5.9 -0.9 -12.4 0.3 10.6 9.2 -3.7 -14.2 -12.2 BTP 6.3 8.2 20.0 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -3.8 -0.3 -0.3 -10.0 7.0 7.9 8.0 13.6 11.2 13.6 5.0 -0.5 2.9 -10.3 5.2 -4.0 11.4 3.4 1.7 0.2 3.1 -5.8 3.7 20.0 19.6 9.7 -2.2 10.5 BUND 8.6 10.4 15.0 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -12.1 -10.5 -7.7 -12.8 1.1 -0.6 10.7 15.3 12.3 13.7 -3.5 -10.5 -6.5 -18.7 -2.2 7.1 12.3 0.2 -4.7 -4.1 -1.1 -10.3 0.7 20.0 6.4 -2.1 -11.9 -6.1 BUXL 4.2 -1.0 13.5 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -13.2 -8.7 -11.9 -12.1 -4.6 -3.7 2.0 -0.1 3.2 2.7 -6.4 -10.9 -9.9 -18.5 -6.5 2.9 -10.8 -1.0 -5.5 -3.3 -3.1 -7.3 -1.4 1.3 -0.0 -9.7 -20.0 -4.7 CAC 9.0 18.8 20.0 4.4 0.7 2.3 3.0 0.2 4.7 2.9 15.0 11.0 6.8 14.9 15.9 -4.5 1.6 -3.0 -1.1 20.0 20.0 14.2 13.7 20.0 -13.0 8.9 5.9 1.9 4.9 3.7 2.9 5.2 6.0 6.2 -2.5 -0.4 12.4 CAD 4.4 13.6 3.5 4.1 -5.1 2.3 -2.0 -1.3 2.2 -9.5 -5.3 0.8 -9.0 10.4 7.4 -1.7 -1.2 -1.8 -1.6 4.1 -3.3 -2.4 -9.9 4.1 15.0 10.4 3.0 -5.2 -1.3 -1.7 -5.6 2.4 1.6 7.1 -4.8 -2.7 -17.4 CANOLA -10.4 -6.2 -7.9 0.1 3.9 -2.7 6.1 -1.4 4.1 13.6 -7.7 3.9 -7.5 -4.0 -5.8 1.5 10.1 3.6 5.6 -8.7 -9.6 4.0 -3.5 -5.3 3.7 11.5 -3.7 3.5 -3.2 1.8 -0.2 -1.9 -1.4 11.7 -20.0 -15.5 -7.8 CHF -4.7 3.1 20.0 4.1 -5.1 2.3 -2.0 -1.3 2.2 -8.5 12.9 -4.8 1.7 2.6 13.7 -14.3 -12.8 -13.9 -13.6 9.0 9.3 -4.3 2.2 2.4 -7.7 -11.5 4.8 -4.1 4.1 -1.9 -0.5 1.7 -18.7 9.1 -7.8 -4.0 -2.5 COCOA -7.5 6.7 18.7 0.1 3.9 -2.7 6.1 -1.4 4.1 -13.3 9.8 -9.5 -2.8 2.4 10.1 -3.3 -3.2 -2.4 -2.2 8.1 9.1 -4.1 2.3 1.1 -16.9 -10.4 5.1 -3.1 5.1 -1.6 1.8 1.6 -19.1 -19.8 -10.9 12.0 20.0 COFFEE 20.0 14.7 -14.4 0.1 3.9 -2.7 6.1 -1.4 4.1 7.2 -10.5 11.6 -10.0 9.9 -3.4 0.4 3.0 1.0 2.8 -0.3 -12.8 17.4 -12.7 13.5 11.4 10.0 1.2 4.0 -3.3 6.3 -3.6 5.5 -9.1 20.0 20.0 13.6 -20.0 COPPER 0.5 20.0 20.0 3.6 -6.9 3.0 -3.7 1.6 1.3 -11.7 7.1 -7.4 -3.7 7.4 12.9 -1.6 -0.4 -1.1 -0.7 20.0 15.7 -13.3 1.9 5.9 5.4 11.1 4.5 -4.9 4.0 -3.9 1.4 0.8 2.4 0.0 -5.6 7.3 9.1 CORN 2.1 -5.7 -16.0 0.1 3.9 -2.7 6.1 -1.4 4.1 6.7 2.6 -0.3 2.4 -6.9 -11.7 20.0 18.5 20.0 20.0 -6.3 -4.0 2.3 7.2 -2.5 -3.5 11.0 -5.1 0.9 -4.1 0.7 1.5 -2.4 18.7 -10.4 -11.9 -11.7 -16.1 COTTON2 7.8 8.7 -4.5 0.1 3.9 -2.7 6.1 -1.4 4.1 -2.1 -8.1 4.6 -5.6 6.7 9.4 -2.8 11.8 0.3 5.6 1.3 -6.4 -0.5 -4.8 3.2 1.2 -10.9 2.6 -1.7 0.2 -1.2 2.9 1.8 1.4 -20.0 -6.4 7.5 6.6 CRUDE_W -0.8 3.8 -3.2 -1.4 -2.9 -1.0 -6.2 2.9 -3.4 -3.7 -3.5 -6.2 1.7 -2.0 0.0 8.9 12.3 8.6 9.8 -0.9 -0.5 -10.5 3.8 -5.3 -12.1 10.8 0.5 -3.2 1.4 -6.4 5.0 -2.8 -0.2 3.8 1.1 -0.5 11.2 DAX 7.6 19.4 20.0 4.4 0.7 2.3 3.0 0.2 4.7 5.1 14.4 10.9 1.7 14.7 15.9 -9.4 -4.2 -8.0 -6.3 20.0 20.0 15.8 8.4 20.0 -9.7 9.9 5.9 2.7 4.8 4.3 1.7 5.2 -3.4 10.4 0.1 0.1 17.9 DOW -0.9 2.4 16.8 4.4 0.7 2.3 3.0 0.2 4.7 4.4 10.5 5.1 1.6 5.5 10.7 -7.0 -3.5 -6.2 -5.3 8.0 8.8 3.9 4.0 5.2 -3.8 10.8 4.9 1.4 4.3 2.6 2.1 3.9 -2.1 -2.2 -15.7 -17.3 1.0 EUR -7.4 11.7 20.0 4.1 -5.1 2.3 -2.0 -1.3 2.2 -13.5 11.9 -6.9 -3.8 6.5 14.5 -8.3 -8.6 -8.2 -8.4 16.0 13.8 -9.8 -1.7 4.7 0.3 -11.1 5.3 -6.6 4.1 -2.7 -1.2 2.0 -10.6 -7.3 -0.6 7.8 10.3 EUROSTX 8.3 17.7 20.0 4.4 0.7 2.3 3.0 0.2 4.7 6.8 15.0 12.4 5.5 15.4 16.1 11.3 5.4 8.6 6.4 20.0 20.0 14.1 12.1 20.0 -15.0 -8.5 5.9 2.4 5.4 3.8 2.9 5.0 14.9 5.8 -4.2 -3.4 16.3 FEEDCOW -1.6 2.6 5.8 0.1 3.9 -2.7 6.1 -1.4 4.1 10.0 1.5 11.2 0.2 6.3 8.8 -20.0 -20.0 -20.0 -20.0 4.1 2.2 11.7 0.1 6.9 -18.9 12.2 5.1 5.3 3.5 6.1 1.4 5.4 -20.0 1.8 -2.0 12.4 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 1.0 2.8 -17.0 -1.4 -2.9 -1.0 -6.2 2.9 -3.4 -9.1 -5.0 -9.6 8.9 -1.8 -3.0 20.0 20.0 20.0 20.0 -2.9 -0.2 -19.4 9.9 -8.8 -3.6 -15.4 -3.0 -6.2 -1.9 -7.9 2.8 -4.5 20.0 -17.6 1.5 -8.1 -8.9 GASOILINE 7.3 15.4 -8.6 -1.4 -2.9 -1.0 -6.2 2.9 -3.4 -4.4 -6.4 -3.7 3.2 5.7 6.6 -14.0 9.8 -17.3 -3.9 5.5 2.7 -8.2 6.3 1.4 -14.3 -13.1 3.7 -2.4 3.3 -2.8 5.0 1.2 -11.4 0.2 14.0 20.0 20.0 GAS_US -15.8 -20.0 -20.0 -1.4 -2.9 -1.0 -6.2 2.9 -3.4 -5.2 -15.8 -12.9 -9.2 -16.3 -16.7 0.8 -2.3 5.2 1.3 -20.0 -20.0 -17.0 -19.9 -20.0 -3.6 -9.3 -6.1 -0.9 -4.5 -3.1 -0.2 -5.0 -20.0 11.4 -20.0 -20.0 -20.0 GBP -3.4 5.3 17.8 4.1 -5.1 2.3 -2.0 -1.3 2.2 -13.9 10.5 -9.0 -3.1 1.2 12.1 -2.5 -1.8 -2.2 -2.1 7.5 6.6 -17.9 -4.9 -3.4 14.1 9.4 2.1 -12.4 0.1 -8.8 -5.7 -2.1 0.6 -19.8 -12.4 -14.8 -6.6 GOLD_micro -7.9 17.7 20.0 3.6 -6.9 3.0 -3.7 1.6 1.3 -13.0 9.9 -8.3 -2.7 6.8 13.3 -12.2 -9.6 -11.8 -11.1 15.8 13.2 -13.9 3.5 3.8 6.6 -13.8 4.5 -7.8 3.8 -4.7 1.3 0.8 -14.3 -0.1 -5.7 4.6 4.0 HEATOIL 3.2 2.6 -15.3 -1.4 -2.9 -1.0 -6.2 2.9 -3.4 -8.6 -4.8 -9.9 8.2 -2.9 -0.8 20.0 20.0 20.0 20.0 -2.3 0.2 -16.3 9.6 -7.4 -16.1 -13.6 0.1 -5.5 1.6 -6.9 7.3 -2.6 20.0 -12.3 3.6 4.7 3.8 JPY -7.8 14.7 20.0 4.1 -5.1 2.3 -2.0 -1.3 2.2 -7.2 8.6 -6.1 -7.3 6.2 12.7 -12.3 -11.0 -12.1 -12.1 11.8 8.2 -7.4 -6.5 2.5 4.2 9.9 4.4 -4.3 2.7 -2.7 -4.1 0.9 -15.9 1.6 -7.2 3.4 3.9 LEANHOG -11.3 -16.1 -8.3 0.1 3.9 -2.7 6.1 -1.4 4.1 -10.2 -5.1 -12.0 -3.8 -13.8 -10.3 -20.0 -3.8 -20.0 -20.0 -14.4 -8.7 -13.6 -1.7 -15.3 -5.1 -11.1 -5.3 -6.0 -3.6 -4.9 -1.1 -5.3 -20.0 -20.0 -20.0 -20.0 -3.3 LIVECOW 1.5 4.4 8.8 0.1 3.9 -2.7 6.1 -1.4 4.1 9.6 13.1 12.7 3.8 12.2 13.1 -20.0 -20.0 -20.0 -20.0 9.9 8.4 14.5 4.6 12.1 -20.0 12.0 5.9 4.1 5.0 6.4 3.5 6.4 -20.0 8.9 12.5 20.0 20.0 MXP -7.3 9.9 3.9 4.1 -5.1 2.3 -2.0 -1.3 2.2 -3.5 15.2 0.4 15.4 12.0 14.1 20.0 20.0 20.0 20.0 16.2 17.7 -1.4 16.4 9.1 -20.0 9.7 5.7 -3.0 6.2 -1.0 5.3 2.8 20.0 5.9 5.3 10.4 3.6 NASDAQ 20.0 15.0 6.3 4.4 0.7 2.3 3.0 0.2 4.7 12.7 -5.8 14.7 -11.9 13.9 9.7 -6.3 -4.1 -5.7 -5.1 14.0 -0.8 20.0 -11.1 20.0 7.8 10.2 4.7 5.3 1.2 6.9 -1.2 6.8 -2.5 20.0 19.9 0.6 -10.7 NIKKEI 20.0 -1.0 -2.1 4.4 0.7 2.3 3.0 0.2 4.7 4.0 -1.4 14.5 0.1 11.5 1.7 20.0 13.2 19.0 15.9 5.7 -0.4 16.5 -0.8 15.8 9.8 -9.4 1.6 2.3 -1.2 5.5 -1.7 5.2 20.0 6.2 1.4 -20.0 -20.0 NZD -4.6 6.5 20.0 4.1 -5.1 2.3 -2.0 -1.3 2.2 -12.3 11.5 -7.3 -2.5 3.4 13.6 0.5 0.5 0.2 0.1 10.3 9.5 -13.0 -1.0 0.1 -0.4 10.8 4.2 -9.0 3.5 -5.5 -0.6 0.1 4.4 -19.0 -9.0 -7.1 8.0 OAT 7.0 7.2 17.5 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -11.8 -8.3 -7.9 -12.1 1.6 -0.1 10.0 12.7 11.9 12.8 -1.7 -7.2 -5.9 -14.9 -1.6 5.0 12.7 0.7 -3.9 -3.2 -0.8 -9.7 0.9 20.0 6.1 -1.0 -12.5 -1.5 OJ 13.8 5.8 10.8 0.1 3.9 -2.7 6.1 -1.4 4.1 14.1 15.3 15.0 15.1 14.6 14.5 20.0 14.4 18.4 17.5 20.0 20.0 20.0 20.0 20.0 -20.0 -11.9 5.4 11.6 5.0 10.7 5.3 7.5 13.0 20.0 20.0 20.0 20.0 PALLAD -10.1 -11.1 -15.4 3.6 -6.9 3.0 -3.7 1.6 1.3 -4.2 -14.0 -11.4 -11.5 -13.4 -14.6 -3.6 -1.7 -2.6 -2.2 -18.1 -17.9 -12.3 -14.5 -15.7 11.6 -11.1 -5.4 -2.4 -5.1 -4.8 -3.8 -5.1 0.0 13.0 -20.0 -20.0 -20.0 PLAT -20.0 -1.3 14.1 3.6 -6.9 3.0 -3.7 1.6 1.3 -13.4 9.6 -14.8 2.7 -9.8 5.1 -2.5 -0.9 -1.7 -1.1 0.2 7.3 -18.1 5.0 -11.3 -1.7 11.2 1.5 -9.2 4.2 -8.2 2.2 -4.1 1.7 -2.9 -20.0 -14.8 -2.3 REDWHEAT 16.5 1.3 -14.4 0.1 3.9 -2.7 6.1 -1.4 4.1 10.7 -11.5 12.8 -8.8 8.1 -8.2 6.2 1.8 5.1 3.9 -4.0 -11.2 10.5 -6.6 6.5 -0.6 12.9 -0.6 3.3 -2.3 4.9 1.4 3.4 -9.8 8.3 5.7 1.7 -8.1 ROBUSTA 20.0 20.0 -3.6 0.1 3.9 -2.7 6.1 -1.4 4.1 6.5 -5.3 11.1 -5.2 12.5 5.2 10.1 9.6 12.0 11.1 12.8 0.9 18.7 -2.1 20.0 -4.2 9.6 3.0 4.4 -0.6 6.2 -1.1 6.2 2.9 20.0 20.0 14.2 -11.8 RUSSELL 20.0 15.3 9.9 4.4 0.7 2.3 3.0 0.2 4.7 4.9 1.7 11.3 -9.1 13.7 12.4 -5.7 -3.3 -5.2 -4.5 15.2 5.4 19.6 -3.6 20.0 -2.7 10.0 5.1 2.5 2.5 5.5 0.3 6.3 -1.2 18.8 10.4 2.6 -6.7 SILVER-mini -16.8 0.7 20.0 3.6 -6.9 3.0 -3.7 1.6 1.3 -13.8 11.2 -12.7 -0.2 -5.0 11.4 -5.8 -4.0 -5.2 -4.7 5.3 10.1 -20.0 3.5 -7.8 7.5 -11.3 2.4 -12.2 3.9 -8.5 0.5 -3.0 -4.1 4.0 -20.0 -14.3 2.3 SOYBEAN -14.3 -7.6 -1.1 0.1 3.9 -2.7 6.1 -1.4 4.1 13.3 2.5 -0.0 4.2 -5.8 -4.0 20.0 20.0 20.0 20.0 -4.8 -0.7 2.1 5.6 -4.7 -17.5 -11.7 -0.6 4.2 2.4 2.4 7.4 -0.8 20.0 4.9 -20.0 -5.0 9.2 SOYMEAL -2.6 11.2 16.3 0.1 3.9 -2.7 6.1 -1.4 4.1 4.3 13.3 9.3 12.8 12.3 14.4 20.0 17.4 20.0 19.4 19.5 19.5 11.4 15.4 15.2 -20.0 -12.0 6.0 0.3 6.6 2.9 6.1 4.1 16.8 12.4 5.8 20.0 20.0 SOYOIL -6.0 -10.4 -12.5 0.1 3.9 -2.7 6.1 -1.4 4.1 -4.1 -2.2 -10.1 3.4 -9.1 -10.9 -0.1 17.0 6.5 12.2 -11.0 -5.9 -9.8 3.9 -11.5 -10.6 12.9 -4.5 -1.6 -1.7 -3.9 3.0 -4.8 11.1 -20.0 -20.0 -16.1 0.7 SP400 20.0 16.0 15.8 4.4 0.7 2.3 3.0 0.2 4.7 6.5 9.2 11.9 -2.1 14.0 14.0 -5.5 -2.9 -4.5 -3.6 19.2 11.1 20.0 2.7 20.0 -6.9 10.2 5.4 2.7 3.4 5.6 1.5 6.4 -0.0 20.0 9.4 2.3 -1.1 SP500 19.4 10.8 9.3 4.4 0.7 2.3 3.0 0.2 4.7 10.8 0.7 13.9 -7.1 13.3 11.6 -6.8 -4.3 -6.1 -5.4 12.8 3.5 18.5 -4.5 18.5 3.2 10.2 5.0 4.3 2.0 6.0 -0.9 6.3 -2.8 14.5 2.4 -6.6 -6.8 SUGAR11 13.7 -1.7 14.1 0.1 3.9 -2.7 6.1 -1.4 4.1 1.7 9.9 7.7 6.9 9.1 10.9 20.0 20.0 20.0 20.0 14.4 11.7 11.8 8.0 16.1 -20.0 10.7 5.9 -0.4 5.5 3.4 4.0 5.2 20.0 20.0 20.0 20.0 20.0 US10 0.3 12.7 20.0 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -13.2 -4.5 -8.1 -10.9 3.2 9.6 -8.6 -2.3 -8.1 -6.4 3.7 -3.1 -11.9 -15.4 -0.9 -0.8 9.7 2.5 -11.4 -0.6 -5.7 -6.9 -0.1 -8.2 -6.3 -6.2 -0.1 2.0 US10U 1.5 11.4 20.0 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -13.0 -4.4 -7.1 -11.0 5.3 10.3 0.5 3.8 0.6 1.3 4.0 -3.3 -9.7 -15.8 0.2 -3.6 -14.1 3.3 -9.2 0.4 -4.1 -5.3 1.0 3.5 -2.6 -4.3 2.8 3.6 US20 3.2 11.4 20.0 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -12.9 -2.6 -4.7 -9.9 7.0 11.6 -10.5 -1.0 -6.8 -3.9 5.5 -2.5 -7.1 -15.5 2.2 -1.8 -12.3 2.9 -8.4 -0.2 -3.3 -5.8 1.1 -4.5 1.0 -1.2 -1.4 -0.4 US30 5.9 10.8 20.0 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -12.1 -1.9 -1.2 -11.4 8.2 10.2 -1.8 -0.3 -1.5 -1.2 6.4 -2.9 -2.7 -17.9 4.7 -3.9 10.0 4.0 -5.4 0.8 -1.1 -5.0 2.5 -2.0 9.1 2.8 1.8 1.9 US5 -0.8 13.3 20.0 2.3 -5.9 -0.8 -2.0 -5.2 1.7 -13.2 -4.7 -8.9 -11.3 0.6 8.9 -10.5 -1.9 -8.6 -6.6 2.9 -3.7 -13.8 -16.4 -2.3 1.1 10.8 1.9 -12.8 -1.1 -6.9 -8.1 -1.0 -8.1 -9.3 -10.1 -0.3 1.6 VIX -11.4 -20.0 -20.0 -5.1 -0.4 -4.3 -2.4 -3.0 -4.4 3.1 -15.9 -10.5 -13.9 -14.5 -16.1 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -12.0 -20.0 -20.0 NaN -13.5 -6.4 -0.4 -6.0 -2.3 -4.2 -4.7 NaN NaN NaN NaN NaN WHEAT 10.5 -1.0 -20.0 0.1 3.9 -2.7 6.1 -1.4 4.1 8.3 -14.1 11.4 -12.5 -0.5 -11.7 -10.0 -5.9 -8.5 -7.2 -10.5 -18.5 6.6 -13.5 0.9 4.4 11.9 -2.9 1.8 -4.6 3.4 -0.8 1.2 -20.0 1.5 -5.1 0.0 -11.9 End of report for caleb_strategy_v1