******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230213_204308 produced at 2023-02-13 21:35:48.727686 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== Optimal positions ====================================================================================================================================================================================================================================================================================== dont_trade reduce_only weight_per_contract position_limit_weight optimum_weight start_weight maximum_weight minimum_weight previous_weight optimised_weight optimal_position position_limit_contracts previous_position optimised_position caleb_strategy_v1 VIX False False 0.01 -0.24 -0.26 0.0 7951123.21 -7951123.21 -0.24 -0.24 -32.84 999999999 -30 -30 caleb_strategy_v1 US10U False False 0.04 -0.33 -0.25 0.0 41741202.85 -41741202.85 -0.33 -0.33 -6.02 999999999 -8 -8 caleb_strategy_v1 US20 False False 0.04 0.00 -0.16 0.0 44538576.49 -44538576.49 0.00 0.00 -3.55 999999999 0 0 caleb_strategy_v1 CHF False False 0.05 -0.29 -0.14 0.0 47614590.50 -47614590.50 -0.29 -0.29 -2.99 999999999 -6 -6 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.09 0.0 11693241.25 -11693241.25 -0.07 -0.07 -7.76 999999999 -6 -6 caleb_strategy_v1 EUR False False 0.05 -0.05 -0.08 0.0 46921280.64 -46921280.64 -0.05 -0.05 -1.77 999999999 -1 -1 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.08 0.0 34152092.69 -34152092.69 -0.17 -0.17 -2.21 999999999 -5 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.12 -0.07 0.0 23031929.09 -23031929.09 -0.12 -0.12 -2.92 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.06 0.0 53081920.14 -53081920.14 0.00 0.00 -1.18 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 6583459.81 -6583459.81 -0.02 -0.02 -5.42 999999999 -3 -3 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.04 0.0 39615128.67 -39615128.67 -0.04 -0.04 -0.94 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.04 0.0 9204346.61 -9204346.61 -0.02 -0.02 -4.62 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.08 -0.02 0.0 37874245.16 -37874245.16 -0.08 -0.08 -0.53 999999999 -2 -2 caleb_strategy_v1 US10 False False 0.04 0.00 -0.01 0.0 39547184.30 -39547184.30 0.00 0.00 -0.33 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 19537735.16 -19537735.16 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9260513.48 -9260513.48 -0.01 -0.01 -0.79 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 53534052.53 -53534052.53 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.13 -0.01 0.0 33502663.20 -33502663.20 -0.13 -0.13 -0.39 999999999 -4 -4 caleb_strategy_v1 COTTON2 False False 0.02 0.00 -0.01 0.0 15042191.15 -15042191.15 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 12403225.65 -12403225.65 0.00 0.00 -0.55 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15498547.01 -15498547.01 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 14414701.85 -14414701.85 -0.04 -0.03 -0.21 999999999 -3 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.00 -0.00 0.0 765449.19 -765449.19 -0.00 -0.00 -0.53 999999999 -2 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12757603.52 -12757603.52 0.00 0.00 0.31 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4336875.80 -4336875.80 0.00 0.00 2.02 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 7136703.53 -7136703.53 0.01 0.01 1.87 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16681561.81 -16681561.81 0.00 0.00 0.47 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23024030.63 -23024030.63 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.02 0.0 48378108.95 -48378108.95 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 24293928.56 -24293928.56 0.00 0.00 0.77 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 10461080.43 -10461080.43 0.06 0.06 2.38 999999999 6 6 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5945088.18 -5945088.18 0.00 0.00 3.33 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 41095406.65 -41095406.65 0.00 0.00 0.44 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 28373047.84 -28373047.84 0.00 0.00 0.54 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7847635.75 -7847635.75 0.00 0.00 3.13 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15796405.92 -15796405.92 0.00 0.00 1.86 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.03 0.0 71840943.29 -71840943.29 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.03 0.0 35240325.89 -35240325.89 0.00 0.00 0.86 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 22135014.31 -22135014.31 0.00 0.00 1.17 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26446699.56 -26446699.56 0.16 0.16 1.24 999999999 6 6 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.03 0.0 24208800.64 -24208800.64 0.02 0.02 1.04 999999999 1 1 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3380543.78 -3380543.78 0.00 0.00 11.01 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9357050.30 -9357050.30 0.03 0.03 3.85 999999999 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 26305404.76 -26305404.76 0.00 0.00 1.91 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 43094394.22 -43094394.22 0.04 0.04 1.09 999999999 1 1 caleb_strategy_v1 SP400 False False 0.09 0.56 0.05 0.0 92784166.72 -92784166.72 0.56 0.46 0.57 999999999 6 5 caleb_strategy_v1 CAC False False 0.03 0.00 0.05 0.0 26820161.08 -26820161.08 0.00 0.00 1.68 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.09 0.17 0.05 0.0 86556664.48 -86556664.48 0.17 0.17 0.53 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.06 0.0 16481467.32 -16481467.32 0.08 0.08 3.70 999999999 5 5 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.06 0.0 27093496.23 -27093496.23 0.08 0.08 2.35 999999999 3 3 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5759410.82 -5759410.82 0.00 0.00 9.84 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 48985722.83 -48985722.83 0.10 0.10 1.24 999999999 2 2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.30 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.09 0.20 0.0 43776469.16 -43776469.16 0.09 0.09 4.62 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.24 0.0 50953246.70 -50953246.70 0.10 0.10 4.75 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.40 0.0 0.00 0.00 0.00 0.00 54.31 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 18.9 Shocked risk 59.4 Sum abs risk 51.3 Leverage 3.30 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2848654.13, 'annual_cash_vol_target': 712163.5325, 'daily_cash_vol_target': 44510.22078125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0056 0.6921 0.8032 12.8513 BITCOIN 711.4860 21805.0000 3.2629 52.2072 BOBL 0.3950 116.8100 0.3382 5.4107 BTP 1.0763 114.9900 0.9360 14.9755 BUND 0.8760 135.9600 0.6443 10.3092 BUXL 2.0429 141.6400 1.4423 23.0771 CAC 57.8987 7156.5000 0.8090 12.9446 CAD 0.0036 0.7494 0.4753 7.6046 CANOLA 7.3298 825.7000 0.8877 14.2033 CHF 0.0061 1.0851 0.5608 8.9723 COCOA 29.3759 2622.0000 1.1204 17.9258 COFFEE 0.0364 1.7490 2.0814 33.3028 COPPER 0.0465 4.0155 1.1591 18.5453 CORN 4.5566 596.0000 0.7645 12.2326 COTTON2 0.0147 0.8570 1.7176 27.4814 CRUDE_W 1.3280 77.1800 1.7206 27.5297 DAX 130.6090 15368.0000 0.8499 13.5980 DOW 247.3570 33871.0000 0.7303 11.6847 EUR 0.0058 1.0693 0.5381 8.6103 EUROSTX 37.8675 4215.0000 0.8984 14.3744 FEEDCOW 1.1198 194.5750 0.5755 9.2080 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 18.7626 808.2500 2.3214 37.1421 GASOILINE 0.0531 2.6869 1.9760 31.6165 GAS_US 0.1577 2.6380 5.9780 95.6478 GBP 0.0079 1.2054 0.6538 10.4612 GOLD_micro 16.8365 1875.4000 0.8978 14.3641 HEATOIL 0.0611 2.7873 2.1927 35.0827 JPY 0.0001 0.0076 0.8393 13.4286 LEANHOG 1.3397 83.2750 1.6088 25.7405 LIVECOW 0.8864 164.0250 0.5404 8.6467 MXP 0.0004 0.0533 0.7314 11.7023 NASDAQ 155.2115 12328.5000 1.2590 20.1434 NIKKEI 224.1011 27580.0000 0.8125 13.0008 NZD 0.0047 0.6306 0.7526 12.0424 OAT 0.9255 130.7100 0.7081 11.3289 OJ 0.0370 2.3555 1.5719 25.1510 PALLAD 37.7879 1525.0000 2.4779 39.6463 PLAT 17.2309 950.4000 1.8130 29.0082 REDWHEAT 12.5335 883.0000 1.4194 22.7108 ROBUSTA 28.5559 2033.0000 1.4046 22.4739 RUSSELL 22.5498 1926.0000 1.1708 18.7329 SILVER-mini 0.3924 22.2625 1.7627 28.2032 SOYBEAN 9.6978 1379.2500 0.7031 11.2499 SOYMEAL 5.5231 469.5000 1.1764 18.8220 SOYOIL 0.8970 60.5700 1.4809 23.6950 SP400 26.7480 2643.1000 1.0120 16.1919 SP500 36.1587 4093.0000 0.8834 14.1348 SUGAR11 0.0027 0.1996 1.3775 22.0407 US10 0.5201 112.6562 0.4617 7.3865 US10U 0.7012 118.9062 0.5897 9.4359 US20 0.9668 126.8750 0.7620 12.1916 US30 1.5172 137.8125 1.1009 17.6142 US5 0.3483 107.8906 0.3228 5.1646 VIX 0.5109 22.6500 2.2555 36.0883 WHEAT 10.3964 821.2500 1.2659 20.2547 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 692.05 0.80 555.86 1.00 555.86 44510.22 80.07 5.99 47.96 BITCOIN 21.80 3.26 71.15 1.00 71.15 44510.22 625.60 -0.36 -22.61 BOBL 1168.10 0.34 395.02 1.07 423.85 44510.22 105.01 6.09 63.99 BTP 1149.90 0.94 1076.27 1.07 1154.84 44510.22 38.54 14.01 54.00 BUND 1359.60 0.64 876.02 1.07 939.97 44510.22 47.35 13.90 65.82 BUXL 1416.40 1.44 2042.90 1.07 2192.03 44510.22 20.31 -6.94 -14.10 CAC 715.65 0.81 578.99 1.07 621.25 44510.22 71.65 8.36 59.91 CAD 749.35 0.48 356.16 1.00 356.16 44510.22 124.97 8.57 107.08 CANOLA 165.14 0.89 146.60 0.74 109.17 44510.22 407.72 5.39 219.75 CHF 1356.38 0.56 760.62 1.00 760.62 44510.22 58.52 -13.64 -79.81 COCOA 262.20 1.12 293.76 1.00 293.76 44510.22 151.52 -13.99 -212.04 COFFEE 655.88 2.08 1365.15 1.00 1365.15 44510.22 32.60 6.07 19.80 COPPER 1003.88 1.16 1163.57 1.00 1163.57 44510.22 38.25 8.26 31.59 CORN 298.00 0.76 227.83 1.00 227.83 44510.22 195.36 13.48 263.30 COTTON2 428.50 1.72 735.99 1.00 735.99 44510.22 60.48 -3.83 -23.18 CRUDE_W 771.80 1.72 1327.96 1.00 1327.96 44510.22 33.52 5.30 17.75 DAX 153.68 0.85 130.61 1.07 140.14 44510.22 317.60 5.71 181.26 DOW 169.36 0.73 123.68 1.00 123.68 44510.22 359.89 3.24 116.69 EUR 1336.62 0.54 719.30 1.00 719.30 44510.22 61.88 -7.63 -47.22 EUROSTX 421.50 0.90 378.67 1.07 406.32 44510.22 109.55 6.04 66.19 FEEDCOW 972.88 0.58 559.89 1.00 559.89 44510.22 79.50 -10.32 -82.07 FTSE100 707.00 0.82 576.59 1.21 666.67 44510.22 66.76 7.70 51.39 GASOIL 808.25 2.32 1876.26 1.00 1876.26 44510.22 23.72 3.21 7.61 GASOILINE 1128.50 1.98 2229.94 1.00 2229.94 44510.22 19.96 -11.52 -23.00 GAS_US 263.80 5.98 1576.99 1.00 1576.99 44510.22 28.22 -18.53 -52.30 GBP 753.38 0.65 492.57 1.00 492.57 44510.22 90.36 7.67 69.34 GOLD_micro 187.54 0.90 168.36 1.00 168.36 44510.22 264.37 -9.16 -242.16 HEATOIL 1170.67 2.19 2566.88 1.00 2566.88 44510.22 17.34 3.52 6.10 JPY 954.38 0.84 801.00 1.00 801.00 44510.22 55.57 -1.10 -6.09 LEANHOG 333.10 1.61 535.88 1.00 535.88 44510.22 83.06 -20.00 -166.12 LIVECOW 656.10 0.54 354.57 1.00 354.57 44510.22 125.53 -8.66 -108.70 MXP 266.55 0.73 194.95 1.00 194.95 44510.22 228.31 13.79 314.80 NASDAQ 2465.70 1.26 3104.23 1.00 3104.23 44510.22 14.34 6.84 9.81 NIKKEI 27580.00 0.81 22410.11 0.01 170.71 44510.22 260.74 10.97 285.96 NZD 630.55 0.75 474.58 1.00 474.58 44510.22 93.79 7.78 73.01 OAT 1307.10 0.71 925.50 1.07 993.06 44510.22 44.82 13.71 61.45 OJ 353.32 1.57 555.40 1.00 555.40 44510.22 80.14 -3.94 -31.61 PALLAD 1525.00 2.48 3778.79 1.00 3778.79 44510.22 11.78 -8.35 -9.83 PLAT 475.20 1.81 861.54 1.00 861.54 44510.22 51.66 3.77 19.46 REDWHEAT 441.50 1.42 626.68 1.00 626.68 44510.22 71.03 3.97 28.19 ROBUSTA 203.30 1.40 285.56 1.00 285.56 44510.22 155.87 9.27 144.51 RUSSELL 96.30 1.17 112.75 1.00 112.75 44510.22 394.77 5.38 212.48 SILVER-mini 556.56 1.76 981.05 1.00 981.05 44510.22 45.37 -4.19 -19.02 SOYBEAN 689.62 0.70 484.89 1.00 484.89 44510.22 91.79 1.92 17.59 SOYMEAL 469.50 1.18 552.31 1.00 552.31 44510.22 80.59 7.78 62.71 SOYOIL 363.42 1.48 538.20 1.00 538.20 44510.22 82.70 4.07 33.69 SP400 2643.10 1.01 2674.80 1.00 2674.80 44510.22 16.64 6.56 10.91 SP500 2046.50 0.88 1807.94 1.00 1807.94 44510.22 24.62 5.06 12.45 SUGAR11 223.55 1.38 307.95 1.00 307.95 44510.22 144.54 15.96 230.63 US10 1126.56 0.46 520.08 1.00 520.08 44510.22 85.58 -1.01 -8.65 US10U 1189.06 0.59 701.24 1.00 701.24 44510.22 63.47 -6.51 -41.30 US20 1268.75 0.76 966.76 1.00 966.76 44510.22 46.04 -10.45 -48.12 US30 1378.12 1.10 1517.16 1.00 1517.16 44510.22 29.34 1.54 4.51 US5 1078.91 0.32 348.26 1.00 348.26 44510.22 127.81 -1.09 -13.90 VIX 226.50 2.26 510.88 1.00 510.88 44510.22 87.13 -20.00 -174.25 WHEAT 410.62 1.27 519.82 1.00 519.82 44510.22 85.63 -4.54 -38.86 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 47.955 0.006 2.5 0.766 BITCOIN -22.613 0.009 2.5 -0.533 BOBL 63.988 0.029 2.5 4.617 BTP 53.998 0.008 2.5 1.091 BUND 65.818 0.029 2.5 4.749 BUXL -14.098 0.034 2.5 -1.183 CAC 59.907 0.011 2.5 1.684 CAD 107.076 0.007 2.5 1.912 CANOLA 219.749 0.004 2.5 2.017 CHF -79.815 0.015 2.5 -2.987 COCOA -212.036 0.009 2.5 -4.619 COFFEE 19.797 0.005 2.5 0.257 COPPER 31.594 0.011 2.5 0.863 CORN 263.304 0.004 2.5 2.375 COTTON2 -23.182 0.006 2.5 -0.349 CRUDE_W 17.754 0.053 2.5 2.346 DAX 181.264 0.022 2.5 9.844 DOW 116.693 0.011 2.5 3.325 EUR -47.222 0.015 2.5 -1.767 EUROSTX 66.186 0.011 2.5 1.861 FEEDCOW -82.074 0.011 2.5 -2.205 FTSE100 51.393 0.041 2.5 5.298 GASOIL 7.611 0.029 2.5 0.543 GASOILINE -22.999 0.016 2.5 -0.944 GAS_US -52.299 0.006 2.5 -0.787 GBP 69.340 0.007 2.5 1.238 GOLD_micro -242.161 0.009 2.5 -5.418 HEATOIL 6.102 0.029 2.5 0.435 JPY -6.089 0.026 2.5 -0.394 LEANHOG -166.119 0.019 2.5 -7.761 LIVECOW -108.699 0.011 2.5 -2.921 MXP 314.801 0.005 2.5 3.854 NASDAQ 9.813 0.022 2.5 0.533 NIKKEI 285.961 0.076 2.5 54.313 NZD 73.014 0.006 2.5 1.167 OAT 61.448 0.008 2.5 1.241 OJ -31.610 0.007 2.5 -0.551 PALLAD -9.832 0.010 2.5 -0.237 PLAT 19.456 0.010 2.5 0.468 REDWHEAT 28.194 0.002 2.5 0.151 ROBUSTA 144.515 0.005 2.5 1.874 RUSSELL 212.484 0.021 2.5 11.006 SILVER-mini -19.020 0.009 2.5 -0.426 SOYBEAN 17.589 0.024 2.5 1.037 SOYMEAL 62.709 0.024 2.5 3.697 SOYOIL 33.695 0.004 2.5 0.309 SP400 10.909 0.021 2.5 0.565 SP500 12.451 0.011 2.5 0.355 SUGAR11 230.628 0.005 2.5 3.129 US10 -8.655 0.015 2.5 -0.332 US10U -41.304 0.058 2.5 -6.018 US20 -48.115 0.029 2.5 -3.546 US30 4.507 0.034 2.5 0.378 US5 -13.903 0.015 2.5 -0.533 VIX -174.251 0.075 2.5 -32.838 WHEAT -38.857 0.002 2.5 -0.207 ==================== Position diags ==================== AUD 1.28 BITCOIN 14.74 BOBL 7.58 BTP 0.78 BUND 3.42 BUXL 1.70 CAC 2.01 CAD 2.23 CANOLA 3.74 CHF 2.19 COCOA 3.30 COFFEE 0.42 COPPER 1.05 CORN 1.76 COTTON2 0.91 CRUDE_W 4.43 DAX 17.25 DOW 10.26 EUR 2.32 EUROSTX 3.08 FEEDCOW 2.14 FTSE100 6.88 GASOIL 1.69 GASOILINE 0.82 GAS_US 0.42 GBP 1.61 GOLD_micro 5.92 HEATOIL 1.24 JPY 3.60 LEANHOG 3.88 LIVECOW 3.37 MXP 2.80 NASDAQ 0.78 NIKKEI 49.52 NZD 1.50 OAT 0.91 OJ 1.40 PALLAD 0.28 PLAT 1.24 REDWHEAT 0.38 ROBUSTA 2.02 RUSSELL 20.45 SILVER-mini 1.02 SOYBEAN 5.41 SOYMEAL 4.75 SOYOIL 0.76 SP400 0.86 SP500 0.70 SUGAR11 1.96 US10 3.28 US10U 9.25 US20 3.39 US30 2.46 US5 4.90 VIX 16.42 WHEAT 0.46 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.6 0.9 0.0 0 BITCOIN -0.5 -2.0 0.9 -2.0 -2 BOBL 4.6 3.9 5.4 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.7 4.4 5.1 2.0 2 BUXL -1.2 -1.4 -1.0 0.0 0 CAC 1.7 1.5 1.9 0.0 0 CAD 1.9 1.7 2.1 0.0 0 CANOLA 2.0 1.6 2.4 NaN 0 CHF -3.0 -3.2 -2.8 -6.0 -6 COCOA -4.6 -4.9 -4.3 -2.0 -2 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.9 0.8 1.0 0.0 0 CORN 2.4 2.2 2.6 6.0 6 COTTON2 -0.3 -0.4 -0.3 NaN 0 CRUDE_W 2.3 1.9 2.8 3.0 3 DAX 9.8 8.1 11.6 0.0 0 DOW 3.3 2.3 4.4 0.0 0 EUR -1.8 -2.0 -1.5 -1.0 -1 EUROSTX 1.9 1.6 2.2 0.0 0 FEEDCOW -2.2 -2.4 -2.0 -5.0 -5 FTSE100 5.3 4.6 6.0 0.0 0 GASOIL 0.5 0.4 0.7 0.0 0 GASOILINE -0.9 -1.0 -0.9 -1.0 -1 GAS_US -0.8 -0.8 -0.7 -1.0 -1 GBP 1.2 1.1 1.4 6.0 6 GOLD_micro -5.4 -6.0 -4.8 -3.0 -3 HEATOIL 0.4 0.3 0.6 0.0 0 JPY -0.4 -0.8 -0.0 -4.0 -4 LEANHOG -7.8 -8.1 -7.4 -6.0 -6 LIVECOW -2.9 -3.3 -2.6 -5.0 -5 MXP 3.9 3.6 4.1 3.0 3 NASDAQ 0.5 0.5 0.6 2.0 2 NIKKEI 54.3 49.4 59.3 0.0 0 NZD 1.2 1.0 1.3 0.0 0 OAT 1.2 1.2 1.3 2.0 2 OJ -0.6 -0.7 -0.4 NaN 0 PALLAD -0.2 -0.3 -0.2 NaN 0 PLAT 0.5 0.3 0.6 NaN 0 REDWHEAT 0.2 0.1 0.2 0.0 0 ROBUSTA 1.9 1.7 2.1 2.0 2 RUSSELL 11.0 9.0 13.1 0.0 0 SILVER-mini -0.4 -0.5 -0.3 0.0 0 SOYBEAN 1.0 0.5 1.6 1.0 1 SOYMEAL 3.7 3.2 4.2 5.0 5 SOYOIL 0.3 0.2 0.4 0.0 0 SP400 0.6 0.5 0.7 6.0 6 SP500 0.4 0.3 0.4 0.0 0 SUGAR11 3.1 2.9 3.3 0.0 0 US10 -0.3 -0.7 -0.0 NaN 0 US10U -6.0 -6.9 -5.1 -8.0 -8 US20 -3.5 -3.9 -3.2 0.0 0 US30 0.4 0.1 0.6 0.0 0 US5 -0.5 -1.0 -0.0 -2.0 -2 VIX -32.8 -34.5 -31.2 -30.0 -30 WHEAT -0.2 -0.3 -0.2 -3.0 -3 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.0 -0.1 0.0 0.3 -0.3 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 0.0 0.5 2.2 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.0 BITCOIN 0.2 0.3 0.0 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.0 0.1 0.0 -0.4 0.0 0.3 -0.1 -0.0 -0.0 -0.0 0.2 0.0 -0.0 -0.2 0.0 3.3 -4.8 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 0.1 0.4 0.3 -0.3 BOBL 0.0 0.2 0.0 0.0 -0.0 -0.0 -0.1 -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 -0.2 -0.0 1.3 0.0 -0.0 -0.1 -0.2 BTP -0.0 0.2 0.3 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.3 0.0 0.2 0.6 0.6 0.2 0.3 0.1 -0.0 -0.0 -0.1 0.0 -0.6 2.2 0.0 0.0 0.0 0.0 -0.1 0.0 2.7 0.3 0.2 0.1 0.1 BUND -0.0 0.2 0.1 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.3 -0.0 -0.3 0.0 -0.0 0.9 0.7 0.3 0.3 -0.1 -0.1 -0.0 -0.2 -0.0 0.8 2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 0.0 -0.0 -0.1 -0.1 BUXL -0.1 0.0 0.1 0.0 -0.0 -0.0 -0.1 -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 0.3 -2.1 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 0.1 -0.1 -0.2 -0.1 CAC 0.1 0.3 0.3 0.1 -0.0 0.1 -0.0 0.0 0.0 -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 0.2 0.1 0.0 0.2 CAD 0.0 0.2 0.0 0.1 -0.0 0.1 -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.2 -0.1 -0.1 -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 -0.0 0.0 -0.3 CANOLA -0.0 -0.1 -0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.2 -0.0 -0.1 0.2 0.4 0.1 0.1 -0.1 -0.1 0.0 -0.0 -0.0 0.6 2.9 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 0.0 -0.2 -0.2 -0.1 CHF -0.1 0.0 0.3 0.1 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.3 -0.0 0.1 0.0 0.3 -1.0 -0.5 -0.3 -0.3 0.1 0.1 -0.0 0.0 0.0 -1.0 -2.4 0.1 -0.0 0.1 -0.0 -0.0 0.0 -2.4 0.1 0.0 -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 -0.2 -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 -2.5 -0.1 -0.2 0.1 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 -0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.0 -0.2 0.0 1.9 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.2 0.0 0.4 0.2 -0.2 COPPER -0.2 0.3 0.3 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.0 -0.1 0.0 0.3 -0.2 -0.0 -0.0 -0.0 0.2 0.2 -0.0 0.0 0.0 0.5 2.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.3 0.0 -0.3 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 -0.1 0.0 0.0 -0.0 2.7 0.0 -0.3 -0.2 -0.3 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 0.4 -2.7 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 -0.0 -0.0 0.2 0.2 CRUDE_W -0.0 0.1 -0.1 -0.0 0.0 -0.0 -0.1 0.1 -0.0 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 -1.5 2.1 0.0 0.0 0.0 0.0 0.1 -0.0 -0.0 0.0 0.0 0.1 0.2 DAX 0.1 0.3 0.4 0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 0.4 0.0 0.1 0.1 0.4 -0.4 -0.2 -0.1 -0.1 0.3 0.3 0.0 0.1 0.0 -1.6 2.2 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.1 0.1 0.1 0.3 DOW 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 0.2 -0.6 -0.2 -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 0.1 -0.2 -0.2 0.0 EUR -0.2 0.2 0.4 0.1 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.3 -0.0 -0.1 0.0 0.3 -0.6 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-0.0 -2.7 -0.1 -0.4 -0.3 -0.1 LIVECOW 0.1 0.1 0.2 0.0 0.0 -0.1 0.0 -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 -0.1 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 0.2 0.1 NASDAQ 0.3 0.3 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 -0.1 0.0 -0.3 0.1 0.3 -0.4 -0.2 -0.1 -0.1 0.2 0.0 0.0 -0.1 0.0 0.8 1.9 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.3 0.3 0.5 0.0 -0.1 NIKKEI 0.2 0.1 -0.0 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 -0.0 0.0 0.0 0.1 0.1 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 0.2 0.4 -0.3 -0.3 NZD -0.1 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 -0.0 0.2 0.2 0.0 -0.0 -0.0 -0.1 -0.1 0.0 -0.0 -0.2 -0.0 -0.3 0.0 -0.0 0.8 0.5 0.2 0.3 -0.0 -0.1 -0.0 -0.2 -0.0 0.6 2.6 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.7 0.1 -0.0 -0.1 -0.0 OJ 0.0 0.0 0.2 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 0.6 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.6 0.0 0.0 0.0 0.0 0.0 0.0 2.2 0.0 0.5 0.3 0.3 PALLAD -0.1 -0.2 -0.3 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 2.3 -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 -0.1 0.2 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.0 0.1 -0.1 0.0 -0.2 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 2.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.0 -0.4 -0.2 -0.1 REDWHEAT 0.2 0.1 -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 0.6 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 -1.2 0.1 0.2 0.1 -0.1 ROBUSTA 0.2 0.3 -0.0 0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 0.0 -0.1 0.0 0.1 0.7 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 -0.1 RUSSELL 0.2 0.3 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 0.0 -0.2 0.0 0.3 -0.4 -0.1 -0.1 -0.1 0.2 0.1 0.0 -0.0 0.0 -0.4 2.0 0.1 -0.0 0.0 0.0 0.0 0.0 -0.1 0.2 0.2 0.0 -0.1 SILVER-mini -0.2 -0.0 0.4 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.3 -0.0 -0.0 -0.0 0.2 -0.4 -0.1 -0.1 -0.1 0.0 0.1 -0.0 0.0 -0.0 1.6 -3.2 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.3 0.0 SOYBEAN -0.1 -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 -0.0 -0.0 0.0 0.1 -0.0 -2.5 -2.5 0.0 0.0 0.0 0.0 0.1 0.0 2.7 0.0 -0.3 -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 2.4 0.1 0.1 0.2 0.3 SOYOIL -0.1 -0.2 -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 0.0 0.7 0.1 0.2 -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 -0.1 SP400 0.2 0.3 0.3 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.2 0.0 -0.0 0.0 0.3 -0.3 -0.1 -0.1 -0.1 0.2 0.2 0.0 0.0 0.0 -1.2 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 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 0.0 -0.2 0.1 0.3 -0.5 -0.2 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-0.1 0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.9 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.3 2.4 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.2 -0.0 -0.0 -0.1 0.0 VIX -0.0 -1.0 -1.3 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.0 -0.5 0.0 -0.5 -0.0 -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 0.2 0.1 -0.3 0.0 0.0 -0.1 0.1 -0.0 0.1 0.0 -0.3 0.0 -0.3 0.0 -0.2 -0.8 -0.3 -0.2 -0.2 -0.1 -0.2 0.0 -0.1 0.0 0.6 2.5 -0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.1 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 -3.6 15.2 16.3 3.7 -3.2 2.4 -2.5 -1.3 1.0 -9.6 7.2 -8.6 -3.2 5.6 12.3 -3.5 -2.5 -3.3 -3.0 10.0 6.9 -8.3 -2.1 1.8 4.0 11.7 3.8 -4.1 2.5 -3.7 -1.2 0.4 -0.6 -9.4 -3.4 2.1 -3.0 BITCOIN 17.3 20.0 1.9 2.7 -5.9 2.9 -5.0 1.7 -0.7 -13.6 2.1 5.2 -14.3 12.0 11.7 -2.6 -0.8 -0.7 -0.3 16.4 2.0 -1.1 -16.6 14.3 15.0 -18.1 4.2 -4.0 1.2 -0.5 -1.6 3.5 2.7 20.0 20.0 20.0 -15.6 BOBL 0.9 11.3 2.1 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -13.1 -12.1 -12.2 -13.5 -1.0 -3.4 -11.8 7.3 -4.5 2.6 -6.5 -13.9 -9.5 -20.0 -5.3 11.0 10.8 -1.5 -5.6 -6.2 -3.1 -13.1 -0.9 9.2 10.3 -1.8 -8.4 -12.5 BTP -2.4 11.0 17.7 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -5.8 -0.1 -4.8 -9.9 6.5 7.7 7.4 13.4 10.7 13.1 4.5 -0.4 -0.0 -10.4 3.4 -4.8 11.4 3.5 0.2 0.4 1.8 -5.8 3.3 20.0 20.0 10.3 5.1 10.4 BUND -1.4 12.7 7.8 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -13.0 -10.7 -12.5 -12.9 0.1 -1.6 10.3 15.2 12.0 13.5 -4.9 -11.3 -9.3 -19.6 -5.1 6.7 12.3 -0.2 -4.1 -4.1 -2.6 -10.3 -0.4 20.0 10.9 -1.8 -6.5 -6.3 BUXL -4.5 1.4 8.4 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -12.5 -9.1 -13.7 -12.2 -4.1 -4.7 1.9 -0.0 3.1 2.7 -7.8 -11.8 -10.5 -19.5 -8.6 2.4 -10.8 -1.4 -3.6 -3.4 -3.4 -7.4 -2.2 1.3 5.9 -7.2 -18.1 -5.0 CAC 6.4 20.0 20.0 4.1 -3.3 2.4 -0.2 0.3 3.2 -1.1 15.1 7.5 7.4 14.0 15.5 -4.5 1.6 -3.0 -1.2 20.0 20.0 9.7 14.6 19.0 -13.3 8.9 5.9 0.8 5.2 2.6 3.1 4.6 6.1 17.0 4.7 3.4 12.3 CAD 3.0 13.5 2.4 3.7 -3.2 2.4 -2.5 -1.3 1.0 -0.9 -5.0 -0.3 -8.8 9.0 6.6 -1.8 -1.2 -1.8 -1.6 3.3 -3.0 -0.7 -9.5 2.5 15.1 10.4 2.6 2.2 -1.3 -0.5 -5.8 1.7 1.6 12.3 -1.6 0.6 -17.0 CANOLA -6.9 -7.6 -8.8 0.7 0.6 -2.4 3.8 -1.3 3.9 -1.4 -7.0 4.6 -7.9 -4.0 -6.0 2.5 10.0 3.8 5.6 -8.6 -10.1 0.1 -3.9 -5.0 2.8 11.5 -3.7 -0.2 -3.4 0.2 -0.3 -1.9 -1.1 11.8 -16.8 -18.1 -10.3 CHF -8.5 2.1 17.5 3.7 -3.2 2.4 -2.5 -1.3 1.0 -8.2 12.7 -7.0 2.1 0.1 13.2 -14.2 -12.9 -14.0 -13.7 8.1 9.3 -4.1 2.4 1.0 -7.0 -11.5 4.5 -3.0 4.3 -2.0 -0.4 1.0 -18.8 13.2 0.7 -4.6 -1.4 COCOA -6.4 4.8 17.5 0.7 0.6 -2.4 3.8 -1.3 3.9 -9.2 9.7 -8.7 -2.6 1.3 9.6 -3.0 -3.1 -2.4 -2.2 7.3 9.1 -2.9 2.5 0.3 -17.1 -10.4 4.8 -0.5 5.4 -1.1 2.1 1.1 -18.6 -14.7 -12.3 10.8 20.0 COFFEE 20.0 13.4 -12.6 0.7 0.6 -2.4 3.8 -1.3 3.9 -2.8 -9.9 9.5 -9.8 10.2 -0.9 0.4 3.0 1.0 2.6 1.2 -11.9 10.5 -12.9 12.2 11.9 10.0 1.7 0.7 -2.9 3.8 -3.5 4.8 -8.8 9.6 20.0 11.5 -17.0 COPPER -14.1 20.0 20.0 2.7 -5.9 2.9 -5.0 1.7 -0.7 -12.6 7.5 -11.9 -3.4 4.9 11.6 -2.2 -0.5 -1.4 -0.9 16.5 15.2 -13.3 2.2 1.0 4.0 11.1 3.7 -4.1 4.0 -4.0 1.5 -0.5 2.3 1.4 -13.7 8.1 9.1 CORN 0.7 -6.4 -16.5 0.7 0.6 -2.4 3.8 -1.3 3.9 4.9 3.1 -1.1 2.2 -6.8 -11.5 20.0 18.8 20.0 20.0 -5.6 -3.9 0.9 6.7 -2.1 -3.3 11.0 -5.0 0.9 -4.3 0.1 1.4 -2.2 19.6 4.5 -13.9 -12.9 -17.4 COTTON2 6.9 8.4 -4.3 0.7 0.6 -2.4 3.8 -1.3 3.9 0.8 -7.9 3.0 -5.9 5.8 10.0 -3.2 11.3 -0.1 5.1 1.2 -6.4 -0.7 -5.0 2.3 1.5 -10.9 2.3 -1.5 0.2 -1.1 3.0 1.2 1.1 -15.5 -1.1 6.0 8.5 CRUDE_W -3.9 3.3 -3.5 -1.6 2.1 -1.2 -2.3 3.0 -2.7 10.8 -2.5 0.6 1.6 0.5 0.2 8.9 12.2 8.6 9.8 -0.1 -0.3 1.6 3.8 -1.2 -12.9 10.8 0.8 6.3 1.6 0.4 5.3 -0.7 -0.2 7.3 2.7 3.9 10.9 DAX 4.1 20.0 20.0 4.1 -3.3 2.4 -0.2 0.3 3.2 3.5 14.7 9.4 2.3 14.5 15.8 -9.9 -4.4 -8.3 -6.6 20.0 20.0 11.5 9.0 19.6 -10.8 9.9 5.9 0.8 5.1 3.3 2.0 5.0 -3.6 20.0 6.6 4.8 18.4 DOW 2.1 3.1 14.7 4.1 -3.3 2.4 -0.2 0.3 3.2 -6.1 10.7 4.8 1.8 5.1 9.9 -7.2 -3.6 -6.4 -5.5 7.4 8.8 -0.2 4.3 3.4 -3.7 10.8 4.5 -2.3 4.3 0.1 2.3 2.7 -2.2 4.6 -9.4 -15.9 0.1 EUR -13.7 9.3 20.0 3.7 -3.2 2.4 -2.5 -1.3 1.0 -13.7 11.6 -12.8 -3.4 1.4 13.1 -8.2 -8.6 -8.2 -8.5 12.6 13.1 -13.7 -1.5 -1.1 0.3 -11.1 4.5 -5.7 4.1 -4.2 -1.2 0.2 -10.6 -5.8 -8.0 4.1 9.0 EUROSTX 5.8 19.4 20.0 4.1 -3.3 2.4 -0.2 0.3 3.2 4.0 15.2 10.3 6.2 15.0 16.0 11.6 5.6 9.0 6.7 20.0 20.0 10.1 12.9 18.5 -15.3 -8.5 6.0 0.9 5.6 2.8 3.1 4.6 15.6 18.8 2.8 0.3 16.4 FEEDCOW 7.1 3.0 6.0 0.7 0.6 -2.4 3.8 -1.3 3.9 6.3 1.9 11.2 0.5 8.2 9.7 -20.0 -20.0 -20.0 -20.0 5.4 3.0 8.5 0.4 7.6 -18.2 12.2 5.3 1.9 3.8 4.2 1.6 5.1 -20.0 11.6 7.3 12.2 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 0.8 15.8 12.4 16.4 -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 20.0 -12.6 -13.6 4.9 2.9 GASOIL -5.4 0.7 -17.4 -1.7 -1.2 -1.2 -4.1 2.9 -3.2 -8.8 -5.4 -10.5 8.8 -4.5 -3.9 20.0 20.0 20.0 20.0 -4.7 -1.0 -17.0 10.0 -10.7 -3.4 -15.4 -3.4 -4.2 -2.2 -6.4 2.6 -4.9 20.0 -19.3 -2.1 -10.4 -10.2 GASOILINE -0.0 15.1 -7.3 -1.6 2.1 -1.2 -2.3 3.0 -2.7 7.0 -5.4 -1.0 3.3 5.8 6.9 -9.2 9.7 -15.1 -3.5 5.7 3.1 1.0 6.7 3.2 -14.9 -13.1 3.7 2.5 3.6 0.0 5.4 1.5 -11.3 0.9 9.7 20.0 20.0 GAS_US -10.1 -20.0 -20.0 -1.6 2.1 -1.2 -2.3 3.0 -2.7 -1.9 -15.9 -11.7 -9.7 -15.9 -16.6 -2.1 -2.5 3.6 0.6 -20.0 -20.0 -12.1 -20.0 -20.0 -3.8 -9.3 -6.1 -0.1 -4.8 -2.2 -0.5 -4.5 -20.0 1.9 -14.3 -20.0 -20.0 GBP -11.2 4.0 14.6 3.7 -3.2 2.4 -2.5 -1.3 1.0 -11.0 10.4 -10.9 -3.0 -2.2 10.9 -2.5 -1.8 -2.3 -2.1 4.9 5.7 -13.9 -4.9 -6.2 14.3 9.4 0.9 -5.6 -0.3 -6.9 -5.8 -3.4 0.6 -15.1 -11.3 -15.4 -8.0 GOLD_micro -17.2 15.9 20.0 2.7 -5.9 2.9 -5.0 1.7 -0.7 -13.4 9.5 -12.8 -2.5 2.7 11.7 -12.0 -9.7 -11.8 -11.1 12.6 12.8 -15.4 3.8 -1.8 6.8 -13.8 3.4 -5.3 3.7 -5.2 1.4 -1.0 -14.3 2.7 -7.3 3.7 5.0 HEATOIL -4.8 0.4 -16.2 -1.6 2.1 -1.2 -2.3 3.0 -2.7 -4.1 -5.0 -9.4 8.1 -6.0 -1.7 20.0 20.0 20.0 20.0 -3.5 -0.5 -10.0 9.4 -7.5 -16.4 -13.6 -0.5 -1.5 1.3 -4.3 7.6 -2.8 20.0 -13.3 -0.4 2.5 2.7 JPY -13.8 13.3 20.0 3.7 -3.2 2.4 -2.5 -1.3 1.0 -7.5 8.8 -8.8 -7.1 3.8 11.8 -12.5 -11.1 -12.2 -12.2 10.0 8.1 -7.9 -6.6 -0.2 3.8 9.9 3.8 -2.7 2.7 -3.0 -4.3 -0.1 -16.0 6.5 -10.7 3.6 5.3 LEANHOG -7.0 -19.5 -10.4 0.7 0.6 -2.4 3.8 -1.3 3.9 -9.5 -6.5 -11.7 -4.3 -14.2 -11.6 -20.0 -5.5 -20.0 -20.0 -15.8 -10.1 -12.3 -2.5 -15.9 -3.7 -11.1 -5.4 -3.2 -3.9 -4.3 -1.3 -5.3 -20.0 -20.0 -20.0 -20.0 -9.1 LIVECOW 8.7 5.2 9.9 0.7 0.6 -2.4 3.8 -1.3 3.9 8.3 13.4 12.3 4.3 12.5 13.4 -20.0 -20.0 -20.0 -20.0 11.4 9.6 11.4 5.3 12.5 -20.0 12.0 6.0 2.5 5.2 4.6 3.7 5.8 -20.0 20.0 16.8 20.0 20.0 MXP -6.9 9.8 6.3 3.7 -3.2 2.4 -2.5 -1.3 1.0 11.4 15.4 7.9 15.4 13.1 14.4 20.0 20.0 20.0 20.0 16.3 18.1 7.8 16.9 10.8 -20.0 9.7 5.7 4.3 6.4 2.1 5.6 3.4 20.0 20.0 6.7 15.4 3.8 NASDAQ 20.0 19.9 3.6 4.1 -3.3 2.4 -0.2 0.3 3.2 0.8 -4.8 10.2 -11.5 12.8 10.3 -6.3 -4.2 -5.8 -5.2 14.6 0.9 12.9 -10.0 20.0 6.9 10.2 4.8 -1.3 1.6 3.2 -1.0 5.6 -2.4 20.0 20.0 2.9 -8.4 NIKKEI 20.0 4.1 -2.2 4.1 -3.3 2.4 -0.2 0.3 3.2 -1.1 -0.7 13.0 0.4 12.2 3.1 20.0 13.6 19.8 16.5 7.0 0.6 10.9 -0.4 14.2 10.2 -9.4 2.0 1.0 -0.8 3.6 -1.6 4.6 20.0 15.8 18.5 -20.0 -20.0 NZD -10.2 5.1 20.0 3.7 -3.2 2.4 -2.5 -1.3 1.0 -12.4 11.3 -11.8 -2.2 -1.6 12.4 0.2 0.5 0.1 0.1 7.6 8.8 -13.3 -1.0 -4.1 -0.4 10.8 3.1 -5.2 3.3 -5.6 -0.6 -1.7 4.4 -12.6 -9.3 -8.9 6.5 OAT -3.0 9.7 10.4 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -13.0 -8.6 -12.5 -12.2 0.6 -1.0 9.3 12.5 11.4 12.5 -3.1 -7.8 -8.8 -15.7 -4.4 4.3 12.7 0.3 -3.7 -3.1 -2.2 -9.6 -0.1 20.0 12.2 -0.8 -6.7 -1.7 OJ 16.1 0.8 6.6 0.7 0.6 -2.4 3.8 -1.3 3.9 9.6 15.4 13.4 15.2 14.3 14.7 20.0 15.4 20.0 19.2 20.0 20.0 20.0 20.0 20.0 -20.0 -14.1 5.4 5.8 4.6 8.5 4.5 7.4 15.6 20.0 20.0 20.0 20.0 PALLAD -9.2 -10.9 -16.3 2.7 -5.9 2.9 -5.0 1.7 -0.7 -9.6 -14.4 -12.3 -11.9 -13.4 -14.9 -3.6 -1.8 -2.7 -2.3 -18.3 -18.0 -16.0 -14.5 -16.5 12.6 -11.1 -5.5 -10.2 -5.0 -6.9 -3.7 -5.7 0.0 20.0 -20.0 -20.0 -20.0 PLAT -20.0 -4.4 11.4 2.7 -5.9 2.9 -5.0 1.7 -0.7 -14.0 8.3 -15.6 2.4 -12.9 1.2 -2.5 -0.9 -1.8 -1.2 -3.7 5.6 -20.0 4.6 -16.4 -1.4 11.2 -0.4 -9.3 2.9 -9.0 1.8 -5.7 1.7 5.8 -20.0 -15.7 -4.4 REDWHEAT 19.4 4.5 -13.0 0.7 0.6 -2.4 3.8 -1.3 3.9 8.7 -10.5 13.5 -8.8 10.7 -6.8 8.0 2.1 6.0 4.4 -1.4 -9.0 11.9 -5.8 8.0 -1.0 12.9 0.5 8.2 -1.7 6.5 1.5 4.6 -8.7 9.9 9.0 3.7 -7.6 ROBUSTA 20.0 20.0 -0.3 0.7 0.6 -2.4 3.8 -1.3 3.9 -10.2 -4.4 7.7 -4.7 11.3 6.7 9.0 9.5 11.4 10.8 13.5 2.2 10.1 -1.5 17.9 -4.4 9.6 3.3 -0.1 -0.1 3.5 -0.9 5.3 3.1 -1.1 20.0 13.1 -7.8 RUSSELL 17.2 17.8 7.6 4.1 -3.3 2.4 -0.2 0.3 3.2 -5.8 2.4 4.3 -8.7 11.0 11.2 -5.7 -3.4 -5.3 -4.6 14.1 6.1 4.1 -3.0 14.8 -3.0 10.0 4.9 -3.1 2.8 1.1 0.5 4.6 -1.2 15.1 7.6 3.2 -5.9 SILVER-mini -20.0 -2.6 20.0 2.7 -5.9 2.9 -5.0 1.7 -0.7 -12.9 10.3 -14.1 -0.3 -9.8 9.0 -5.8 -4.1 -5.2 -4.8 1.4 8.6 -20.0 3.3 -12.7 7.4 -11.3 0.7 -6.9 3.0 -8.0 0.3 -4.7 -4.1 2.2 -20.0 -17.3 1.5 SOYBEAN -8.0 -8.1 -0.8 0.7 0.6 -2.4 3.8 -1.3 3.9 12.3 3.3 2.9 4.2 -4.1 -3.6 20.0 20.0 20.0 20.0 -3.6 -0.6 4.6 5.4 -1.9 -16.8 -11.7 0.1 6.7 2.6 4.0 7.7 0.7 20.0 12.9 -17.1 -5.0 8.5 SOYMEAL -0.0 13.2 19.0 0.7 0.6 -2.4 3.8 -1.3 3.9 7.4 13.6 10.7 13.1 12.3 14.6 20.0 17.6 20.0 19.6 20.0 20.0 12.4 16.7 15.8 -20.0 -12.0 6.1 2.8 6.9 3.1 6.5 4.2 17.6 17.8 4.7 17.7 20.0 SOYOIL -7.6 -11.4 -16.0 0.7 0.6 -2.4 3.8 -1.3 3.9 -4.6 -2.6 -9.5 3.2 -10.4 -11.8 0.3 16.6 6.0 11.6 -11.0 -6.4 -7.8 3.1 -10.8 -10.3 12.9 -4.7 -1.0 -2.1 -3.3 2.7 -4.6 10.8 -12.2 -20.0 -18.1 -3.7 SP400 16.6 17.9 13.9 4.1 -3.3 2.4 -0.2 0.3 3.2 -4.8 9.6 5.9 -1.6 11.6 13.1 -5.6 -3.0 -4.6 -3.7 18.1 11.8 5.6 3.4 17.0 -7.3 10.2 5.3 -2.9 3.7 1.3 1.8 4.7 -0.0 16.1 8.9 3.0 -0.1 SP500 18.3 13.5 6.9 4.1 -3.3 2.4 -0.2 0.3 3.2 -0.8 1.4 9.6 -6.8 12.3 11.8 -7.1 -4.4 -6.3 -5.5 12.7 4.4 7.0 -3.9 14.5 2.8 10.2 4.9 -2.2 2.3 2.1 -0.7 4.9 -2.8 13.5 6.6 -5.2 -5.8 SUGAR11 15.6 0.5 14.3 0.7 0.6 -2.4 3.8 -1.3 3.9 0.1 10.4 8.2 7.3 9.9 11.5 20.0 20.0 20.0 20.0 15.9 13.2 11.8 9.0 16.1 -20.0 10.7 6.0 1.5 5.8 3.1 4.2 4.9 20.0 9.7 20.0 20.0 20.0 US10 -9.3 12.3 16.3 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -13.7 -5.0 -13.0 -10.9 -2.2 7.4 -8.5 -2.5 -8.1 -6.5 0.3 -4.1 -17.7 -15.8 -7.1 -0.0 9.7 0.8 -10.7 -1.0 -8.2 -6.8 -3.0 -8.5 -11.3 -9.5 -5.0 1.3 US10U -7.3 11.5 15.9 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -13.6 -4.7 -12.4 -11.0 0.5 8.6 0.4 3.6 0.6 1.2 0.9 -4.1 -15.6 -15.9 -5.6 -2.9 -14.1 1.9 -9.9 0.0 -6.9 -5.4 -1.8 3.3 -8.2 -6.3 -1.3 3.5 US20 -5.8 11.5 16.4 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -13.7 -2.9 -11.9 -9.9 2.5 10.3 -10.6 -1.3 -7.3 -4.3 2.5 -3.2 -14.9 -15.7 -4.2 -1.1 -12.3 1.5 -10.7 -0.6 -7.1 -5.9 -1.9 -5.2 -7.2 -3.2 -6.3 0.2 US30 -2.7 11.7 20.0 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -13.6 -2.0 -10.7 -11.3 4.6 9.2 -2.1 -0.4 -1.7 -1.3 3.6 -3.3 -12.0 -17.5 -1.6 -3.6 10.0 2.8 -9.8 0.5 -5.4 -5.2 -0.3 -2.2 -3.5 -0.5 -2.0 2.9 US5 -11.3 12.2 16.1 1.7 -6.0 -0.9 -3.8 -5.5 0.0 -13.8 -5.2 -13.4 -11.3 -5.6 6.4 -10.5 -2.2 -8.8 -6.8 -0.7 -5.0 -19.6 -17.2 -8.8 2.0 10.8 0.1 -10.7 -1.6 -8.9 -7.8 -3.9 -8.6 -14.5 -14.5 -6.2 0.5 VIX -1.2 -20.0 -20.0 -4.8 3.8 -4.5 0.9 -3.3 -2.8 13.7 -15.4 1.1 -13.9 -11.2 -14.9 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 3.9 -19.4 -13.7 NaN -13.5 -5.9 4.5 -6.3 1.3 -4.7 -2.8 NaN NaN NaN NaN NaN WHEAT 17.7 4.2 -18.0 0.7 0.6 -2.4 3.8 -1.3 3.9 12.2 -13.1 13.7 -12.6 4.3 -10.4 -10.1 -6.1 -8.7 -7.4 -5.9 -14.8 14.2 -11.7 5.8 4.1 11.9 -0.8 13.6 -3.4 8.6 -0.6 4.2 -20.0 20.0 5.0 3.1 -11.0 End of report for caleb_strategy_v1