******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230214_204307 produced at 2023-02-14 21:35:49.638023 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 US10U False False 0.04 -0.33 -0.27 0.0 41252333.51 -41252333.51 -0.33 -0.37 -6.44 999999999 -8 -9 caleb_strategy_v1 VIX False False 0.01 -0.23 -0.25 0.0 7754962.67 -7754962.67 -0.23 -0.23 -32.63 999999999 -30 -30 caleb_strategy_v1 US20 False False 0.04 0.00 -0.16 0.0 44097695.09 -44097695.09 0.00 0.00 -3.73 999999999 0 0 caleb_strategy_v1 CHF False False 0.05 -0.28 -0.14 0.0 47170252.85 -47170252.85 -0.28 -0.28 -3.00 999999999 -6 -6 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.10 0.0 14454004.08 -14454004.08 -0.09 -0.09 -7.19 999999999 -6 -6 caleb_strategy_v1 EUR False False 0.05 -0.05 -0.09 0.0 46467026.60 -46467026.60 -0.05 -0.05 -1.85 999999999 -1 -1 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.07 0.0 22870215.80 -22870215.80 -0.11 -0.11 -2.85 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.07 0.0 33854393.40 -33854393.40 -0.17 -0.17 -2.15 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.07 0.0 52840751.48 -52840751.48 0.00 0.00 -1.24 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 6447005.13 -6447005.13 -0.02 -0.02 -5.81 999999999 -3 -3 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.04 0.0 39294395.85 -39294395.85 -0.04 -0.04 -0.94 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.04 0.0 9219404.28 -9219404.28 -0.02 -0.02 -4.26 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.07 -0.03 0.0 37344018.41 -37344018.41 -0.07 -0.11 -0.70 999999999 -2 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.02 0.0 39045284.98 -39045284.98 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.13 -0.02 0.0 32807127.23 -32807127.23 -0.13 -0.16 -0.63 999999999 -4 -5 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 19127753.91 -19127753.91 0.00 0.00 -0.48 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8769339.48 -8769339.48 -0.01 -0.01 -0.82 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 53713502.60 -53713502.60 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14833097.12 -14833097.12 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 11723322.47 -11723322.47 0.00 0.00 -0.54 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15310858.22 -15310858.22 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 14190023.77 -14190023.77 -0.03 -0.04 -0.21 999999999 -2 -3 caleb_strategy_v1 BITCOIN False False 0.00 -0.00 -0.00 0.0 748319.28 -748319.28 -0.00 -0.00 -1.12 999999999 -2 -2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12506954.53 -12506954.53 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4256302.66 -4256302.66 0.00 0.00 2.09 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 7069479.36 -7069479.36 0.01 0.01 1.96 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16626432.24 -16626432.24 0.00 0.00 0.45 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23031200.52 -23031200.52 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.02 0.0 48111494.13 -48111494.13 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 24125204.18 -24125204.18 0.00 0.00 0.81 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7661903.12 -7661903.12 0.00 0.00 3.14 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5919217.60 -5919217.60 0.00 0.00 4.02 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 40879316.34 -40879316.34 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 28933973.44 -28933973.44 0.00 0.00 0.61 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15829160.63 -15829160.63 0.00 0.00 1.87 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26270368.80 -26270368.80 0.16 0.16 1.26 999999999 6 6 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.03 0.0 23978933.12 -23978933.12 0.02 0.02 1.27 999999999 1 1 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 22013361.67 -22013361.67 0.00 0.00 1.17 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 10321197.53 -10321197.53 0.06 0.06 2.48 999999999 6 6 caleb_strategy_v1 COPPER False False 0.04 0.00 0.03 0.0 35156984.78 -35156984.78 0.00 0.00 0.88 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.03 0.0 71607905.86 -71607905.86 0.00 0.00 0.40 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9259217.71 -9259217.71 0.03 0.03 4.04 999999999 3 3 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3364061.26 -3364061.26 0.00 0.00 11.47 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.05 0.0 26933753.92 -26933753.92 0.00 0.03 1.71 999999999 0 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 25953159.67 -25953159.67 0.00 0.00 2.05 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.09 0.17 0.05 0.0 86663438.85 -86663438.85 0.17 0.17 0.56 999999999 2 2 caleb_strategy_v1 SP400 False False 0.09 0.46 0.05 0.0 92474467.80 -92474467.80 0.46 0.55 0.59 999999999 5 6 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 42911719.82 -42911719.82 0.04 0.04 1.13 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 48692804.57 -48692804.57 0.10 0.10 1.27 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5744627.46 -5744627.46 0.00 0.00 9.66 999999999 0 0 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 16423903.08 -16423903.08 0.08 0.08 3.99 999999999 5 5 caleb_strategy_v1 CRUDE_W False False 0.03 0.08 0.07 0.0 26733848.99 -26733848.99 0.08 0.11 2.53 999999999 3 4 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.37 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.09 0.19 0.0 43443698.66 -43443698.66 0.09 0.09 4.47 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.25 0.0 50601232.17 -50601232.17 0.10 0.10 4.86 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.41 0.0 0.00 0.00 0.00 0.00 56.68 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 19.0 Shocked risk 59.2 Sum abs risk 51.9 Leverage 3.39 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2888472.96, 'annual_cash_vol_target': 722118.24, 'daily_cash_vol_target': 45132.39} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0055 0.6968 0.7922 12.6759 BITCOIN 701.0537 21615.0000 3.2434 51.8939 BOBL 0.3853 116.7800 0.3300 5.2797 BTP 1.0539 115.3500 0.9136 14.6181 BUND 0.8572 136.0200 0.6302 10.0838 BUXL 2.0060 142.0400 1.4122 22.5960 CAC 59.5840 7240.0000 0.8230 13.1677 CAD 0.0035 0.7496 0.4666 7.4660 CANOLA 7.2061 819.6000 0.8792 14.0676 CHF 0.0060 1.0900 0.5534 8.8538 COCOA 31.4154 2663.0000 1.1797 18.8752 COFFEE 0.0358 1.7740 2.0186 32.2982 COPPER 0.0466 4.0620 1.1466 18.3457 CORN 4.4706 596.2500 0.7498 11.9966 COTTON2 0.0144 0.8569 1.6804 26.8868 CRUDE_W 1.3004 77.2200 1.6841 26.9452 DAX 131.6597 15442.0000 0.8526 13.6417 DOW 248.5244 34195.0000 0.7268 11.6286 EUR 0.0057 1.0738 0.5337 8.5392 EUROSTX 38.8759 4255.0000 0.9137 14.6184 FEEDCOW 1.1132 195.5750 0.5692 9.1072 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 18.4187 835.7500 2.2039 35.2616 GASOILINE 0.0518 2.7024 1.9157 30.6517 GAS_US 0.1562 2.5330 6.1661 98.6581 GBP 0.0079 1.2141 0.6535 10.4554 GOLD_micro 16.6268 1862.2000 0.8929 14.2857 HEATOIL 0.0600 2.8114 2.1330 34.1286 JPY 0.0001 0.0076 0.8366 13.3849 LEANHOG 1.4673 104.3750 1.4058 22.4933 LIVECOW 0.8947 165.1500 0.5418 8.6684 MXP 0.0004 0.0535 0.7158 11.4532 NASDAQ 153.3197 12516.2500 1.2250 19.5994 NIKKEI 222.1015 27685.0000 0.8022 12.8359 NZD 0.0048 0.6358 0.7537 12.0590 OAT 0.9064 130.8900 0.6925 11.0800 OJ 0.0419 2.2575 1.8579 29.7264 PALLAD 37.5605 1551.5000 2.4209 38.7347 PLAT 17.0321 960.5000 1.7733 28.3721 REDWHEAT 12.1873 884.5000 1.3779 22.0459 ROBUSTA 27.9328 2042.0000 1.3679 21.8866 RUSSELL 22.2588 1943.4000 1.1454 18.3257 SILVER-mini 0.3839 22.1000 1.7373 27.7963 SOYBEAN 9.5576 1385.2500 0.6900 11.0392 SOYMEAL 5.4309 474.4000 1.1448 18.3168 SOYOIL 0.8778 60.2100 1.4578 23.3254 SP400 26.3918 2671.1000 0.9880 15.8088 SP500 35.7841 4136.7500 0.8650 13.8405 SUGAR11 0.0028 0.1976 1.3996 22.3940 US10 0.5081 112.7812 0.4506 7.2089 US10U 0.6843 119.1562 0.5743 9.1886 US20 0.9492 127.3750 0.7452 11.9230 US30 1.4849 138.9688 1.0685 17.0960 US5 0.3397 107.8672 0.3149 5.0390 VIX 0.5213 22.4000 2.3273 37.2364 WHEAT 9.9403 819.7500 1.2126 19.4016 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 696.85 0.79 552.07 1.00 552.07 45132.39 81.75 6.19 50.57 BITCOIN 21.62 3.24 70.11 1.00 70.11 45132.39 643.78 -0.74 -47.60 BOBL 1167.80 0.33 385.35 1.07 413.41 45132.39 109.17 5.68 61.98 BTP 1153.50 0.91 1053.87 1.07 1130.61 45132.39 39.92 13.98 55.83 BUND 1360.20 0.63 857.25 1.07 919.67 45132.39 49.07 13.73 67.37 BUXL 1420.40 1.41 2005.96 1.07 2152.02 45132.39 20.97 -7.05 -14.78 CAC 724.00 0.82 595.84 1.07 639.23 45132.39 70.60 8.61 60.76 CAD 749.65 0.47 349.80 1.00 349.80 45132.39 129.02 8.90 114.81 CANOLA 163.92 0.88 144.12 0.75 107.16 45132.39 421.15 5.42 228.08 CHF 1362.50 0.55 753.96 1.00 753.96 45132.39 59.86 -13.40 -80.24 COCOA 266.30 1.18 314.15 1.00 314.15 45132.39 143.66 -13.63 -195.74 COFFEE 665.25 2.02 1342.90 1.00 1342.90 45132.39 33.61 6.36 21.37 COPPER 1015.50 1.15 1164.38 1.00 1164.38 45132.39 38.76 8.35 32.38 CORN 298.12 0.75 223.53 1.00 223.53 45132.39 201.91 13.62 275.09 COTTON2 428.45 1.68 719.98 1.00 719.98 45132.39 62.69 -3.86 -24.20 CRUDE_W 772.20 1.68 1300.44 1.00 1300.44 45132.39 34.71 5.51 19.13 DAX 154.42 0.85 131.66 1.07 141.25 45132.39 319.53 5.57 177.83 DOW 170.98 0.73 124.26 1.00 124.26 45132.39 363.20 3.88 140.97 EUR 1342.19 0.53 716.33 1.00 716.33 45132.39 63.01 -7.83 -49.31 EUROSTX 425.50 0.91 388.76 1.07 417.07 45132.39 108.21 6.16 66.67 FEEDCOW 977.88 0.57 556.60 1.00 556.60 45132.39 81.09 -9.85 -79.91 FTSE100 707.00 0.82 576.59 1.21 666.67 45132.39 67.70 7.70 52.11 GASOIL 835.75 2.20 1841.87 1.00 1841.87 45132.39 24.50 3.47 8.50 GASOILINE 1135.01 1.92 2174.37 1.00 2174.37 45132.39 20.76 -11.06 -22.95 GAS_US 253.30 6.17 1561.88 1.00 1561.88 45132.39 28.90 -18.84 -54.44 GBP 758.81 0.65 495.85 1.00 495.85 45132.39 91.02 7.73 70.38 GOLD_micro 186.22 0.89 166.27 1.00 166.27 45132.39 271.44 -9.57 -259.66 HEATOIL 1180.79 2.13 2518.66 1.00 2518.66 45132.39 17.92 3.61 6.46 JPY 947.62 0.84 792.74 1.00 792.74 45132.39 56.93 -1.71 -9.76 LEANHOG 417.50 1.41 586.93 1.00 586.93 45132.39 76.90 -20.00 -153.79 LIVECOW 660.60 0.54 357.89 1.00 357.89 45132.39 126.11 -8.42 -106.14 MXP 267.45 0.72 191.45 1.00 191.45 45132.39 235.74 14.00 329.99 NASDAQ 2503.25 1.22 3066.39 1.00 3066.39 45132.39 14.72 7.05 10.37 NIKKEI 27685.00 0.80 22210.15 0.01 168.80 45132.39 267.37 11.16 298.43 NZD 635.85 0.75 479.23 1.00 479.23 45132.39 94.18 7.80 73.43 OAT 1308.90 0.69 906.41 1.07 972.41 45132.39 46.41 13.51 62.72 OJ 338.62 1.86 629.13 1.00 629.13 45132.39 71.74 -4.29 -30.81 PALLAD 1551.50 2.42 3756.05 1.00 3756.05 45132.39 12.02 -8.35 -10.03 PLAT 480.25 1.77 851.61 1.00 851.61 45132.39 53.00 3.55 18.84 REDWHEAT 442.25 1.38 609.36 1.00 609.36 45132.39 74.06 4.46 33.06 ROBUSTA 204.20 1.37 279.33 1.00 279.33 45132.39 161.57 9.37 151.40 RUSSELL 97.17 1.15 111.29 1.00 111.29 45132.39 405.52 5.46 221.47 SILVER-mini 552.50 1.74 959.84 1.00 959.84 45132.39 47.02 -4.55 -21.37 SOYBEAN 692.62 0.69 477.88 1.00 477.88 45132.39 94.44 2.28 21.55 SOYMEAL 474.40 1.14 543.09 1.00 543.09 45132.39 83.10 8.15 67.70 SOYOIL 361.26 1.46 526.66 1.00 526.66 45132.39 85.70 3.85 33.02 SP400 2671.10 0.99 2639.18 1.00 2639.18 45132.39 17.10 6.69 11.44 SP500 2068.38 0.87 1789.20 1.00 1789.20 45132.39 25.22 5.50 13.87 SUGAR11 221.31 1.40 309.75 1.00 309.75 45132.39 145.70 15.91 231.76 US10 1127.81 0.45 508.15 1.00 508.15 45132.39 88.82 -1.22 -10.85 US10U 1191.56 0.57 684.30 1.00 684.30 45132.39 65.95 -6.70 -44.19 US20 1273.75 0.75 949.18 1.00 949.18 45132.39 47.55 -10.65 -50.65 US30 1389.69 1.07 1484.88 1.00 1484.88 45132.39 30.39 1.42 4.31 US5 1078.67 0.31 339.71 1.00 339.71 45132.39 132.85 -1.38 -18.37 VIX 224.00 2.33 521.31 1.00 521.31 45132.39 86.57 -20.00 -173.15 WHEAT 409.88 1.21 497.01 1.00 497.01 45132.39 90.81 -4.27 -38.79 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 50.570 0.006 2.5 0.808 BITCOIN -47.599 0.009 2.5 -1.121 BOBL 61.977 0.029 2.5 4.472 BTP 55.825 0.008 2.5 1.127 BUND 67.372 0.029 2.5 4.861 BUXL -14.779 0.034 2.5 -1.241 CAC 60.757 0.011 2.5 1.708 CAD 114.809 0.007 2.5 2.050 CANOLA 228.076 0.004 2.5 2.094 CHF -80.238 0.015 2.5 -3.003 COCOA -195.743 0.009 2.5 -4.264 COFFEE 21.373 0.005 2.5 0.277 COPPER 32.379 0.011 2.5 0.885 CORN 275.094 0.004 2.5 2.481 COTTON2 -24.199 0.006 2.5 -0.364 CRUDE_W 19.126 0.053 2.5 2.527 DAX 177.835 0.022 2.5 9.658 DOW 140.969 0.011 2.5 4.017 EUR -49.313 0.015 2.5 -1.846 EUROSTX 66.670 0.011 2.5 1.874 FEEDCOW -79.906 0.011 2.5 -2.147 FTSE100 52.112 0.041 2.5 5.372 GASOIL 8.498 0.029 2.5 0.606 GASOILINE -22.955 0.016 2.5 -0.943 GAS_US -54.443 0.006 2.5 -0.820 GBP 70.384 0.007 2.5 1.257 GOLD_micro -259.661 0.009 2.5 -5.810 HEATOIL 6.461 0.029 2.5 0.461 JPY -9.759 0.026 2.5 -0.632 LEANHOG -153.791 0.019 2.5 -7.185 LIVECOW -106.136 0.011 2.5 -2.852 MXP 329.986 0.005 2.5 4.040 NASDAQ 10.375 0.022 2.5 0.563 NIKKEI 298.434 0.076 2.5 56.682 NZD 73.434 0.006 2.5 1.173 OAT 62.724 0.008 2.5 1.267 OJ -30.810 0.007 2.5 -0.537 PALLAD -10.032 0.010 2.5 -0.241 PLAT 18.840 0.010 2.5 0.453 REDWHEAT 33.061 0.002 2.5 0.176 ROBUSTA 151.398 0.005 2.5 1.963 RUSSELL 221.475 0.021 2.5 11.472 SILVER-mini -21.374 0.009 2.5 -0.478 SOYBEAN 21.552 0.024 2.5 1.271 SOYMEAL 67.700 0.024 2.5 3.992 SOYOIL 33.024 0.004 2.5 0.303 SP400 11.443 0.021 2.5 0.593 SP500 13.868 0.011 2.5 0.395 SUGAR11 231.758 0.005 2.5 3.145 US10 -10.848 0.015 2.5 -0.416 US10U -44.193 0.058 2.5 -6.439 US20 -50.649 0.029 2.5 -3.733 US30 4.313 0.034 2.5 0.362 US5 -18.373 0.015 2.5 -0.705 VIX -173.150 0.075 2.5 -32.630 WHEAT -38.793 0.002 2.5 -0.207 ==================== Position diags ==================== AUD 1.31 BITCOIN 15.17 BOBL 7.88 BTP 0.81 BUND 3.54 BUXL 1.76 CAC 1.98 CAD 2.30 CANOLA 3.87 CHF 2.24 COCOA 3.13 COFFEE 0.44 COPPER 1.06 CORN 1.82 COTTON2 0.94 CRUDE_W 4.58 DAX 17.35 DOW 10.35 EUR 2.36 EUROSTX 3.04 FEEDCOW 2.18 FTSE100 6.98 GASOIL 1.75 GASOILINE 0.85 GAS_US 0.44 GBP 1.63 GOLD_micro 6.07 HEATOIL 1.28 JPY 3.69 LEANHOG 3.59 LIVECOW 3.39 MXP 2.89 NASDAQ 0.80 NIKKEI 50.78 NZD 1.50 OAT 0.94 OJ 1.25 PALLAD 0.29 PLAT 1.28 REDWHEAT 0.40 ROBUSTA 2.09 RUSSELL 21.00 SILVER-mini 1.05 SOYBEAN 5.57 SOYMEAL 4.90 SOYOIL 0.79 SP400 0.89 SP500 0.72 SUGAR11 1.98 US10 3.41 US10U 9.61 US20 3.50 US30 2.55 US5 5.10 VIX 16.32 WHEAT 0.48 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.7 0.9 0.0 0 BITCOIN -1.1 -2.6 0.4 -2.0 -2 BOBL 4.5 3.7 5.3 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.9 4.5 5.2 2.0 2 BUXL -1.2 -1.4 -1.1 0.0 0 CAC 1.7 1.5 1.9 0.0 0 CAD 2.0 1.8 2.3 0.0 0 CANOLA 2.1 1.7 2.5 NaN 0 CHF -3.0 -3.2 -2.8 -6.0 -6 COCOA -4.3 -4.6 -4.0 -2.0 -2 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.9 0.8 1.0 0.0 0 CORN 2.5 2.3 2.7 6.0 6 COTTON2 -0.4 -0.5 -0.3 NaN 0 CRUDE_W 2.5 2.1 3.0 3.0 3 DAX 9.7 7.9 11.4 0.0 0 DOW 4.0 3.0 5.1 0.0 0 EUR -1.8 -2.1 -1.6 -1.0 -1 EUROSTX 1.9 1.6 2.2 0.0 0 FEEDCOW -2.1 -2.4 -1.9 -5.0 -5 FTSE100 5.4 4.7 6.1 0.0 0 GASOIL 0.6 0.4 0.8 0.0 0 GASOILINE -0.9 -1.0 -0.9 -1.0 -1 GAS_US -0.8 -0.9 -0.8 -1.0 -1 GBP 1.3 1.1 1.4 6.0 6 GOLD_micro -5.8 -6.4 -5.2 -3.0 -3 HEATOIL 0.5 0.3 0.6 0.0 0 JPY -0.6 -1.0 -0.3 -4.0 -4 LEANHOG -7.2 -7.5 -6.8 -6.0 -6 LIVECOW -2.9 -3.2 -2.5 -5.0 -5 MXP 4.0 3.8 4.3 3.0 3 NASDAQ 0.6 0.5 0.6 2.0 2 NIKKEI 56.7 51.6 61.8 0.0 0 NZD 1.2 1.0 1.3 0.0 0 OAT 1.3 1.2 1.4 2.0 2 OJ -0.5 -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 2.0 1.8 2.2 2.0 2 RUSSELL 11.5 9.4 13.6 0.0 0 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.3 0.7 1.8 1.0 1 SOYMEAL 4.0 3.5 4.5 5.0 5 SOYOIL 0.3 0.2 0.4 0.0 0 SP400 0.6 0.5 0.7 5.0 5 SP500 0.4 0.3 0.5 0.0 0 SUGAR11 3.1 2.9 3.3 0.0 0 US10 -0.4 -0.8 -0.1 NaN 0 US10U -6.4 -7.4 -5.5 -8.0 -8 US20 -3.7 -4.1 -3.4 0.0 0 US30 0.4 0.1 0.6 0.0 0 US5 -0.7 -1.2 -0.2 -2.0 -2 VIX -32.6 -34.3 -31.0 -30.0 -30 WHEAT -0.2 -0.3 -0.2 -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 -0.1 0.2 0.3 0.1 -0.0 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 0.0 -0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.1 -0.1 0.0 -0.0 BITCOIN 0.1 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 3.2 -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 0.0 -0.1 -0.2 -0.0 -0.2 -0.0 1.6 2.4 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 1.2 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 0.8 0.7 0.3 0.3 -0.1 -0.1 -0.0 -0.3 -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 0.1 0.2 CAD 0.0 0.2 0.0 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 -0.1 -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 -0.2 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 -0.2 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 0.1 0.0 0.3 -1.0 -0.5 -0.3 -0.3 0.1 0.1 -0.0 0.0 0.0 -0.9 -2.4 0.1 -0.0 0.1 -0.0 -0.0 0.0 -2.4 0.2 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 -0.0 -0.2 0.2 0.3 COFFEE 0.2 0.2 -0.2 0.0 0.0 -0.1 0.1 -0.0 0.0 -0.0 -0.2 0.0 -0.2 0.0 0.0 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 0.1 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 0.4 2.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.3 0.2 -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 -0.0 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 0.1 0.3 CRUDE_W -0.1 0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.0 0.0 0.0 0.7 0.5 0.2 0.2 0.0 -0.0 0.0 0.0 0.0 -1.6 2.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.1 0.1 0.2 DAX 0.0 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 -1.7 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 -0.1 -0.2 -0.0 EUR -0.2 0.1 0.4 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.3 -0.0 -0.1 0.0 0.3 -0.5 -0.4 -0.2 -0.2 0.1 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 -0.2 0.0 0.1 EUROSTX 0.0 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 0.9 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 2.1 0.0 0.1 0.0 0.2 FEEDCOW 0.1 0.0 0.1 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.0 0.0 0.0 0.0 -3.0 2.7 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.2 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 0.7 0.3 0.4 -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 2.6 -0.2 -0.3 0.1 0.0 GASOIL -0.1 -0.0 -0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.1 -0.0 0.2 -0.0 -0.1 1.7 0.9 0.4 0.4 -0.1 -0.0 -0.0 0.1 -0.0 -0.3 -3.0 -0.0 0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.2 -0.1 -0.2 -0.2 GASOILINE -0.0 0.2 -0.1 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.1 0.0 0.1 0.0 0.2 -0.7 0.4 -0.3 -0.1 0.1 0.0 0.0 0.1 0.0 -1.9 -2.6 0.0 0.0 0.0 0.0 0.1 0.0 -1.6 -0.0 0.1 0.3 0.3 GAS_US -0.1 -0.3 -0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.4 -0.0 -0.2 -0.1 -0.4 -0.3 -0.1 0.1 0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -0.5 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.3 -0.3 -0.3 GBP -0.2 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 2.1 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 -0.2 0.2 0.4 0.0 -0.0 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 0.1 0.2 -0.0 0.0 -0.0 0.9 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.8 0.0 -0.2 0.0 0.1 HEATOIL -0.1 -0.0 -0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 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0.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.0 0.1 0.1 1.2 0.5 0.4 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 0.4 -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 -0.1 -0.1 0.1 OAT -0.1 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 0.7 0.5 0.2 0.3 -0.0 -0.1 -0.0 -0.2 -0.0 0.5 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 -0.1 0.0 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 2.4 -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 -0.1 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 -0.1 0.7 0.1 0.1 0.1 -0.0 -0.1 0.0 -0.1 0.0 -0.2 2.6 0.0 0.0 -0.0 0.0 0.0 0.0 -1.1 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 0.2 0.7 0.4 0.2 0.2 0.1 0.0 0.0 -0.0 0.0 -0.8 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 -0.1 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 -0.0 -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 0.1 0.3 1.6 0.7 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -2.8 -2.5 0.1 0.0 0.1 0.0 0.1 0.0 2.4 0.1 0.1 0.3 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 1.4 -0.1 -0.4 -0.3 -0.1 SP400 0.2 0.3 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 -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 -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 -0.3 0.2 0.2 -0.1 -0.1 SUGAR11 0.1 -0.0 0.2 0.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 0.2 0.0 0.2 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.2 0.0 0.1 0.0 -3.3 2.3 0.1 -0.0 0.1 0.0 0.1 0.0 2.7 0.0 0.4 0.3 0.3 US10 -0.1 0.2 0.3 0.0 -0.0 -0.0 -0.1 -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 -0.1 -0.0 -0.2 -0.0 0.0 2.3 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.2 -0.0 -0.0 -0.0 0.0 US10U -0.1 0.2 0.3 0.0 -0.0 -0.0 -0.1 -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 -0.1 -0.0 -0.2 -0.0 -0.4 -2.9 0.0 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============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -4.6 14.7 16.4 3.6 -0.8 2.5 -1.6 -1.3 1.0 -6.5 7.4 -7.6 -3.1 5.5 12.1 -3.5 -2.5 -3.3 -3.0 9.6 6.9 -5.7 -2.0 1.8 3.9 11.7 3.7 -1.3 2.5 -2.7 -1.2 0.4 -0.6 -6.8 -3.6 2.4 -2.9 BITCOIN 13.2 20.0 2.3 2.4 -5.6 2.8 -5.3 1.7 -1.3 -13.9 2.4 0.4 -14.3 10.9 11.3 -2.6 -0.8 -0.8 -0.3 15.6 2.1 -4.2 -16.6 11.7 14.5 -18.1 4.1 -4.2 1.3 -1.4 -1.6 2.9 2.7 20.0 20.0 20.0 -15.2 BOBL -0.8 11.7 1.9 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -13.8 -12.2 -13.5 -13.5 -1.7 -3.9 -12.1 7.1 -4.8 2.3 -7.3 -14.3 -10.9 -20.0 -6.7 11.0 10.8 -1.7 -5.8 -6.3 -3.9 -13.3 -1.5 8.8 12.1 -2.5 -7.5 -12.8 BTP -2.3 11.9 17.0 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -5.0 -0.0 -4.9 -9.9 6.5 7.5 7.2 13.3 10.5 13.0 4.5 -0.3 0.3 -10.5 3.3 -5.0 11.4 3.6 0.7 0.5 1.8 -5.9 3.2 20.0 20.0 11.5 7.4 10.1 BUND -3.1 13.5 7.4 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -13.2 -10.8 -13.4 -12.9 -0.4 -2.0 10.2 15.1 11.9 13.5 -5.5 -11.6 -9.9 -20.0 -6.1 6.5 12.3 -0.4 -3.7 -4.1 -2.9 -10.3 -0.8 20.0 12.3 -1.9 -5.3 -6.5 BUXL -5.9 2.6 7.8 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -12.3 -9.2 -14.0 -12.3 -4.2 -5.1 1.9 -0.0 3.1 2.7 -8.3 -12.2 -10.3 -19.8 -9.1 2.2 -10.8 -1.6 -2.8 -3.5 -3.3 -7.5 -2.4 1.3 4.9 -6.3 -16.4 -5.1 CAC 4.8 20.0 20.0 4.1 -1.0 2.5 0.2 0.4 3.1 7.3 15.2 9.6 7.6 14.4 15.6 -4.5 1.6 -3.0 -1.2 20.0 20.0 11.8 14.5 18.9 -13.4 8.9 5.9 3.2 5.3 3.4 3.2 4.8 6.1 17.2 6.3 4.4 12.4 CAD 2.9 13.5 2.5 3.6 -0.8 2.5 -1.6 -1.3 1.0 3.9 -4.9 2.8 -8.7 9.7 6.9 -1.8 -1.2 -1.8 -1.6 3.6 -2.9 2.0 -9.5 3.4 15.2 10.4 2.8 4.4 -1.2 1.3 -5.8 2.2 1.6 14.2 -0.0 1.5 -16.8 CANOLA -4.9 -8.8 -9.4 0.9 1.2 -2.3 3.6 -1.3 3.9 -10.7 -6.8 3.2 -8.0 -4.5 -6.3 3.4 10.1 4.1 5.8 -8.9 -10.4 -2.8 -4.1 -5.9 2.7 11.5 -3.8 -2.5 -3.5 -1.1 -0.4 -2.3 -0.9 -2.4 -17.7 -18.7 -11.5 CHF -8.3 1.5 17.4 3.6 -0.8 2.5 -1.6 -1.3 1.0 -5.0 12.7 -5.9 2.2 0.0 13.1 -14.1 -12.9 -14.0 -13.7 7.9 9.3 -2.2 2.5 1.2 -6.8 -11.5 4.5 -0.2 4.3 -1.0 -0.4 1.1 -18.8 15.4 1.7 -5.1 -1.1 COCOA -6.0 3.7 17.2 0.9 1.2 -2.3 3.6 -1.3 3.9 4.9 9.8 -3.5 -2.5 1.8 9.7 -2.5 -3.1 -2.3 -2.1 6.9 8.5 1.0 2.5 1.4 -17.1 -10.4 4.9 5.1 5.4 1.1 2.2 1.7 -18.5 -4.1 -10.8 11.0 20.0 COFFEE 20.0 13.5 -12.0 0.9 1.2 -2.3 3.6 -1.3 3.9 -1.3 -9.6 10.1 -9.8 10.6 0.3 0.5 3.0 1.0 2.6 1.9 -11.5 11.3 -12.9 12.6 12.0 10.0 1.9 2.2 -2.7 4.0 -3.4 4.9 -8.7 13.7 20.0 11.9 -15.7 COPPER -18.7 20.0 20.0 2.4 -5.6 2.8 -5.3 1.7 -1.3 -9.3 7.6 -11.4 -3.4 4.5 11.4 -2.2 -0.5 -1.4 -0.9 15.6 14.9 -10.7 2.4 0.6 3.4 11.1 3.6 -2.0 4.0 -3.3 1.6 -0.5 2.3 11.5 -12.4 8.8 9.3 CORN 1.5 -7.0 -15.5 0.9 1.2 -2.3 3.6 -1.3 3.9 7.1 3.3 0.1 2.2 -6.3 -11.2 20.0 18.9 20.0 20.0 -5.3 -3.9 2.1 6.7 -1.4 -3.3 11.0 -4.9 2.0 -4.4 0.8 1.4 -1.8 19.8 7.9 -14.5 -12.8 -17.6 COTTON2 4.9 8.6 -4.4 0.9 1.2 -2.3 3.6 -1.3 3.9 0.5 -7.8 2.0 -6.0 5.4 10.1 -3.3 11.2 -0.3 4.9 1.1 -6.4 -1.1 -5.0 1.9 1.7 -10.9 2.1 -1.5 0.2 -1.3 3.1 0.9 0.9 -6.6 -0.3 4.2 9.1 CRUDE_W -4.8 3.4 -3.4 -1.5 3.9 -1.2 -0.6 3.0 -2.0 13.0 -2.0 2.8 1.7 1.7 0.6 8.8 12.2 8.6 9.8 0.4 -0.1 4.4 3.9 0.4 -13.1 10.8 1.1 7.0 1.7 2.1 5.4 0.2 -0.2 6.0 2.8 4.6 10.9 DAX 2.4 20.0 20.0 4.1 -1.0 2.5 0.2 0.4 3.1 4.0 14.7 8.8 2.4 14.3 15.7 -9.8 -4.5 -8.4 -6.6 20.0 20.0 9.9 9.2 18.4 -11.2 9.9 5.9 0.8 5.2 2.8 2.1 4.8 -3.6 19.1 5.9 5.0 18.2 DOW 3.3 3.4 14.6 4.1 -1.0 2.5 0.2 0.4 3.1 7.7 10.8 8.7 1.9 6.3 9.8 -7.3 -3.7 -6.5 -5.5 7.7 8.9 3.5 4.4 4.5 -3.7 10.8 4.7 3.3 4.4 2.2 2.4 3.3 -2.2 8.6 -6.7 -14.9 -0.3 EUR -16.1 8.0 20.0 3.6 -0.8 2.5 -1.6 -1.3 1.0 -11.2 11.5 -12.3 -3.3 0.3 12.7 -8.2 -8.6 -8.2 -8.5 11.7 12.8 -12.2 -1.4 -1.9 0.3 -11.1 4.3 -3.6 4.1 -3.8 -1.2 -0.1 -10.6 -6.9 -9.6 2.8 8.4 EUROSTX 4.0 18.9 20.0 4.1 -1.0 2.5 0.2 0.4 3.1 9.7 15.3 11.6 6.5 15.2 16.1 11.6 5.7 9.1 6.8 20.0 20.0 10.6 12.8 17.9 -15.5 -8.5 6.0 2.3 5.7 3.0 3.2 4.6 15.8 17.2 3.8 0.9 16.3 FEEDCOW 9.5 3.0 6.3 0.9 1.2 -2.3 3.6 -1.3 3.9 11.4 2.2 12.8 0.6 9.5 10.3 -20.0 -20.0 -20.0 -20.0 6.0 3.3 10.2 0.6 8.5 -17.9 12.2 5.4 4.3 3.9 4.9 1.7 5.3 -20.0 15.4 11.7 13.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 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 -9.8 -0.1 -18.5 -1.5 3.9 -1.2 -0.6 3.0 -2.0 -0.7 -5.6 -8.4 8.7 -4.9 -4.0 20.0 20.0 20.0 20.0 -5.0 -1.3 -8.7 9.9 -8.8 -3.1 -15.4 -3.6 1.1 -2.4 -3.4 2.6 -4.1 20.0 -18.0 -3.9 -11.6 -11.2 GASOILINE -2.1 15.2 -7.1 -1.5 3.9 -1.2 -0.6 3.0 -2.0 10.4 -4.9 0.8 3.3 6.3 7.3 -7.8 9.6 -14.4 -3.3 6.2 3.4 4.2 6.9 4.5 -15.1 -13.1 3.8 3.5 3.7 1.1 5.5 1.9 -11.2 -0.0 8.9 20.0 20.0 GAS_US -7.6 -20.0 -20.0 -1.5 3.9 -1.2 -0.6 3.0 -2.0 -5.0 -16.0 -11.8 -9.9 -15.8 -16.6 -3.1 -2.6 3.0 0.4 -20.0 -20.0 -11.5 -20.0 -20.0 -3.8 -9.3 -6.0 -0.8 -4.9 -2.1 -0.6 -4.4 -20.0 -7.7 -13.1 -20.0 -20.0 GBP -13.4 3.5 14.7 3.6 -0.8 2.5 -1.6 -1.3 1.0 -7.1 10.5 -9.5 -3.0 -2.3 10.7 -2.5 -1.8 -2.3 -2.1 4.5 5.5 -10.0 -4.8 -5.6 14.3 9.4 0.7 -1.5 -0.4 -5.2 -5.9 -3.2 0.6 -13.5 -10.8 -15.2 -8.3 GOLD_micro -20.0 14.6 20.0 2.4 -5.6 2.8 -5.3 1.7 -1.3 -13.8 9.3 -13.8 -2.5 1.0 11.1 -12.0 -9.7 -11.8 -11.2 11.1 12.4 -17.1 3.8 -3.9 6.8 -13.8 3.0 -6.0 3.6 -5.7 1.5 -1.6 -14.4 0.8 -8.7 3.0 5.1 HEATOIL -7.7 -0.0 -16.1 -1.5 3.9 -1.2 -0.6 3.0 -2.0 -1.2 -5.0 -8.4 8.0 -6.1 -1.7 20.0 20.0 20.0 20.0 -3.6 -0.6 -6.8 9.5 -6.7 -16.4 -13.6 -0.6 0.6 1.3 -2.9 7.7 -2.5 20.0 -12.5 -1.1 2.5 2.2 JPY -14.7 12.2 20.0 3.6 -0.8 2.5 -1.6 -1.3 1.0 -11.9 8.7 -11.2 -7.1 1.1 11.4 -12.6 -11.2 -12.3 -12.2 9.0 7.8 -10.0 -6.6 -1.9 3.8 9.9 3.5 -4.4 2.6 -3.8 -4.4 -0.7 -16.1 -1.5 -15.6 2.6 5.3 LEANHOG -2.3 -18.2 -10.5 0.9 1.2 -2.3 3.6 -1.3 3.9 6.0 -6.6 -5.7 -4.4 -13.1 -11.3 -20.0 -6.3 -20.0 -20.0 -13.5 -9.1 -4.0 -2.4 -11.7 -3.4 -11.1 -5.3 2.8 -4.0 -1.7 -1.4 -4.4 -20.0 -11.4 -20.0 -20.0 -10.3 LIVECOW 10.7 5.0 10.3 0.9 1.2 -2.3 3.6 -1.3 3.9 11.9 13.6 13.4 4.6 13.2 13.8 -20.0 -20.0 -20.0 -20.0 12.0 9.9 14.4 5.5 13.8 -20.0 12.0 6.0 5.3 5.2 5.5 3.6 6.0 -20.0 16.8 20.0 20.0 20.0 MXP -6.0 10.1 6.4 3.6 -0.8 2.5 -1.6 -1.3 1.0 13.2 15.5 10.6 15.5 13.8 14.7 20.0 20.0 20.0 20.0 17.0 18.7 11.3 17.4 12.4 -20.0 9.7 5.8 5.3 6.5 3.3 5.6 3.8 20.0 20.0 7.3 16.6 3.9 NASDAQ 20.0 20.0 4.1 4.1 -1.0 2.5 0.2 0.4 3.1 3.0 -4.4 10.4 -11.4 12.9 10.6 -6.4 -4.2 -5.8 -5.3 15.1 1.4 13.0 -9.7 20.0 6.7 10.2 4.8 0.6 1.8 3.2 -0.9 5.4 -2.4 20.0 20.0 3.6 -7.8 NIKKEI 20.0 5.7 -2.2 4.1 -1.0 2.5 0.2 0.4 3.1 3.3 -0.4 13.2 0.5 12.6 3.5 20.0 13.7 20.0 16.8 7.4 1.0 10.9 -0.3 14.0 10.3 -9.4 2.2 2.1 -0.7 3.7 -1.6 4.6 20.0 9.5 20.0 -20.0 -20.0 NZD -11.4 4.1 20.0 3.6 -0.8 2.5 -1.6 -1.3 1.0 -7.7 11.3 -10.3 -2.1 -1.8 12.1 0.2 0.5 0.1 0.1 7.1 8.5 -9.3 -1.0 -3.6 -0.5 10.8 3.0 -1.5 3.3 -4.2 -0.6 -1.6 4.4 -11.5 -8.2 -9.1 6.2 OAT -4.5 10.4 10.0 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -12.6 -8.7 -13.1 -12.2 0.1 -1.4 9.1 12.5 11.3 12.4 -3.6 -8.1 -9.0 -16.0 -5.2 4.1 12.7 0.1 -3.0 -3.2 -2.3 -9.5 -0.5 20.0 14.0 -0.5 -5.3 -2.1 OJ 11.8 -3.9 1.8 0.9 1.2 -2.3 3.6 -1.3 3.9 1.3 15.2 9.8 15.1 12.3 13.8 20.0 15.5 20.0 19.3 20.0 20.0 20.0 20.0 20.0 -20.0 -14.1 5.4 1.1 4.7 6.2 4.6 6.8 15.9 20.0 20.0 20.0 20.0 PALLAD -9.7 -11.4 -17.1 2.4 -5.6 2.8 -5.3 1.7 -1.3 -8.8 -14.4 -12.3 -12.0 -13.5 -14.9 -3.6 -1.8 -2.8 -2.3 -18.9 -18.4 -16.8 -14.8 -17.4 13.0 -11.1 -5.6 -8.3 -5.0 -7.2 -3.7 -6.0 0.0 19.1 -20.0 -20.0 -20.0 PLAT -20.0 -4.9 10.7 2.4 -5.6 2.8 -5.3 1.7 -1.3 -11.9 7.9 -14.9 2.3 -13.3 0.1 -2.4 -0.9 -1.8 -1.2 -4.7 5.0 -20.0 4.4 -16.9 -1.4 11.2 -0.8 -6.3 2.6 -8.1 1.7 -5.8 1.7 9.3 -20.0 -15.1 -4.9 REDWHEAT 20.0 5.0 -13.1 0.9 1.2 -2.3 3.6 -1.3 3.9 12.3 -10.1 14.3 -8.8 11.8 -6.2 8.6 2.2 6.3 4.6 -0.4 -8.7 14.3 -5.8 9.7 -1.3 12.9 1.1 9.1 -1.4 7.6 1.5 5.2 -8.4 13.9 10.4 5.0 -7.1 ROBUSTA 20.0 20.0 0.9 0.9 1.2 -2.3 3.6 -1.3 3.9 -8.6 -4.1 7.6 -4.6 11.2 7.2 8.8 9.5 11.3 10.7 13.9 2.7 9.6 -1.3 17.5 -4.5 9.6 3.4 0.4 0.0 3.2 -0.9 5.1 3.1 2.1 20.0 13.2 -6.1 RUSSELL 16.0 18.3 7.8 4.1 -1.0 2.5 0.2 0.4 3.1 -7.0 2.7 4.0 -8.6 10.6 11.0 -5.8 -3.4 -5.3 -4.6 14.0 6.4 4.2 -2.9 13.9 -3.0 10.0 4.9 -1.1 2.9 1.2 0.6 4.3 -1.2 15.3 7.2 3.3 -5.6 SILVER-mini -20.0 -4.1 20.0 2.4 -5.6 2.8 -5.3 1.7 -1.3 -13.7 10.0 -14.7 -0.4 -11.1 8.2 -5.8 -4.1 -5.3 -4.8 0.2 8.1 -20.0 3.2 -14.1 7.3 -11.3 0.2 -6.4 2.7 -7.8 0.3 -5.1 -4.1 1.0 -20.0 -17.8 1.2 SOYBEAN -3.9 -8.5 -0.7 0.9 1.2 -2.3 3.6 -1.3 3.9 13.5 3.7 5.6 4.2 -2.8 -2.9 20.0 20.0 20.0 20.0 -2.8 -0.4 8.1 5.5 0.2 -16.9 -11.7 0.6 10.1 2.7 6.2 7.7 2.0 20.0 13.1 -14.4 -3.9 8.8 SOYMEAL 3.0 13.6 19.9 0.9 1.2 -2.3 3.6 -1.3 3.9 12.1 13.8 12.6 13.2 13.2 14.8 20.0 17.7 20.0 19.7 20.0 20.0 15.6 17.2 17.4 -20.0 -12.0 6.2 4.2 6.9 3.9 6.5 4.5 17.8 15.3 7.2 18.9 20.0 SOYOIL -7.1 -12.2 -17.2 0.9 1.2 -2.3 3.6 -1.3 3.9 -4.7 -2.7 -9.0 3.1 -10.5 -12.0 0.3 16.5 5.9 11.4 -11.2 -6.7 -6.9 3.0 -10.6 -10.2 12.9 -4.8 -0.9 -2.2 -2.9 2.7 -4.5 10.6 -13.4 -20.0 -19.1 -5.0 SP400 16.1 18.8 14.1 4.1 -1.0 2.5 0.2 0.4 3.1 -5.2 9.8 6.2 -1.4 11.4 12.9 -5.5 -3.0 -4.6 -3.8 18.3 12.2 6.5 3.7 16.5 -7.4 10.2 5.3 -0.5 3.8 1.6 1.9 4.5 -0.0 17.2 9.7 3.5 0.3 SP500 18.1 14.4 7.3 4.1 -1.0 2.5 0.2 0.4 3.1 2.6 1.7 10.7 -6.7 12.7 12.1 -7.2 -4.5 -6.3 -5.6 13.1 4.9 8.7 -3.7 14.7 2.6 10.2 5.0 1.1 2.4 2.7 -0.6 5.0 -2.8 17.0 8.6 -4.4 -5.6 SUGAR11 15.4 -0.1 13.7 0.9 1.2 -2.3 3.6 -1.3 3.9 -3.6 10.5 7.5 7.5 9.8 11.6 20.0 20.0 20.0 20.0 15.6 13.3 9.0 9.1 14.9 -20.0 10.7 6.0 -0.1 5.9 2.4 4.3 4.6 20.0 0.4 20.0 20.0 20.0 US10 -11.4 12.0 15.7 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -13.3 -5.1 -13.7 -11.0 -3.8 6.6 -8.5 -2.5 -8.1 -6.5 -0.8 -4.6 -18.3 -16.2 -8.8 0.3 9.7 0.2 -8.8 -1.2 -8.2 -6.8 -3.7 -8.6 -12.6 -9.8 -6.4 1.1 US10U -9.0 11.4 15.3 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -13.0 -4.9 -13.1 -11.0 -1.0 8.0 0.4 3.6 0.6 1.2 -0.0 -4.5 -16.1 -16.3 -7.1 -2.6 -14.1 1.5 -8.0 -0.1 -7.1 -5.5 -2.5 3.2 -9.6 -6.3 -2.5 3.6 US20 -7.6 11.4 16.2 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -12.3 -3.0 -12.4 -9.9 1.2 9.8 -10.6 -1.4 -7.4 -4.4 1.5 -3.6 -15.3 -15.9 -5.7 -0.8 -12.3 1.0 -8.3 -0.8 -7.1 -5.9 -2.6 -5.4 -8.4 -3.3 -7.4 0.9 US30 -3.8 11.9 20.0 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -11.5 -2.1 -11.1 -11.3 3.7 8.8 -2.2 -0.4 -1.8 -1.4 2.9 -3.6 -12.0 -17.8 -2.8 -3.5 10.0 2.5 -7.1 0.5 -5.4 -5.3 -0.9 -2.3 -4.0 -0.4 -2.8 3.7 US5 -13.9 11.8 15.3 1.5 -5.1 -1.0 -4.1 -5.5 -0.5 -14.0 -5.4 -14.3 -11.4 -7.7 5.5 -10.5 -2.3 -8.9 -6.9 -2.1 -5.5 -20.0 -17.7 -10.9 2.4 10.8 -0.5 -9.4 -1.7 -9.0 -7.6 -4.6 -8.7 -16.3 -15.3 -8.1 -0.0 VIX 1.9 -20.0 -20.0 -4.7 1.7 -4.6 0.6 -3.4 -2.6 8.0 -15.3 1.3 -13.9 -10.8 -14.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 2.6 -19.1 -12.2 NaN -13.5 -5.8 2.0 -6.4 1.0 -4.8 -2.6 NaN NaN NaN NaN NaN WHEAT 19.3 4.1 -18.6 0.9 1.2 -2.3 3.6 -1.3 3.9 13.4 -12.7 14.5 -12.6 6.4 -9.8 -10.0 -6.1 -8.8 -7.4 -4.8 -14.8 17.0 -12.0 8.1 3.8 11.9 -0.1 12.7 -2.9 9.5 -0.5 5.0 -20.0 20.0 8.2 4.4 -10.4 End of report for caleb_strategy_v1