******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230215_204257 produced at 2023-02-15 21:35:41.238628 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.37 -0.28 0.0 40914284.26 -40914284.26 -0.37 -0.37 -6.72 999999999 -9 -9 caleb_strategy_v1 VIX False False 0.01 -0.23 -0.24 0.0 7513967.28 -7513967.28 -0.23 -0.23 -32.30 999999999 -30 -30 caleb_strategy_v1 US20 False False 0.04 0.00 -0.17 0.0 43752487.21 -43752487.21 0.00 0.00 -3.87 999999999 0 0 caleb_strategy_v1 CHF False False 0.05 -0.28 -0.15 0.0 46893360.00 -46893360.00 -0.28 -0.28 -3.14 999999999 -6 -6 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.11 0.0 14438536.20 -14438536.20 -0.09 -0.09 -7.42 999999999 -6 -6 caleb_strategy_v1 EUR False False 0.05 -0.05 -0.09 0.0 46324642.30 -46324642.30 -0.05 -0.05 -1.91 999999999 -1 -1 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.07 0.0 33601737.84 -33601737.84 -0.17 -0.17 -2.11 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.07 0.0 51909559.40 -51909559.40 0.00 0.00 -1.30 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.06 0.0 22693559.89 -22693559.89 -0.11 -0.11 -2.86 999999999 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 6429612.18 -6429612.18 -0.02 -0.02 -5.99 999999999 -3 -3 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.04 0.0 38840317.27 -38840317.27 -0.04 -0.04 -0.94 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.04 0.0 9292502.65 -9292502.65 -0.02 -0.02 -4.08 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.11 -0.03 0.0 37036663.54 -37036663.54 -0.11 -0.11 -0.87 999999999 -3 -3 caleb_strategy_v1 JPY False False 0.03 -0.16 -0.03 0.0 32490153.23 -32490153.23 -0.16 -0.16 -0.88 999999999 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.02 0.0 38711580.27 -38711580.27 0.00 0.00 -0.51 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 19011112.74 -19011112.74 0.00 0.00 -0.51 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9223567.17 -9223567.17 -0.01 -0.01 -0.80 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 53407762.83 -53407762.83 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14795277.31 -14795277.31 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 11684563.79 -11684563.79 0.00 0.00 -0.54 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15144263.18 -15144263.18 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 14105922.51 -14105922.51 -0.04 -0.03 -0.20 999999999 -3 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.00 -0.00 0.0 767079.55 -767079.55 -0.00 -0.00 -1.52 999999999 -2 -4 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12462156.00 -12462156.00 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4215384.40 -4215384.40 0.00 0.00 2.17 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 7134822.14 -7134822.14 0.01 0.01 2.02 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16148136.10 -16148136.10 0.00 0.00 0.41 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23517769.71 -23517769.71 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.02 0.0 47727048.46 -47727048.46 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 24117077.54 -24117077.54 0.00 0.00 0.87 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7705332.17 -7705332.17 0.00 0.00 3.12 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5890364.39 -5890364.39 0.00 0.00 4.17 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 41157997.03 -41157997.03 0.00 0.00 0.49 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 29168324.81 -29168324.81 0.00 0.00 0.66 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15773684.21 -15773684.21 0.00 0.00 2.02 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26232104.22 -26232104.22 0.16 0.16 1.30 999999999 6 6 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.03 0.0 23825825.14 -23825825.14 0.02 0.02 1.47 999999999 1 1 caleb_strategy_v1 NZD False False 0.02 0.00 0.03 0.0 21845653.49 -21845653.49 0.00 0.00 1.19 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 10288620.33 -10288620.33 0.06 0.06 2.57 999999999 6 6 caleb_strategy_v1 COPPER False False 0.04 0.00 0.03 0.0 35273423.22 -35273423.22 0.00 0.00 0.92 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.03 0.0 71507634.69 -71507634.69 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9264928.46 -9264928.46 0.03 0.03 4.19 999999999 3 3 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3355434.47 -3355434.47 0.00 0.00 11.49 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.05 0.0 26846271.57 -26846271.57 0.03 0.03 1.93 999999999 1 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 25838741.14 -25838741.14 0.00 0.00 2.12 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.09 0.17 0.05 0.0 86882831.72 -86882831.72 0.17 0.17 0.60 999999999 2 2 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 42429844.67 -42429844.67 0.04 0.04 1.15 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 48018741.91 -48018741.91 0.10 0.10 1.27 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5720682.99 -5720682.99 0.00 0.00 9.99 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.55 0.06 0.0 92397670.09 -92397670.09 0.55 0.55 0.62 999999999 6 6 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 16268773.19 -16268773.19 0.08 0.08 4.16 999999999 5 5 caleb_strategy_v1 CRUDE_W False False 0.03 0.11 0.07 0.0 26564287.07 -26564287.07 0.11 0.11 2.64 999999999 4 4 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.40 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.09 0.18 0.0 42946651.55 -42946651.55 0.09 0.09 4.21 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.24 0.0 49923544.40 -49923544.40 0.10 0.10 4.87 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.43 0.0 0.00 0.00 0.00 0.00 60.04 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 19.2 Shocked risk 59.4 Sum abs risk 52.5 Leverage 3.46 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2901263.63, 'annual_cash_vol_target': 725315.9075, 'daily_cash_vol_target': 45332.24421875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0054 0.6997 0.7762 12.4194 BITCOIN 696.8377 22255.0000 3.1312 50.0984 BOBL 0.3810 116.3400 0.3275 5.2399 BTP 1.0290 114.9400 0.8953 14.3245 BUND 0.8418 135.2400 0.6225 9.9594 BUXL 1.9605 140.6200 1.3942 22.3066 CAC 58.0038 7272.5000 0.7976 12.7612 CAD 0.0034 0.7496 0.4577 7.3238 CANOLA 7.0399 817.7000 0.8609 13.7750 CHF 0.0059 1.0884 0.5439 8.7017 COCOA 31.3036 2696.0000 1.1611 18.5778 COFFEE 0.0360 1.8195 1.9780 31.6476 COPPER 0.0459 4.0935 1.1225 17.9592 CORN 4.3906 597.0000 0.7354 11.7670 COTTON2 0.0141 0.8585 1.6404 26.2462 CRUDE_W 1.2731 77.0700 1.6519 26.4307 DAX 129.0517 15497.0000 0.8328 13.3240 DOW 247.8540 34179.0000 0.7252 11.6026 EUR 0.0056 1.0752 0.5227 8.3637 EUROSTX 38.0358 4273.0000 0.8901 14.2423 FEEDCOW 1.1039 194.9750 0.5662 9.0586 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 18.4066 846.2500 2.1751 34.8013 GASOILINE 0.0507 2.6830 1.8891 30.2258 GAS_US 0.1575 2.6760 5.8843 94.1485 GBP 0.0078 1.2177 0.6409 10.2543 GOLD_micro 16.1922 1865.4000 0.8680 13.8885 HEATOIL 0.0592 2.8431 2.0827 33.3229 JPY 0.0001 0.0075 0.8276 13.2424 LEANHOG 1.4271 104.7250 1.3627 21.8032 LIVECOW 0.8872 164.6000 0.5390 8.6239 MXP 0.0004 0.0538 0.7024 11.2391 NASDAQ 150.5450 12603.5000 1.1945 19.1115 NIKKEI 217.7015 27725.0000 0.7852 12.5635 NZD 0.0047 0.6338 0.7443 11.9084 OAT 0.8888 130.0800 0.6833 10.9328 OJ 0.0408 2.2600 1.8062 28.8993 PALLAD 37.4919 1549.5000 2.4196 38.7138 PLAT 17.1296 937.0000 1.8281 29.2502 REDWHEAT 12.0323 878.7500 1.3692 21.9080 ROBUSTA 27.6552 2070.0000 1.3360 21.3760 RUSSELL 21.8862 1947.0000 1.1241 17.9855 SILVER-mini 0.3751 22.0625 1.7002 27.2032 SOYBEAN 9.3818 1382.5000 0.6786 10.8578 SOYMEAL 5.3685 472.0000 1.1374 18.1984 SOYOIL 0.8577 60.2600 1.4233 22.7723 SP400 25.9111 2680.7000 0.9666 15.4653 SP500 35.4426 4149.2500 0.8542 13.6671 SUGAR11 0.0028 0.1996 1.3990 22.3837 US10 0.5060 112.3125 0.4505 7.2077 US10U 0.6783 118.7031 0.5715 9.1435 US20 0.9406 126.9375 0.7410 11.8558 US30 1.4704 138.4688 1.0619 16.9899 US5 0.3401 107.4531 0.3165 5.0636 VIX 0.5289 21.8000 2.4261 38.8182 WHEAT 9.7751 818.5000 1.1943 19.1083 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 699.70 0.78 543.11 1.00 543.11 45332.24 83.47 6.49 54.19 BITCOIN 22.26 3.13 69.68 1.00 69.68 45332.24 650.54 -0.99 -64.68 BOBL 1163.40 0.33 381.01 1.07 406.76 45332.24 111.45 5.23 58.29 BTP 1149.40 0.90 1029.04 1.07 1098.58 45332.24 41.26 13.79 56.91 BUND 1352.40 0.62 841.81 1.07 898.70 45332.24 50.44 13.39 67.56 BUXL 1406.20 1.39 1960.47 1.07 2092.96 45332.24 21.66 -7.16 -15.51 CAC 727.25 0.80 580.04 1.07 619.24 45332.24 73.21 9.35 68.48 CAD 749.65 0.46 343.14 1.00 343.14 45332.24 132.11 8.97 118.54 CANOLA 163.54 0.86 140.80 0.75 105.33 45332.24 430.38 5.49 236.40 CHF 1360.50 0.54 739.92 1.00 739.92 45332.24 61.27 -13.70 -83.93 COCOA 269.60 1.16 313.04 1.00 313.04 45332.24 144.81 -12.94 -187.32 COFFEE 682.31 1.98 1349.60 1.00 1349.60 45332.24 33.59 6.72 22.57 COPPER 1023.37 1.12 1148.69 1.00 1148.69 45332.24 39.46 8.53 33.66 CORN 298.50 0.74 219.53 1.00 219.53 45332.24 206.50 13.80 284.97 COTTON2 429.25 1.64 704.14 1.00 704.14 45332.24 64.38 -3.88 -25.00 CRUDE_W 770.70 1.65 1273.13 1.00 1273.13 45332.24 35.61 5.62 19.99 DAX 154.97 0.83 129.05 1.07 137.77 45332.24 329.04 5.59 184.01 DOW 170.90 0.73 123.93 1.00 123.93 45332.24 365.80 4.00 146.25 EUR 1344.00 0.52 702.55 1.00 702.55 45332.24 64.53 -7.89 -50.94 EUROSTX 427.30 0.89 380.36 1.07 406.06 45332.24 111.64 6.42 71.69 FEEDCOW 974.88 0.57 551.94 1.00 551.94 45332.24 82.13 -9.57 -78.59 FTSE100 707.00 0.82 576.59 1.22 666.67 45332.24 68.00 7.70 52.34 GASOIL 846.25 2.18 1840.66 1.00 1840.66 45332.24 24.63 3.74 9.21 GASOILINE 1126.86 1.89 2128.76 1.00 2128.76 45332.24 21.30 -10.77 -22.93 GAS_US 267.60 5.88 1574.63 1.00 1574.63 45332.24 28.79 -18.49 -53.22 GBP 761.06 0.64 487.76 1.00 487.76 45332.24 92.94 7.86 73.05 GOLD_micro 186.54 0.87 161.92 1.00 161.92 45332.24 279.96 -9.56 -267.61 HEATOIL 1194.10 2.08 2486.94 1.00 2486.94 45332.24 18.23 3.76 6.86 JPY 942.62 0.83 780.16 1.00 780.16 45332.24 58.11 -2.34 -13.58 LEANHOG 418.90 1.36 570.84 1.00 570.84 45332.24 79.41 -20.00 -158.83 LIVECOW 658.40 0.54 354.87 1.00 354.87 45332.24 127.74 -8.34 -106.53 MXP 268.80 0.70 188.82 1.00 188.82 45332.24 240.09 14.25 342.05 NASDAQ 2520.70 1.19 3010.90 1.00 3010.90 45332.24 15.06 7.29 10.97 NIKKEI 27725.00 0.79 21770.15 0.01 164.59 45332.24 275.43 11.48 316.14 NZD 633.80 0.74 471.72 1.00 471.72 45332.24 96.10 7.73 74.33 OAT 1300.80 0.68 888.84 1.07 948.90 45332.24 47.77 13.14 62.80 OJ 339.00 1.81 612.30 1.00 612.30 45332.24 74.04 -4.19 -31.00 PALLAD 1549.50 2.42 3749.19 1.00 3749.19 45332.24 12.09 -8.35 -10.10 PLAT 468.50 1.83 856.48 1.00 856.48 45332.24 52.93 3.19 16.87 REDWHEAT 439.38 1.37 601.61 1.00 601.61 45332.24 75.35 4.74 35.75 ROBUSTA 207.00 1.34 276.55 1.00 276.55 45332.24 163.92 9.51 155.81 RUSSELL 97.35 1.12 109.43 1.00 109.43 45332.24 414.25 5.35 221.76 SILVER-mini 551.56 1.70 937.77 1.00 937.77 45332.24 48.34 -4.75 -22.98 SOYBEAN 691.25 0.68 469.09 1.00 469.09 45332.24 96.64 2.57 24.87 SOYMEAL 472.00 1.14 536.85 1.00 536.85 45332.24 84.44 8.36 70.61 SOYOIL 361.56 1.42 514.60 1.00 514.60 45332.24 88.09 3.73 32.86 SP400 2680.70 0.97 2591.11 1.00 2591.11 45332.24 17.50 6.85 11.98 SP500 2074.62 0.85 1772.13 1.00 1772.13 45332.24 25.58 5.79 14.81 SUGAR11 223.55 1.40 312.75 1.00 312.75 45332.24 144.95 15.87 230.03 US10 1123.12 0.45 505.95 1.00 505.95 45332.24 89.60 -1.50 -13.42 US10U 1187.03 0.57 678.35 1.00 678.35 45332.24 66.83 -6.91 -46.15 US20 1269.38 0.74 940.59 1.00 940.59 45332.24 48.20 -10.89 -52.49 US30 1384.69 1.06 1470.36 1.00 1470.36 45332.24 30.83 1.33 4.09 US5 1074.53 0.32 340.06 1.00 340.06 45332.24 133.30 -1.70 -22.61 VIX 218.00 2.43 528.90 1.00 528.90 45332.24 85.71 -20.00 -171.42 WHEAT 409.25 1.19 488.76 1.00 488.76 45332.24 92.75 -4.05 -37.59 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 54.194 0.006 2.5 0.866 BITCOIN -64.677 0.009 2.5 -1.524 BOBL 58.287 0.029 2.5 4.206 BTP 56.909 0.008 2.5 1.149 BUND 67.556 0.029 2.5 4.875 BUXL -15.507 0.034 2.5 -1.302 CAC 68.476 0.011 2.5 1.925 CAD 118.545 0.007 2.5 2.117 CANOLA 236.398 0.004 2.5 2.170 CHF -83.934 0.015 2.5 -3.141 COCOA -187.324 0.009 2.5 -4.081 COFFEE 22.571 0.005 2.5 0.293 COPPER 33.663 0.011 2.5 0.920 CORN 284.969 0.004 2.5 2.570 COTTON2 -24.996 0.006 2.5 -0.376 CRUDE_W 19.993 0.053 2.5 2.641 DAX 184.014 0.022 2.5 9.994 DOW 146.249 0.011 2.5 4.168 EUR -50.940 0.015 2.5 -1.906 EUROSTX 71.691 0.011 2.5 2.015 FEEDCOW -78.593 0.011 2.5 -2.112 FTSE100 52.343 0.041 2.5 5.396 GASOIL 9.210 0.029 2.5 0.657 GASOILINE -22.935 0.016 2.5 -0.942 GAS_US -53.221 0.006 2.5 -0.801 GBP 73.052 0.007 2.5 1.304 GOLD_micro -267.610 0.009 2.5 -5.988 HEATOIL 6.860 0.029 2.5 0.489 JPY -13.582 0.026 2.5 -0.879 LEANHOG -158.828 0.019 2.5 -7.420 LIVECOW -106.528 0.011 2.5 -2.863 MXP 342.051 0.005 2.5 4.188 NASDAQ 10.969 0.022 2.5 0.596 NIKKEI 316.136 0.076 2.5 60.045 NZD 74.331 0.006 2.5 1.188 OAT 62.796 0.008 2.5 1.268 OJ -31.001 0.007 2.5 -0.541 PALLAD -10.095 0.010 2.5 -0.243 PLAT 16.868 0.010 2.5 0.406 REDWHEAT 35.745 0.002 2.5 0.191 ROBUSTA 155.808 0.005 2.5 2.020 RUSSELL 221.764 0.021 2.5 11.486 SILVER-mini -22.979 0.009 2.5 -0.514 SOYBEAN 24.872 0.024 2.5 1.466 SOYMEAL 70.609 0.024 2.5 4.163 SOYOIL 32.864 0.004 2.5 0.302 SP400 11.981 0.021 2.5 0.621 SP500 14.815 0.011 2.5 0.422 SUGAR11 230.029 0.005 2.5 3.121 US10 -13.415 0.015 2.5 -0.515 US10U -46.152 0.058 2.5 -6.724 US20 -52.485 0.029 2.5 -3.868 US30 4.090 0.034 2.5 0.343 US5 -22.608 0.015 2.5 -0.867 VIX -171.422 0.075 2.5 -32.304 WHEAT -37.588 0.002 2.5 -0.201 ==================== Position diags ==================== AUD 1.33 BITCOIN 15.33 BOBL 8.04 BTP 0.83 BUND 3.64 BUXL 1.82 CAC 2.06 CAD 2.36 CANOLA 3.95 CHF 2.29 COCOA 3.15 COFFEE 0.44 COPPER 1.08 CORN 1.86 COTTON2 0.97 CRUDE_W 4.70 DAX 17.87 DOW 10.42 EUR 2.41 EUROSTX 3.14 FEEDCOW 2.21 FTSE100 7.01 GASOIL 1.76 GASOILINE 0.87 GAS_US 0.43 GBP 1.66 GOLD_micro 6.26 HEATOIL 1.30 JPY 3.76 LEANHOG 3.71 LIVECOW 3.43 MXP 2.94 NASDAQ 0.82 NIKKEI 52.31 NZD 1.54 OAT 0.96 OJ 1.29 PALLAD 0.29 PLAT 1.27 REDWHEAT 0.40 ROBUSTA 2.13 RUSSELL 21.46 SILVER-mini 1.08 SOYBEAN 5.70 SOYMEAL 4.98 SOYOIL 0.81 SP400 0.91 SP500 0.73 SUGAR11 1.97 US10 3.44 US10U 9.74 US20 3.55 US30 2.59 US5 5.11 VIX 16.15 WHEAT 0.50 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.9 0.7 1.0 0.0 0 BITCOIN -1.5 -3.1 0.0 -2.0 -2 BOBL 4.2 3.4 5.0 2.0 2 BTP 1.1 1.1 1.2 1.0 1 BUND 4.9 4.5 5.2 2.0 2 BUXL -1.3 -1.5 -1.1 0.0 0 CAC 1.9 1.7 2.1 1.0 1 CAD 2.1 1.9 2.4 0.0 0 CANOLA 2.2 1.8 2.6 NaN 0 CHF -3.1 -3.4 -2.9 -6.0 -6 COCOA -4.1 -4.4 -3.8 -2.0 -2 COFFEE 0.3 0.2 0.3 NaN 0 COPPER 0.9 0.8 1.0 0.0 0 CORN 2.6 2.4 2.8 6.0 6 COTTON2 -0.4 -0.5 -0.3 NaN 0 CRUDE_W 2.6 2.2 3.1 4.0 4 DAX 10.0 8.2 11.8 0.0 0 DOW 4.2 3.1 5.2 0.0 0 EUR -1.9 -2.1 -1.7 -1.0 -1 EUROSTX 2.0 1.7 2.3 0.0 0 FEEDCOW -2.1 -2.3 -1.9 -5.0 -5 FTSE100 5.4 4.7 6.1 0.0 0 GASOIL 0.7 0.5 0.8 0.0 0 GASOILINE -0.9 -1.0 -0.9 -1.0 -1 GAS_US -0.8 -0.8 -0.8 -1.0 -1 GBP 1.3 1.1 1.5 6.0 6 GOLD_micro -6.0 -6.6 -5.4 -3.0 -3 HEATOIL 0.5 0.4 0.6 0.0 0 JPY -0.9 -1.3 -0.5 -5.0 -5 LEANHOG -7.4 -7.8 -7.0 -6.0 -6 LIVECOW -2.9 -3.2 -2.5 -5.0 -5 MXP 4.2 3.9 4.5 3.0 3 NASDAQ 0.6 0.5 0.7 2.0 2 NIKKEI 60.0 54.8 65.3 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 0.4 0.3 0.5 NaN 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 2.0 1.8 2.2 2.0 2 RUSSELL 11.5 9.3 13.6 0.0 0 SILVER-mini -0.5 -0.6 -0.4 0.0 0 SOYBEAN 1.5 0.9 2.0 1.0 1 SOYMEAL 4.2 3.7 4.7 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 0.5 0.0 0 SUGAR11 3.1 2.9 3.3 0.0 0 US10 -0.5 -0.9 -0.2 NaN 0 US10U -6.7 -7.7 -5.8 -9.0 -9 US20 -3.9 -4.2 -3.5 0.0 0 US30 0.3 0.1 0.6 0.0 0 US5 -0.9 -1.4 -0.4 -3.0 -3 VIX -32.3 -33.9 -30.7 -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 -0.1 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 0.4 2.2 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 -0.0 BITCOIN 0.1 0.3 0.1 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 3.1 -4.8 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.2 0.1 0.4 0.3 -0.2 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 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 0.2 0.6 0.6 0.2 0.3 0.1 -0.0 -0.0 -0.1 0.0 -0.7 2.2 0.0 -0.0 0.0 0.0 -0.1 0.0 2.7 0.3 0.3 0.1 0.1 BUND -0.1 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 -0.1 0.8 0.6 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 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.0 -0.1 0.2 0.0 0.1 0.1 -0.1 -0.2 -0.0 -0.3 -0.0 0.3 -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 -0.2 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 0.9 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 0.3 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 0.0 0.0 -0.1 -0.0 COCOA -0.0 0.0 0.3 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.2 0.0 -0.1 0.0 0.2 -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 0.2 0.3 COFFEE 0.2 0.2 -0.2 0.0 0.0 -0.1 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.0 0.0 0.0 0.1 0.0 0.1 0.0 -0.1 0.0 -0.1 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 0.3 2.1 0.0 0.0 0.0 -0.0 0.0 -0.0 0.3 0.2 -0.1 0.1 0.1 CORN 0.0 -0.1 -0.3 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 0.1 0.0 0.1 -0.0 -0.2 1.6 0.8 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 0.5 -2.7 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 -0.0 0.0 0.0 0.3 CRUDE_W -0.1 0.0 -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 0.1 0.0 -1.6 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 0.0 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 0.1 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 -2.1 -1.8 0.1 0.0 0.1 0.0 0.0 0.0 2.2 0.0 0.1 0.0 0.2 FEEDCOW 0.1 0.0 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 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 -2.9 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 0.1 -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 -0.1 -0.2 GASOILINE -0.1 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 -0.6 0.4 -0.3 -0.1 0.1 0.0 0.0 0.1 0.0 -1.8 -2.6 0.0 0.0 0.0 0.0 0.1 0.0 -1.6 -0.0 0.1 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 -0.3 -0.1 -0.4 -0.3 -0.1 0.1 0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -0.4 -1.8 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.2 -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 2.0 2.0 0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.1 -0.2 -0.2 -0.1 GOLD_micro -0.2 0.2 0.4 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.1 -0.1 -0.0 0.3 -1.0 -0.4 -0.2 -0.2 0.1 0.2 -0.0 0.1 -0.0 0.9 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.8 -0.0 -0.1 0.0 0.1 HEATOIL -0.1 -0.0 -0.3 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.1 -0.0 0.2 -0.0 -0.0 1.7 0.9 0.5 0.5 -0.0 -0.0 -0.0 0.1 -0.0 -1.5 -2.7 -0.0 0.0 0.0 -0.0 0.1 -0.0 2.8 -0.0 -0.0 0.0 0.0 JPY -0.2 0.2 0.3 0.1 0.0 0.1 -0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.3 -0.9 -0.5 -0.2 -0.2 0.1 0.1 -0.0 -0.1 -0.0 0.5 2.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -2.0 -0.1 -0.4 -0.0 0.1 LEANHOG 0.0 -0.3 -0.2 0.0 0.0 -0.1 0.1 -0.0 0.0 0.0 -0.2 0.0 -0.1 -0.0 -0.2 -1.6 -0.3 -0.4 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.5 -2.3 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -2.7 -0.0 -0.4 -0.3 -0.2 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 0.4 0.3 0.3 MXP -0.0 0.2 0.1 0.1 0.0 0.1 -0.0 -0.0 0.0 0.0 0.4 0.0 0.4 0.1 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 0.2 0.3 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 0.7 1.9 0.1 0.0 0.0 0.0 -0.0 0.0 -0.3 0.3 0.5 0.1 -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 0.4 0.3 0.1 0.0 0.0 -0.0 0.0 1.5 -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 -0.2 -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 -0.1 -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 0.1 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 2.3 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 0.2 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 0.1 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 -0.1 0.2 -0.4 -0.1 -0.1 -0.1 -0.0 0.1 -0.0 0.0 -0.0 1.5 -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 -0.2 -0.0 0.1 SOYMEAL 0.1 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 -1.4 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 0.1 0.0 -1.2 2.4 0.1 0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.2 0.0 0.0 SP500 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 0.1 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 -0.4 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 0.1 -0.7 -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 0.1 2.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.2 -0.0 -0.0 -0.1 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 -0.3 -2.9 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.4 -0.0 -0.0 -0.0 0.1 US20 -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 -0.8 -0.1 -0.2 -0.1 0.0 -0.0 -0.0 -0.2 -0.0 -0.1 -2.7 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.8 -0.0 0.0 -0.1 0.0 US30 -0.1 0.2 0.3 0.0 -0.1 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.2 -0.2 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.2 -0.0 -0.4 2.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.3 0.0 0.1 -0.0 0.1 US5 -0.2 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 0.1 -0.9 -0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -0.2 -0.0 0.4 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 0.1 -1.0 -1.3 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 -0.0 -0.5 -0.0 -0.5 -0.1 -0.5 -3.1 -1.6 -0.8 -0.8 -0.3 -0.3 -0.0 -0.3 -0.0 NaN -3.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 NaN NaN NaN NaN NaN WHEAT 0.2 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 -0.0 -0.2 0.0 -0.1 0.0 0.5 2.5 0.0 0.0 -0.0 0.0 -0.0 0.0 -2.7 0.1 0.2 0.1 -0.1 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -5.7 14.5 16.5 3.6 0.3 2.5 -1.0 -1.2 1.1 -3.2 7.6 -5.7 -3.0 5.7 12.0 -3.5 -2.5 -3.3 -3.0 9.7 7.0 -2.5 -1.9 2.4 3.9 11.7 3.7 1.1 2.6 -1.4 -1.2 0.7 -0.6 -2.7 -2.7 3.3 -2.7 BITCOIN 9.3 20.0 3.3 2.1 -4.3 2.8 -5.1 1.7 -1.6 -9.6 2.8 -0.4 -14.2 10.6 11.2 -2.5 -0.8 -0.8 -0.3 15.2 2.3 -2.6 -16.4 10.9 14.0 -18.1 4.0 -1.9 1.3 -0.9 -1.6 2.7 2.7 20.0 20.0 20.0 -14.7 BOBL -2.6 12.4 1.7 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -14.0 -12.4 -14.3 -13.6 -3.4 -4.8 -12.1 6.9 -5.1 2.0 -8.4 -14.8 -15.0 -20.0 -9.1 11.0 10.8 -2.2 -9.1 -6.3 -6.1 -13.0 -2.8 8.3 11.1 -3.8 -6.9 -13.2 BTP -3.0 13.0 16.7 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -6.9 -0.0 -6.3 -9.9 6.2 7.1 7.1 13.3 10.3 12.9 4.3 -0.3 -1.1 -10.6 2.6 -5.4 11.4 3.6 -0.4 0.5 1.1 -5.9 2.9 20.0 20.0 13.5 9.4 10.0 BUND -4.7 14.0 6.7 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -14.0 -11.0 -14.4 -13.0 -1.6 -2.7 10.1 15.1 11.8 13.4 -6.5 -12.1 -12.8 -20.0 -8.0 6.4 12.3 -0.8 -6.0 -4.2 -4.3 -10.2 -1.7 20.0 14.5 -1.7 -4.1 -6.9 BUXL -6.9 3.0 6.3 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -13.8 -9.4 -14.9 -12.3 -4.7 -5.7 1.9 0.0 3.0 2.7 -9.2 -12.7 -12.2 -20.0 -10.5 2.1 -10.8 -1.9 -4.2 -3.6 -4.1 -7.5 -2.9 1.4 9.8 -4.2 -14.3 -5.4 CAC 5.2 20.0 20.0 4.1 0.5 2.6 0.7 0.4 3.1 11.2 15.3 11.3 7.9 14.7 15.7 -2.6 1.7 -2.5 -0.9 20.0 20.0 14.5 15.1 20.0 -13.6 8.9 6.0 4.4 5.3 4.0 3.3 5.0 6.5 20.0 7.0 5.4 12.4 CAD 2.8 13.8 2.4 3.6 0.3 2.5 -1.0 -1.2 1.1 5.6 -4.7 4.9 -8.6 10.3 7.1 -1.8 -1.2 -1.8 -1.6 3.9 -2.7 3.5 -9.6 4.1 15.1 10.4 3.0 4.4 -1.0 2.2 -5.7 2.7 1.6 8.7 1.4 1.8 -16.6 CANOLA -2.6 -9.8 -9.7 1.0 1.0 -2.1 3.4 -1.3 3.8 -13.0 -6.7 2.8 -8.1 -4.9 -6.6 4.5 10.1 4.5 6.0 -9.2 -10.7 -4.6 -4.3 -6.6 2.5 11.5 -3.9 -3.5 -3.6 -1.9 -0.5 -2.6 -0.6 -8.4 -19.0 -19.5 -12.1 CHF -8.3 0.9 17.3 3.6 0.3 2.5 -1.0 -1.2 1.1 -5.2 12.6 -6.0 2.3 -0.3 13.0 -14.4 -13.0 -14.1 -13.8 7.7 9.4 -1.9 2.6 1.1 -6.6 -11.5 4.5 -0.3 4.4 -0.9 -0.3 1.0 -18.9 4.2 0.6 -6.0 -0.9 COCOA -4.4 3.5 17.3 1.0 1.0 -2.1 3.4 -1.3 3.8 11.0 10.1 2.4 -2.3 3.4 10.2 -2.2 -3.1 -2.1 -2.0 7.6 8.8 6.7 2.6 3.7 -17.2 -10.4 5.1 10.0 5.4 4.3 2.2 2.9 -18.4 11.4 -7.8 12.4 20.0 COFFEE 20.0 14.8 -10.4 1.0 1.0 -2.1 3.4 -1.3 3.8 8.5 -9.3 11.9 -9.7 11.7 1.9 0.6 3.0 1.0 2.6 3.1 -10.7 14.8 -12.5 14.0 12.1 10.0 2.2 5.2 -2.4 5.1 -3.3 5.2 -8.7 6.6 20.0 12.7 -14.0 COPPER -20.0 19.9 20.0 2.1 -4.3 2.8 -5.1 1.7 -1.6 -3.6 7.8 -9.8 -3.3 4.6 11.2 -2.7 -0.6 -1.6 -1.0 15.2 14.9 -6.8 2.5 1.1 2.7 11.1 3.6 0.3 4.1 -2.2 1.7 -0.4 2.2 14.6 -5.6 10.1 9.8 CORN 2.9 -7.3 -15.7 1.0 1.0 -2.1 3.4 -1.3 3.8 10.3 3.5 2.8 2.1 -5.5 -10.9 20.0 19.0 20.0 20.0 -4.9 -3.9 3.3 6.8 -0.6 -3.2 11.0 -4.7 2.8 -4.5 1.5 1.4 -1.3 20.0 11.2 -14.8 -12.4 -17.9 COTTON2 3.4 8.7 -4.4 1.0 1.0 -2.1 3.4 -1.3 3.8 1.9 -7.8 1.4 -6.0 5.4 10.2 -3.3 11.1 -0.4 4.8 1.1 -6.4 -0.7 -5.1 1.9 2.0 -10.9 2.0 -0.6 0.2 -0.9 3.1 0.8 0.6 -4.5 0.2 1.7 9.5 CRUDE_W -6.0 3.0 -3.2 -1.4 5.1 -1.2 0.6 3.0 -1.4 12.8 -1.6 3.7 1.6 2.4 0.8 8.8 12.2 8.6 9.7 0.7 0.0 5.0 4.0 1.2 -12.9 10.8 1.3 5.6 1.8 2.6 5.6 0.6 -0.2 2.7 1.8 4.8 10.7 DAX 2.0 20.0 20.0 4.1 0.5 2.6 0.7 0.4 3.1 6.9 14.8 9.9 2.6 14.5 15.7 -9.7 -4.5 -8.4 -6.7 20.0 20.0 10.6 9.6 18.5 -11.5 9.9 6.0 1.6 5.3 2.9 2.1 4.7 -3.6 20.0 5.8 5.5 18.2 DOW 3.8 3.7 14.4 4.1 0.5 2.6 0.7 0.4 3.1 8.6 11.0 10.3 2.0 7.3 9.8 -7.4 -3.7 -6.6 -5.6 8.0 9.0 5.5 4.5 5.4 -3.6 10.8 4.8 4.1 4.5 3.2 2.5 3.7 -2.2 4.5 -5.0 -14.9 -0.7 EUR -17.8 6.9 20.0 3.6 0.3 2.5 -1.0 -1.2 1.1 -9.6 11.5 -11.6 -3.2 -0.3 12.4 -8.2 -8.6 -8.2 -8.5 11.1 12.8 -10.3 -1.4 -2.3 0.2 -11.1 4.2 -2.0 4.1 -3.3 -1.2 -0.3 -10.6 -7.6 -8.5 1.9 7.8 EUROSTX 4.2 20.0 20.0 4.1 0.5 2.6 0.7 0.4 3.1 12.3 15.3 12.8 6.7 15.4 16.2 11.7 5.7 9.2 6.9 20.0 20.0 12.6 13.4 18.7 -15.6 -8.5 6.1 3.4 5.8 3.5 3.3 4.7 16.0 19.3 4.7 1.8 16.3 FEEDCOW 9.8 3.0 6.7 1.0 1.0 -2.1 3.4 -1.3 3.8 9.6 2.3 12.8 0.7 10.1 10.7 -20.0 -20.0 -20.0 -20.0 6.3 3.5 9.0 0.7 8.5 -17.4 12.2 5.4 2.5 4.0 4.3 1.8 5.2 -20.0 10.6 13.2 12.9 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 -12.0 -0.3 -19.4 -1.4 5.1 -1.2 0.6 3.0 -1.4 8.4 -5.6 -7.4 8.7 -4.8 -4.0 20.0 20.0 20.0 20.0 -4.9 -1.4 -5.1 9.7 -7.6 -2.9 -15.4 -3.6 3.0 -2.4 -2.0 2.5 -3.7 20.0 -13.5 -4.1 -11.3 -11.5 GASOILINE -4.8 13.5 -7.0 -1.4 5.1 -1.2 0.6 3.0 -1.4 11.3 -4.5 1.4 3.4 6.2 7.5 -6.7 9.6 -13.7 -3.2 6.4 3.6 4.6 7.1 5.0 -14.9 -13.1 3.9 2.4 3.8 1.2 5.7 2.0 -11.2 -3.6 7.2 20.0 20.0 GAS_US -6.2 -20.0 -20.0 -1.4 5.1 -1.2 0.6 3.0 -1.4 7.5 -16.0 -10.1 -10.1 -15.5 -16.5 -3.8 -2.7 2.5 0.2 -20.0 -20.0 -8.1 -20.0 -20.0 -3.5 -9.3 -6.0 0.7 -5.0 -1.4 -0.6 -4.0 -20.0 -4.1 -11.4 -20.0 -20.0 GBP -14.3 3.3 14.8 3.6 0.3 2.5 -1.0 -1.2 1.1 -4.0 10.6 -7.7 -2.9 -1.9 10.7 -2.5 -1.8 -2.3 -2.1 4.4 5.4 -6.3 -4.8 -4.6 14.3 9.4 0.7 1.3 -0.4 -3.4 -6.1 -2.8 0.6 -9.0 -10.2 -14.7 -8.8 GOLD_micro -20.0 13.6 20.0 2.1 -4.3 2.8 -5.1 1.7 -1.6 -13.8 9.2 -14.4 -2.5 -0.2 10.6 -12.0 -9.7 -11.8 -11.2 10.1 12.2 -16.8 3.9 -5.2 6.8 -13.8 2.6 -5.0 3.5 -5.6 1.5 -2.0 -14.4 -0.2 -4.7 2.0 5.2 HEATOIL -10.9 -0.6 -16.7 -1.4 5.1 -1.2 0.6 3.0 -1.4 8.6 -4.9 -7.4 8.0 -6.1 -1.7 20.0 20.0 20.0 20.0 -3.5 -0.6 -3.8 9.5 -5.6 -16.1 -13.6 -0.5 2.6 1.3 -1.6 7.9 -2.1 20.0 -12.3 -1.7 2.6 2.0 JPY -15.3 10.6 20.0 3.6 0.3 2.5 -1.0 -1.2 1.1 -13.4 8.6 -12.8 -7.0 -1.8 10.8 -12.7 -11.2 -12.3 -12.2 7.9 7.5 -12.8 -6.6 -3.9 4.0 9.9 3.1 -5.8 2.5 -4.8 -4.4 -1.5 -16.1 -9.1 -18.9 -1.8 5.1 LEANHOG 0.3 -18.7 -11.2 1.0 1.0 -2.1 3.4 -1.3 3.8 11.2 -6.6 0.8 -4.5 -12.0 -11.0 -20.0 -7.6 -20.0 -20.0 -13.0 -9.3 0.6 -2.5 -9.5 -3.0 -11.1 -5.1 4.6 -4.0 0.0 -1.5 -3.6 -20.0 -2.7 -20.0 -20.0 -11.5 LIVECOW 11.6 5.1 10.5 1.0 1.0 -2.1 3.4 -1.3 3.8 10.1 13.7 13.4 4.8 13.3 13.9 -20.0 -20.0 -20.0 -20.0 12.5 10.3 13.6 5.7 14.0 -20.0 12.0 6.0 3.8 5.2 5.1 3.7 5.9 -20.0 15.8 20.0 20.0 20.0 MXP -5.6 11.1 6.4 3.6 0.3 2.5 -1.0 -1.2 1.1 13.8 15.5 12.4 15.5 14.3 14.9 20.0 20.0 20.0 20.0 18.0 19.3 14.9 17.8 14.4 -20.0 9.7 5.9 6.3 6.5 4.4 5.6 4.3 20.0 20.0 8.2 18.3 4.3 NASDAQ 20.0 20.0 4.7 4.1 0.5 2.6 0.7 0.4 3.1 4.2 -4.0 11.3 -11.3 13.2 11.0 -6.5 -4.2 -5.9 -5.3 15.9 2.1 14.4 -9.6 20.0 6.5 10.2 4.9 2.0 1.9 3.5 -0.8 5.4 -2.4 20.0 20.0 4.2 -7.2 NIKKEI 20.0 7.8 -2.1 4.1 0.5 2.6 0.7 0.4 3.1 8.1 -0.2 13.8 0.7 13.3 4.1 20.0 13.9 20.0 17.0 8.1 1.5 11.6 -0.1 14.4 10.4 -9.4 2.4 2.8 -0.5 3.9 -1.5 4.7 20.0 8.4 20.0 -20.0 -20.0 NZD -13.3 3.4 20.0 3.6 0.3 2.5 -1.0 -1.2 1.1 -8.1 11.3 -10.3 -2.0 -2.3 11.8 0.4 0.5 0.2 0.1 6.6 8.4 -8.2 -0.9 -3.8 -0.4 10.8 2.8 -1.4 3.3 -3.7 -0.6 -1.7 4.5 -12.5 -9.6 -9.3 5.9 OAT -6.1 11.0 9.1 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -13.9 -8.9 -14.4 -12.3 -1.0 -2.1 8.9 12.4 11.1 12.3 -4.6 -8.5 -11.8 -16.4 -7.0 3.8 12.7 -0.2 -5.2 -3.2 -3.7 -9.5 -1.2 20.0 16.4 -0.2 -3.8 -2.5 OJ 12.7 -3.3 2.9 1.0 1.0 -2.1 3.4 -1.3 3.8 -4.0 15.0 7.4 15.1 10.6 13.1 20.0 15.6 20.0 19.3 20.0 20.0 17.8 20.0 20.0 -20.0 -14.1 5.4 -0.2 4.8 4.7 4.7 6.3 16.0 20.0 20.0 20.0 20.0 PALLAD -9.8 -11.5 -17.2 2.4 -5.4 2.8 -5.2 1.7 -1.3 -9.1 -14.5 -12.4 -12.0 -13.5 -14.9 -3.6 -1.8 -2.8 -2.3 -19.0 -18.4 -17.0 -14.9 -17.5 13.0 -11.1 -5.6 -8.4 -5.0 -7.2 -3.7 -6.0 0.0 18.1 -20.0 -20.0 -20.0 PLAT -20.0 -7.3 9.7 2.1 -4.3 2.8 -5.1 1.7 -1.6 -13.4 7.4 -15.2 2.1 -13.9 -1.4 -2.3 -0.9 -1.8 -1.2 -6.1 4.1 -20.0 4.1 -18.5 -1.4 11.2 -1.3 -8.2 2.2 -8.6 1.5 -6.3 1.7 2.7 -20.0 -15.7 -5.7 REDWHEAT 20.0 4.6 -13.0 1.0 1.0 -2.1 3.4 -1.3 3.8 9.3 -9.8 14.0 -8.9 12.3 -5.7 9.2 2.4 6.6 4.8 0.4 -8.3 13.7 -5.8 10.3 -1.4 12.9 1.4 6.3 -1.1 7.1 1.5 5.4 -8.1 13.4 10.2 5.9 -6.7 ROBUSTA 20.0 20.0 2.2 1.0 1.0 -2.1 3.4 -1.3 3.8 3.7 -3.8 8.7 -4.4 11.6 7.9 8.7 9.5 11.2 10.7 14.4 3.3 11.6 -1.1 18.0 -4.7 9.6 3.5 2.4 0.2 3.7 -0.8 5.2 3.1 -3.6 20.0 13.9 -4.4 RUSSELL 14.5 19.3 7.9 4.1 0.5 2.6 0.7 0.4 3.1 -6.1 3.0 4.3 -8.4 10.5 11.0 -5.8 -3.4 -5.3 -4.7 14.2 6.7 4.9 -2.7 13.6 -3.0 10.0 4.9 -0.0 3.0 1.4 0.7 4.2 -1.2 7.4 7.2 3.0 -5.6 SILVER-mini -20.0 -5.7 19.9 2.1 -4.3 2.8 -5.1 1.7 -1.6 -13.8 9.7 -15.0 -0.4 -12.0 7.4 -5.9 -4.1 -5.3 -4.9 -0.9 7.6 -19.9 3.1 -14.9 7.2 -11.3 -0.2 -5.5 2.4 -7.3 0.2 -5.3 -4.2 -0.9 -16.1 -19.4 0.8 SOYBEAN 0.2 -9.0 -0.4 1.0 1.0 -2.1 3.4 -1.3 3.8 12.2 4.1 8.5 4.2 -1.9 -2.4 20.0 20.0 20.0 20.0 -2.2 -0.2 8.9 5.6 1.4 -16.8 -11.7 1.0 8.2 2.9 6.6 7.7 2.7 20.0 16.2 -13.5 -3.4 8.7 SOYMEAL 5.2 13.7 20.0 1.0 1.0 -2.1 3.4 -1.3 3.8 10.2 14.0 12.9 13.3 13.5 15.0 20.0 17.8 20.0 19.8 20.0 20.0 15.1 17.6 17.7 -20.0 -12.0 6.2 3.1 7.0 3.7 6.6 4.5 18.0 17.3 7.5 19.5 20.0 SOYOIL -6.6 -12.5 -15.3 1.0 1.0 -2.1 3.4 -1.3 3.8 0.0 -2.7 -8.7 3.0 -10.6 -12.2 0.4 16.4 5.7 11.3 -11.4 -7.0 -6.1 2.8 -10.3 -10.1 12.9 -4.8 -0.6 -2.3 -2.5 2.6 -4.3 10.4 -17.7 -20.0 -20.0 -6.3 SP400 15.1 19.8 14.4 4.1 0.5 2.6 0.7 0.4 3.1 -3.2 10.0 6.9 -1.2 11.5 12.9 -5.5 -3.0 -4.7 -3.8 18.7 12.7 7.9 4.0 16.6 -7.4 10.2 5.3 1.0 3.9 2.1 2.0 4.5 -0.0 9.7 10.6 3.4 0.4 SP500 17.4 15.7 7.7 4.1 0.5 2.6 0.7 0.4 3.1 6.6 2.0 12.1 -6.6 13.4 12.6 -7.2 -4.5 -6.4 -5.6 13.7 5.3 10.6 -3.4 15.3 2.6 10.2 5.1 2.6 2.5 3.4 -0.5 5.1 -2.8 14.7 10.5 -3.9 -5.4 SUGAR11 15.3 0.5 13.1 1.0 1.0 -2.1 3.4 -1.3 3.8 -1.4 10.6 7.6 7.6 9.8 11.7 20.0 20.0 20.0 20.0 15.4 13.3 8.3 9.1 14.0 -20.0 10.7 6.0 0.6 6.0 2.3 4.5 4.4 20.0 -9.2 19.3 20.0 20.0 US10 -13.6 11.9 15.8 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -13.7 -5.4 -14.3 -11.0 -5.9 5.7 -8.4 -2.6 -8.2 -6.6 -2.1 -5.1 -20.0 -16.3 -10.9 0.5 9.7 -0.4 -9.6 -1.4 -8.8 -6.6 -4.5 -8.7 -12.4 -6.9 -7.4 1.0 US10U -10.9 11.5 15.0 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -13.5 -5.0 -13.9 -11.0 -2.7 7.2 0.4 3.5 0.6 1.2 -1.2 -4.9 -17.5 -16.4 -8.9 -2.5 -14.1 0.9 -8.4 -0.3 -7.6 -5.5 -3.2 3.2 -8.0 -2.8 -3.0 3.8 US20 -9.3 11.5 15.3 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -13.2 -3.1 -13.3 -9.9 -0.1 9.3 -10.7 -1.5 -7.5 -4.5 0.5 -3.9 -15.9 -16.0 -7.1 -0.7 -12.3 0.5 -7.9 -0.9 -7.4 -5.9 -3.2 -5.5 -4.6 0.5 -7.6 1.7 US30 -5.1 12.3 19.4 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -11.9 -2.2 -11.8 -11.3 2.7 8.4 -2.3 -0.5 -1.8 -1.4 2.1 -3.8 -12.4 -17.9 -4.0 -3.6 10.0 2.1 -6.6 0.4 -5.7 -5.4 -1.5 -2.4 0.0 3.7 -2.6 4.7 US5 -16.3 11.5 15.8 1.0 -6.9 -1.1 -5.3 -5.6 -1.4 -14.0 -5.7 -14.8 -11.4 -9.3 4.3 -10.5 -2.4 -8.9 -7.0 -3.7 -6.1 -20.0 -17.7 -13.4 2.7 10.8 -1.1 -10.7 -1.9 -9.7 -7.2 -5.4 -8.9 -19.0 -13.3 -10.0 -0.3 VIX 4.3 -19.2 -20.0 -4.8 -1.0 -4.7 -0.5 -3.4 -2.8 -0.0 -15.3 -1.8 -13.9 -11.3 -14.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -2.4 -19.1 -12.7 NaN -13.5 -5.9 -1.1 -6.5 -0.3 -5.0 -2.8 NaN NaN NaN NaN NaN WHEAT 20.0 3.5 -18.5 1.0 1.0 -2.1 3.4 -1.3 3.8 12.1 -12.3 14.5 -12.6 8.1 -9.2 -10.1 -6.2 -8.8 -7.5 -3.6 -14.3 17.9 -12.0 9.8 3.6 11.9 0.5 10.1 -2.5 9.5 -0.4 5.6 -20.0 20.0 10.2 6.0 -9.9 End of report for caleb_strategy_v1