******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230216_204346 produced at 2023-02-16 21:36:06.829955 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.36 -0.29 0.0 40286796.61 -40286796.61 -0.36 -0.40 -7.29 999999999 -9 -10 caleb_strategy_v1 VIX False False 0.01 -0.22 -0.25 0.0 7373053.15 -7373053.15 -0.22 -0.22 -33.40 999999999 -30 -30 caleb_strategy_v1 US20 False False 0.04 0.00 -0.17 0.0 42984644.43 -42984644.43 0.00 0.00 -4.06 999999999 0 0 caleb_strategy_v1 CHF False False 0.05 -0.28 -0.15 0.0 46175235.27 -46175235.27 -0.28 -0.28 -3.30 999999999 -6 -6 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.11 0.0 14180782.13 -14180782.13 -0.09 -0.09 -7.64 999999999 -6 -6 caleb_strategy_v1 EUR False False 0.05 -0.05 -0.09 0.0 45540948.37 -45540948.37 -0.05 -0.05 -2.04 999999999 -1 -1 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.07 0.0 22422254.93 -22422254.93 -0.11 -0.11 -2.96 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.07 0.0 50486918.59 -50486918.59 0.00 0.00 -1.37 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.07 0.0 33217051.79 -33217051.79 -0.17 -0.17 -2.13 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.11 -0.04 0.0 36545993.80 -36545993.80 -0.11 -0.11 -1.15 999999999 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 6287698.86 -6287698.86 -0.02 -0.02 -6.33 999999999 -3 -3 caleb_strategy_v1 JPY False False 0.03 -0.16 -0.04 0.0 31837797.05 -31837797.05 -0.16 -0.16 -1.11 999999999 -5 -5 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.04 0.0 38311610.16 -38311610.16 -0.04 -0.04 -0.96 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.03 0.0 38158317.06 -38158317.06 0.00 0.00 -0.67 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9310820.93 -9310820.93 -0.02 -0.02 -3.74 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 18602911.23 -18602911.23 0.00 0.00 -0.55 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8694413.25 -8694413.25 -0.01 -0.01 -0.83 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 49380725.47 -49380725.47 0.00 0.00 -0.24 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14066695.62 -14066695.62 0.00 0.00 -0.38 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 11429935.16 -11429935.16 0.00 0.00 -0.55 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14814217.64 -14814217.64 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.00 -0.00 0.0 799286.64 -799286.64 -0.00 -0.00 -1.74 999999999 -2 -4 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 13737206.99 -13737206.99 -0.04 -0.04 -0.20 999999999 -3 -3 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12497069.67 -12497069.67 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4162990.35 -4162990.35 0.00 0.00 2.25 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 6988224.05 -6988224.05 0.01 0.01 2.06 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15633256.57 -15633256.57 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.01 0.0 46720126.03 -46720126.03 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 22604452.78 -22604452.78 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21390368.05 -21390368.05 0.00 0.00 1.13 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 23520550.37 -23520550.37 0.00 0.00 0.78 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7506415.16 -7506415.16 0.00 0.00 3.07 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5804108.30 -5804108.30 0.00 0.00 4.16 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 39781997.88 -39781997.88 0.00 0.00 0.47 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 28036332.58 -28036332.58 0.00 0.00 0.60 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 10131562.64 -10131562.64 0.06 0.06 2.61 999999999 6 6 caleb_strategy_v1 COPPER False False 0.03 0.00 0.03 0.0 34238721.98 -34238721.98 0.00 0.00 0.90 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15681045.96 -15681045.96 0.00 0.00 2.08 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.15 0.03 0.0 25603480.46 -25603480.46 0.15 0.15 1.19 999999999 6 6 caleb_strategy_v1 SP500 False False 0.07 0.00 0.03 0.0 70610180.46 -70610180.46 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.04 0.0 23379219.33 -23379219.33 0.02 0.02 1.53 999999999 1 1 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3343415.67 -3343415.67 0.00 0.00 11.86 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9109892.46 -9109892.46 0.03 0.03 4.26 999999999 3 3 caleb_strategy_v1 CAC False False 0.03 0.03 0.05 0.0 26732120.06 -26732120.06 0.03 0.03 1.87 999999999 1 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 25419154.13 -25419154.13 0.00 0.00 2.15 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 41522156.09 -41522156.09 0.04 0.04 1.14 999999999 1 1 caleb_strategy_v1 NASDAQ False False 0.09 0.17 0.05 0.0 86435000.19 -86435000.19 0.17 0.17 0.62 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.09 0.06 0.0 47228992.71 -47228992.71 0.09 0.09 1.27 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5679869.45 -5679869.45 0.00 0.00 10.06 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.55 0.06 0.0 91715332.24 -91715332.24 0.55 0.55 0.65 999999999 6 6 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.06 0.0 15781398.75 -15781398.75 0.08 0.08 3.87 999999999 5 5 caleb_strategy_v1 CRUDE_W False False 0.03 0.10 0.07 0.0 26093456.45 -26093456.45 0.10 0.10 2.73 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 5.46 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.08 0.17 0.0 42367613.37 -42367613.37 0.08 0.08 4.04 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.24 0.0 49109406.31 -49109406.31 0.10 0.10 4.88 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 61.80 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 19.1 Shocked risk 60.0 Sum abs risk 52.6 Leverage 3.50 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2936368.36, 'annual_cash_vol_target': 734092.09, 'daily_cash_vol_target': 45880.755625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0056 0.6906 0.8137 13.0189 BITCOIN 725.1461 23470.0000 3.0897 49.4348 BOBL 0.3718 116.2600 0.3198 5.1169 BTP 1.0220 113.9400 0.8969 14.3508 BUND 0.8251 134.7600 0.6123 9.7962 BUXL 1.9420 138.5400 1.4018 22.4281 CAC 59.3245 7335.5000 0.8087 12.9397 CAD 0.0034 0.7464 0.4622 7.3950 CANOLA 6.8923 818.2000 0.8424 13.4779 CHF 0.0058 1.0847 0.5386 8.6180 COCOA 33.4114 2734.0000 1.2221 19.5531 COFFEE 0.0384 1.7700 2.1709 34.7337 COPPER 0.0468 4.0215 1.1647 18.6359 CORN 4.3562 595.0000 0.7321 11.7141 COTTON2 0.0151 0.8261 1.8257 29.2111 CRUDE_W 1.2463 76.6200 1.6266 26.0248 DAX 128.2012 15586.0000 0.8225 13.1607 DOW 244.4406 34086.0000 0.7171 11.4741 EUR 0.0056 1.0698 0.5274 8.4388 EUROSTX 37.9592 4303.0000 0.8822 14.1145 FEEDCOW 1.0846 195.0750 0.5560 8.8958 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 17.9257 823.2500 2.1774 34.8390 GASOILINE 0.0496 2.6785 1.8510 29.6162 GAS_US 0.1552 2.5530 6.0774 97.2380 GBP 0.0082 1.2029 0.6851 10.9615 GOLD_micro 16.1257 1846.3000 0.8734 13.9745 HEATOIL 0.0582 2.7813 2.0912 33.4592 JPY 0.0001 0.0075 0.8289 13.2626 LEANHOG 1.4026 104.1000 1.3473 21.5571 LIVECOW 0.8687 164.6000 0.5278 8.4444 MXP 0.0004 0.0535 0.7100 11.3592 NASDAQ 147.0195 12690.2500 1.1585 18.5364 NIKKEI 214.8135 27600.0000 0.7783 12.4530 NZD 0.0048 0.6281 0.7613 12.1811 OAT 0.8705 129.6000 0.6717 10.7474 OJ 0.0417 2.2375 1.8619 29.7898 PALLAD 37.6539 1450.0000 2.5968 41.5491 PLAT 17.0087 918.1000 1.8526 29.6415 REDWHEAT 11.9740 870.0000 1.3763 22.0212 ROBUSTA 27.4443 2052.0000 1.3374 21.3990 RUSSELL 21.7083 1963.5000 1.1056 17.6895 SILVER-mini 0.3678 21.8500 1.6834 26.9350 SOYBEAN 9.4729 1373.0000 0.6899 11.0390 SOYMEAL 5.5565 463.4000 1.1991 19.1851 SOYOIL 0.8534 61.1600 1.3954 22.3262 SP400 25.4551 2693.1000 0.9452 15.1232 SP500 34.6984 4146.7500 0.8368 13.3882 SUGAR11 0.0028 0.1968 1.4445 23.1119 US10 0.4941 112.0469 0.4410 7.0560 US10U 0.6658 118.2969 0.5628 9.0054 US20 0.9327 126.2188 0.7390 11.8232 US30 1.4817 137.1875 1.0801 17.2813 US5 0.3316 107.3125 0.3090 4.9443 VIX 0.5177 21.6500 2.3914 38.2617 WHEAT 10.0007 806.7500 1.2396 19.8340 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 690.65 0.81 561.97 1.00 561.97 45880.76 81.64 6.00 48.95 BITCOIN 23.47 3.09 72.51 1.00 72.51 45880.76 632.71 -1.17 -73.95 BOBL 1162.60 0.32 371.81 1.07 399.53 45880.76 114.84 4.87 55.93 BTP 1139.40 0.90 1021.96 1.07 1098.14 45880.76 41.78 13.46 56.23 BUND 1347.60 0.61 825.09 1.07 886.60 45880.76 51.75 13.08 67.68 BUXL 1385.40 1.40 1941.99 1.07 2086.77 45880.76 21.99 -7.42 -16.32 CAC 733.55 0.81 593.24 1.07 637.47 45880.76 71.97 9.25 66.54 CAD 746.40 0.46 344.98 1.00 344.98 45880.76 133.00 9.06 120.51 CANOLA 163.64 0.84 137.85 0.75 103.39 45880.76 443.78 5.52 245.11 CHF 1355.88 0.54 730.31 1.00 730.31 45880.76 62.82 -14.02 -88.11 COCOA 273.40 1.22 334.11 1.00 334.11 45880.76 137.32 -12.49 -171.47 COFFEE 663.75 2.17 1440.91 1.00 1440.91 45880.76 31.84 6.99 22.25 COPPER 1005.37 1.16 1171.00 1.00 1171.00 45880.76 39.18 8.39 32.88 CORN 297.50 0.73 217.81 1.00 217.81 45880.76 210.65 13.73 289.26 COTTON2 413.05 1.83 754.10 1.00 754.10 45880.76 60.84 -4.14 -25.17 CRUDE_W 766.20 1.63 1246.26 1.00 1246.26 45880.76 36.81 5.61 20.67 DAX 155.86 0.82 128.20 1.07 137.76 45880.76 333.05 5.56 185.25 DOW 170.43 0.72 122.22 1.00 122.22 45880.76 375.39 3.89 145.98 EUR 1337.25 0.53 705.30 1.00 705.30 45880.76 65.05 -8.37 -54.42 EUROSTX 430.30 0.88 379.59 1.07 407.89 45880.76 112.48 6.59 74.12 FEEDCOW 975.38 0.56 542.30 1.00 542.30 45880.76 84.60 -9.36 -79.22 FTSE100 707.00 0.82 576.59 1.21 666.67 45880.76 68.82 7.70 52.98 GASOIL 823.25 2.18 1792.57 1.00 1792.57 45880.76 25.59 3.28 8.38 GASOILINE 1124.97 1.85 2082.33 1.00 2082.33 45880.76 22.03 -10.57 -23.28 GAS_US 255.30 6.08 1551.55 1.00 1551.55 45880.76 29.57 -18.64 -55.12 GBP 751.81 0.69 515.06 1.00 515.06 45880.76 89.08 7.46 66.41 GOLD_micro 184.63 0.87 161.26 1.00 161.26 45880.76 284.52 -9.94 -282.79 HEATOIL 1168.15 2.09 2442.83 1.00 2442.83 45880.76 18.78 3.48 6.53 JPY 934.88 0.83 774.93 1.00 774.93 45880.76 59.21 -2.89 -17.13 LEANHOG 416.40 1.35 561.02 1.00 561.02 45880.76 81.78 -20.00 -163.56 LIVECOW 658.40 0.53 347.49 1.00 347.49 45880.76 132.04 -8.34 -110.16 MXP 267.50 0.71 189.91 1.00 189.91 45880.76 241.59 14.41 348.03 NASDAQ 2538.05 1.16 2940.39 1.00 2940.39 45880.76 15.60 7.37 11.50 NIKKEI 27600.00 0.78 21481.35 0.01 162.82 45880.76 281.78 11.55 325.35 NZD 628.10 0.76 478.19 1.00 478.19 45880.76 95.95 7.38 70.85 OAT 1296.00 0.67 870.54 1.07 935.44 45880.76 49.05 12.84 62.99 OJ 335.62 1.86 624.89 1.00 624.89 45880.76 73.42 -4.26 -31.27 PALLAD 1450.00 2.60 3765.39 1.00 3765.39 45880.76 12.18 -8.19 -9.98 PLAT 459.05 1.85 850.43 1.00 850.43 45880.76 53.95 2.85 15.35 REDWHEAT 435.00 1.38 598.70 1.00 598.70 45880.76 76.63 4.74 36.33 ROBUSTA 205.20 1.34 274.44 1.00 274.44 45880.76 167.18 9.49 158.59 RUSSELL 98.18 1.11 108.54 1.00 108.54 45880.76 422.70 5.42 228.92 SILVER-mini 546.25 1.68 919.58 1.00 919.58 45880.76 49.89 -4.96 -24.77 SOYBEAN 686.50 0.69 473.64 1.00 473.64 45880.76 96.87 2.68 25.96 SOYMEAL 463.40 1.20 555.65 1.00 555.65 45880.76 82.57 7.95 65.68 SOYOIL 366.96 1.40 512.05 1.00 512.05 45880.76 89.60 3.87 34.65 SP400 2693.10 0.95 2545.51 1.00 2545.51 45880.76 18.02 6.99 12.60 SP500 2073.38 0.84 1734.92 1.00 1734.92 45880.76 26.45 5.67 15.00 SUGAR11 220.42 1.44 318.39 1.00 318.39 45880.76 144.10 15.70 226.24 US10 1120.47 0.44 494.13 1.00 494.13 45880.76 92.85 -1.89 -17.56 US10U 1182.97 0.56 665.82 1.00 665.82 45880.76 68.91 -7.26 -50.00 US20 1262.19 0.74 932.69 1.00 932.69 45880.76 49.19 -11.19 -55.06 US30 1371.88 1.08 1481.74 1.00 1481.74 45880.76 30.96 1.03 3.19 US5 1073.12 0.31 331.62 1.00 331.62 45880.76 138.35 -2.16 -29.95 VIX 216.50 2.39 517.73 1.00 517.73 45880.76 88.62 -20.00 -177.24 WHEAT 403.38 1.24 500.03 1.00 500.03 45880.76 91.76 -4.08 -37.42 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 48.950 0.006 2.5 0.782 BITCOIN -73.953 0.009 2.5 -1.742 BOBL 55.931 0.029 2.5 4.036 BTP 56.230 0.008 2.5 1.136 BUND 67.684 0.029 2.5 4.884 BUXL -16.323 0.034 2.5 -1.370 CAC 66.541 0.011 2.5 1.871 CAD 120.512 0.007 2.5 2.152 CANOLA 245.111 0.004 2.5 2.250 CHF -88.107 0.015 2.5 -3.297 COCOA -171.472 0.009 2.5 -3.735 COFFEE 22.250 0.005 2.5 0.288 COPPER 32.882 0.011 2.5 0.899 CORN 289.263 0.004 2.5 2.609 COTTON2 -25.173 0.006 2.5 -0.379 CRUDE_W 20.667 0.053 2.5 2.730 DAX 185.248 0.022 2.5 10.061 DOW 145.984 0.011 2.5 4.160 EUR -54.420 0.015 2.5 -2.037 EUROSTX 74.116 0.011 2.5 2.084 FEEDCOW -79.224 0.011 2.5 -2.129 FTSE100 52.976 0.041 2.5 5.461 GASOIL 8.383 0.029 2.5 0.598 GASOILINE -23.283 0.016 2.5 -0.956 GAS_US -55.115 0.006 2.5 -0.830 GBP 66.411 0.007 2.5 1.186 GOLD_micro -282.794 0.009 2.5 -6.327 HEATOIL 6.535 0.029 2.5 0.466 JPY -17.127 0.026 2.5 -1.109 LEANHOG -163.561 0.019 2.5 -7.642 LIVECOW -110.157 0.011 2.5 -2.960 MXP 348.035 0.005 2.5 4.261 NASDAQ 11.497 0.022 2.5 0.624 NIKKEI 325.352 0.076 2.5 61.795 NZD 70.852 0.006 2.5 1.132 OAT 62.992 0.008 2.5 1.272 OJ -31.266 0.007 2.5 -0.545 PALLAD -9.981 0.010 2.5 -0.240 PLAT 15.353 0.010 2.5 0.369 REDWHEAT 36.327 0.002 2.5 0.194 ROBUSTA 158.589 0.005 2.5 2.056 RUSSELL 228.920 0.021 2.5 11.857 SILVER-mini -24.769 0.009 2.5 -0.554 SOYBEAN 25.959 0.024 2.5 1.531 SOYMEAL 65.683 0.024 2.5 3.873 SOYOIL 34.647 0.004 2.5 0.318 SP400 12.598 0.021 2.5 0.653 SP500 14.995 0.011 2.5 0.427 SUGAR11 226.236 0.005 2.5 3.070 US10 -17.563 0.015 2.5 -0.674 US10U -50.000 0.058 2.5 -7.285 US20 -55.063 0.029 2.5 -4.058 US30 3.193 0.034 2.5 0.268 US5 -29.945 0.015 2.5 -1.149 VIX -177.239 0.075 2.5 -33.401 WHEAT -37.418 0.002 2.5 -0.200 ==================== Position diags ==================== AUD 1.30 BITCOIN 14.91 BOBL 8.29 BTP 0.84 BUND 3.73 BUXL 1.85 CAC 2.02 CAD 2.37 CANOLA 4.07 CHF 2.35 COCOA 2.99 COFFEE 0.41 COPPER 1.07 CORN 1.90 COTTON2 0.92 CRUDE_W 4.86 DAX 18.09 DOW 10.70 EUR 2.43 EUROSTX 3.16 FEEDCOW 2.27 FTSE100 7.09 GASOIL 1.83 GASOILINE 0.90 GAS_US 0.45 GBP 1.59 GOLD_micro 6.37 HEATOIL 1.34 JPY 3.83 LEANHOG 3.82 LIVECOW 3.55 MXP 2.96 NASDAQ 0.85 NIKKEI 53.52 NZD 1.53 OAT 0.99 OJ 1.28 PALLAD 0.29 PLAT 1.30 REDWHEAT 0.41 ROBUSTA 2.17 RUSSELL 21.89 SILVER-mini 1.12 SOYBEAN 5.71 SOYMEAL 4.87 SOYOIL 0.82 SP400 0.93 SP500 0.75 SUGAR11 1.96 US10 3.56 US10U 10.04 US20 3.63 US30 2.60 US5 5.31 VIX 16.70 WHEAT 0.49 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 -1.7 -3.2 -0.3 -2.0 -2 BOBL 4.0 3.2 4.9 2.0 2 BTP 1.1 1.1 1.2 1.0 1 BUND 4.9 4.5 5.3 2.0 2 BUXL -1.4 -1.6 -1.2 0.0 0 CAC 1.9 1.7 2.1 1.0 1 CAD 2.2 1.9 2.4 0.0 0 CANOLA 2.2 1.8 2.7 NaN 0 CHF -3.3 -3.5 -3.1 -6.0 -6 COCOA -3.7 -4.0 -3.4 -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 2.7 2.2 3.2 4.0 4 DAX 10.1 8.3 11.9 0.0 0 DOW 4.2 3.1 5.2 0.0 0 EUR -2.0 -2.3 -1.8 -1.0 -1 EUROSTX 2.1 1.8 2.4 0.0 0 FEEDCOW -2.1 -2.4 -1.9 -5.0 -5 FTSE100 5.5 4.8 6.2 0.0 0 GASOIL 0.6 0.4 0.8 0.0 0 GASOILINE -1.0 -1.0 -0.9 -1.0 -1 GAS_US -0.8 -0.9 -0.8 -1.0 -1 GBP 1.2 1.0 1.3 6.0 6 GOLD_micro -6.3 -7.0 -5.7 -3.0 -3 HEATOIL 0.5 0.3 0.6 0.0 0 JPY -1.1 -1.5 -0.7 -5.0 -5 LEANHOG -7.6 -8.0 -7.3 -6.0 -6 LIVECOW -3.0 -3.3 -2.6 -5.0 -5 MXP 4.3 4.0 4.6 3.0 3 NASDAQ 0.6 0.5 0.7 2.0 2 NIKKEI 61.8 56.4 67.1 0.0 0 NZD 1.1 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 0.2 0.5 NaN 0 REDWHEAT 0.2 0.2 0.2 0.0 0 ROBUSTA 2.1 1.8 2.3 2.0 2 RUSSELL 11.9 9.7 14.0 0.0 0 SILVER-mini -0.6 -0.7 -0.4 0.0 0 SOYBEAN 1.5 1.0 2.1 1.0 1 SOYMEAL 3.9 3.4 4.4 5.0 5 SOYOIL 0.3 0.2 0.4 0.0 0 SP400 0.7 0.6 0.7 6.0 6 SP500 0.4 0.4 0.5 0.0 0 SUGAR11 3.1 2.9 3.3 0.0 0 US10 -0.7 -1.0 -0.3 NaN 0 US10U -7.3 -8.3 -6.3 -9.0 -9 US20 -4.1 -4.4 -3.7 0.0 0 US30 0.3 0.0 0.5 0.0 0 US5 -1.1 -1.7 -0.6 -3.0 -3 VIX -33.4 -35.1 -31.7 -30.0 -30 WHEAT -0.2 -0.2 -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 -0.1 -0.0 0.0 -0.0 BITCOIN 0.1 0.3 0.1 0.0 -0.0 0.1 -0.1 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 2.9 -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 1.1 0.0 -0.0 -0.1 -0.2 BTP -0.1 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 0.0 -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 -0.2 -0.0 -0.3 -0.0 0.8 2.5 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 0.1 -0.0 -0.0 -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 -0.2 0.1 0.0 0.1 0.1 -0.1 -0.2 -0.0 -0.3 -0.0 0.2 -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 0.0 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 -0.3 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 0.1 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 0.4 0.4 0.1 0.1 -0.1 -0.1 -0.0 -0.0 -0.0 0.5 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 0.0 -0.0 0.0 0.0 0.2 0.0 -0.1 0.0 0.2 -0.1 -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 0.2 -0.1 0.2 0.3 COFFEE 0.2 0.2 -0.1 0.0 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.0 0.1 0.1 0.1 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 0.3 -0.1 0.1 0.1 CORN 0.0 -0.1 -0.3 0.0 -0.0 -0.1 0.0 -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 -0.1 -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 -1.5 2.1 0.0 0.0 0.0 0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.2 DAX 0.0 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 -1.8 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 -0.0 -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 0.0 -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 0.2 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 -0.1 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 0.3 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 -0.2 -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 -0.2 -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 -0.5 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 -1.5 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 -0.4 -0.1 0.0 -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 0.0 0.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.3 -0.0 -0.1 -0.0 0.2 -0.2 -0.1 -0.0 -0.0 0.0 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 -0.3 -0.2 -0.1 GOLD_micro -0.2 0.2 0.4 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.1 -0.1 -0.0 0.2 -1.0 -0.4 -0.2 -0.2 0.1 0.1 -0.0 0.0 -0.0 0.8 -2.7 0.0 -0.0 0.0 -0.0 0.0 -0.0 -1.8 -0.0 -0.0 0.0 0.1 HEATOIL -0.2 -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 0.5 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 0.2 -0.9 -0.5 -0.2 -0.2 0.1 0.1 -0.0 -0.1 -0.0 0.6 2.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -2.0 -0.1 -0.4 -0.1 0.1 LEANHOG 0.0 -0.3 -0.2 0.0 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.1 -0.0 -0.2 -1.6 -0.4 -0.4 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.4 -2.3 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -2.7 0.1 -0.3 -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 -0.1 0.2 0.1 0.0 -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 0.2 0.5 0.1 -0.1 NIKKEI 0.2 0.2 -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 -0.2 0.0 0.3 0.1 -0.0 0.1 -0.0 -0.0 0.0 -0.0 0.3 -0.0 -0.0 -0.0 0.3 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 -0.1 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 -0.0 -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 2.3 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 -0.1 -0.3 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 2.6 -2.6 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 0.0 -0.3 -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 0.0 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.2 2.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 0.0 -0.3 -0.2 -0.1 REDWHEAT 0.2 0.1 -0.2 0.0 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.0 -0.1 0.8 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 -0.0 RUSSELL 0.2 0.3 0.2 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 0.0 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 0.2 -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 -0.2 -0.3 0.0 SOYBEAN 0.0 -0.1 -0.0 0.0 -0.0 -0.1 0.0 -0.0 0.0 0.0 0.1 0.0 0.1 -0.0 -0.1 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 0.0 0.2 0.3 0.0 -0.0 -0.1 0.0 -0.0 0.0 -0.0 0.3 0.0 0.3 0.0 0.3 1.6 0.7 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -2.8 -2.5 0.1 -0.0 0.1 0.0 0.1 0.0 2.5 0.1 0.1 0.3 0.3 SOYOIL -0.0 -0.2 -0.2 0.0 -0.0 -0.1 0.0 -0.0 0.0 0.0 -0.1 -0.0 0.1 -0.0 -0.3 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 -0.0 -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 -0.6 -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 0.1 0.3 -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 0.1 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 -0.2 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 -0.7 -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 -0.2 0.2 0.2 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 0.1 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 -0.1 -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 -0.5 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 -0.1 -0.1 -0.0 -0.2 -0.0 0.4 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.3 -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 0.0 -0.0 0.0 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 -9.1 13.7 16.5 3.4 -2.1 2.5 -1.8 -1.2 0.7 -8.8 7.6 -8.4 -3.0 4.7 11.6 -3.4 -2.5 -3.3 -3.0 8.4 6.6 -5.5 -1.8 0.8 3.9 11.7 3.4 -3.3 2.6 -2.7 -1.2 -0.0 -0.6 -5.7 -2.3 3.2 -2.8 BITCOIN 6.1 20.0 5.7 1.6 -5.7 2.6 -5.7 1.7 -2.3 2.0 3.4 3.1 -14.1 11.3 11.6 -2.5 -0.8 -0.8 -0.4 14.9 2.7 3.5 -15.4 11.7 13.4 -18.1 4.1 2.4 1.5 0.9 -1.5 3.1 2.7 20.0 20.0 20.0 -13.6 BOBL -4.6 10.7 1.4 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -14.0 -12.6 -14.9 -13.6 -4.7 -5.5 -12.1 6.7 -5.3 1.7 -9.5 -15.4 -17.1 -20.0 -11.1 11.0 10.8 -2.6 -9.1 -6.3 -7.0 -12.8 -3.6 8.0 18.3 -1.3 -6.0 -13.4 BTP -4.8 13.2 16.8 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -11.7 -0.1 -9.5 -9.9 5.3 6.5 6.9 13.2 10.2 12.8 3.6 -0.5 -4.4 -10.6 0.9 -5.7 11.4 3.4 -3.4 0.5 -0.4 -6.0 2.3 20.0 20.0 14.4 10.6 9.8 BUND -6.8 11.9 6.5 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -14.0 -11.1 -14.9 -13.0 -2.9 -3.4 10.0 15.1 11.8 13.3 -7.6 -12.6 -15.5 -20.0 -10.0 6.4 12.3 -1.3 -7.4 -4.3 -5.6 -10.3 -2.6 20.0 19.4 -0.4 -3.1 -7.1 BUXL -8.8 1.7 6.5 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -14.0 -9.6 -15.3 -12.4 -5.8 -6.4 1.8 0.0 3.0 2.6 -10.2 -13.2 -15.6 -20.0 -12.4 2.0 -10.8 -2.3 -6.7 -3.7 -5.5 -7.5 -3.7 1.4 12.4 -3.8 -12.9 -5.6 CAC 3.8 20.0 20.0 4.2 1.6 2.7 1.3 0.5 3.1 12.2 15.3 12.3 8.1 15.0 15.8 -3.5 1.6 -2.8 -1.1 20.0 20.0 17.3 15.1 20.0 -13.8 8.9 6.0 6.2 5.3 4.9 3.3 5.3 6.4 20.0 7.2 6.1 12.7 CAD 1.6 14.0 2.9 3.4 -2.1 2.5 -1.8 -1.2 0.7 0.2 -4.6 1.8 -8.6 9.8 6.9 -1.9 -1.3 -1.8 -1.7 3.6 -2.6 1.2 -9.4 3.3 15.1 10.4 2.9 -0.5 -1.0 0.8 -5.8 2.2 1.6 13.2 4.9 2.0 -16.2 CANOLA 0.2 -10.3 -9.6 0.8 -5.3 -2.2 0.3 -1.3 2.7 -13.0 -6.6 3.2 -8.2 -5.3 -6.8 5.3 10.2 4.8 6.1 -9.5 -11.0 -5.5 -4.5 -7.2 2.3 11.5 -4.0 -3.2 -3.7 -2.2 -0.5 -2.8 -0.4 -4.9 -18.1 -19.3 -12.8 CHF -8.9 0.7 17.0 3.4 -2.1 2.5 -1.8 -1.2 0.7 -7.5 12.5 -7.8 2.4 -1.4 12.7 -14.4 -13.0 -14.1 -13.8 7.2 9.3 -3.6 2.7 0.2 -6.4 -11.5 4.2 -2.7 4.4 -1.8 -0.3 0.5 -18.9 2.2 -2.1 -6.6 -0.6 COCOA -3.4 3.0 16.5 0.8 -5.3 -2.2 0.3 -1.3 2.7 13.1 10.3 6.8 -2.2 4.7 10.6 -1.7 -3.0 -1.9 -1.9 7.8 8.4 11.0 2.6 5.6 -17.3 -10.4 5.2 13.6 5.2 6.7 2.2 3.9 -18.2 20.0 -2.7 14.3 20.0 COFFEE 20.0 16.8 -7.7 0.8 -5.3 -2.2 0.3 -1.3 2.7 0.4 -9.1 10.9 -9.6 11.6 2.9 0.7 2.9 1.0 2.6 3.4 -9.5 11.8 -11.5 12.7 12.1 10.0 2.3 2.3 -2.2 4.4 -3.2 5.1 -8.7 8.6 20.0 13.5 -12.1 COPPER -20.0 18.7 20.0 1.6 -5.7 2.6 -5.7 1.7 -2.3 -9.1 7.8 -11.8 -3.2 3.8 10.8 -2.8 -0.6 -1.7 -1.1 13.7 14.2 -9.1 2.5 -0.5 2.2 11.1 3.3 -2.5 4.0 -3.0 1.7 -0.8 2.2 20.0 -2.4 10.5 9.6 CORN 3.5 -7.2 -15.9 0.8 -5.3 -2.2 0.3 -1.3 2.7 6.3 3.7 5.0 2.1 -5.4 -10.8 20.0 19.1 20.0 20.0 -4.7 -3.8 2.5 6.7 -0.5 -3.2 11.0 -4.6 0.8 -4.5 1.1 1.4 -1.3 20.0 6.7 -13.8 -12.3 -18.0 COTTON2 0.7 9.0 -3.7 0.8 -5.3 -2.2 0.3 -1.3 2.7 -9.1 -7.8 -4.6 -6.2 2.8 9.6 -3.4 11.0 -0.5 4.6 -0.1 -6.2 -7.1 -4.8 -1.1 2.2 -10.9 1.1 -12.1 -0.1 -6.0 3.0 -1.3 0.4 -11.2 -5.1 -1.1 9.4 CRUDE_W -6.5 3.0 -3.2 -1.4 1.2 -1.2 -0.2 3.0 -1.5 11.1 -1.2 3.6 1.6 2.6 0.8 8.9 12.2 8.7 9.8 0.8 0.1 4.0 4.0 1.3 -12.7 10.8 1.3 3.1 1.8 2.0 5.7 0.7 -0.2 4.7 2.5 5.3 10.7 DAX 1.3 20.0 20.0 4.2 1.6 2.7 1.3 0.5 3.1 10.8 14.9 11.3 2.8 14.8 15.8 -9.7 -4.6 -8.5 -6.7 20.0 20.0 11.9 10.0 18.7 -11.9 9.9 6.0 2.9 5.3 3.3 2.2 4.8 -3.6 20.0 4.8 6.1 18.1 DOW 3.2 3.8 14.3 4.2 1.6 2.7 1.3 0.5 3.1 4.5 11.0 9.9 2.0 7.2 9.4 -7.6 -3.8 -6.7 -5.7 7.9 9.1 4.1 4.6 5.1 -3.4 10.8 4.8 1.9 4.5 2.5 2.5 3.4 -2.2 -0.0 -3.1 -15.6 -1.2 EUR -20.0 6.1 20.0 3.4 -2.1 2.5 -1.8 -1.2 0.7 -12.0 11.4 -12.7 -3.2 -1.5 12.0 -8.2 -8.6 -8.2 -8.5 10.0 12.3 -11.3 -1.3 -3.5 0.0 -11.1 3.9 -3.5 4.1 -3.8 -1.2 -0.7 -10.6 -12.8 -8.0 1.2 7.3 EUROSTX 3.6 20.0 20.0 4.2 1.6 2.7 1.3 0.5 3.1 13.5 15.4 13.9 7.0 15.7 16.3 11.7 5.8 9.4 7.0 20.0 20.0 14.9 13.7 19.5 -15.8 -8.5 6.1 4.8 5.8 4.2 3.3 5.0 16.3 20.0 4.8 2.5 16.3 FEEDCOW 10.2 3.4 6.7 0.8 -5.3 -2.2 0.3 -1.3 2.7 5.4 2.5 13.0 0.8 10.5 11.0 -20.0 -20.0 -20.0 -20.0 6.6 3.8 8.3 0.8 8.5 -16.9 12.2 5.5 2.0 4.1 3.9 1.9 5.1 -20.0 19.3 14.6 13.6 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 -15.1 -0.8 -17.9 -1.4 1.2 -1.2 -0.2 3.0 -1.5 5.5 -5.8 -8.2 8.6 -5.5 -4.3 20.0 20.0 20.0 20.0 -5.5 -1.7 -6.6 9.8 -8.2 -2.8 -15.4 -3.7 -0.2 -2.6 -2.6 2.5 -3.8 20.0 -13.5 -8.3 -11.2 -11.7 GASOILINE -6.6 13.9 -6.4 -1.4 1.2 -1.2 -0.2 3.0 -1.5 11.3 -4.0 1.6 3.4 6.0 7.6 -5.6 9.6 -13.1 -3.0 6.6 3.8 4.4 7.3 5.3 -14.7 -13.1 3.9 1.7 3.9 1.2 5.8 2.1 -11.2 1.0 7.5 20.0 20.0 GAS_US -4.8 -20.0 -20.0 -1.4 1.2 -1.2 -0.2 3.0 -1.5 1.2 -16.0 -10.6 -10.2 -15.4 -16.5 -4.6 -2.8 2.0 -0.1 -20.0 -20.0 -8.3 -20.0 -20.0 -3.0 -9.3 -6.0 -0.4 -5.1 -1.5 -0.7 -3.9 -20.0 -4.3 -9.8 -20.0 -20.0 GBP -16.6 2.2 15.1 3.4 -2.1 2.5 -1.8 -1.2 0.7 -10.6 10.5 -10.4 -2.9 -3.4 10.2 -2.5 -1.8 -2.3 -2.1 3.2 4.8 -9.1 -4.6 -5.8 14.3 9.4 0.2 -4.5 -0.6 -5.0 -6.0 -3.5 0.6 -8.9 -13.1 -14.5 -9.3 GOLD_micro -20.0 12.6 20.0 1.6 -5.7 2.6 -5.7 1.7 -2.3 -14.0 8.9 -15.0 -2.5 -2.0 9.9 -12.0 -9.8 -11.8 -11.2 8.4 11.6 -19.6 3.8 -7.7 6.7 -13.8 2.1 -6.7 3.3 -6.5 1.4 -2.8 -14.4 -6.0 -2.2 1.0 5.2 HEATOIL -13.1 -1.0 -16.2 -1.4 1.2 -1.2 -0.2 3.0 -1.5 6.1 -5.0 -8.1 8.0 -6.8 -2.0 20.0 20.0 20.0 20.0 -3.9 -0.9 -5.0 9.5 -6.0 -15.8 -13.6 -0.7 -0.5 1.3 -2.2 8.0 -2.3 20.0 -10.7 -2.9 2.3 1.6 JPY -17.4 9.7 20.0 3.4 -2.1 2.5 -1.8 -1.2 0.7 -13.8 8.4 -13.9 -7.0 -4.5 10.2 -12.8 -11.2 -12.4 -12.3 6.4 6.9 -16.6 -6.7 -6.5 4.2 9.9 2.5 -7.9 2.3 -6.2 -4.4 -2.4 -16.2 -12.0 -20.0 -5.3 5.0 LEANHOG 2.5 -18.8 -11.8 0.8 -5.3 -2.2 0.3 -1.3 2.7 9.8 -6.7 3.9 -4.6 -11.3 -10.8 -20.0 -8.9 -20.0 -20.0 -12.5 -9.3 2.0 -2.7 -8.1 -2.6 -11.1 -5.0 3.5 -4.1 0.6 -1.6 -3.1 -20.0 10.2 -15.9 -20.0 -12.5 LIVECOW 12.0 5.9 10.8 0.8 -5.3 -2.2 0.3 -1.3 2.7 6.7 13.9 13.5 5.0 13.5 14.0 -20.0 -20.0 -20.0 -20.0 13.0 10.8 12.9 6.0 14.2 -20.0 12.0 6.0 2.9 5.3 4.7 3.7 5.8 -20.0 20.0 20.0 20.0 20.0 MXP -6.3 11.2 6.4 3.4 -2.1 2.5 -1.8 -1.2 0.7 11.1 15.6 11.9 15.5 14.2 14.9 20.0 20.0 20.0 20.0 18.1 19.3 14.1 17.8 14.7 -20.0 9.7 6.0 4.2 6.5 4.2 5.7 4.5 20.0 20.0 11.8 19.1 5.3 NASDAQ 20.0 20.0 5.3 4.2 1.6 2.7 1.3 0.5 3.1 8.7 -3.6 12.6 -11.1 13.8 11.6 -6.5 -4.3 -5.9 -5.3 16.9 2.8 16.3 -9.4 20.0 6.3 10.2 5.0 3.0 2.0 3.9 -0.7 5.4 -2.4 14.1 20.0 5.2 -6.3 NIKKEI 20.0 9.4 -2.1 4.2 1.6 2.7 1.3 0.5 3.1 2.2 0.0 13.1 0.9 13.3 4.4 20.0 14.0 20.0 17.2 8.2 1.8 9.4 -0.0 13.6 10.6 -9.4 2.4 1.0 -0.4 3.2 -1.5 4.5 20.0 4.6 19.7 -20.0 -20.0 NZD -16.4 2.6 20.0 3.4 -2.1 2.5 -1.8 -1.2 0.7 -11.9 11.2 -11.9 -1.9 -4.0 11.3 0.3 0.5 0.2 0.1 5.5 7.9 -10.5 -0.9 -5.1 -0.3 10.8 2.4 -4.6 3.1 -4.7 -0.6 -2.3 4.5 -10.3 -11.3 -9.0 5.6 OAT -8.2 9.8 9.0 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -14.0 -9.1 -14.9 -12.3 -2.1 -2.7 8.8 12.4 11.0 12.2 -5.6 -9.0 -14.2 -16.7 -8.8 3.7 12.7 -0.6 -6.4 -3.3 -4.8 -9.5 -2.0 20.0 20.0 0.8 -2.4 -2.8 OJ 12.1 -3.8 1.7 0.8 -5.3 -2.2 0.3 -1.3 2.7 -9.7 14.9 5.7 15.0 9.3 12.4 20.0 15.6 20.0 19.4 20.0 20.0 12.0 20.0 20.0 -20.0 -14.1 5.4 -1.0 4.9 3.6 4.8 5.8 16.2 20.0 20.0 20.0 20.0 PALLAD -12.8 -12.9 -18.3 1.6 -5.7 2.6 -5.7 1.7 -2.3 -13.5 -14.7 -14.4 -12.2 -14.6 -15.4 -3.6 -1.8 -2.8 -2.3 -20.0 -19.6 -20.0 -15.5 -20.0 13.9 -11.1 -5.6 -11.4 -4.5 -9.4 -3.2 -7.0 0.0 7.1 -15.8 -20.0 -20.0 PLAT -20.0 -8.8 8.9 1.6 -5.7 2.6 -5.7 1.7 -2.3 -13.8 6.8 -15.5 1.9 -14.4 -3.0 -2.4 -1.0 -1.8 -1.3 -7.9 3.2 -20.0 3.8 -20.0 -1.3 11.2 -1.8 -9.8 1.7 -9.3 1.2 -6.7 1.7 6.3 -17.7 -16.0 -6.8 REDWHEAT 20.0 5.1 -12.8 0.8 -5.3 -2.2 0.3 -1.3 2.7 3.3 -9.5 12.9 -8.9 12.1 -5.3 9.5 2.5 6.8 4.9 0.8 -7.9 10.6 -5.7 9.8 -1.6 12.9 1.6 1.9 -1.0 5.5 1.6 5.1 -7.8 10.5 11.5 6.4 -6.5 ROBUSTA 20.0 20.0 3.2 0.8 -5.3 -2.2 0.3 -1.3 2.7 1.1 -3.5 8.3 -4.3 11.5 8.3 8.6 9.5 11.0 10.7 14.5 3.7 10.1 -0.8 17.2 -4.9 9.6 3.6 1.2 0.3 3.3 -0.7 5.0 3.2 3.8 20.0 14.6 -2.2 RUSSELL 13.5 19.8 8.3 4.2 1.6 2.7 1.3 0.5 3.1 -2.7 3.3 5.2 -8.3 10.6 11.0 -5.8 -3.5 -5.4 -4.7 14.4 7.1 6.8 -2.4 13.7 -3.0 10.0 5.0 1.8 3.2 2.0 0.7 4.2 -1.1 1.0 8.9 3.0 -5.5 SILVER-mini -20.0 -6.6 19.2 1.6 -5.7 2.6 -5.7 1.7 -2.3 -14.0 9.4 -15.3 -0.5 -12.9 6.6 -6.0 -4.2 -5.4 -4.9 -2.1 7.0 -20.0 3.0 -16.3 7.0 -11.3 -0.7 -6.1 2.1 -7.4 0.1 -5.6 -4.2 1.1 -10.3 -20.0 0.5 SOYBEAN 3.3 -9.0 -0.5 0.8 -5.3 -2.2 0.3 -1.3 2.7 2.3 4.3 8.4 4.2 -1.9 -2.4 20.0 20.0 20.0 20.0 -2.0 -0.2 5.8 5.5 1.1 -16.6 -11.7 1.1 1.8 2.9 4.5 7.9 2.4 20.0 16.3 -10.2 -2.6 8.6 SOYMEAL 4.1 12.3 19.6 0.8 -5.3 -2.2 0.3 -1.3 2.7 -1.2 14.0 10.5 13.3 12.4 14.8 20.0 17.8 20.0 19.9 20.0 20.0 8.7 17.1 14.9 -20.0 -12.0 6.1 -0.7 7.1 2.2 6.8 4.0 18.1 11.4 7.4 19.6 20.0 SOYOIL -4.3 -12.4 -15.0 0.8 -5.3 -2.2 0.3 -1.3 2.7 9.9 -2.7 -5.2 3.0 -9.6 -12.1 0.6 16.2 5.6 11.1 -10.8 -6.9 -1.8 2.8 -8.3 -10.2 12.9 -4.7 2.6 -2.3 -0.8 2.6 -3.6 10.2 -0.7 -20.0 -19.4 -7.2 SP400 14.6 20.0 14.8 4.2 1.6 2.7 1.3 0.5 3.1 -0.6 10.2 7.7 -0.9 11.6 12.9 -5.7 -3.1 -4.7 -3.9 19.0 13.2 9.2 4.3 16.7 -7.5 10.2 5.4 2.1 4.0 2.5 2.1 4.5 -0.0 0.7 12.2 3.3 0.6 SP500 16.4 16.4 8.0 4.2 1.6 2.7 1.3 0.5 3.1 5.5 2.3 12.3 -6.5 13.5 12.8 -7.4 -4.6 -6.5 -5.7 14.0 5.8 10.1 -3.3 15.1 2.6 10.2 5.1 2.2 2.7 3.2 -0.4 5.0 -2.8 4.6 12.1 -4.0 -5.2 SUGAR11 14.0 0.2 12.8 0.8 -5.3 -2.2 0.3 -1.3 2.7 -5.8 10.7 6.5 7.7 9.5 11.6 20.0 20.0 20.0 20.0 14.7 13.0 5.2 9.1 12.3 -20.0 10.7 5.9 -1.0 6.1 1.5 4.6 4.0 20.0 -7.5 20.0 20.0 20.0 US10 -16.4 10.8 14.9 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -13.9 -5.6 -14.8 -11.1 -7.8 4.7 -8.4 -2.6 -8.2 -6.6 -3.6 -5.7 -20.0 -16.8 -13.2 0.6 9.7 -1.0 -9.8 -1.6 -9.2 -6.4 -5.2 -8.7 -16.3 -6.3 -8.4 0.8 US10U -13.5 10.6 14.3 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -13.9 -5.3 -14.6 -11.1 -4.6 6.4 0.5 3.5 0.6 1.2 -2.4 -5.4 -19.5 -16.8 -10.9 -2.5 -14.1 0.3 -9.1 -0.5 -8.2 -5.4 -4.0 3.2 -10.9 -1.6 -3.5 3.9 US20 -11.8 10.8 15.5 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -13.4 -3.3 -13.8 -10.0 -1.7 8.7 -10.6 -1.5 -7.6 -4.7 -0.7 -4.3 -17.7 -16.2 -9.0 -0.6 -12.3 -0.0 -9.2 -1.1 -8.1 -5.8 -4.0 -5.7 -8.0 1.5 -8.0 2.2 US30 -7.4 11.9 20.0 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -12.7 -2.3 -12.5 -11.3 1.4 7.9 -2.4 -0.5 -1.9 -1.5 1.1 -4.0 -14.1 -17.7 -5.7 -3.7 10.0 1.6 -8.3 0.2 -6.6 -5.4 -2.3 -2.4 -2.6 5.6 -2.6 5.3 US5 -19.4 10.2 14.6 0.5 -8.0 -1.2 -6.4 -5.5 -2.3 -14.1 -6.0 -15.2 -11.5 -10.7 3.1 -10.5 -2.5 -9.0 -7.1 -5.4 -6.9 -20.0 -18.3 -16.1 2.9 10.8 -1.7 -10.3 -2.0 -9.8 -6.9 -5.9 -9.0 -20.0 -12.7 -11.7 -0.6 VIX 5.4 -20.0 -20.0 -4.8 -1.8 -4.8 -1.1 -3.5 -2.9 -6.7 -15.3 -3.6 -14.0 -11.6 -14.7 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -4.9 -19.7 -13.2 NaN -13.5 -5.9 -2.1 -6.6 -1.0 -5.1 -3.0 NaN NaN NaN NaN NaN WHEAT 20.0 4.8 -17.6 0.8 -5.3 -2.2 0.3 -1.3 2.7 5.1 -12.0 12.8 -12.6 8.5 -9.0 -10.1 -6.2 -8.9 -7.5 -2.9 -13.5 13.4 -11.6 9.1 3.5 11.9 0.8 3.6 -2.3 7.3 -0.3 5.4 -20.0 20.0 11.4 6.4 -9.6 End of report for caleb_strategy_v1