******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230217_204321 produced at 2023-02-17 21:35:51.814386 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.41 -0.31 0.0 40573514.09 -40573514.09 -0.41 -0.45 -7.76 999999999 -10 -11 caleb_strategy_v1 VIX False False 0.01 -0.22 -0.25 0.0 7482555.86 -7482555.86 -0.22 -0.22 -33.57 999999999 -30 -30 caleb_strategy_v1 US20 False False 0.04 0.00 -0.18 0.0 43196708.96 -43196708.96 0.00 -0.04 -4.22 999999999 0 -1 caleb_strategy_v1 CHF False False 0.05 -0.28 -0.16 0.0 46598261.66 -46598261.66 -0.28 -0.23 -3.38 999999999 -6 -5 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.11 0.0 14197934.73 -14197934.73 -0.09 -0.09 -7.67 999999999 -6 -6 caleb_strategy_v1 EUR False False 0.05 -0.05 -0.10 0.0 46006967.73 -46006967.73 -0.05 -0.09 -2.11 999999999 -1 -2 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.07 0.0 22574957.03 -22574957.03 -0.11 -0.11 -2.98 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.07 0.0 50419861.67 -50419861.67 0.00 0.00 -1.46 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.07 0.0 33456485.39 -33456485.39 -0.17 -0.17 -2.13 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.11 -0.05 0.0 36904804.06 -36904804.06 -0.11 -0.11 -1.36 999999999 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 6368601.11 -6368601.11 -0.02 -0.02 -6.50 999999999 -3 -3 caleb_strategy_v1 JPY False False 0.03 -0.16 -0.04 0.0 32230894.34 -32230894.34 -0.16 -0.19 -1.28 999999999 -5 -6 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.04 0.0 38086312.53 -38086312.53 -0.04 -0.04 -0.95 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.03 0.0 38477108.36 -38477108.36 0.00 0.00 -0.81 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9563910.48 -9563910.48 -0.02 -0.02 -3.50 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 18792396.04 -18792396.04 0.00 0.00 -0.58 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9116677.25 -9116677.25 -0.01 -0.01 -0.85 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 52635910.18 -52635910.18 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14103327.70 -14103327.70 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 11739872.12 -11739872.12 0.00 0.00 -0.54 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15046817.79 -15046817.79 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.00 -0.00 0.0 860923.96 -860923.96 -0.00 -0.00 -1.72 999999999 -4 -5 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 13834127.70 -13834127.70 -0.04 -0.04 -0.21 999999999 -3 -3 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12787429.94 -12787429.94 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4173761.21 -4173761.21 0.00 0.00 2.25 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 7117888.77 -7117888.77 0.01 0.01 2.06 999999999 2 2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15955905.32 -15955905.32 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 0.00 0.01 0.0 46658466.13 -46658466.13 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23292680.35 -23292680.35 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21548040.74 -21548040.74 0.00 0.00 1.11 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 23703360.86 -23703360.86 0.00 0.00 0.76 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7617551.49 -7617551.49 0.00 0.00 3.12 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5839317.79 -5839317.79 0.00 0.00 4.12 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 39304369.41 -39304369.41 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 28012280.96 -28012280.96 0.00 0.00 0.57 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 10200357.76 -10200357.76 0.06 0.06 2.60 999999999 6 6 caleb_strategy_v1 COPPER False False 0.04 0.00 0.03 0.0 35559341.61 -35559341.61 0.00 0.00 0.87 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15749347.30 -15749347.30 0.00 0.00 2.21 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.15 0.03 0.0 25825568.51 -25825568.51 0.15 0.15 1.15 999999999 6 6 caleb_strategy_v1 SP500 False False 0.07 0.00 0.03 0.0 71045577.78 -71045577.78 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.04 0.0 23810868.84 -23810868.84 0.02 0.02 1.76 999999999 1 1 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3371450.46 -3371450.46 0.00 0.00 11.77 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9259447.86 -9259447.86 0.03 0.03 4.37 999999999 3 3 caleb_strategy_v1 CAC False False 0.03 0.03 0.05 0.0 27008027.05 -27008027.05 0.03 0.03 1.97 999999999 1 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 25605822.19 -25605822.19 0.00 0.00 2.10 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 41665346.44 -41665346.44 0.04 0.04 1.13 999999999 1 1 caleb_strategy_v1 NASDAQ False False 0.09 0.17 0.05 0.0 86799368.09 -86799368.09 0.17 0.17 0.61 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.09 0.06 0.0 47328526.37 -47328526.37 0.09 0.09 1.25 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5695373.72 -5695373.72 0.00 0.00 10.08 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.56 0.06 0.0 92721768.04 -92721768.04 0.56 0.65 0.67 999999999 6 7 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.06 0.0 15959345.58 -15959345.58 0.08 0.08 3.92 999999999 5 5 caleb_strategy_v1 CRUDE_W False False 0.03 0.10 0.07 0.0 26235388.95 -26235388.95 0.10 0.13 2.73 999999999 4 5 caleb_strategy_v1 BOBL False False 0.04 0.08 0.16 0.0 42470191.13 -42470191.13 0.08 0.08 3.81 999999999 2 2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.41 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.24 0.0 49205277.86 -49205277.86 0.10 0.10 4.85 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.45 0.0 0.00 0.00 0.00 0.00 63.94 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 61.2 Sum abs risk 52.8 Leverage 3.58 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2906760.79, 'annual_cash_vol_target': 726690.1975, 'daily_cash_vol_target': 45418.13734375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0055 0.6890 0.7992 12.7872 BITCOIN 781.9638 25025.0000 3.1247 49.9957 BOBL 0.3635 116.0900 0.3131 5.0094 BTP 1.0000 113.8900 0.8780 14.0485 BUND 0.8064 134.5000 0.5996 9.5933 BUXL 1.8942 137.8200 1.3744 21.9901 CAC 57.8946 7382.5000 0.7842 12.5474 CAD 0.0034 0.7443 0.4586 7.3368 CANOLA 6.7551 818.6000 0.8252 13.2031 CHF 0.0057 1.0836 0.5280 8.4477 COCOA 33.6563 2780.0000 1.2107 19.3705 COFFEE 0.0380 1.8055 2.1033 33.6526 COPPER 0.0506 4.1345 1.2244 19.5910 CORN 4.2941 593.0000 0.7241 11.5861 COTTON2 0.0146 0.8199 1.7834 28.5349 CRUDE_W 1.2210 76.2600 1.6012 25.6184 DAX 124.6523 15568.0000 0.8007 12.8111 DOW 243.9498 33947.0000 0.7186 11.4979 EUR 0.0055 1.0698 0.5171 8.2733 EUROSTX 36.8173 4305.0000 0.8552 13.6836 FEEDCOW 1.0715 194.5000 0.5509 8.8145 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 17.6180 814.2500 2.1637 34.6194 GASOILINE 0.0492 2.6359 1.8666 29.8658 GAS_US 0.1516 2.6500 5.7196 91.5129 GBP 0.0081 1.2011 0.6740 10.7845 GOLD_micro 15.8016 1851.2000 0.8536 13.6574 HEATOIL 0.0570 2.7202 2.0948 33.5165 JPY 0.0001 0.0075 0.8116 12.9864 LEANHOG 1.3834 103.1750 1.3408 21.4528 LIVECOW 0.8648 164.0500 0.5271 8.4342 MXP 0.0004 0.0538 0.6980 11.1684 NASDAQ 147.9610 12615.2500 1.1729 18.7660 NIKKEI 210.6360 27585.0000 0.7636 12.2174 NZD 0.0047 0.6264 0.7493 11.9890 OAT 0.8512 129.3700 0.6580 10.5276 OJ 0.0399 2.2750 1.7529 28.0470 PALLAD 40.0049 1530.0000 2.6147 41.8352 PLAT 16.8673 927.6000 1.8184 29.0941 REDWHEAT 11.7316 874.7500 1.3411 21.4582 ROBUSTA 27.1382 2069.0000 1.3117 20.9865 RUSSELL 21.3925 1960.0000 1.0915 17.4633 SILVER-mini 0.3601 21.8500 1.6480 26.3684 SOYBEAN 9.3978 1384.2500 0.6789 10.8625 SOYMEAL 5.4017 463.9000 1.1644 18.6306 SOYOIL 0.8477 61.9500 1.3683 21.8926 SP400 24.9605 2695.2000 0.9261 14.8177 SP500 34.6631 4130.2500 0.8392 13.4280 SUGAR11 0.0028 0.1977 1.3973 22.3561 US10 0.4832 111.8438 0.4320 6.9118 US10U 0.6529 117.9375 0.5536 8.8572 US20 0.9174 125.5625 0.7306 11.6900 US30 1.4757 135.6250 1.0881 17.4093 US5 0.3239 107.2734 0.3020 4.8316 VIX 0.5099 21.7500 2.3444 37.5101 WHEAT 9.7599 804.2500 1.2135 19.4167 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 689.00 0.80 550.65 1.00 550.65 45418.14 82.48 5.76 47.50 BITCOIN 25.02 3.12 78.20 1.00 78.20 45418.14 580.82 -1.25 -72.81 BOBL 1160.90 0.31 363.46 1.07 389.27 45418.14 116.68 4.53 52.81 BTP 1138.90 0.88 999.99 1.07 1070.98 45418.14 42.41 13.21 56.04 BUND 1345.00 0.60 806.43 1.07 863.69 45418.14 52.59 12.78 67.23 BUXL 1378.20 1.37 1894.17 1.07 2028.65 45418.14 22.39 -7.76 -17.38 CAC 738.25 0.78 578.95 1.07 620.05 45418.14 73.25 9.55 69.92 CAD 744.30 0.46 341.30 1.00 341.30 45418.14 133.07 8.82 117.34 CANOLA 163.72 0.83 135.10 0.75 101.03 45418.14 449.54 5.46 245.45 CHF 1354.50 0.53 715.15 1.00 715.15 45418.14 63.51 -14.22 -90.33 COCOA 278.00 1.21 336.56 1.00 336.56 45418.14 134.95 -11.91 -160.66 COFFEE 677.06 2.10 1424.06 1.00 1424.06 45418.14 31.89 7.25 23.14 COPPER 1033.62 1.22 1265.61 1.00 1265.61 45418.14 35.89 8.88 31.86 CORN 296.50 0.72 214.71 1.00 214.71 45418.14 211.54 13.65 288.79 COTTON2 409.95 1.78 731.12 1.00 731.12 45418.14 62.12 -4.38 -27.22 CRUDE_W 762.60 1.60 1221.04 1.00 1221.04 45418.14 37.20 5.56 20.69 DAX 155.68 0.80 124.65 1.07 133.50 45418.14 340.21 5.46 185.67 DOW 169.74 0.72 121.97 1.00 121.97 45418.14 372.36 3.88 144.61 EUR 1337.31 0.52 691.50 1.00 691.50 45418.14 65.68 -8.59 -56.40 EUROSTX 430.50 0.86 368.17 1.07 394.31 45418.14 115.18 6.82 78.56 FEEDCOW 972.50 0.55 535.75 1.00 535.75 45418.14 84.77 -9.33 -79.10 FTSE100 707.00 0.82 576.59 1.20 666.67 45418.14 68.13 7.70 52.44 GASOIL 814.25 2.16 1761.80 1.00 1761.80 45418.14 25.78 3.10 7.98 GASOILINE 1107.08 1.87 2066.49 1.00 2066.49 45418.14 21.98 -10.56 -23.21 GAS_US 265.00 5.72 1515.68 1.00 1515.68 45418.14 29.97 -18.75 -56.19 GBP 750.69 0.67 505.99 1.00 505.99 45418.14 89.76 7.19 64.55 GOLD_micro 185.12 0.85 158.02 1.00 158.02 45418.14 287.43 -10.10 -290.42 HEATOIL 1142.48 2.09 2393.26 1.00 2393.26 45418.14 18.98 3.18 6.04 JPY 936.88 0.81 760.41 1.00 760.41 45418.14 59.73 -3.32 -19.85 LEANHOG 412.70 1.34 553.35 1.00 553.35 45418.14 82.08 -20.00 -164.16 LIVECOW 656.20 0.53 345.91 1.00 345.91 45418.14 131.30 -8.43 -110.74 MXP 269.15 0.70 187.87 1.00 187.87 45418.14 241.75 14.77 356.98 NASDAQ 2523.05 1.17 2959.22 1.00 2959.22 45418.14 15.35 7.30 11.20 NIKKEI 27585.00 0.76 21063.60 0.01 157.92 45418.14 287.60 11.71 336.65 NZD 626.35 0.75 469.33 1.00 469.33 45418.14 96.77 7.19 69.54 OAT 1293.70 0.66 851.22 1.07 911.65 45418.14 49.82 12.47 62.11 OJ 341.25 1.75 598.19 1.00 598.19 45418.14 75.93 -4.07 -30.87 PALLAD 1530.00 2.61 4000.49 1.00 4000.49 45418.14 11.35 -7.67 -8.71 PLAT 463.80 1.82 843.36 1.00 843.36 45418.14 53.85 2.70 14.56 REDWHEAT 437.38 1.34 586.58 1.00 586.58 45418.14 77.43 4.98 38.54 ROBUSTA 206.90 1.31 271.38 1.00 271.38 45418.14 167.36 9.51 159.19 RUSSELL 98.00 1.09 106.96 1.00 106.96 45418.14 424.62 5.35 227.18 SILVER-mini 546.25 1.65 900.23 1.00 900.23 45418.14 50.45 -5.13 -25.90 SOYBEAN 692.12 0.68 469.89 1.00 469.89 45418.14 96.66 3.08 29.80 SOYMEAL 463.90 1.16 540.17 1.00 540.17 45418.14 84.08 7.92 66.55 SOYOIL 371.70 1.37 508.59 1.00 508.59 45418.14 89.30 4.18 37.33 SP400 2695.20 0.93 2496.05 1.00 2496.05 45418.14 18.20 7.13 12.98 SP500 2065.12 0.84 1733.15 1.00 1733.15 45418.14 26.21 5.61 14.71 SUGAR11 221.42 1.40 309.39 1.00 309.39 45418.14 146.80 15.67 230.11 US10 1118.44 0.43 483.15 1.00 483.15 45418.14 94.00 -2.25 -21.19 US10U 1179.38 0.55 652.87 1.00 652.87 45418.14 69.57 -7.65 -53.25 US20 1255.62 0.73 917.39 1.00 917.39 45418.14 49.51 -11.58 -57.31 US30 1356.25 1.09 1475.71 1.00 1475.71 45418.14 30.78 0.58 1.78 US5 1072.73 0.30 323.94 1.00 323.94 45418.14 140.20 -2.52 -35.35 VIX 217.50 2.34 509.90 1.00 509.90 45418.14 89.07 -20.00 -178.14 WHEAT 402.12 1.21 488.00 1.00 488.00 45418.14 93.07 -4.23 -39.38 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 47.502 0.006 2.5 0.759 BITCOIN -72.806 0.009 2.5 -1.715 BOBL 52.810 0.029 2.5 3.811 BTP 56.040 0.008 2.5 1.132 BUND 67.227 0.029 2.5 4.851 BUXL -17.376 0.034 2.5 -1.459 CAC 69.922 0.011 2.5 1.966 CAD 117.336 0.007 2.5 2.095 CANOLA 245.450 0.004 2.5 2.253 CHF -90.334 0.015 2.5 -3.381 COCOA -160.658 0.009 2.5 -3.500 COFFEE 23.137 0.005 2.5 0.300 COPPER 31.858 0.011 2.5 0.871 CORN 288.787 0.004 2.5 2.605 COTTON2 -27.224 0.006 2.5 -0.410 CRUDE_W 20.693 0.053 2.5 2.734 DAX 185.672 0.022 2.5 10.084 DOW 144.606 0.011 2.5 4.121 EUR -56.405 0.015 2.5 -2.111 EUROSTX 78.558 0.011 2.5 2.208 FEEDCOW -79.105 0.011 2.5 -2.126 FTSE100 52.442 0.041 2.5 5.406 GASOIL 7.982 0.029 2.5 0.569 GASOILINE -23.212 0.016 2.5 -0.953 GAS_US -56.189 0.006 2.5 -0.846 GBP 64.550 0.007 2.5 1.153 GOLD_micro -290.423 0.009 2.5 -6.498 HEATOIL 6.036 0.029 2.5 0.431 JPY -19.847 0.026 2.5 -1.285 LEANHOG -164.158 0.019 2.5 -7.669 LIVECOW -110.739 0.011 2.5 -2.976 MXP 356.978 0.005 2.5 4.370 NASDAQ 11.201 0.022 2.5 0.608 NIKKEI 336.649 0.076 2.5 63.941 NZD 69.544 0.006 2.5 1.111 OAT 62.108 0.008 2.5 1.254 OJ -30.868 0.007 2.5 -0.538 PALLAD -8.708 0.010 2.5 -0.210 PLAT 14.563 0.010 2.5 0.350 REDWHEAT 38.538 0.002 2.5 0.206 ROBUSTA 159.186 0.005 2.5 2.064 RUSSELL 227.175 0.021 2.5 11.767 SILVER-mini -25.897 0.009 2.5 -0.579 SOYBEAN 29.804 0.024 2.5 1.757 SOYMEAL 66.555 0.024 2.5 3.924 SOYOIL 37.325 0.004 2.5 0.343 SP400 12.982 0.021 2.5 0.672 SP500 14.714 0.011 2.5 0.419 SUGAR11 230.105 0.005 2.5 3.122 US10 -21.194 0.015 2.5 -0.813 US10U -53.251 0.058 2.5 -7.759 US20 -57.310 0.029 2.5 -4.224 US30 1.783 0.034 2.5 0.150 US5 -35.354 0.015 2.5 -1.356 VIX -178.144 0.075 2.5 -33.571 WHEAT -39.380 0.002 2.5 -0.210 ==================== Position diags ==================== AUD 1.32 BITCOIN 13.68 BOBL 8.42 BTP 0.86 BUND 3.79 BUXL 1.88 CAC 2.06 CAD 2.38 CANOLA 4.13 CHF 2.38 COCOA 2.94 COFFEE 0.41 COPPER 0.98 CORN 1.91 COTTON2 0.94 CRUDE_W 4.91 DAX 18.48 DOW 10.61 EUR 2.46 EUROSTX 3.24 FEEDCOW 2.28 FTSE100 7.02 GASOIL 1.84 GASOILINE 0.90 GAS_US 0.45 GBP 1.60 GOLD_micro 6.43 HEATOIL 1.35 JPY 3.87 LEANHOG 3.83 LIVECOW 3.53 MXP 2.96 NASDAQ 0.83 NIKKEI 54.63 NZD 1.55 OAT 1.01 OJ 1.32 PALLAD 0.27 PLAT 1.30 REDWHEAT 0.41 ROBUSTA 2.17 RUSSELL 21.99 SILVER-mini 1.13 SOYBEAN 5.70 SOYMEAL 4.96 SOYOIL 0.82 SP400 0.94 SP500 0.75 SUGAR11 1.99 US10 3.61 US10U 10.14 US20 3.65 US30 2.58 US5 5.38 VIX 16.79 WHEAT 0.50 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.8 0.6 0.9 0.0 0 BITCOIN -1.7 -3.1 -0.3 -4.0 -4 BOBL 3.8 3.0 4.7 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.9 4.5 5.2 2.0 2 BUXL -1.5 -1.6 -1.3 0.0 0 CAC 2.0 1.8 2.2 1.0 1 CAD 2.1 1.9 2.3 0.0 0 CANOLA 2.3 1.8 2.7 NaN 0 CHF -3.4 -3.6 -3.1 -6.0 -6 COCOA -3.5 -3.8 -3.2 -2.0 -2 COFFEE 0.3 0.3 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 8.2 11.9 0.0 0 DOW 4.1 3.1 5.2 0.0 0 EUR -2.1 -2.4 -1.9 -1.0 -1 EUROSTX 2.2 1.9 2.5 0.0 0 FEEDCOW -2.1 -2.4 -1.9 -5.0 -5 FTSE100 5.4 4.7 6.1 0.0 0 GASOIL 0.6 0.4 0.8 0.0 0 GASOILINE -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 -6.5 -7.1 -5.9 -3.0 -3 HEATOIL 0.4 0.3 0.6 0.0 0 JPY -1.3 -1.7 -0.9 -5.0 -5 LEANHOG -7.7 -8.1 -7.3 -6.0 -6 LIVECOW -3.0 -3.3 -2.6 -5.0 -5 MXP 4.4 4.1 4.7 3.0 3 NASDAQ 0.6 0.5 0.7 2.0 2 NIKKEI 63.9 58.5 69.4 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 -0.2 -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 11.8 9.6 14.0 0.0 0 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 1.8 1.2 2.3 1.0 1 SOYMEAL 3.9 3.4 4.4 5.0 5 SOYOIL 0.3 0.3 0.4 0.0 0 SP400 0.7 0.6 0.8 6.0 6 SP500 0.4 0.3 0.5 0.0 0 SUGAR11 3.1 2.9 3.3 0.0 0 US10 -0.8 -1.2 -0.5 NaN 0 US10U -7.8 -8.8 -6.7 -10.0 -10 US20 -4.2 -4.6 -3.9 0.0 0 US30 0.1 -0.1 0.4 0.0 0 US5 -1.4 -1.9 -0.8 -3.0 -3 VIX -33.6 -35.2 -31.9 -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 -0.1 -0.0 0.0 -0.1 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 0.0 0.3 0.2 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 2.7 -4.8 0.1 0.0 0.0 0.0 -0.0 0.0 0.2 0.1 0.4 0.3 -0.2 BOBL -0.1 0.1 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 1.7 2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.2 0.0 0.1 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 0.2 0.1 BUND -0.1 0.2 0.1 0.0 -0.0 -0.0 -0.2 -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 0.0 0.0 -0.0 -0.1 BUXL -0.1 0.0 0.1 0.0 -0.1 -0.0 -0.2 -0.1 -0.0 -0.0 -0.2 -0.1 -0.3 -0.0 -0.2 0.2 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 0.1 0.3 0.3 0.1 0.0 0.1 0.0 0.0 0.0 0.1 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 -1.6 1.7 0.1 0.0 0.1 0.0 0.0 0.0 0.8 0.2 0.2 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 -0.0 -0.0 -0.2 -0.2 -0.2 CHF -0.1 0.0 0.3 0.1 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.3 -0.0 0.1 -0.0 0.3 -1.0 -0.5 -0.3 -0.3 0.1 0.1 -0.0 0.0 -0.0 -0.9 -2.4 0.0 -0.0 0.1 -0.0 -0.0 0.0 -2.4 0.0 -0.1 -0.1 -0.0 COCOA -0.0 0.1 0.3 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 0.2 0.0 -0.0 0.0 0.3 -0.1 -0.1 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 -2.7 -2.2 0.1 0.0 0.1 0.0 0.0 0.0 -2.4 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 -0.1 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 0.2 2.1 0.0 0.0 0.1 -0.0 0.0 -0.0 0.3 0.3 0.1 0.2 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 0.0 -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 -0.3 0.4 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.6 -2.7 0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.1 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 0.1 0.1 0.2 DAX 0.0 0.3 0.4 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.4 0.0 0.1 0.1 0.4 -0.4 -0.2 -0.1 -0.1 0.3 0.3 0.0 0.1 0.0 -1.8 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 0.1 -0.1 -0.2 -0.0 EUR -0.2 0.1 0.4 0.1 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.3 -0.0 -0.1 -0.0 0.3 -0.5 -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 0.1 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 1.0 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 -2.8 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 -0.1 -0.2 -0.2 -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 -0.4 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 -0.0 -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 -0.5 -0.1 0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -0.3 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.1 -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 -0.0 -0.3 -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 0.2 -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 -0.1 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 -0.1 -0.0 -0.0 0.1 -0.0 -1.5 -2.7 -0.0 -0.0 0.0 -0.0 0.1 -0.0 2.8 -0.0 -0.1 0.0 0.0 JPY -0.2 0.1 0.3 0.1 -0.0 0.1 -0.1 -0.0 0.0 -0.0 0.2 -0.0 -0.2 -0.0 0.2 -0.9 -0.5 -0.2 -0.3 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 -0.2 -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 -0.3 -2.3 -0.1 0.0 -0.0 0.0 -0.0 -0.0 -2.7 0.0 -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 0.3 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 0.1 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 0.3 -0.3 -0.3 NZD -0.2 0.0 0.3 0.0 -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 -0.0 2.3 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.6 -0.0 -0.2 -0.1 0.1 OAT -0.1 0.1 0.1 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.1 0.7 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 0.0 0.0 -0.0 -0.0 OJ 0.0 -0.0 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 -0.1 -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 -0.2 -0.3 -0.3 PLAT -0.2 -0.2 0.1 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 0.2 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 -1.0 0.1 0.2 0.1 -0.1 ROBUSTA 0.2 0.3 0.1 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 -0.9 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 0.1 -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 0.2 -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 -0.1 -0.3 0.0 SOYBEAN 0.1 -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 -0.0 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 -0.1 -0.0 0.1 SOYMEAL 0.1 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 0.8 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 0.0 0.1 0.3 0.3 SOYOIL -0.0 -0.2 -0.3 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 -0.1 0.0 0.1 -0.0 -0.3 0.1 0.7 0.1 0.2 -0.1 -0.1 0.0 0.0 -0.0 -1.5 2.7 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.4 0.1 -0.4 -0.2 -0.1 SP400 0.2 0.3 0.3 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.3 0.0 -0.0 0.1 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 0.2 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 -0.4 0.0 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 0.2 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 0.2 0.3 US10 -0.2 0.1 0.2 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.7 -0.1 -0.2 -0.1 -0.1 -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 0.1 0.2 0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 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 -0.1 0.1 US20 -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 0.2 -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 -0.2 -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 -0.1 -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 -0.1 0.1 US5 -0.2 0.1 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 -0.9 -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 -12.1 13.3 16.6 3.2 -3.1 2.5 -2.4 -1.3 0.2 -12.1 7.6 -10.8 -2.9 3.2 11.1 -3.4 -2.5 -3.3 -3.0 7.6 6.4 -8.0 -1.8 -0.7 3.9 11.7 3.1 -4.9 2.5 -3.8 -1.2 -0.7 -0.6 -5.1 -1.0 3.2 -2.9 BITCOIN 4.2 20.0 9.1 1.4 -4.1 2.5 -5.3 1.7 -2.6 11.5 4.2 8.8 -14.0 12.7 12.4 -2.6 -0.8 -0.9 -0.4 15.2 3.3 12.7 -13.8 14.5 12.5 -18.1 4.4 6.7 1.6 3.7 -1.3 4.1 2.6 20.0 20.0 20.0 -12.4 BOBL -7.1 10.2 1.1 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -14.1 -12.8 -15.2 -13.7 -6.3 -6.4 -12.1 6.5 -5.6 1.4 -10.8 -16.1 -19.3 -20.0 -13.2 11.0 10.8 -3.0 -9.2 -6.2 -7.9 -12.4 -4.5 7.6 5.4 1.0 -5.4 -13.8 BTP -6.2 13.5 16.6 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -13.3 -0.1 -11.7 -9.9 4.6 6.0 6.9 13.1 10.1 12.7 3.0 -0.6 -6.3 -10.8 -0.4 -5.9 11.4 3.2 -3.9 0.5 -1.4 -6.1 1.7 20.0 20.0 15.5 11.7 9.5 BUND -8.9 11.3 6.3 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -14.1 -11.3 -15.3 -13.1 -4.1 -4.2 10.0 15.0 11.7 13.3 -8.7 -13.2 -17.3 -20.0 -11.8 6.4 12.3 -1.7 -7.7 -4.5 -6.5 -10.3 -3.4 20.0 7.3 1.3 -2.0 -7.3 BUXL -10.5 0.8 6.1 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -14.1 -9.9 -15.5 -12.5 -6.8 -7.1 1.9 0.0 2.9 2.6 -11.4 -13.8 -17.8 -20.0 -14.2 2.0 -10.8 -2.7 -7.4 -3.8 -6.3 -7.6 -4.3 1.4 6.8 -2.9 -11.4 -5.6 CAC 5.1 20.0 20.0 4.2 1.7 2.7 1.6 0.5 3.2 13.5 15.4 13.5 8.3 15.3 15.9 -3.4 1.5 -2.8 -1.1 20.0 20.0 20.0 15.8 20.0 -14.0 8.9 6.1 7.4 5.3 5.9 3.3 5.7 6.4 20.0 11.2 7.2 13.1 CAD 0.4 14.0 2.8 3.2 -3.1 2.5 -2.4 -1.3 0.2 -7.1 -4.6 -3.2 -8.5 8.7 6.4 -1.9 -1.3 -1.8 -1.7 3.1 -2.7 -2.1 -9.4 1.9 15.1 10.4 2.6 -4.7 -1.1 -1.4 -5.9 1.3 1.6 11.2 5.7 1.9 -16.0 CANOLA 2.2 -11.5 -9.8 0.6 -4.7 -2.2 -0.7 -1.4 2.1 -11.9 -6.5 3.4 -8.3 -5.6 -7.1 5.6 10.2 4.9 6.2 -9.8 -11.3 -5.8 -4.7 -7.6 2.1 11.5 -4.1 -2.5 -3.8 -2.4 -0.6 -3.0 -0.3 -0.6 -17.2 -19.8 -13.4 CHF -9.8 0.8 17.0 3.2 -3.1 2.5 -2.4 -1.3 0.2 -7.2 12.4 -9.4 2.5 -2.5 12.5 -14.5 -13.1 -14.2 -13.9 6.7 9.2 -4.9 2.8 -0.7 -6.3 -11.5 4.0 -3.6 4.4 -2.6 -0.3 0.0 -19.0 3.2 -3.5 -6.7 -0.2 COCOA -0.7 3.6 16.9 0.6 -4.7 -2.2 -0.7 -1.4 2.1 13.7 10.7 9.9 -1.9 6.9 11.2 -1.4 -3.0 -1.8 -1.9 9.3 9.0 18.6 2.9 9.6 -17.7 -10.4 5.2 16.1 4.8 9.4 2.1 5.3 -18.0 20.0 5.3 15.5 20.0 COFFEE 20.0 17.2 -6.4 0.6 -4.7 -2.2 -0.7 -1.4 2.1 4.4 -8.8 11.6 -9.5 12.2 4.0 0.8 2.9 1.1 2.6 4.1 -9.0 12.5 -11.5 13.3 12.0 10.0 2.5 3.1 -2.0 4.5 -3.1 5.1 -8.6 11.9 20.0 14.4 -10.3 COPPER -20.0 17.1 20.0 1.4 -4.1 2.5 -5.3 1.7 -2.6 6.6 8.1 -8.3 -3.1 4.5 10.9 -2.2 -0.6 -1.5 -1.0 12.7 13.2 -2.2 2.5 1.3 1.6 11.1 3.4 2.4 4.1 -0.9 1.8 -0.2 2.3 20.0 4.2 12.2 9.9 CORN 4.3 -7.5 -16.2 0.6 -4.7 -2.2 -0.7 -1.4 2.1 -0.6 3.8 4.5 2.0 -5.8 -10.9 20.0 19.2 20.0 20.0 -4.8 -3.9 0.4 6.7 -1.0 -3.1 11.0 -4.7 -1.9 -4.6 -0.1 1.3 -1.6 20.0 5.0 -14.0 -12.7 -18.4 COTTON2 -1.9 8.0 -3.9 0.6 -4.7 -2.2 -0.7 -1.4 2.1 -12.4 -7.9 -8.4 -6.3 0.4 9.1 -3.6 10.8 -0.7 4.4 -1.1 -6.7 -11.4 -5.1 -3.5 2.5 -10.9 0.3 -14.9 -0.3 -8.9 2.8 -3.1 0.3 -16.6 -9.5 -2.3 9.5 CRUDE_W -6.9 3.0 -3.1 -1.5 -1.0 -1.3 -1.0 2.9 -1.6 9.5 -0.9 3.2 1.6 2.6 0.7 8.8 12.1 8.7 9.7 0.9 0.1 2.8 4.1 1.2 -12.6 10.8 1.3 1.0 1.9 1.3 5.9 0.7 -0.2 5.6 3.1 5.7 10.7 DAX 1.6 20.0 20.0 4.2 1.7 2.7 1.6 0.5 3.2 12.6 15.0 12.7 3.0 15.1 15.9 -9.8 -4.6 -8.6 -6.8 20.0 20.0 12.2 10.5 19.0 -12.1 9.9 6.0 2.6 5.4 3.3 2.3 4.8 -3.7 11.4 5.6 6.4 17.9 DOW 2.7 4.1 14.0 4.2 1.7 2.7 1.6 0.5 3.2 0.1 11.1 8.1 2.1 7.1 9.1 -7.7 -3.8 -6.7 -5.7 7.8 9.1 2.5 4.7 4.6 -3.3 10.8 4.6 -0.8 4.5 1.5 2.6 3.1 -2.3 4.0 -3.0 -16.4 -1.9 EUR -20.0 5.8 20.0 3.2 -3.1 2.5 -2.4 -1.3 0.2 -12.5 11.2 -13.6 -3.1 -2.6 11.6 -8.2 -8.6 -8.3 -8.5 9.1 12.1 -11.7 -1.3 -4.5 -0.3 -11.1 3.6 -3.5 4.1 -3.9 -1.2 -1.1 -10.6 -9.7 -8.3 0.6 7.2 EUROSTX 4.5 20.0 20.0 4.2 1.7 2.7 1.6 0.5 3.2 13.9 15.5 14.6 7.2 15.9 16.4 11.8 5.9 9.5 7.1 20.0 20.0 16.2 14.4 20.0 -15.9 -8.5 6.2 4.7 5.8 4.5 3.4 5.1 16.5 19.4 6.4 3.0 16.3 FEEDCOW 9.7 3.5 6.9 0.6 -4.7 -2.2 -0.7 -1.4 2.1 -6.8 2.6 11.8 0.9 10.4 11.0 -20.0 -20.0 -20.0 -20.0 6.5 3.9 5.8 0.9 7.7 -16.6 12.2 5.4 -0.2 4.2 2.7 2.0 4.7 -20.0 12.3 14.4 13.1 19.7 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 -16.7 -1.2 -18.4 -1.5 -1.0 -1.3 -1.0 2.9 -1.6 1.4 -6.0 -9.2 8.6 -6.4 -4.6 20.0 20.0 20.0 20.0 -6.1 -2.0 -8.3 9.8 -8.9 -2.7 -15.4 -3.9 -2.2 -2.7 -3.3 2.4 -4.0 20.0 -8.6 -8.3 -11.6 -12.1 GASOILINE -7.3 13.4 -6.1 -1.5 -1.0 -1.3 -1.0 2.9 -1.6 7.2 -3.7 0.3 3.4 5.3 7.5 -4.8 9.5 -12.6 -2.9 6.2 3.7 1.5 7.4 4.3 -14.5 -13.1 3.8 -0.9 4.0 0.2 6.0 1.7 -11.1 -1.1 5.6 20.0 20.0 GAS_US -3.8 -20.0 -20.0 -1.5 -1.0 -1.3 -1.0 2.9 -1.6 -5.3 -16.1 -11.8 -10.4 -15.5 -16.5 -5.6 -2.9 1.4 -0.4 -20.0 -20.0 -9.2 -20.0 -20.0 -2.6 -9.3 -6.0 -1.3 -5.2 -1.8 -0.8 -3.9 -20.0 -4.8 -6.9 -20.0 -19.5 GBP -18.8 1.9 15.0 3.2 -3.1 2.5 -2.4 -1.3 0.2 -12.9 10.4 -12.3 -2.9 -4.9 9.7 -2.5 -1.8 -2.3 -2.2 2.3 4.4 -11.3 -4.7 -7.1 14.4 9.4 -0.2 -6.1 -0.8 -6.0 -6.0 -4.1 0.6 -2.3 -16.1 -14.3 -9.8 GOLD_micro -20.0 11.1 20.0 1.4 -4.1 2.5 -5.3 1.7 -2.6 -12.0 8.6 -14.9 -2.5 -3.5 9.4 -12.0 -9.8 -11.9 -11.3 7.2 11.2 -19.4 3.8 -9.1 6.6 -13.8 1.7 -5.5 3.1 -6.4 1.4 -3.2 -14.4 -2.7 -2.7 0.5 5.1 HEATOIL -14.5 -1.1 -16.6 -1.5 -1.0 -1.3 -1.0 2.9 -1.6 1.7 -5.1 -9.1 7.9 -7.7 -2.3 20.0 20.0 20.0 20.0 -4.4 -1.1 -6.8 9.5 -6.7 -15.5 -13.6 -1.0 -2.7 1.1 -3.1 8.0 -2.6 20.0 -8.5 -5.0 2.1 1.3 JPY -19.3 8.0 20.0 3.2 -3.1 2.5 -2.4 -1.3 0.2 -12.4 8.3 -14.1 -7.0 -6.5 9.6 -12.8 -11.3 -12.5 -12.3 5.2 6.6 -17.4 -6.9 -8.1 4.3 9.9 2.0 -6.7 2.1 -6.5 -4.4 -3.0 -16.2 -14.3 -20.0 -8.0 4.9 LEANHOG 4.1 -19.0 -12.2 0.6 -4.7 -2.2 -0.7 -1.4 2.1 5.5 -6.9 3.8 -4.7 -11.1 -10.8 -20.0 -10.2 -20.0 -20.0 -12.4 -9.5 0.7 -2.8 -7.7 -2.1 -11.1 -4.9 1.0 -4.2 0.2 -1.6 -3.0 -20.0 5.1 -12.8 -20.0 -13.3 LIVECOW 11.1 6.2 10.9 0.6 -4.7 -2.2 -0.7 -1.4 2.1 -1.5 13.9 12.1 5.2 13.0 13.9 -20.0 -20.0 -20.0 -20.0 13.0 10.9 9.8 6.2 13.2 -20.0 12.0 6.0 0.6 5.4 3.6 3.8 5.4 -20.0 14.1 20.0 20.0 20.0 MXP -6.1 11.7 6.4 3.2 -3.1 2.5 -2.4 -1.3 0.2 13.1 15.7 13.3 15.6 14.7 15.1 20.0 20.0 20.0 20.0 18.8 19.8 15.7 18.2 16.0 -20.0 9.7 6.1 4.9 6.5 4.7 5.7 4.8 20.0 20.0 18.2 19.8 6.1 NASDAQ 20.0 20.0 6.3 4.2 1.7 2.7 1.6 0.5 3.2 6.9 -3.2 12.7 -11.0 14.0 12.0 -6.6 -4.3 -6.0 -5.4 17.1 3.4 15.2 -9.0 20.0 6.2 10.2 5.0 1.9 2.2 3.6 -0.6 5.3 -2.4 8.4 20.0 6.1 -5.1 NIKKEI 19.2 11.2 -2.1 4.2 1.7 2.7 1.6 0.5 3.2 0.5 0.2 11.9 1.1 13.4 4.7 20.0 14.2 20.0 17.4 8.5 2.1 8.1 0.1 13.1 10.8 -9.4 2.5 0.3 -0.3 2.7 -1.4 4.3 20.0 9.1 16.4 -19.2 -20.0 NZD -18.4 2.2 20.0 3.2 -3.1 2.5 -2.4 -1.3 0.2 -13.3 11.0 -13.3 -1.9 -5.8 10.7 0.3 0.5 0.2 0.1 4.4 7.5 -12.8 -1.0 -6.8 -0.3 10.8 1.9 -5.9 2.9 -5.6 -0.7 -2.9 4.5 -12.2 -11.2 -8.7 5.1 OAT -10.2 9.2 8.7 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -14.1 -9.3 -15.3 -12.4 -3.3 -3.5 8.7 12.4 10.9 12.2 -6.6 -9.5 -16.0 -17.2 -10.6 3.5 12.7 -1.0 -6.7 -3.4 -5.5 -9.5 -2.7 20.0 9.9 2.1 -1.1 -3.2 OJ 14.0 -1.4 2.7 0.6 -4.7 -2.2 -0.7 -1.4 2.1 -10.3 14.7 5.3 15.0 8.5 12.0 20.0 15.7 20.0 19.4 20.0 20.0 11.3 20.0 20.0 -20.0 -14.1 5.5 -0.3 5.0 3.2 4.8 5.6 16.4 20.0 20.0 20.0 20.0 PALLAD -10.8 -10.9 -17.1 1.4 -4.1 2.5 -5.3 1.7 -2.6 -6.8 -14.7 -12.4 -12.3 -13.9 -15.2 -3.5 -1.9 -2.8 -2.4 -20.0 -18.7 -20.0 -14.8 -20.0 14.3 -11.1 -5.6 -5.6 -4.6 -7.7 -3.2 -6.7 0.0 5.8 -12.1 -20.0 -20.0 PLAT -20.0 -10.9 8.2 1.4 -4.1 2.5 -5.3 1.7 -2.6 -11.3 6.3 -15.0 1.7 -14.6 -4.2 -2.4 -1.0 -1.8 -1.3 -9.2 2.4 -20.0 3.5 -20.0 -1.2 11.2 -2.2 -7.2 1.3 -8.6 1.1 -6.7 1.7 -6.6 -14.0 -16.2 -7.8 REDWHEAT 20.0 5.4 -12.7 0.6 -4.7 -2.2 -0.7 -1.4 2.1 3.8 -9.3 12.5 -8.9 12.2 -5.0 9.9 2.6 7.0 5.1 1.2 -7.7 9.6 -5.7 9.7 -1.7 12.9 1.8 1.8 -0.8 4.9 1.6 5.1 -7.5 13.6 12.3 6.7 -6.2 ROBUSTA 19.1 20.0 4.4 0.6 -4.7 -2.2 -0.7 -1.4 2.1 6.1 -3.2 8.5 -4.1 11.8 8.8 8.4 9.5 10.9 10.6 14.9 4.1 10.6 -0.6 17.2 -5.2 9.6 3.7 2.0 0.4 3.4 -0.7 5.0 3.2 11.0 20.0 15.4 -0.2 RUSSELL 12.6 20.0 8.7 4.2 1.7 2.7 1.6 0.5 3.2 -0.4 3.6 5.2 -8.1 10.7 11.1 -5.9 -3.5 -5.4 -4.7 14.7 7.5 7.6 -2.2 13.8 -3.0 10.0 5.0 1.8 3.3 2.3 0.8 4.2 -1.1 -5.1 9.7 2.8 -5.4 SILVER-mini -20.0 -8.0 18.9 1.4 -4.1 2.5 -5.3 1.7 -2.6 -14.0 9.0 -15.5 -0.6 -13.6 5.8 -5.9 -4.2 -5.4 -4.9 -3.3 6.5 -20.0 2.8 -17.2 6.9 -11.3 -1.1 -5.3 1.9 -7.1 0.1 -5.7 -4.2 -1.3 -7.5 -20.0 0.2 SOYBEAN 6.2 -8.6 -0.5 0.6 -4.7 -2.2 -0.7 -1.4 2.1 10.3 4.7 11.1 4.2 -0.9 -1.8 20.0 20.0 20.0 20.0 -1.2 0.0 7.8 5.6 2.5 -16.6 -11.7 1.6 5.7 3.1 5.9 7.8 3.3 20.0 18.7 -5.8 -0.7 8.8 SOYMEAL 4.7 12.5 20.0 0.6 -4.7 -2.2 -0.7 -1.4 2.1 -3.9 14.0 9.2 13.3 11.7 14.6 20.0 17.9 20.0 20.0 20.0 20.0 5.8 17.7 13.8 -20.0 -12.0 6.1 -1.3 7.2 1.4 6.9 3.7 18.4 5.5 7.1 20.0 20.0 SOYOIL -1.1 -11.6 -15.6 0.6 -4.7 -2.2 -0.7 -1.4 2.1 12.7 -2.6 0.5 3.0 -8.2 -11.8 0.8 16.1 5.5 11.0 -9.8 -6.8 3.3 2.7 -5.7 -10.3 12.9 -4.4 5.7 -2.3 1.3 2.7 -2.6 10.1 10.0 -20.0 -17.8 -7.8 SP400 14.1 20.0 15.2 4.2 1.7 2.7 1.6 0.5 3.2 3.7 10.5 8.1 -0.7 11.9 12.9 -5.7 -3.1 -4.8 -3.9 19.5 13.8 10.4 4.7 17.1 -7.5 10.2 5.4 2.4 4.1 2.8 2.1 4.6 -0.0 -1.9 13.6 3.3 0.8 SP500 15.3 17.2 8.5 4.2 1.7 2.7 1.6 0.5 3.2 2.5 2.5 11.7 -6.4 13.7 13.0 -7.5 -4.6 -6.6 -5.7 14.1 6.1 8.7 -3.0 14.5 2.6 10.2 5.1 0.7 2.8 2.8 -0.3 4.8 -2.8 2.2 12.1 -4.1 -4.8 SUGAR11 13.3 1.5 12.9 0.6 -4.7 -2.2 -0.7 -1.4 2.1 -1.6 10.8 6.3 7.8 9.4 11.7 20.0 20.0 20.0 20.0 14.8 13.5 4.4 9.5 11.8 -20.0 10.7 5.9 -0.7 6.2 1.2 4.7 3.8 20.0 -9.5 20.0 18.7 20.0 US10 -19.6 9.5 14.3 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -14.0 -5.9 -15.2 -11.1 -9.4 3.7 -8.4 -2.7 -8.2 -6.7 -5.1 -6.4 -20.0 -17.3 -15.5 0.7 9.7 -1.5 -9.4 -1.7 -9.4 -6.1 -5.7 -8.8 -11.0 -6.4 -9.5 0.8 US10U -16.5 9.6 13.8 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -14.0 -5.5 -15.0 -11.1 -6.7 5.5 0.5 3.5 0.6 1.2 -3.9 -6.0 -20.0 -17.2 -13.2 -2.4 -14.1 -0.3 -9.5 -0.7 -8.8 -5.2 -4.8 3.1 -6.3 -2.1 -4.6 4.0 US20 -14.9 9.7 15.3 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -13.8 -3.5 -14.5 -10.0 -3.8 8.0 -10.4 -1.6 -7.7 -4.7 -2.2 -4.9 -20.0 -16.5 -11.5 -0.5 -12.3 -0.7 -10.3 -1.3 -9.0 -5.6 -4.9 -5.8 -4.6 0.5 -9.1 2.8 US30 -10.5 11.3 20.0 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -13.6 -2.5 -13.6 -11.3 -0.9 7.1 -2.5 -0.5 -1.9 -1.5 -0.4 -4.5 -18.4 -17.8 -8.5 -3.7 10.0 0.8 -11.0 -0.1 -8.3 -5.2 -3.5 -2.4 -1.0 4.8 -3.8 5.8 US5 -20.0 8.9 13.9 0.0 -8.0 -1.4 -7.1 -5.4 -3.1 -14.1 -6.3 -15.5 -11.6 -11.8 2.0 -10.6 -2.6 -9.1 -7.1 -7.0 -7.7 -20.0 -18.8 -18.2 3.1 10.8 -2.1 -8.8 -2.2 -9.5 -6.6 -6.3 -9.1 -16.2 -11.9 -13.0 -0.9 VIX 7.3 -20.0 -20.0 -4.8 -1.5 -4.8 -1.3 -3.6 -2.9 -9.7 -15.3 -3.8 -14.0 -11.7 -14.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -5.8 -20.0 -13.4 NaN -13.5 -5.9 -1.8 -6.7 -1.3 -5.2 -3.0 NaN NaN NaN NaN NaN WHEAT 20.0 4.6 -17.6 0.6 -4.7 -2.2 -0.7 -1.4 2.1 1.3 -11.8 11.3 -12.6 8.5 -8.8 -10.2 -6.3 -9.0 -7.6 -2.6 -13.4 10.0 -11.8 8.5 3.4 11.9 0.9 0.4 -2.2 5.4 -0.3 5.0 -20.0 17.7 10.9 6.6 -9.6 End of report for caleb_strategy_v1