******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230220_204254 produced at 2023-02-20 21:35:38.597727 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.32 0.0 40645199.97 -40645199.97 -0.41 -0.41 -7.99 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.23 -0.25 0.0 7653896.42 -7653896.42 -0.23 -0.23 -33.20 999999999 -30 -30 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.19 0.0 43289664.18 -43289664.18 -0.04 -0.04 -4.30 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.16 0.0 46613519.20 -46613519.20 -0.23 -0.23 -3.44 999999999 -5 -5 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.11 0.0 14141648.63 -14141648.63 -0.08 -0.08 -7.84 999999999 -6 -6 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.10 0.0 46052376.80 -46052376.80 -0.09 -0.09 -2.19 999999999 -2 -2 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.07 0.0 22662413.32 -22662413.32 -0.11 -0.11 -2.99 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.07 0.0 51631256.22 -51631256.22 0.00 0.00 -1.37 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.07 0.0 33427747.64 -33427747.64 -0.17 -0.17 -2.17 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.11 -0.05 0.0 36936500.16 -36936500.16 -0.11 -0.15 -1.48 999999999 -3 -4 caleb_strategy_v1 JPY False False 0.03 -0.19 -0.05 0.0 32167864.69 -32167864.69 -0.19 -0.19 -1.43 999999999 -6 -6 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 6373545.75 -6373545.75 -0.02 -0.02 -6.74 999999999 -3 -3 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.04 0.0 37775229.61 -37775229.61 -0.04 -0.04 -0.98 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.03 0.0 38538228.48 -38538228.48 0.00 0.00 -0.87 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9556190.68 -9556190.68 -0.02 -0.02 -3.52 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 18865994.70 -18865994.70 0.00 0.00 -0.61 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8620523.34 -8620523.34 -0.01 -0.01 -0.89 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 51616501.50 -51616501.50 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14050489.86 -14050489.86 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 12053596.88 -12053596.88 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 13815713.04 -13815713.04 -0.04 -0.03 -0.22 999999999 -3 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.00 -0.00 0.0 852248.47 -852248.47 -0.00 -0.01 -2.05 999999999 -5 -7 caleb_strategy_v1 US30 False False 0.05 0.00 0.00 0.0 46815616.47 -46815616.47 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12678980.42 -12678980.42 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15195994.36 -15195994.36 0.00 0.00 0.22 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23987225.39 -23987225.39 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4196456.99 -4196456.99 0.00 0.00 2.31 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 15863345.33 -15863345.33 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 38516401.98 -38516401.98 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 27235831.43 -27235831.43 0.00 0.00 0.44 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.02 0.0 7206702.48 -7206702.48 0.01 0.01 2.12 999999999 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21485949.24 -21485949.24 0.00 0.00 1.09 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 23687519.45 -23687519.45 0.00 0.00 0.76 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7639999.01 -7639999.01 0.00 0.00 3.19 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5821433.22 -5821433.22 0.00 0.00 3.46 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.02 0.0 70261049.19 -70261049.19 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 10251061.28 -10251061.28 0.06 0.06 2.67 999999999 6 6 caleb_strategy_v1 COPPER False False 0.04 0.00 0.03 0.0 35534719.13 -35534719.13 0.00 0.00 0.94 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 25907149.41 -25907149.41 0.16 0.16 1.16 999999999 6 6 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3354470.61 -3354470.61 0.00 0.00 11.26 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.04 0.0 15796854.64 -15796854.64 0.00 0.00 2.30 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9336033.66 -9336033.66 0.03 0.03 4.42 999999999 3 3 caleb_strategy_v1 NASDAQ False False 0.09 0.17 0.05 0.0 85267846.11 -85267846.11 0.17 0.17 0.53 999999999 2 2 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 25541654.36 -25541654.36 0.00 0.00 1.98 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 42090618.05 -42090618.05 0.04 0.04 1.14 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.05 0.0 23825977.57 -23825977.57 0.02 0.02 2.03 999999999 1 1 caleb_strategy_v1 CAC False False 0.03 0.03 0.06 0.0 27174635.74 -27174635.74 0.03 0.03 2.04 999999999 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5719233.75 -5719233.75 0.00 0.00 10.34 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.64 0.06 0.0 91846757.08 -91846757.08 0.64 0.64 0.65 999999999 7 7 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.06 0.0 16016423.26 -16016423.26 0.08 0.08 4.02 999999999 5 5 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.06 0.0 25717091.98 -25717091.98 0.13 0.10 2.49 999999999 5 4 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 47842953.47 -47842953.47 0.10 0.10 1.27 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 BOBL False False 0.04 0.09 0.16 0.0 42789431.17 -42789431.17 0.09 0.09 3.67 999999999 2 2 caleb_strategy_v1 BUND False False 0.05 0.10 0.24 0.0 49755494.66 -49755494.66 0.10 0.10 4.90 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.44 0.0 0.00 0.00 0.00 0.00 62.18 999999999 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 18.8 Shocked risk 60.0 Sum abs risk 52.1 Leverage 3.58 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2907016.08, 'annual_cash_vol_target': 726754.02, 'daily_cash_vol_target': 45422.12625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0054 0.6886 0.7830 12.5277 BITCOIN 765.4797 24775.0000 3.0897 49.4356 BOBL 0.3597 116.3400 0.3092 4.9471 BTP 0.9878 114.4400 0.8632 13.8111 BUND 0.8035 135.2800 0.5940 9.5033 BUXL 1.9032 140.3800 1.3558 21.6923 CAC 56.6814 7388.5000 0.7672 12.2745 CAD 0.0034 0.7425 0.4538 7.2610 CANOLA 6.6608 821.8000 0.8105 12.9683 CHF 0.0056 1.0840 0.5165 8.2636 COCOA 32.3376 2778.0000 1.1641 18.6250 COFFEE 0.0382 1.8595 2.0566 32.9048 COPPER 0.0485 4.1320 1.1736 18.7778 CORN 4.2494 596.0000 0.7130 11.4078 COTTON2 0.0143 0.8169 1.7504 28.0069 CRUDE_W 1.2237 74.7600 1.6369 26.1898 DAX 122.4621 15550.0000 0.7875 12.6006 DOW 251.3288 33846.0000 0.7426 11.8811 EUR 0.0054 1.0710 0.5070 8.1119 EUROSTX 36.3805 4295.0000 0.8470 13.5527 FEEDCOW 1.0527 194.3500 0.5416 8.6661 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 17.6491 791.7500 2.2291 35.6659 GASOILINE 0.0486 2.6146 1.8577 29.7232 GAS_US 0.1491 2.5060 5.9478 95.1644 GBP 0.0080 1.2050 0.6617 10.5879 GOLD_micro 15.4995 1852.8000 0.8365 13.3847 HEATOIL 0.0562 2.6659 2.1093 33.7493 JPY 0.0001 0.0075 0.7954 12.7266 LEANHOG 1.3540 102.7750 1.3174 21.0787 LIVECOW 0.8535 164.7000 0.5182 8.2915 MXP 0.0004 0.0543 0.6927 11.0829 NASDAQ 153.6726 12393.7500 1.2399 19.8387 NIKKEI 210.0395 27505.0000 0.7636 12.2183 NZD 0.0046 0.6246 0.7384 11.8152 OAT 0.8451 130.0800 0.6497 10.3949 OJ 0.0400 2.3360 1.7109 27.3744 PALLAD 38.2033 1500.5000 2.5460 40.7366 PLAT 16.3895 922.3000 1.7770 28.4324 REDWHEAT 11.5704 883.5000 1.3096 20.9538 ROBUSTA 26.8619 2095.0000 1.2822 20.5151 RUSSELL 21.4410 1950.3000 1.0994 17.5899 SILVER-mini 0.3537 21.9375 1.6125 25.8001 SOYBEAN 9.1994 1385.2500 0.6641 10.6255 SOYMEAL 5.2873 465.6000 1.1356 18.1694 SOYOIL 0.8322 61.4300 1.3548 21.6761 SP400 24.9552 2670.0000 0.9347 14.9544 SP500 35.7703 4085.0000 0.8756 14.0104 SUGAR11 0.0027 0.1983 1.3635 21.8159 US10 0.4804 112.0312 0.4288 6.8610 US10U 0.6501 118.1562 0.5502 8.8034 US20 0.9175 125.8438 0.7291 11.6651 US30 1.4712 136.0938 1.0810 17.2959 US5 0.3211 107.3750 0.2990 4.7844 VIX 0.5157 22.2500 2.3178 37.0853 WHEAT 9.5538 803.2500 1.1894 19.0303 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 688.60 0.78 539.16 1.00 539.16 45422.13 84.25 5.62 47.31 BITCOIN 24.78 3.09 76.55 1.00 76.55 45422.13 593.38 -1.47 -86.98 BOBL 1163.40 0.31 359.71 1.06 384.92 45422.13 118.00 4.31 50.89 BTP 1144.40 0.86 987.84 1.06 1057.06 45422.13 42.97 13.17 56.61 BUND 1352.80 0.59 803.50 1.06 859.81 45422.13 52.83 12.87 67.97 BUXL 1403.80 1.36 1903.23 1.06 2036.59 45422.13 22.30 -7.33 -16.34 CAC 738.85 0.77 566.81 1.06 606.53 45422.13 74.89 9.68 72.49 CAD 742.50 0.45 336.96 1.00 336.96 45422.13 134.80 8.24 111.05 CANOLA 164.36 0.81 133.22 0.74 99.51 45422.13 456.44 5.52 251.92 CHF 1355.06 0.52 699.86 1.00 699.86 45422.13 64.90 -14.18 -92.02 COCOA 277.80 1.16 323.38 1.00 323.38 45422.13 140.46 -11.49 -161.39 COFFEE 697.31 2.06 1434.06 1.00 1434.06 45422.13 31.67 7.71 24.43 COPPER 1033.00 1.17 1212.34 1.00 1212.34 45422.13 37.47 9.21 34.50 CORN 298.00 0.71 212.47 1.00 212.47 45422.13 213.78 13.87 296.42 COTTON2 408.45 1.75 714.96 1.00 714.96 45422.13 63.53 -4.68 -29.71 CRUDE_W 747.60 1.64 1223.72 1.00 1223.72 45422.13 37.12 5.09 18.88 DAX 155.50 0.79 122.46 1.06 131.04 45422.13 346.62 5.49 190.39 DOW 169.23 0.74 125.66 1.00 125.66 45422.13 361.46 3.36 121.28 EUR 1338.75 0.51 678.74 1.00 678.74 45422.13 66.92 -8.73 -58.41 EUROSTX 429.50 0.85 363.81 1.06 389.30 45422.13 116.68 7.00 81.73 FEEDCOW 971.75 0.54 526.33 1.00 526.33 45422.13 86.30 -9.37 -80.90 FTSE100 707.00 0.82 576.59 1.19 666.67 45422.13 68.13 7.70 52.45 GASOIL 791.75 2.23 1764.91 1.00 1764.91 45422.13 25.74 2.41 6.19 GASOILINE 1098.13 1.86 2040.00 1.00 2040.00 45422.13 22.27 -10.69 -23.79 GAS_US 250.60 5.95 1490.51 1.00 1490.51 45422.13 30.47 -19.39 -59.09 GBP 753.12 0.66 498.37 1.00 498.37 45422.13 91.14 7.14 65.04 GOLD_micro 185.28 0.84 154.99 1.00 154.99 45422.13 293.06 -10.28 -301.34 HEATOIL 1119.68 2.11 2361.77 1.00 2361.77 45422.13 19.23 2.57 4.93 JPY 935.12 0.80 743.81 1.00 743.81 45422.13 61.07 -3.63 -22.14 LEANHOG 411.10 1.32 541.59 1.00 541.59 45422.13 83.87 -20.00 -167.74 LIVECOW 658.80 0.52 341.40 1.00 341.40 45422.13 133.05 -8.36 -111.24 MXP 271.40 0.69 187.99 1.00 187.99 45422.13 241.61 14.94 361.09 NASDAQ 2478.75 1.24 3073.45 1.00 3073.45 45422.13 14.78 6.66 9.84 NIKKEI 27505.00 0.76 21003.95 0.01 156.81 45422.13 289.66 11.30 327.37 NZD 624.60 0.74 461.24 1.00 461.24 45422.13 98.48 6.90 67.93 OAT 1300.80 0.65 845.10 1.06 904.32 45422.13 50.23 12.49 62.73 OJ 350.40 1.71 599.50 1.00 599.50 45422.13 75.77 -3.96 -29.97 PALLAD 1500.50 2.55 3820.33 1.00 3820.33 45422.13 11.89 -7.56 -8.98 PLAT 461.15 1.78 819.48 1.00 819.48 45422.13 55.43 2.41 13.34 REDWHEAT 441.75 1.31 578.52 1.00 578.52 45422.13 78.51 5.35 42.03 ROBUSTA 209.50 1.28 268.62 1.00 268.62 45422.13 169.09 9.67 163.49 RUSSELL 97.52 1.10 107.21 1.00 107.21 45422.13 423.69 5.13 217.39 SILVER-mini 548.44 1.61 884.36 1.00 884.36 45422.13 51.36 -5.31 -27.26 SOYBEAN 692.62 0.66 459.97 1.00 459.97 45422.13 98.75 3.48 34.37 SOYMEAL 465.60 1.14 528.73 1.00 528.73 45422.13 85.91 7.94 68.19 SOYOIL 368.58 1.35 499.34 1.00 499.34 45422.13 90.97 4.41 40.14 SP400 2670.00 0.93 2495.52 1.00 2495.52 45422.13 18.20 6.85 12.47 SP500 2042.50 0.88 1788.51 1.00 1788.51 45422.13 25.40 4.77 12.11 SUGAR11 222.10 1.36 302.83 1.00 302.83 45422.13 149.99 15.70 235.44 US10 1120.31 0.43 480.40 1.00 480.40 45422.13 94.55 -2.41 -22.77 US10U 1181.56 0.55 650.11 1.00 650.11 45422.13 69.87 -7.85 -54.86 US20 1258.44 0.73 917.49 1.00 917.49 45422.13 49.51 -11.78 -58.34 US30 1360.94 1.08 1471.17 1.00 1471.17 45422.13 30.87 0.26 0.82 US5 1073.75 0.30 321.08 1.00 321.08 45422.13 141.47 -2.73 -38.60 VIX 222.50 2.32 515.72 1.00 515.72 45422.13 88.08 -20.00 -176.15 WHEAT 401.62 1.19 477.69 1.00 477.69 45422.13 95.09 -4.40 -41.87 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 47.313 0.006 2.5 0.756 BITCOIN -86.980 0.009 2.5 -2.049 BOBL 50.890 0.029 2.5 3.672 BTP 56.609 0.008 2.5 1.143 BUND 67.971 0.029 2.5 4.905 BUXL -16.339 0.034 2.5 -1.372 CAC 72.491 0.011 2.5 2.038 CAD 111.046 0.007 2.5 1.983 CANOLA 251.922 0.004 2.5 2.313 CHF -92.021 0.015 2.5 -3.444 COCOA -161.386 0.009 2.5 -3.516 COFFEE 24.429 0.005 2.5 0.317 COPPER 34.495 0.011 2.5 0.943 CORN 296.419 0.004 2.5 2.674 COTTON2 -29.705 0.006 2.5 -0.447 CRUDE_W 18.876 0.053 2.5 2.494 DAX 190.387 0.022 2.5 10.340 DOW 121.276 0.011 2.5 3.456 EUR -58.410 0.015 2.5 -2.186 EUROSTX 81.729 0.011 2.5 2.298 FEEDCOW -80.898 0.011 2.5 -2.174 FTSE100 52.446 0.041 2.5 5.407 GASOIL 6.192 0.029 2.5 0.442 GASOILINE -23.794 0.016 2.5 -0.977 GAS_US -59.088 0.006 2.5 -0.890 GBP 65.042 0.007 2.5 1.161 GOLD_micro -301.342 0.009 2.5 -6.742 HEATOIL 4.935 0.029 2.5 0.352 JPY -22.144 0.026 2.5 -1.433 LEANHOG -167.736 0.019 2.5 -7.837 LIVECOW -111.236 0.011 2.5 -2.989 MXP 361.092 0.005 2.5 4.421 NASDAQ 9.839 0.022 2.5 0.534 NIKKEI 327.374 0.076 2.5 62.179 NZD 67.935 0.006 2.5 1.085 OAT 62.733 0.008 2.5 1.267 OJ -29.970 0.007 2.5 -0.523 PALLAD -8.984 0.010 2.5 -0.216 PLAT 13.342 0.010 2.5 0.321 REDWHEAT 42.034 0.002 2.5 0.224 ROBUSTA 163.487 0.005 2.5 2.120 RUSSELL 217.394 0.021 2.5 11.260 SILVER-mini -27.255 0.009 2.5 -0.610 SOYBEAN 34.367 0.024 2.5 2.026 SOYMEAL 68.193 0.024 2.5 4.021 SOYOIL 40.138 0.004 2.5 0.368 SP400 12.466 0.021 2.5 0.646 SP500 12.111 0.011 2.5 0.345 SUGAR11 235.439 0.005 2.5 3.195 US10 -22.765 0.015 2.5 -0.873 US10U -54.864 0.058 2.5 -7.994 US20 -58.341 0.029 2.5 -4.300 US30 0.816 0.034 2.5 0.069 US5 -38.603 0.015 2.5 -1.481 VIX -176.151 0.075 2.5 -33.196 WHEAT -41.874 0.002 2.5 -0.224 ==================== Position diags ==================== AUD 1.35 BITCOIN 13.98 BOBL 8.51 BTP 0.87 BUND 3.81 BUXL 1.87 CAC 2.11 CAD 2.41 CANOLA 4.19 CHF 2.43 COCOA 3.06 COFFEE 0.41 COPPER 1.02 CORN 1.93 COTTON2 0.96 CRUDE_W 4.90 DAX 18.82 DOW 10.30 EUR 2.50 EUROSTX 3.28 FEEDCOW 2.32 FTSE100 7.02 GASOIL 1.84 GASOILINE 0.91 GAS_US 0.46 GBP 1.63 GOLD_micro 6.56 HEATOIL 1.37 JPY 3.95 LEANHOG 3.92 LIVECOW 3.58 MXP 2.96 NASDAQ 0.80 NIKKEI 55.02 NZD 1.57 OAT 1.01 OJ 1.32 PALLAD 0.29 PLAT 1.33 REDWHEAT 0.42 ROBUSTA 2.19 RUSSELL 21.95 SILVER-mini 1.15 SOYBEAN 5.82 SOYMEAL 5.07 SOYOIL 0.84 SP400 0.94 SP500 0.72 SUGAR11 2.04 US10 3.63 US10U 10.18 US20 3.65 US30 2.59 US5 5.43 VIX 16.60 WHEAT 0.51 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 -2.0 -3.4 -0.7 -5.0 -5 BOBL 3.7 2.8 4.5 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 2.0 1.8 2.2 1.0 1 CAD 2.0 1.7 2.2 0.0 0 CANOLA 2.3 1.9 2.7 NaN 0 CHF -3.4 -3.7 -3.2 -5.0 -5 COCOA -3.5 -3.8 -3.2 -2.0 -2 COFFEE 0.3 0.3 0.4 NaN 0 COPPER 0.9 0.8 1.0 0.0 0 CORN 2.7 2.5 2.9 6.0 6 COTTON2 -0.4 -0.5 -0.4 NaN 0 CRUDE_W 2.5 2.0 3.0 5.0 5 DAX 10.3 8.5 12.2 0.0 0 DOW 3.5 2.4 4.5 0.0 0 EUR -2.2 -2.4 -1.9 -2.0 -2 EUROSTX 2.3 2.0 2.6 0.0 0 FEEDCOW -2.2 -2.4 -1.9 -5.0 -5 FTSE100 5.4 4.7 6.1 0.0 0 GASOIL 0.4 0.3 0.6 0.0 0 GASOILINE -1.0 -1.1 -0.9 -1.0 -1 GAS_US -0.9 -0.9 -0.8 -1.0 -1 GBP 1.2 1.0 1.3 6.0 6 GOLD_micro -6.7 -7.4 -6.1 -3.0 -3 HEATOIL 0.4 0.2 0.5 0.0 0 JPY -1.4 -1.8 -1.0 -6.0 -6 LEANHOG -7.8 -8.2 -7.4 -6.0 -6 LIVECOW -3.0 -3.3 -2.6 -5.0 -5 MXP 4.4 4.1 4.7 3.0 3 NASDAQ 0.5 0.5 0.6 2.0 2 NIKKEI 62.2 56.7 67.7 0.0 0 NZD 1.1 0.9 1.2 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 0.3 0.2 0.5 NaN 0 REDWHEAT 0.2 0.2 0.3 0.0 0 ROBUSTA 2.1 1.9 2.3 2.0 2 RUSSELL 11.3 9.1 13.5 0.0 0 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 2.0 1.4 2.6 1.0 1 SOYMEAL 4.0 3.5 4.5 5.0 5 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.6 0.6 0.7 7.0 7 SP500 0.3 0.3 0.4 0.0 0 SUGAR11 3.2 3.0 3.4 0.0 0 US10 -0.9 -1.2 -0.5 NaN 0 US10U -8.0 -9.0 -7.0 -10.0 -10 US20 -4.3 -4.7 -3.9 -1.0 -1 US30 0.1 -0.2 0.3 0.0 0 US5 -1.5 -2.0 -0.9 -3.0 -3 VIX -33.2 -34.9 -31.5 -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 -0.2 0.2 0.3 0.0 -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 -0.0 -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 2.6 -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 -0.2 -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 1.0 0.0 0.0 -0.1 -0.2 BTP -0.1 0.2 0.3 -0.0 -0.0 -0.0 -0.1 -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 -0.8 2.2 0.0 -0.0 0.0 -0.0 -0.1 0.0 2.7 0.2 0.4 0.2 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 0.0 0.1 -0.0 -0.1 BUXL -0.1 0.0 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.0 -0.2 -0.0 -0.3 -0.0 -0.2 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 0.0 -0.1 -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 0.1 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 0.3 0.1 0.2 CAD -0.0 0.2 0.0 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.1 -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 0.0 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 -0.1 -0.0 0.4 2.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.2 -0.2 CHF -0.1 0.0 0.3 0.0 -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 -0.0 -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 0.3 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 -2.8 -2.2 0.1 0.0 0.1 0.0 0.0 0.0 -2.4 0.2 0.2 0.2 0.3 COFFEE 0.2 0.3 -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 0.1 -0.1 0.0 -0.1 0.0 1.9 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.1 0.1 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 -0.1 -0.0 -0.0 -0.0 0.2 0.2 0.0 0.0 0.0 0.1 2.1 0.0 0.0 0.1 0.0 0.0 0.0 0.3 0.3 0.2 0.2 0.2 CORN 0.1 -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 -0.4 2.3 -0.1 0.0 -0.1 0.0 0.0 -0.0 2.7 0.0 -0.2 -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 0.7 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.1 0.3 CRUDE_W -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 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 -1.9 2.2 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.1 0.2 0.1 0.3 DOW 0.0 0.1 0.2 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 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 -0.1 -0.0 0.3 -0.6 -0.4 -0.2 -0.2 0.1 0.2 -0.0 -0.0 -0.0 -0.1 -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 1.0 0.3 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 2.3 0.0 0.2 0.1 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 0.2 0.2 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL -0.2 -0.0 -0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.0 -0.2 -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 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.1 -0.2 -0.1 -0.2 GASOILINE -0.1 0.2 -0.1 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 0.0 -0.1 -0.0 0.1 0.0 0.2 -0.3 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 -0.1 0.1 -0.0 -0.0 -0.4 -0.0 -0.3 -0.1 -0.4 -0.6 -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 -0.2 -0.1 -0.3 -0.3 GBP -0.2 0.0 0.3 0.0 -0.0 0.1 -0.1 -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 -0.2 GOLD_micro -0.2 0.1 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 -0.3 -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 -0.1 -0.0 -0.1 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 -1.4 -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 0.0 -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 0.0 0.1 -0.0 -0.1 -0.0 0.6 2.0 0.0 -0.0 0.0 -0.0 -0.1 -0.0 -2.1 -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 -0.5 -0.4 -0.4 -0.1 -0.1 -0.0 -0.0 -0.0 -0.2 -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 -0.0 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 0.4 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 0.0 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 0.0 0.3 -0.3 -0.3 NZD -0.2 0.0 0.3 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.3 -0.0 -0.0 -0.0 0.2 0.0 0.0 0.0 0.0 0.0 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 0.2 -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 0.0 0.1 0.0 -0.1 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 2.4 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 2.8 -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 0.1 -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 -0.2 -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 0.1 -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 0.6 0.4 0.2 0.2 0.2 0.1 0.0 -0.0 0.0 -0.9 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.5 0.0 0.4 0.2 0.0 RUSSELL 0.1 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 -0.1 0.2 0.0 -0.1 SILVER-mini -0.2 -0.2 0.4 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.2 -0.0 -0.0 -0.1 0.1 -0.4 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.0 1.4 -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 -2.4 -2.5 0.0 0.0 0.0 0.0 0.1 0.0 2.7 0.0 -0.0 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 0.2 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 0.1 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 0.1 0.3 0.2 0.1 -0.0 0.1 0.0 0.0 0.0 -0.1 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 -0.0 0.2 -0.1 -0.1 SUGAR11 0.1 0.0 0.2 0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.0 0.2 0.0 0.2 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.2 0.0 0.1 0.0 -3.3 2.3 0.1 -0.0 0.1 0.0 0.1 0.0 2.7 -0.0 0.4 0.2 0.3 US10 -0.2 0.1 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 -0.1 -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 -0.1 -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 0.1 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 -0.0 -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 -0.1 -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 0.5 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.3 -0.0 -0.0 -0.2 -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 -0.0 -0.4 -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 0.0 -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 -15.0 12.3 16.3 3.1 -3.0 2.5 -2.6 -1.3 -0.1 -12.7 7.6 -12.2 -2.9 1.8 10.7 -3.5 -2.5 -3.3 -3.0 7.0 6.3 -8.9 -1.8 -1.8 3.9 11.7 2.8 -4.8 2.4 -4.2 -1.2 -1.1 -0.6 -2.7 -0.6 3.0 -2.8 BITCOIN 3.1 20.0 9.7 1.1 -3.3 2.4 -5.1 1.7 -2.8 13.0 4.8 11.1 -13.9 13.4 12.8 -2.6 -0.8 -1.0 -0.5 16.0 3.8 14.4 -13.7 15.8 11.8 -18.1 4.5 5.7 1.8 4.1 -1.2 4.4 2.6 20.0 20.0 20.0 -11.7 BOBL -8.0 8.0 1.4 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -10.4 -12.9 -14.4 -13.7 -7.0 -7.0 -12.2 6.3 -5.8 1.1 -11.4 -16.4 -17.2 -20.0 -13.6 11.1 10.8 -3.3 -5.4 -6.3 -6.9 -12.4 -4.6 7.2 0.6 3.3 -4.6 -14.0 BTP -6.5 12.4 16.5 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -7.0 -0.2 -11.4 -9.9 4.3 5.6 6.8 13.1 9.9 12.6 2.7 -0.7 -5.5 -10.8 -0.9 -6.1 11.4 3.1 -1.8 0.5 -1.2 -6.2 1.5 20.0 17.4 17.7 12.3 9.0 BUND -9.3 9.7 6.9 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -8.2 -11.4 -14.0 -13.2 -4.5 -4.6 9.9 15.0 11.6 13.2 -9.0 -13.4 -14.3 -20.0 -11.6 6.3 12.3 -1.8 -3.5 -4.5 -5.2 -10.3 -3.3 20.0 5.7 4.0 -0.9 -7.5 BUXL -10.1 0.5 6.8 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -6.0 -10.0 -13.6 -12.5 -6.8 -7.5 1.9 0.1 2.9 2.6 -11.4 -13.9 -13.7 -20.0 -13.3 1.9 -10.8 -2.7 -2.7 -3.9 -4.8 -7.6 -4.0 1.5 11.6 0.9 -9.8 -5.7 CAC 6.1 20.0 20.0 4.1 -0.2 2.8 0.7 0.6 2.8 13.9 15.5 14.4 8.5 15.6 16.1 -3.7 1.4 -2.9 -1.3 20.0 20.0 20.0 16.5 20.0 -14.4 8.9 6.1 6.8 5.2 6.3 3.2 6.0 6.3 20.0 17.6 9.6 14.1 CAD -1.4 11.1 2.7 3.1 -3.0 2.5 -2.6 -1.3 -0.1 -11.2 -4.7 -7.0 -8.5 7.4 5.8 -2.0 -1.3 -1.9 -1.7 2.5 -2.8 -5.1 -9.5 0.4 15.2 10.4 2.2 -7.5 -1.2 -3.5 -6.0 0.3 1.6 0.9 4.8 1.4 -16.0 CANOLA 3.4 -12.1 -9.7 0.6 -2.0 -2.2 -0.4 -1.4 1.9 -7.1 -6.3 4.7 -8.4 -5.6 -7.1 6.0 10.2 5.1 6.2 -9.7 -11.5 -4.1 -4.9 -7.1 1.9 11.5 -4.1 -0.3 -3.9 -1.6 -0.7 -2.8 -0.1 -3.0 -12.8 -19.8 -13.7 CHF -10.2 0.6 16.9 3.1 -3.0 2.5 -2.6 -1.3 -0.1 -5.6 12.3 -10.0 2.5 -3.2 12.3 -14.6 -13.1 -14.2 -13.9 6.4 9.2 -5.1 2.8 -1.2 -6.3 -11.5 3.9 -3.1 4.5 -2.7 -0.3 -0.2 -19.0 4.1 -1.2 -5.9 0.2 COCOA 1.3 4.2 17.4 0.6 -2.0 -2.2 -0.4 -1.4 1.9 14.0 11.0 11.9 -1.7 8.7 11.8 -1.0 -2.9 -1.7 -1.8 10.6 9.7 20.0 3.3 12.0 -18.1 -10.4 5.4 13.7 4.8 9.7 2.1 5.9 -17.7 20.0 9.2 15.6 20.0 COFFEE 20.0 18.2 -5.5 0.6 -2.0 -2.2 -0.4 -1.4 1.9 10.7 -8.5 13.0 -9.3 13.0 5.3 1.1 3.0 1.2 2.6 5.3 -8.2 16.4 -11.1 15.0 11.8 10.0 2.8 5.9 -1.7 5.6 -2.9 5.5 -8.4 20.0 20.0 15.7 -7.8 COPPER -20.0 18.0 20.0 1.1 -3.3 2.4 -5.1 1.7 -2.8 11.6 8.3 -6.6 -3.0 4.9 10.9 -1.7 -0.5 -1.3 -0.9 13.1 13.7 0.6 2.8 2.3 1.0 11.1 3.4 3.2 4.2 0.0 1.9 0.2 2.4 20.0 7.4 13.3 10.4 CORN 5.3 -6.5 -16.2 0.6 -2.0 -2.2 -0.4 -1.4 1.9 5.1 4.0 7.1 2.0 -5.4 -10.7 20.0 19.3 20.0 20.0 -4.5 -3.8 1.4 6.7 -0.6 -2.9 11.0 -4.6 0.5 -4.7 0.5 1.3 -1.2 20.0 3.8 -12.8 -12.4 -18.6 COTTON2 -4.7 7.1 -4.1 0.6 -2.0 -2.2 -0.4 -1.4 1.9 -13.5 -8.0 -10.9 -6.4 -2.0 8.5 -3.9 10.7 -0.9 4.2 -2.2 -7.1 -14.3 -5.3 -5.7 2.8 -10.9 -0.5 -13.9 -0.6 -10.1 2.5 -4.3 0.1 -19.7 -16.8 -3.6 9.6 CRUDE_W -8.5 3.0 -3.3 -1.8 -5.1 -1.4 -3.1 2.9 -2.4 0.9 -0.8 0.7 1.6 1.2 0.1 8.6 12.1 8.6 9.7 0.3 -0.1 -2.0 4.0 -0.5 -12.3 10.8 0.9 -5.3 1.7 -1.8 5.8 -0.5 -0.2 6.7 3.1 5.8 10.7 DAX 1.3 20.0 20.0 4.1 -0.2 2.8 0.7 0.6 2.8 12.0 15.1 13.3 3.2 15.3 16.0 -10.0 -4.7 -8.7 -6.9 20.0 20.0 11.8 11.0 19.0 -12.5 9.9 6.1 2.1 5.5 3.2 2.4 4.7 -3.7 13.3 9.3 7.7 18.2 DOW 0.4 3.2 13.4 4.1 -0.2 2.8 0.7 0.6 2.8 -7.5 11.0 0.5 2.1 5.4 8.4 -7.7 -3.9 -6.8 -5.8 6.7 8.5 -1.5 4.5 2.5 -3.1 10.8 4.1 -3.8 4.4 -0.8 2.5 1.9 -2.2 5.4 -2.7 -17.3 -3.0 EUR -20.0 5.1 20.0 3.1 -3.0 2.5 -2.6 -1.3 -0.1 -8.1 11.2 -13.6 -3.0 -3.2 11.3 -8.2 -8.6 -8.3 -8.5 8.5 12.0 -10.7 -1.3 -4.9 -0.5 -11.1 3.4 -2.5 4.1 -3.6 -1.2 -1.3 -10.6 -10.2 -7.5 0.4 7.0 EUROSTX 4.2 20.0 20.0 4.1 -0.2 2.8 0.7 0.6 2.8 11.8 15.6 14.2 7.5 15.9 16.4 12.0 6.0 9.6 7.2 20.0 20.0 15.9 14.8 20.0 -16.2 -8.5 6.2 3.6 5.9 4.4 3.4 5.2 16.7 19.9 10.9 4.6 16.8 FEEDCOW 10.1 3.2 6.7 0.6 -2.0 -2.2 -0.4 -1.4 1.9 -11.8 2.6 10.1 0.9 10.1 11.0 -20.0 -20.0 -20.0 -20.0 6.5 4.0 4.0 1.0 7.0 -16.4 12.2 5.4 -1.2 4.3 1.8 2.1 4.2 -20.0 4.0 12.8 12.6 19.3 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 -19.2 -1.2 -19.3 -1.8 -5.1 -1.4 -3.1 2.9 -2.4 -8.5 -6.3 -11.3 8.5 -7.8 -5.2 20.0 20.0 20.0 20.0 -6.9 -2.5 -12.3 9.5 -10.5 -2.6 -15.4 -4.1 -5.7 -2.8 -4.8 2.2 -4.6 20.0 -8.7 -10.9 -11.2 -12.4 GASOILINE -9.5 13.0 -6.0 -1.8 -5.1 -1.4 -3.1 2.9 -2.4 1.1 -3.5 -1.5 3.4 4.2 7.3 -4.0 9.5 -12.0 -2.8 5.6 3.6 -1.8 7.4 2.8 -14.3 -13.1 3.6 -2.6 4.0 -1.0 6.1 1.2 -11.1 3.7 5.4 20.0 20.0 GAS_US -3.0 -20.0 -20.0 -1.8 -5.1 -1.4 -3.1 2.9 -2.4 -11.9 -16.2 -13.4 -10.6 -15.8 -16.6 -7.4 -3.1 0.5 -0.8 -20.0 -20.0 -12.6 -20.0 -20.0 -2.2 -9.3 -6.0 -3.2 -5.2 -2.8 -0.9 -4.2 -20.0 -11.2 -3.8 -20.0 -18.7 GBP -20.0 1.5 14.8 3.1 -3.0 2.5 -2.6 -1.3 -0.1 -9.9 10.4 -12.6 -2.9 -5.6 9.4 -2.5 -1.9 -2.3 -2.2 1.7 4.2 -10.4 -4.8 -7.4 14.5 9.4 -0.5 -4.0 -0.9 -5.5 -6.1 -4.2 0.6 1.8 -16.0 -13.5 -10.3 GOLD_micro -20.0 9.2 20.0 1.1 -3.3 2.4 -5.1 1.7 -2.8 -10.8 8.4 -14.9 -2.5 -5.1 8.8 -12.1 -9.8 -11.9 -11.3 6.0 10.8 -18.9 3.8 -10.3 6.5 -13.8 1.3 -4.2 2.9 -6.1 1.4 -3.6 -14.5 -0.6 -2.1 0.2 5.2 HEATOIL -17.0 -1.2 -17.2 -1.8 -5.1 -1.4 -3.1 2.9 -2.4 -7.1 -5.3 -11.1 7.9 -9.2 -2.9 20.0 20.0 20.0 20.0 -5.4 -1.6 -10.7 9.3 -8.5 -15.1 -13.6 -1.4 -6.1 0.9 -4.8 7.8 -3.4 20.0 -7.8 -7.3 1.9 0.7 JPY -20.0 6.9 20.0 3.1 -3.0 2.5 -2.6 -1.3 -0.1 -13.3 8.1 -14.7 -7.0 -8.4 9.1 -13.0 -11.3 -12.5 -12.4 4.1 6.2 -17.9 -7.0 -9.6 4.4 9.9 1.6 -6.0 1.9 -6.5 -4.4 -3.5 -16.3 -16.6 -19.3 -9.8 4.9 LEANHOG 2.9 -19.2 -12.9 0.6 -2.0 -2.2 -0.4 -1.4 1.9 1.9 -7.2 2.4 -4.8 -11.3 -11.0 -20.0 -11.5 -20.0 -20.0 -12.5 -9.8 -1.1 -3.0 -7.9 -1.6 -11.1 -5.0 -0.7 -4.3 -0.5 -1.7 -3.0 -20.0 -3.5 -13.6 -20.0 -14.3 LIVECOW 12.5 6.3 11.0 0.6 -2.0 -2.2 -0.4 -1.4 1.9 4.0 14.0 12.5 5.4 13.3 14.1 -20.0 -20.0 -20.0 -20.0 13.4 11.3 10.1 6.4 13.4 -20.0 12.0 6.0 1.8 5.4 3.7 3.9 5.4 -20.0 10.3 20.0 20.0 20.0 MXP -5.3 11.8 6.9 3.1 -3.0 2.5 -2.6 -1.3 -0.1 13.8 15.8 14.2 15.6 15.1 15.3 20.0 20.0 20.0 20.0 19.7 20.0 19.4 18.4 18.0 -20.0 9.7 6.1 6.8 6.4 5.8 5.6 5.3 20.0 20.0 20.0 20.0 6.9 NASDAQ 20.0 20.0 7.5 4.1 -0.2 2.8 0.7 0.6 2.8 -7.0 -3.1 8.5 -11.0 13.1 11.7 -6.6 -4.3 -6.0 -5.4 15.5 3.3 7.0 -8.4 17.1 6.2 10.2 4.9 -1.7 2.2 1.7 -0.6 4.5 -2.3 1.5 20.0 6.0 -4.9 NIKKEI 16.4 12.5 -2.3 4.1 -0.2 2.8 0.7 0.6 2.8 -6.5 0.3 7.5 1.2 12.9 4.7 20.0 14.3 20.0 17.7 8.1 2.2 4.7 0.2 11.3 11.0 -9.4 2.4 -1.3 -0.3 1.4 -1.5 3.7 20.0 4.0 12.7 -17.9 -20.0 NZD -20.0 1.5 20.0 3.1 -3.0 2.5 -2.6 -1.3 -0.1 -13.8 10.9 -14.2 -1.8 -7.6 10.2 0.2 0.4 0.1 0.1 3.4 7.2 -14.5 -1.1 -8.2 -0.2 10.8 1.4 -6.4 2.7 -6.2 -0.7 -3.5 4.5 -9.7 -13.4 -8.8 4.6 OAT -10.6 7.9 9.0 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -8.4 -9.5 -14.1 -12.4 -3.6 -3.9 8.7 12.3 10.9 12.1 -7.0 -9.7 -13.4 -17.3 -10.5 3.4 12.7 -1.1 -3.1 -3.5 -4.5 -9.5 -2.7 20.0 7.3 4.7 0.1 -3.6 OJ 14.7 -1.5 2.8 0.6 -2.0 -2.2 -0.4 -1.4 1.9 -5.2 14.7 6.2 15.0 8.6 11.8 20.0 15.8 20.0 19.6 20.0 20.0 14.1 20.0 20.0 -20.0 -14.1 5.5 1.4 5.1 3.4 4.9 5.5 16.7 20.0 20.0 20.0 20.0 PALLAD -11.9 -14.2 -18.5 1.1 -3.3 2.4 -5.1 1.7 -2.8 -8.0 -14.8 -12.4 -12.4 -13.9 -15.2 -3.6 -1.9 -2.9 -2.4 -20.0 -20.0 -20.0 -15.7 -20.0 15.1 -11.1 -5.7 -5.0 -4.6 -7.3 -3.2 -6.7 0.0 -7.9 -9.8 -20.0 -20.0 PLAT -20.0 -13.3 7.6 1.1 -3.3 2.4 -5.1 1.7 -2.8 -12.5 5.7 -15.3 1.5 -15.0 -5.5 -2.4 -1.0 -1.9 -1.3 -10.7 1.6 -20.0 3.3 -20.0 -1.0 11.2 -2.5 -6.1 1.0 -8.1 1.0 -6.8 1.7 -10.9 -12.9 -17.9 -8.9 REDWHEAT 20.0 5.5 -12.5 0.6 -2.0 -2.2 -0.4 -1.4 1.9 9.5 -8.9 13.4 -8.9 12.9 -4.6 10.1 2.7 7.2 5.2 2.0 -7.3 10.9 -5.6 10.5 -1.7 12.9 2.1 4.3 -0.6 5.5 1.7 5.3 -7.1 18.4 12.0 7.2 -5.8 ROBUSTA 17.8 20.0 5.7 0.6 -2.0 -2.2 -0.4 -1.4 1.9 11.8 -2.8 10.6 -3.9 12.6 9.6 8.3 9.4 10.8 10.6 15.7 4.7 13.7 -0.3 18.3 -5.6 9.6 3.9 3.9 0.6 4.2 -0.6 5.2 3.3 18.7 20.0 17.1 2.0 RUSSELL 10.2 20.0 9.0 4.1 -0.2 2.8 0.7 0.6 2.8 -1.1 3.8 2.7 -7.9 10.3 10.8 -6.0 -3.5 -5.5 -4.8 14.1 7.5 4.8 -2.1 12.2 -3.0 10.0 4.9 0.3 3.4 1.5 0.9 3.8 -1.1 -4.9 10.1 2.8 -5.5 SILVER-mini -20.0 -9.3 18.7 1.1 -3.3 2.4 -5.1 1.7 -2.8 -11.5 8.7 -15.3 -0.6 -14.0 5.2 -5.9 -4.2 -5.4 -4.9 -4.2 6.0 -18.8 2.7 -17.4 6.7 -11.3 -1.3 -3.7 1.6 -6.3 0.0 -5.7 -4.2 0.1 -4.7 -20.0 -0.1 SOYBEAN 8.0 -8.2 -0.4 0.6 -2.0 -2.2 -0.4 -1.4 1.9 12.7 5.0 12.7 4.2 -0.1 -1.3 20.0 20.0 20.0 20.0 -0.7 0.2 8.6 5.7 3.4 -16.4 -11.7 1.9 6.1 3.2 6.2 7.8 3.8 20.0 16.8 -1.0 0.2 8.6 SOYMEAL 5.1 12.3 20.0 0.6 -2.0 -2.2 -0.4 -1.4 1.9 -3.0 14.0 8.7 13.4 11.3 14.6 20.0 18.0 20.0 20.0 20.0 20.0 4.8 18.2 13.0 -20.0 -12.0 6.0 -0.8 7.3 1.1 7.1 3.4 18.6 -2.7 8.7 20.0 20.0 SOYOIL 0.7 -11.2 -16.2 0.6 -2.0 -2.2 -0.4 -1.4 1.9 10.3 -2.6 2.4 2.9 -7.6 -11.7 1.1 16.0 5.4 10.9 -9.4 -6.8 3.9 2.7 -4.7 -10.2 12.9 -4.2 3.9 -2.4 1.6 2.7 -2.2 10.0 18.3 -19.3 -17.2 -8.6 SP400 11.2 20.0 15.3 4.1 -0.2 2.8 0.7 0.6 2.8 -1.5 10.5 5.2 -0.6 11.2 12.6 -5.8 -3.2 -4.9 -4.0 18.7 13.7 5.9 4.8 14.8 -7.6 10.2 5.3 -0.3 4.2 1.5 2.2 4.0 -0.0 -3.2 13.1 2.7 0.6 SP500 11.3 17.0 8.8 4.1 -0.2 2.8 0.7 0.6 2.8 -11.5 2.5 5.4 -6.4 12.4 12.5 -7.5 -4.7 -6.6 -5.8 12.5 5.7 1.5 -2.8 10.7 2.7 10.2 4.9 -3.8 2.8 0.1 -0.3 3.7 -2.8 -1.8 9.3 -5.0 -5.3 SUGAR11 11.9 2.7 13.0 0.6 -2.0 -2.2 -0.4 -1.4 1.9 1.5 10.9 6.3 8.0 9.4 11.6 20.0 20.0 20.0 20.0 14.9 13.8 4.2 9.8 11.3 -20.0 10.7 5.9 -0.2 6.3 1.2 4.9 3.6 20.0 -4.6 20.0 17.4 20.0 US10 -20.0 8.3 14.8 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -11.1 -6.1 -14.6 -11.2 -10.3 2.8 -8.4 -2.7 -8.2 -6.7 -6.3 -7.0 -20.0 -17.5 -16.5 0.9 9.7 -1.9 -6.8 -1.9 -8.6 -6.0 -5.9 -8.9 -9.0 -7.3 -10.7 0.6 US10U -18.1 8.4 14.3 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -11.2 -5.7 -14.5 -11.2 -8.1 4.6 0.5 3.4 0.6 1.1 -5.1 -6.5 -20.0 -17.3 -14.4 -2.3 -14.1 -0.8 -7.2 -0.9 -8.4 -5.2 -5.2 3.1 -6.2 -3.1 -5.4 3.9 US20 -16.7 8.7 16.0 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -11.2 -3.7 -14.1 -10.0 -5.4 7.3 -10.3 -1.7 -7.7 -4.8 -3.4 -5.4 -20.0 -16.6 -12.9 -0.4 -12.3 -1.2 -8.0 -1.5 -8.7 -5.5 -5.3 -5.9 -6.4 -1.1 -10.1 3.1 US30 -12.5 10.3 20.0 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -11.7 -2.7 -13.6 -11.4 -2.6 6.4 -2.5 -0.6 -2.0 -1.5 -1.7 -5.0 -19.2 -17.9 -10.3 -3.7 10.0 0.2 -9.1 -0.3 -8.5 -5.1 -4.2 -2.5 -6.1 3.4 -4.6 6.0 US5 -20.0 7.8 14.2 -0.3 -5.3 -1.5 -6.5 -5.4 -3.4 -11.3 -6.6 -14.9 -11.6 -12.3 1.0 -10.6 -2.7 -9.2 -7.2 -8.3 -8.3 -20.0 -19.1 -19.2 3.3 10.8 -2.5 -6.2 -2.3 -8.6 -6.5 -6.4 -9.3 -12.8 -12.7 -14.3 -1.2 VIX 11.5 -18.6 -20.0 -4.7 0.4 -4.9 -0.4 -3.7 -2.5 -2.5 -15.2 0.0 -14.0 -10.9 -14.3 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 -1.9 -19.9 -11.1 NaN -13.5 -5.8 0.5 -6.8 -0.3 -5.4 -2.5 NaN NaN NaN NaN NaN WHEAT 20.0 2.7 -17.6 0.6 -2.0 -2.2 -0.4 -1.4 1.9 -0.7 -11.6 10.0 -12.7 8.4 -8.6 -10.3 -6.3 -9.1 -7.7 -2.4 -13.4 7.2 -12.0 7.8 3.5 11.9 1.0 -1.0 -2.1 4.0 -0.3 4.6 -20.0 14.0 9.0 6.1 -9.7 End of report for caleb_strategy_v1