******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230221_204826 produced at 2023-02-21 21:35:51.989017 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.40 -0.33 0.0 40454236.93 -40454236.93 -0.40 -0.40 -8.28 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.24 -0.27 0.0 8060576.98 -8060576.98 -0.24 -0.24 -32.89 999999999 -30 -30 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.19 0.0 43340736.46 -43340736.46 -0.04 -0.04 -4.41 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.17 0.0 46724535.54 -46724535.54 -0.23 -0.23 -3.57 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.11 0.0 46101830.03 -46101830.03 -0.09 -0.09 -2.31 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.11 0.0 14560930.69 -14560930.69 -0.09 -0.07 -7.79 999999999 -6 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.08 0.0 50714835.13 -50714835.13 0.00 0.00 -1.55 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.07 0.0 22835995.12 -22835995.12 -0.11 -0.11 -2.97 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.03 -0.17 -0.07 0.0 33708260.49 -33708260.49 -0.17 -0.17 -2.13 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.15 -0.06 0.0 36948815.68 -36948815.68 -0.15 -0.22 -1.69 999999999 -4 -6 caleb_strategy_v1 JPY False False 0.03 -0.19 -0.05 0.0 32129874.97 -32129874.97 -0.19 -0.22 -1.61 999999999 -6 -7 caleb_strategy_v1 US10 False False 0.04 0.00 -0.04 0.0 38610985.35 -38610985.35 0.00 0.00 -1.00 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 6379272.08 -6379272.08 -0.02 -0.03 -6.88 999999999 -3 -4 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9665773.42 -9665773.42 -0.02 -0.02 -3.37 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.03 0.0 37646699.91 -37646699.91 -0.04 -0.04 -0.92 999999999 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 19135221.64 -19135221.64 0.00 0.00 -0.60 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8081333.83 -8081333.83 -0.01 -0.01 -0.89 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 52929969.00 -52929969.00 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 11948162.12 -11948162.12 0.00 0.00 -0.52 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14097361.02 -14097361.02 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 16370236.16 -16370236.16 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 13708170.08 -13708170.08 -0.03 -0.03 -0.22 999999999 -2 -2 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 859333.61 -859333.61 -0.01 -0.01 -2.59 999999999 -7 -7 caleb_strategy_v1 US30 False False 0.05 0.00 -0.00 0.0 46486696.63 -46486696.63 0.00 -0.05 -0.01 999999999 0 -1 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15247636.49 -15247636.49 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 12968880.25 -12968880.25 0.00 0.00 0.40 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4263279.93 -4263279.93 0.00 0.00 2.44 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 24739571.30 -24739571.30 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 39243524.43 -39243524.43 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 27935261.42 -27935261.42 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.02 0.0 7375600.91 -7375600.91 0.01 0.01 2.27 999999999 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21483340.36 -21483340.36 0.00 0.00 1.03 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.02 0.0 23745837.07 -23745837.07 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7737600.38 -7737600.38 0.00 0.00 3.19 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.02 0.0 5744631.37 -5744631.37 0.00 0.00 2.87 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.02 0.0 69358151.37 -69358151.37 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 10317884.48 -10317884.48 0.06 0.06 2.77 999999999 6 6 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3277852.66 -3277852.66 0.00 0.00 10.66 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26181739.98 -26181739.98 0.16 0.16 1.23 999999999 6 6 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.04 0.0 15680929.59 -15680929.59 0.00 0.00 2.27 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.17 0.04 0.0 83804054.51 -83804054.51 0.17 0.08 0.47 999999999 2 1 caleb_strategy_v1 COPPER False False 0.04 0.00 0.04 0.0 36454218.85 -36454218.85 0.00 0.00 0.97 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9337123.29 -9337123.29 0.03 0.03 4.48 999999999 3 3 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 25568980.45 -25568980.45 0.00 0.00 1.83 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.05 0.0 26984927.56 -26984927.56 0.03 0.03 1.99 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 41569778.99 -41569778.99 0.04 0.04 1.09 999999999 1 1 caleb_strategy_v1 SP400 False False 0.09 0.63 0.05 0.0 90247326.88 -90247326.88 0.63 0.54 0.60 999999999 7 6 caleb_strategy_v1 OAT False False 0.05 0.09 0.06 0.0 47433981.66 -47433981.66 0.09 0.09 1.24 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.00 0.06 0.0 5686320.62 -5686320.62 0.00 0.00 9.73 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.10 0.06 0.0 25780008.43 -25780008.43 0.10 0.13 2.37 999999999 4 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.06 0.0 24194703.97 -24194703.97 0.02 0.02 2.52 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.08 0.07 0.0 16307965.61 -16307965.61 0.08 0.10 4.24 999999999 5 6 caleb_strategy_v1 BOBL False False 0.04 0.09 0.14 0.0 42699071.64 -42699071.64 0.09 0.04 3.20 999999999 2 1 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.38 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.24 0.0 49404708.04 -49404708.04 0.10 0.10 4.88 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.42 0.0 0.00 0.00 0.00 0.00 60.36 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 18.1 Shocked risk 59.3 Sum abs risk 51.8 Leverage 3.59 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2890611.93, 'annual_cash_vol_target': 722652.9825, 'daily_cash_vol_target': 45165.81140625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6864 0.7556 12.0889 BITCOIN 743.4074 24840.0000 2.9928 47.8845 BOBL 0.3472 115.7000 0.3001 4.8018 BTP 0.9640 112.6400 0.8559 13.6938 BUND 0.7740 133.8700 0.5782 9.2505 BUXL 1.8083 137.4200 1.3159 21.0543 CAC 56.0786 7312.0000 0.7669 12.2710 CAD 0.0033 0.7391 0.4480 7.1681 CANOLA 6.6301 830.6000 0.7982 12.7716 CHF 0.0054 1.0805 0.5011 8.0180 COCOA 32.1465 2794.0000 1.1506 18.4088 COFFEE 0.0382 1.9070 2.0006 32.0090 COPPER 0.0485 4.2150 1.1502 18.4028 CORN 4.2415 596.5000 0.7111 11.3771 COTTON2 0.0143 0.8150 1.7559 28.0940 CRUDE_W 1.2329 74.5200 1.6544 26.4710 DAX 121.0406 15408.0000 0.7856 12.5691 DOW 251.6974 33211.0000 0.7579 12.1260 EUR 0.0053 1.0661 0.4987 7.9789 EUROSTX 36.2663 4249.0000 0.8535 13.6564 FEEDCOW 1.0526 194.8750 0.5401 8.6420 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.9925 807.5000 2.1043 33.6694 GASOILINE 0.0486 2.5910 1.8763 30.0213 GAS_US 0.1493 2.3360 6.3934 102.2945 GBP 0.0078 1.2109 0.6415 10.2636 GOLD_micro 15.4757 1844.0000 0.8392 13.4280 HEATOIL 0.0561 2.7009 2.0765 33.2232 JPY 0.0001 0.0074 0.7738 12.3803 LEANHOG 1.3544 105.2250 1.2872 20.5946 LIVECOW 0.8522 165.0250 0.5164 8.2627 MXP 0.0004 0.0540 0.6855 10.9673 NASDAQ 153.9146 12112.2500 1.2707 20.3318 NIKKEI 206.1813 27280.0000 0.7558 12.0927 NZD 0.0045 0.6210 0.7215 11.5438 OAT 0.8189 128.5300 0.6371 10.1943 OJ 0.0400 2.3025 1.7351 27.7619 PALLAD 38.2076 1530.0000 2.4972 39.9557 PLAT 16.3777 946.4000 1.7305 27.6885 REDWHEAT 11.5645 881.5000 1.3119 20.9906 ROBUSTA 25.9837 2132.0000 1.2187 19.5000 RUSSELL 21.4367 1895.0000 1.1312 18.0996 SILVER-mini 0.3538 22.1250 1.5989 25.5819 SOYBEAN 9.2049 1398.7500 0.6581 10.5293 SOYMEAL 5.2932 471.4000 1.1229 17.9659 SOYOIL 0.8311 62.4800 1.3302 21.2829 SP400 24.9367 2608.7000 0.9559 15.2945 SP500 35.7639 4009.7500 0.8919 14.2708 SUGAR11 0.0027 0.1997 1.3536 21.6577 US10 0.4804 111.6094 0.4305 6.8873 US10U 0.6507 116.9375 0.5564 8.9027 US20 0.9175 125.2812 0.7324 11.7178 US30 1.4749 134.3750 1.0976 17.5617 US5 0.3206 106.8047 0.3002 4.8029 VIX 0.5176 23.3000 2.2213 35.5405 WHEAT 9.5499 792.5000 1.2050 19.2805 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 686.40 0.76 518.61 1.00 518.61 45165.81 87.09 5.05 44.01 BITCOIN 24.84 2.99 74.34 1.00 74.34 45165.81 607.55 -1.81 -109.87 BOBL 1157.00 0.30 347.23 1.07 371.26 45165.81 121.66 3.65 44.37 BTP 1126.40 0.86 964.04 1.07 1030.75 45165.81 43.82 12.34 54.07 BUND 1338.70 0.58 773.98 1.07 827.53 45165.81 54.58 12.40 67.66 BUXL 1374.20 1.32 1808.30 1.07 1933.42 45165.81 23.36 -7.88 -18.41 CAC 731.20 0.77 560.79 1.07 599.59 45165.81 75.33 9.42 70.93 CAD 739.10 0.45 331.12 1.00 331.12 45165.81 136.40 7.53 102.67 CANOLA 166.12 0.80 132.60 0.74 98.42 45165.81 458.91 5.79 265.61 CHF 1350.62 0.50 676.83 1.00 676.83 45165.81 66.73 -14.30 -95.43 COCOA 279.40 1.15 321.46 1.00 321.46 45165.81 140.50 -11.01 -154.65 COFFEE 715.12 2.00 1430.65 1.00 1430.65 45165.81 31.57 8.26 26.08 COPPER 1053.75 1.15 1212.00 1.00 1212.00 45165.81 37.27 9.55 35.59 CORN 298.25 0.71 212.08 1.00 212.08 45165.81 212.97 14.44 307.50 COTTON2 407.50 1.76 715.52 1.00 715.52 45165.81 63.12 -4.70 -29.67 CRUDE_W 745.20 1.65 1232.89 1.00 1232.89 45165.81 36.63 4.90 17.94 DAX 154.08 0.79 121.04 1.07 129.42 45165.81 349.00 5.13 179.10 DOW 166.06 0.76 125.85 1.00 125.85 45165.81 358.89 2.81 100.83 EUR 1332.62 0.50 664.56 1.00 664.56 45165.81 67.96 -9.10 -61.86 EUROSTX 424.90 0.85 362.66 1.07 387.76 45165.81 116.48 6.93 80.73 FEEDCOW 974.38 0.54 526.29 1.00 526.29 45165.81 85.82 -9.25 -79.41 FTSE100 707.00 0.82 576.59 1.20 666.67 45165.81 67.75 7.70 52.15 GASOIL 807.50 2.10 1699.25 1.00 1699.25 45165.81 26.58 2.42 6.43 GASOILINE 1088.22 1.88 2041.86 1.00 2041.86 45165.81 22.12 -10.12 -22.39 GAS_US 233.60 6.39 1493.50 1.00 1493.50 45165.81 30.24 -19.49 -58.95 GBP 756.81 0.64 485.48 1.00 485.48 45165.81 93.03 7.40 68.84 GOLD_micro 184.40 0.84 154.76 1.00 154.76 45165.81 291.85 -10.53 -307.42 HEATOIL 1134.38 2.08 2355.48 1.00 2355.48 45165.81 19.17 2.63 5.05 JPY 928.75 0.77 718.64 1.00 718.64 45165.81 62.85 -3.97 -24.94 LEANHOG 420.90 1.29 541.77 1.00 541.77 45165.81 83.37 -20.00 -166.74 LIVECOW 660.10 0.52 340.89 1.00 340.89 45165.81 132.49 -8.33 -110.43 MXP 269.90 0.69 185.01 1.00 185.01 45165.81 244.13 14.98 365.66 NASDAQ 2422.45 1.27 3078.29 1.00 3078.29 45165.81 14.67 5.89 8.64 NIKKEI 27280.00 0.76 20618.13 0.01 153.70 45165.81 293.85 10.81 317.79 NZD 621.00 0.72 448.05 1.00 448.05 45165.81 100.81 6.40 64.53 OAT 1285.30 0.64 818.92 1.07 875.59 45165.81 51.58 11.93 61.54 OJ 345.38 1.74 599.27 1.00 599.27 45165.81 75.37 -3.98 -30.00 PALLAD 1530.00 2.50 3820.76 1.00 3820.76 45165.81 11.82 -6.77 -8.00 PLAT 473.20 1.73 818.89 1.00 818.89 45165.81 55.16 2.22 12.22 REDWHEAT 440.75 1.31 578.23 1.00 578.23 45165.81 78.11 5.80 45.28 ROBUSTA 213.20 1.22 259.84 1.00 259.84 45165.81 173.82 10.07 175.04 RUSSELL 94.75 1.13 107.18 1.00 107.18 45165.81 421.39 4.88 205.72 SILVER-mini 553.12 1.60 884.38 1.00 884.38 45165.81 51.07 -5.29 -27.03 SOYBEAN 699.38 0.66 460.24 1.00 460.24 45165.81 98.13 4.35 42.68 SOYMEAL 471.40 1.12 529.32 1.00 529.32 45165.81 85.33 8.43 71.94 SOYOIL 374.88 1.33 498.66 1.00 498.66 45165.81 90.57 4.80 43.48 SP400 2608.70 0.96 2493.67 1.00 2493.67 45165.81 18.11 6.44 11.67 SP500 2004.88 0.89 1788.19 1.00 1788.19 45165.81 25.26 4.06 10.26 SUGAR11 223.66 1.35 302.75 1.00 302.75 45165.81 149.18 15.74 234.86 US10 1116.09 0.43 480.43 1.00 480.43 45165.81 94.01 -2.78 -26.13 US10U 1169.38 0.56 650.66 1.00 650.66 45165.81 69.42 -8.19 -56.83 US20 1252.81 0.73 917.51 1.00 917.51 45165.81 49.23 -12.16 -59.84 US30 1343.75 1.10 1474.91 1.00 1474.91 45165.81 30.62 -0.03 -0.10 US5 1068.05 0.30 320.61 1.00 320.61 45165.81 140.88 -3.13 -44.08 VIX 233.00 2.22 517.56 1.00 517.56 45165.81 87.27 -20.00 -174.53 WHEAT 396.25 1.21 477.49 1.00 477.49 45165.81 94.59 -4.30 -40.71 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 44.011 0.006 2.5 0.703 BITCOIN -109.867 0.009 2.5 -2.589 BOBL 44.368 0.029 2.5 3.201 BTP 54.069 0.008 2.5 1.092 BUND 67.663 0.029 2.5 4.882 BUXL -18.408 0.034 2.5 -1.545 CAC 70.931 0.011 2.5 1.994 CAD 102.669 0.007 2.5 1.833 CANOLA 265.615 0.004 2.5 2.438 CHF -95.433 0.015 2.5 -3.572 COCOA -154.645 0.009 2.5 -3.369 COFFEE 26.078 0.005 2.5 0.338 COPPER 35.588 0.011 2.5 0.973 CORN 307.502 0.004 2.5 2.774 COTTON2 -29.671 0.006 2.5 -0.447 CRUDE_W 17.942 0.053 2.5 2.370 DAX 179.103 0.022 2.5 9.727 DOW 100.825 0.011 2.5 2.873 EUR -61.856 0.015 2.5 -2.315 EUROSTX 80.728 0.011 2.5 2.269 FEEDCOW -79.409 0.011 2.5 -2.134 FTSE100 52.150 0.041 2.5 5.376 GASOIL 6.434 0.029 2.5 0.459 GASOILINE -22.386 0.016 2.5 -0.919 GAS_US -58.952 0.006 2.5 -0.888 GBP 68.842 0.007 2.5 1.229 GOLD_micro -307.416 0.009 2.5 -6.878 HEATOIL 5.045 0.029 2.5 0.360 JPY -24.944 0.026 2.5 -1.615 LEANHOG -166.735 0.019 2.5 -7.790 LIVECOW -110.425 0.011 2.5 -2.967 MXP 365.659 0.005 2.5 4.477 NASDAQ 8.642 0.022 2.5 0.469 NIKKEI 317.794 0.076 2.5 60.360 NZD 64.534 0.006 2.5 1.031 OAT 61.537 0.008 2.5 1.243 OJ -29.997 0.007 2.5 -0.523 PALLAD -8.001 0.010 2.5 -0.193 PLAT 12.220 0.010 2.5 0.294 REDWHEAT 45.281 0.002 2.5 0.242 ROBUSTA 175.039 0.005 2.5 2.269 RUSSELL 205.718 0.021 2.5 10.655 SILVER-mini -27.028 0.009 2.5 -0.605 SOYBEAN 42.675 0.024 2.5 2.516 SOYMEAL 71.938 0.024 2.5 4.242 SOYOIL 43.478 0.004 2.5 0.399 SP400 11.667 0.021 2.5 0.604 SP500 10.263 0.011 2.5 0.292 SUGAR11 234.863 0.005 2.5 3.187 US10 -26.129 0.015 2.5 -1.002 US10U -56.835 0.058 2.5 -8.281 US20 -59.835 0.029 2.5 -4.410 US30 -0.098 0.034 2.5 -0.008 US5 -44.083 0.015 2.5 -1.691 VIX -174.534 0.075 2.5 -32.891 WHEAT -40.713 0.002 2.5 -0.217 ==================== Position diags ==================== AUD 1.39 BITCOIN 14.31 BOBL 8.78 BTP 0.88 BUND 3.94 BUXL 1.96 CAC 2.12 CAD 2.44 CANOLA 4.21 CHF 2.50 COCOA 3.06 COFFEE 0.41 COPPER 1.02 CORN 1.92 COTTON2 0.95 CRUDE_W 4.84 DAX 18.95 DOW 10.23 EUR 2.54 EUROSTX 3.27 FEEDCOW 2.31 FTSE100 6.98 GASOIL 1.90 GASOILINE 0.91 GAS_US 0.46 GBP 1.66 GOLD_micro 6.53 HEATOIL 1.37 JPY 4.07 LEANHOG 3.89 LIVECOW 3.56 MXP 2.99 NASDAQ 0.80 NIKKEI 55.81 NZD 1.61 OAT 1.04 OJ 1.31 PALLAD 0.28 PLAT 1.33 REDWHEAT 0.42 ROBUSTA 2.25 RUSSELL 21.83 SILVER-mini 1.14 SOYBEAN 5.79 SOYMEAL 5.03 SOYOIL 0.83 SP400 0.94 SP500 0.72 SUGAR11 2.02 US10 3.61 US10U 10.11 US20 3.63 US30 2.57 US5 5.40 VIX 16.45 WHEAT 0.50 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.7 0.6 0.8 0.0 0 BITCOIN -2.6 -4.0 -1.2 -7.0 -7 BOBL 3.2 2.3 4.1 2.0 2 BTP 1.1 1.0 1.2 1.0 1 BUND 4.9 4.5 5.3 2.0 2 BUXL -1.5 -1.7 -1.3 0.0 0 CAC 2.0 1.8 2.2 1.0 1 CAD 1.8 1.6 2.1 0.0 0 CANOLA 2.4 2.0 2.9 NaN 0 CHF -3.6 -3.8 -3.3 -5.0 -5 COCOA -3.4 -3.7 -3.1 -2.0 -2 COFFEE 0.3 0.3 0.4 NaN 0 COPPER 1.0 0.9 1.1 0.0 0 CORN 2.8 2.6 3.0 6.0 6 COTTON2 -0.4 -0.5 -0.4 NaN 0 CRUDE_W 2.4 1.9 2.9 4.0 4 DAX 9.7 7.8 11.6 0.0 0 DOW 2.9 1.9 3.9 0.0 0 EUR -2.3 -2.6 -2.1 -2.0 -2 EUROSTX 2.3 1.9 2.6 0.0 0 FEEDCOW -2.1 -2.4 -1.9 -5.0 -5 FTSE100 5.4 4.7 6.1 0.0 0 GASOIL 0.5 0.3 0.6 0.0 0 GASOILINE -0.9 -1.0 -0.8 -1.0 -1 GAS_US -0.9 -0.9 -0.8 -1.0 -1 GBP 1.2 1.1 1.4 6.0 6 GOLD_micro -6.9 -7.5 -6.2 -3.0 -3 HEATOIL 0.4 0.2 0.5 0.0 0 JPY -1.6 -2.0 -1.2 -6.0 -6 LEANHOG -7.8 -8.2 -7.4 -6.0 -6 LIVECOW -3.0 -3.3 -2.6 -5.0 -5 MXP 4.5 4.2 4.8 3.0 3 NASDAQ 0.5 0.4 0.5 2.0 2 NIKKEI 60.4 54.8 65.9 0.0 0 NZD 1.0 0.9 1.2 0.0 0 OAT 1.2 1.1 1.3 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 0.4 NaN 0 REDWHEAT 0.2 0.2 0.3 0.0 0 ROBUSTA 2.3 2.0 2.5 2.0 2 RUSSELL 10.7 8.5 12.8 0.0 0 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 2.5 1.9 3.1 1.0 1 SOYMEAL 4.2 3.7 4.7 5.0 5 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.6 0.5 0.7 7.0 7 SP500 0.3 0.2 0.4 0.0 0 SUGAR11 3.2 3.0 3.4 0.0 0 US10 -1.0 -1.4 -0.6 NaN 0 US10U -8.3 -9.3 -7.3 -10.0 -10 US20 -4.4 -4.8 -4.0 -1.0 -1 US30 -0.0 -0.3 0.2 0.0 0 US5 -1.7 -2.2 -1.2 -4.0 -4 VIX -32.9 -34.5 -31.2 -30.0 -30 WHEAT -0.2 -0.3 -0.2 -2.0 -2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -0.2 0.2 0.3 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.1 0.2 -0.1 -0.1 -0.0 0.2 -0.3 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 0.4 2.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.0 BITCOIN 0.0 0.3 0.2 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.0 0.1 0.0 -0.3 0.1 0.3 -0.2 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.2 0.0 2.3 -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 -0.1 -0.0 -0.3 -0.0 -0.3 -0.0 -0.2 -1.0 0.2 -0.1 0.0 -0.2 -0.2 -0.0 -0.2 -0.0 1.7 2.4 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.9 -0.0 0.1 -0.0 -0.2 BTP -0.1 0.2 0.3 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.0 -0.0 -0.0 -0.3 0.0 0.1 0.5 0.5 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 0.1 0.4 0.2 0.1 BUND -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -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 -0.1 -0.0 -0.2 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.0 -0.2 0.1 0.0 0.1 0.1 -0.2 -0.2 -0.0 -0.3 -0.0 0.2 -2.1 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.1 0.1 -0.1 -0.1 CAC 0.1 0.3 0.3 0.1 -0.0 0.1 -0.0 0.0 0.0 0.0 0.4 0.0 0.2 0.1 0.4 -0.3 0.1 -0.1 -0.0 0.2 0.3 0.0 0.2 0.0 -1.7 1.7 0.1 0.0 0.1 0.0 0.0 0.0 0.8 0.2 0.4 0.2 0.2 CAD -0.1 0.1 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 -0.2 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.2 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 0.5 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 -2.5 0.0 0.1 -0.1 0.0 COCOA 0.0 0.1 0.3 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.3 0.0 -0.0 0.0 0.3 -0.0 -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 -0.0 0.1 -0.0 0.0 0.0 -0.2 0.0 -0.2 0.1 0.1 0.1 0.1 0.0 0.1 0.1 -0.1 0.0 -0.1 0.0 1.8 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 -0.0 2.1 0.0 0.0 0.1 -0.0 0.0 0.0 0.3 0.3 0.3 0.2 0.2 CORN 0.1 -0.1 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 -0.0 -0.2 1.6 0.8 0.4 0.4 -0.0 -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 0.1 -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 0.0 -0.0 -1.4 2.1 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.0 -0.0 0.1 0.1 0.1 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 0.2 0.0 -1.9 2.2 0.1 -0.0 0.1 0.0 0.0 0.0 -0.5 0.1 0.3 0.1 0.3 DOW -0.0 0.1 0.2 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.1 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 -0.3 2.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.3 0.1 0.0 -0.2 -0.1 EUR -0.2 0.1 0.4 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.3 -0.1 -0.1 -0.0 0.3 -0.6 -0.4 -0.2 -0.2 0.1 0.1 -0.0 -0.0 -0.0 -0.2 -2.3 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.2 -0.0 -0.1 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 -2.2 -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 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 0.0 0.0 0.2 -1.6 -0.8 -0.4 -0.4 0.1 0.0 0.0 0.0 0.0 -2.6 2.7 0.1 -0.0 0.0 0.0 0.0 0.0 -2.7 -0.0 0.1 0.1 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 -0.1 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 -0.2 -3.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.0 -0.3 -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 -0.2 0.4 -0.2 -0.1 0.1 0.0 -0.0 0.1 0.0 -1.7 -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 -0.7 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -0.2 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.2 -0.0 -0.3 -0.3 GBP -0.2 0.0 0.2 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 0.0 -0.0 -0.1 -0.0 2.1 2.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 -0.2 -0.2 -0.2 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 -0.0 -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 -0.2 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 -0.1 -0.2 -0.0 0.2 -0.9 -0.5 -0.3 -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 -0.3 -0.2 0.1 LEANHOG 0.1 -0.2 -0.2 0.0 0.0 -0.0 0.1 -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 -0.1 -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 -0.0 0.1 -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 0.3 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 0.2 0.3 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.1 -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 0.1 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 1.6 -1.9 0.0 -0.0 -0.0 -0.0 -0.0 0.0 2.6 0.0 0.2 -0.2 -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 -0.3 -0.1 0.0 OAT -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -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 0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.6 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.6 0.0 0.0 0.0 0.0 0.0 0.0 2.4 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 -0.0 -0.3 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 3.0 -2.6 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -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 -0.1 2.5 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 -0.0 -0.2 -0.3 -0.2 REDWHEAT 0.2 0.1 -0.2 0.0 0.0 -0.0 0.1 -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 -0.3 2.6 0.0 0.0 -0.0 0.0 0.0 0.0 -0.9 0.1 0.3 0.1 -0.1 ROBUSTA 0.1 0.3 0.1 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.0 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 -1.0 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.0 0.4 0.3 0.1 RUSSELL 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 0.0 0.3 -0.4 -0.1 -0.1 -0.1 0.2 0.1 -0.0 -0.0 0.0 -0.4 2.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.1 0.0 0.3 0.1 -0.1 SILVER-mini -0.2 -0.2 0.3 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 0.0 -0.3 -0.0 SOYBEAN 0.1 -0.1 -0.0 0.0 0.0 -0.0 0.1 -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 0.1 0.0 0.1 SOYMEAL 0.1 0.2 0.3 0.0 0.0 -0.0 0.1 -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 -0.1 -0.3 0.0 0.0 -0.0 0.1 -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 -1.4 2.7 -0.0 0.0 -0.0 0.0 0.0 -0.0 1.3 0.0 -0.3 -0.2 -0.2 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 -1.3 2.4 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.1 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 0.0 0.3 -0.6 -0.2 -0.1 -0.1 0.1 0.1 -0.0 -0.0 0.0 0.3 2.0 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.3 -0.1 0.2 -0.1 -0.1 SUGAR11 0.1 0.1 0.2 0.0 0.0 -0.0 0.1 -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 0.3 0.2 0.3 US10 -0.2 0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.0 -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 -0.1 -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 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.8 -0.1 -0.2 -0.1 -0.1 -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 0.1 US30 -0.2 0.1 0.3 -0.0 -0.1 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -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 0.0 0.3 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -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 0.2 -0.8 -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 0.1 -0.3 0.0 0.0 -0.0 0.1 -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 0.0 0.2 0.1 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -18.4 10.6 15.8 2.5 -4.7 2.4 -3.9 -1.3 -1.1 -13.9 7.5 -14.3 -2.8 -0.9 9.9 -3.4 -2.6 -3.3 -3.0 5.5 5.9 -10.7 -1.9 -4.1 3.9 11.7 2.1 -4.9 2.2 -5.0 -1.3 -2.1 -0.6 -1.3 -2.6 2.9 -2.8 BITCOIN 3.1 20.0 11.5 0.6 -2.5 2.2 -4.4 1.7 -3.1 12.6 6.0 13.1 -13.7 14.4 13.5 -2.9 -0.9 -1.2 -0.6 17.6 5.1 16.0 -13.2 18.0 10.4 -18.1 4.8 3.8 2.0 4.4 -1.0 4.8 2.5 20.0 20.0 20.0 -10.4 BOBL -10.2 5.1 1.3 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -13.6 -13.3 -15.4 -13.9 -9.8 -8.6 -12.3 5.9 -6.3 0.6 -13.6 -17.7 -20.0 -20.0 -16.8 11.4 10.8 -3.9 -8.4 -6.1 -8.1 -11.6 -5.7 6.3 -3.9 4.5 -3.9 -14.6 BTP -7.3 11.1 15.7 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -13.1 -0.4 -14.0 -9.9 2.3 4.2 6.7 13.0 9.7 12.3 1.0 -1.2 -10.6 -11.1 -4.1 -6.5 11.4 2.5 -6.6 0.4 -3.9 -6.4 -0.1 20.0 9.5 18.4 12.8 8.4 BUND -10.9 6.7 6.2 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -12.8 -11.8 -15.0 -13.3 -6.7 -6.1 9.9 14.9 11.5 13.1 -11.0 -14.5 -17.3 -20.0 -14.4 6.5 12.3 -2.7 -7.2 -4.8 -6.9 -10.5 -4.7 20.0 2.3 5.8 0.1 -7.9 BUXL -11.7 -1.9 4.0 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -12.3 -10.5 -14.8 -12.7 -8.4 -8.7 1.8 0.1 2.8 2.6 -13.3 -15.2 -16.2 -20.0 -15.7 2.0 -10.8 -3.4 -5.2 -4.2 -5.8 -7.7 -4.9 1.5 6.6 3.3 -8.3 -5.8 CAC 4.6 20.0 20.0 3.9 -2.6 2.9 -0.7 0.7 2.1 7.8 15.6 12.0 8.9 15.2 15.9 -3.9 1.3 -3.1 -1.4 20.0 20.0 17.8 17.2 20.0 -14.8 8.9 6.2 2.1 5.4 4.5 3.4 5.7 6.1 20.0 20.0 12.4 14.9 CAD -4.9 8.9 2.7 2.5 -4.7 2.4 -3.9 -1.3 -1.1 -13.8 -4.8 -12.0 -8.5 4.1 4.3 -2.0 -1.3 -1.9 -1.7 0.9 -3.3 -10.6 -9.7 -3.2 15.5 10.4 1.0 -11.1 -1.5 -7.1 -6.0 -2.1 1.5 -3.3 3.6 0.5 -16.1 CANOLA 3.2 -12.3 -9.0 1.3 8.5 -1.8 4.6 -1.2 3.5 10.8 -6.1 9.0 -8.5 -4.8 -6.9 6.7 10.2 5.4 6.4 -8.9 -11.3 2.9 -4.9 -4.6 1.8 11.5 -4.1 -1.1 -3.9 -1.9 -0.7 -2.9 -0.0 -13.6 -6.7 -20.0 -15.1 CHF -10.5 0.8 16.3 2.5 -4.7 2.4 -3.9 -1.3 -1.1 -13.2 12.1 -12.5 2.6 -5.3 11.8 -14.8 -13.2 -14.4 -14.0 5.3 8.9 -7.1 2.9 -2.8 -6.3 -11.5 3.3 -4.9 4.4 -3.9 -0.3 -1.2 -19.2 2.0 4.1 -4.7 1.2 COCOA 3.3 3.9 17.9 1.3 8.5 -1.8 4.6 -1.2 3.5 14.1 11.3 13.6 -1.4 10.4 12.4 -0.6 -2.9 -1.5 -1.7 12.3 10.4 20.0 3.6 15.7 -18.5 -10.4 5.4 13.2 4.8 9.6 2.1 5.9 -17.7 20.0 10.0 15.3 20.0 COFFEE 20.0 20.0 -3.7 1.3 8.5 -1.8 4.6 -1.2 3.5 13.6 -8.1 14.3 -9.2 13.8 6.5 1.5 3.0 1.3 2.7 7.1 -7.2 20.0 -10.7 18.5 11.3 10.0 2.8 5.8 -1.7 5.6 -2.9 5.5 -8.4 15.3 20.0 16.5 -4.0 COPPER -20.0 17.7 20.0 0.6 -2.5 2.2 -4.4 1.7 -3.1 13.7 8.6 -0.5 -2.9 6.5 11.3 -1.1 -0.5 -1.2 -0.8 13.9 14.0 10.6 3.0 6.1 -0.4 11.1 3.4 3.0 4.2 -0.1 1.9 0.1 2.5 20.0 13.8 15.0 11.2 CORN 6.8 -4.8 -16.2 1.3 8.5 -1.8 4.6 -1.2 3.5 8.5 4.1 9.1 1.9 -5.0 -10.4 20.0 19.4 20.0 20.0 -4.1 -3.7 2.3 6.6 -0.1 -2.4 11.0 -4.6 0.3 -4.7 0.4 1.3 -1.3 20.0 -1.8 -9.8 -13.3 -19.5 COTTON2 -4.8 7.1 -4.1 0.6 -2.7 -2.2 -0.7 -1.4 1.7 -13.5 -8.0 -10.9 -6.4 -2.1 8.4 -3.9 10.7 -0.9 4.2 -2.2 -7.1 -14.7 -5.3 -5.9 2.8 -10.9 -0.5 -14.4 -0.6 -10.2 2.5 -4.4 0.0 -19.8 -16.8 -3.6 9.6 CRUDE_W -7.3 3.6 -3.5 -2.1 -2.0 -1.5 -3.2 2.7 -2.8 -12.1 -0.6 -1.2 1.5 -0.2 -0.7 8.4 12.1 8.5 9.6 -0.4 -0.4 -6.0 3.9 -2.2 -11.9 10.8 0.8 -6.2 1.7 -2.1 5.8 -0.6 -0.2 -1.3 3.4 5.4 10.1 DAX -1.5 20.0 20.0 3.9 -2.6 2.9 -0.7 0.7 2.1 -0.9 15.2 9.3 3.5 14.9 15.9 -10.1 -4.8 -8.8 -7.1 20.0 20.0 5.8 11.5 16.0 -13.0 9.9 6.0 -1.0 5.7 1.5 2.6 4.1 -3.9 14.1 13.0 9.1 18.0 DOW -2.8 3.1 12.1 3.9 -2.6 2.9 -0.7 0.7 2.1 -13.1 10.9 -6.4 2.1 1.5 7.0 -7.8 -3.9 -6.9 -5.8 5.0 7.9 -13.1 4.4 -2.2 -3.0 10.8 4.2 -3.5 4.4 -0.7 2.6 2.0 -2.2 4.2 0.7 -16.7 -4.2 EUR -20.0 5.2 20.0 2.5 -4.7 2.4 -3.9 -1.3 -1.1 -11.6 10.9 -14.5 -2.9 -5.0 10.7 -8.3 -8.6 -8.3 -8.5 6.8 11.4 -11.6 -1.3 -6.5 -1.2 -11.1 2.9 -4.0 3.9 -4.2 -1.3 -1.9 -10.6 -2.5 -6.9 0.1 7.0 EUROSTX 1.6 20.0 20.0 3.9 -2.6 2.9 -0.7 0.7 2.1 1.4 15.6 9.4 7.9 15.1 16.1 12.0 6.1 9.8 7.4 20.0 20.0 8.8 15.3 17.9 -16.5 -8.5 6.2 -0.5 6.1 2.4 3.6 4.5 17.1 19.8 13.9 6.4 16.8 FEEDCOW 9.8 2.7 6.7 1.3 8.5 -1.8 4.6 -1.2 3.5 -3.4 2.8 10.4 1.0 10.5 11.3 -20.0 -20.0 -20.0 -20.0 6.6 4.1 4.6 1.1 6.9 -15.4 12.2 5.4 -1.2 4.3 1.8 2.1 4.2 -20.0 -7.5 2.9 10.8 19.1 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 -19.7 -1.4 -19.6 -2.1 -2.0 -1.5 -3.2 2.7 -2.8 -7.9 -6.7 -12.1 8.4 -9.1 -5.9 20.0 20.0 20.0 20.0 -8.1 -3.2 -11.4 9.3 -11.3 -2.3 -15.4 -4.4 -2.5 -3.0 -4.3 2.1 -4.7 20.0 -2.8 -12.8 -10.4 -13.0 GASOILINE -9.5 13.5 -5.6 -2.1 -2.0 -1.5 -3.2 2.7 -2.8 -8.3 -3.1 -1.3 3.4 3.5 7.1 -1.8 9.6 -10.9 -2.4 5.2 3.6 -2.8 7.4 1.9 -13.9 -13.1 3.6 -2.8 4.0 -1.1 6.1 1.2 -10.7 1.2 3.5 20.0 20.0 GAS_US -0.9 -20.0 -20.0 -2.1 -2.0 -1.5 -3.2 2.7 -2.8 -13.8 -16.2 -14.5 -10.8 -16.0 -16.7 -9.0 -3.3 -0.4 -1.2 -20.0 -20.0 -19.0 -20.0 -20.0 -1.2 -9.3 -6.0 -3.4 -5.2 -2.8 -0.9 -4.2 -20.0 -14.4 -1.8 -20.0 -18.7 GBP -20.0 1.7 14.0 2.5 -4.7 2.4 -3.9 -1.3 -1.1 -1.8 10.4 -11.4 -2.8 -5.9 9.0 -2.6 -1.9 -2.4 -2.2 1.1 3.8 -6.4 -4.9 -6.7 14.4 9.4 -0.8 0.4 -1.1 -3.5 -6.3 -3.8 0.6 12.5 -10.1 -11.1 -10.4 GOLD_micro -20.0 7.3 20.0 0.6 -2.5 2.2 -4.4 1.7 -3.1 -13.7 8.1 -15.4 -2.5 -6.8 8.2 -12.1 -9.9 -11.9 -11.3 4.5 10.2 -19.2 3.7 -11.7 6.2 -13.8 1.3 -4.4 2.9 -6.2 1.4 -3.6 -14.5 -0.1 -1.1 -0.2 5.4 HEATOIL -15.7 -0.4 -17.0 -2.1 -2.0 -1.5 -3.2 2.7 -2.8 -7.7 -5.4 -11.0 7.8 -9.9 -3.3 20.0 20.0 20.0 20.0 -5.7 -1.8 -9.8 9.2 -8.7 -14.3 -13.6 -1.4 -5.6 0.9 -4.7 7.8 -3.3 20.0 -7.3 -10.4 1.5 0.3 JPY -20.0 4.3 20.0 2.5 -4.7 2.4 -3.9 -1.3 -1.1 -14.0 7.7 -15.4 -7.0 -11.2 7.9 -13.2 -11.4 -12.7 -12.5 1.7 5.2 -19.3 -7.4 -12.5 4.6 9.9 0.7 -6.2 1.5 -6.9 -4.4 -4.4 -16.4 -16.8 -13.9 -12.4 5.2 LEANHOG 5.2 -17.3 -13.4 1.3 8.5 -1.8 4.6 -1.2 3.5 12.3 -7.1 8.2 -4.9 -10.1 -10.5 -20.0 -12.7 -20.0 -20.0 -11.3 -9.5 5.2 -3.1 -5.1 -0.6 -11.1 -5.0 -0.7 -4.3 -0.6 -1.7 -3.1 -20.0 4.3 -16.5 -20.0 -15.8 LIVECOW 12.5 6.5 10.9 1.3 8.5 -1.8 4.6 -1.2 3.5 11.3 14.2 13.7 5.6 13.9 14.4 -20.0 -20.0 -20.0 -20.0 13.7 11.6 11.5 6.6 13.9 -20.0 12.0 6.0 1.7 5.4 3.6 3.9 5.4 -20.0 3.8 14.7 19.4 20.0 MXP -4.9 12.2 7.3 2.5 -4.7 2.4 -3.9 -1.3 -1.1 11.1 15.9 13.9 15.6 15.2 15.5 20.0 20.0 20.0 20.0 20.0 20.0 17.6 19.1 19.1 -20.0 9.7 6.2 3.4 6.5 5.1 5.6 5.4 20.0 20.0 20.0 20.0 7.9 NASDAQ 14.2 20.0 8.0 3.9 -2.6 2.9 -0.7 0.7 2.1 -13.1 -3.1 1.7 -10.9 11.5 11.0 -6.6 -4.4 -6.0 -5.4 14.0 3.2 -4.6 -8.3 12.0 5.8 10.2 4.9 -1.8 2.2 1.6 -0.6 4.5 -2.3 -3.7 20.0 7.7 -3.7 NIKKEI 11.6 13.8 -2.8 3.9 -2.6 2.9 -0.7 0.7 2.1 -12.3 0.4 -2.2 1.4 12.0 4.7 20.0 14.7 20.0 18.1 7.4 2.3 -0.6 0.3 8.2 11.3 -9.4 2.2 -4.1 -0.3 -0.7 -1.5 2.6 20.0 0.2 8.7 -15.9 -20.0 NZD -20.0 0.9 20.0 2.5 -4.7 2.4 -3.9 -1.3 -1.1 -14.1 10.5 -15.2 -1.8 -10.5 9.0 0.1 0.4 0.1 0.1 1.2 6.3 -17.1 -1.3 -11.1 -0.0 10.8 0.5 -6.9 2.3 -7.0 -0.8 -4.5 4.5 -7.6 -16.5 -8.8 3.3 OAT -11.8 5.7 8.1 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -13.0 -9.9 -15.1 -12.6 -5.8 -5.3 8.4 12.3 10.6 11.9 -9.0 -10.7 -16.8 -18.0 -13.3 3.5 12.7 -1.9 -6.9 -3.7 -6.2 -9.5 -3.9 20.0 2.5 6.1 1.1 -4.1 OJ 14.7 -2.4 1.3 1.3 8.5 -1.8 4.6 -1.2 3.5 -7.2 14.6 5.8 14.9 8.0 11.5 20.0 15.9 20.0 19.7 20.0 20.0 11.9 20.0 20.0 -20.0 -14.1 5.5 1.4 5.1 3.4 4.9 5.5 16.8 3.7 20.0 20.0 20.0 PALLAD -9.4 -14.7 -18.0 0.6 -2.5 2.2 -4.4 1.7 -3.1 -4.1 -14.8 -10.0 -12.5 -13.2 -15.1 -3.5 -1.9 -2.9 -2.4 -20.0 -20.0 -16.0 -15.9 -20.0 16.4 -11.1 -5.7 -5.0 -4.6 -7.3 -3.2 -6.7 0.0 -13.6 -4.8 -20.0 -20.0 PLAT -20.0 -14.8 6.6 0.6 -2.5 2.2 -4.4 1.7 -3.1 -2.4 5.4 -12.6 1.4 -14.3 -6.2 -2.4 -1.0 -1.9 -1.3 -11.1 1.1 -17.9 3.1 -20.0 -0.9 11.2 -2.5 -6.3 1.0 -8.2 1.0 -6.8 1.7 -11.8 -11.9 -20.0 -10.6 REDWHEAT 17.9 8.1 -12.0 1.3 8.5 -1.8 4.6 -1.2 3.5 10.3 -8.6 13.6 -8.9 13.4 -3.7 10.3 2.8 7.4 5.4 2.6 -6.8 10.6 -5.5 10.7 -1.9 12.9 2.1 4.3 -0.6 5.5 1.7 5.3 -7.0 10.7 13.6 6.6 -6.7 ROBUSTA 15.8 20.0 8.1 1.3 8.5 -1.8 4.6 -1.2 3.5 13.8 -1.9 13.7 -3.4 14.0 11.0 8.0 9.4 10.5 10.4 18.0 6.3 20.0 0.4 20.0 -6.3 9.6 4.2 5.8 1.0 5.6 -0.3 5.8 3.1 14.3 20.0 19.9 6.5 RUSSELL 5.7 20.0 9.1 3.9 -2.6 2.9 -0.7 0.7 2.1 -12.3 3.7 -5.4 -7.9 8.7 10.0 -6.0 -3.6 -5.5 -4.8 12.5 7.2 -6.6 -2.0 7.5 -3.3 10.0 4.9 0.2 3.3 1.4 0.9 3.8 -1.1 2.7 13.7 4.3 -5.4 SILVER-mini -20.0 -9.8 17.9 0.6 -2.5 2.2 -4.4 1.7 -3.1 -3.5 8.5 -14.0 -0.7 -13.9 4.6 -5.8 -4.2 -5.4 -5.0 -4.7 5.5 -14.3 2.6 -16.4 6.5 -11.3 -1.3 -3.7 1.6 -6.3 0.0 -5.7 -4.2 6.0 1.9 -20.0 -0.8 SOYBEAN 10.3 -7.0 -0.6 1.3 8.5 -1.8 4.6 -1.2 3.5 13.9 5.5 14.1 4.3 1.9 -0.1 20.0 20.0 20.0 20.0 0.8 0.7 15.2 5.8 6.6 -16.0 -11.7 1.9 6.6 3.2 6.4 7.8 3.8 20.0 10.2 6.0 0.6 7.6 SOYMEAL 5.4 11.1 20.0 1.3 8.5 -1.8 4.6 -1.2 3.5 5.8 14.2 10.5 13.5 11.9 14.7 20.0 18.0 20.0 20.0 20.0 20.0 8.6 18.3 13.8 -20.0 -12.0 6.1 -0.6 7.3 1.2 7.1 3.5 18.6 1.7 9.7 20.0 20.0 SOYOIL 3.7 -9.6 -17.4 1.3 8.5 -1.8 4.6 -1.2 3.5 13.6 -2.5 8.3 2.9 -5.7 -11.3 1.4 15.9 5.4 10.7 -8.1 -6.5 9.6 2.7 -1.5 -10.1 12.9 -4.2 4.1 -2.4 1.6 2.7 -2.2 9.8 6.1 -17.0 -17.4 -10.8 SP400 6.5 20.0 14.8 3.9 -2.6 2.9 -0.7 0.7 2.1 -12.2 10.4 -2.7 -0.5 9.7 11.8 -5.9 -3.2 -4.9 -4.0 17.0 13.4 -6.1 4.9 9.9 -7.8 10.2 5.3 -0.1 4.2 1.6 2.2 4.1 -0.0 3.0 16.3 3.7 0.7 SP500 6.4 16.5 8.6 3.9 -2.6 2.9 -0.7 0.7 2.1 -13.7 2.4 -3.7 -6.3 10.2 11.6 -7.5 -4.7 -6.7 -5.8 10.7 5.4 -10.5 -2.8 5.4 2.6 10.2 4.9 -3.8 2.8 0.2 -0.3 3.7 -2.8 -3.9 8.8 -4.5 -5.2 SUGAR11 6.2 5.9 12.6 1.3 8.5 -1.8 4.6 -1.2 3.5 7.4 11.0 6.3 8.1 9.7 11.7 20.0 20.0 20.0 20.0 14.9 13.9 6.0 9.9 11.3 -20.0 10.7 5.8 -0.4 6.3 1.1 4.9 3.6 20.0 -1.0 17.7 14.0 20.0 US10 -20.0 3.8 15.1 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -13.7 -6.5 -15.2 -11.3 -11.7 1.4 -8.4 -2.7 -8.2 -6.7 -8.3 -7.8 -20.0 -17.6 -19.9 0.9 9.7 -1.9 -6.8 -1.9 -8.6 -6.0 -5.9 -8.8 5.4 -4.4 -11.0 1.0 US10U -20.0 5.2 14.6 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -13.7 -6.1 -15.1 -11.3 -10.0 3.4 0.5 3.4 0.6 1.1 -7.0 -7.3 -20.0 -17.4 -17.8 -2.4 -14.1 -0.8 -7.1 -0.9 -8.4 -5.2 -5.2 3.1 6.2 -0.8 -5.3 4.4 US20 -19.6 5.9 15.5 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -13.7 -4.0 -14.9 -10.1 -7.9 6.2 -10.3 -1.7 -7.7 -4.8 -5.4 -6.1 -20.0 -16.7 -16.7 -0.4 -12.3 -1.2 -8.0 -1.5 -8.7 -5.5 -5.3 -5.9 3.5 0.4 -10.2 4.0 US30 -15.6 8.3 19.8 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -13.7 -3.0 -14.5 -11.4 -5.5 5.4 -2.5 -0.6 -2.0 -1.5 -3.6 -5.6 -20.0 -17.9 -14.0 -3.9 10.0 0.3 -8.8 -0.3 -8.4 -5.1 -4.2 -2.5 1.7 4.9 -4.3 6.7 US5 -20.0 2.2 15.0 -1.0 -6.8 -1.7 -6.9 -5.3 -4.3 -13.7 -7.0 -15.4 -11.7 -13.3 -0.4 -10.6 -2.8 -9.2 -7.3 -10.3 -9.1 -20.0 -19.3 -20.0 3.4 10.8 -2.5 -6.3 -2.3 -8.6 -6.5 -6.4 -9.4 3.2 -8.8 -15.0 -0.9 VIX 16.8 -15.7 -20.0 -4.6 0.9 -5.1 0.2 -3.9 -2.1 11.9 -15.0 7.2 -14.0 -9.1 -13.6 -20.0 -20.0 -20.0 -20.0 -20.0 -20.0 8.2 -19.8 -6.7 NaN -13.5 -5.8 0.9 -6.8 -0.1 -5.4 -2.5 NaN NaN NaN NaN NaN WHEAT 18.6 4.9 -16.9 1.3 8.5 -1.8 4.6 -1.2 3.5 -12.1 -11.5 4.9 -12.7 7.2 -8.5 -10.5 -6.4 -9.2 -7.8 -2.8 -13.2 -0.0 -12.0 5.1 3.7 11.9 1.0 -0.8 -2.1 4.1 -0.3 4.7 -20.0 8.6 8.7 4.2 -11.1 End of report for caleb_strategy_v1