******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230222_204757 produced at 2023-02-22 21:35:47.285766 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.35 0.0 41329431.70 -41329431.70 -0.41 -0.41 -8.50 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.24 -0.26 0.0 8101517.32 -8101517.32 -0.24 -0.24 -32.09 999999999 -30 -30 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.19 0.0 44335509.41 -44335509.41 -0.04 -0.04 -4.39 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.24 -0.17 0.0 47461830.23 -47461830.23 -0.24 -0.24 -3.64 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.11 0.0 46837448.58 -46837448.58 -0.09 -0.09 -2.40 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.11 0.0 14656862.71 -14656862.71 -0.07 -0.07 -7.66 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.08 0.0 51684754.36 -51684754.36 0.00 0.00 -1.56 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.07 0.0 22754849.96 -22754849.96 -0.11 -0.11 -2.93 999999999 -5 -5 caleb_strategy_v1 FEEDCOW False False 0.04 -0.18 -0.07 0.0 36986338.88 -36986338.88 -0.18 -0.18 -1.99 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.23 -0.07 0.0 37711106.97 -37711106.97 -0.23 -0.23 -1.87 999999999 -6 -6 caleb_strategy_v1 JPY False False 0.03 -0.23 -0.06 0.0 32767901.75 -32767901.75 -0.23 -0.23 -1.68 999999999 -7 -7 caleb_strategy_v1 GOLD_micro False False 0.01 -0.03 -0.05 0.0 6469564.62 -6469564.62 -0.03 -0.03 -7.12 999999999 -4 -4 caleb_strategy_v1 US10 False False 0.04 0.00 -0.04 0.0 39420986.04 -39420986.04 0.00 0.00 -1.08 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.03 0.0 37070213.41 -37070213.41 -0.04 -0.04 -0.89 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9795952.32 -9795952.32 -0.02 -0.02 -3.24 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 19095488.13 -19095488.13 0.00 0.00 -0.63 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 8645148.55 -8645148.55 -0.01 -0.01 -0.85 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 52598086.31 -52598086.31 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14462708.70 -14462708.70 0.00 0.00 -0.46 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 12435564.33 -12435564.33 0.00 0.00 -0.49 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 -0.05 -0.00 0.0 47766299.02 -47766299.02 -0.05 -0.05 -0.02 999999999 -1 -1 caleb_strategy_v1 REDWHEAT False False 0.02 0.00 0.00 0.0 15214614.23 -15214614.23 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 846864.49 -846864.49 -0.01 -0.01 -3.08 999999999 -7 -7 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 13780522.11 -13780522.11 -0.03 -0.03 -0.23 999999999 -2 -2 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 16734310.61 -16734310.61 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4336440.03 -4336440.03 0.00 0.00 2.56 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 13261071.88 -13261071.88 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 24008025.84 -24008025.84 0.00 0.00 0.60 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 5826385.33 -5826385.33 0.00 0.00 2.13 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 39009494.26 -39009494.26 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 27684596.77 -27684596.77 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 25562140.43 -25562140.43 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21951758.37 -21951758.37 0.00 0.00 1.01 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 7787340.83 -7787340.83 0.02 0.02 2.06 999999999 2 2 caleb_strategy_v1 SP500 False False 0.07 0.00 0.02 0.0 70442604.85 -70442604.85 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26568211.21 -26568211.21 0.16 0.16 1.19 999999999 6 6 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 10449015.80 -10449015.80 0.06 0.06 2.69 999999999 6 6 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.03 0.0 7871780.18 -7871780.18 0.00 0.00 3.18 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3339095.96 -3339095.96 0.00 0.00 10.32 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9571792.69 -9571792.69 0.03 0.03 4.45 999999999 3 3 caleb_strategy_v1 NASDAQ False False 0.09 0.09 0.04 0.0 85346572.66 -85346572.66 0.09 0.09 0.45 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.04 0.0 15965230.98 -15965230.98 0.00 0.00 2.28 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.04 0.0 36836310.78 -36836310.78 0.00 0.00 0.95 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.05 0.0 27482924.13 -27482924.13 0.03 0.03 1.97 999999999 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.05 0.0 5800989.06 -5800989.06 0.00 0.00 9.40 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.05 0.0 26021932.43 -26021932.43 0.00 0.00 1.75 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.55 0.05 0.0 91947808.99 -91947808.99 0.55 0.55 0.58 999999999 6 6 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.05 0.0 25656569.88 -25656569.88 0.13 0.13 1.93 999999999 5 5 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 42439745.51 -42439745.51 0.04 0.04 1.09 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 48463864.01 -48463864.01 0.10 0.10 1.24 999999999 2 2 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 24639908.89 -24639908.89 0.02 0.02 2.67 999999999 1 1 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.07 0.0 16573692.30 -16573692.30 0.10 0.10 4.24 999999999 6 6 caleb_strategy_v1 BOBL False False 0.04 0.04 0.13 0.0 43606189.45 -43606189.45 0.04 0.04 2.96 999999999 1 1 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.27 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.25 0.0 50484445.92 -50484445.92 0.10 0.10 4.88 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.39 0.0 0.00 0.00 0.00 0.00 55.48 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 17.6 Shocked risk 57.0 Sum abs risk 51.1 Leverage 3.58 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2832802.68, 'annual_cash_vol_target': 708200.67, 'daily_cash_vol_target': 44262.541875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6801 0.7643 12.2283 BITCOIN 756.4023 23990.0000 3.1530 50.4478 BOBL 0.3389 115.8900 0.2924 4.6792 BTP 0.9412 112.7900 0.8345 13.3513 BUND 0.7564 134.1700 0.5638 9.0207 BUXL 1.7726 137.3600 1.2905 20.6478 CAC 54.9992 7304.0000 0.7530 12.0480 CAD 0.0033 0.7372 0.4436 7.0978 CANOLA 6.4755 831.4000 0.7789 12.4618 CHF 0.0054 1.0756 0.5006 8.0092 COCOA 31.6276 2775.0000 1.1397 18.2358 COFFEE 0.0375 1.9310 1.9398 31.0362 COPPER 0.0482 4.1740 1.1547 18.4759 CORN 4.2788 592.0000 0.7228 11.5642 COTTON2 0.0140 0.8194 1.7114 27.3821 CRUDE_W 1.2469 72.6800 1.7156 27.4497 DAX 118.3588 15417.0000 0.7677 12.2835 DOW 248.1966 33010.0000 0.7519 12.0301 EUR 0.0053 1.0614 0.4979 7.9666 EUROSTX 35.5390 4243.0000 0.8376 13.4015 FEEDCOW 1.0585 209.5500 0.5051 8.0820 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.4767 784.2500 2.1010 33.6153 GASOILINE 0.0504 2.5003 2.0146 32.2334 GAS_US 0.1492 2.4490 6.0930 97.4885 GBP 0.0077 1.2042 0.6433 10.2920 GOLD_micro 15.2021 1832.7000 0.8295 13.2718 HEATOIL 0.0556 2.6311 2.1136 33.8177 JPY 0.0001 0.0074 0.7587 12.1400 LEANHOG 1.3492 103.8000 1.2998 20.7962 LIVECOW 0.8345 161.1500 0.5178 8.2851 MXP 0.0004 0.0542 0.6728 10.7655 NASDAQ 149.9456 12088.5000 1.2404 19.8464 NIKKEI 207.9633 27040.0000 0.7691 12.3055 NZD 0.0044 0.6218 0.7080 11.3277 OAT 0.7999 128.8000 0.6210 9.9368 OJ 0.0397 2.3485 1.6895 27.0313 PALLAD 37.7243 1490.0000 2.5318 40.5093 PLAT 16.0653 948.1000 1.6945 27.1116 REDWHEAT 12.0952 862.0000 1.4032 22.4505 ROBUSTA 28.4553 2206.0000 1.2899 20.6385 RUSSELL 20.9229 1891.8000 1.1060 17.6957 SILVER-mini 0.3564 21.6375 1.6471 26.3533 SOYBEAN 9.0539 1396.0000 0.6486 10.3769 SOYMEAL 5.2087 469.5000 1.1094 17.7505 SOYOIL 0.8093 62.6100 1.2926 20.6813 SP400 24.3510 2604.7000 0.9349 14.9582 SP500 35.0384 3991.0000 0.8779 14.0470 SUGAR11 0.0026 0.1991 1.3269 21.2300 US10 0.4707 111.6719 0.4215 6.7438 US10U 0.6393 117.0781 0.5460 8.7365 US20 0.9033 125.5938 0.7192 11.5070 US30 1.4578 135.3125 1.0773 17.2372 US5 0.3138 106.8281 0.2937 4.6993 VIX 0.5199 22.9500 2.2653 36.2456 WHEAT 9.6817 780.7500 1.2401 19.8408 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 680.10 0.76 519.78 1.00 519.78 44262.54 85.16 4.40 37.51 BITCOIN 23.99 3.15 75.64 1.00 75.64 44262.54 585.17 -2.23 -130.75 BOBL 1158.90 0.29 338.92 1.07 361.55 44262.54 122.42 3.35 41.07 BTP 1127.90 0.83 941.19 1.07 1004.04 44262.54 44.08 12.20 53.77 BUND 1341.70 0.56 756.44 1.07 806.96 44262.54 54.85 12.32 67.58 BUXL 1373.60 1.29 1772.61 1.07 1890.99 44262.54 23.41 -7.94 -18.57 CAC 730.40 0.75 549.99 1.07 586.72 44262.54 75.44 9.27 69.92 CAD 737.15 0.44 327.01 1.00 327.01 44262.54 135.36 7.22 97.75 CANOLA 166.28 0.78 129.51 0.74 96.08 44262.54 460.70 6.06 279.05 CHF 1344.50 0.50 673.03 1.00 673.03 44262.54 65.77 -14.79 -97.29 COCOA 277.50 1.14 316.28 1.00 316.28 44262.54 139.95 -10.63 -148.71 COFFEE 724.12 1.94 1404.63 1.00 1404.63 44262.54 31.51 8.67 27.32 COPPER 1043.50 1.15 1204.97 1.00 1204.97 44262.54 36.73 9.49 34.86 CORN 296.00 0.72 213.94 1.00 213.94 44262.54 206.89 14.43 298.48 COTTON2 409.70 1.71 701.15 1.00 701.15 44262.54 63.13 -4.87 -30.73 CRUDE_W 726.80 1.72 1246.90 1.00 1246.90 44262.54 35.50 4.11 14.60 DAX 154.17 0.77 118.36 1.07 126.26 44262.54 350.56 4.94 173.06 DOW 165.05 0.75 124.10 1.00 124.10 44262.54 356.67 2.09 74.68 EUR 1326.81 0.50 660.64 1.00 660.64 44262.54 67.00 -9.58 -64.17 EUROSTX 424.30 0.84 355.39 1.07 379.12 44262.54 116.75 6.95 81.14 FEEDCOW 1047.75 0.51 529.25 1.00 529.25 44262.54 83.63 -8.87 -74.22 FTSE100 707.00 0.82 576.59 1.20 666.67 44262.54 66.39 7.70 51.11 GASOIL 784.25 2.10 1647.67 1.00 1647.67 44262.54 26.86 1.94 5.20 GASOILINE 1050.13 2.01 2115.57 1.00 2115.57 44262.54 20.92 -10.36 -21.68 GAS_US 244.90 6.09 1492.18 1.00 1492.18 44262.54 29.66 -19.01 -56.37 GBP 752.62 0.64 484.13 1.00 484.13 44262.54 91.43 7.28 66.56 GOLD_micro 183.27 0.83 152.02 1.00 152.02 44262.54 291.16 -10.93 -318.20 HEATOIL 1105.06 2.11 2335.66 1.00 2335.66 44262.54 18.95 2.08 3.94 JPY 928.25 0.76 704.31 1.00 704.31 44262.54 62.85 -4.13 -25.98 LEANHOG 415.20 1.30 539.66 1.00 539.66 44262.54 82.02 -20.00 -164.04 LIVECOW 644.60 0.52 333.79 1.00 333.79 44262.54 132.61 -8.21 -108.93 MXP 271.15 0.67 182.44 1.00 182.44 44262.54 242.61 14.97 363.23 NASDAQ 2417.70 1.24 2998.91 1.00 2998.91 44262.54 14.76 5.61 8.29 NIKKEI 27040.00 0.77 20796.33 0.01 154.51 44262.54 286.46 10.20 292.12 NZD 621.85 0.71 440.26 1.00 440.26 44262.54 100.54 6.26 62.93 OAT 1288.00 0.62 799.91 1.07 853.33 44262.54 51.87 11.83 61.39 OJ 352.28 1.69 595.15 1.00 595.15 44262.54 74.37 -3.77 -28.01 PALLAD 1490.00 2.53 3772.43 1.00 3772.43 44262.54 11.73 -6.57 -7.71 PLAT 474.05 1.69 803.27 1.00 803.27 44262.54 55.10 2.15 11.86 REDWHEAT 431.00 1.40 604.76 1.00 604.76 44262.54 73.19 5.46 39.96 ROBUSTA 220.60 1.29 284.55 1.00 284.55 44262.54 155.55 10.21 158.81 RUSSELL 94.59 1.11 104.61 1.00 104.61 44262.54 423.10 4.71 199.28 SILVER-mini 540.94 1.65 890.97 1.00 890.97 44262.54 49.68 -5.65 -28.08 SOYBEAN 698.00 0.65 452.69 1.00 452.69 44262.54 97.78 4.63 45.24 SOYMEAL 469.50 1.11 520.87 1.00 520.87 44262.54 84.98 8.46 71.86 SOYOIL 375.66 1.29 485.57 1.00 485.57 44262.54 91.16 5.18 47.20 SP400 2604.70 0.93 2435.10 1.00 2435.10 44262.54 18.18 6.19 11.25 SP500 1995.50 0.88 1751.92 1.00 1751.92 44262.54 25.27 3.56 8.99 SUGAR11 222.99 1.33 295.88 1.00 295.88 44262.54 149.59 15.68 234.61 US10 1116.72 0.42 470.68 1.00 470.68 44262.54 94.04 -2.99 -28.15 US10U 1170.78 0.55 639.28 1.00 639.28 44262.54 69.24 -8.43 -58.36 US20 1255.94 0.72 903.25 1.00 903.25 44262.54 49.00 -12.15 -59.55 US30 1353.12 1.08 1457.75 1.00 1457.75 44262.54 30.36 -0.06 -0.19 US5 1068.28 0.29 313.76 1.00 313.76 44262.54 141.07 -3.46 -48.78 VIX 229.50 2.27 519.90 1.00 519.90 44262.54 85.14 -20.00 -170.27 WHEAT 390.38 1.24 484.08 1.00 484.08 44262.54 91.44 -4.73 -43.28 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 37.509 0.006 2.5 0.599 BITCOIN -130.752 0.009 2.5 -3.081 BOBL 41.067 0.029 2.5 2.963 BTP 53.770 0.008 2.5 1.086 BUND 67.575 0.029 2.5 4.876 BUXL -18.574 0.034 2.5 -1.559 CAC 69.925 0.011 2.5 1.966 CAD 97.746 0.007 2.5 1.745 CANOLA 279.049 0.004 2.5 2.562 CHF -97.286 0.015 2.5 -3.641 COCOA -148.705 0.009 2.5 -3.239 COFFEE 27.320 0.005 2.5 0.354 COPPER 34.861 0.011 2.5 0.953 CORN 298.479 0.004 2.5 2.692 COTTON2 -30.729 0.006 2.5 -0.463 CRUDE_W 14.602 0.053 2.5 1.929 DAX 173.055 0.022 2.5 9.398 DOW 74.676 0.011 2.5 2.128 EUR -64.173 0.015 2.5 -2.402 EUROSTX 81.143 0.011 2.5 2.281 FEEDCOW -74.221 0.011 2.5 -1.994 FTSE100 51.107 0.041 2.5 5.269 GASOIL 5.199 0.029 2.5 0.371 GASOILINE -21.683 0.016 2.5 -0.890 GAS_US -56.375 0.006 2.5 -0.849 GBP 66.557 0.007 2.5 1.188 GOLD_micro -318.197 0.009 2.5 -7.120 HEATOIL 3.940 0.029 2.5 0.281 JPY -25.979 0.026 2.5 -1.682 LEANHOG -164.038 0.019 2.5 -7.664 LIVECOW -108.929 0.011 2.5 -2.927 MXP 363.233 0.005 2.5 4.447 NASDAQ 8.287 0.022 2.5 0.450 NIKKEI 292.115 0.076 2.5 55.482 NZD 62.930 0.006 2.5 1.006 OAT 61.387 0.008 2.5 1.240 OJ -28.013 0.007 2.5 -0.489 PALLAD -7.712 0.010 2.5 -0.186 PLAT 11.857 0.010 2.5 0.285 REDWHEAT 39.957 0.002 2.5 0.213 ROBUSTA 158.812 0.005 2.5 2.059 RUSSELL 199.276 0.021 2.5 10.322 SILVER-mini -28.083 0.009 2.5 -0.628 SOYBEAN 45.240 0.024 2.5 2.667 SOYMEAL 71.865 0.024 2.5 4.237 SOYOIL 47.203 0.004 2.5 0.433 SP400 11.252 0.021 2.5 0.583 SP500 8.992 0.011 2.5 0.256 SUGAR11 234.613 0.005 2.5 3.184 US10 -28.149 0.015 2.5 -1.080 US10U -58.356 0.058 2.5 -8.502 US20 -59.554 0.029 2.5 -4.389 US30 -0.191 0.034 2.5 -0.016 US5 -48.777 0.015 2.5 -1.871 VIX -170.274 0.075 2.5 -32.088 WHEAT -43.284 0.002 2.5 -0.231 ==================== Position diags ==================== AUD 1.36 BITCOIN 13.79 BOBL 8.83 BTP 0.89 BUND 3.96 BUXL 1.96 CAC 2.12 CAD 2.42 CANOLA 4.23 CHF 2.46 COCOA 3.05 COFFEE 0.41 COPPER 1.00 CORN 1.87 COTTON2 0.95 CRUDE_W 4.69 DAX 19.04 DOW 10.16 EUR 2.51 EUROSTX 3.28 FEEDCOW 2.25 FTSE100 6.84 GASOIL 1.92 GASOILINE 0.86 GAS_US 0.45 GBP 1.63 GOLD_micro 6.51 HEATOIL 1.35 JPY 4.07 LEANHOG 3.83 LIVECOW 3.56 MXP 2.97 NASDAQ 0.80 NIKKEI 54.41 NZD 1.61 OAT 1.05 OJ 1.30 PALLAD 0.28 PLAT 1.33 REDWHEAT 0.39 ROBUSTA 2.02 RUSSELL 21.91 SILVER-mini 1.11 SOYBEAN 5.76 SOYMEAL 5.01 SOYOIL 0.84 SP400 0.94 SP500 0.72 SUGAR11 2.03 US10 3.61 US10U 10.09 US20 3.61 US30 2.55 US5 5.41 VIX 16.04 WHEAT 0.49 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.6 0.5 0.7 0.0 0 BITCOIN -3.1 -4.5 -1.7 -7.0 -7 BOBL 3.0 2.1 3.8 1.0 1 BTP 1.1 1.0 1.2 1.0 1 BUND 4.9 4.5 5.3 2.0 2 BUXL -1.6 -1.8 -1.4 0.0 0 CAC 2.0 1.8 2.2 1.0 1 CAD 1.7 1.5 2.0 0.0 0 CANOLA 2.6 2.1 3.0 NaN 0 CHF -3.6 -3.9 -3.4 -5.0 -5 COCOA -3.2 -3.5 -2.9 -2.0 -2 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 1.0 0.9 1.1 0.0 0 CORN 2.7 2.5 2.9 6.0 6 COTTON2 -0.5 -0.6 -0.4 NaN 0 CRUDE_W 1.9 1.5 2.4 5.0 5 DAX 9.4 7.5 11.3 0.0 0 DOW 2.1 1.1 3.1 0.0 0 EUR -2.4 -2.7 -2.2 -2.0 -2 EUROSTX 2.3 2.0 2.6 0.0 0 FEEDCOW -2.0 -2.2 -1.8 -5.0 -5 FTSE100 5.3 4.6 6.0 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOILINE -0.9 -1.0 -0.8 -1.0 -1 GAS_US -0.8 -0.9 -0.8 -1.0 -1 GBP 1.2 1.0 1.4 6.0 6 GOLD_micro -7.1 -7.8 -6.5 -4.0 -4 HEATOIL 0.3 0.1 0.4 0.0 0 JPY -1.7 -2.1 -1.3 -7.0 -7 LEANHOG -7.7 -8.0 -7.3 -5.0 -5 LIVECOW -2.9 -3.3 -2.6 -5.0 -5 MXP 4.4 4.1 4.7 3.0 3 NASDAQ 0.5 0.4 0.5 1.0 1 NIKKEI 55.5 50.0 60.9 0.0 0 NZD 1.0 0.8 1.2 0.0 0 OAT 1.2 1.1 1.3 2.0 2 OJ -0.5 -0.6 -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 2.1 1.9 2.3 2.0 2 RUSSELL 10.3 8.1 12.5 0.0 0 SILVER-mini -0.6 -0.7 -0.5 0.0 0 SOYBEAN 2.7 2.1 3.2 1.0 1 SOYMEAL 4.2 3.7 4.7 6.0 6 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.6 0.5 0.7 6.0 6 SP500 0.3 0.2 0.3 0.0 0 SUGAR11 3.2 3.0 3.4 0.0 0 US10 -1.1 -1.4 -0.7 NaN 0 US10U -8.5 -9.5 -7.5 -10.0 -10 US20 -4.4 -4.8 -4.0 -1.0 -1 US30 -0.0 -0.3 0.2 -1.0 -1 US5 -1.9 -2.4 -1.3 -6.0 -6 VIX -32.1 -33.7 -30.5 -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 0.1 0.3 0.0 -0.1 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 0.0 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 0.0 -0.0 0.0 -0.0 0.0 0.2 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 2.1 -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 0.8 0.0 0.1 -0.0 -0.2 BTP -0.1 0.2 0.3 -0.0 -0.0 -0.0 -0.1 -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 0.2 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 -0.2 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 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.3 -0.0 -0.2 0.1 0.0 0.1 0.1 -0.2 -0.2 -0.0 -0.3 -0.0 0.3 -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 -0.0 -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 0.1 0.1 0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 0.3 0.0 -0.0 0.0 0.3 -0.0 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.0 0.0 -2.9 -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 0.1 0.0 -0.2 0.0 -0.2 0.1 0.2 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 -0.0 COPPER -0.2 0.3 0.3 0.0 -0.0 0.1 -0.1 0.0 -0.1 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 0.4 0.2 0.2 CORN 0.1 -0.1 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 -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 -0.3 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 0.0 -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 0.9 -2.7 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.2 0.3 CRUDE_W -0.1 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -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 -2.0 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 -0.1 0.0 0.2 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.1 0.3 -0.0 0.1 -0.0 0.1 -0.6 -0.2 -0.1 -0.1 0.0 0.1 -0.0 0.1 -0.0 -0.3 2.1 0.0 -0.0 0.1 -0.0 0.0 0.0 -0.3 -0.0 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 -0.2 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 -2.2 -1.8 0.1 -0.0 0.1 0.0 0.0 0.0 2.4 0.0 0.2 0.1 0.2 FEEDCOW 0.1 0.0 0.1 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.3 -1.6 -0.8 -0.4 -0.4 0.1 0.0 0.0 0.0 0.0 -2.5 2.7 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.0 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 -0.1 -0.0 -0.1 0.1 -0.1 -0.1 -0.2 -0.1 0.2 -0.0 -0.2 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 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.1 -0.0 0.1 0.0 0.2 -0.0 0.4 -0.2 -0.0 0.0 0.0 -0.0 0.1 -0.0 -1.7 -2.6 0.0 -0.0 0.0 -0.0 0.1 -0.0 -1.4 0.0 0.1 0.3 0.3 GAS_US 0.0 -0.3 -0.3 -0.0 -0.1 -0.0 -0.1 0.1 -0.1 -0.0 -0.4 -0.0 -0.3 -0.1 -0.4 -0.8 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -0.1 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.1 0.1 -0.3 -0.3 GBP -0.2 0.0 0.2 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 2.0 2.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 -0.2 -0.1 -0.2 GOLD_micro -0.2 0.1 0.4 0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 -0.1 -0.1 -0.0 0.2 -1.0 -0.4 -0.3 -0.2 0.0 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 -0.1 -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 -1.3 -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 0.0 0.3 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.2 -0.1 -0.2 -0.1 0.2 -1.0 -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 -0.2 -0.2 0.1 LEANHOG 0.1 -0.2 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.1 -0.0 -0.2 -1.6 -0.6 -0.4 -0.4 -0.1 -0.1 0.0 -0.0 -0.0 0.0 -2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.0 -0.4 -0.3 -0.2 LIVECOW 0.1 0.1 0.2 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.3 0.0 0.1 0.1 0.3 -1.6 -0.8 -0.4 -0.4 0.2 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 0.2 0.3 0.3 MXP -0.0 0.2 0.1 0.0 -0.0 0.1 -0.1 -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 0.1 0.3 0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.1 -0.1 -0.0 -0.3 0.0 0.3 -0.5 -0.2 -0.1 -0.1 0.2 0.0 -0.0 -0.1 0.0 0.6 1.9 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.3 -0.0 0.5 0.1 -0.0 NIKKEI 0.1 0.2 -0.1 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 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 -0.1 0.1 -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 0.2 -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 0.0 -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 3.1 -2.6 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.3 -0.3 PLAT -0.2 -0.3 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.0 0.1 -0.0 0.0 -0.1 -0.2 -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 -0.1 -0.3 -0.2 REDWHEAT 0.2 0.1 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 0.0 -0.2 0.0 -0.1 0.8 0.1 0.2 0.1 0.0 -0.1 0.0 -0.1 0.0 -0.2 2.6 0.0 -0.0 -0.0 0.0 0.0 0.0 -0.9 -0.0 0.2 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 0.1 0.3 0.6 0.4 0.2 0.2 0.2 0.1 0.0 0.0 0.0 -1.1 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.5 0.0 0.4 0.3 0.1 RUSSELL 0.0 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 0.2 -0.4 -0.1 -0.1 -0.1 0.1 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 0.3 0.1 -0.1 SILVER-mini -0.2 -0.2 0.3 0.0 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.2 -0.0 -0.0 -0.1 0.1 -0.3 -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 0.1 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 0.1 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 2.6 -0.0 0.2 0.2 0.3 SOYOIL 0.0 -0.1 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 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 0.0 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 0.0 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 0.0 0.1 0.2 0.0 0.0 -0.0 0.1 -0.0 0.0 0.0 0.3 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 0.0 0.2 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.0 -0.6 -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 0.0 0.2 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.0 0.1 0.0 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 -0.7 -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 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -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 -0.0 0.1 US5 -0.2 0.0 0.2 -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 -0.7 -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 0.1 -0.0 -0.3 -0.0 -0.3 0.0 -0.2 -0.9 -0.3 -0.2 -0.2 -0.0 -0.2 -0.0 -0.1 0.0 0.6 2.5 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -2.7 -0.0 0.1 0.0 -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 -20.0 8.8 15.7 2.1 -6.7 2.2 -5.2 -1.3 -1.9 -14.0 7.3 -14.9 -2.8 -3.1 9.2 -3.5 -2.6 -3.3 -3.1 4.1 5.4 -14.6 -2.0 -6.4 3.9 11.7 1.5 -8.1 2.0 -6.6 -1.3 -3.1 -0.6 -3.1 -4.8 2.5 -2.9 BITCOIN 0.7 20.0 13.0 0.2 -4.6 2.0 -5.2 1.6 -3.6 6.9 6.3 10.1 -13.6 13.9 13.5 -3.2 -1.0 -1.4 -0.7 16.9 5.2 10.7 -12.7 16.0 9.7 -18.1 4.8 0.7 2.1 3.1 -1.0 4.5 2.4 20.0 20.0 20.0 -9.8 BOBL -11.0 4.3 0.1 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -12.3 -13.5 -15.2 -14.0 -10.7 -9.3 -12.3 5.7 -6.5 0.4 -14.5 -18.4 -19.4 -20.0 -17.5 11.4 10.8 -4.1 -6.0 -6.2 -7.4 -11.5 -5.8 5.9 1.8 5.3 -3.7 -14.8 BTP -7.8 10.4 14.9 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -13.1 -0.6 -14.5 -9.9 1.4 3.5 6.7 12.9 9.6 12.2 0.3 -1.5 -11.8 -11.3 -5.5 -6.6 11.4 2.1 -6.2 0.3 -4.5 -6.5 -0.8 20.0 11.4 19.0 12.9 8.0 BUND -11.3 5.8 4.9 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -12.1 -12.0 -14.9 -13.3 -7.4 -6.7 9.9 14.9 11.5 13.1 -11.8 -15.1 -16.8 -20.0 -15.1 6.5 12.3 -2.9 -5.7 -4.9 -6.6 -10.5 -4.9 20.0 7.4 6.8 0.3 -8.1 BUXL -12.2 -2.6 2.6 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -13.4 -10.7 -15.1 -12.8 -9.3 -9.2 1.8 0.1 2.8 2.6 -14.2 -15.8 -16.8 -20.0 -16.7 2.1 -10.8 -3.7 -5.2 -4.4 -6.1 -7.9 -5.3 1.5 8.9 4.3 -8.1 -6.2 CAC 4.5 20.0 20.0 3.8 -2.9 3.0 -1.3 0.7 1.7 6.1 15.6 10.7 9.1 15.1 15.9 -4.2 1.2 -3.2 -1.5 20.0 20.0 15.1 17.8 20.0 -15.0 8.9 6.2 1.0 5.5 3.8 3.5 5.4 6.1 20.0 20.0 13.2 15.0 CAD -7.4 7.5 2.6 2.1 -6.7 2.2 -5.2 -1.3 -1.9 -14.0 -5.0 -13.3 -8.6 1.8 3.2 -2.1 -1.3 -1.9 -1.7 -0.3 -3.7 -14.1 -9.8 -5.6 15.6 10.4 0.2 -12.6 -1.7 -9.0 -5.8 -3.5 1.5 -1.8 4.9 0.8 -16.0 CANOLA 3.5 -12.3 -8.6 1.6 7.6 -1.5 5.5 -1.1 4.1 12.5 -5.8 11.6 -8.6 -3.9 -6.6 7.3 10.3 5.7 6.5 -8.1 -11.2 6.4 -5.0 -2.4 1.7 11.5 -4.2 -0.6 -4.0 -1.6 -0.7 -2.9 0.3 -11.7 -4.6 -20.0 -16.0 CHF -11.5 -0.3 16.0 2.1 -6.7 2.2 -5.2 -1.3 -1.9 -13.8 11.9 -13.7 2.7 -7.4 11.4 -15.1 -13.3 -14.5 -14.1 4.2 8.5 -10.5 2.8 -4.7 -6.2 -11.5 2.6 -8.3 4.1 -5.9 -0.3 -2.3 -19.3 -2.3 4.6 -4.4 1.5 COCOA 5.6 5.2 18.4 1.6 7.6 -1.5 5.5 -1.1 4.1 13.3 11.6 14.1 -1.2 11.5 12.8 -0.5 -2.8 -1.4 -1.7 13.3 11.0 20.0 3.9 16.9 -18.7 -10.4 5.6 9.1 4.7 9.9 2.1 6.8 -17.4 20.0 10.5 15.4 20.0 COFFEE 20.0 20.0 -3.4 1.6 7.6 -1.5 5.5 -1.1 4.1 13.9 -7.6 14.9 -9.0 14.4 7.6 1.9 3.0 1.5 2.7 9.0 -6.3 20.0 -10.5 20.0 11.0 10.0 3.2 7.9 -1.3 7.8 -2.6 6.4 -8.1 20.0 20.0 16.1 -2.4 COPPER -20.0 17.0 20.0 0.2 -4.6 2.0 -5.2 1.6 -3.6 9.8 8.9 0.9 -2.7 7.3 11.4 -0.8 -0.5 -1.0 -0.8 14.2 14.1 10.4 3.3 7.3 -1.1 11.1 3.4 0.0 4.3 -0.5 2.0 0.1 2.6 20.0 16.7 15.7 11.6 CORN 6.7 -4.1 -16.5 1.6 7.6 -1.5 5.5 -1.1 4.1 -3.6 4.2 5.0 1.9 -5.9 -10.6 20.0 19.5 20.0 20.0 -4.3 -3.8 -1.3 6.4 -1.3 -2.1 11.0 -4.8 -5.5 -4.8 -2.8 1.2 -2.3 20.0 -8.3 -10.1 -15.2 -20.0 COTTON2 -8.9 4.2 -4.2 1.6 7.6 -1.5 5.5 -1.1 4.1 -12.0 -8.2 -13.3 -6.7 -6.0 5.2 -4.5 10.3 -1.3 3.8 -4.1 -7.8 -14.9 -5.6 -8.9 3.7 -10.9 -1.2 -9.2 -0.9 -10.5 2.3 -5.6 -0.3 -20.0 -20.0 -7.6 9.2 CRUDE_W -8.9 2.9 -3.9 -2.7 -7.5 -1.7 -5.9 2.6 -4.1 -13.5 -0.7 -5.8 1.5 -3.1 -2.0 8.3 12.0 8.5 9.6 -1.7 -0.8 -12.3 3.6 -5.5 -11.8 10.8 -0.2 -15.0 1.3 -9.3 5.4 -3.4 -0.2 -1.3 3.2 5.6 9.9 DAX -2.1 20.0 20.0 3.8 -2.9 3.0 -1.3 0.7 1.7 -2.7 15.2 7.6 3.7 14.7 15.8 -10.1 -4.9 -8.9 -7.1 20.0 20.0 3.9 11.9 14.9 -13.3 9.9 5.9 -1.2 5.8 1.0 2.7 3.7 -3.9 8.6 14.4 9.3 17.7 DOW -6.3 1.8 11.8 3.8 -2.9 3.0 -1.3 0.7 1.7 -13.8 10.6 -10.1 2.0 -2.4 5.5 -7.8 -3.9 -6.9 -5.9 3.1 7.3 -19.7 4.2 -6.6 -2.9 10.8 3.7 -6.3 4.3 -3.5 2.6 0.7 -2.2 -0.3 0.5 -16.8 -4.8 EUR -20.0 3.8 20.0 2.1 -6.7 2.2 -5.2 -1.3 -1.9 -13.2 10.7 -15.0 -2.8 -6.6 10.2 -8.4 -8.7 -8.3 -8.5 5.5 10.8 -14.8 -1.4 -8.4 -1.5 -11.1 2.4 -6.3 3.7 -5.4 -1.3 -2.7 -10.6 -2.9 -7.3 0.2 7.0 EUROSTX 0.9 20.0 20.0 3.8 -2.9 3.0 -1.3 0.7 1.7 -1.4 15.6 7.0 8.0 14.7 15.9 12.2 6.2 9.9 7.6 20.0 20.0 6.1 15.7 16.6 -16.6 -8.5 6.1 -1.3 6.2 1.6 3.8 4.2 17.4 15.9 14.8 6.7 16.5 FEEDCOW 9.5 2.8 6.9 1.6 7.6 -1.5 5.5 -1.1 4.1 9.3 3.0 12.6 1.2 11.8 11.9 -20.0 -20.0 -20.0 -20.0 7.2 4.5 8.6 1.3 8.4 -14.7 12.2 5.6 4.2 4.4 4.0 2.1 4.8 -20.0 0.5 2.0 10.7 19.2 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 -20.0 -2.1 -19.9 -2.7 -7.5 -1.7 -5.9 2.6 -4.1 -13.6 -7.1 -14.0 8.3 -10.7 -6.6 20.0 20.0 20.0 20.0 -9.4 -3.9 -15.3 9.3 -13.6 -2.1 -15.4 -4.6 -5.3 -3.1 -5.6 1.9 -5.3 20.0 -0.5 -12.9 -9.0 -12.8 GASOILINE -12.0 12.7 -6.3 -2.7 -7.5 -1.7 -5.9 2.6 -4.1 -13.0 -3.0 -5.7 3.4 1.3 6.4 -0.3 9.6 -10.1 -2.1 3.7 3.0 -9.6 7.0 -1.4 -13.9 -13.1 3.0 -9.0 3.8 -5.5 6.2 -0.6 -10.4 1.0 3.5 20.0 20.0 GAS_US 0.4 -20.0 -20.0 -2.7 -7.5 -1.7 -5.9 2.6 -4.1 -9.3 -16.3 -13.0 -10.9 -15.8 -16.6 -10.2 -3.5 -1.1 -1.6 -20.0 -20.0 -17.0 -20.0 -20.0 -1.0 -9.3 -6.1 -1.2 -5.4 -2.5 -1.0 -4.2 -20.0 7.1 3.3 -20.0 -18.0 GBP -20.0 0.8 13.9 2.1 -6.7 2.2 -5.2 -1.3 -1.9 -7.0 10.3 -12.2 -2.8 -6.6 8.8 -2.6 -1.9 -2.4 -2.2 0.6 3.6 -7.0 -4.9 -6.9 14.2 9.4 -1.0 -1.8 -1.2 -3.8 -6.3 -4.0 0.6 12.3 -7.5 -9.8 -10.2 GOLD_micro -20.0 5.1 20.0 0.2 -4.6 2.0 -5.2 1.6 -3.6 -14.0 7.8 -15.6 -2.5 -8.9 7.6 -12.2 -9.9 -12.0 -11.4 3.0 9.6 -20.0 3.6 -13.6 6.1 -13.8 0.7 -5.2 2.7 -6.8 1.3 -4.3 -14.6 1.4 -0.8 0.2 5.7 HEATOIL -17.1 -0.7 -17.4 -2.7 -7.5 -1.7 -5.9 2.6 -4.1 -12.8 -5.7 -13.2 7.8 -11.4 -3.9 20.0 20.0 20.0 20.0 -6.8 -2.3 -13.8 9.0 -10.9 -14.1 -13.6 -2.0 -9.9 0.6 -8.3 7.4 -4.9 20.0 -3.9 -9.4 1.9 0.3 JPY -20.0 2.7 20.0 2.1 -6.7 2.2 -5.2 -1.3 -1.9 -14.1 7.4 -15.6 -7.0 -12.2 7.3 -13.4 -11.4 -12.8 -12.5 0.4 4.7 -19.7 -7.6 -13.8 4.6 9.9 0.2 -5.7 1.3 -6.9 -4.4 -4.8 -16.4 -13.5 -11.3 -12.4 5.2 LEANHOG 6.2 -16.7 -13.5 1.6 7.6 -1.5 5.5 -1.1 4.1 6.1 -7.2 7.2 -5.0 -9.8 -10.4 -20.0 -13.9 -20.0 -20.0 -10.9 -9.5 3.3 -3.2 -4.6 0.1 -11.1 -5.2 -5.2 -4.4 -3.4 -1.8 -3.8 -20.0 -3.6 -18.7 -20.0 -16.4 LIVECOW 12.4 7.2 11.5 1.6 7.6 -1.5 5.5 -1.1 4.1 13.6 14.3 14.7 5.9 14.6 14.7 -20.0 -20.0 -20.0 -20.0 14.6 12.2 13.0 7.0 14.9 -20.0 12.0 6.1 2.8 5.5 4.1 4.0 5.5 -20.0 6.2 12.5 19.2 20.0 MXP -3.5 12.0 7.4 2.1 -6.7 2.2 -5.2 -1.3 -1.9 12.6 15.9 14.5 15.7 15.4 15.6 20.0 20.0 20.0 20.0 20.0 20.0 17.6 19.6 19.7 -20.0 9.7 6.3 3.6 6.5 5.0 5.6 5.5 20.0 20.0 20.0 20.0 8.5 NASDAQ 10.9 20.0 7.9 3.8 -2.9 3.0 -1.3 0.7 1.7 -13.8 -3.0 -3.6 -10.9 10.2 10.5 -6.6 -4.4 -6.1 -5.5 13.0 3.2 -9.0 -8.4 8.6 5.7 10.2 4.8 -2.6 2.3 0.1 -0.5 3.8 -2.2 -2.3 20.0 8.1 -2.8 NIKKEI 8.0 13.9 -3.2 3.8 -2.9 3.0 -1.3 0.7 1.7 -13.5 0.2 -6.8 1.5 10.6 4.2 20.0 14.8 20.0 18.3 6.2 2.1 -6.2 0.3 5.0 11.6 -9.4 1.8 -7.9 -0.4 -3.2 -1.5 1.3 20.0 -4.4 3.2 -16.2 -20.0 NZD -20.0 -0.5 20.0 2.1 -6.7 2.2 -5.2 -1.3 -1.9 -13.1 10.3 -15.1 -1.8 -11.5 8.4 0.1 0.4 0.1 0.1 0.2 5.8 -17.1 -1.4 -12.1 -0.0 10.8 0.1 -5.7 2.1 -6.8 -0.8 -4.8 4.5 -2.4 -13.8 -8.7 2.9 OAT -12.2 4.8 6.8 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -12.4 -10.2 -15.0 -12.7 -6.6 -5.9 8.5 12.2 10.6 11.9 -9.9 -11.3 -16.8 -18.5 -14.3 3.5 12.7 -2.2 -5.8 -3.8 -6.2 -9.6 -4.3 20.0 6.8 6.9 1.5 -4.4 OJ 16.8 -2.5 1.9 1.6 7.6 -1.5 5.5 -1.1 4.1 -3.0 14.6 6.7 14.9 8.2 11.4 20.0 16.0 20.0 19.8 20.0 20.0 14.3 20.0 20.0 -20.0 -14.1 5.6 3.5 5.1 4.5 4.9 5.7 17.3 -3.7 20.0 20.0 20.0 PALLAD -9.4 -15.3 -18.8 0.2 -4.6 2.0 -5.2 1.6 -3.6 -7.6 -14.9 -10.6 -12.6 -13.3 -15.1 -3.3 -1.9 -2.8 -2.4 -20.0 -20.0 -16.9 -16.4 -20.0 16.8 -11.1 -5.8 -6.7 -4.6 -8.1 -3.2 -7.2 0.0 -15.0 -1.0 -20.0 -20.0 PLAT -20.0 -16.3 6.3 0.2 -4.6 2.0 -5.2 1.6 -3.6 3.2 5.0 -10.8 1.3 -13.8 -6.8 -2.5 -1.0 -1.9 -1.4 -11.5 0.6 -13.7 2.9 -20.0 -1.0 11.2 -2.9 -3.8 0.7 -7.2 0.8 -6.9 1.7 -3.4 -6.7 -20.0 -11.0 REDWHEAT 15.5 9.9 -11.5 1.6 7.6 -1.5 5.5 -1.1 4.1 -2.9 -8.5 6.7 -8.9 12.2 -3.5 10.1 2.8 7.4 5.4 2.1 -6.4 3.4 -5.2 7.8 -1.8 12.9 2.0 -5.0 -0.6 0.9 1.7 4.1 -6.7 -1.7 9.2 5.0 -6.8 ROBUSTA 13.5 20.0 9.1 1.6 7.6 -1.5 5.5 -1.1 4.1 14.0 -1.3 14.5 -3.1 14.5 11.6 7.8 9.4 10.4 10.4 18.3 6.8 20.0 0.8 20.0 -6.7 9.6 4.4 9.8 1.2 7.5 -0.2 6.4 3.3 20.0 20.0 20.0 8.9 RUSSELL 2.8 20.0 9.1 3.8 -2.9 3.0 -1.3 0.7 1.7 -13.6 3.7 -9.5 -7.8 7.1 9.2 -6.1 -3.6 -5.6 -4.9 11.4 7.1 -11.0 -2.0 4.2 -3.5 10.0 4.9 -0.1 3.5 1.1 1.0 3.6 -1.0 6.1 14.6 4.9 -5.1 SILVER-mini -20.0 -11.6 17.5 0.2 -4.6 2.0 -5.2 1.6 -3.6 -11.1 8.1 -14.8 -0.8 -14.5 3.7 -5.7 -4.2 -5.4 -5.0 -5.8 4.7 -16.6 2.3 -17.3 6.4 -11.3 -1.9 -7.1 1.3 -8.0 -0.1 -6.4 -4.2 3.9 2.4 -20.0 -1.6 SOYBEAN 11.9 -6.4 -0.3 1.6 7.6 -1.5 5.5 -1.1 4.1 12.2 5.9 14.0 4.3 3.2 0.7 20.0 20.0 20.0 20.0 1.8 1.1 15.5 6.0 8.2 -15.9 -11.7 2.3 3.4 3.3 5.8 7.9 4.2 20.0 7.9 6.6 -0.6 6.8 SOYMEAL 4.8 11.8 20.0 1.6 7.6 -1.5 5.5 -1.1 4.1 2.7 14.3 10.1 13.5 12.0 14.8 20.0 18.0 20.0 20.0 20.0 20.0 8.3 18.8 13.8 -20.0 -12.0 6.0 -1.6 7.5 0.2 7.3 3.0 18.9 -0.5 7.9 18.0 20.0 SOYOIL 4.2 -9.0 -17.3 1.6 7.6 -1.5 5.5 -1.1 4.1 13.9 -2.4 11.3 2.9 -4.1 -10.9 1.9 15.9 5.4 10.7 -7.1 -6.3 11.9 2.7 0.9 -10.1 12.9 -4.1 2.7 -2.4 2.0 2.7 -1.6 9.9 4.8 -14.2 -16.7 -12.4 SP400 3.7 20.0 15.1 3.8 -2.9 3.0 -1.3 0.7 1.7 -13.5 10.3 -7.9 -0.4 8.2 11.0 -5.8 -3.3 -5.0 -4.1 15.8 13.4 -10.8 5.0 6.4 -8.0 10.2 5.3 -0.8 4.3 0.9 2.3 3.7 -0.0 5.3 16.7 4.2 1.1 SP500 2.7 16.0 8.5 3.8 -2.9 3.0 -1.3 0.7 1.7 -14.0 2.3 -8.5 -6.4 7.9 10.7 -7.6 -4.7 -6.7 -5.9 9.1 5.0 -16.2 -2.9 1.1 2.5 10.2 4.6 -5.6 2.8 -2.4 -0.3 2.5 -2.8 -4.9 8.5 -4.6 -5.0 SUGAR11 3.3 7.4 13.2 1.6 7.6 -1.5 5.5 -1.1 4.1 4.1 11.1 4.0 8.2 9.8 11.6 20.0 20.0 20.0 20.0 15.0 14.3 5.3 10.3 11.0 -20.0 10.7 5.8 -0.4 6.4 0.8 5.0 3.4 20.0 -4.6 14.5 13.2 20.0 US10 -20.0 1.9 14.2 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -12.7 -6.9 -15.2 -11.4 -12.6 0.2 -7.9 -2.8 -8.1 -6.7 -10.1 -8.6 -20.0 -18.2 -20.0 0.9 9.7 -2.3 -3.2 -2.1 -7.1 -6.0 -6.0 -8.9 5.2 -3.3 -10.6 1.3 US10U -20.0 3.2 13.8 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -12.1 -6.4 -14.9 -11.3 -11.1 2.2 0.4 3.4 0.5 1.1 -8.6 -8.0 -20.0 -17.9 -19.8 -2.4 -14.1 -1.2 -2.9 -1.1 -6.8 -5.2 -5.3 3.0 6.0 0.4 -4.8 4.8 US20 -20.0 4.2 14.8 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -11.9 -4.2 -14.7 -10.2 -9.4 5.4 -9.3 -1.7 -7.4 -4.7 -7.0 -6.9 -20.0 -17.1 -18.7 -0.4 -12.3 -1.6 -3.3 -1.7 -7.1 -5.5 -5.5 -5.8 5.0 1.6 -9.6 4.6 US30 -17.8 6.8 19.4 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -11.1 -3.2 -14.1 -11.4 -7.3 4.6 -2.1 -0.6 -1.9 -1.5 -4.9 -6.2 -20.0 -18.2 -15.3 -4.0 10.0 -0.2 -3.5 -0.4 -6.9 -5.2 -4.5 -2.4 3.7 6.2 -3.5 7.2 US5 -20.0 0.3 14.0 -1.3 -5.4 -1.8 -6.6 -5.2 -4.5 -13.0 -7.4 -15.3 -11.8 -13.9 -1.7 -10.6 -2.9 -9.3 -7.4 -12.1 -10.1 -20.0 -19.9 -20.0 3.3 10.8 -2.8 -3.1 -2.5 -7.2 -6.4 -6.4 -9.6 3.5 -7.6 -14.8 -0.6 VIX 20.0 -13.4 -20.0 -4.7 -1.1 -5.2 -0.6 -4.0 -2.2 7.4 -14.8 7.9 -13.9 -8.0 -13.1 -20.0 -20.0 -20.0 -20.0 -19.2 -20.0 9.1 -19.7 -4.5 NaN -13.5 -5.8 -1.8 -7.0 -1.2 -5.6 -2.7 NaN NaN NaN NaN NaN WHEAT 15.8 6.1 -16.7 1.6 7.6 -1.5 5.5 -1.1 4.1 -13.5 -11.5 -2.8 -12.8 5.0 -8.7 -10.6 -6.4 -9.3 -7.9 -3.6 -13.1 -7.0 -11.9 1.5 3.8 11.9 0.7 -7.9 -2.2 -1.2 -0.3 2.9 -20.0 -4.2 5.2 1.9 -11.5 End of report for caleb_strategy_v1