******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230223_204806 produced at 2023-02-23 21:35:57.400913 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.36 0.0 41165268.87 -41165268.87 -0.41 -0.41 -8.77 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.24 -0.25 0.0 7848720.50 -7848720.50 -0.24 -0.24 -32.29 999999999 -30 -30 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.20 0.0 44236650.15 -44236650.15 -0.04 -0.04 -4.42 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.18 0.0 46993776.02 -46993776.02 -0.23 -0.23 -3.82 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.12 0.0 46457242.39 -46457242.39 -0.09 -0.09 -2.55 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.12 0.0 14555171.86 -14555171.86 -0.07 -0.07 -7.91 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.08 0.0 37467019.22 -37467019.22 -0.22 -0.22 -2.06 999999999 -6 -6 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.08 0.0 51912269.57 -51912269.57 0.00 0.00 -1.51 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.19 -0.07 0.0 37027390.13 -37027390.13 -0.19 -0.19 -1.80 999999999 -5 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.06 0.0 22610622.05 -22610622.05 -0.11 -0.11 -2.67 999999999 -5 -5 caleb_strategy_v1 JPY False False 0.03 -0.23 -0.06 0.0 32590585.52 -32590585.52 -0.23 -0.23 -1.72 999999999 -7 -7 caleb_strategy_v1 US10 False False 0.04 0.00 -0.05 0.0 39216228.34 -39216228.34 0.00 0.00 -1.17 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.03 -0.05 0.0 6416329.01 -6416329.01 -0.03 -0.03 -7.56 999999999 -4 -4 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9723303.30 -9723303.30 -0.02 -0.02 -3.24 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.03 0.0 37506092.01 -37506092.01 -0.04 -0.04 -0.85 999999999 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 18811525.98 -18811525.98 0.00 0.00 -0.70 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9204727.12 -9204727.12 -0.01 -0.01 -0.82 999999999 -1 -1 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14411512.24 -14411512.24 0.00 0.00 -0.49 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 12561456.70 -12561456.70 0.00 0.00 -0.48 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 50421021.44 -50421021.44 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 16608453.20 -16608453.20 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 13673942.75 -13673942.75 -0.03 -0.03 -0.25 999999999 -2 -2 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14948483.86 -14948483.86 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 -0.05 0.00 0.0 47806241.22 -47806241.22 -0.05 -0.05 0.02 999999999 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 850219.66 -850219.66 -0.01 -0.01 -3.55 999999999 -7 -7 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 7561401.27 -7561401.27 0.02 0.02 1.96 999999999 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 13030277.59 -13030277.59 0.00 0.00 0.46 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4268902.10 -4268902.10 0.00 0.00 2.70 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23868519.67 -23868519.67 0.00 0.00 0.58 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 5813484.21 -5813484.21 0.00 0.00 2.10 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 38821733.78 -38821733.78 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 24984947.60 -24984947.60 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 27549359.35 -27549359.35 0.00 0.00 0.39 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 8001770.55 -8001770.55 0.00 0.00 3.09 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21818742.22 -21818742.22 0.00 0.00 1.01 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.02 0.0 70489569.06 -70489569.06 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26322996.77 -26322996.77 0.16 0.16 1.19 999999999 6 6 caleb_strategy_v1 CORN False False 0.01 0.06 0.03 0.0 10248887.26 -10248887.26 0.06 0.06 2.56 999999999 6 6 caleb_strategy_v1 COPPER False False 0.04 0.00 0.03 0.0 35551375.17 -35551375.17 0.00 0.00 0.78 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.04 0.0 25869242.62 -25869242.62 0.00 0.00 1.74 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9506061.93 -9506061.93 0.03 0.03 4.57 999999999 3 3 caleb_strategy_v1 NASDAQ False False 0.09 0.09 0.04 0.0 85587844.34 -85587844.34 0.09 0.09 0.48 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.04 0.0 15938369.22 -15938369.22 0.00 0.00 2.37 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3346568.28 -3346568.28 0.00 0.00 11.22 999999999 0 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.05 0.0 25935816.59 -25935816.59 0.13 0.13 1.97 999999999 5 5 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 42236864.49 -42236864.49 0.04 0.04 1.08 999999999 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.05 0.0 5789985.68 -5789985.68 0.00 0.00 9.45 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.05 0.0 27411166.86 -27411166.86 0.03 0.03 1.99 999999999 1 1 caleb_strategy_v1 SP400 False False 0.09 0.55 0.05 0.0 91896603.84 -91896603.84 0.55 0.55 0.59 999999999 6 6 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 48172353.38 -48172353.38 0.10 0.10 1.26 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.07 0.0 16461289.69 -16461289.69 0.10 0.10 4.24 999999999 6 6 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.07 0.0 24317017.98 -24317017.98 0.02 0.02 2.70 999999999 1 1 caleb_strategy_v1 BOBL False False 0.04 0.04 0.12 0.0 43211847.62 -43211847.62 0.04 0.04 2.85 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 5.31 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.25 0.0 50170696.66 -50170696.66 0.10 0.10 4.98 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.40 0.0 0.00 0.00 0.00 0.00 56.74 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 56.9 Sum abs risk 50.8 Leverage 3.61 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2853968.36, 'annual_cash_vol_target': 713492.09, 'daily_cash_vol_target': 44593.255625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6812 0.7494 11.9901 BITCOIN 743.8027 24265.0000 3.0653 49.0453 BOBL 0.3353 116.1200 0.2888 4.6205 BTP 0.9331 113.5000 0.8222 13.1545 BUND 0.7507 134.8200 0.5568 8.9090 BUXL 1.7835 139.5000 1.2785 20.4554 CAC 54.4756 7366.0000 0.7396 11.8329 CAD 0.0032 0.7383 0.4369 6.9902 CANOLA 6.4975 824.0000 0.7885 12.6165 CHF 0.0053 1.0730 0.4935 7.8954 COCOA 30.9793 2775.0000 1.1164 17.8619 COFFEE 0.0376 1.9015 1.9767 31.6273 COPPER 0.0529 4.0585 1.3031 20.8501 CORN 4.4540 585.0000 0.7614 12.1818 COTTON2 0.0137 0.8226 1.6687 26.6984 CRUDE_W 1.2576 74.0200 1.6990 27.1847 DAX 119.0790 15559.0000 0.7653 12.2454 DOW 240.5344 33183.0000 0.7249 11.5980 EUR 0.0052 1.0607 0.4895 7.8319 EUROSTX 35.4276 4283.0000 0.8272 13.2347 FEEDCOW 1.0954 211.3500 0.5183 8.2928 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.0225 786.2500 2.0378 32.6054 GASOILINE 0.0504 2.5486 1.9756 31.6100 GAS_US 0.1518 2.6270 5.7782 92.4513 GBP 0.0076 1.2020 0.6326 10.1213 GOLD_micro 14.7899 1831.2000 0.8077 12.9226 HEATOIL 0.0546 2.6380 2.0679 33.0872 JPY 0.0001 0.0074 0.7442 11.9065 LEANHOG 1.3177 103.8500 1.2689 20.3019 LIVECOW 0.8169 161.3250 0.5064 8.1016 MXP 0.0004 0.0543 0.6599 10.5577 NASDAQ 145.9216 12213.2500 1.1948 19.1165 NIKKEI 202.6386 27190.0000 0.7453 11.9243 NZD 0.0043 0.6227 0.6957 11.1306 OAT 0.7930 129.4500 0.6126 9.8011 OJ 0.0390 2.3900 1.6314 26.1024 PALLAD 37.5252 1439.0000 2.6077 41.7236 PLAT 15.7632 948.0000 1.6628 26.6045 REDWHEAT 11.9827 853.2500 1.4044 22.4698 ROBUSTA 29.9190 2158.0000 1.3864 22.1827 RUSSELL 20.4529 1910.2000 1.0707 17.1315 SILVER-mini 0.3473 21.4750 1.6174 25.8779 SOYBEAN 9.0600 1388.0000 0.6527 10.4438 SOYMEAL 5.0965 469.8000 1.0848 17.3573 SOYOIL 0.7990 61.9800 1.2891 20.6260 SP400 23.7468 2622.7000 0.9054 14.4870 SP500 34.0346 4023.5000 0.8459 13.5343 SUGAR11 0.0028 0.2039 1.3530 21.6474 US10 0.4640 111.9219 0.4146 6.6329 US10U 0.6318 117.4844 0.5378 8.6046 US20 0.8960 126.2500 0.7097 11.3549 US30 1.4483 136.4375 1.0615 16.9840 US5 0.3077 106.9297 0.2877 4.6039 VIX 0.5204 22.4000 2.3234 37.1749 WHEAT 9.4449 780.5000 1.2101 19.3616 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 681.20 0.75 510.48 1.00 510.48 44593.26 87.36 4.15 36.21 BITCOIN 24.26 3.07 74.38 1.00 74.38 44593.26 599.53 -2.51 -150.77 BOBL 1161.20 0.29 335.33 1.07 357.43 44593.26 124.76 3.16 39.47 BTP 1135.00 0.82 933.14 1.07 994.64 44593.26 44.83 11.94 53.51 BUND 1348.20 0.56 750.70 1.07 800.17 44593.26 55.73 12.39 69.06 BUXL 1395.00 1.28 1783.46 1.07 1900.99 44593.26 23.46 -7.65 -17.96 CAC 736.60 0.74 544.76 1.07 580.66 44593.26 76.80 9.21 70.69 CAD 738.30 0.44 322.55 1.00 322.55 44593.26 138.25 7.05 97.41 CANOLA 164.80 0.79 129.95 0.74 96.00 44593.26 464.50 6.33 294.23 CHF 1341.19 0.49 661.83 1.00 661.83 44593.26 67.38 -15.15 -102.05 COCOA 277.50 1.12 309.79 1.00 309.79 44593.26 143.95 -10.33 -148.68 COFFEE 713.06 1.98 1409.52 1.00 1409.52 44593.26 31.64 8.84 27.98 COPPER 1014.63 1.30 1322.19 1.00 1322.19 44593.26 33.73 8.41 28.37 CORN 292.50 0.76 222.70 1.00 222.70 44593.26 200.24 14.17 283.83 COTTON2 411.30 1.67 686.32 1.00 686.32 44593.26 64.97 -4.97 -32.30 CRUDE_W 740.20 1.70 1257.63 1.00 1257.63 44593.26 35.46 4.21 14.93 DAX 155.59 0.77 119.08 1.07 126.93 44593.26 351.33 4.95 173.96 DOW 165.92 0.72 120.27 1.00 120.27 44593.26 370.78 1.98 73.57 EUR 1325.88 0.49 649.01 1.00 649.01 44593.26 68.71 -9.93 -68.20 EUROSTX 428.30 0.83 354.28 1.07 377.62 44593.26 118.09 7.13 84.22 FEEDCOW 1056.75 0.52 547.72 1.00 547.72 44593.26 81.42 -8.21 -66.83 FTSE100 707.00 0.82 576.59 1.21 666.67 44593.26 66.89 7.70 51.49 GASOIL 786.25 2.04 1602.25 1.00 1602.25 44593.26 27.83 1.96 5.45 GASOILINE 1070.41 1.98 2114.74 1.00 2114.74 44593.26 21.09 -9.86 -20.78 GAS_US 262.70 5.78 1517.93 1.00 1517.93 44593.26 29.38 -18.58 -54.58 GBP 751.25 0.63 475.23 1.00 475.23 44593.26 93.84 7.09 66.49 GOLD_micro 183.12 0.81 147.90 1.00 147.90 44593.26 301.51 -11.20 -337.73 HEATOIL 1107.96 2.07 2291.20 1.00 2291.20 44593.26 19.46 2.07 4.03 JPY 930.12 0.74 692.16 1.00 692.16 44593.26 64.43 -4.12 -26.55 LEANHOG 415.40 1.27 527.09 1.00 527.09 44593.26 84.60 -20.00 -169.21 LIVECOW 645.30 0.51 326.75 1.00 326.75 44593.26 136.48 -7.27 -99.21 MXP 271.30 0.66 179.02 1.00 179.02 44593.26 249.10 15.00 373.64 NASDAQ 2442.65 1.19 2918.43 1.00 2918.43 44593.26 15.28 5.74 8.78 NIKKEI 27190.00 0.75 20263.86 0.01 150.31 44593.26 296.67 10.07 298.74 NZD 622.70 0.70 433.19 1.00 433.19 44593.26 102.94 6.16 63.38 OAT 1294.50 0.61 792.97 1.07 845.23 44593.26 52.76 11.79 62.18 OJ 358.50 1.63 584.86 1.00 584.86 44593.26 76.25 -3.58 -27.29 PALLAD 1439.00 2.61 3752.52 1.00 3752.52 44593.26 11.88 -6.52 -7.75 PLAT 474.00 1.66 788.16 1.00 788.16 44593.26 56.58 2.15 12.19 REDWHEAT 426.62 1.40 599.14 1.00 599.14 44593.26 74.43 4.97 36.96 ROBUSTA 215.80 1.39 299.19 1.00 299.19 44593.26 149.05 10.15 151.27 RUSSELL 95.51 1.07 102.26 1.00 102.26 44593.26 436.06 4.97 216.62 SILVER-mini 536.88 1.62 868.32 1.00 868.32 44593.26 51.36 -6.13 -31.49 SOYBEAN 694.00 0.65 453.00 1.00 453.00 44593.26 98.44 4.66 45.83 SOYMEAL 469.80 1.08 509.65 1.00 509.65 44593.26 87.50 8.22 71.88 SOYOIL 371.88 1.29 479.40 1.00 479.40 44593.26 93.02 5.34 49.71 SP400 2622.70 0.91 2374.68 1.00 2374.68 44593.26 18.78 6.11 11.46 SP500 2011.75 0.85 1701.73 1.00 1701.73 44593.26 26.20 3.60 9.42 SUGAR11 228.37 1.35 308.97 1.00 308.97 44593.26 144.33 15.76 227.48 US10 1119.22 0.41 463.98 1.00 463.98 44593.26 96.11 -3.16 -30.37 US10U 1174.84 0.54 631.82 1.00 631.82 44593.26 70.58 -8.52 -60.16 US20 1262.50 0.71 895.97 1.00 895.97 44593.26 49.77 -12.05 -59.97 US30 1364.38 1.06 1448.28 1.00 1448.28 44593.26 30.79 0.08 0.25 US5 1069.30 0.29 307.68 1.00 307.68 44593.26 144.93 -3.70 -53.67 VIX 224.00 2.32 520.45 1.00 520.45 44593.26 85.68 -20.00 -171.36 WHEAT 390.25 1.21 472.24 1.00 472.24 44593.26 94.43 -5.05 -47.71 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 36.213 0.006 2.5 0.579 BITCOIN -150.774 0.009 2.5 -3.552 BOBL 39.466 0.029 2.5 2.848 BTP 53.510 0.008 2.5 1.081 BUND 69.057 0.029 2.5 4.983 BUXL -17.956 0.034 2.5 -1.507 CAC 70.693 0.011 2.5 1.987 CAD 97.411 0.007 2.5 1.739 CANOLA 294.232 0.004 2.5 2.701 CHF -102.054 0.015 2.5 -3.819 COCOA -148.676 0.009 2.5 -3.239 COFFEE 27.977 0.005 2.5 0.363 COPPER 28.374 0.011 2.5 0.775 CORN 283.826 0.004 2.5 2.560 COTTON2 -32.302 0.006 2.5 -0.486 CRUDE_W 14.928 0.053 2.5 1.972 DAX 173.958 0.022 2.5 9.447 DOW 73.570 0.011 2.5 2.097 EUR -68.196 0.015 2.5 -2.552 EUROSTX 84.224 0.011 2.5 2.368 FEEDCOW -66.832 0.011 2.5 -1.796 FTSE100 51.489 0.041 2.5 5.308 GASOIL 5.448 0.029 2.5 0.389 GASOILINE -20.781 0.016 2.5 -0.853 GAS_US -54.580 0.006 2.5 -0.822 GBP 66.492 0.007 2.5 1.187 GOLD_micro -337.726 0.009 2.5 -7.556 HEATOIL 4.026 0.029 2.5 0.287 JPY -26.547 0.026 2.5 -1.718 LEANHOG -169.206 0.019 2.5 -7.905 LIVECOW -99.213 0.011 2.5 -2.666 MXP 373.644 0.005 2.5 4.574 NASDAQ 8.777 0.022 2.5 0.477 NIKKEI 298.741 0.076 2.5 56.741 NZD 63.378 0.006 2.5 1.013 OAT 62.182 0.008 2.5 1.256 OJ -27.291 0.007 2.5 -0.476 PALLAD -7.753 0.010 2.5 -0.187 PLAT 12.189 0.010 2.5 0.293 REDWHEAT 36.960 0.002 2.5 0.197 ROBUSTA 151.275 0.005 2.5 1.961 RUSSELL 216.622 0.021 2.5 11.220 SILVER-mini -31.490 0.009 2.5 -0.705 SOYBEAN 45.828 0.024 2.5 2.702 SOYMEAL 71.883 0.024 2.5 4.238 SOYOIL 49.713 0.004 2.5 0.456 SP400 11.465 0.021 2.5 0.594 SP500 9.422 0.011 2.5 0.269 SUGAR11 227.478 0.005 2.5 3.087 US10 -30.368 0.015 2.5 -1.165 US10U -60.162 0.058 2.5 -8.766 US20 -59.966 0.029 2.5 -4.420 US30 0.249 0.034 2.5 0.021 US5 -53.668 0.015 2.5 -2.059 VIX -171.365 0.075 2.5 -32.294 WHEAT -47.710 0.002 2.5 -0.255 ==================== Position diags ==================== AUD 1.40 BITCOIN 14.13 BOBL 9.00 BTP 0.91 BUND 4.02 BUXL 1.97 CAC 2.16 CAD 2.47 CANOLA 4.26 CHF 2.52 COCOA 3.14 COFFEE 0.41 COPPER 0.92 CORN 1.81 COTTON2 0.98 CRUDE_W 4.68 DAX 19.08 DOW 10.57 EUR 2.57 EUROSTX 3.32 FEEDCOW 2.19 FTSE100 6.90 GASOIL 1.99 GASOILINE 0.87 GAS_US 0.44 GBP 1.68 GOLD_micro 6.75 HEATOIL 1.39 JPY 4.17 LEANHOG 3.95 LIVECOW 3.67 MXP 3.05 NASDAQ 0.83 NIKKEI 56.35 NZD 1.64 OAT 1.07 OJ 1.33 PALLAD 0.29 PLAT 1.36 REDWHEAT 0.40 ROBUSTA 1.93 RUSSELL 22.59 SILVER-mini 1.15 SOYBEAN 5.80 SOYMEAL 5.16 SOYOIL 0.85 SP400 0.97 SP500 0.75 SUGAR11 1.96 US10 3.69 US10U 10.28 US20 3.67 US30 2.58 US5 5.56 VIX 16.15 WHEAT 0.50 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.6 0.4 0.7 0.0 0 BITCOIN -3.6 -5.0 -2.1 -7.0 -7 BOBL 2.8 1.9 3.7 1.0 1 BTP 1.1 1.0 1.2 1.0 1 BUND 5.0 4.6 5.4 2.0 2 BUXL -1.5 -1.7 -1.3 0.0 0 CAC 2.0 1.8 2.2 1.0 1 CAD 1.7 1.5 2.0 0.0 0 CANOLA 2.7 2.3 3.1 NaN 0 CHF -3.8 -4.1 -3.6 -5.0 -5 COCOA -3.2 -3.6 -2.9 -2.0 -2 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.8 0.7 0.9 0.0 0 CORN 2.6 2.4 2.7 6.0 6 COTTON2 -0.5 -0.6 -0.4 NaN 0 CRUDE_W 2.0 1.5 2.4 5.0 5 DAX 9.4 7.5 11.4 0.0 0 DOW 2.1 1.0 3.2 0.0 0 EUR -2.6 -2.8 -2.3 -2.0 -2 EUROSTX 2.4 2.0 2.7 0.0 0 FEEDCOW -1.8 -2.0 -1.6 -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 -0.9 -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 -7.6 -8.2 -6.9 -4.0 -4 HEATOIL 0.3 0.1 0.4 0.0 0 JPY -1.7 -2.1 -1.3 -7.0 -7 LEANHOG -7.9 -8.3 -7.5 -5.0 -5 LIVECOW -2.7 -3.0 -2.3 -5.0 -5 MXP 4.6 4.3 4.9 3.0 3 NASDAQ 0.5 0.4 0.6 1.0 1 NIKKEI 56.7 51.1 62.4 0.0 0 NZD 1.0 0.8 1.2 0.0 0 OAT 1.3 1.1 1.4 2.0 2 OJ -0.5 -0.6 -0.3 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 0.2 0.0 0 ROBUSTA 2.0 1.8 2.2 2.0 2 RUSSELL 11.2 9.0 13.5 0.0 0 SILVER-mini -0.7 -0.8 -0.6 0.0 0 SOYBEAN 2.7 2.1 3.3 1.0 1 SOYMEAL 4.2 3.7 4.8 6.0 6 SOYOIL 0.5 0.4 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 3.1 2.9 3.3 0.0 0 US10 -1.2 -1.5 -0.8 NaN 0 US10U -8.8 -9.8 -7.7 -10.0 -10 US20 -4.4 -4.8 -4.1 -1.0 -1 US30 0.0 -0.2 0.3 -1.0 -1 US5 -2.1 -2.6 -1.5 -6.0 -6 VIX -32.3 -33.9 -30.7 -30.0 -30 WHEAT -0.3 -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 2.0 -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 0.2 -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 -0.9 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 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.0 -0.2 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 -0.0 -0.3 -0.0 -0.2 0.2 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 -0.4 0.0 -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 0.6 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 0.1 -0.0 -0.0 -0.2 -0.2 CHF -0.2 -0.0 0.3 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.3 -0.1 0.1 -0.0 0.3 -1.0 -0.5 -0.3 -0.3 0.0 0.1 -0.0 0.0 -0.0 -0.8 -2.4 0.0 -0.0 0.0 -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 0.1 0.0 -2.9 -2.2 0.1 0.0 0.1 0.0 0.0 0.0 -2.3 0.2 0.2 0.2 0.3 COFFEE 0.2 0.3 -0.0 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.2 0.0 -0.2 0.1 0.2 0.2 0.1 0.0 0.1 0.1 -0.1 0.0 -0.1 0.0 1.7 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 0.2 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.0 -0.1 0.0 0.3 -0.0 -0.0 -0.0 -0.0 0.1 0.2 0.0 0.0 0.0 -0.2 2.1 0.0 -0.0 0.1 -0.0 0.0 -0.0 0.3 0.2 0.3 0.2 0.2 CORN 0.0 -0.1 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.1 -0.0 0.0 -0.0 -0.3 1.6 0.8 0.4 0.4 -0.1 -0.0 -0.0 0.1 -0.0 -0.2 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 -0.1 -0.0 -0.3 -0.2 0.2 CRUDE_W -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 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 0.0 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 0.0 0.4 0.0 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.3 -0.1 -0.1 -0.0 0.2 -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 2.4 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 0.1 0.0 0.0 0.0 -2.4 2.7 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.2 0.2 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL -0.2 -0.0 -0.3 -0.0 -0.0 -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 -0.1 -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 -0.1 -0.0 -0.1 -0.0 0.1 0.0 0.1 0.1 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 0.0 0.3 0.3 GAS_US 0.0 -0.3 -0.3 -0.0 -0.0 -0.0 -0.1 0.1 -0.1 -0.0 -0.4 -0.0 -0.3 -0.1 -0.4 -0.9 -0.2 -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 0.2 0.2 -0.3 -0.2 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 -0.1 -0.1 -0.1 GOLD_micro -0.2 0.0 0.4 -0.0 -0.0 0.0 -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 0.7 -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 -0.1 -0.0 -0.2 -0.1 0.2 -0.1 -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 -0.1 -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 0.1 -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 0.1 0.0 0.3 0.0 0.1 0.1 0.3 -1.3 -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 0.3 0.2 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 0.4 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 1.7 -1.9 0.0 -0.0 -0.0 -0.0 -0.0 0.0 2.6 -0.1 0.0 -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 -0.2 -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 0.1 0.0 0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.6 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.6 0.0 0.0 0.0 0.0 0.0 0.0 2.5 -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 -0.1 -0.3 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 3.2 -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 0.0 -0.1 0.0 -0.1 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 -0.0 -0.3 -0.2 REDWHEAT 0.1 0.2 -0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.2 -0.0 -0.2 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 0.1 0.1 -0.1 ROBUSTA 0.1 0.3 0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.0 0.0 -0.1 0.0 0.3 0.6 0.4 0.2 0.2 0.2 0.1 0.0 0.0 0.0 -1.2 2.1 0.0 0.0 0.0 0.0 -0.0 0.0 0.4 0.0 0.4 0.3 0.2 RUSSELL -0.0 0.3 0.2 0.1 -0.0 0.1 -0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 0.0 0.2 -0.4 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 0.0 -0.5 2.0 0.1 0.0 0.0 0.0 0.0 0.0 -0.1 0.2 0.4 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 0.0 -0.3 -0.1 -0.1 -0.1 -0.1 0.1 -0.0 0.0 -0.0 1.3 -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 -2.3 -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 0.0 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 -0.1 0.1 0.2 0.3 SOYOIL 0.1 -0.1 -0.3 0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 -0.1 0.0 0.1 -0.0 -0.2 0.2 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 0.1 -0.2 -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 0.1 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 -0.4 -0.0 0.2 -0.1 -0.1 SUGAR11 0.0 0.1 0.2 0.0 0.0 -0.0 0.1 -0.0 0.1 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 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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 7.6 15.6 1.7 -5.8 2.1 -5.5 -1.3 -2.4 -13.0 7.1 -14.9 -2.8 -4.6 8.4 -3.5 -2.6 -3.4 -3.1 3.0 5.0 -15.4 -2.1 -7.9 3.9 11.7 1.0 -7.0 1.8 -6.9 -1.3 -3.7 -0.6 -3.3 -6.3 2.4 -2.8 BITCOIN -0.7 20.0 13.9 -0.1 -4.5 1.9 -5.4 1.6 -3.9 6.9 6.7 9.4 -13.5 13.9 13.5 -3.6 -1.0 -1.6 -0.8 17.0 5.6 9.1 -12.6 15.5 9.2 -18.1 4.8 0.5 2.2 2.6 -0.9 4.3 2.3 20.0 20.0 20.0 -9.3 BOBL -10.5 3.8 -1.9 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -6.8 -13.6 -13.9 -14.0 -10.9 -9.7 -12.3 5.5 -6.7 0.1 -14.7 -18.7 -15.6 -20.0 -16.6 11.5 10.8 -4.2 -2.5 -6.3 -5.8 -11.6 -5.5 5.6 -0.1 5.7 -3.6 -14.8 BTP -7.6 10.0 12.6 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -7.7 -0.7 -13.5 -9.9 1.1 3.1 6.6 12.9 9.5 12.2 -0.1 -1.7 -9.7 -11.4 -5.6 -7.0 11.4 2.0 -2.8 0.3 -3.7 -6.7 -0.9 20.0 5.8 19.1 12.7 7.7 BUND -10.6 5.5 2.3 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -4.8 -12.1 -13.5 -13.4 -7.5 -6.9 9.9 14.9 11.5 13.1 -11.9 -15.2 -12.9 -20.0 -14.1 6.6 12.3 -3.0 -1.6 -4.9 -4.8 -10.5 -4.5 20.0 5.0 7.8 0.7 -8.0 BUXL -10.9 -2.2 1.3 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -4.0 -10.8 -13.4 -12.8 -9.1 -9.5 1.9 0.2 2.8 2.6 -14.0 -15.8 -12.1 -20.0 -15.2 2.2 -10.8 -3.7 -0.8 -4.4 -4.2 -7.9 -4.8 1.6 7.2 5.7 -7.2 -6.3 CAC 4.8 20.0 20.0 3.8 -1.1 3.0 -0.8 0.8 1.7 10.5 15.7 12.1 9.3 15.3 16.0 -4.8 1.1 -3.5 -1.7 20.0 20.0 16.2 18.3 20.0 -15.2 8.9 6.2 2.6 5.5 4.1 3.5 5.5 5.8 20.0 20.0 14.0 15.3 CAD -9.6 6.5 2.5 1.7 -5.8 2.1 -5.5 -1.3 -2.4 -12.3 -5.2 -13.4 -8.6 0.3 2.2 -2.2 -1.3 -2.0 -1.8 -1.1 -4.0 -14.2 -10.0 -6.8 15.6 10.4 -0.3 -9.5 -1.8 -8.8 -5.7 -4.2 1.5 2.3 4.9 1.3 -16.0 CANOLA 3.4 -11.9 -8.0 1.9 5.1 -1.4 5.2 -1.0 4.3 3.4 -5.6 9.5 -8.7 -3.9 -6.6 8.2 10.3 6.0 6.7 -7.8 -11.1 3.3 -5.0 -2.6 1.8 11.5 -4.4 -4.2 -4.1 -3.5 -0.8 -3.6 0.6 -16.4 -4.8 -20.0 -17.2 CHF -14.2 -1.4 15.7 1.7 -5.8 2.1 -5.5 -1.3 -2.4 -14.0 11.6 -14.5 2.6 -9.1 10.7 -15.1 -13.3 -14.5 -14.2 3.1 8.1 -13.5 2.8 -6.7 -6.1 -11.5 1.9 -9.8 3.7 -7.4 -0.3 -3.4 -19.3 -3.5 4.8 -4.9 1.9 COCOA 7.5 7.6 18.7 1.9 5.1 -1.4 5.2 -1.0 4.3 13.2 11.9 14.5 -0.9 12.4 13.2 -0.3 -2.8 -1.3 -1.6 14.5 11.7 20.0 4.3 18.1 -19.0 -10.4 5.8 6.2 4.7 8.8 2.1 7.0 -17.3 20.0 11.3 16.4 20.0 COFFEE 20.0 20.0 -2.3 1.9 5.1 -1.4 5.2 -1.0 4.3 10.7 -7.2 13.7 -8.8 14.4 8.4 2.2 3.0 1.6 2.8 10.1 -5.4 20.0 -10.1 20.0 10.6 10.0 3.5 4.0 -1.0 6.5 -2.5 6.3 -8.1 20.0 20.0 15.9 -0.6 COPPER -20.0 13.0 20.0 -0.1 -4.5 1.9 -5.4 1.6 -3.9 -2.2 8.9 -2.8 -2.7 6.4 10.9 -0.6 -0.4 -1.0 -0.7 11.9 12.6 1.5 3.0 4.3 -1.7 11.1 2.8 -5.8 4.1 -3.9 2.0 -1.3 2.7 11.6 12.2 15.2 11.3 CORN 4.2 -3.6 -17.1 1.9 5.1 -1.4 5.2 -1.0 4.3 -10.7 4.2 -2.8 1.8 -8.1 -11.3 20.0 19.6 20.0 20.0 -5.1 -4.0 -7.9 6.0 -4.1 -1.6 11.0 -5.2 -10.4 -4.8 -6.9 1.0 -4.2 20.0 -15.0 -12.0 -18.0 -20.0 COTTON2 -9.9 3.3 -4.2 1.9 5.1 -1.4 5.2 -1.0 4.3 -10.1 -8.3 -12.9 -6.8 -6.8 4.0 -4.5 10.2 -1.5 3.7 -4.7 -8.1 -12.8 -5.8 -9.2 3.8 -10.9 -1.7 -5.4 -1.1 -8.8 2.2 -5.9 -0.6 -20.0 -20.0 -7.8 8.5 CRUDE_W -7.9 2.8 -3.9 -2.8 -4.0 -1.8 -5.1 2.6 -4.2 -8.2 -0.6 -5.0 1.4 -4.0 -2.7 8.1 12.0 8.4 9.6 -2.2 -1.0 -10.3 3.5 -5.8 -11.7 10.8 -0.6 -6.4 1.1 -7.3 5.4 -3.8 -0.2 -1.2 2.8 5.5 9.7 DAX -3.2 20.0 20.0 3.8 -1.1 3.0 -0.8 0.8 1.7 7.4 15.3 9.9 3.9 15.0 15.9 -10.1 -4.9 -8.9 -7.2 20.0 20.0 6.1 12.1 14.9 -13.6 9.9 6.0 1.3 5.9 1.7 2.8 3.9 -4.0 0.6 16.7 9.7 17.7 DOW -8.6 1.0 11.2 3.8 -1.1 3.0 -0.8 0.8 1.7 -12.7 10.5 -11.5 2.0 -4.8 4.2 -7.9 -4.0 -7.0 -5.9 2.1 7.0 -18.5 4.3 -8.1 -2.9 10.8 3.6 -1.8 4.2 -1.7 2.6 0.8 -2.3 1.1 0.8 -16.7 -5.3 EUR -20.0 2.2 20.0 1.7 -5.8 2.1 -5.5 -1.3 -2.4 -13.8 10.5 -15.3 -2.8 -8.1 9.5 -8.4 -8.7 -8.4 -8.5 4.3 10.4 -16.5 -1.5 -10.1 -1.7 -11.1 1.9 -6.4 3.5 -6.0 -1.3 -3.3 -10.6 -4.5 -7.0 -0.2 7.0 EUROSTX 0.3 20.0 20.0 3.8 -1.1 3.0 -0.8 0.8 1.7 4.8 15.7 8.3 8.2 14.9 15.9 12.2 6.2 10.0 7.7 20.0 20.0 7.6 16.0 16.6 -16.8 -8.5 6.1 1.0 6.3 2.1 3.9 4.2 17.5 7.7 16.2 7.2 16.5 FEEDCOW 11.2 3.0 7.3 1.9 5.1 -1.4 5.2 -1.0 4.3 12.6 3.5 13.9 1.4 12.8 12.4 -20.0 -20.0 -20.0 -20.0 8.3 4.9 15.0 1.5 11.2 -14.3 12.2 5.7 8.5 4.3 7.1 2.1 6.0 -20.0 9.1 8.7 11.4 19.8 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 -2.5 -19.2 -2.8 -4.0 -1.8 -5.1 2.6 -4.2 -13.9 -7.3 -14.6 8.2 -11.4 -7.0 20.0 20.0 20.0 20.0 -10.1 -4.3 -14.9 9.3 -14.1 -1.9 -15.4 -4.7 -4.4 -3.2 -5.3 1.8 -5.3 20.0 -2.2 -13.7 -8.2 -12.9 GASOILINE -10.5 12.4 -6.0 -2.8 -4.0 -1.8 -5.1 2.6 -4.2 -8.0 -2.7 -5.4 3.4 0.6 6.1 1.2 9.7 -9.2 -1.8 3.1 2.8 -8.5 6.9 -2.1 -13.8 -13.1 2.7 -4.2 3.8 -4.6 6.3 -1.0 -10.1 -1.3 2.5 20.0 19.6 GAS_US 4.1 -20.0 -20.0 -2.8 -4.0 -1.8 -5.1 2.6 -4.2 -1.3 -16.3 -9.2 -11.0 -14.9 -16.5 -11.5 -3.7 -1.9 -2.0 -20.0 -20.0 -10.9 -20.0 -20.0 -0.6 -9.3 -6.0 1.6 -5.5 -0.8 -1.1 -3.5 -20.0 10.8 7.7 -20.0 -17.2 GBP -20.0 0.0 13.7 1.7 -5.8 2.1 -5.5 -1.3 -2.4 -11.4 10.2 -13.4 -2.8 -7.4 8.3 -2.6 -1.9 -2.4 -2.2 0.0 3.3 -8.0 -5.0 -7.5 14.1 9.4 -1.3 -3.2 -1.3 -4.3 -6.3 -4.2 0.6 8.0 -6.8 -8.8 -9.9 GOLD_micro -20.0 3.0 20.0 -0.1 -4.5 1.9 -5.4 1.6 -3.9 -14.0 7.5 -15.8 -2.6 -10.5 6.7 -12.3 -10.0 -12.1 -11.4 1.7 9.2 -20.0 3.6 -15.0 5.9 -13.8 0.3 -4.0 2.5 -6.4 1.3 -4.6 -14.6 1.7 0.4 0.3 5.9 HEATOIL -16.4 -1.1 -17.0 -2.8 -4.0 -1.8 -5.1 2.6 -4.2 -12.3 -6.0 -13.7 7.7 -12.4 -4.5 20.0 20.0 20.0 20.0 -7.7 -2.8 -14.3 8.9 -12.0 -13.7 -13.6 -2.5 -6.7 0.3 -7.9 7.1 -5.5 20.0 -5.4 -11.0 1.4 -0.4 JPY -20.0 1.5 20.0 1.7 -5.8 2.1 -5.5 -1.3 -2.4 -12.7 7.2 -15.3 -7.0 -12.8 6.7 -13.5 -11.5 -12.9 -12.6 -0.5 4.3 -18.2 -7.8 -14.3 4.5 9.9 -0.1 -4.0 1.1 -6.3 -4.4 -4.9 -16.5 -9.3 -7.9 -12.5 5.1 LEANHOG 6.7 -16.2 -13.9 1.9 5.1 -1.4 5.2 -1.0 4.3 4.7 -7.4 6.8 -5.1 -9.5 -10.4 -20.0 -15.2 -20.0 -20.0 -10.8 -9.7 2.4 -3.3 -4.3 0.8 -11.1 -5.3 -3.8 -4.5 -3.7 -1.9 -4.2 -20.0 -5.1 -20.0 -20.0 -16.9 LIVECOW 13.1 7.7 11.9 1.9 5.1 -1.4 5.2 -1.0 4.3 13.9 14.5 15.2 6.1 15.1 15.0 -15.9 -20.0 -20.0 -20.0 15.3 12.8 13.5 7.4 15.6 -20.0 12.0 6.2 2.5 5.6 4.1 4.0 5.5 -20.0 6.6 15.9 18.6 20.0 MXP -1.8 11.8 7.7 1.7 -5.8 2.1 -5.5 -1.3 -2.4 13.5 16.0 15.0 15.7 15.7 15.8 20.0 20.0 20.0 20.0 20.0 20.0 17.2 20.0 20.0 -20.0 9.7 6.3 3.3 6.5 4.8 5.6 5.5 20.0 20.0 20.0 20.0 8.6 NASDAQ 8.2 20.0 7.6 3.8 -1.1 3.0 -0.8 0.8 1.7 -10.4 -2.9 -3.9 -10.8 9.9 10.3 -6.7 -4.4 -6.1 -5.5 12.7 3.4 -6.8 -8.4 7.8 5.5 10.2 4.8 -0.3 2.4 1.0 -0.4 3.9 -2.3 -0.3 20.0 8.5 -1.9 NIKKEI 5.9 14.3 -3.4 3.8 -1.1 3.0 -0.8 0.8 1.7 -11.1 0.2 -8.5 1.6 10.2 4.1 20.0 15.0 20.0 18.5 5.9 2.1 -6.1 0.3 4.0 11.9 -9.4 1.6 -5.4 -0.4 -3.2 -1.6 0.9 20.0 -12.0 1.5 -15.8 -20.0 NZD -20.0 -1.7 19.8 1.7 -5.8 2.1 -5.5 -1.3 -2.4 -11.9 10.1 -14.9 -1.7 -12.2 7.7 0.1 0.4 0.1 0.1 -0.7 5.4 -16.0 -1.5 -12.7 0.1 10.8 -0.2 -4.0 1.9 -6.2 -0.8 -4.9 4.5 -1.1 -12.2 -8.6 2.5 OAT -11.7 4.4 4.0 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -5.7 -10.3 -13.8 -12.7 -6.8 -6.2 8.5 12.2 10.5 11.9 -10.1 -11.5 -13.4 -18.7 -13.6 3.4 12.7 -2.3 -2.1 -3.9 -4.8 -9.6 -4.1 20.0 4.0 7.9 1.7 -4.6 OJ 16.2 -1.9 2.7 1.9 5.1 -1.4 5.2 -1.0 4.3 8.7 14.6 8.4 14.9 9.0 11.6 20.0 16.1 20.0 20.0 20.0 20.0 18.4 20.0 20.0 -20.0 -14.1 5.7 3.6 5.2 4.9 4.9 5.9 17.6 -14.9 20.0 20.0 20.0 PALLAD -10.7 -15.9 -19.2 -0.1 -4.5 1.9 -5.4 1.6 -3.9 -12.2 -15.0 -12.8 -12.7 -14.1 -15.4 -3.3 -1.9 -2.8 -2.4 -20.0 -20.0 -20.0 -16.8 -20.0 17.3 -11.1 -5.9 -7.3 -4.5 -8.7 -3.0 -7.6 0.0 -20.0 -1.2 -20.0 -20.0 PLAT -20.0 -17.8 5.8 -0.1 -4.5 1.9 -5.4 1.6 -3.9 5.4 4.7 -9.4 1.2 -13.2 -7.2 -2.5 -1.0 -1.9 -1.4 -11.7 0.2 -10.6 2.8 -18.9 -1.1 11.2 -3.1 -2.7 0.5 -6.1 0.8 -6.7 1.7 0.3 -2.0 -20.0 -11.2 REDWHEAT 12.6 10.7 -11.4 1.9 5.1 -1.4 5.2 -1.0 4.3 -10.8 -8.5 -1.8 -9.0 10.6 -3.6 9.6 2.8 7.4 5.4 1.4 -6.5 -2.2 -5.3 5.1 -1.6 12.9 1.6 -7.0 -0.6 -2.1 1.7 2.5 -6.6 -5.1 4.3 3.9 -7.1 ROBUSTA 12.6 20.0 10.1 1.9 5.1 -1.4 5.2 -1.0 4.3 8.7 -0.8 12.2 -2.8 14.2 11.8 7.5 9.4 10.2 10.3 18.1 7.1 20.0 1.1 20.0 -7.1 9.6 4.5 6.3 1.3 6.9 -0.1 6.4 3.3 20.0 20.0 20.0 11.0 RUSSELL -0.1 20.0 8.9 3.8 -1.1 3.0 -0.8 0.8 1.7 -8.9 3.7 -9.7 -7.7 6.6 8.9 -6.2 -3.6 -5.6 -4.9 11.0 7.2 -8.6 -2.0 3.6 -3.6 10.0 5.1 2.0 3.6 2.4 1.1 4.0 -1.1 11.2 16.4 5.4 -4.7 SILVER-mini -20.0 -13.0 16.8 -0.1 -4.5 1.9 -5.4 1.6 -3.9 -13.1 7.8 -15.2 -0.9 -15.0 1.9 -5.6 -4.2 -5.4 -5.0 -7.1 4.1 -18.4 2.2 -18.7 6.2 -11.3 -2.3 -6.1 0.9 -8.0 -0.1 -6.8 -4.2 1.2 0.4 -20.0 -2.2 SOYBEAN 12.6 -6.1 -0.3 1.9 5.1 -1.4 5.2 -1.0 4.3 4.6 6.2 12.0 4.3 3.4 1.1 20.0 20.0 20.0 20.0 2.1 1.2 11.4 6.0 7.7 -15.6 -11.7 2.2 -2.1 3.4 2.5 8.1 3.3 20.0 3.6 6.0 -2.5 6.2 SOYMEAL 4.0 11.7 20.0 1.9 5.1 -1.4 5.2 -1.0 4.3 1.7 14.3 9.7 13.6 12.0 14.9 20.0 18.1 20.0 20.0 20.0 20.0 7.5 19.3 13.5 -20.0 -12.0 5.9 -1.1 7.6 -0.0 7.6 2.7 19.0 -9.1 5.8 16.8 20.0 SOYOIL 4.9 -8.3 -17.5 1.9 5.1 -1.4 5.2 -1.0 4.3 8.8 -2.3 10.8 2.9 -2.6 -10.8 2.3 15.8 5.5 10.6 -6.6 -6.2 9.4 2.7 1.3 -10.0 12.9 -4.1 -0.5 -2.5 0.5 2.7 -1.8 9.8 7.9 -12.3 -17.5 -14.1 SP400 0.5 20.0 15.0 3.8 -1.1 3.0 -0.8 0.8 1.7 -10.6 10.3 -9.0 -0.2 7.6 10.5 -5.8 -3.3 -5.0 -4.1 15.2 13.5 -9.3 5.2 5.2 -8.1 10.2 5.4 1.1 4.4 1.8 2.4 3.9 -0.0 9.0 17.3 4.5 1.3 SP500 -0.3 15.7 8.0 3.8 -1.1 3.0 -0.8 0.8 1.7 -12.0 2.3 -10.1 -6.3 7.0 10.1 -7.7 -4.8 -6.8 -5.9 8.5 5.0 -13.9 -2.9 0.0 2.4 10.2 4.7 -1.4 3.0 -0.8 -0.2 2.6 -2.8 -1.9 8.8 -4.4 -4.7 SUGAR11 1.9 8.2 12.6 1.9 5.1 -1.4 5.2 -1.0 4.3 10.8 11.4 7.7 8.4 11.0 12.1 20.0 20.0 20.0 20.0 15.0 14.0 10.4 10.1 12.4 -20.0 10.7 6.0 3.4 6.5 2.8 5.1 3.9 20.0 -0.8 14.0 13.4 20.0 US10 -20.0 0.3 13.1 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -9.6 -7.1 -14.4 -11.4 -12.9 -0.7 -7.8 -2.9 -8.0 -6.7 -11.2 -9.3 -20.0 -18.5 -20.0 0.9 9.7 -2.5 -0.7 -2.2 -5.2 -6.1 -5.6 -9.0 7.6 -2.9 -10.5 1.5 US10U -20.0 1.3 12.9 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -8.0 -6.6 -13.8 -11.4 -11.4 1.5 0.4 3.3 0.5 1.1 -9.5 -8.6 -20.0 -18.2 -19.7 -2.5 -14.1 -1.3 -0.1 -1.2 -4.6 -5.3 -4.8 3.0 9.1 1.2 -4.5 5.0 US20 -20.0 2.6 14.1 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -7.5 -4.4 -13.5 -10.2 -9.9 4.8 -8.4 -1.7 -7.2 -4.7 -7.9 -7.4 -20.0 -17.3 -18.5 -0.4 -12.3 -1.7 -0.1 -1.8 -4.8 -5.6 -5.0 -5.8 8.8 2.5 -9.2 5.0 US30 -19.5 5.2 18.8 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -5.9 -3.4 -12.5 -11.5 -7.9 4.2 -1.9 -0.5 -1.8 -1.4 -5.5 -6.5 -18.4 -18.3 -14.8 -4.1 10.0 -0.3 0.1 -0.5 -4.4 -5.3 -4.0 -2.4 8.6 6.9 -2.9 7.5 US5 -20.0 -1.5 12.8 -1.5 -2.4 -1.9 -5.4 -5.3 -4.3 -10.8 -7.7 -14.9 -11.9 -14.1 -2.7 -10.6 -2.9 -9.3 -7.5 -13.4 -10.9 -20.0 -20.0 -20.0 3.3 10.8 -3.0 -1.4 -2.6 -5.6 -6.5 -6.1 -9.7 4.9 -7.5 -14.8 -0.5 VIX 20.0 -12.0 -20.0 -4.7 -3.4 -5.2 -1.8 -4.1 -2.6 0.5 -14.7 5.7 -13.9 -8.0 -12.9 -20.0 -20.0 -20.0 -20.0 -18.6 -20.0 4.6 -19.8 -4.8 NaN -13.5 -5.9 -3.5 -7.1 -2.6 -5.7 -3.3 NaN NaN NaN NaN NaN WHEAT 13.2 6.3 -16.9 1.9 5.1 -1.4 5.2 -1.0 4.3 -13.9 -11.5 -7.3 -12.9 3.3 -8.9 -10.8 -6.5 -9.4 -8.0 -4.5 -13.5 -9.8 -12.2 -0.9 4.0 11.9 0.5 -6.2 -2.2 -2.4 -0.3 1.9 -20.0 -7.1 3.0 0.6 -11.7 End of report for caleb_strategy_v1