******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230224_204812 produced at 2023-02-24 21:35:37.879913 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.37 0.0 40867735.20 -40867735.20 -0.41 -0.41 -9.15 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.24 -0.25 0.0 8041345.57 -8041345.57 -0.24 -0.23 -31.19 999999999 -30 -29 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.19 0.0 43713890.80 -43713890.80 -0.04 -0.04 -4.45 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.18 0.0 46548028.08 -46548028.08 -0.23 -0.23 -3.92 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.12 0.0 46163441.99 -46163441.99 -0.09 -0.09 -2.67 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.12 0.0 14474422.03 -14474422.03 -0.07 -0.07 -8.10 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.08 0.0 37234926.23 -37234926.23 -0.22 -0.22 -2.23 999999999 -6 -6 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.08 0.0 51091785.50 -51091785.50 0.00 0.00 -1.61 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.18 -0.06 0.0 36985819.33 -36985819.33 -0.18 -0.18 -1.73 999999999 -5 -5 caleb_strategy_v1 JPY False False 0.03 -0.22 -0.06 0.0 32106383.28 -32106383.28 -0.22 -0.22 -1.91 999999999 -7 -7 caleb_strategy_v1 US10 False False 0.04 0.00 -0.05 0.0 38955730.48 -38955730.48 0.00 0.00 -1.28 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.03 -0.05 0.0 6362102.84 -6362102.84 -0.03 -0.03 -8.02 999999999 -4 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.05 0.0 22540241.26 -22540241.26 -0.11 -0.11 -2.20 999999999 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9590178.65 -9590178.65 -0.02 -0.02 -3.25 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.03 0.0 37421205.75 -37421205.75 -0.04 -0.04 -0.83 999999999 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 18289690.88 -18289690.88 0.00 0.00 -0.76 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9495780.25 -9495780.25 -0.01 -0.01 -0.83 999999999 -1 -1 caleb_strategy_v1 COTTON2 False False 0.01 0.00 -0.01 0.0 14867748.71 -14867748.71 0.00 0.00 -0.44 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 13026979.82 -13026979.82 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 48894877.30 -48894877.30 0.00 0.00 -0.19 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 15902634.92 -15902634.92 0.00 0.00 0.23 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 13110889.52 -13110889.52 -0.03 -0.03 -0.24 999999999 -2 -2 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14435089.36 -14435089.36 0.00 0.00 0.15 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 -0.05 -0.00 0.0 47155499.29 -47155499.29 -0.05 -0.05 -0.06 999999999 -1 -1 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 816546.20 -816546.20 -0.01 -0.01 -4.03 999999999 -7 -8 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 7509917.52 -7509917.52 0.02 0.02 1.98 999999999 2 2 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 12752175.58 -12752175.58 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4232047.51 -4232047.51 0.00 0.00 2.86 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23540165.10 -23540165.10 0.00 0.00 0.48 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.01 0.0 5752009.45 -5752009.45 0.00 0.00 1.25 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 39482866.90 -39482866.90 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 24563251.51 -24563251.51 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.01 0.0 69522676.81 -69522676.81 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 28197153.05 -28197153.05 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 10082274.04 -10082274.04 0.06 0.06 2.38 999999999 6 6 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21568287.31 -21568287.31 0.00 0.00 0.95 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7710181.98 -7710181.98 0.00 0.00 2.68 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 34617118.62 -34617118.62 0.00 0.00 0.66 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3307964.83 -3307964.83 0.00 0.00 10.27 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15545325.78 -15545325.78 0.00 0.00 2.12 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26127817.66 -26127817.66 0.16 0.16 1.16 999999999 6 6 caleb_strategy_v1 DAX False False 0.01 0.00 0.04 0.0 5652913.08 -5652913.08 0.00 0.00 7.79 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.04 0.0 25706084.05 -25706084.05 0.00 0.00 1.59 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.08 0.04 0.0 83904448.55 -83904448.55 0.08 0.08 0.42 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.03 0.04 0.0 9480047.18 -9480047.18 0.03 0.03 4.64 999999999 3 3 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 41857928.66 -41857928.66 0.04 0.04 1.08 999999999 1 1 caleb_strategy_v1 SP400 False False 0.09 0.55 0.05 0.0 91083971.65 -91083971.65 0.55 0.46 0.56 999999999 6 5 caleb_strategy_v1 CAC False False 0.03 0.03 0.05 0.0 26757072.53 -26757072.53 0.03 0.03 1.78 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.05 0.0 26064448.36 -26064448.36 0.13 0.13 2.08 999999999 5 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.06 0.0 24014779.30 -24014779.30 0.02 0.02 2.38 999999999 1 1 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 47736039.69 -47736039.69 0.10 0.10 1.26 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.07 0.0 16446299.81 -16446299.81 0.10 0.10 4.30 999999999 6 6 caleb_strategy_v1 BOBL False False 0.04 0.04 0.11 0.0 42876504.93 -42876504.93 0.04 0.04 2.50 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 5.32 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.25 0.0 49706521.78 -49706521.78 0.10 0.10 5.00 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.42 0.0 0.00 0.00 0.00 0.00 58.59 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 17.4 Shocked risk 55.6 Sum abs risk 50.6 Leverage 3.56 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2860217.83, 'annual_cash_vol_target': 715054.4575, 'daily_cash_vol_target': 44690.90359375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6733 0.7701 12.3223 BITCOIN 755.4404 23355.0000 3.2346 51.7536 BOBL 0.3307 115.7600 0.2857 4.5710 BTP 0.9177 113.0100 0.8120 12.9927 BUND 0.7331 134.2000 0.5463 8.7402 BUXL 1.7389 137.9400 1.2607 20.1704 CAC 57.4477 7224.0000 0.7952 12.7238 CAD 0.0032 0.7352 0.4358 6.9735 CANOLA 6.4187 820.3000 0.7825 12.5198 CHF 0.0054 1.0651 0.5044 8.0698 COCOA 31.3060 2743.0000 1.1413 18.2609 COFFEE 0.0374 1.8735 1.9958 31.9335 COPPER 0.0545 3.9605 1.3773 22.0368 CORN 4.6787 576.7500 0.8112 12.9796 COTTON2 0.0148 0.8505 1.7361 27.7774 CRUDE_W 1.2392 74.5500 1.6623 26.5963 DAX 125.6601 15262.0000 0.8234 13.1736 DOW 239.6274 32904.0000 0.7283 11.6522 EUR 0.0051 1.0563 0.4872 7.7954 EUROSTX 37.3053 4197.0000 0.8889 14.2217 FEEDCOW 1.0724 211.5750 0.5069 8.1097 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.8321 806.5000 2.0871 33.3929 GASOILINE 0.0493 2.5484 1.9352 30.9640 GAS_US 0.1494 2.7160 5.5011 88.0171 GBP 0.0075 1.1957 0.6308 10.0920 GOLD_micro 14.5108 1819.7000 0.7974 12.7589 HEATOIL 0.0543 2.6888 2.0199 32.3188 JPY 0.0001 0.0073 0.7740 12.3835 LEANHOG 1.2883 103.5000 1.2447 19.9154 LIVECOW 0.8020 161.1750 0.4976 7.9619 MXP 0.0004 0.0542 0.6503 10.4040 NASDAQ 148.0295 11999.2500 1.2337 19.7385 NIKKEI 202.9178 27350.0000 0.7419 11.8709 NZD 0.0044 0.6169 0.7076 11.3210 OAT 0.7745 128.8800 0.6009 9.6148 OJ 0.0412 2.4840 1.6595 26.5519 PALLAD 36.9267 1398.5000 2.6405 42.2472 PLAT 16.9873 909.7000 1.8673 29.8776 REDWHEAT 12.7868 825.7500 1.5485 24.7762 ROBUSTA 29.3434 2148.0000 1.3661 21.8572 RUSSELL 20.4098 1892.3000 1.0786 17.2571 SILVER-mini 0.3514 20.9250 1.6795 26.8713 SOYBEAN 9.4118 1373.7500 0.6851 10.9619 SOYMEAL 4.9746 470.4000 1.0575 16.9203 SOYOIL 0.8061 60.7900 1.3261 21.2175 SP400 23.3319 2605.2000 0.8956 14.3294 SP500 34.0718 3977.0000 0.8567 13.7075 SUGAR11 0.0030 0.1969 1.5381 24.6094 US10 0.4614 111.4219 0.4141 6.6261 US10U 0.6268 116.8906 0.5362 8.5790 US20 0.8984 125.0312 0.7186 11.4970 US30 1.4321 134.8750 1.0618 16.9885 US5 0.3076 106.5000 0.2888 4.6215 VIX 0.5400 23.0000 2.3478 37.5642 WHEAT 10.9972 750.0000 1.4663 23.4608 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 673.30 0.77 518.54 1.00 518.54 44690.9 86.19 3.45 29.77 BITCOIN 23.36 3.23 75.54 1.00 75.54 44690.9 591.59 -2.89 -170.88 BOBL 1157.60 0.29 330.71 1.06 351.23 44690.9 127.24 2.72 34.58 BTP 1130.10 0.81 917.69 1.06 974.64 44690.9 45.85 11.65 53.40 BUND 1342.00 0.55 733.09 1.06 778.57 44690.9 57.40 12.07 69.28 BUXL 1379.40 1.26 1738.94 1.06 1846.84 44690.9 24.20 -7.93 -19.18 CAC 722.40 0.80 574.48 1.06 610.12 44690.9 73.25 8.64 63.25 CAD 735.25 0.44 320.45 1.00 320.45 44690.9 139.46 6.39 89.05 CANOLA 164.06 0.78 128.37 0.74 94.90 44690.9 470.90 6.62 311.76 CHF 1331.38 0.50 671.49 1.00 671.49 44690.9 66.55 -15.74 -104.79 COCOA 274.30 1.14 313.06 1.00 313.06 44690.9 142.75 -10.44 -149.10 COFFEE 702.56 2.00 1402.20 1.00 1402.20 44690.9 31.87 8.88 28.29 COPPER 990.12 1.38 1363.70 1.00 1363.70 44690.9 32.77 7.41 24.30 CORN 288.38 0.81 233.94 1.00 233.94 44690.9 191.04 13.84 264.34 COTTON2 425.25 1.74 738.27 1.00 738.27 44690.9 60.53 -4.79 -28.97 CRUDE_W 745.50 1.66 1239.22 1.00 1239.22 44690.9 36.06 4.37 15.75 DAX 152.62 0.82 125.66 1.06 133.46 44690.9 334.87 4.28 143.37 DOW 164.52 0.73 119.81 1.00 119.81 44690.9 373.00 1.18 43.83 EUR 1320.38 0.49 643.30 1.00 643.30 44690.9 69.47 -10.29 -71.46 EUROSTX 419.70 0.89 373.05 1.06 396.20 44690.9 112.80 6.69 75.51 FEEDCOW 1057.88 0.51 536.19 1.00 536.19 44690.9 83.35 -7.72 -64.31 FTSE100 707.00 0.82 576.59 1.21 666.67 44690.9 67.04 7.70 51.60 GASOIL 806.50 2.09 1683.21 1.00 1683.21 44690.9 26.55 2.29 6.09 GASOILINE 1070.33 1.94 2071.35 1.00 2071.35 44690.9 21.58 -9.40 -20.29 GAS_US 271.60 5.50 1494.09 1.00 1494.09 44690.9 29.91 -18.32 -54.79 GBP 747.31 0.63 471.37 1.00 471.37 44690.9 94.81 6.86 65.05 GOLD_micro 181.97 0.80 145.11 1.00 145.11 44690.9 307.98 -11.64 -358.59 HEATOIL 1129.30 2.02 2281.09 1.00 2281.09 44690.9 19.59 2.46 4.82 JPY 918.31 0.77 710.74 1.00 710.74 44690.9 62.88 -4.69 -29.49 LEANHOG 414.00 1.24 515.31 1.00 515.31 44690.9 86.73 -20.00 -173.45 LIVECOW 644.70 0.50 320.82 1.00 320.82 44690.9 139.30 -5.87 -81.81 MXP 271.15 0.65 176.32 1.00 176.32 44690.9 253.47 14.94 378.79 NASDAQ 2399.85 1.23 2960.59 1.00 2960.59 44690.9 15.10 5.10 7.69 NIKKEI 27350.00 0.74 20291.78 0.01 150.50 44690.9 296.94 10.39 308.50 NZD 616.90 0.71 436.50 1.00 436.50 44690.9 102.39 5.80 59.42 OAT 1288.80 0.60 774.47 1.06 822.52 44690.9 54.33 11.49 62.43 OJ 372.60 1.66 618.33 1.00 618.33 44690.9 72.28 -3.60 -25.99 PALLAD 1398.50 2.64 3692.67 1.00 3692.67 44690.9 12.10 -6.47 -7.83 PLAT 454.85 1.87 849.36 1.00 849.36 44690.9 52.62 1.79 9.40 REDWHEAT 412.88 1.55 639.34 1.00 639.34 44690.9 69.90 3.89 27.19 ROBUSTA 214.80 1.37 293.43 1.00 293.43 44690.9 152.30 10.01 152.45 RUSSELL 94.62 1.08 102.05 1.00 102.05 44690.9 437.94 4.53 198.24 SILVER-mini 523.12 1.68 878.57 1.00 878.57 44690.9 50.87 -6.64 -33.76 SOYBEAN 686.88 0.69 470.59 1.00 470.59 44690.9 94.97 4.24 40.31 SOYMEAL 470.40 1.06 497.46 1.00 497.46 44690.9 89.84 8.12 72.93 SOYOIL 364.74 1.33 483.68 1.00 483.68 44690.9 92.40 4.95 45.75 SP400 2605.20 0.90 2333.19 1.00 2333.19 44690.9 19.15 5.67 10.87 SP500 1988.50 0.86 1703.59 1.00 1703.59 44690.9 26.23 2.81 7.37 SUGAR11 220.53 1.54 339.19 1.00 339.19 44690.9 131.76 15.00 197.65 US10 1114.22 0.41 461.43 1.00 461.43 44690.9 96.85 -3.44 -33.27 US10U 1168.91 0.54 626.75 1.00 626.75 44690.9 71.31 -8.81 -62.82 US20 1250.31 0.72 898.43 1.00 898.43 44690.9 49.74 -12.13 -60.35 US30 1348.75 1.06 1432.07 1.00 1432.07 44690.9 31.21 -0.22 -0.67 US5 1065.00 0.29 307.62 1.00 307.62 44690.9 145.28 -4.00 -58.06 VIX 230.00 2.35 539.99 1.00 539.99 44690.9 82.76 -20.00 -165.53 WHEAT 375.00 1.47 549.86 1.00 549.86 44690.9 81.28 -5.62 -45.70 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 29.766 0.006 2.5 0.476 BITCOIN -170.878 0.009 2.5 -4.026 BOBL 34.584 0.029 2.5 2.495 BTP 53.401 0.008 2.5 1.078 BUND 69.275 0.029 2.5 4.999 BUXL -19.178 0.034 2.5 -1.610 CAC 63.255 0.011 2.5 1.778 CAD 89.048 0.007 2.5 1.590 CANOLA 311.761 0.004 2.5 2.862 CHF -104.787 0.015 2.5 -3.922 COCOA -149.099 0.009 2.5 -3.248 COFFEE 28.294 0.005 2.5 0.367 COPPER 24.298 0.011 2.5 0.664 CORN 264.336 0.004 2.5 2.384 COTTON2 -28.974 0.006 2.5 -0.436 CRUDE_W 15.750 0.053 2.5 2.081 DAX 143.366 0.022 2.5 7.786 DOW 43.833 0.011 2.5 1.249 EUR -71.458 0.015 2.5 -2.674 EUROSTX 75.515 0.011 2.5 2.123 FEEDCOW -64.306 0.011 2.5 -1.728 FTSE100 51.602 0.041 2.5 5.320 GASOIL 6.085 0.029 2.5 0.434 GASOILINE -20.290 0.016 2.5 -0.833 GAS_US -54.793 0.006 2.5 -0.825 GBP 65.055 0.007 2.5 1.162 GOLD_micro -358.589 0.009 2.5 -8.023 HEATOIL 4.818 0.029 2.5 0.344 JPY -29.487 0.026 2.5 -1.909 LEANHOG -173.452 0.019 2.5 -8.104 LIVECOW -81.814 0.011 2.5 -2.198 MXP 378.792 0.005 2.5 4.637 NASDAQ 7.695 0.022 2.5 0.418 NIKKEI 308.500 0.076 2.5 58.594 NZD 59.422 0.006 2.5 0.949 OAT 62.426 0.008 2.5 1.261 OJ -25.987 0.007 2.5 -0.453 PALLAD -7.834 0.010 2.5 -0.189 PLAT 9.404 0.010 2.5 0.226 REDWHEAT 27.194 0.002 2.5 0.145 ROBUSTA 152.454 0.005 2.5 1.977 RUSSELL 198.236 0.021 2.5 10.268 SILVER-mini -33.762 0.009 2.5 -0.755 SOYBEAN 40.312 0.024 2.5 2.377 SOYMEAL 72.929 0.024 2.5 4.300 SOYOIL 45.749 0.004 2.5 0.420 SP400 10.870 0.021 2.5 0.563 SP500 7.368 0.011 2.5 0.210 SUGAR11 197.648 0.005 2.5 2.682 US10 -33.270 0.015 2.5 -1.276 US10U -62.820 0.058 2.5 -9.153 US20 -60.352 0.029 2.5 -4.448 US30 -0.674 0.034 2.5 -0.057 US5 -58.055 0.015 2.5 -2.227 VIX -165.526 0.075 2.5 -31.193 WHEAT -45.698 0.002 2.5 -0.244 ==================== Position diags ==================== AUD 1.38 BITCOIN 13.94 BOBL 9.18 BTP 0.93 BUND 4.14 BUXL 2.03 CAC 2.06 CAD 2.49 CANOLA 4.32 CHF 2.49 COCOA 3.11 COFFEE 0.41 COPPER 0.90 CORN 1.72 COTTON2 0.91 CRUDE_W 4.76 DAX 18.19 DOW 10.63 EUR 2.60 EUROSTX 3.17 FEEDCOW 2.24 FTSE100 6.91 GASOIL 1.89 GASOILINE 0.89 GAS_US 0.45 GBP 1.69 GOLD_micro 6.89 HEATOIL 1.40 JPY 4.07 LEANHOG 4.05 LIVECOW 3.74 MXP 3.10 NASDAQ 0.82 NIKKEI 56.40 NZD 1.64 OAT 1.10 OJ 1.26 PALLAD 0.29 PLAT 1.27 REDWHEAT 0.37 ROBUSTA 1.97 RUSSELL 22.68 SILVER-mini 1.14 SOYBEAN 5.60 SOYMEAL 5.30 SOYOIL 0.85 SP400 0.99 SP500 0.75 SUGAR11 1.79 US10 3.72 US10U 10.39 US20 3.67 US30 2.62 US5 5.57 VIX 15.60 WHEAT 0.43 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.5 0.3 0.6 0.0 0 BITCOIN -4.0 -5.4 -2.6 -7.0 -7 BOBL 2.5 1.6 3.4 1.0 1 BTP 1.1 1.0 1.2 1.0 1 BUND 5.0 4.6 5.4 2.0 2 BUXL -1.6 -1.8 -1.4 0.0 0 CAC 1.8 1.6 2.0 1.0 1 CAD 1.6 1.3 1.8 0.0 0 CANOLA 2.9 2.4 3.3 NaN 0 CHF -3.9 -4.2 -3.7 -5.0 -5 COCOA -3.2 -3.6 -2.9 -2.0 -2 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.7 0.6 0.8 0.0 0 CORN 2.4 2.2 2.6 6.0 6 COTTON2 -0.4 -0.5 -0.3 NaN 0 CRUDE_W 2.1 1.6 2.6 5.0 5 DAX 7.8 6.0 9.6 0.0 0 DOW 1.2 0.2 2.3 0.0 0 EUR -2.7 -2.9 -2.4 -2.0 -2 EUROSTX 2.1 1.8 2.4 0.0 0 FEEDCOW -1.7 -2.0 -1.5 -5.0 -5 FTSE100 5.3 4.6 6.0 0.0 0 GASOIL 0.4 0.2 0.6 0.0 0 GASOILINE -0.8 -0.9 -0.7 -1.0 -1 GAS_US -0.8 -0.9 -0.8 -1.0 -1 GBP 1.2 1.0 1.3 6.0 6 GOLD_micro -8.0 -8.7 -7.3 -4.0 -4 HEATOIL 0.3 0.2 0.5 0.0 0 JPY -1.9 -2.3 -1.5 -7.0 -7 LEANHOG -8.1 -8.5 -7.7 -5.0 -5 LIVECOW -2.2 -2.6 -1.8 -5.0 -5 MXP 4.6 4.3 4.9 3.0 3 NASDAQ 0.4 0.3 0.5 1.0 1 NIKKEI 58.6 53.0 64.2 0.0 0 NZD 0.9 0.8 1.1 0.0 0 OAT 1.3 1.2 1.4 2.0 2 OJ -0.5 -0.6 -0.3 NaN 0 PALLAD -0.2 -0.2 -0.2 NaN 0 PLAT 0.2 0.1 0.4 NaN 0 REDWHEAT 0.1 0.1 0.2 0.0 0 ROBUSTA 2.0 1.8 2.2 2.0 2 RUSSELL 10.3 8.0 12.5 0.0 0 SILVER-mini -0.8 -0.9 -0.6 0.0 0 SOYBEAN 2.4 1.8 2.9 1.0 1 SOYMEAL 4.3 3.8 4.8 6.0 6 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.6 0.5 0.7 6.0 6 SP500 0.2 0.1 0.3 0.0 0 SUGAR11 2.7 2.5 2.9 0.0 0 US10 -1.3 -1.6 -0.9 NaN 0 US10U -9.2 -10.2 -8.1 -10.0 -10 US20 -4.4 -4.8 -4.1 -1.0 -1 US30 -0.1 -0.3 0.2 -1.0 -1 US5 -2.2 -2.8 -1.7 -6.0 -6 VIX -31.2 -32.8 -29.6 -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 0.0 -0.2 -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 0.5 2.2 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.1 -0.2 0.0 -0.0 BITCOIN -0.0 0.3 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 0.0 -0.3 0.0 0.3 -0.2 -0.0 -0.0 -0.0 0.2 0.1 0.0 -0.2 0.0 1.9 -4.8 0.1 -0.0 0.0 0.0 -0.0 0.0 0.2 0.1 0.4 0.3 -0.1 BOBL -0.2 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 -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 0.7 -0.0 0.1 -0.0 -0.2 BTP -0.1 0.1 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 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0.0 -0.0 -0.8 -2.4 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -2.5 -0.1 0.1 -0.1 0.0 COCOA 0.1 0.1 0.3 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.3 0.0 -0.0 0.0 0.3 -0.0 -0.1 -0.0 -0.0 0.2 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 0.0 -0.0 0.0 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 -0.1 0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.0 -0.1 0.0 0.2 -0.1 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 0.0 -0.3 2.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.3 0.1 0.2 0.2 0.2 CORN 0.0 -0.0 -0.3 0.0 -0.0 -0.0 0.0 -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 0.1 -0.0 -0.2 2.3 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 2.7 -0.1 -0.3 -0.3 -0.3 COTTON2 -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 0.0 -0.3 0.4 -0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 1.0 -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 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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 0.4 0.1 -0.0 NIKKEI 0.0 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 0.1 -0.2 -0.3 NZD -0.2 -0.0 0.3 0.0 -0.0 0.0 -0.1 -0.0 -0.0 -0.0 0.2 -0.0 -0.0 -0.1 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 -0.2 0.0 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 0.7 0.5 0.2 0.3 -0.1 -0.1 -0.0 -0.2 -0.0 0.4 2.6 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.7 0.0 0.2 0.0 -0.1 OJ 0.0 -0.1 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 2.5 0.0 0.5 0.3 0.3 PALLAD -0.1 -0.3 -0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 -0.4 -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 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-0.0 -0.2 -0.9 -0.3 -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.0 0.6 2.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.1 -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 5.7 14.8 1.1 -7.9 1.9 -6.7 -1.3 -3.3 -13.8 6.8 -15.3 -2.9 -6.9 7.3 -3.5 -2.6 -3.4 -3.1 1.3 4.2 -19.4 -2.2 -10.5 4.0 11.7 0.2 -10.0 1.4 -8.5 -1.3 -4.7 -0.6 -5.8 -8.2 1.5 -3.0 BITCOIN -4.1 20.0 15.3 -0.6 -6.6 1.6 -6.4 1.5 -4.4 1.4 6.9 5.6 -13.4 13.0 13.3 -3.9 -1.1 -1.8 -0.9 16.0 5.5 3.7 -12.2 12.9 8.8 -18.1 4.7 -2.0 2.3 1.2 -0.9 3.8 2.1 20.0 20.0 20.0 -8.2 BOBL -16.6 2.1 -1.8 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -11.9 -13.8 -14.7 -14.1 -12.0 -10.4 -12.4 5.3 -7.0 -0.2 -15.6 -19.2 -16.9 -20.0 -17.6 11.5 10.8 -4.4 -4.9 -6.2 -6.4 -11.3 -5.8 5.2 -0.7 6.2 -3.4 -14.9 BTP -8.5 8.6 12.3 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -9.4 -0.8 -13.6 -9.9 0.2 2.5 6.6 12.8 9.4 12.1 -0.7 -1.9 -9.7 -11.6 -6.2 -7.3 11.4 1.7 -3.3 0.2 -3.8 -6.8 -1.3 20.0 6.3 20.0 13.3 7.6 BUND -15.5 2.9 2.0 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -9.0 -12.3 -14.1 -13.5 -9.0 -7.5 10.0 14.9 11.4 13.0 -12.7 -15.8 -13.7 -20.0 -14.9 6.6 12.3 -3.2 -3.3 -5.1 -5.2 -10.5 -4.8 20.0 5.0 9.1 1.4 -8.0 BUXL -14.8 -4.3 0.6 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -8.5 -11.0 -13.9 -12.9 -10.4 -9.9 1.9 0.2 2.8 2.6 -14.7 -16.4 -12.6 -20.0 -15.7 2.3 -10.8 -3.9 -2.4 -4.6 -4.5 -8.1 -5.0 1.6 7.2 6.9 -5.8 -6.4 CAC 0.3 20.0 20.0 3.6 -3.8 3.0 -2.2 0.8 1.0 -6.9 15.6 6.6 9.4 14.1 15.4 -4.3 1.1 -3.3 -1.6 20.0 20.0 6.5 17.4 18.6 -15.3 8.9 6.1 -2.6 5.6 1.6 3.7 4.6 6.0 16.8 20.0 14.4 14.6 CAD -11.8 5.5 1.8 1.1 -7.9 1.9 -6.7 -1.3 -3.3 -13.6 -5.4 -14.3 -8.7 -1.9 0.8 -2.2 -1.4 -2.0 -1.8 -2.3 -4.4 -16.6 -10.1 -8.9 15.6 10.4 -1.0 -10.9 -2.0 -9.8 -5.4 -5.1 1.5 -7.2 4.2 1.6 -16.2 CANOLA 2.9 -11.4 -7.8 1.8 -0.2 -1.4 3.0 -1.1 3.7 -4.8 -5.5 2.5 -8.8 -4.3 -6.8 9.4 10.4 6.5 6.9 -8.1 -11.3 -0.6 -5.2 -3.7 1.9 11.5 -4.7 -5.7 -4.2 -5.0 -0.9 -4.5 0.8 -18.1 -5.1 -20.0 -18.1 CHF -17.1 -2.1 15.1 1.1 -7.9 1.9 -6.7 -1.3 -3.3 -14.0 11.2 -15.0 2.6 -10.5 9.6 -15.3 -13.4 -14.6 -14.2 1.4 7.2 -18.7 2.6 -9.8 -5.9 -11.5 0.9 -13.5 3.1 -9.7 -0.4 -4.8 -19.4 -6.3 4.7 -5.3 2.0 COCOA 7.6 7.2 18.8 1.8 -0.2 -1.4 3.0 -1.1 3.7 7.7 12.0 12.3 -0.8 11.7 13.1 -0.1 -2.8 -1.2 -1.6 14.4 11.7 16.1 4.4 16.5 -19.0 -10.4 5.8 1.9 4.8 6.3 2.2 6.5 -17.2 20.0 10.8 16.1 20.0 COFFEE 20.0 20.0 -1.0 1.8 -0.2 -1.4 3.0 -1.1 3.7 6.0 -6.9 11.4 -8.7 14.0 8.8 2.5 3.0 1.7 2.8 10.6 -4.9 19.5 -9.9 20.0 10.4 10.0 3.6 1.1 -0.9 4.7 -2.4 5.9 -8.1 18.7 20.0 15.9 1.0 COPPER -20.0 9.7 20.0 -0.6 -6.6 1.6 -6.4 1.5 -4.4 -10.3 8.8 -7.6 -2.7 4.5 9.9 -0.6 -0.4 -1.0 -0.7 9.8 11.6 -7.9 2.9 0.1 -2.1 11.1 1.9 -9.4 3.7 -6.8 1.9 -3.0 2.6 7.4 9.8 14.6 10.6 CORN 1.6 -3.4 -18.3 1.8 -0.2 -1.4 3.0 -1.1 3.7 -13.0 4.1 -7.5 1.6 -9.8 -11.9 20.0 19.7 20.0 20.0 -6.4 -4.4 -15.5 5.4 -8.0 -1.0 11.0 -5.3 -13.9 -4.4 -9.9 0.7 -5.9 20.0 -20.0 -14.2 -20.0 -20.0 COTTON2 -9.0 4.6 -3.0 1.8 -0.2 -1.4 3.0 -1.1 3.7 2.7 -8.2 -6.9 -6.9 -5.0 3.9 -4.4 10.1 -1.5 3.6 -3.8 -7.4 -4.1 -5.4 -5.9 3.9 -10.9 -1.4 5.0 -1.0 -3.0 2.2 -4.1 -0.8 -10.5 -20.0 -6.5 8.3 CRUDE_W -6.6 2.1 -4.0 -2.7 0.5 -1.8 -3.1 2.5 -3.6 -3.6 -0.4 -3.0 1.3 -4.1 -2.9 7.8 11.9 8.3 9.5 -2.3 -1.1 -7.3 3.5 -5.4 -11.7 10.8 -0.7 -1.9 1.1 -5.0 5.5 -3.5 -0.2 -5.2 2.3 4.8 9.4 DAX -4.7 18.1 20.0 3.6 -3.8 3.0 -2.2 0.8 1.0 -8.3 15.3 2.7 4.0 13.8 15.4 -10.1 -5.0 -9.0 -7.2 20.0 20.0 -1.1 11.5 10.8 -13.8 9.9 5.7 -3.6 6.0 -0.5 2.9 2.9 -3.9 -0.9 16.0 9.5 17.0 DOW -11.5 -0.8 10.3 3.6 -3.8 3.0 -2.2 0.8 1.0 -13.8 10.2 -13.3 2.0 -7.3 2.2 -7.9 -4.0 -7.0 -6.0 0.3 6.3 -20.0 4.1 -11.0 -2.8 10.8 3.0 -5.3 4.0 -3.8 2.6 -0.4 -2.3 -3.1 1.1 -16.8 -5.7 EUR -20.0 0.1 20.0 1.1 -7.9 1.9 -6.7 -1.3 -3.3 -14.0 10.2 -15.5 -2.8 -9.7 8.6 -8.5 -8.7 -8.4 -8.6 2.8 9.7 -19.3 -1.6 -12.2 -1.9 -11.1 1.3 -7.6 3.2 -7.0 -1.3 -4.1 -10.6 -0.2 -5.7 -0.6 7.1 EUROSTX -3.3 19.1 20.0 3.6 -3.8 3.0 -2.2 0.8 1.0 -8.9 15.5 1.6 8.4 13.5 15.4 12.3 6.3 10.1 7.8 20.0 20.0 -0.3 15.2 12.1 -16.9 -8.5 5.9 -4.2 6.4 -0.4 4.0 3.2 17.8 3.4 14.9 7.4 15.7 FEEDCOW 12.2 4.0 8.0 1.8 -0.2 -1.4 3.0 -1.1 3.7 13.6 3.9 14.6 1.6 13.6 12.9 -20.0 -20.0 -20.0 -20.0 9.7 5.5 18.1 1.8 13.7 -14.0 12.2 5.9 7.7 4.3 7.6 2.1 6.5 -20.0 17.8 14.0 12.7 20.0 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 -17.3 -2.7 -20.0 -2.7 0.5 -1.8 -3.1 2.5 -3.6 -5.3 -7.5 -12.0 8.2 -11.5 -7.2 19.7 20.0 20.0 20.0 -9.7 -4.4 -10.7 8.6 -12.6 -1.7 -15.4 -4.7 -0.5 -3.3 -3.9 1.7 -5.0 20.0 -2.0 -14.6 -7.3 -13.1 GASOILINE -10.0 11.0 -5.3 -2.7 0.5 -1.8 -3.1 2.5 -3.6 -6.3 -2.5 -4.8 3.3 0.0 5.9 2.6 9.7 -8.4 -1.5 2.7 2.8 -7.4 7.0 -2.5 -13.7 -13.1 2.5 -2.6 3.8 -3.9 6.5 -1.2 -9.8 -6.6 -0.7 19.7 18.9 GAS_US 7.0 -20.0 -20.0 -2.7 0.5 -1.8 -3.1 2.5 -3.6 4.5 -16.2 -4.4 -11.1 -13.7 -16.3 -12.7 -3.9 -2.7 -2.4 -20.0 -20.0 -5.8 -20.0 -20.0 -0.2 -9.3 -5.8 2.9 -5.6 0.5 -1.2 -2.8 -20.0 11.4 7.8 -20.0 -16.7 GBP -20.0 -1.0 12.8 1.1 -7.9 1.9 -6.7 -1.3 -3.3 -13.2 10.1 -14.3 -2.8 -8.8 7.6 -2.6 -1.9 -2.4 -2.2 -0.8 2.9 -10.7 -5.1 -8.9 14.0 9.4 -1.7 -5.9 -1.5 -5.5 -6.3 -4.7 0.6 10.1 -5.5 -7.8 -9.2 GOLD_micro -20.0 0.6 20.0 -0.6 -6.6 1.6 -6.4 1.5 -4.4 -14.1 7.1 -15.8 -2.6 -11.7 5.7 -12.4 -10.0 -12.1 -11.5 0.1 8.5 -20.0 3.5 -16.9 5.6 -13.8 -0.3 -4.7 2.2 -6.6 1.2 -5.1 -14.7 1.9 1.8 0.6 6.2 HEATOIL -14.6 -1.6 -16.5 -2.7 0.5 -1.8 -3.1 2.5 -3.6 -6.4 -6.1 -11.9 7.6 -12.3 -4.6 20.0 20.0 20.0 20.0 -7.8 -3.0 -10.4 8.7 -11.0 -13.3 -13.6 -2.7 -2.1 0.2 -5.7 7.1 -5.1 20.0 -4.5 -11.4 1.1 -0.7 JPY -20.0 -0.4 20.0 1.1 -7.9 1.9 -6.7 -1.3 -3.3 -13.6 6.9 -15.5 -7.1 -13.5 5.9 -13.6 -11.5 -12.9 -12.6 -2.0 3.5 -20.0 -7.7 -15.9 4.4 9.9 -0.6 -7.3 0.8 -7.4 -4.3 -5.5 -16.6 -13.8 -7.3 -14.0 5.2 LEANHOG 5.9 -15.5 -12.8 1.8 -0.2 -1.4 3.0 -1.1 3.7 -2.0 -7.5 5.8 -5.2 -9.2 -10.4 -20.0 -16.5 -20.0 -20.0 -10.7 -9.9 1.1 -3.5 -4.4 1.4 -11.1 -5.4 -3.4 -4.6 -3.8 -2.0 -4.4 -20.0 -2.6 -20.0 -20.0 -17.0 LIVECOW 12.7 8.2 12.4 1.8 -0.2 -1.4 3.0 -1.1 3.7 12.7 14.6 15.1 6.3 15.3 15.2 -8.2 -20.0 -20.0 -20.0 15.7 13.3 12.4 7.7 15.6 -20.0 12.0 6.2 1.6 5.7 3.5 4.1 5.3 -20.0 8.1 18.4 18.8 20.0 MXP -1.9 11.5 7.8 1.1 -7.9 1.9 -6.7 -1.3 -3.3 12.5 16.0 15.0 15.7 15.8 15.9 20.0 20.0 20.0 20.0 20.0 20.0 16.1 20.0 20.0 -20.0 9.7 6.3 2.6 6.5 4.4 5.7 5.4 20.0 20.0 20.0 20.0 9.3 NASDAQ 2.1 20.0 8.0 3.6 -3.8 3.0 -2.2 0.8 1.0 -13.1 -3.0 -8.2 -10.8 8.6 9.7 -6.7 -4.5 -6.2 -5.6 11.0 3.1 -10.9 -8.2 4.3 5.4 10.2 4.6 -2.8 2.5 -0.6 -0.4 3.0 -2.2 0.3 18.3 8.1 -1.0 NIKKEI 4.1 14.4 -3.5 3.6 -3.8 3.0 -2.2 0.8 1.0 -5.7 0.2 -7.6 1.6 10.0 4.1 20.0 15.1 20.0 18.8 5.5 2.1 -4.2 0.4 3.6 12.1 -9.4 1.5 -1.7 -0.4 -2.3 -1.6 0.8 20.0 -5.0 4.8 -13.4 -20.0 NZD -20.0 -3.4 18.6 1.1 -7.9 1.9 -6.7 -1.3 -3.3 -13.5 9.9 -15.4 -1.8 -13.1 6.8 -0.0 0.4 0.1 0.1 -2.0 4.7 -18.3 -1.7 -14.2 0.1 10.8 -0.7 -6.5 1.6 -7.1 -0.9 -5.4 4.5 -1.7 -11.7 -8.4 2.0 OAT -15.6 2.2 3.5 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -9.1 -10.5 -14.2 -12.8 -8.4 -6.8 8.5 12.2 10.5 11.8 -10.9 -12.1 -13.9 -19.2 -14.3 3.4 12.7 -2.5 -3.3 -4.0 -5.0 -9.6 -4.3 20.0 4.9 9.6 2.4 -4.6 OJ 12.4 -3.6 1.7 1.8 -0.2 -1.4 3.0 -1.1 3.7 12.3 14.7 11.0 15.0 10.5 12.2 20.0 16.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.1 5.8 5.0 5.2 5.6 4.8 6.2 17.8 16.0 20.0 20.0 20.0 PALLAD -12.4 -17.1 -19.8 -0.6 -6.6 1.6 -6.4 1.5 -4.4 -13.5 -15.1 -13.9 -12.9 -14.6 -15.6 -3.1 -1.9 -2.8 -2.4 -20.0 -20.0 -20.0 -17.4 -20.0 17.7 -11.1 -6.0 -7.4 -4.4 -8.7 -2.9 -7.8 0.0 -13.8 1.8 -20.0 -20.0 PLAT -20.0 -19.7 4.7 -0.6 -6.6 1.6 -6.4 1.5 -4.4 -7.7 4.2 -11.7 0.9 -13.9 -8.3 -2.5 -1.1 -2.0 -1.4 -12.0 -0.6 -15.3 2.3 -19.3 -1.0 11.2 -3.5 -6.7 0.1 -7.6 0.6 -7.2 1.6 -3.4 -0.9 -20.0 -11.4 REDWHEAT 8.4 11.3 -10.8 1.8 -0.2 -1.4 3.0 -1.1 3.7 -13.0 -8.7 -6.9 -9.1 7.0 -4.3 9.3 2.9 7.3 5.4 -0.4 -6.5 -11.4 -5.1 -0.1 -1.4 12.9 0.4 -14.0 -0.9 -7.6 1.6 -0.8 -6.6 -20.0 -2.7 0.6 -7.8 ROBUSTA 12.3 20.0 11.2 1.8 -0.2 -1.4 3.0 -1.1 3.7 5.8 -0.4 10.1 -2.6 13.9 11.9 7.3 9.3 10.0 10.2 18.8 7.7 20.0 1.5 20.0 -7.5 9.6 4.6 3.9 1.5 6.0 0.0 6.3 3.2 20.0 20.0 20.0 13.0 RUSSELL -4.7 19.0 8.7 3.6 -3.8 3.0 -2.2 0.8 1.0 -12.4 3.7 -12.0 -7.6 5.6 8.2 -6.2 -3.7 -5.6 -4.9 9.8 6.9 -10.4 -1.9 1.4 -3.8 10.0 5.1 -0.2 3.7 1.4 1.1 3.7 -1.0 12.7 17.7 5.5 -4.2 SILVER-mini -20.0 -15.0 15.8 -0.6 -6.6 1.6 -6.4 1.5 -4.4 -13.8 7.2 -15.5 -1.0 -15.3 -0.1 -5.3 -4.2 -5.3 -4.9 -8.7 3.1 -20.0 1.8 -20.0 6.2 -11.3 -2.8 -7.8 0.5 -8.7 -0.2 -7.3 -4.2 -4.3 -0.2 -20.0 -2.8 SOYBEAN 10.9 -6.3 -0.8 1.8 -0.2 -1.4 3.0 -1.1 3.7 -8.0 6.3 5.9 4.3 3.3 0.8 20.0 20.0 20.0 20.0 1.5 1.1 3.7 5.7 4.9 -15.2 -11.7 1.4 -10.0 3.1 -3.0 8.0 0.8 20.0 -9.3 4.2 -4.9 5.3 SOYMEAL 3.1 11.7 20.0 1.8 -0.2 -1.4 3.0 -1.1 3.7 2.6 14.4 8.8 13.7 12.1 14.9 20.0 18.1 20.0 20.0 20.0 20.0 7.2 19.9 13.4 -20.0 -12.0 5.9 -0.5 7.8 0.0 7.8 2.5 19.1 -8.8 6.8 15.0 20.0 SOYOIL 5.1 -7.8 -18.0 1.8 -0.2 -1.4 3.0 -1.1 3.7 -2.4 -2.4 6.2 2.8 -3.2 -11.0 2.6 15.7 5.5 10.5 -6.8 -6.3 2.3 2.5 -0.8 -9.7 12.9 -4.4 -5.4 -2.7 -2.7 2.6 -3.0 9.6 -4.0 -12.5 -18.0 -16.1 SP400 -4.5 19.5 14.8 3.6 -3.8 3.0 -2.2 0.8 1.0 -13.3 10.2 -11.9 -0.2 6.5 9.8 -6.0 -3.3 -5.1 -4.2 14.0 13.4 -11.3 5.3 2.7 -8.3 10.2 5.3 -0.6 4.6 0.8 2.6 3.4 -0.0 10.2 18.2 4.8 1.6 SP500 -5.5 14.3 7.6 3.6 -3.8 3.0 -2.2 0.8 1.0 -13.7 2.1 -12.6 -6.4 5.1 9.0 -7.8 -4.8 -6.9 -6.0 6.7 4.5 -17.4 -3.0 -3.3 2.4 10.2 4.3 -4.6 2.9 -2.8 -0.2 1.4 -2.8 -4.5 8.0 -4.8 -4.4 SUGAR11 -4.1 5.9 10.8 1.8 -0.2 -1.4 3.0 -1.1 3.7 -5.7 11.4 1.2 8.5 10.3 11.7 20.0 20.0 20.0 20.0 12.9 12.6 3.7 9.2 9.1 -20.0 10.7 5.8 -1.6 6.6 0.6 5.3 3.1 20.0 -9.6 7.9 12.7 20.0 US10 -20.0 -1.7 13.4 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -12.6 -7.5 -15.0 -11.5 -13.7 -1.8 -7.9 -2.9 -8.0 -6.7 -12.6 -10.0 -20.0 -18.8 -20.0 0.8 9.7 -2.8 -3.0 -2.3 -5.6 -6.0 -5.8 -9.0 8.9 -2.4 -10.5 1.5 US10U -20.0 -0.3 13.1 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -11.6 -6.9 -14.5 -11.5 -12.4 0.6 0.3 3.3 0.5 1.0 -10.7 -9.2 -20.0 -18.4 -20.0 -2.5 -14.1 -1.7 -2.3 -1.4 -5.0 -5.3 -5.0 2.9 11.8 1.8 -4.7 5.2 US20 -20.0 1.0 14.5 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -12.1 -4.7 -14.5 -10.3 -11.4 3.9 -7.8 -1.7 -7.0 -4.6 -9.3 -8.0 -20.0 -17.4 -19.9 -0.4 -12.3 -2.2 -3.5 -2.0 -5.7 -5.6 -5.5 -5.7 10.2 2.1 -9.0 5.3 US30 -20.0 3.6 18.9 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -10.3 -3.7 -13.5 -11.5 -9.5 3.4 -1.8 -0.6 -1.7 -1.4 -6.7 -7.1 -19.1 -18.5 -16.0 -4.2 10.0 -0.7 -2.7 -0.7 -5.1 -5.3 -4.5 -2.4 11.7 6.4 -2.8 7.9 US5 -20.0 -3.4 13.2 -1.8 -4.2 -2.0 -5.8 -5.2 -4.6 -13.1 -8.1 -15.4 -12.0 -14.7 -4.0 -10.6 -3.0 -9.4 -7.5 -15.0 -11.7 -20.0 -20.0 -20.0 3.3 10.8 -3.4 -3.9 -2.7 -6.3 -6.3 -6.4 -9.8 3.4 -7.8 -15.2 -0.7 VIX 20.0 -8.5 -20.0 -4.7 -1.5 -5.3 -1.5 -4.2 -2.6 4.4 -14.5 6.9 -13.9 -7.2 -12.6 -20.0 -20.0 -20.0 -20.0 -16.9 -20.0 5.6 -19.0 -3.3 NaN -13.5 -5.9 -1.0 -7.2 -1.8 -5.9 -3.1 NaN NaN NaN NaN NaN WHEAT 9.7 9.0 -13.9 1.8 -0.2 -1.4 3.0 -1.1 3.7 -14.0 -11.9 -10.6 -13.0 -0.8 -9.8 -10.7 -6.5 -9.4 -8.0 -5.8 -12.1 -18.0 -10.7 -6.1 4.3 11.9 -0.8 -15.3 -2.4 -8.6 -0.4 -1.7 -20.0 -20.0 -3.0 -3.5 -12.5 End of report for caleb_strategy_v1