******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230227_205020 produced at 2023-02-27 21:36:05.134954 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.39 0.0 41089751.09 -41089751.09 -0.41 -0.41 -9.52 999999999.0 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.23 -0.25 0.0 7933816.04 -7933816.04 -0.23 -0.23 -31.10 999999999.0 -29 -29 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.20 0.0 43969489.35 -43969489.35 -0.04 -0.04 -4.49 999999999.0 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.18 0.0 46953446.71 -46953446.71 -0.23 -0.23 -3.87 999999999.0 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.12 0.0 46582646.13 -46582646.13 -0.09 -0.14 -2.62 999999999.0 -2 -3 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.12 0.0 14351079.64 -14351079.64 -0.07 -0.07 -8.15 999999999.0 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.09 0.0 37439340.01 -37439340.01 -0.22 -0.22 -2.35 999999999.0 -6 -6 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.08 0.0 50262970.53 -50262970.53 0.00 0.00 -1.69 999999999.0 0 0 caleb_strategy_v1 JPY False False 0.03 -0.23 -0.06 0.0 32266233.05 -32266233.05 -0.23 -0.23 -1.99 999999999.0 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.04 -0.19 -0.06 0.0 37238032.60 -37238032.60 -0.19 -0.19 -1.60 999999999.0 -5 -5 caleb_strategy_v1 US10 False False 0.04 0.00 -0.05 0.0 39169925.58 -39169925.58 0.00 0.00 -1.39 999999999.0 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.03 -0.05 0.0 6403923.55 -6403923.55 -0.03 -0.04 -8.25 999999999.0 -5 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.04 0.0 22583291.42 -22583291.42 -0.11 -0.11 -1.88 999999999.0 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9668021.85 -9668021.85 -0.02 -0.02 -3.29 999999999.0 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.03 0.0 37530039.15 -37530039.15 -0.04 -0.04 -0.82 999999999.0 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.01 0.0 18156064.09 -18156064.09 0.00 0.00 -0.82 999999999.0 0 0 caleb_strategy_v1 US30 False False 0.05 -0.05 -0.01 0.0 47414204.83 -47414204.83 -0.05 -0.09 -0.12 999999999.0 -1 -2 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9910248.98 -9910248.98 -0.01 -0.01 -0.81 999999999.0 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 0.00 -0.00 0.00 0.00 -0.45 0.0 0 0 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 49972509.45 -49972509.45 0.00 0.00 -0.19 999999999.0 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.03 -0.00 0.0 13063589.80 -13063589.80 -0.03 -0.04 -0.27 999999999.0 -2 -3 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 16513571.09 -16513571.09 0.00 0.00 0.21 999999999.0 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14239620.05 -14239620.05 0.00 0.00 0.11 999999999.0 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 0.00 0.0 5773255.39 -5773255.39 0.00 0.00 0.59 999999999.0 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 817779.84 -817779.84 -0.01 -0.01 -4.37 999999999.0 -8 -8 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12642149.70 -12642149.70 0.00 0.00 0.38 999999999.0 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.01 0.0 7498509.32 -7498509.32 0.01 0.01 1.98 999999999.0 2 2 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.01 0.0 4246493.88 -4246493.88 0.00 0.00 3.16 999999999.0 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23661026.60 -23661026.60 0.00 0.00 0.43 999999999.0 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.01 0.0 0.00 -0.00 0.00 0.00 0.62 0.0 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 0.00 -0.00 0.00 0.00 0.37 0.0 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.01 0.0 70013293.67 -70013293.67 0.00 0.00 0.19 999999999.0 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 28505569.14 -28505569.14 0.00 0.00 0.52 999999999.0 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 10092796.96 -10092796.96 0.06 0.06 2.40 999999999.0 6 6 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 39617826.36 -39617826.36 0.00 0.00 0.39 999999999.0 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21638956.67 -21638956.67 0.00 0.00 0.91 999999999.0 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 0.00 -0.00 0.00 0.00 2.52 0.0 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 35250190.41 -35250190.41 0.00 0.00 0.62 999999999.0 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3330798.52 -3330798.52 0.00 0.00 10.09 999999999.0 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15744179.89 -15744179.89 0.00 0.00 2.10 999999999.0 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26456292.54 -26456292.54 0.16 0.16 1.16 999999999.0 6 6 caleb_strategy_v1 CAC False False 0.03 0.03 0.04 0.0 27040767.71 -27040767.71 0.03 0.00 1.63 999999999.0 1 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.04 0.0 25853357.63 -25853357.63 0.00 0.00 1.56 999999999.0 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.08 0.04 0.0 84783004.97 -84783004.97 0.08 0.08 0.42 999999999.0 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.05 0.0 5707126.45 -5707126.45 0.00 0.00 7.89 999999999.0 0 0 caleb_strategy_v1 SP400 False False 0.09 0.46 0.05 0.0 91537280.22 -91537280.22 0.46 0.55 0.55 999999999.0 5 6 caleb_strategy_v1 BTP False False 0.04 0.04 0.05 0.0 41845107.02 -41845107.02 0.04 0.04 1.08 999999999.0 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.05 0.0 25851602.36 -25851602.36 0.13 0.13 2.04 999999999.0 5 5 caleb_strategy_v1 MXP False False 0.01 0.03 0.05 0.0 9522334.52 -9522334.52 0.03 0.03 4.74 999999999.0 3 3 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.06 0.0 24086679.35 -24086679.35 0.02 0.02 2.37 999999999.0 1 1 caleb_strategy_v1 OAT False False 0.05 0.09 0.06 0.0 47469349.89 -47469349.89 0.09 0.09 1.24 999999999.0 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.07 0.0 16527613.24 -16527613.24 0.10 0.10 4.11 999999999.0 6 6 caleb_strategy_v1 BOBL False False 0.04 0.04 0.09 0.0 42725745.05 -42725745.05 0.04 0.00 2.17 999999999.0 1 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.30 999999999.0 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.24 0.0 49408233.62 -49408233.62 0.10 0.10 4.93 999999999.0 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.44 0.0 0.00 0.00 0.00 0.00 61.49 999999999.0 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 17.5 Shocked risk 55.7 Sum abs risk 50.7 Leverage 3.59 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2848566.17, 'annual_cash_vol_target': 712141.5425, 'daily_cash_vol_target': 44508.84640625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6740 0.7594 12.1510 BITCOIN 742.8412 23295.0000 3.1888 51.0215 BOBL 0.3266 115.4700 0.2829 4.5258 BTP 0.8989 113.0900 0.7949 12.7178 BUND 0.7233 133.5300 0.5417 8.6668 BUXL 1.7360 135.8400 1.2780 20.4479 CAC 61.9732 7308.0000 0.8480 13.5683 CAD 0.0032 0.7365 0.4331 6.9295 CANOLA 6.3636 823.5000 0.7728 12.3641 CHF 0.0054 1.0700 0.5065 8.1039 COCOA 30.4262 2754.0000 1.1048 17.6768 COFFEE 3.6486 187.0000 1.9511 31.2181 COPPER 0.0548 4.0165 1.3639 21.8217 CORN 4.6240 575.0000 0.8042 12.8667 COTTON2 1.4085 84.8600 1.6597 26.5559 CRUDE_W 1.2234 73.6400 1.6613 26.5809 DAX 124.4448 15424.0000 0.8068 12.9092 DOW 239.7875 32891.0000 0.7290 11.6646 EUR 0.0052 1.0616 0.4924 7.8787 EUROSTX 37.7624 4255.0000 0.8875 14.1997 FEEDCOW 1.0534 212.1500 0.4965 7.9446 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.7213 812.0000 2.0593 32.9483 GASOILINE 0.0481 2.5454 1.8903 30.2446 GAS_US 0.1477 2.8230 5.2332 83.7319 GBP 0.0078 1.2058 0.6481 10.3696 GOLD_micro 14.3615 1824.2000 0.7873 12.5964 HEATOIL 0.0527 2.6870 1.9618 31.3889 JPY 0.0001 0.0074 0.7603 12.1644 LEANHOG 1.2765 102.2000 1.2490 19.9842 LIVECOW 0.7923 160.8250 0.4927 7.8828 MXP 0.0003 0.0542 0.6390 10.2243 NASDAQ 144.6854 12075.5000 1.1982 19.1708 NIKKEI 201.6008 27515.0000 0.7327 11.7231 NZD 0.0043 0.6164 0.6981 11.1702 OAT 0.7622 128.2900 0.5941 9.5056 OJ 4.0432 253.1500 1.5972 25.5547 PALLAD 36.3378 1423.5000 2.5527 40.8433 PLAT 18.2625 940.8000 1.9412 31.0587 REDWHEAT 12.6656 811.2500 1.5612 24.9800 ROBUSTA 28.9472 2136.0000 1.3552 21.6833 RUSSELL 20.0646 1897.6000 1.0574 16.9179 SILVER-mini 0.3462 20.6875 1.6735 26.7768 SOYBEAN 9.2030 1372.2500 0.6706 10.7304 SOYMEAL 4.8604 470.8000 1.0324 16.5178 SOYOIL 0.7955 60.0200 1.3254 21.2057 SP400 22.8697 2607.5000 0.8771 14.0332 SP500 33.4588 3988.7500 0.8388 13.4213 SUGAR11 0.3223 20.2700 1.5900 25.4405 US10 0.4562 111.5781 0.4089 6.5422 US10U 0.6178 117.0469 0.5278 8.4456 US20 0.8808 125.2500 0.7032 11.2518 US30 1.4018 135.0625 1.0379 16.6061 US5 0.3059 106.6484 0.2868 4.5895 VIX 0.5394 22.6000 2.3868 38.1891 WHEAT 10.4862 744.2500 1.4090 22.5434 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.00 0.76 511.86 1.00 511.86 44508.85 86.95 3.13 27.21 BITCOIN 23.30 3.19 74.28 1.00 74.28 44508.85 599.17 -3.10 -185.53 BOBL 1154.70 0.28 326.62 1.06 346.02 44508.85 128.63 2.34 30.06 BTP 1130.90 0.79 898.91 1.06 952.31 44508.85 46.74 11.42 53.39 BUND 1335.30 0.54 723.30 1.06 766.27 44508.85 58.09 11.77 68.37 BUXL 1358.40 1.28 1736.03 1.06 1839.15 44508.85 24.20 -8.30 -20.10 CAC 730.80 0.85 619.73 1.06 656.54 44508.85 67.79 8.55 57.99 CAD 736.45 0.43 318.95 1.00 318.95 44508.85 139.55 6.25 87.22 CANOLA 164.70 0.77 127.27 0.74 93.90 44508.85 473.99 7.27 344.52 CHF 1337.50 0.51 677.44 1.00 677.44 44508.85 65.70 -15.76 -103.52 COCOA 275.40 1.10 304.26 1.00 304.26 44508.85 146.28 -10.33 -151.17 COFFEE 701.25 1.95 1368.23 1.00 1368.23 44508.85 32.53 8.85 28.80 COPPER 1004.12 1.36 1369.48 1.00 1369.48 44508.85 32.50 7.03 22.84 CORN 287.50 0.80 231.20 1.00 231.20 44508.85 192.51 13.82 266.13 COTTON2 424.30 1.66 704.23 1.00 704.23 44508.85 63.20 6.48 40.97 CRUDE_W 736.40 1.66 1223.39 1.00 1223.39 44508.85 36.38 4.24 15.44 DAX 154.24 0.81 124.44 1.06 131.84 44508.85 337.61 4.30 145.26 DOW 164.46 0.73 119.89 1.00 119.89 44508.85 371.24 0.56 20.78 EUR 1326.94 0.49 653.41 1.00 653.41 44508.85 68.12 -10.28 -70.05 EUROSTX 425.50 0.89 377.62 1.06 400.05 44508.85 111.26 6.71 74.64 FEEDCOW 1060.75 0.50 526.70 1.00 526.70 44508.85 84.51 -7.04 -59.51 FTSE100 707.00 0.82 576.59 1.20 666.67 44508.85 66.76 7.70 51.39 GASOIL 812.00 2.06 1672.13 1.00 1672.13 44508.85 26.62 2.76 7.36 GASOILINE 1069.07 1.89 2020.85 1.00 2020.85 44508.85 22.02 -9.04 -19.90 GAS_US 282.30 5.23 1477.35 1.00 1477.35 44508.85 30.13 -17.77 -53.54 GBP 753.62 0.65 488.42 1.00 488.42 44508.85 91.13 7.10 64.71 GOLD_micro 182.42 0.79 143.61 1.00 143.61 44508.85 309.92 -11.90 -368.81 HEATOIL 1128.54 1.96 2213.98 1.00 2213.98 44508.85 20.10 2.72 5.47 JPY 919.12 0.76 698.79 1.00 698.79 44508.85 63.69 -4.82 -30.73 LEANHOG 408.80 1.25 510.60 1.00 510.60 44508.85 87.17 -20.00 -174.34 LIVECOW 643.30 0.49 316.94 1.00 316.94 44508.85 140.43 -4.99 -70.14 MXP 271.25 0.64 173.33 1.00 173.33 44508.85 256.78 15.07 386.94 NASDAQ 2415.10 1.20 2893.71 1.00 2893.71 44508.85 15.38 4.99 7.68 NIKKEI 27515.00 0.73 20160.08 0.01 149.71 44508.85 297.29 10.89 323.73 NZD 616.40 0.70 430.33 1.00 430.33 44508.85 103.43 5.53 57.18 OAT 1282.90 0.59 762.17 1.06 807.44 44508.85 55.12 11.18 61.64 OJ 379.72 1.60 606.49 1.00 606.49 44508.85 73.39 -3.52 -25.85 PALLAD 1423.50 2.55 3633.78 1.00 3633.78 44508.85 12.25 -6.44 -7.89 PLAT 470.40 1.94 913.12 1.00 913.12 44508.85 48.74 1.81 8.83 REDWHEAT 405.62 1.56 633.28 1.00 633.28 44508.85 70.28 3.05 21.41 ROBUSTA 213.60 1.36 289.47 1.00 289.47 44508.85 153.76 9.91 152.43 RUSSELL 94.88 1.06 100.32 1.00 100.32 44508.85 443.66 4.39 194.75 SILVER-mini 517.19 1.67 865.54 1.00 865.54 44508.85 51.42 -7.14 -36.71 SOYBEAN 686.12 0.67 460.15 1.00 460.15 44508.85 96.73 4.16 40.22 SOYMEAL 470.80 1.03 486.04 1.00 486.04 44508.85 91.58 7.61 69.67 SOYOIL 360.12 1.33 477.29 1.00 477.29 44508.85 93.25 4.49 41.86 SP400 2607.50 0.88 2286.97 1.00 2286.97 44508.85 19.46 5.44 10.58 SP500 1994.38 0.84 1672.94 1.00 1672.94 44508.85 26.61 2.53 6.73 SUGAR11 227.02 1.59 360.97 1.00 360.97 44508.85 123.30 15.05 185.57 US10 1115.78 0.41 456.23 1.00 456.23 44508.85 97.56 -3.72 -36.30 US10U 1170.47 0.53 617.83 1.00 617.83 44508.85 72.04 -9.07 -65.34 US20 1252.50 0.70 880.81 1.00 880.81 44508.85 50.53 -12.04 -60.85 US30 1350.62 1.04 1401.79 1.00 1401.79 44508.85 31.75 -0.43 -1.38 US5 1066.48 0.29 305.92 1.00 305.92 44508.85 145.49 -4.22 -61.38 VIX 226.00 2.39 539.42 1.00 539.42 44508.85 82.51 -20.00 -165.02 WHEAT 372.12 1.41 524.31 1.00 524.31 44508.85 84.89 -6.05 -51.33 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 27.208 0.006 2.5 0.435 BITCOIN -185.531 0.009 2.5 -4.371 BOBL 30.063 0.029 2.5 2.169 BTP 53.386 0.008 2.5 1.078 BUND 68.368 0.029 2.5 4.933 BUXL -20.097 0.034 2.5 -1.687 CAC 57.988 0.011 2.5 1.630 CAD 87.219 0.007 2.5 1.557 CANOLA 344.522 0.004 2.5 3.163 CHF -103.519 0.015 2.5 -3.874 COCOA -151.171 0.009 2.5 -3.293 COFFEE 28.800 0.005 2.5 0.373 COPPER 22.836 0.011 2.5 0.624 CORN 266.131 0.004 2.5 2.401 COTTON2 40.974 0.006 2.5 0.617 CRUDE_W 15.435 0.053 2.5 2.039 DAX 145.261 0.022 2.5 7.889 DOW 20.780 0.011 2.5 0.592 EUR -70.051 0.015 2.5 -2.622 EUROSTX 74.641 0.011 2.5 2.098 FEEDCOW -59.512 0.011 2.5 -1.599 FTSE100 51.392 0.041 2.5 5.298 GASOIL 7.358 0.029 2.5 0.525 GASOILINE -19.902 0.016 2.5 -0.817 GAS_US -53.536 0.006 2.5 -0.806 GBP 64.709 0.007 2.5 1.155 GOLD_micro -368.813 0.009 2.5 -8.252 HEATOIL 5.469 0.029 2.5 0.390 JPY -30.729 0.026 2.5 -1.989 LEANHOG -174.341 0.019 2.5 -8.145 LIVECOW -70.139 0.011 2.5 -1.885 MXP 386.943 0.005 2.5 4.737 NASDAQ 7.676 0.022 2.5 0.417 NIKKEI 323.729 0.076 2.5 61.487 NZD 57.178 0.006 2.5 0.914 OAT 61.641 0.008 2.5 1.245 OJ -25.845 0.007 2.5 -0.451 PALLAD -7.891 0.010 2.5 -0.190 PLAT 8.830 0.010 2.5 0.212 REDWHEAT 21.414 0.002 2.5 0.114 ROBUSTA 152.429 0.005 2.5 1.976 RUSSELL 194.745 0.021 2.5 10.087 SILVER-mini -36.711 0.009 2.5 -0.821 SOYBEAN 40.222 0.024 2.5 2.372 SOYMEAL 69.672 0.024 2.5 4.108 SOYOIL 41.863 0.004 2.5 0.384 SP400 10.580 0.021 2.5 0.548 SP500 6.730 0.011 2.5 0.192 SUGAR11 185.573 0.005 2.5 2.518 US10 -36.304 0.015 2.5 -1.393 US10U -65.341 0.058 2.5 -9.520 US20 -60.853 0.029 2.5 -4.485 US30 -1.376 0.034 2.5 -0.115 US5 -61.379 0.015 2.5 -2.355 VIX -165.024 0.075 2.5 -31.099 WHEAT -51.330 0.002 2.5 -0.274 ==================== Position diags ==================== AUD 1.39 BITCOIN 14.12 BOBL 9.28 BTP 0.94 BUND 4.19 BUXL 2.03 CAC 1.91 CAD 2.49 CANOLA 4.35 CHF 2.46 COCOA 3.19 COFFEE 0.42 COPPER 0.89 CORN 1.74 COTTON2 0.95 CRUDE_W 4.81 DAX 18.33 DOW 10.58 EUR 2.55 EUROSTX 3.13 FEEDCOW 2.27 FTSE100 6.88 GASOIL 1.90 GASOILINE 0.90 GAS_US 0.45 GBP 1.63 GOLD_micro 6.93 HEATOIL 1.43 JPY 4.12 LEANHOG 4.07 LIVECOW 3.77 MXP 3.14 NASDAQ 0.84 NIKKEI 56.47 NZD 1.65 OAT 1.11 OJ 1.28 PALLAD 0.29 PLAT 1.17 REDWHEAT 0.38 ROBUSTA 1.99 RUSSELL 22.98 SILVER-mini 1.15 SOYBEAN 5.70 SOYMEAL 5.40 SOYOIL 0.86 SP400 1.01 SP500 0.76 SUGAR11 1.67 US10 3.74 US10U 10.50 US20 3.72 US30 2.67 US5 5.58 VIX 15.55 WHEAT 0.45 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.6 0.0 0 BITCOIN -4.4 -5.8 -3.0 -8.0 -8 BOBL 2.2 1.2 3.1 1.0 1 BTP 1.1 1.0 1.2 1.0 1 BUND 4.9 4.5 5.4 2.0 2 BUXL -1.7 -1.9 -1.5 0.0 0 CAC 1.6 1.4 1.8 1.0 1 CAD 1.6 1.3 1.8 0.0 0 CANOLA 3.2 2.7 3.6 NaN 0 CHF -3.9 -4.1 -3.6 -5.0 -5 COCOA -3.3 -3.6 -3.0 -2.0 -2 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.6 0.5 0.7 0.0 0 CORN 2.4 2.2 2.6 6.0 6 COTTON2 0.6 0.5 0.7 NaN 0 CRUDE_W 2.0 1.6 2.5 5.0 5 DAX 7.9 6.1 9.7 0.0 0 DOW 0.6 -0.5 1.7 0.0 0 EUR -2.6 -2.9 -2.4 -2.0 -2 EUROSTX 2.1 1.8 2.4 0.0 0 FEEDCOW -1.6 -1.8 -1.4 -5.0 -5 FTSE100 5.3 4.6 6.0 0.0 0 GASOIL 0.5 0.3 0.7 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 -8.3 -8.9 -7.6 -5.0 -5 HEATOIL 0.4 0.2 0.5 0.0 0 JPY -2.0 -2.4 -1.6 -7.0 -7 LEANHOG -8.1 -8.6 -7.7 -5.0 -5 LIVECOW -1.9 -2.3 -1.5 -5.0 -5 MXP 4.7 4.4 5.1 3.0 3 NASDAQ 0.4 0.3 0.5 1.0 1 NIKKEI 61.5 55.8 67.1 0.0 0 NZD 0.9 0.7 1.1 0.0 0 OAT 1.2 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 0.2 0.1 0.3 NaN 0 REDWHEAT 0.1 0.1 0.2 0.0 0 ROBUSTA 2.0 1.8 2.2 2.0 2 RUSSELL 10.1 7.8 12.4 0.0 0 SILVER-mini -0.8 -0.9 -0.7 0.0 0 SOYBEAN 2.4 1.8 2.9 1.0 1 SOYMEAL 4.1 3.6 4.6 6.0 6 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.5 0.4 0.6 5.0 5 SP500 0.2 0.1 0.3 0.0 0 SUGAR11 2.5 2.4 2.7 0.0 0 US10 -1.4 -1.8 -1.0 NaN 0 US10U -9.5 -10.6 -8.5 -10.0 -10 US20 -4.5 -4.9 -4.1 -1.0 -1 US30 -0.1 -0.4 0.2 -1.0 -1 US5 -2.4 -2.9 -1.8 -6.0 -6 VIX -31.1 -32.7 -29.5 -29.0 -29 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 0.0 -0.2 -0.0 -0.1 -0.1 0.2 -0.1 -0.1 -0.0 0.2 -0.3 -0.1 -0.1 -0.1 -0.0 0.0 -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 -0.1 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 1.8 -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 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.0 -0.2 -1.0 0.2 -0.2 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 1.7 2.4 -0.1 -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 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 0.0 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 -0.2 0.0 0.0 -0.0 -0.0 -0.1 -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 -0.2 -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 0.2 0.0 -0.1 BUXL -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 0.2 0.0 0.1 0.1 -0.2 -0.2 -0.0 -0.3 -0.0 0.3 -2.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.0 0.1 -0.1 -0.1 CAC -0.1 0.3 0.3 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.4 0.0 0.2 0.1 0.4 -0.3 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 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.2 2.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 -0.1 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 0.9 0.4 0.1 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.6 2.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.2 -0.3 CHF -0.2 -0.1 0.3 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.1 -0.0 0.2 -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 0.0 -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 -2.8 -2.2 0.1 0.0 0.1 0.0 0.0 0.0 -2.5 0.2 0.3 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 -0.1 0.0 -0.2 0.1 0.2 0.2 0.1 0.0 0.1 0.1 -0.0 0.0 -0.1 0.0 1.7 2.2 0.0 0.0 -0.0 0.0 -0.0 0.0 -1.2 0.1 0.4 0.2 0.0 COPPER -0.2 0.1 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 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0.1 -0.0 -1.3 -0.0 -0.1 0.2 0.3 GAS_US 0.1 -0.3 -0.3 -0.0 0.0 -0.0 -0.0 0.1 -0.0 0.0 -0.4 0.0 -0.3 -0.1 -0.4 -1.1 -0.2 -0.1 -0.1 -0.2 -0.2 -0.0 -0.2 -0.0 0.0 -1.8 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -2.7 0.3 0.2 -0.3 -0.2 GBP -0.2 -0.0 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 -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 -0.1 0.1 -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 -1.9 0.0 0.0 0.0 0.1 HEATOIL -0.2 -0.0 -0.2 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.0 -0.2 -0.0 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 0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.1 -0.2 -0.1 0.1 -1.0 -0.5 -0.3 -0.3 -0.0 0.0 -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 0.0 -0.0 0.0 -0.0 -0.2 0.0 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-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 -0.2 -0.0 -0.2 -0.0 0.5 2.6 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 2.7 0.0 0.2 0.0 -0.1 OJ 0.0 -0.1 0.1 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.6 0.4 0.4 0.1 0.1 0.0 0.1 0.0 -5.1 -3.7 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 -0.4 -0.2 -0.1 -0.0 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 3.3 -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 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.2 0.0 -0.1 0.7 0.1 0.2 0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.0 -0.2 -0.2 -0.0 -0.1 ROBUSTA 0.1 0.3 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.5 0.4 0.2 0.2 0.2 0.1 0.0 0.0 0.0 -1.2 2.1 0.1 0.0 0.0 0.0 0.0 0.0 0.3 0.0 0.4 0.3 0.2 RUSSELL -0.1 0.3 0.2 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -0.2 0.0 0.2 -0.4 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 0.0 -0.5 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 -0.3 0.3 -0.0 -0.0 0.0 -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 0.0 -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 -0.1 -0.3 -0.1 SOYBEAN 0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.2 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 -2.1 -2.5 0.0 -0.0 0.0 -0.0 0.1 -0.0 2.7 -0.0 0.0 -0.1 0.1 SOYMEAL 0.0 0.2 0.3 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.3 0.0 0.3 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -2.8 -2.5 0.1 -0.0 0.1 0.0 0.1 0.0 2.5 -0.1 0.1 0.2 0.3 SOYOIL 0.1 -0.1 -0.3 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 0.0 0.1 -0.0 -0.3 0.2 0.6 0.1 0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.2 2.7 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.3 -0.3 -0.3 SP400 -0.1 0.3 0.3 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.0 0.3 -0.0 -0.0 0.0 0.2 -0.3 -0.1 -0.1 -0.1 0.2 0.2 -0.0 0.1 0.0 -1.4 2.4 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.3 0.1 0.0 SP500 -0.1 0.2 0.1 0.1 -0.0 0.1 -0.1 0.0 0.0 -0.1 0.1 -0.0 -0.2 0.0 0.2 -0.6 -0.2 -0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 0.3 2.0 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.3 -0.1 0.2 -0.1 -0.1 SUGAR11 -0.0 0.1 0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 0.0 0.3 0.0 0.2 0.0 0.3 1.6 0.8 0.4 0.4 0.1 0.1 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 0.1 0.2 0.3 US10 -0.2 -0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.6 -0.1 -0.2 -0.1 -0.2 -0.1 -0.0 -0.2 -0.0 0.1 2.3 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.3 0.0 -0.0 -0.1 0.0 US10U -0.2 -0.0 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.0 0.0 0.1 0.0 0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.4 -2.9 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.4 0.0 0.0 -0.0 0.1 US20 -0.2 -0.0 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.5 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.1 -2.7 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.8 0.0 0.0 -0.1 0.1 US30 -0.2 0.0 0.3 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.5 2.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 0.1 0.1 -0.0 0.1 US5 -0.2 -0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 -0.9 -0.1 -0.2 -0.2 -0.2 -0.1 -0.0 -0.3 -0.0 0.5 2.4 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -1.4 0.0 -0.0 -0.1 -0.0 VIX 0.2 -0.4 -1.3 -0.1 -0.0 -0.2 -0.0 -0.1 -0.0 0.0 -0.5 0.0 -0.5 -0.0 -0.4 -3.0 -1.6 -0.8 -0.8 -0.2 -0.3 0.0 -0.3 -0.0 NaN -3.1 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 NaN NaN NaN NaN NaN WHEAT 0.1 0.1 -0.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.2 -0.9 -0.3 -0.2 -0.2 -0.1 -0.2 -0.0 -0.1 -0.0 0.8 2.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.1 -0.1 -0.1 -0.2 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Unweighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -20.0 3.8 14.5 0.7 -6.5 1.7 -6.7 -1.3 -3.7 -13.2 6.5 -15.2 -2.9 -8.5 6.3 -3.5 -2.6 -3.4 -3.1 -0.0 3.7 -20.0 -2.3 -12.4 4.0 11.7 -0.3 -8.7 1.1 -8.6 -1.3 -5.3 -0.6 -7.6 -8.7 0.9 -3.0 BITCOIN -4.9 20.0 16.0 -0.9 -4.9 1.4 -6.0 1.4 -4.6 -3.2 7.1 3.1 -13.3 12.4 13.0 -3.7 -1.1 -1.8 -1.0 15.5 5.7 0.8 -12.1 11.1 8.3 -18.1 4.6 -2.6 2.3 0.3 -0.9 3.3 2.1 20.0 20.0 20.0 -7.4 BOBL -19.3 0.7 -3.1 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -13.3 -13.9 -15.1 -14.2 -12.9 -11.1 -12.5 5.1 -7.2 -0.4 -16.8 -19.9 -19.8 -20.0 -19.3 11.6 10.8 -4.6 -7.1 -6.1 -7.3 -10.8 -6.3 4.8 -3.3 6.0 -3.7 -15.1 BTP -9.7 7.5 11.8 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -9.2 -0.9 -13.7 -10.0 -0.9 2.1 6.6 12.8 9.3 12.0 -1.2 -2.1 -9.2 -11.8 -6.6 -7.6 11.4 1.5 -2.7 0.1 -3.7 -6.9 -1.5 20.0 6.9 20.0 14.2 7.4 BUND -17.5 1.7 1.1 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -12.9 -12.5 -14.9 -13.5 -10.6 -8.3 10.1 14.8 11.4 13.0 -13.7 -16.4 -16.2 -20.0 -16.3 6.7 12.3 -3.6 -6.2 -5.2 -6.5 -10.5 -5.5 20.0 1.6 9.1 1.3 -8.1 BUXL -16.1 -4.9 -0.2 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -12.1 -11.2 -14.6 -13.0 -11.5 -10.6 1.9 0.2 2.8 2.6 -15.4 -16.8 -15.4 -20.0 -16.9 2.4 -10.8 -4.3 -5.9 -4.8 -5.9 -8.2 -5.7 1.7 1.9 5.5 -5.5 -6.7 CAC -4.8 17.5 20.0 3.4 -3.0 3.0 -2.4 0.8 0.6 -0.3 15.6 6.4 9.5 13.8 15.2 -3.9 1.1 -3.2 -1.6 20.0 20.0 5.9 16.3 16.2 -15.5 8.9 6.0 -0.7 5.7 1.4 3.8 4.3 6.1 18.7 20.0 15.1 14.5 CAD -12.6 4.3 1.6 0.7 -6.5 1.7 -6.7 -1.3 -3.7 -11.9 -5.6 -13.9 -8.7 -3.4 -0.2 -2.2 -1.4 -2.0 -1.8 -3.1 -4.8 -16.0 -10.2 -9.8 15.6 10.4 -1.5 -8.0 -2.1 -9.1 -5.3 -5.5 1.5 -6.0 5.2 2.0 -16.1 CANOLA 2.4 -11.3 -7.8 1.8 -2.2 -1.3 1.5 -1.1 3.2 -3.1 -5.4 0.6 -8.9 -4.3 -6.8 11.9 10.7 7.6 7.5 -8.0 -11.3 -0.7 -5.3 -3.6 2.8 11.5 -4.8 -3.4 -4.3 -4.5 -1.0 -4.6 0.4 -11.9 -7.6 -20.0 -18.9 CHF -15.5 -3.3 14.7 0.7 -6.5 1.7 -6.7 -1.3 -3.7 -9.9 10.9 -13.9 2.6 -10.9 8.8 -15.3 -13.4 -14.7 -14.3 0.3 6.6 -17.7 2.4 -10.7 -5.9 -11.5 0.3 -9.1 2.7 -9.1 -0.4 -5.3 -19.5 -3.8 6.5 -5.1 2.2 COCOA 9.3 7.5 19.3 1.8 -2.2 -1.3 1.5 -1.1 3.2 7.9 12.2 12.0 -0.6 11.8 13.3 -0.0 -2.7 -1.2 -1.5 15.1 12.3 14.3 4.7 16.4 -18.4 -10.4 5.9 1.6 4.9 5.4 2.3 6.3 -18.2 20.0 13.1 16.4 20.0 COFFEE 20.0 20.0 -1.0 1.8 -2.2 -1.3 1.5 -1.1 3.2 4.2 -6.6 9.6 -8.5 13.8 9.4 2.6 3.0 1.7 2.8 11.4 -4.2 16.3 -9.8 20.0 10.9 10.0 3.7 0.1 -0.7 3.6 -2.3 5.5 -9.1 16.2 20.0 16.2 3.1 COPPER -20.0 7.2 20.0 -0.9 -4.9 1.4 -6.0 1.4 -4.6 -8.7 8.7 -8.1 -2.6 3.7 9.3 -0.6 -0.4 -0.9 -0.7 8.8 11.2 -8.8 2.9 -1.4 -2.5 11.1 1.4 -6.4 3.5 -6.5 1.8 -3.6 2.6 2.7 10.2 14.4 10.3 CORN -1.5 -4.5 -19.1 1.8 -2.2 -1.3 1.5 -1.1 3.2 -13.7 3.9 -10.5 1.5 -11.2 -12.4 20.0 19.7 20.0 20.0 -8.1 -5.1 -20.0 5.1 -11.5 0.3 11.0 -5.5 -12.3 -4.2 -10.4 0.4 -6.8 20.0 -20.0 -16.4 -20.0 -20.0 COTTON2 -8.5 4.6 -2.4 1.8 -2.2 -1.3 1.5 -1.1 3.2 6.3 -8.6 -3.6 -9.6 -4.4 3.3 -4.3 11.5 -1.6 3.8 -4.0 -9.2 -0.6 -10.1 -4.6 2.9 12.0 -1.4 6.2 -1.2 -0.6 1.3 -3.1 -0.4 -5.6 -17.7 -6.1 7.9 CRUDE_W -4.7 1.3 -3.8 -2.6 2.0 -1.9 -1.7 2.5 -3.0 -6.1 -0.4 -4.0 1.3 -5.0 -3.4 7.8 11.9 8.3 9.5 -2.8 -1.4 -8.0 3.4 -6.1 -11.4 10.8 -1.1 -3.8 0.9 -5.4 5.4 -4.0 -0.2 -10.8 -0.0 3.6 8.9 DAX -6.5 16.8 20.0 3.4 -3.0 3.0 -2.4 0.8 0.6 -2.9 15.3 3.6 4.1 13.8 15.4 -10.1 -5.0 -9.0 -7.3 20.0 20.0 0.2 11.8 10.4 -14.2 9.9 5.7 -1.3 6.1 -0.1 3.0 2.8 -3.9 6.3 16.9 10.6 16.7 DOW -14.1 -2.8 9.5 3.4 -3.0 3.0 -2.4 0.8 0.6 -12.8 9.9 -13.6 1.9 -8.8 0.2 -8.0 -4.1 -7.1 -6.0 -1.3 5.5 -20.0 3.8 -13.1 -2.7 10.8 2.4 -5.4 3.9 -4.8 2.5 -1.5 -2.3 -9.3 0.5 -16.3 -6.4 EUR -20.0 -1.9 20.0 0.7 -6.5 1.7 -6.7 -1.3 -3.7 -8.8 10.1 -14.4 -2.8 -10.2 8.0 -8.5 -8.7 -8.4 -8.6 1.9 9.1 -16.4 -1.6 -12.0 -2.2 -11.1 1.0 -4.2 3.1 -6.1 -1.3 -4.1 -10.6 5.7 -3.5 -0.3 7.2 EUROSTX -6.0 17.1 20.0 3.4 -3.0 3.0 -2.4 0.8 0.6 -2.8 15.5 2.6 8.5 13.4 15.3 12.3 6.4 10.2 7.8 20.0 20.0 1.5 15.2 11.6 -17.0 -8.5 5.9 -1.1 6.5 0.2 4.1 3.1 18.0 8.8 16.6 8.5 15.5 FEEDCOW 13.0 5.4 8.7 1.8 -2.2 -1.3 1.5 -1.1 3.2 13.9 4.4 15.1 1.8 14.2 13.4 -20.0 -20.0 -20.0 -20.0 11.1 6.3 20.0 2.1 15.9 -13.1 12.2 5.9 7.4 4.3 7.7 2.1 6.8 -20.0 19.9 18.2 14.1 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 -13.7 -3.3 -20.0 -2.6 2.0 -1.9 -1.7 2.5 -3.0 -0.3 -7.6 -9.3 8.2 -11.0 -7.2 19.8 20.0 20.0 20.0 -9.4 -4.4 -6.3 8.5 -10.9 -1.7 -15.4 -4.7 2.0 -3.4 -2.2 1.7 -4.3 20.0 0.7 -13.5 -6.0 -13.1 GASOILINE -7.3 10.2 -4.5 -2.6 2.0 -1.9 -1.7 2.5 -3.0 -5.7 -2.2 -4.7 3.3 -0.5 5.7 3.8 9.8 -7.5 -1.2 2.2 2.6 -7.0 7.1 -3.0 -13.6 -13.1 2.2 -2.0 3.8 -3.5 6.6 -1.5 -9.5 -11.6 -3.3 17.2 18.4 GAS_US 10.9 -20.0 -20.0 -2.6 2.0 -1.9 -1.7 2.5 -3.0 10.7 -16.2 0.9 -11.2 -12.2 -16.0 -13.3 -4.0 -3.2 -2.7 -20.0 -20.0 -0.5 -20.0 -17.8 0.2 -9.3 -5.5 4.2 -5.6 1.8 -1.3 -2.0 -20.0 19.0 8.2 -20.0 -16.4 GBP -17.7 -2.0 13.1 0.7 -6.5 1.7 -6.7 -1.3 -3.7 -4.9 10.1 -12.1 -2.8 -8.9 7.3 -2.6 -1.9 -2.4 -2.2 -1.0 2.6 -7.5 -4.9 -7.8 13.8 9.4 -1.8 -1.2 -1.6 -4.0 -6.3 -4.4 0.6 15.2 -2.5 -6.3 -8.6 GOLD_micro -20.0 -1.7 20.0 -0.9 -4.9 1.4 -6.0 1.4 -4.6 -11.4 6.8 -15.4 -2.7 -12.4 4.6 -12.6 -10.1 -12.2 -11.5 -1.2 7.8 -20.0 3.3 -17.6 5.4 -13.8 -0.6 -3.3 2.0 -6.0 1.1 -5.2 -14.8 3.6 2.0 0.6 6.5 HEATOIL -12.3 -2.4 -13.5 -2.6 2.0 -1.9 -1.7 2.5 -3.0 -5.1 -6.2 -11.1 7.6 -12.4 -4.8 20.0 20.0 20.0 20.0 -8.2 -3.3 -8.6 8.8 -10.7 -13.1 -13.6 -2.8 -0.8 0.1 -4.6 7.1 -4.9 20.0 -6.0 -12.0 0.7 -0.9 JPY -20.0 -1.9 20.0 0.7 -6.5 1.7 -6.7 -1.3 -3.7 -13.1 6.6 -15.5 -7.1 -14.0 5.1 -13.8 -11.6 -13.0 -12.7 -3.3 2.8 -20.0 -8.0 -17.3 4.4 9.9 -1.1 -6.6 0.6 -7.5 -4.3 -5.8 -16.6 -7.2 -7.1 -15.4 5.4 LEANHOG 5.2 -14.7 -13.0 1.8 -2.2 -1.3 1.5 -1.1 3.2 -10.1 -7.8 1.9 -5.3 -9.8 -10.7 -20.0 -17.8 -20.0 -20.0 -11.0 -10.1 -2.9 -3.7 -5.7 2.8 -11.1 -5.6 -5.2 -4.7 -4.8 -2.1 -4.9 -20.0 -17.6 -20.0 -20.0 -17.7 LIVECOW 11.0 8.6 12.7 1.8 -2.2 -1.3 1.5 -1.1 3.2 7.2 14.7 13.7 6.5 15.0 15.1 -1.5 -20.0 -20.0 -20.0 15.8 13.5 9.8 7.9 14.7 -20.0 12.0 6.2 0.1 5.8 2.5 4.3 4.9 -20.0 0.7 14.6 18.6 20.0 MXP 5.4 11.1 8.0 0.7 -6.5 1.7 -6.7 -1.3 -3.7 12.4 16.1 15.1 15.8 15.9 16.0 20.0 20.0 20.0 20.0 20.0 20.0 14.9 20.0 20.0 -20.0 9.7 6.3 2.1 6.6 4.0 5.7 5.3 20.0 20.0 20.0 20.0 9.9 NASDAQ -1.8 20.0 8.3 3.4 -3.0 3.0 -2.4 0.8 0.6 -11.8 -2.9 -9.8 -10.8 7.9 9.2 -6.8 -4.5 -6.2 -5.6 10.2 3.0 -10.8 -8.3 2.7 5.2 10.2 4.6 -1.9 2.6 -0.7 -0.4 2.7 -2.2 0.5 18.8 9.1 -0.1 NIKKEI 2.5 14.9 -3.5 3.4 -3.0 3.0 -2.4 0.8 0.6 1.8 0.4 -4.0 1.8 10.4 4.3 20.0 15.3 20.0 19.0 5.7 2.3 -0.2 0.5 4.4 12.1 -9.4 1.7 2.5 -0.3 -0.3 -1.6 1.2 20.0 1.9 6.0 -10.2 -20.0 NZD -20.0 -5.0 18.1 0.7 -6.5 1.7 -6.7 -1.3 -3.7 -13.9 9.6 -15.6 -1.8 -13.8 6.0 -0.0 0.4 0.1 0.1 -3.2 4.1 -19.4 -1.9 -15.6 0.2 10.8 -1.2 -6.4 1.3 -7.3 -0.9 -5.7 4.5 -5.6 -12.1 -8.6 1.6 OAT -17.4 0.9 2.8 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -13.0 -10.8 -15.0 -12.9 -10.1 -7.5 8.5 12.2 10.4 11.8 -11.9 -12.6 -16.0 -19.6 -15.7 3.4 12.7 -2.9 -5.4 -4.1 -6.0 -9.6 -4.9 20.0 1.8 9.9 2.5 -4.9 OJ 10.9 -2.8 2.0 1.8 -2.2 -1.3 1.5 -1.1 3.2 13.5 15.1 12.8 15.2 11.8 12.9 20.0 16.9 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 5.9 5.2 5.2 5.9 4.8 6.4 18.1 20.0 20.0 20.0 20.0 PALLAD -13.0 -18.1 -20.0 -0.9 -4.9 1.4 -6.0 1.4 -4.6 -11.2 -15.2 -13.9 -13.0 -14.8 -15.6 -3.1 -1.9 -2.8 -2.4 -20.0 -20.0 -20.0 -18.0 -20.0 17.9 -11.1 -6.0 -4.9 -4.4 -7.5 -2.9 -7.5 0.0 -13.5 2.1 -20.0 -20.0 PLAT -20.0 -20.0 3.7 -0.9 -4.9 1.4 -6.0 1.4 -4.6 2.2 3.9 -10.3 0.8 -13.4 -8.6 -2.5 -1.1 -2.0 -1.4 -11.2 -0.9 -10.7 1.9 -16.5 -1.0 11.2 -3.7 -2.9 -0.1 -6.1 0.5 -6.8 1.6 -1.4 1.5 -20.0 -11.6 REDWHEAT 4.7 10.6 -10.9 1.8 -2.2 -1.3 1.5 -1.1 3.2 -13.7 -9.0 -10.1 -9.2 3.4 -5.3 8.9 2.9 7.3 5.4 -2.2 -7.0 -18.5 -5.3 -4.7 -0.3 12.9 -0.7 -15.8 -1.2 -10.3 1.3 -3.2 -7.5 -20.0 -8.5 -2.7 -8.6 ROBUSTA 12.1 20.0 12.2 1.8 -2.2 -1.3 1.5 -1.1 3.2 3.1 -0.0 8.1 -2.3 13.4 11.9 7.0 9.3 9.9 10.1 19.2 8.3 17.4 1.7 20.0 -7.0 9.6 4.7 2.0 1.6 5.0 0.1 6.0 2.1 20.0 20.0 20.0 14.9 RUSSELL -8.2 17.8 8.8 3.4 -3.0 3.0 -2.4 0.8 0.6 -11.6 3.7 -12.6 -7.5 4.8 7.7 -6.2 -3.7 -5.7 -5.0 9.0 6.8 -10.2 -1.9 0.2 -4.0 10.0 5.0 -0.1 3.8 1.1 1.2 3.4 -1.0 13.0 18.9 6.6 -3.7 SILVER-mini -20.0 -16.9 15.0 -0.9 -4.9 1.4 -6.0 1.4 -4.6 -14.0 6.7 -15.7 -1.2 -15.6 -1.8 -5.3 -4.2 -5.3 -4.9 -10.6 2.1 -20.0 1.5 -20.0 6.2 -11.3 -3.2 -7.7 0.1 -8.8 -0.3 -7.5 -4.2 -12.6 -4.0 -20.0 -3.8 SOYBEAN 9.8 -6.5 -1.1 1.8 -2.2 -1.3 1.5 -1.1 3.2 -12.1 6.5 1.8 4.2 3.1 0.5 20.0 20.0 20.0 20.0 1.1 1.0 -0.5 5.7 3.1 -14.0 -11.7 0.8 -10.8 2.9 -5.5 7.9 -0.9 20.0 -16.3 1.1 -7.0 4.6 SOYMEAL 1.4 11.6 20.0 1.8 -2.2 -1.3 1.5 -1.1 3.2 6.7 14.5 8.1 13.7 12.2 15.0 20.0 18.2 20.0 20.0 20.0 20.0 6.9 20.0 13.1 -20.0 -12.0 5.8 -0.1 7.9 0.1 8.0 2.4 18.3 -11.5 4.6 13.5 20.0 SOYOIL 4.9 -8.2 -19.1 1.8 -2.2 -1.3 1.5 -1.1 3.2 -10.2 -2.5 1.4 2.7 -4.5 -11.3 2.9 15.6 5.5 10.4 -7.5 -6.6 -3.8 2.4 -3.2 -8.6 12.9 -4.7 -7.9 -2.8 -5.0 2.3 -4.1 8.5 -8.8 -14.5 -18.9 -17.8 SP400 -7.9 18.4 14.8 3.4 -3.0 3.0 -2.4 0.8 0.6 -12.7 10.1 -12.8 -0.1 5.7 9.2 -6.2 -3.4 -5.2 -4.3 13.1 13.3 -11.4 5.5 1.2 -8.5 10.2 5.3 -0.5 4.7 0.5 2.7 3.2 -0.0 9.6 18.7 6.0 1.8 SP500 -8.9 13.2 7.6 3.4 -3.0 3.0 -2.4 0.8 0.6 -12.5 2.0 -12.9 -6.4 3.8 8.2 -7.8 -4.9 -6.9 -6.0 5.5 4.1 -17.1 -3.1 -5.1 2.3 10.2 4.0 -3.5 2.9 -2.9 -0.2 0.9 -2.8 -6.5 8.4 -4.1 -4.2 SUGAR11 -4.3 5.5 9.8 1.8 -2.2 -1.3 1.5 -1.1 3.2 5.5 11.8 4.2 9.0 11.3 12.2 20.0 20.0 20.0 20.0 13.0 12.6 6.5 9.2 9.8 -20.0 10.7 5.9 1.3 6.7 1.5 5.4 3.4 20.0 5.7 6.8 14.6 20.0 US10 -20.0 -4.1 12.8 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -11.0 -7.8 -14.8 -11.6 -14.0 -3.0 -7.9 -3.0 -8.1 -6.8 -13.7 -10.7 -20.0 -19.2 -20.0 0.8 9.7 -3.0 -2.1 -2.5 -5.0 -6.0 -5.7 -9.1 10.1 -1.6 -9.0 1.7 US10U -20.0 -2.7 12.3 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -11.3 -7.2 -14.6 -11.5 -13.1 -0.5 0.2 3.2 0.5 1.0 -11.7 -9.9 -20.0 -18.8 -20.0 -2.6 -14.1 -1.9 -1.7 -1.5 -4.5 -5.4 -5.0 2.9 12.5 2.5 -3.4 5.5 US20 -20.0 -1.3 13.4 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -12.2 -4.9 -14.7 -10.3 -12.2 3.0 -6.3 -1.6 -6.5 -4.5 -10.4 -8.7 -20.0 -17.9 -20.0 -0.5 -12.3 -2.4 -2.9 -2.1 -5.3 -5.6 -5.5 -5.6 9.4 2.2 -7.4 5.8 US30 -20.0 1.3 16.9 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -10.7 -3.9 -13.8 -11.5 -10.6 2.7 -1.6 -0.5 -1.7 -1.4 -7.6 -7.7 -17.9 -19.0 -16.5 -4.3 10.0 -1.0 -2.4 -0.9 -4.8 -5.4 -4.6 -2.3 10.6 6.3 -1.3 8.4 US5 -20.0 -6.0 13.4 -2.1 -4.2 -2.0 -5.8 -5.1 -4.8 -10.4 -8.5 -15.0 -12.1 -14.8 -5.2 -10.5 -3.1 -9.4 -7.6 -16.1 -12.4 -20.0 -20.0 -20.0 3.3 10.8 -3.6 -2.7 -2.9 -5.6 -6.3 -6.2 -9.9 6.2 -7.0 -14.0 -0.6 VIX 20.0 -7.3 -20.0 -4.8 -2.0 -5.4 -1.8 -4.3 -2.7 1.9 -14.5 6.2 -13.9 -6.9 -12.4 -19.5 -20.0 -20.0 -20.0 -16.2 -20.0 3.9 -19.1 -3.2 NaN -13.5 -6.0 -1.6 -7.3 -2.0 -6.0 -3.2 NaN NaN NaN NaN NaN WHEAT 5.5 8.0 -14.5 1.8 -2.2 -1.3 1.5 -1.1 3.2 -14.1 -12.1 -12.5 -13.1 -3.9 -10.5 -10.9 -6.6 -9.6 -8.1 -7.8 -13.2 -20.0 -11.4 -10.4 5.4 11.9 -1.6 -15.3 -2.5 -10.4 -0.5 -3.7 -20.0 -20.0 -6.6 -6.9 -13.3 End of report for caleb_strategy_v1