******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230301_204942 produced at 2023-03-01 21:35:54.563074 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.42 0.0 40746551.26 -40746551.26 -0.41 -0.41 -10.40 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.22 -0.25 0.0 7841892.32 -7841892.32 -0.22 -0.22 -32.17 999999999 -28 -28 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.21 0.0 43443295.76 -43443295.76 -0.04 -0.04 -4.75 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.20 0.0 46596244.09 -46596244.09 -0.23 -0.23 -4.25 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.12 0.0 46670637.04 -46670637.04 -0.09 -0.09 -2.62 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.12 0.0 14146913.78 -14146913.78 -0.07 -0.07 -8.51 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.10 0.0 37218356.12 -37218356.12 -0.22 -0.22 -2.82 999999999 -6 -6 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.09 0.0 49290723.30 -49290723.30 0.00 0.00 -1.87 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.23 -0.07 0.0 32194643.86 -32194643.86 -0.23 -0.23 -2.25 999999999 -7 -7 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 38870317.26 -38870317.26 0.00 0.00 -1.68 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.19 -0.06 0.0 37213980.07 -37213980.07 -0.19 -0.19 -1.51 999999999 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 -0.05 -0.05 0.0 6459408.71 -6459408.71 -0.05 -0.05 -8.43 999999999 -7 -7 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.03 0.0 22489426.90 -22489426.90 -0.11 -0.11 -1.17 999999999 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9987910.17 -9987910.17 -0.02 -0.02 -3.02 999999999 -2 -2 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.03 0.0 38635042.98 -38635042.98 -0.04 -0.04 -0.71 999999999 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 18751399.88 -18751399.88 0.00 0.00 -0.89 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 -0.09 -0.01 0.0 47031661.66 -47031661.66 -0.09 -0.14 -0.22 999999999 -2 -3 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 10299485.36 -10299485.36 -0.01 -0.01 -0.82 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 50149601.55 -50149601.55 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 12792086.85 -12792086.85 0.00 0.00 -0.43 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12716468.60 -12716468.60 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 822523.48 -822523.48 -0.01 -0.01 -4.90 999999999 -8 -8 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14182797.44 -14182797.44 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 0.00 -0.00 0.0 5709877.84 -5709877.84 0.00 -0.09 -0.46 999999999 0 -15 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 13058151.05 -13058151.05 -0.04 -0.04 -0.33 999999999 -3 -3 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 16832061.73 -16832061.73 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23649956.95 -23649956.95 0.00 0.00 0.41 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.01 0.0 14994118.22 -14994118.22 0.00 0.00 0.64 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 24149264.93 -24149264.93 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.01 0.0 69216077.46 -69216077.46 0.00 0.00 0.12 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 9964279.47 -9964279.47 0.06 0.06 2.37 999999999 6 6 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 40531800.69 -40531800.69 0.00 0.00 0.52 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 7596833.18 -7596833.18 0.02 0.02 2.00 999999999 2 2 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 36478802.66 -36478802.66 0.00 0.00 0.66 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4209039.78 -4209039.78 0.00 0.00 4.01 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21887281.60 -21887281.60 0.00 0.00 0.91 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 29319575.08 -29319575.08 0.00 0.00 0.79 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 8069307.20 -8069307.20 0.00 0.00 2.49 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26300096.45 -26300096.45 0.16 0.16 1.21 999999999 6 6 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15673959.85 -15673959.85 0.00 0.00 2.12 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3318100.69 -3318100.69 0.00 0.00 9.73 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.08 0.03 0.0 83792719.94 -83792719.94 0.08 0.08 0.35 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 41425893.41 -41425893.41 0.04 0.04 1.01 999999999 1 1 caleb_strategy_v1 DAX False False 0.01 0.00 0.04 0.0 5690304.68 -5690304.68 0.00 0.03 7.33 999999999 0 5 caleb_strategy_v1 CAD False False 0.03 0.00 0.04 0.0 25731209.17 -25731209.17 0.00 0.00 1.44 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.00 0.04 0.0 26908635.41 -26908635.41 0.00 0.03 1.59 999999999 0 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.04 0.0 23783864.26 -23783864.26 0.02 0.02 1.56 999999999 1 1 caleb_strategy_v1 MXP False False 0.01 0.03 0.05 0.0 9630824.00 -9630824.00 0.03 0.03 4.75 999999999 3 3 caleb_strategy_v1 SP400 False False 0.09 0.55 0.05 0.0 91109485.54 -91109485.54 0.55 0.55 0.51 999999999 6 6 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.05 0.0 16142395.31 -16142395.31 0.10 0.10 3.09 999999999 6 6 caleb_strategy_v1 OAT False False 0.05 0.09 0.06 0.0 47025592.88 -47025592.88 0.09 0.09 1.19 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.06 0.0 26364862.08 -26364862.08 0.13 0.13 2.36 999999999 5 5 caleb_strategy_v1 BOBL False False 0.04 0.00 0.07 0.0 42554745.29 -42554745.29 0.00 0.00 1.62 999999999 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.31 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.23 0.0 48967663.72 -48967663.72 0.10 0.10 4.76 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.47 0.0 0.00 0.00 0.00 0.00 66.86 999999999 0 0 Risk overlay Config {'max_risk_fraction_normal_risk': 1.4, 'max_risk_fraction_stdev_risk': 3.6, 'max_risk_leverage': 13.0, 'max_risk_limit_sum_abs_risk': 3.4} Percentage vol target 25.0 Normal risk 17.6 Shocked risk 56.8 Sum abs risk 51.0 Leverage 3.64 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2856453.4, 'annual_cash_vol_target': 714113.35, 'daily_cash_vol_target': 44632.084375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6756 0.7320 11.7122 BITCOIN 717.1237 23495.0000 3.0522 48.8358 BOBL 0.3276 114.6000 0.2859 4.5739 BTP 0.8873 111.5600 0.7954 12.7260 BUND 0.7159 131.8700 0.5429 8.6863 BUXL 1.6868 132.7400 1.2708 20.3324 CAC 60.1821 7246.5000 0.8305 13.2880 CAD 0.0031 0.7350 0.4249 6.7992 CANOLA 6.1649 818.1000 0.7536 12.0570 CHF 0.0053 1.0648 0.4964 7.9432 COCOA 32.2955 2853.0000 1.1320 18.1118 COFFEE 3.5302 183.9500 1.9191 30.7055 COPPER 0.0569 4.1680 1.3661 21.8578 CORN 4.5790 569.2500 0.8044 12.8702 COTTON2 1.3926 85.6600 1.6257 26.0111 CRUDE_W 1.1963 75.3100 1.5885 25.4164 DAX 120.9849 15324.0000 0.7895 12.6322 DOW 235.9395 32620.0000 0.7233 11.5728 EUR 0.0053 1.0665 0.4987 7.9796 EUROSTX 36.8743 4221.0000 0.8736 13.9775 FEEDCOW 1.0410 212.6000 0.4897 7.8348 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.3866 837.5000 1.9566 31.3057 GASOILINE 0.0475 2.6276 1.8074 28.9185 GAS_US 0.1420 2.9420 4.8269 77.2312 GBP 0.0076 1.2020 0.6290 10.0636 GOLD_micro 14.1527 1845.1000 0.7670 12.2727 HEATOIL 0.0517 2.7566 1.8748 29.9964 JPY 0.0001 0.0074 0.7305 11.6888 LEANHOG 1.2246 101.0250 1.2122 19.3945 LIVECOW 0.7894 160.6000 0.4915 7.8641 MXP 0.0004 0.0550 0.6366 10.1860 NASDAQ 139.1984 11967.5000 1.1631 18.6102 NIKKEI 197.8678 27460.0000 0.7206 11.5291 NZD 0.0044 0.6252 0.7072 11.3160 OAT 0.7515 126.6400 0.5934 9.4949 OJ 4.4719 243.6000 1.8357 29.3719 PALLAD 34.9529 1432.5000 2.4400 39.0399 PLAT 17.8628 961.6000 1.8576 29.7219 REDWHEAT 12.1395 810.2500 1.4982 23.9719 ROBUSTA 28.1987 2170.0000 1.2995 20.7917 RUSSELL 19.2343 1895.6000 1.0147 16.2349 SILVER-mini 0.3453 21.4250 1.6117 25.7875 SOYBEAN 10.5771 1358.7500 0.7784 12.4550 SOYMEAL 5.3316 461.1000 1.1563 18.5006 SOYOIL 0.7792 60.5400 1.2870 20.5926 SP400 21.9511 2602.5000 0.8435 13.4954 SP500 32.3142 3954.2500 0.8172 13.0752 SUGAR11 0.3270 20.5800 1.5891 25.4264 US10 0.4455 111.0312 0.4012 6.4194 US10U 0.6049 116.3906 0.5197 8.3148 US20 0.8629 124.0938 0.6954 11.1259 US30 1.3534 134.3438 1.0075 16.1192 US5 0.2962 106.3125 0.2787 4.4585 VIX 0.5228 22.4000 2.3341 37.3456 WHEAT 10.1329 746.0000 1.3583 21.7328 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 675.55 0.73 494.51 1.00 494.51 44632.08 90.25 2.81 25.36 BITCOIN 23.50 3.05 71.71 1.00 71.71 44632.08 622.38 -3.34 -207.93 BOBL 1146.00 0.29 327.60 1.06 346.87 44632.08 128.67 1.74 22.43 BTP 1115.60 0.80 887.32 1.06 939.50 44632.08 47.51 10.56 50.18 BUND 1318.70 0.54 715.91 1.06 758.01 44632.08 58.88 11.21 65.99 BUXL 1327.40 1.27 1686.83 1.06 1786.02 44632.08 24.99 -8.93 -22.31 CAC 724.65 0.83 601.82 1.06 637.21 44632.08 70.04 8.09 56.68 CAD 735.00 0.42 312.34 1.00 312.34 44632.08 142.90 5.64 80.66 CANOLA 163.62 0.75 123.30 0.74 90.77 44632.08 491.69 8.90 437.38 CHF 1331.00 0.50 660.77 1.00 660.77 44632.08 67.55 -16.80 -113.46 COCOA 285.30 1.13 322.96 1.00 322.96 44632.08 138.20 -10.02 -138.43 COFFEE 689.81 1.92 1323.82 1.00 1323.82 44632.08 33.71 8.51 28.69 COPPER 1042.00 1.37 1423.49 1.00 1423.49 44632.08 31.35 7.66 24.03 CORN 284.62 0.80 228.95 1.00 228.95 44632.08 194.94 13.45 262.24 COTTON2 428.30 1.63 696.28 1.00 696.28 44632.08 64.10 6.61 42.36 CRUDE_W 753.10 1.59 1196.32 1.00 1196.32 44632.08 37.31 4.79 17.86 DAX 153.24 0.79 120.98 1.06 128.10 44632.08 348.42 3.87 135.01 DOW 163.10 0.72 117.97 1.00 117.97 44632.08 378.33 -0.42 -15.97 EUR 1333.12 0.50 664.86 1.00 664.86 44632.08 67.13 -10.42 -69.92 EUROSTX 422.10 0.87 368.74 1.06 390.43 44632.08 114.32 6.60 75.46 FEEDCOW 1063.00 0.49 520.52 1.00 520.52 44632.08 85.74 -6.55 -56.19 FTSE100 707.00 0.82 576.59 1.20 666.67 44632.08 66.95 7.70 51.53 GASOIL 837.50 1.96 1638.66 1.00 1638.66 44632.08 27.24 4.07 11.09 GASOILINE 1103.59 1.81 1994.64 1.00 1994.64 44632.08 22.38 -7.72 -17.28 GAS_US 294.20 4.83 1420.09 1.00 1420.09 44632.08 31.43 -17.24 -54.20 GBP 751.25 0.63 472.52 1.00 472.52 44632.08 94.46 7.19 67.95 GOLD_micro 184.51 0.77 141.53 1.00 141.53 44632.08 315.36 -11.94 -376.64 HEATOIL 1157.77 1.87 2170.56 1.00 2170.56 44632.08 20.56 3.54 7.28 JPY 919.62 0.73 671.83 1.00 671.83 44632.08 66.43 -5.24 -34.80 LEANHOG 404.10 1.21 489.83 1.00 489.83 44632.08 91.12 -20.00 -182.23 LIVECOW 642.40 0.49 315.74 1.00 315.74 44632.08 141.36 -3.09 -43.62 MXP 275.10 0.64 175.14 1.00 175.14 44632.08 254.84 15.21 387.61 NASDAQ 2393.50 1.16 2783.97 1.00 2783.97 44632.08 16.03 4.06 6.51 NIKKEI 27460.00 0.72 19786.78 0.01 145.07 44632.08 307.65 11.44 352.01 NZD 625.20 0.71 442.17 1.00 442.17 44632.08 100.94 5.64 56.89 OAT 1266.40 0.59 751.53 1.06 795.72 44632.08 56.09 10.54 59.12 OJ 365.40 1.84 670.78 1.00 670.78 44632.08 66.54 -3.68 -24.48 PALLAD 1432.50 2.44 3495.29 1.00 3495.29 44632.08 12.77 -6.36 -8.12 PLAT 480.80 1.86 893.14 1.00 893.14 44632.08 49.97 2.20 10.97 REDWHEAT 405.12 1.50 606.97 1.00 606.97 44632.08 73.53 1.88 13.83 ROBUSTA 217.00 1.30 281.99 1.00 281.99 44632.08 158.28 9.76 154.41 RUSSELL 94.78 1.01 96.17 1.00 96.17 44632.08 464.09 4.05 187.84 SILVER-mini 535.62 1.61 863.28 1.00 863.28 44632.08 51.70 -7.74 -40.00 SOYBEAN 679.38 0.78 528.85 1.00 528.85 44632.08 84.39 3.14 26.49 SOYMEAL 461.10 1.16 533.16 1.00 533.16 44632.08 83.71 6.26 52.44 SOYOIL 363.24 1.29 467.50 1.00 467.50 44632.08 95.47 4.09 39.05 SP400 2602.50 0.84 2195.11 1.00 2195.11 44632.08 20.33 4.81 9.79 SP500 1977.12 0.82 1615.71 1.00 1615.71 44632.08 27.62 1.55 4.29 SUGAR11 230.50 1.59 366.29 1.00 366.29 44632.08 121.85 15.04 183.30 US10 1110.31 0.40 445.47 1.00 445.47 44632.08 100.19 -4.37 -43.82 US10U 1163.91 0.52 604.85 1.00 604.85 44632.08 73.79 -9.67 -71.39 US20 1240.94 0.70 862.91 1.00 862.91 44632.08 51.72 -12.46 -64.45 US30 1343.44 1.01 1353.45 1.00 1353.45 44632.08 32.98 -0.79 -2.59 US5 1063.12 0.28 296.25 1.00 296.25 44632.08 150.66 -4.87 -73.42 VIX 224.00 2.33 522.84 1.00 522.84 44632.08 85.36 -20.00 -170.73 WHEAT 373.00 1.36 506.64 1.00 506.64 44632.08 88.09 -6.92 -60.92 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 25.357 0.006 2.5 0.405 BITCOIN -207.926 0.009 2.5 -4.899 BOBL 22.427 0.029 2.5 1.618 BTP 50.182 0.008 2.5 1.013 BUND 65.991 0.029 2.5 4.762 BUXL -22.309 0.034 2.5 -1.873 CAC 56.682 0.011 2.5 1.593 CAD 80.656 0.007 2.5 1.440 CANOLA 437.384 0.004 2.5 4.015 CHF -113.457 0.015 2.5 -4.246 COCOA -138.427 0.009 2.5 -3.015 COFFEE 28.694 0.005 2.5 0.372 COPPER 24.029 0.011 2.5 0.657 CORN 262.240 0.004 2.5 2.365 COTTON2 42.356 0.006 2.5 0.638 CRUDE_W 17.859 0.053 2.5 2.359 DAX 135.005 0.022 2.5 7.332 DOW -15.968 0.011 2.5 -0.455 EUR -69.925 0.015 2.5 -2.617 EUROSTX 75.463 0.011 2.5 2.121 FEEDCOW -56.187 0.011 2.5 -1.510 FTSE100 51.534 0.041 2.5 5.313 GASOIL 11.085 0.029 2.5 0.791 GASOILINE -17.281 0.016 2.5 -0.710 GAS_US -54.196 0.006 2.5 -0.816 GBP 67.945 0.007 2.5 1.213 GOLD_micro -376.639 0.009 2.5 -8.427 HEATOIL 7.280 0.029 2.5 0.519 JPY -34.796 0.026 2.5 -2.252 LEANHOG -182.235 0.019 2.5 -8.514 LIVECOW -43.621 0.011 2.5 -1.172 MXP 387.613 0.005 2.5 4.745 NASDAQ 6.506 0.022 2.5 0.353 NIKKEI 352.008 0.076 2.5 66.858 NZD 56.885 0.006 2.5 0.909 OAT 59.120 0.008 2.5 1.194 OJ -24.477 0.007 2.5 -0.427 PALLAD -8.121 0.010 2.5 -0.195 PLAT 10.972 0.010 2.5 0.264 REDWHEAT 13.833 0.002 2.5 0.074 ROBUSTA 154.407 0.005 2.5 2.002 RUSSELL 187.838 0.021 2.5 9.729 SILVER-mini -39.995 0.009 2.5 -0.895 SOYBEAN 26.490 0.024 2.5 1.562 SOYMEAL 52.441 0.024 2.5 3.092 SOYOIL 39.050 0.004 2.5 0.358 SP400 9.787 0.021 2.5 0.507 SP500 4.292 0.011 2.5 0.122 SUGAR11 183.304 0.005 2.5 2.487 US10 -43.822 0.015 2.5 -1.681 US10U -71.390 0.058 2.5 -10.402 US20 -64.445 0.029 2.5 -4.750 US30 -2.593 0.034 2.5 -0.218 US5 -73.416 0.015 2.5 -2.817 VIX -170.730 0.075 2.5 -32.174 WHEAT -60.925 0.002 2.5 -0.325 ==================== Position diags ==================== AUD 1.44 BITCOIN 14.66 BOBL 9.28 BTP 0.96 BUND 4.25 BUXL 2.10 CAC 1.97 CAD 2.55 CANOLA 4.51 CHF 2.53 COCOA 3.01 COFFEE 0.44 COPPER 0.86 CORN 1.76 COTTON2 0.97 CRUDE_W 4.93 DAX 18.92 DOW 10.78 EUR 2.51 EUROSTX 3.21 FEEDCOW 2.30 FTSE100 6.90 GASOIL 1.94 GASOILINE 0.92 GAS_US 0.47 GBP 1.69 GOLD_micro 7.06 HEATOIL 1.47 JPY 4.30 LEANHOG 4.26 LIVECOW 3.80 MXP 3.12 NASDAQ 0.87 NIKKEI 58.43 NZD 1.61 OAT 1.13 OJ 1.16 PALLAD 0.31 PLAT 1.20 REDWHEAT 0.39 ROBUSTA 2.05 RUSSELL 24.04 SILVER-mini 1.16 SOYBEAN 4.98 SOYMEAL 4.94 SOYOIL 0.88 SP400 1.05 SP500 0.79 SUGAR11 1.65 US10 3.84 US10U 10.75 US20 3.81 US30 2.77 US5 5.78 VIX 16.09 WHEAT 0.47 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.5 0.0 0 BITCOIN -4.9 -6.4 -3.4 -8.0 -8 BOBL 1.6 0.7 2.5 0.0 0 BTP 1.0 0.9 1.1 1.0 1 BUND 4.8 4.3 5.2 2.0 2 BUXL -1.9 -2.1 -1.7 0.0 0 CAC 1.6 1.4 1.8 0.0 0 CAD 1.4 1.2 1.7 0.0 0 CANOLA 4.0 3.6 4.5 NaN 0 CHF -4.2 -4.5 -4.0 -5.0 -5 COCOA -3.0 -3.3 -2.7 -2.0 -2 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.7 0.6 0.7 0.0 0 CORN 2.4 2.2 2.5 6.0 6 COTTON2 0.6 0.5 0.7 NaN 0 CRUDE_W 2.4 1.9 2.9 5.0 5 DAX 7.3 5.4 9.2 0.0 0 DOW -0.5 -1.5 0.6 0.0 0 EUR -2.6 -2.9 -2.4 -2.0 -2 EUROSTX 2.1 1.8 2.4 0.0 0 FEEDCOW -1.5 -1.7 -1.3 -5.0 -5 FTSE100 5.3 4.6 6.0 0.0 0 GASOIL 0.8 0.6 1.0 0.0 0 GASOILINE -0.7 -0.8 -0.6 -1.0 -1 GAS_US -0.8 -0.9 -0.8 -1.0 -1 GBP 1.2 1.0 1.4 6.0 6 GOLD_micro -8.4 -9.1 -7.7 -7.0 -7 HEATOIL 0.5 0.4 0.7 0.0 0 JPY -2.3 -2.7 -1.8 -7.0 -7 LEANHOG -8.5 -8.9 -8.1 -5.0 -5 LIVECOW -1.2 -1.6 -0.8 -5.0 -5 MXP 4.7 4.4 5.1 3.0 3 NASDAQ 0.4 0.3 0.4 1.0 1 NIKKEI 66.9 61.0 72.7 0.0 0 NZD 0.9 0.7 1.1 0.0 0 OAT 1.2 1.1 1.3 2.0 2 OJ -0.4 -0.5 -0.3 NaN 0 PALLAD -0.2 -0.2 -0.2 NaN 0 PLAT 0.3 0.1 0.4 NaN 0 REDWHEAT 0.1 0.0 0.1 0.0 0 ROBUSTA 2.0 1.8 2.2 2.0 2 RUSSELL 9.7 7.3 12.1 0.0 0 SILVER-mini -0.9 -1.0 -0.8 0.0 0 SOYBEAN 1.6 1.1 2.1 1.0 1 SOYMEAL 3.1 2.6 3.6 6.0 6 SOYOIL 0.4 0.3 0.4 0.0 0 SP400 0.5 0.4 0.6 6.0 6 SP500 0.1 0.0 0.2 0.0 0 SUGAR11 2.5 2.3 2.7 0.0 0 US10 -1.7 -2.1 -1.3 NaN 0 US10U -10.4 -11.5 -9.3 -10.0 -10 US20 -4.7 -5.1 -4.4 -1.0 -1 US30 -0.2 -0.5 0.1 -2.0 -2 US5 -2.8 -3.4 -2.2 -6.0 -6 VIX -32.2 -33.8 -30.6 -28.0 -28 WHEAT -0.3 -0.4 -0.3 -3.0 -3 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 0.0 0.2 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.1 -0.0 0.1 -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 -0.0 0.0 -0.0 -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 1.7 -4.8 0.1 -0.0 0.0 -0.0 -0.0 0.0 0.2 0.0 0.4 0.3 -0.1 BOBL -0.2 -0.0 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.4 -0.1 -0.3 -1.0 0.2 -0.2 -0.0 -0.2 -0.2 -0.0 -0.2 -0.0 1.8 2.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.6 -0.0 0.1 -0.1 -0.2 BTP -0.1 0.1 0.2 -0.0 -0.1 -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 -1.0 2.2 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 2.7 0.0 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 -0.1 -0.4 -0.1 -0.2 0.8 0.6 0.2 0.3 -0.2 -0.2 -0.0 -0.3 -0.0 0.9 2.5 -0.1 -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 -0.1 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -0.3 -0.1 -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 -0.0 0.2 0.3 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.4 0.0 0.3 0.1 0.4 -0.3 0.0 -0.1 -0.0 0.2 0.3 0.0 0.2 0.0 -1.8 1.7 0.1 -0.0 0.1 0.0 0.1 0.0 0.8 0.2 0.4 0.2 0.2 CAD -0.2 0.0 0.0 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 -0.2 -0.1 -0.0 -0.0 -0.1 -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 1.4 0.4 0.2 0.2 -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 0.3 -0.0 -0.1 -0.2 -0.3 CHF -0.2 -0.1 0.2 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.1 0.1 -0.1 0.2 -1.1 -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 -0.1 -0.0 -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 0.1 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 -2.5 0.2 0.4 0.3 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 0.0 0.2 0.2 0.1 0.0 0.1 0.1 -0.0 0.0 -0.1 0.0 1.8 2.2 0.0 -0.0 -0.0 0.0 -0.0 0.0 -1.3 0.0 0.3 0.2 0.1 COPPER -0.2 0.1 0.3 -0.0 -0.0 0.0 -0.1 0.0 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EUR -0.2 -0.1 0.4 0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 0.2 -0.0 -0.1 -0.0 0.2 -0.6 -0.4 -0.2 -0.2 0.0 0.1 -0.0 -0.0 -0.0 -0.4 -2.3 0.0 0.0 0.0 -0.0 -0.0 -0.0 -1.2 0.1 -0.1 0.0 0.1 EUROSTX -0.1 0.2 0.3 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.0 0.4 -0.0 0.2 0.0 0.4 1.0 0.3 0.2 0.2 0.2 0.2 -0.0 0.2 0.0 -2.3 -1.8 0.1 -0.0 0.1 -0.0 0.1 0.0 2.5 0.0 0.3 0.1 0.2 FEEDCOW 0.1 0.1 0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 0.1 0.0 0.1 0.1 0.3 -1.6 -0.8 -0.4 -0.4 0.1 0.1 0.0 0.0 0.0 -2.2 2.7 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.4 0.2 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL -0.1 -0.1 -0.3 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.0 -0.2 0.0 0.2 -0.0 -0.2 1.7 0.9 0.4 0.4 -0.1 -0.1 0.0 0.1 -0.0 -0.2 -3.0 -0.1 0.0 -0.0 0.0 0.0 -0.0 2.7 0.0 -0.2 -0.0 -0.2 GASOILINE -0.1 0.1 -0.1 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.0 0.0 0.1 0.0 0.1 0.5 0.4 -0.1 -0.0 0.0 0.0 0.0 0.1 -0.0 -1.7 -2.6 0.0 0.0 0.0 0.0 0.1 -0.0 -1.2 -0.0 -0.1 0.2 0.3 GAS_US 0.2 -0.3 -0.3 -0.0 0.1 -0.0 0.0 0.1 -0.0 0.0 -0.4 0.0 -0.3 -0.0 -0.4 -1.2 -0.2 -0.1 -0.1 -0.2 -0.2 0.0 -0.2 -0.0 0.1 -1.8 -0.1 0.0 -0.1 0.0 -0.0 -0.0 -2.7 0.3 0.2 -0.2 -0.2 GBP -0.2 -0.1 0.2 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.2 -0.0 -0.1 -0.0 0.1 -0.2 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 1.9 2.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.1 0.0 -0.1 -0.1 GOLD_micro -0.2 -0.1 0.4 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.2 -0.0 -0.1 -0.1 0.1 -1.0 -0.4 -0.3 -0.2 -0.0 0.1 -0.0 0.0 -0.0 0.6 -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 -0.1 -0.1 -0.2 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.0 -0.2 -0.0 0.2 -0.0 -0.1 1.7 0.9 0.5 0.5 -0.1 -0.0 -0.0 0.1 -0.0 -1.2 -2.7 -0.0 0.0 -0.0 -0.0 0.1 -0.0 2.8 -0.0 -0.2 -0.0 -0.0 JPY -0.2 -0.1 0.3 0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.1 -0.2 -0.1 0.1 -1.0 -0.5 -0.3 -0.3 -0.1 0.0 -0.0 -0.1 -0.0 0.5 2.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -2.1 -0.0 -0.2 -0.2 0.1 LEANHOG 0.0 -0.2 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.1 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-0.1 -0.0 -0.3 -0.0 -0.3 -0.0 -0.2 0.7 0.5 0.2 0.3 -0.2 -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 -0.0 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 -3.7 0.0 0.0 0.0 0.0 0.0 0.0 2.6 0.0 0.5 0.3 0.3 PALLAD -0.2 -0.3 -0.3 -0.0 -0.0 0.0 -0.0 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 3.4 -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 0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 0.0 -0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 2.5 -0.0 0.0 -0.0 -0.0 0.0 -0.0 0.2 0.0 0.1 -0.3 -0.2 REDWHEAT -0.0 0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.2 -0.0 -0.2 0.7 0.1 0.2 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -1.1 -0.2 -0.3 -0.1 -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 -0.0 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 0.2 0.0 0.4 0.3 0.3 RUSSELL -0.2 0.3 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.2 0.0 0.2 -0.4 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.6 2.0 0.1 -0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.3 0.1 -0.0 SILVER-mini -0.2 -0.3 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.2 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 0.1 -0.0 0.1 -0.0 -0.0 1.6 0.8 0.4 0.4 -0.0 0.0 -0.0 0.1 -0.0 -2.0 -2.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 2.7 -0.0 -0.1 -0.2 0.0 SOYMEAL -0.0 0.1 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 2.4 -0.2 -0.0 0.1 0.3 SOYOIL 0.0 -0.1 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.3 0.2 0.6 0.1 0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.1 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 0.0 -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 0.1 0.2 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-0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.6 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 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.2 -0.8 -0.1 -0.2 -0.2 -0.2 -0.2 -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 -0.3 -1.3 -0.1 -0.0 -0.2 -0.0 -0.2 -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 -0.0 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 -0.3 -0.9 -0.3 -0.2 -0.2 -0.1 -0.2 -0.0 -0.2 -0.0 0.9 2.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.1 -0.3 -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 0.4 13.2 0.1 -3.1 1.4 -5.6 -1.4 -4.1 -10.8 6.1 -14.7 -3.0 -10.8 4.1 -3.5 -2.6 -3.4 -3.1 -2.1 2.7 -18.6 -2.6 -14.2 4.2 11.7 -1.1 -4.6 0.7 -7.3 -1.4 -5.7 -0.7 -7.2 -8.8 -0.9 -3.1 BITCOIN -6.2 20.0 16.7 -1.1 -0.0 1.2 -3.8 1.4 -4.2 -10.9 7.6 1.5 -13.1 11.6 12.8 -4.2 -1.2 -2.1 -1.2 14.9 6.0 -0.5 -12.0 9.2 8.0 -18.1 4.5 -1.4 2.5 -0.1 -0.8 2.8 2.0 5.9 20.0 20.0 -3.7 BOBL -20.0 -1.0 -5.4 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -14.0 -14.3 -15.6 -14.3 -14.2 -12.2 -12.5 4.7 -7.6 -0.9 -19.4 -20.0 -20.0 -20.0 -20.0 11.9 10.8 -4.9 -11.7 -5.5 -9.6 -9.2 -7.2 4.1 -11.6 4.9 -5.1 -15.7 BTP -12.0 5.1 10.2 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -13.4 -1.3 -14.9 -10.0 -5.6 0.7 6.7 12.7 9.2 11.8 -2.8 -2.8 -13.4 -12.0 -9.1 -8.2 11.4 0.6 -8.1 -0.1 -6.1 -6.9 -3.0 20.0 3.6 20.0 15.3 7.0 BUND -20.0 -0.5 -1.0 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -13.9 -12.9 -15.5 -13.7 -12.6 -9.9 10.1 14.8 11.4 13.0 -16.2 -17.6 -20.0 -20.0 -20.0 6.9 12.3 -4.2 -11.3 -4.9 -9.1 -9.1 -6.7 20.0 -5.5 9.4 0.1 -8.7 BUXL -18.4 -7.2 -2.7 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -13.9 -11.8 -15.4 -13.2 -13.3 -11.8 2.0 0.2 2.7 2.6 -18.1 -18.3 -20.0 -20.0 -20.0 2.8 -10.8 -4.7 -9.7 -4.7 -8.3 -7.4 -6.7 1.8 -4.1 5.9 -6.1 -7.6 CAC -3.7 15.1 20.0 3.0 -3.9 3.0 -3.3 0.9 -0.3 -4.8 15.5 3.3 9.7 12.6 14.8 -3.9 1.0 -3.3 -1.7 20.0 20.0 2.4 17.0 13.7 -15.9 8.9 5.9 -1.8 5.9 0.4 4.0 3.6 6.1 14.7 20.0 15.4 14.1 CAD -14.0 2.1 0.3 0.1 -3.1 1.4 -5.6 -1.4 -4.1 -11.9 -6.0 -14.3 -8.8 -7.4 -2.5 -2.3 -1.4 -2.1 -1.8 -5.0 -5.6 -16.3 -10.6 -12.0 15.8 10.4 -2.3 -6.4 -2.4 -8.6 -5.1 -6.2 1.5 -9.5 3.0 0.4 -16.4 CANOLA 0.4 -11.1 -8.1 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -12.4 -5.3 -7.5 -9.1 -4.9 -7.1 19.5 11.6 10.7 9.2 -8.5 -11.7 -4.4 -5.7 -5.2 2.7 11.5 -5.1 -4.3 -4.5 -5.0 -1.2 -5.2 2.1 -16.0 -12.4 -20.0 -20.0 CHF -17.2 -5.9 13.4 0.1 -3.1 1.4 -5.6 -1.4 -4.1 -13.6 10.2 -15.0 2.4 -12.8 6.4 -15.6 -13.5 -14.9 -14.4 -2.1 5.5 -19.7 2.1 -13.9 -5.6 -11.5 -0.9 -8.1 1.9 -9.2 -0.5 -6.2 -19.6 -10.0 -0.9 -6.4 1.9 COCOA 12.4 7.3 19.3 1.5 -2.6 -1.2 -0.3 -1.1 2.1 13.4 12.8 14.3 -0.0 13.6 14.0 0.1 -2.7 -1.0 -1.4 16.2 12.7 20.0 5.1 18.9 -18.9 -10.4 6.0 8.2 4.7 7.4 2.2 6.9 -18.4 20.0 20.0 18.6 20.0 COFFEE 18.1 20.0 0.4 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -3.3 -6.1 5.4 -8.3 12.8 9.7 3.0 3.1 1.9 2.8 11.6 -3.4 8.6 -9.6 17.4 11.0 10.0 3.6 -2.0 -0.5 1.5 -2.3 4.5 -9.4 1.7 13.1 16.2 6.0 COPPER -17.7 4.4 20.0 -1.1 -0.0 1.2 -3.8 1.4 -4.2 4.8 9.0 -0.4 -2.4 4.7 9.3 -0.5 -0.4 -0.9 -0.7 8.6 10.7 1.5 3.0 1.3 -3.5 11.1 1.3 3.1 3.5 -2.2 1.9 -2.5 2.7 7.3 15.5 16.0 10.2 CORN -7.8 -6.9 -19.2 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -14.0 3.5 -13.6 1.2 -13.1 -13.3 20.0 19.8 20.0 20.0 -11.4 -6.6 -20.0 4.4 -17.5 1.4 11.0 -5.6 -9.7 -4.0 -9.9 0.0 -7.5 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -6.3 5.4 -2.6 1.5 -2.6 -1.2 -0.3 -1.1 2.1 11.6 -8.5 0.7 -9.6 -2.4 3.1 -4.1 11.2 -1.7 3.5 -3.2 -8.9 3.4 -10.1 -2.0 2.9 12.0 -1.0 7.3 -1.1 2.1 1.3 -1.4 -1.2 5.5 -10.0 -3.7 7.5 CRUDE_W -3.0 0.5 -4.2 -2.1 6.8 -1.7 2.1 2.5 -1.2 4.3 -0.1 -0.6 1.2 -4.5 -3.3 8.0 11.9 8.4 9.5 -2.7 -1.5 -2.5 3.3 -4.5 -11.0 10.8 -1.0 3.2 0.8 -1.5 5.3 -2.7 -0.2 -10.4 -2.5 2.2 8.1 DAX -8.1 13.8 20.0 3.0 -3.9 3.0 -3.3 0.9 -0.3 -7.5 15.3 -2.0 4.4 12.6 14.9 -10.1 -5.1 -9.1 -7.4 20.0 20.0 -2.0 12.4 8.2 -14.6 9.9 5.5 -2.3 6.3 -0.9 3.2 2.2 -3.9 8.5 18.9 10.8 15.5 DOW -19.2 -6.0 7.5 3.0 -3.9 3.0 -3.3 0.9 -0.3 -13.9 9.4 -14.8 1.7 -11.4 -3.0 -8.1 -4.2 -7.2 -6.2 -4.3 4.1 -20.0 3.4 -16.9 -2.5 10.8 1.2 -7.9 3.4 -7.1 2.4 -3.5 -2.2 -6.6 -2.5 -14.9 -7.8 EUR -20.0 -5.6 20.0 0.1 -3.1 1.4 -5.6 -1.4 -4.1 0.9 9.8 -11.8 -2.7 -10.6 6.8 -8.6 -8.7 -8.5 -8.6 0.9 8.1 -9.9 -1.7 -10.6 -2.7 -11.1 0.6 0.7 2.9 -3.8 -1.4 -3.8 -10.6 9.7 -2.9 0.4 7.3 EUROSTX -6.7 14.2 20.0 3.0 -3.9 3.0 -3.3 0.9 -0.3 -6.6 15.5 -1.9 8.8 12.1 14.8 12.4 6.5 10.4 8.0 20.0 20.0 -0.7 15.8 9.5 -17.3 -8.5 5.7 -2.2 6.7 -0.6 4.4 2.5 18.5 8.7 19.0 9.1 14.5 FEEDCOW 14.5 8.2 9.4 1.5 -2.6 -1.2 -0.3 -1.1 2.1 12.0 5.4 14.5 2.3 14.8 13.9 -20.0 -20.0 -20.0 -20.0 13.6 7.6 20.0 2.7 19.4 -12.8 12.2 6.0 5.5 4.2 7.2 2.1 7.0 -20.0 20.0 20.0 15.1 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 -7.7 -4.3 -17.8 -2.1 6.8 -1.7 2.1 2.5 -1.2 12.4 -7.6 2.3 8.1 -9.2 -6.3 20.0 20.0 20.0 20.0 -8.1 -4.3 3.3 8.5 -6.2 -1.7 -15.4 -4.2 6.9 -3.4 1.8 1.7 -2.5 20.0 3.4 -10.0 -3.3 -13.5 GASOILINE -4.3 9.3 -3.6 -2.1 6.8 -1.7 2.1 2.5 -1.2 9.8 -1.5 2.3 3.3 0.6 6.0 6.2 10.0 -5.9 -0.5 2.7 2.8 1.1 7.2 -0.2 -13.5 -13.1 2.4 3.9 4.0 0.0 7.0 -0.3 -8.9 -7.4 -4.1 14.1 17.8 GAS_US 13.1 -20.0 -20.0 -2.1 6.8 -1.7 2.1 2.5 -1.2 13.7 -16.0 9.6 -11.4 -8.9 -15.5 -14.5 -4.4 -4.4 -3.4 -20.0 -20.0 6.8 -20.0 -12.1 0.9 -9.3 -4.9 5.1 -5.7 3.6 -1.4 -0.4 -20.0 17.1 9.2 -18.0 -15.6 GBP -13.9 -3.6 11.6 0.1 -3.1 1.4 -5.6 -1.4 -4.1 -0.6 10.0 -9.8 -2.7 -9.2 6.1 -2.6 -1.9 -2.4 -2.3 -1.4 2.2 -5.7 -5.1 -7.3 13.4 9.4 -2.0 -1.1 -1.8 -3.1 -6.5 -4.1 0.7 15.9 2.0 -4.4 -7.5 GOLD_micro -20.0 -4.5 20.0 -1.1 -0.0 1.2 -3.8 1.4 -4.2 4.4 6.4 -12.2 -2.7 -12.2 3.0 -12.7 -10.1 -12.3 -11.6 -2.1 7.0 -11.8 3.2 -15.0 4.8 -13.8 -0.8 1.7 1.8 -2.9 1.1 -4.3 -14.9 6.4 1.3 0.4 6.4 HEATOIL -8.2 -3.1 -13.0 -2.1 6.8 -1.7 2.1 2.5 -1.2 9.5 -6.3 -2.5 7.5 -11.4 -4.4 20.0 20.0 20.0 20.0 -7.5 -3.5 -1.2 8.7 -7.5 -12.7 -13.6 -2.7 4.2 -0.0 -0.9 7.3 -3.5 20.0 -5.8 -12.2 -0.3 -1.5 JPY -20.0 -6.3 20.0 0.1 -3.1 1.4 -5.6 -1.4 -4.1 -11.9 6.0 -15.3 -7.2 -14.7 3.4 -14.0 -11.7 -13.2 -12.8 -5.4 1.7 -20.0 -8.5 -18.7 4.0 9.9 -1.7 -4.1 0.2 -6.5 -4.2 -5.9 -16.8 -0.3 -8.0 -15.9 5.3 LEANHOG 3.1 -15.1 -13.1 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -13.6 -8.5 -5.9 -5.7 -11.5 -11.7 -20.0 -20.0 -20.0 -20.0 -12.3 -11.0 -9.3 -4.2 -8.9 4.3 -11.1 -5.8 -5.9 -4.7 -5.8 -2.2 -5.7 -20.0 -20.0 -18.9 -20.0 -19.5 LIVECOW 8.7 9.0 13.0 1.5 -2.6 -1.2 -0.3 -1.1 2.1 4.0 14.9 10.9 6.9 14.9 15.3 10.4 -20.0 -19.3 -20.0 15.6 13.9 6.9 8.3 13.3 -20.0 12.0 6.1 -0.9 6.0 1.7 4.5 4.4 -20.0 -3.5 14.6 18.0 20.0 MXP 11.9 8.7 8.3 0.1 -3.1 1.4 -5.6 -1.4 -4.1 13.9 16.2 15.6 15.8 16.2 16.2 20.0 20.0 20.0 20.0 20.0 20.0 19.5 20.0 20.0 -20.0 9.7 6.4 6.0 6.5 5.5 5.6 5.7 20.0 20.0 20.0 20.0 11.8 NASDAQ -8.6 20.0 5.7 3.0 -3.9 3.0 -3.3 0.9 -0.3 -13.4 -3.0 -12.8 -10.7 6.5 8.3 -6.9 -4.5 -6.3 -5.7 8.4 2.7 -12.2 -8.4 -0.5 5.0 10.2 4.3 -2.8 2.7 -1.5 -0.3 1.8 -2.1 -2.9 13.8 11.5 1.3 NIKKEI -0.3 16.3 -3.8 3.0 -3.9 3.0 -3.3 0.9 -0.3 7.0 0.5 -2.1 2.0 10.7 4.5 20.0 15.6 20.0 19.4 5.7 2.5 1.3 0.6 4.5 12.0 -9.4 1.7 1.9 -0.2 0.5 -1.6 1.5 20.0 12.8 9.2 -4.1 -20.0 NZD -20.0 -7.3 16.1 0.1 -3.1 1.4 -5.6 -1.4 -4.1 2.7 9.3 -12.3 -1.7 -12.9 4.7 -0.0 0.4 0.1 0.1 -3.7 3.3 -10.2 -2.0 -13.0 0.1 10.8 -1.4 1.4 1.0 -3.9 -1.0 -5.0 4.6 8.0 -6.4 -7.2 1.6 OAT -19.9 -1.6 0.6 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -14.0 -11.4 -15.5 -13.1 -12.3 -9.1 8.6 12.1 10.3 11.7 -14.3 -13.9 -20.0 -20.0 -19.6 3.5 12.7 -3.8 -10.7 -4.3 -8.8 -9.2 -6.4 20.0 -4.5 11.1 1.7 -5.5 OJ -1.5 -6.1 -1.1 1.5 -2.6 -1.2 -0.3 -1.1 2.1 6.7 15.2 11.0 15.3 12.4 13.2 20.0 17.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 -14.3 6.0 1.6 5.3 4.4 4.8 5.9 18.4 20.0 20.0 20.0 20.0 PALLAD -15.0 -20.0 -20.0 -1.1 -0.0 1.2 -3.8 1.4 -4.2 -9.3 -15.4 -13.7 -13.1 -15.0 -15.8 -3.1 -1.9 -2.9 -2.4 -20.0 -20.0 -20.0 -19.3 -20.0 18.7 -11.1 -6.1 -2.2 -4.5 -5.6 -3.0 -6.9 0.0 -8.1 -0.1 -20.0 -20.0 PLAT -16.4 -20.0 2.3 -1.1 -0.0 1.2 -3.8 1.4 -4.2 12.8 3.5 -6.2 0.7 -11.6 -8.6 -2.5 -1.1 -2.0 -1.5 -10.4 -1.3 -2.1 1.7 -12.2 -1.1 11.2 -3.7 1.6 -0.3 -2.9 0.4 -5.6 1.6 9.4 7.0 -20.0 -11.9 REDWHEAT -2.3 8.7 -11.4 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -13.1 -9.6 -12.9 -9.4 -2.3 -7.1 8.5 3.0 7.2 5.5 -5.5 -8.3 -20.0 -5.9 -11.1 0.4 12.9 -2.1 -10.4 -1.6 -10.3 0.9 -5.4 -7.7 -20.0 -16.6 -6.9 -9.9 ROBUSTA 11.3 20.0 13.8 1.5 -2.6 -1.2 -0.3 -1.1 2.1 5.3 0.8 7.7 -1.9 13.1 12.2 6.7 9.2 9.6 9.9 20.0 9.4 16.2 2.4 20.0 -7.4 9.6 4.8 2.9 1.9 4.5 0.2 5.8 1.6 20.0 20.0 20.0 18.6 RUSSELL -11.5 16.6 7.9 3.0 -3.9 3.0 -3.3 0.9 -0.3 -11.1 3.6 -13.2 -7.4 3.8 6.9 -6.4 -3.8 -5.8 -5.0 7.8 6.7 -8.7 -1.9 -1.2 -4.4 10.0 5.0 -0.2 4.0 0.8 1.4 3.2 -0.9 17.6 15.6 9.5 -2.3 SILVER-mini -20.0 -19.5 12.4 -1.1 -0.0 1.2 -3.8 1.4 -4.2 -6.5 5.9 -13.6 -1.4 -14.9 -4.2 -5.6 -4.3 -5.4 -5.0 -11.9 0.7 -18.9 1.0 -20.0 6.2 -11.3 -3.6 -1.8 -0.3 -5.8 -0.5 -6.8 -4.3 -12.9 -6.4 -20.0 -5.3 SOYBEAN 5.4 -8.0 -2.1 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -9.7 6.3 -5.9 4.1 -0.9 -1.6 20.0 20.0 20.0 20.0 -1.3 0.1 -10.4 4.6 -3.3 -13.1 -11.7 -1.4 -12.6 1.5 -10.0 5.8 -4.9 20.0 -20.0 -6.1 -12.6 2.5 SOYMEAL -3.9 6.2 20.0 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -8.0 14.3 -3.7 13.8 9.0 14.4 20.0 18.3 20.0 20.0 16.9 20.0 -3.4 18.6 6.7 -20.0 -12.0 5.1 -5.0 7.9 -3.1 8.4 0.4 18.0 -20.0 -2.1 8.6 20.0 SOYOIL 4.2 -8.7 -13.4 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -8.5 -2.8 -2.7 2.6 -6.0 -11.8 3.1 15.5 5.4 10.2 -8.3 -7.1 -6.5 2.1 -5.4 -8.0 12.9 -5.0 -4.0 -3.0 -5.0 2.0 -4.8 7.8 -19.7 -15.3 -19.9 -20.0 SP400 -12.1 17.1 14.3 3.0 -3.9 3.0 -3.3 0.9 -0.3 -13.6 10.0 -14.4 0.1 4.4 8.1 -6.3 -3.5 -5.3 -4.4 11.5 13.1 -10.7 5.7 -1.0 -8.7 10.2 5.2 -0.9 4.9 0.0 2.9 2.7 -0.0 12.8 13.3 8.6 2.5 SP500 -15.3 11.3 5.7 3.0 -3.9 3.0 -3.3 0.9 -0.3 -13.9 1.7 -14.6 -6.4 1.2 6.2 -8.0 -5.0 -7.0 -6.1 2.9 3.3 -18.9 -3.3 -8.8 2.3 10.2 3.2 -5.4 2.8 -4.5 -0.2 -0.6 -2.8 -6.1 3.6 -2.5 -3.8 SUGAR11 -2.4 5.8 9.3 1.5 -2.6 -1.2 -0.3 -1.1 2.1 10.7 12.2 8.4 9.3 12.5 12.7 20.0 20.0 20.0 20.0 13.3 12.8 9.8 9.4 11.0 -20.0 10.7 6.0 3.5 6.9 2.6 5.6 3.7 20.0 9.4 3.0 16.4 20.0 US10 -20.0 -7.3 8.3 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -12.7 -8.4 -15.2 -11.8 -14.8 -5.6 -8.0 -3.1 -8.1 -6.8 -15.8 -12.2 -20.0 -20.0 -20.0 0.6 9.7 -3.4 -4.3 -2.7 -5.3 -6.0 -5.8 -9.2 13.8 -1.3 -4.9 2.1 US10U -20.0 -5.4 8.6 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -12.6 -7.7 -15.0 -11.7 -14.1 -3.1 0.1 3.1 0.4 0.9 -13.5 -11.1 -19.9 -19.5 -20.0 -2.9 -14.1 -2.4 -4.1 -1.8 -4.9 -5.4 -5.2 2.8 15.6 3.3 0.3 6.3 US20 -20.0 -4.1 10.4 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -13.5 -5.5 -15.3 -10.5 -13.8 0.2 -5.9 -1.7 -6.4 -4.4 -12.7 -10.0 -20.0 -18.5 -20.0 -0.5 -12.3 -3.0 -5.5 -2.4 -6.0 -5.5 -5.8 -5.5 9.6 1.9 -3.3 6.7 US30 -20.0 -1.1 12.5 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -12.3 -4.3 -14.6 -11.6 -12.4 0.7 -1.3 -0.5 -1.5 -1.3 -9.3 -8.7 -16.5 -19.8 -17.1 -4.7 10.0 -1.6 -3.1 -1.2 -4.6 -5.5 -4.7 -2.2 14.1 7.7 3.1 10.0 US5 -20.0 -9.7 7.2 -2.6 -6.7 -2.2 -6.7 -4.9 -5.4 -12.5 -9.2 -15.2 -12.3 -15.2 -7.4 -10.3 -3.3 -9.4 -7.7 -18.5 -14.1 -20.0 -20.0 -20.0 3.1 10.8 -4.0 -3.9 -3.1 -5.4 -6.2 -6.1 -10.1 12.5 -7.0 -10.0 -0.5 VIX 20.0 -6.2 -20.0 -4.9 -2.4 -5.5 -2.4 -4.4 -3.1 -6.7 -14.4 2.3 -13.9 -6.8 -12.3 -19.1 -20.0 -20.0 -20.0 -16.0 -20.0 -0.1 -19.8 -4.1 NaN -13.5 -6.1 -2.1 -7.5 -2.5 -6.3 -3.5 NaN NaN NaN NaN NaN WHEAT -0.9 6.5 -15.1 1.5 -2.6 -1.2 -0.3 -1.1 2.1 -12.6 -12.6 -13.8 -13.3 -8.0 -11.7 -11.1 -6.7 -9.8 -8.3 -11.1 -14.7 -20.0 -12.3 -15.9 6.2 11.9 -2.8 -9.1 -2.7 -9.8 -0.7 -5.5 -20.0 -20.0 -13.3 -11.0 -14.2 End of report for caleb_strategy_v1