******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230302_204938 produced at 2023-03-02 21:36:07.840049 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.43 0.0 40573899.65 -40573899.65 -0.41 -0.41 -10.66 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.22 -0.25 0.0 7683877.55 -7683877.55 -0.22 -0.22 -32.23 999999999 -28 -28 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.21 0.0 43156024.60 -43156024.60 -0.04 -0.04 -4.79 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.21 0.0 46590086.31 -46590086.31 -0.23 -0.23 -4.43 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.12 0.0 46469477.50 -46469477.50 -0.09 -0.09 -2.66 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.07 -0.12 0.0 14132720.90 -14132720.90 -0.07 -0.08 -8.66 999999999 -5 -6 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.11 0.0 37210558.56 -37210558.56 -0.22 -0.26 -3.00 999999999 -6 -7 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.10 0.0 49244466.55 -49244466.55 0.00 0.00 -1.97 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.22 -0.08 0.0 32103871.96 -32103871.96 -0.22 -0.26 -2.52 999999999 -7 -8 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 38764767.52 -38764767.52 0.00 0.00 -1.78 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.05 -0.06 0.0 6463930.42 -6463930.42 -0.05 -0.05 -8.72 999999999 -7 -7 caleb_strategy_v1 FEEDCOW False False 0.04 -0.19 -0.06 0.0 37305400.94 -37305400.94 -0.19 -0.19 -1.49 999999999 -5 -5 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.03 0.0 39014098.82 -39014098.82 -0.04 -0.04 -0.67 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9782032.24 -9782032.24 -0.02 -0.02 -2.98 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 18793045.27 -18793045.27 0.00 0.00 -0.90 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.02 0.0 22381486.25 -22381486.25 -0.11 -0.11 -0.98 999999999 -5 -5 caleb_strategy_v1 US30 False False 0.05 -0.14 -0.01 0.0 46598857.86 -46598857.86 -0.14 -0.19 -0.25 999999999 -3 -4 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 10227626.97 -10227626.97 -0.01 -0.01 -0.83 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 50541669.46 -50541669.46 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12936281.52 -12936281.52 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 826279.98 -826279.98 -0.01 -0.01 -5.08 999999999 -8 -8 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 12120527.40 -12120527.40 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14332712.23 -14332712.23 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.09 0.00 0.0 5782030.14 -5782030.14 -0.09 -0.03 0.35 999999999 -15 -6 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 13087152.18 -13087152.18 -0.04 -0.04 -0.35 999999999 -3 -3 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 16962422.84 -16962422.84 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23604240.28 -23604240.28 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.01 0.0 14676556.98 -14676556.98 0.00 0.00 0.63 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23834493.46 -23834493.46 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.01 0.0 69799606.86 -69799606.86 0.00 0.00 0.13 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 10003952.45 -10003952.45 0.06 0.06 2.36 999999999 6 6 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.02 0.0 40691078.78 -40691078.78 0.00 0.00 0.58 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 7624231.01 -7624231.01 0.02 0.02 2.03 999999999 2 2 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 35774765.51 -35774765.51 0.00 0.00 0.59 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4253903.96 -4253903.96 0.00 0.00 3.98 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21814844.14 -21814844.14 0.00 0.00 0.91 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7981127.83 -7981127.83 0.00 0.00 2.49 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15897114.37 -15897114.37 0.00 0.00 2.09 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 26187461.68 -26187461.68 0.16 0.16 1.18 999999999 6 6 caleb_strategy_v1 NASDAQ False False 0.08 0.08 0.03 0.0 84438446.18 -84438446.18 0.08 0.08 0.36 999999999 1 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 29463635.49 -29463635.49 0.00 0.00 0.89 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3336171.22 -3336171.22 0.00 0.00 9.76 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.04 0.0 25790110.47 -25790110.47 0.00 0.00 1.45 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.02 0.04 0.0 23981416.92 -23981416.92 0.02 0.00 1.51 999999999 1 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 41594586.95 -41594586.95 0.04 0.04 1.00 999999999 1 1 caleb_strategy_v1 CAC False False 0.03 0.03 0.04 0.0 27291664.18 -27291664.18 0.03 0.03 1.56 999999999 1 1 caleb_strategy_v1 DAX False False 0.01 0.03 0.04 0.0 5742449.89 -5742449.89 0.03 0.03 6.47 999999999 5 5 caleb_strategy_v1 OAT False False 0.05 0.09 0.05 0.0 47135056.12 -47135056.12 0.09 0.09 1.16 999999999 2 2 caleb_strategy_v1 SP400 False False 0.09 0.55 0.05 0.0 91778478.98 -91778478.98 0.55 0.55 0.51 999999999 6 6 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.05 0.0 16279996.27 -16279996.27 0.10 0.10 3.12 999999999 6 6 caleb_strategy_v1 BOBL False False 0.04 0.00 0.05 0.0 42748229.11 -42748229.11 0.00 0.00 1.17 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.03 0.05 0.0 9660984.86 -9660984.86 0.03 0.03 4.89 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.07 0.0 26591830.12 -26591830.12 0.13 0.16 2.56 999999999 5 6 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 caleb_strategy_v1 BUND False False 0.05 0.10 0.23 0.0 49080193.88 -49080193.88 0.10 0.05 4.66 999999999 2 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.51 0.0 0.00 0.00 0.00 0.00 71.40 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 18.0 Shocked risk 57.9 Sum abs risk 51.6 Leverage 3.69 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2850123.5, 'annual_cash_vol_target': 712530.875, 'daily_cash_vol_target': 44533.1796875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6728 0.7224 11.5579 BITCOIN 704.9532 23550.0000 2.9934 47.8949 BOBL 0.3168 114.5000 0.2767 4.4276 BTP 0.8596 111.4100 0.7715 12.3446 BUND 0.6978 131.4600 0.5308 8.4923 BUXL 1.6511 131.9000 1.2518 20.0288 CAC 60.2755 7310.0000 0.8246 13.1930 CAD 0.0031 0.7350 0.4171 6.6742 CANOLA 6.2208 824.9000 0.7541 12.0660 CHF 0.0052 1.0623 0.4888 7.8204 COCOA 33.5234 2788.0000 1.2024 19.2387 COFFEE 3.4996 181.1500 1.9319 30.9099 COPPER 0.0582 4.0785 1.4263 22.8203 CORN 4.5221 570.2500 0.7930 12.6881 COTTON2 1.4229 83.6600 1.7008 27.2129 CRUDE_W 1.1724 75.7900 1.5469 24.7498 DAX 120.2249 15381.0000 0.7816 12.5063 DOW 235.8189 32959.0000 0.7155 11.4479 EUR 0.0054 1.0596 0.5097 8.1546 EUROSTX 37.2051 4258.0000 0.8738 13.9803 FEEDCOW 1.0208 212.6500 0.4800 7.6807 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.9767 839.7500 1.9025 30.4408 GASOILINE 0.0465 2.6475 1.7572 28.1154 GAS_US 0.1387 2.9150 4.7597 76.1555 GBP 0.0076 1.1942 0.6328 10.1250 GOLD_micro 13.7632 1842.3000 0.7471 11.9531 HEATOIL 0.0503 2.7613 1.8229 29.1662 JPY 0.0001 0.0073 0.7219 11.5503 LEANHOG 1.2018 100.7000 1.1935 19.0959 LIVECOW 0.8178 159.4750 0.5128 8.2051 MXP 0.0003 0.0551 0.6238 9.9809 NASDAQ 135.5608 12033.0000 1.1266 18.0252 NIKKEI 198.2156 27695.0000 0.7157 11.4513 NZD 0.0044 0.6218 0.7017 11.2277 OAT 0.7323 126.2500 0.5801 9.2809 OJ 5.1503 230.3000 2.2363 35.7812 PALLAD 34.3450 1440.5000 2.3842 38.1479 PLAT 17.5058 966.9000 1.8105 28.9681 REDWHEAT 12.0179 817.0000 1.4710 23.5357 ROBUSTA 27.9329 2173.0000 1.2855 20.5673 RUSSELL 18.7594 1901.7000 0.9865 15.7833 SILVER-mini 0.3453 21.4250 1.6117 25.7875 SOYBEAN 10.5582 1367.0000 0.7724 12.3578 SOYMEAL 5.2420 464.0000 1.1297 18.0759 SOYOIL 0.7861 61.4500 1.2792 20.4679 SP400 21.4925 2615.8000 0.8216 13.1463 SP500 31.6653 3978.7500 0.7959 12.7338 SUGAR11 0.3249 20.3100 1.5997 25.5949 US10 0.4444 110.4844 0.4022 6.4352 US10U 0.6055 115.6406 0.5236 8.3778 US20 0.8641 123.0000 0.7025 11.2397 US30 1.3574 132.8125 1.0221 16.3529 US5 0.2913 106.0547 0.2747 4.3950 VIX 0.5208 21.9000 2.3780 38.0479 WHEAT 9.8993 746.0000 1.3270 21.2318 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 672.75 0.72 485.98 1.00 485.98 44533.18 91.64 2.56 23.45 BITCOIN 23.55 2.99 70.50 1.00 70.50 44533.18 631.72 -3.41 -215.59 BOBL 1145.00 0.28 316.85 1.06 336.08 44533.18 132.51 1.22 16.16 BTP 1114.10 0.77 859.57 1.06 911.74 44533.18 48.84 10.15 49.57 BUND 1314.60 0.53 697.75 1.06 740.10 44533.18 60.17 10.72 64.53 BUXL 1319.00 1.25 1651.12 1.06 1751.34 44533.18 25.43 -9.21 -23.43 CAC 731.00 0.82 602.76 1.06 639.34 44533.18 69.65 7.94 55.32 CAD 735.05 0.42 306.62 1.00 306.62 44533.18 145.24 5.58 81.01 CANOLA 164.98 0.75 124.42 0.73 91.42 44533.18 487.12 8.91 433.84 CHF 1327.88 0.49 649.03 1.00 649.03 44533.18 68.61 -17.26 -118.45 COCOA 278.80 1.20 335.23 1.00 335.23 44533.18 132.84 -10.31 -136.98 COFFEE 679.31 1.93 1312.34 1.00 1312.34 44533.18 33.93 8.34 28.30 COPPER 1019.62 1.43 1454.26 1.00 1454.26 44533.18 30.62 7.00 21.42 CORN 285.12 0.79 226.11 1.00 226.11 44533.18 196.96 13.30 261.98 COTTON2 418.30 1.70 711.45 1.00 711.45 44533.18 62.60 6.69 41.89 CRUDE_W 757.90 1.55 1172.37 1.00 1172.37 44533.18 37.99 5.11 19.40 DAX 153.81 0.78 120.22 1.06 127.52 44533.18 349.22 3.41 119.20 DOW 164.80 0.72 117.91 1.00 117.91 44533.18 377.69 0.33 12.32 EUR 1324.44 0.51 675.02 1.00 675.02 44533.18 65.97 -10.77 -71.07 EUROSTX 425.80 0.87 372.05 1.06 394.63 44533.18 112.85 6.60 74.47 FEEDCOW 1063.25 0.48 510.41 1.00 510.41 44533.18 87.25 -6.36 -55.46 FTSE100 707.00 0.82 576.59 1.20 666.67 44533.18 66.80 7.70 51.42 GASOIL 839.75 1.90 1597.67 1.00 1597.67 44533.18 27.87 4.48 12.48 GASOILINE 1111.95 1.76 1953.93 1.00 1953.93 44533.18 22.79 -7.11 -16.20 GAS_US 291.50 4.76 1387.46 1.00 1387.46 44533.18 32.10 -17.25 -55.36 GBP 746.38 0.63 472.32 1.00 472.32 44533.18 94.29 6.98 65.82 GOLD_micro 184.23 0.75 137.63 1.00 137.63 44533.18 323.57 -12.04 -389.66 HEATOIL 1159.75 1.82 2114.09 1.00 2114.09 44533.18 21.06 3.89 8.19 JPY 915.00 0.72 660.53 1.00 660.53 44533.18 67.42 -5.77 -38.87 LEANHOG 402.80 1.19 480.74 1.00 480.74 44533.18 92.63 -20.00 -185.27 LIVECOW 637.90 0.51 327.13 1.00 327.13 44533.18 136.13 -2.69 -36.59 MXP 275.35 0.62 171.76 1.00 171.76 44533.18 259.27 15.40 399.20 NASDAQ 2406.60 1.13 2711.22 1.00 2711.22 44533.18 16.43 4.08 6.70 NIKKEI 27695.00 0.72 19821.56 0.01 145.37 44533.18 306.34 12.27 375.94 NZD 621.75 0.70 436.30 1.00 436.30 44533.18 102.07 5.59 57.03 OAT 1262.50 0.58 732.32 1.06 776.77 44533.18 57.33 10.03 57.52 OJ 345.45 2.24 772.54 1.00 772.54 44533.18 57.65 -4.01 -23.10 PALLAD 1440.50 2.38 3434.50 1.00 3434.50 44533.18 12.97 -6.33 -8.21 PLAT 483.45 1.81 875.29 1.00 875.29 44533.18 50.88 2.22 11.30 REDWHEAT 408.50 1.47 600.90 1.00 600.90 44533.18 74.11 1.78 13.19 ROBUSTA 217.30 1.29 279.33 1.00 279.33 44533.18 159.43 9.82 156.55 RUSSELL 95.08 0.99 93.80 1.00 93.80 44533.18 474.78 3.97 188.38 SILVER-mini 535.62 1.61 863.28 1.00 863.28 44533.18 51.59 -7.77 -40.07 SOYBEAN 683.50 0.77 527.91 1.00 527.91 44533.18 84.36 3.04 25.65 SOYMEAL 464.00 1.13 524.20 1.00 524.20 44533.18 84.95 6.23 52.94 SOYOIL 368.70 1.28 471.66 1.00 471.66 44533.18 94.42 4.41 41.67 SP400 2615.80 0.82 2149.25 1.00 2149.25 44533.18 20.72 4.78 9.91 SP500 1989.38 0.80 1583.26 1.00 1583.26 44533.18 28.13 1.65 4.63 SUGAR11 227.47 1.60 363.88 1.00 363.88 44533.18 122.38 15.00 183.58 US10 1104.84 0.40 444.37 1.00 444.37 44533.18 100.22 -4.62 -46.28 US10U 1156.41 0.52 605.51 1.00 605.51 44533.18 73.55 -9.95 -73.17 US20 1230.00 0.70 864.06 1.00 864.06 44533.18 51.54 -12.60 -64.95 US30 1328.12 1.02 1357.42 1.00 1357.42 44533.18 32.81 -0.90 -2.95 US5 1060.55 0.27 291.32 1.00 291.32 44533.18 152.87 -5.11 -78.16 VIX 219.00 2.38 520.78 1.00 520.78 44533.18 85.51 -20.00 -171.02 WHEAT 373.00 1.33 494.97 1.00 494.97 44533.18 89.97 -7.26 -65.29 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 23.452 0.006 2.5 0.375 BITCOIN -215.593 0.009 2.5 -5.080 BOBL 16.161 0.029 2.5 1.166 BTP 49.570 0.008 2.5 1.001 BUND 64.534 0.029 2.5 4.657 BUXL -23.431 0.034 2.5 -1.967 CAC 55.321 0.011 2.5 1.555 CAD 81.005 0.007 2.5 1.446 CANOLA 433.840 0.004 2.5 3.982 CHF -118.449 0.015 2.5 -4.433 COCOA -136.982 0.009 2.5 -2.984 COFFEE 28.303 0.005 2.5 0.367 COPPER 21.425 0.011 2.5 0.586 CORN 261.979 0.004 2.5 2.363 COTTON2 41.894 0.006 2.5 0.631 CRUDE_W 19.397 0.053 2.5 2.563 DAX 119.201 0.022 2.5 6.474 DOW 12.324 0.011 2.5 0.351 EUR -71.069 0.015 2.5 -2.660 EUROSTX 74.466 0.011 2.5 2.093 FEEDCOW -55.462 0.011 2.5 -1.490 FTSE100 51.420 0.041 2.5 5.301 GASOIL 12.479 0.029 2.5 0.890 GASOILINE -16.202 0.016 2.5 -0.665 GAS_US -55.356 0.006 2.5 -0.834 GBP 65.815 0.007 2.5 1.175 GOLD_micro -389.664 0.009 2.5 -8.719 HEATOIL 8.194 0.029 2.5 0.584 JPY -38.874 0.026 2.5 -2.516 LEANHOG -185.270 0.019 2.5 -8.656 LIVECOW -36.588 0.011 2.5 -0.983 MXP 399.199 0.005 2.5 4.887 NASDAQ 6.697 0.022 2.5 0.364 NIKKEI 375.940 0.076 2.5 71.403 NZD 57.025 0.006 2.5 0.911 OAT 57.519 0.008 2.5 1.162 OJ -23.095 0.007 2.5 -0.403 PALLAD -8.205 0.010 2.5 -0.197 PLAT 11.299 0.010 2.5 0.272 REDWHEAT 13.192 0.002 2.5 0.070 ROBUSTA 156.551 0.005 2.5 2.030 RUSSELL 188.380 0.021 2.5 9.757 SILVER-mini -40.066 0.009 2.5 -0.896 SOYBEAN 25.652 0.024 2.5 1.512 SOYMEAL 52.939 0.024 2.5 3.121 SOYOIL 41.668 0.004 2.5 0.382 SP400 9.905 0.021 2.5 0.513 SP500 4.632 0.011 2.5 0.132 SUGAR11 183.576 0.005 2.5 2.491 US10 -46.280 0.015 2.5 -1.775 US10U -73.169 0.058 2.5 -10.661 US20 -64.955 0.029 2.5 -4.787 US30 -2.952 0.034 2.5 -0.248 US5 -78.161 0.015 2.5 -2.999 VIX -171.025 0.075 2.5 -32.230 WHEAT -65.289 0.002 2.5 -0.349 ==================== Position diags ==================== AUD 1.46 BITCOIN 14.88 BOBL 9.56 BTP 0.99 BUND 4.34 BUXL 2.13 CAC 1.96 CAD 2.59 CANOLA 4.47 CHF 2.57 COCOA 2.89 COFFEE 0.44 COPPER 0.84 CORN 1.78 COTTON2 0.94 CRUDE_W 5.02 DAX 18.97 DOW 10.76 EUR 2.47 EUROSTX 3.17 FEEDCOW 2.34 FTSE100 6.89 GASOIL 1.99 GASOILINE 0.94 GAS_US 0.48 GBP 1.68 GOLD_micro 7.24 HEATOIL 1.50 JPY 4.36 LEANHOG 4.33 LIVECOW 3.66 MXP 3.17 NASDAQ 0.89 NIKKEI 58.18 NZD 1.63 OAT 1.16 OJ 1.01 PALLAD 0.31 PLAT 1.22 REDWHEAT 0.40 ROBUSTA 2.07 RUSSELL 24.59 SILVER-mini 1.15 SOYBEAN 4.97 SOYMEAL 5.01 SOYOIL 0.87 SP400 1.07 SP500 0.80 SUGAR11 1.66 US10 3.84 US10U 10.72 US20 3.80 US30 2.75 US5 5.86 VIX 16.11 WHEAT 0.48 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.2 0.5 0.0 0 BITCOIN -5.1 -6.6 -3.6 -8.0 -8 BOBL 1.2 0.2 2.1 0.0 0 BTP 1.0 0.9 1.1 1.0 1 BUND 4.7 4.2 5.1 2.0 2 BUXL -2.0 -2.2 -1.8 0.0 0 CAC 1.6 1.4 1.8 1.0 1 CAD 1.4 1.2 1.7 0.0 0 CANOLA 4.0 3.5 4.4 NaN 0 CHF -4.4 -4.7 -4.2 -5.0 -5 COCOA -3.0 -3.3 -2.7 -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 2.5 6.0 6 COTTON2 0.6 0.5 0.7 NaN 0 CRUDE_W 2.6 2.1 3.1 5.0 5 DAX 6.5 4.6 8.4 5.0 5 DOW 0.4 -0.7 1.4 -15.0 -15 EUR -2.7 -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 0.9 0.7 1.1 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 1.3 6.0 6 GOLD_micro -8.7 -9.4 -8.0 -7.0 -7 HEATOIL 0.6 0.4 0.7 0.0 0 JPY -2.5 -3.0 -2.1 -7.0 -7 LEANHOG -8.7 -9.1 -8.2 -5.0 -5 LIVECOW -1.0 -1.3 -0.6 -5.0 -5 MXP 4.9 4.6 5.2 3.0 3 NASDAQ 0.4 0.3 0.5 1.0 1 NIKKEI 71.4 65.6 77.2 0.0 0 NZD 0.9 0.7 1.1 0.0 0 OAT 1.2 1.0 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 9.8 7.3 12.2 0.0 0 SILVER-mini -0.9 -1.0 -0.8 0.0 0 SOYBEAN 1.5 1.0 2.0 1.0 1 SOYMEAL 3.1 2.6 3.6 6.0 6 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.5 0.4 0.6 6.0 6 SP500 0.1 0.1 0.2 0.0 0 SUGAR11 2.5 2.3 2.7 0.0 0 US10 -1.8 -2.2 -1.4 NaN 0 US10U -10.7 -11.7 -9.6 -10.0 -10 US20 -4.8 -5.2 -4.4 -1.0 -1 US30 -0.2 -0.5 0.0 -3.0 -3 US5 -3.0 -3.6 -2.4 -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 -0.1 0.1 -0.1 -0.1 -0.1 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 -0.0 BOBL -0.2 -0.1 -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 0.5 -0.0 0.0 -0.1 -0.2 BTP -0.2 0.0 0.2 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 -0.3 -0.0 -0.0 0.5 0.5 0.2 0.3 -0.0 -0.0 -0.0 -0.2 -0.0 -1.1 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 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.3 -0.1 -0.4 -0.1 -0.3 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 0.1 -0.0 -0.1 BUXL -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.2 -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 0.3 -0.0 0.1 -0.1 -0.1 CAC -0.1 0.2 0.3 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.0 0.4 0.0 0.3 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 0.0 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 -0.0 0.1 -0.0 -0.2 CANOLA 0.0 -0.1 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.1 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 0.2 -0.1 0.1 -0.1 0.1 -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 0.0 0.3 0.0 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.1 0.0 -2.9 -2.2 0.1 0.0 0.1 0.0 0.0 0.0 -2.5 0.1 0.4 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 0.0 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 -1.2 -0.0 0.2 0.2 0.1 COPPER -0.2 0.0 0.3 -0.0 0.0 0.0 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0.1 0.0 0.1 0.0 -1.2 -0.0 -0.1 0.2 0.2 GAS_US 0.2 -0.3 -0.3 -0.0 0.1 -0.0 0.1 0.1 -0.0 0.0 -0.4 0.0 -0.3 -0.0 -0.4 -1.3 -0.2 -0.1 -0.1 -0.2 -0.2 0.0 -0.2 -0.0 0.2 -1.8 -0.1 0.0 -0.1 0.0 -0.0 0.0 -2.7 0.2 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 0.1 -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 0.1 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 -0.0 -0.3 -1.6 -0.8 -0.4 -0.4 -0.1 -0.1 -0.0 -0.1 -0.0 0.8 -2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.3 -0.3 LIVECOW 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 1.2 -0.8 -0.3 -0.4 0.2 0.1 0.0 0.1 0.0 -3.3 2.6 0.1 -0.0 0.1 -0.0 0.1 0.0 -2.8 -0.0 0.2 0.2 0.3 MXP 0.1 0.1 0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 0.4 0.0 0.4 0.1 0.4 1.5 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 2.2 0.1 0.0 0.1 0.0 0.1 0.0 2.2 0.0 0.4 0.3 0.2 NASDAQ -0.1 0.3 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.1 -0.1 -0.1 -0.3 0.0 0.2 -0.5 -0.2 -0.1 -0.1 0.1 0.0 -0.0 -0.1 -0.0 0.6 1.9 0.1 -0.0 0.0 -0.0 -0.0 0.0 -0.3 0.0 0.2 0.2 0.0 NIKKEI 0.0 0.3 -0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 0.0 0.0 0.0 0.1 0.0 0.1 1.2 0.6 0.4 0.4 0.1 0.0 0.0 0.0 0.0 1.7 -1.9 0.0 0.0 -0.0 0.0 -0.0 0.0 2.6 0.2 0.3 -0.0 -0.3 NZD -0.2 -0.1 0.3 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 0.2 -0.0 -0.0 -0.1 0.1 0.0 0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 2.3 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.6 0.0 -0.1 -0.1 0.0 OAT -0.2 -0.1 -0.0 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -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 0.1 0.0 -0.1 OJ -0.0 -0.2 -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 2.7 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 -0.0 -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 3.5 -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 -0.1 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 -1.0 -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 -1.3 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 -0.0 0.1 -0.0 -0.2 0.0 0.2 -0.4 -0.1 -0.1 -0.1 0.1 0.1 -0.0 -0.0 -0.0 -0.6 2.0 0.1 0.0 0.1 0.0 0.0 0.0 -0.1 0.3 0.3 0.2 -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 -0.4 -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 0.0 -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 -0.0 1.6 0.8 0.4 0.4 -0.0 -0.0 -0.0 0.1 -0.0 -1.9 -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 -0.1 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 2.5 -0.1 -0.1 0.1 0.3 SOYOIL 0.1 -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 0.3 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 -0.2 -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 -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 0.2 0.1 0.0 SP500 -0.2 0.2 0.1 0.0 -0.0 0.1 -0.1 0.0 -0.0 -0.1 0.0 -0.1 -0.2 -0.0 0.1 -0.6 -0.2 -0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 0.3 2.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 -0.0 0.1 -0.0 -0.1 SUGAR11 -0.0 0.1 0.1 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 0.0 0.2 0.3 US10 -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 -0.6 -0.1 -0.2 -0.1 -0.2 -0.2 -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 -0.0 0.0 US10U -0.2 -0.1 0.1 -0.0 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 0.0 0.1 0.0 0.0 -0.2 -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 0.1 0.0 0.1 US20 -0.2 -0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.1 -0.0 -0.4 -0.1 -0.1 -0.1 -0.2 -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 -0.0 0.1 US30 -0.2 -0.0 0.2 -0.0 -0.1 -0.1 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.3 -0.0 -0.6 2.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.3 0.1 0.2 0.1 0.2 US5 -0.2 -0.2 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 0.4 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 -0.1 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 -0.9 -0.3 -0.2 -0.2 -0.1 -0.2 -0.0 -0.2 -0.0 1.0 2.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.1 -0.3 -0.2 -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 -1.3 12.9 -0.3 -4.0 1.2 -5.7 -1.4 -4.3 -13.0 5.8 -15.2 -3.1 -11.9 2.7 -3.5 -2.7 -3.4 -3.1 -3.2 2.2 -18.6 -2.8 -15.1 4.3 11.7 -1.5 -4.9 0.4 -7.1 -1.4 -5.8 -0.7 -5.9 -8.1 -1.6 -3.1 BITCOIN -6.1 20.0 17.4 -1.2 0.6 1.2 -2.9 1.4 -3.9 -10.7 7.8 1.3 -13.0 11.4 12.7 -4.4 -1.2 -2.2 -1.2 14.7 6.2 -0.5 -12.0 8.6 7.8 -18.1 4.5 -0.9 2.6 -0.1 -0.8 2.6 1.9 -3.1 20.0 20.0 -1.2 BOBL -20.0 -5.0 -7.5 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -14.1 -14.4 -15.7 -14.4 -14.7 -12.7 -12.5 4.5 -7.7 -1.1 -20.0 -20.0 -20.0 -20.0 -20.0 11.8 10.8 -5.1 -10.8 -5.3 -9.8 -8.5 -7.4 3.8 -11.4 0.6 -5.6 -15.9 BTP -13.0 3.2 9.2 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -13.9 -1.5 -15.2 -10.1 -7.6 -0.1 6.7 12.6 9.1 11.7 -3.8 -3.3 -15.2 -12.4 -10.6 -8.9 11.4 0.2 -8.5 -0.3 -6.9 -6.9 -3.7 20.0 5.9 20.0 15.8 7.1 BUND -20.0 -3.5 -2.3 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -14.0 -13.2 -15.7 -13.8 -13.4 -10.6 10.2 14.8 11.4 12.9 -18.0 -18.7 -20.0 -20.0 -20.0 6.9 12.3 -4.4 -11.2 -4.7 -9.7 -8.5 -7.1 20.0 -6.4 5.2 -0.4 -8.9 BUXL -19.6 -9.2 -3.7 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -14.0 -12.1 -15.6 -13.3 -13.9 -12.3 2.1 0.3 2.8 2.6 -19.7 -19.3 -20.0 -20.0 -20.0 2.8 -10.8 -4.9 -9.4 -4.6 -8.7 -7.0 -7.0 1.9 -3.2 4.6 -6.1 -7.7 CAC -4.3 13.4 20.0 2.9 -1.6 3.0 -2.5 0.9 -0.3 1.8 15.5 4.3 9.9 12.4 14.7 -3.8 1.0 -3.3 -1.7 20.0 20.0 4.1 17.2 13.4 -16.1 8.9 5.9 0.4 6.0 0.9 4.1 3.6 6.1 4.3 20.0 14.8 14.1 CAD -14.4 1.1 0.1 -0.3 -4.0 1.2 -5.7 -1.4 -4.3 -10.8 -6.2 -14.2 -8.9 -8.8 -3.4 -2.3 -1.4 -2.1 -1.8 -5.7 -6.0 -15.1 -10.9 -12.4 15.8 10.4 -2.6 -4.7 -2.5 -7.7 -5.0 -6.2 1.5 -4.5 4.0 -0.4 -16.3 CANOLA 1.0 -10.2 -8.1 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -4.1 -5.2 -4.4 -9.1 -4.5 -7.0 19.3 11.5 10.7 9.2 -7.9 -11.4 -1.3 -5.6 -4.1 2.5 11.5 -5.1 -0.2 -4.6 -3.3 -1.2 -4.6 2.4 -10.0 -9.3 -20.0 -20.0 CHF -18.9 -7.2 12.9 -0.3 -4.0 1.2 -5.7 -1.4 -4.3 -13.9 9.9 -15.3 2.4 -13.5 4.5 -15.7 -13.5 -14.9 -14.5 -3.4 4.9 -20.0 2.0 -15.4 -5.4 -11.5 -1.4 -7.9 1.6 -9.0 -0.6 -6.5 -19.7 -10.6 -2.3 -6.9 1.5 COCOA 12.1 6.6 19.0 1.2 -3.9 -1.2 -1.5 -1.1 1.3 3.2 12.8 12.4 0.2 12.8 13.9 0.1 -2.6 -1.0 -1.4 15.6 12.4 15.5 5.1 17.1 -19.1 -10.4 6.1 3.3 4.9 5.8 2.3 6.5 -18.1 12.1 20.0 17.6 20.0 COFFEE 16.1 20.0 1.2 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -10.7 -6.0 2.3 -8.2 12.0 9.6 3.1 3.1 2.0 2.9 11.0 -3.3 3.4 -9.5 14.6 11.2 10.0 3.5 -3.9 -0.5 -0.1 -2.3 3.6 -9.1 -5.6 9.7 15.7 6.7 COPPER -16.9 1.9 20.0 -1.2 0.6 1.2 -2.9 1.4 -3.9 0.9 9.1 -0.7 -2.4 3.4 9.1 -0.5 -0.4 -0.9 -0.7 8.0 10.3 0.2 3.0 1.0 -3.9 11.1 1.1 0.3 3.4 -2.3 1.9 -2.6 2.8 -8.1 16.9 14.1 10.1 CORN -10.2 -8.3 -19.6 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -13.4 3.4 -14.0 1.1 -13.6 -13.7 20.0 19.9 20.0 20.0 -12.7 -7.3 -20.0 4.1 -19.0 1.7 11.0 -5.7 -7.0 -4.0 -8.8 -0.1 -7.4 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -6.3 5.6 -2.0 1.2 -3.9 -1.2 -1.5 -1.1 1.3 4.2 -8.5 -0.2 -9.7 -3.0 2.6 -4.0 11.1 -1.8 3.4 -3.2 -8.7 0.8 -9.8 -2.3 3.0 12.0 -1.1 0.4 -1.2 0.2 1.3 -1.7 -1.2 7.4 -9.3 -4.0 7.3 CRUDE_W -2.7 -0.2 -4.4 -1.7 7.8 -1.6 3.7 2.5 -0.2 10.8 0.1 2.0 1.1 -3.5 -2.8 8.2 11.9 8.4 9.5 -2.3 -1.4 0.7 3.4 -3.0 -10.8 10.8 -0.8 5.6 0.8 0.6 5.3 -1.7 -0.2 -11.5 -3.1 1.6 7.7 DAX -9.7 12.0 20.0 2.9 -1.6 3.0 -2.5 0.9 -0.3 -4.3 15.3 -3.6 4.5 12.0 14.7 -10.1 -5.2 -9.1 -7.5 19.6 20.0 -1.8 12.5 7.4 -14.8 9.9 5.5 -1.3 6.4 -0.8 3.3 2.0 -4.0 1.1 14.8 9.9 14.7 DOW -19.5 -6.7 6.8 2.9 -1.6 3.0 -2.5 0.9 -0.3 -8.2 9.3 -12.3 1.7 -10.8 -3.7 -8.1 -4.2 -7.3 -6.2 -4.4 3.8 -17.0 3.3 -15.0 -2.6 10.8 1.3 -0.9 3.4 -3.8 2.5 -2.4 -2.3 4.4 2.0 -13.0 -8.0 EUR -20.0 -7.1 20.0 -0.3 -4.0 1.2 -5.7 -1.4 -4.3 -4.7 9.6 -11.8 -2.7 -11.2 5.8 -8.6 -8.7 -8.5 -8.6 0.1 7.5 -10.4 -1.7 -10.8 -3.0 -11.1 0.4 -1.9 2.8 -4.1 -1.4 -4.0 -10.6 7.0 -2.5 0.7 7.4 EUROSTX -8.1 12.1 20.0 2.9 -1.6 3.0 -2.5 0.9 -0.3 1.7 15.5 -1.2 9.0 11.8 14.7 12.4 6.6 10.5 8.1 20.0 20.0 1.0 15.7 9.2 -17.5 -8.5 5.7 0.2 6.8 0.1 4.5 2.5 18.7 2.2 18.1 8.7 14.1 FEEDCOW 15.5 10.1 9.8 1.2 -3.9 -1.2 -1.5 -1.1 1.3 11.6 5.9 13.9 2.5 14.9 14.1 -20.0 -20.0 -20.0 -20.0 14.6 8.3 20.0 3.1 20.0 -12.6 12.2 6.0 4.1 4.3 6.5 2.2 6.8 -20.0 20.0 20.0 15.0 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 -5.9 -4.8 -15.8 -1.7 7.8 -1.6 3.7 2.5 -0.2 13.5 -7.5 6.1 8.1 -8.5 -5.9 20.0 20.0 20.0 20.0 -7.6 -4.3 5.7 8.6 -4.4 -1.7 -15.4 -4.0 6.9 -3.4 2.8 1.7 -1.7 20.0 0.8 -8.0 -2.8 -13.5 GASOILINE -3.4 8.4 -3.1 -1.7 7.8 -1.6 3.7 2.5 -0.2 12.6 -1.0 6.1 3.3 1.7 6.3 7.3 10.1 -5.0 -0.2 3.4 3.1 4.7 7.4 1.6 -13.5 -13.1 2.7 5.3 4.1 1.6 7.1 0.6 -8.7 -5.0 -4.1 13.1 17.5 GAS_US 14.6 -20.0 -20.0 -1.7 7.8 -1.6 3.7 2.5 -0.2 13.2 -15.9 11.3 -11.5 -7.7 -15.2 -15.4 -4.5 -5.1 -3.7 -20.0 -20.0 7.6 -20.0 -10.3 1.4 -9.3 -4.6 4.0 -5.7 3.6 -1.4 0.0 -20.0 13.6 7.8 -17.5 -15.8 GBP -13.5 -4.8 11.2 -0.3 -4.0 1.2 -5.7 -1.4 -4.3 -9.6 9.9 -11.8 -2.8 -10.6 4.5 -2.6 -1.9 -2.4 -2.3 -2.2 1.8 -8.6 -5.2 -8.4 13.3 9.4 -2.3 -5.0 -1.9 -4.6 -6.5 -4.6 0.7 14.3 4.7 -4.0 -7.2 GOLD_micro -20.0 -6.1 19.9 -1.2 0.6 1.2 -2.9 1.4 -3.9 5.4 6.3 -9.8 -2.7 -12.1 2.2 -12.9 -10.2 -12.4 -11.7 -2.5 6.8 -9.4 3.2 -14.1 4.6 -13.8 -0.9 1.7 1.7 -2.2 1.1 -3.9 -15.0 7.6 2.3 0.1 6.2 HEATOIL -7.1 -3.8 -12.8 -1.7 7.8 -1.6 3.7 2.5 -0.2 12.6 -6.2 1.3 7.5 -10.6 -4.1 20.0 20.0 20.0 20.0 -7.1 -3.5 1.7 8.8 -5.8 -12.5 -13.6 -2.5 5.0 -0.0 0.5 7.4 -2.7 20.0 -5.8 -11.3 -0.8 -1.6 JPY -20.0 -8.5 20.0 -0.3 -4.0 1.2 -5.7 -1.4 -4.3 -13.4 5.7 -15.5 -7.2 -15.1 2.2 -14.2 -11.7 -13.3 -12.9 -6.6 1.0 -20.0 -8.8 -19.7 3.9 9.9 -2.0 -4.8 -0.0 -6.6 -4.2 -6.1 -16.8 -2.1 -9.9 -16.1 4.7 LEANHOG 2.3 -15.1 -13.9 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -13.9 -8.9 -9.6 -5.9 -12.6 -12.3 -20.0 -20.0 -20.0 -20.0 -13.1 -11.5 -11.6 -4.5 -10.5 5.1 -11.1 -5.9 -5.6 -4.8 -5.9 -2.2 -5.9 -20.0 -20.0 -19.6 -20.0 -20.0 LIVECOW 5.5 8.3 12.3 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -8.1 14.7 2.4 7.0 13.4 14.7 15.6 -20.0 -16.4 -20.0 14.0 13.2 0.5 8.0 9.9 -20.0 12.0 5.8 -5.1 6.1 -0.7 4.6 3.3 -20.0 -8.1 9.8 16.1 20.0 MXP 14.1 8.5 12.2 -0.3 -4.0 1.2 -5.7 -1.4 -4.3 14.0 16.3 15.7 15.9 16.3 16.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.4 6.0 6.5 5.9 5.5 6.0 20.0 20.0 20.0 20.0 13.0 NASDAQ -10.1 20.0 5.7 2.9 -1.6 3.0 -2.5 0.9 -0.3 -11.6 -3.0 -13.2 -10.7 5.7 8.0 -7.0 -4.6 -6.4 -5.7 7.8 2.6 -10.8 -8.6 -1.1 4.9 10.2 4.2 -1.6 2.8 -1.3 -0.3 1.7 -2.1 0.6 10.2 12.5 1.6 NIKKEI 0.5 16.6 -3.2 2.9 -1.6 3.0 -2.5 0.9 -0.3 12.6 0.8 3.5 2.2 11.7 5.0 20.0 15.7 20.0 19.6 6.4 2.9 6.2 0.8 6.4 11.9 -9.4 2.1 6.1 -0.0 3.0 -1.5 2.5 20.0 18.6 14.1 -0.9 -20.0 NZD -20.0 -8.4 15.6 -0.3 -4.0 1.2 -5.7 -1.4 -4.3 3.1 9.2 -10.7 -1.7 -12.7 3.5 0.0 0.4 0.1 0.1 -4.1 3.0 -9.0 -2.1 -12.5 0.1 10.8 -1.5 0.4 0.9 -3.4 -1.0 -4.8 4.6 10.9 -4.4 -6.5 1.7 OAT -20.0 -4.4 -0.7 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -14.0 -11.7 -15.7 -13.2 -13.1 -9.9 8.6 12.1 10.3 11.7 -16.1 -14.9 -20.0 -20.0 -20.0 3.4 12.7 -4.0 -10.7 -4.2 -9.4 -8.5 -6.9 20.0 -5.1 7.2 1.2 -5.8 OJ -13.0 -11.2 -5.1 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -6.6 14.9 3.7 15.2 10.6 12.5 20.0 17.4 20.0 20.0 20.0 20.0 8.0 19.4 18.9 -20.0 -14.3 5.9 -2.0 5.5 2.4 5.0 5.2 18.9 20.0 20.0 20.0 20.0 PALLAD -15.1 -20.0 -20.0 -1.2 0.6 1.2 -2.9 1.4 -3.9 -7.1 -15.4 -12.8 -13.2 -14.7 -15.7 -3.2 -2.0 -2.9 -2.5 -20.0 -20.0 -16.9 -19.9 -20.0 19.0 -11.1 -6.1 -1.0 -4.6 -4.6 -3.1 -6.5 0.0 -13.2 -2.5 -20.0 -20.0 PLAT -14.0 -20.0 1.9 -1.2 0.6 1.2 -2.9 1.4 -3.9 13.6 3.4 -1.0 0.6 -10.8 -8.5 -2.5 -1.1 -2.1 -1.5 -9.9 -1.4 0.8 1.7 -10.3 -1.1 11.2 -3.7 2.4 -0.4 -1.8 0.3 -5.0 1.6 11.4 4.5 -20.0 -12.0 REDWHEAT -5.1 7.8 -11.3 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -11.3 -9.8 -12.6 -9.5 -3.8 -7.7 8.5 3.0 7.3 5.6 -6.5 -8.7 -20.0 -6.1 -12.0 0.7 12.9 -2.5 -6.2 -1.7 -8.8 0.8 -5.5 -7.4 -20.0 -16.4 -7.5 -10.0 ROBUSTA 11.6 20.0 14.8 1.2 -3.9 -1.2 -1.5 -1.1 1.3 5.9 1.2 8.8 -1.6 13.4 12.5 6.7 9.2 9.4 9.9 20.0 10.0 16.9 2.7 20.0 -7.7 9.6 4.9 3.0 2.0 4.5 0.3 5.8 1.8 20.0 20.0 20.0 20.0 RUSSELL -11.6 15.6 7.9 2.9 -1.6 3.0 -2.5 0.9 -0.3 -8.6 3.7 -12.5 -7.3 3.2 6.7 -6.4 -3.8 -5.8 -5.1 7.6 6.7 -6.8 -1.8 -1.0 -4.5 10.0 5.1 0.5 4.2 1.2 1.5 3.2 -0.9 16.9 12.3 10.5 -1.9 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 -5.8 -4.3 -5.5 -5.1 -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 4.6 -8.2 -2.3 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -5.4 6.3 -5.1 4.0 -0.8 -1.9 20.0 20.0 20.0 20.0 -1.5 -0.1 -8.0 4.6 -3.4 -12.9 -11.7 -1.7 -6.5 1.3 -8.2 5.7 -5.0 20.0 -20.0 -6.2 -13.2 2.4 SOYMEAL -4.7 5.8 20.0 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -4.4 14.3 -4.1 13.8 8.6 14.2 20.0 18.3 20.0 20.0 16.5 20.0 -2.8 19.0 6.0 -20.0 -12.0 4.9 -2.9 8.0 -2.8 8.6 0.2 18.4 -14.8 -3.6 7.4 20.0 SOYOIL 5.6 -8.3 -13.3 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -1.2 -2.8 -0.1 2.6 -4.8 -11.7 3.2 15.4 5.4 10.1 -7.7 -6.9 -2.0 2.0 -4.0 -8.0 12.9 -4.9 1.1 -3.1 -2.7 2.0 -4.1 7.9 -17.3 -10.3 -19.0 -20.0 SP400 -12.2 16.4 14.3 2.9 -1.6 3.0 -2.5 0.9 -0.3 -9.3 10.0 -13.0 0.2 3.7 7.9 -6.3 -3.5 -5.4 -4.4 11.3 13.3 -7.6 5.9 -0.5 -8.9 10.2 5.2 0.8 5.0 0.8 3.0 2.9 -0.0 13.4 11.3 9.8 2.7 SP500 -16.8 10.2 5.4 2.9 -1.6 3.0 -2.5 0.9 -0.3 -11.3 1.5 -14.1 -6.4 -0.5 5.6 -8.1 -5.0 -7.1 -6.2 2.1 3.0 -16.1 -3.4 -9.0 2.2 10.2 3.0 -2.4 2.7 -3.4 -0.2 -0.6 -2.8 -0.6 2.4 -1.7 -3.9 SUGAR11 -2.9 5.8 9.3 1.2 -3.9 -1.2 -1.5 -1.1 1.3 7.5 12.4 8.3 9.5 12.8 12.9 20.0 20.0 20.0 20.0 13.4 13.0 8.9 9.6 11.0 -20.0 10.7 6.0 2.1 7.0 2.4 5.7 3.7 20.0 8.9 1.7 17.6 20.0 US10 -20.0 -9.4 8.2 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -13.6 -8.8 -15.4 -11.9 -15.1 -6.7 -7.9 -3.1 -8.1 -6.9 -17.3 -13.0 -20.0 -20.0 -20.0 0.5 9.7 -3.8 -7.1 -2.8 -6.5 -5.7 -6.2 -9.2 12.7 -0.4 -3.6 1.9 US10U -20.0 -7.2 8.6 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -13.6 -8.0 -15.3 -11.8 -14.6 -4.5 0.0 3.1 0.3 0.9 -14.9 -11.8 -20.0 -19.7 -20.0 -2.9 -14.1 -2.9 -7.5 -2.0 -6.5 -5.2 -5.8 2.7 15.3 4.4 0.9 6.3 US20 -20.0 -6.0 10.4 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -13.9 -5.8 -15.5 -10.6 -14.3 -1.6 -5.5 -1.6 -6.2 -4.4 -14.3 -10.8 -20.0 -18.7 -20.0 -0.5 -12.3 -3.4 -8.4 -2.5 -7.4 -5.2 -6.4 -5.5 10.4 2.6 -2.4 6.8 US30 -20.0 -2.6 12.5 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -13.5 -4.6 -15.0 -11.7 -13.2 -0.8 -1.2 -0.5 -1.5 -1.3 -10.4 -9.3 -18.9 -19.8 -18.4 -4.8 10.0 -2.0 -6.4 -1.4 -6.0 -5.4 -5.3 -2.1 18.7 9.7 4.0 10.6 US5 -20.0 -12.2 6.6 -2.8 -7.5 -2.2 -7.3 -4.6 -5.7 -13.6 -9.6 -15.5 -12.4 -15.5 -8.3 -10.1 -3.3 -9.4 -7.7 -20.0 -15.2 -20.0 -20.0 -20.0 3.1 10.8 -4.2 -5.5 -3.2 -6.0 -6.0 -6.3 -10.1 12.2 -5.3 -8.1 -0.6 VIX 19.1 -4.9 -20.0 -5.0 -3.6 -5.5 -3.1 -4.4 -3.4 -11.6 -14.4 -2.1 -13.9 -7.2 -12.4 -19.3 -20.0 -20.0 -20.0 -16.1 -20.0 -3.5 -19.9 -5.4 NaN -13.5 -6.2 -3.6 -7.6 -3.2 -6.3 -3.9 NaN NaN NaN NaN NaN WHEAT -4.9 5.1 -15.4 1.2 -3.9 -1.2 -1.5 -1.1 1.3 -12.2 -12.8 -13.9 -13.4 -9.3 -12.1 -11.2 -6.8 -9.9 -8.4 -12.4 -15.4 -20.0 -12.7 -17.2 6.5 11.9 -3.2 -6.6 -2.8 -8.8 -0.7 -5.8 -20.0 -20.0 -14.5 -11.8 -14.3 End of report for caleb_strategy_v1