******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230303_204949 produced at 2023-03-03 21:36:14.408420 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.40 -0.42 0.0 40262135.22 -40262135.22 -0.40 -0.40 -10.51 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.21 -0.24 0.0 7369615.75 -7369615.75 -0.21 -0.21 -32.67 999999999 -28 -28 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.20 0.0 46133449.41 -46133449.41 -0.23 -0.23 -4.40 999999999 -5 -5 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.19 0.0 43093698.65 -43093698.65 -0.04 -0.04 -4.50 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.13 0.0 45919868.63 -45919868.63 -0.09 -0.09 -2.73 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.12 0.0 13879730.65 -13879730.65 -0.08 -0.08 -8.99 999999999 -6 -6 caleb_strategy_v1 US5 False False 0.04 -0.22 -0.12 0.0 36699758.76 -36699758.76 -0.22 -0.26 -3.22 999999999 -6 -7 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.10 0.0 48918083.82 -48918083.82 0.00 0.00 -1.99 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.25 -0.08 0.0 31819222.10 -31819222.10 -0.25 -0.29 -2.57 999999999 -8 -9 caleb_strategy_v1 US10 False False 0.04 0.00 -0.07 0.0 38342065.55 -38342065.55 0.00 0.00 -1.84 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.04 -0.05 0.0 6423819.63 -6423819.63 -0.04 -0.05 -8.55 999999999 -7 -8 caleb_strategy_v1 FEEDCOW False False 0.04 -0.19 -0.05 0.0 37046557.86 -37046557.86 -0.19 -0.19 -1.40 999999999 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9526997.41 -9526997.41 -0.02 -0.02 -3.13 999999999 -2 -2 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.02 0.0 22198594.33 -22198594.33 -0.11 -0.11 -0.71 999999999 -5 -5 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 18467187.01 -18467187.01 0.00 0.00 -0.96 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 39265312.71 -39265312.71 -0.04 -0.04 -0.59 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 10828330.03 -10828330.03 -0.01 -0.01 -0.80 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 50085772.61 -50085772.61 0.00 0.00 -0.20 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.04 -0.00 0.0 12832106.11 -12832106.11 -0.04 -0.05 -0.38 999999999 -3 -4 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 11727526.70 -11727526.70 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 13936685.52 -13936685.52 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 -0.19 -0.00 0.0 46869116.56 -46869116.56 -0.19 -0.19 -0.11 999999999 -4 -4 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 773723.36 -773723.36 -0.01 -0.01 -5.11 999999999 -8 -8 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 12588063.10 -12588063.10 0.00 0.00 0.42 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16989812.05 -16989812.05 0.00 0.00 0.31 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23384291.29 -23384291.29 0.00 0.00 0.40 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.03 0.01 0.0 5764178.61 -5764178.61 -0.03 -0.02 1.24 999999999 -6 -3 caleb_strategy_v1 SP500 False False 0.07 0.00 0.01 0.0 69907795.30 -69907795.30 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23066724.71 -23066724.71 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.01 0.0 14528671.05 -14528671.05 0.00 0.00 0.65 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 8091596.47 -8091596.47 0.00 0.00 2.49 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 9867863.71 -9867863.71 0.06 0.06 2.41 999999999 6 6 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4187002.29 -4187002.29 0.00 0.00 4.51 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.01 0.02 0.0 7473170.07 -7473170.07 0.01 0.02 2.09 999999999 2 3 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21492699.05 -21492699.05 0.00 0.00 0.94 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 35217098.21 -35217098.21 0.00 0.00 0.56 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15834416.46 -15834416.46 0.00 0.00 2.07 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 29469833.47 -29469833.47 0.00 0.00 1.04 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.03 0.0 40654183.25 -40654183.25 0.00 0.04 0.69 999999999 0 1 caleb_strategy_v1 GBP False False 0.03 0.16 0.03 0.0 25996449.00 -25996449.00 0.16 0.18 1.19 999999999 6 7 caleb_strategy_v1 DAX False False 0.01 0.03 0.03 0.0 5732278.68 -5732278.68 0.03 0.03 6.01 999999999 5 5 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 41154821.30 -41154821.30 0.04 0.04 1.00 999999999 1 1 caleb_strategy_v1 CAC False False 0.03 0.03 0.04 0.0 27083449.82 -27083449.82 0.03 0.05 1.59 999999999 1 2 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.04 0.0 3337037.95 -3337037.95 0.00 0.00 10.74 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.08 0.04 0.0 84940430.71 -84940430.71 0.08 0.08 0.43 999999999 1 1 caleb_strategy_v1 CAD False False 0.03 0.00 0.04 0.0 25405326.42 -25405326.42 0.00 0.00 1.45 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.00 0.04 0.0 42030845.73 -42030845.73 0.00 0.00 0.88 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.04 0.0 23713939.20 -23713939.20 0.00 0.00 1.58 999999999 0 0 caleb_strategy_v1 OAT False False 0.05 0.09 0.05 0.0 46513598.35 -46513598.35 0.09 0.09 1.16 999999999 2 2 caleb_strategy_v1 SP400 False False 0.09 0.55 0.05 0.0 91590343.93 -91590343.93 0.55 0.64 0.54 999999999 6 7 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.05 0.0 16302901.73 -16302901.73 0.10 0.10 3.18 999999999 6 6 caleb_strategy_v1 MXP False False 0.01 0.03 0.05 0.0 9594307.72 -9594307.72 0.03 0.03 4.98 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.16 0.08 0.0 26713562.66 -26713562.66 0.16 0.16 2.90 999999999 6 6 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.39 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.10 0.23 0.0 48434254.43 -48434254.43 0.10 0.05 4.70 999999999 2 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.50 0.0 0.00 0.00 0.00 0.00 70.57 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 18.6 Shocked risk 58.2 Sum abs risk 52.5 Leverage 3.68 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2897030.28, 'annual_cash_vol_target': 724257.57, 'daily_cash_vol_target': 45266.098125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0049 0.6774 0.7193 11.5086 BITCOIN 740.7926 22415.0000 3.3049 52.8783 BOBL 0.3111 114.6700 0.2713 4.3409 BTP 0.8627 112.2800 0.7683 12.2932 BUND 0.6907 132.1400 0.5227 8.3633 BUXL 1.6508 133.4600 1.2369 19.7905 CAC 60.9421 7389.0000 0.8248 13.1963 CAD 0.0030 0.7360 0.4107 6.5717 CANOLA 6.1112 823.4000 0.7422 11.8751 CHF 0.0053 1.0692 0.4963 7.9415 COCOA 33.5178 2760.0000 1.2144 19.4306 COFFEE 3.4917 178.2000 1.9594 31.3506 COPPER 0.0569 4.0810 1.3952 22.3225 CORN 4.4769 571.7500 0.7830 12.5282 COTTON2 1.3906 84.1800 1.6520 26.4319 CRUDE_W 1.1964 77.3900 1.5459 24.7341 DAX 130.8574 15639.0000 0.8367 13.3878 DOW 244.3368 33398.0000 0.7316 11.7055 EUR 0.0054 1.0642 0.5071 8.1128 EUROSTX 39.0058 4320.0000 0.9029 14.4466 FEEDCOW 1.0655 214.6500 0.4964 7.9422 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.8242 853.7500 1.8535 29.6560 GASOILINE 0.0470 2.7084 1.7356 27.7703 GAS_US 0.1424 3.1370 4.5381 72.6090 GBP 0.0077 1.2050 0.6427 10.2835 GOLD_micro 14.0315 1861.0000 0.7540 12.0636 HEATOIL 0.0502 2.8042 1.7893 28.6290 JPY 0.0001 0.0074 0.7229 11.5664 LEANHOG 1.1759 100.5250 1.1697 18.7159 LIVECOW 0.8525 160.7750 0.5302 8.4837 MXP 0.0003 0.0556 0.6268 10.0281 NASDAQ 140.3286 12303.7500 1.1405 18.2486 NIKKEI 217.5332 28210.0000 0.7711 12.3379 NZD 0.0043 0.6226 0.6891 11.0250 OAT 0.7262 126.9000 0.5722 9.1558 OJ 5.1556 226.5000 2.2762 36.4194 PALLAD 33.7158 1451.0000 2.3236 37.1780 PLAT 17.5805 984.4000 1.7859 28.5745 REDWHEAT 11.8501 807.5000 1.4675 23.4802 ROBUSTA 27.6048 2165.0000 1.2750 20.4008 RUSSELL 19.2014 1933.5000 0.9931 15.8894 SILVER-mini 0.3454 21.4000 1.6142 25.8275 SOYBEAN 10.4706 1374.0000 0.7621 12.1928 SOYMEAL 5.3967 472.3000 1.1426 18.2822 SOYOIL 0.7872 60.7800 1.2952 20.7229 SP400 21.8737 2653.4000 0.8244 13.1899 SP500 33.7052 4050.5000 0.8321 13.3140 SUGAR11 0.3372 20.9300 1.6111 25.7773 US10 0.4501 111.0781 0.4052 6.4839 US10U 0.6212 116.6406 0.5326 8.5212 US20 0.9249 124.8438 0.7409 11.8542 US30 1.4205 135.7812 1.0462 16.7391 US5 0.2888 106.3203 0.2717 4.3465 VIX 0.5223 21.3500 2.4463 39.1404 WHEAT 9.6835 743.5000 1.3024 20.8386 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 677.45 0.72 487.28 1.00 487.28 45266.1 92.90 2.73 25.33 BITCOIN 22.42 3.30 74.08 1.00 74.08 45266.1 611.05 -3.55 -216.73 BOBL 1146.70 0.27 311.11 1.06 331.04 45266.1 136.74 0.89 12.13 BTP 1122.80 0.77 862.67 1.06 917.96 45266.1 49.31 10.06 49.61 BUND 1321.40 0.52 690.71 1.06 734.97 45266.1 61.59 10.57 65.09 BUXL 1334.60 1.24 1650.77 1.06 1756.56 45266.1 25.77 -9.18 -23.66 CAC 738.90 0.82 609.42 1.06 648.48 45266.1 69.80 8.11 56.61 CAD 736.00 0.41 302.30 1.00 302.30 45266.1 149.74 5.41 81.08 CANOLA 164.68 0.74 122.22 0.73 89.82 45266.1 503.96 9.75 491.19 CHF 1336.50 0.50 663.36 1.00 663.36 45266.1 68.24 -17.24 -117.63 COCOA 276.00 1.21 335.18 1.00 335.18 45266.1 135.05 -10.63 -143.57 COFFEE 668.25 1.96 1309.38 1.00 1309.38 45266.1 34.57 8.14 28.14 COPPER 1020.25 1.40 1423.41 1.00 1423.41 45266.1 31.80 6.45 20.50 CORN 285.88 0.78 223.84 1.00 223.84 45266.1 202.22 13.21 267.05 COTTON2 420.90 1.65 695.32 1.00 695.32 45266.1 65.10 6.65 43.31 CRUDE_W 773.90 1.55 1196.36 1.00 1196.36 45266.1 37.84 5.80 21.95 DAX 156.39 0.84 130.86 1.06 139.24 45266.1 325.09 3.40 110.58 DOW 166.99 0.73 122.17 1.00 122.17 45266.1 370.52 1.18 43.67 EUR 1330.31 0.51 674.54 1.00 674.54 45266.1 67.11 -10.86 -72.87 EUROSTX 432.00 0.90 390.06 1.06 415.05 45266.1 109.06 6.74 73.52 FEEDCOW 1073.25 0.50 532.75 1.00 532.75 45266.1 84.97 -6.13 -52.11 FTSE100 707.00 0.82 576.59 1.20 666.67 45266.1 67.90 7.70 52.27 GASOIL 853.75 1.85 1582.42 1.00 1582.42 45266.1 28.61 5.09 14.57 GASOILINE 1137.53 1.74 1974.34 1.00 1974.34 45266.1 22.93 -6.26 -14.36 GAS_US 313.70 4.54 1423.59 1.00 1423.59 45266.1 31.80 -16.74 -53.21 GBP 753.12 0.64 484.05 1.00 484.05 45266.1 93.52 7.12 66.61 GOLD_micro 186.10 0.75 140.31 1.00 140.31 45266.1 322.60 -11.85 -382.25 HEATOIL 1177.76 1.79 2107.39 1.00 2107.39 45266.1 21.48 4.49 9.64 JPY 921.81 0.72 666.38 1.00 666.38 45266.1 67.93 -5.84 -39.66 LEANHOG 402.10 1.17 470.35 1.00 470.35 45266.1 96.24 -20.00 -192.48 LIVECOW 643.10 0.53 340.99 1.00 340.99 45266.1 132.75 -1.98 -26.35 MXP 277.95 0.63 174.21 1.00 174.21 45266.1 259.84 15.66 406.96 NASDAQ 2460.75 1.14 2806.57 1.00 2806.57 45266.1 16.13 4.92 7.93 NIKKEI 28210.00 0.77 21753.32 0.01 159.13 45266.1 284.45 13.06 371.56 NZD 622.65 0.69 429.05 1.00 429.05 45266.1 105.50 5.57 58.80 OAT 1269.00 0.57 726.17 1.06 772.71 45266.1 58.58 9.81 57.46 OJ 339.75 2.28 773.34 1.00 773.34 45266.1 58.53 -4.05 -23.73 PALLAD 1451.00 2.32 3371.58 1.00 3371.58 45266.1 13.43 -6.28 -8.43 PLAT 492.20 1.79 879.02 1.00 879.02 45266.1 51.50 2.47 12.73 REDWHEAT 403.75 1.47 592.51 1.00 592.51 45266.1 76.40 1.63 12.43 ROBUSTA 216.50 1.28 276.05 1.00 276.05 45266.1 163.98 9.83 161.20 RUSSELL 96.68 0.99 96.01 1.00 96.01 45266.1 471.49 4.40 207.35 SILVER-mini 535.00 1.61 863.61 1.00 863.61 45266.1 52.42 -8.16 -42.79 SOYBEAN 687.00 0.76 523.53 1.00 523.53 45266.1 86.46 3.10 26.83 SOYMEAL 472.30 1.14 539.67 1.00 539.67 45266.1 83.88 6.43 53.91 SOYOIL 364.68 1.30 472.33 1.00 472.33 45266.1 95.84 4.72 45.24 SP400 2653.40 0.82 2187.37 1.00 2187.37 45266.1 20.69 5.01 10.37 SP500 2025.25 0.83 1685.26 1.00 1685.26 45266.1 26.86 2.55 6.85 SUGAR11 234.42 1.61 377.66 1.00 377.66 45266.1 119.86 15.30 183.37 US10 1110.78 0.41 450.13 1.00 450.13 45266.1 100.56 -4.78 -48.08 US10U 1166.41 0.53 621.20 1.00 621.20 45266.1 72.87 -9.90 -72.13 US20 1248.44 0.74 924.95 1.00 924.95 45266.1 48.94 -12.47 -61.02 US30 1357.81 1.05 1420.53 1.00 1420.53 45266.1 31.87 -0.40 -1.26 US5 1063.20 0.27 288.82 1.00 288.82 45266.1 156.73 -5.35 -83.87 VIX 213.50 2.45 522.28 1.00 522.28 45266.1 86.67 -20.00 -173.34 WHEAT 371.75 1.30 484.17 1.00 484.17 45266.1 93.49 -7.58 -70.88 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 25.327 0.006 2.5 0.405 BITCOIN -216.730 0.009 2.5 -5.107 BOBL 12.131 0.029 2.5 0.875 BTP 49.609 0.008 2.5 1.002 BUND 65.088 0.029 2.5 4.697 BUXL -23.659 0.034 2.5 -1.986 CAC 56.609 0.011 2.5 1.591 CAD 81.077 0.007 2.5 1.448 CANOLA 491.193 0.004 2.5 4.509 CHF -117.629 0.015 2.5 -4.402 COCOA -143.569 0.009 2.5 -3.127 COFFEE 28.143 0.005 2.5 0.365 COPPER 20.497 0.011 2.5 0.560 CORN 267.046 0.004 2.5 2.409 COTTON2 43.312 0.006 2.5 0.652 CRUDE_W 21.953 0.053 2.5 2.900 DAX 110.580 0.022 2.5 6.005 DOW 43.665 0.011 2.5 1.244 EUR -72.869 0.015 2.5 -2.727 EUROSTX 73.520 0.011 2.5 2.067 FEEDCOW -52.115 0.011 2.5 -1.400 FTSE100 52.266 0.041 2.5 5.388 GASOIL 14.574 0.029 2.5 1.040 GASOILINE -14.363 0.016 2.5 -0.590 GAS_US -53.213 0.006 2.5 -0.801 GBP 66.605 0.007 2.5 1.189 GOLD_micro -382.245 0.009 2.5 -8.553 HEATOIL 9.639 0.029 2.5 0.688 JPY -39.657 0.026 2.5 -2.567 LEANHOG -192.477 0.019 2.5 -8.992 LIVECOW -26.349 0.011 2.5 -0.708 MXP 406.957 0.005 2.5 4.982 NASDAQ 7.932 0.022 2.5 0.431 NIKKEI 371.563 0.076 2.5 70.572 NZD 58.796 0.006 2.5 0.939 OAT 57.464 0.008 2.5 1.161 OJ -23.726 0.007 2.5 -0.414 PALLAD -8.432 0.010 2.5 -0.203 PLAT 12.725 0.010 2.5 0.306 REDWHEAT 12.427 0.002 2.5 0.066 ROBUSTA 161.200 0.005 2.5 2.090 RUSSELL 207.349 0.021 2.5 10.740 SILVER-mini -42.793 0.009 2.5 -0.957 SOYBEAN 26.828 0.024 2.5 1.582 SOYMEAL 53.907 0.024 2.5 3.178 SOYOIL 45.240 0.004 2.5 0.415 SP400 10.373 0.021 2.5 0.537 SP500 6.851 0.011 2.5 0.195 SUGAR11 183.368 0.005 2.5 2.488 US10 -48.076 0.015 2.5 -1.844 US10U -72.130 0.058 2.5 -10.509 US20 -61.022 0.029 2.5 -4.498 US30 -1.262 0.034 2.5 -0.106 US5 -83.865 0.015 2.5 -3.217 VIX -173.340 0.075 2.5 -32.666 WHEAT -70.879 0.002 2.5 -0.378 ==================== Position diags ==================== AUD 1.48 BITCOIN 14.40 BOBL 9.87 BTP 1.00 BUND 4.44 BUXL 2.16 CAC 1.96 CAD 2.67 CANOLA 4.63 CHF 2.55 COCOA 2.94 COFFEE 0.45 COPPER 0.87 CORN 1.82 COTTON2 0.98 CRUDE_W 5.00 DAX 17.65 DOW 10.56 EUR 2.51 EUROSTX 3.07 FEEDCOW 2.28 FTSE100 7.00 GASOIL 2.04 GASOILINE 0.94 GAS_US 0.48 GBP 1.67 GOLD_micro 7.22 HEATOIL 1.53 JPY 4.40 LEANHOG 4.50 LIVECOW 3.57 MXP 3.18 NASDAQ 0.88 NIKKEI 54.03 NZD 1.69 OAT 1.18 OJ 1.02 PALLAD 0.32 PLAT 1.24 REDWHEAT 0.41 ROBUSTA 2.13 RUSSELL 24.42 SILVER-mini 1.17 SOYBEAN 5.10 SOYMEAL 4.95 SOYOIL 0.88 SP400 1.07 SP500 0.77 SUGAR11 1.63 US10 3.86 US10U 10.62 US20 3.61 US30 2.67 US5 6.01 VIX 16.33 WHEAT 0.50 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.4 0.3 0.6 0.0 0 BITCOIN -5.1 -6.5 -3.7 -8.0 -8 BOBL 0.9 -0.1 1.9 0.0 0 BTP 1.0 0.9 1.1 1.0 1 BUND 4.7 4.3 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 4.5 4.0 5.0 NaN 0 CHF -4.4 -4.7 -4.1 -5.0 -5 COCOA -3.1 -3.4 -2.8 -2.0 -2 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.6 0.5 0.6 0.0 0 CORN 2.4 2.2 2.6 6.0 6 COTTON2 0.7 0.6 0.8 NaN 0 CRUDE_W 2.9 2.4 3.4 6.0 6 DAX 6.0 4.2 7.8 5.0 5 DOW 1.2 0.2 2.3 -6.0 -6 EUR -2.7 -3.0 -2.5 -2.0 -2 EUROSTX 2.1 1.8 2.4 0.0 0 FEEDCOW -1.4 -1.6 -1.2 -5.0 -5 FTSE100 5.4 4.7 6.1 0.0 0 GASOIL 1.0 0.8 1.2 0.0 0 GASOILINE -0.6 -0.7 -0.5 -1.0 -1 GAS_US -0.8 -0.8 -0.8 -1.0 -1 GBP 1.2 1.0 1.4 6.0 6 GOLD_micro -8.6 -9.3 -7.8 -7.0 -7 HEATOIL 0.7 0.5 0.8 0.0 0 JPY -2.6 -3.0 -2.1 -8.0 -8 LEANHOG -9.0 -9.4 -8.5 -6.0 -6 LIVECOW -0.7 -1.1 -0.4 -5.0 -5 MXP 5.0 4.7 5.3 3.0 3 NASDAQ 0.4 0.3 0.5 1.0 1 NIKKEI 70.6 65.2 76.0 0.0 0 NZD 0.9 0.8 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 0.2 0.4 NaN 0 REDWHEAT 0.1 0.0 0.1 0.0 0 ROBUSTA 2.1 1.9 2.3 2.0 2 RUSSELL 10.7 8.3 13.2 0.0 0 SILVER-mini -1.0 -1.1 -0.8 0.0 0 SOYBEAN 1.6 1.1 2.1 0.0 0 SOYMEAL 3.2 2.7 3.7 6.0 6 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.5 0.4 0.6 6.0 6 SP500 0.2 0.1 0.3 0.0 0 SUGAR11 2.5 2.3 2.7 0.0 0 US10 -1.8 -2.2 -1.5 NaN 0 US10U -10.5 -11.6 -9.4 -10.0 -10 US20 -4.5 -4.9 -4.1 -1.0 -1 US30 -0.1 -0.4 0.2 -4.0 -4 US5 -3.2 -3.8 -2.6 -6.0 -6 VIX -32.7 -34.3 -31.0 -28.0 -28 WHEAT -0.4 -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 -0.1 0.0 -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 -0.1 -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 0.1 0.1 -0.0 -0.1 0.0 1.7 -4.8 0.0 -0.0 0.0 -0.0 -0.0 0.0 0.1 -0.1 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 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 -0.0 0.6 0.5 0.2 0.3 -0.1 -0.0 -0.0 -0.2 -0.0 -1.2 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 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.4 -0.1 -0.3 0.9 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 0.0 -0.0 -0.1 BUXL -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 0.2 0.0 0.1 0.1 -0.2 -0.2 -0.0 -0.3 -0.0 0.4 -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 0.0 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 -0.2 -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 0.0 -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 0.5 0.2 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 0.5 2.9 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.6 -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 -0.0 0.1 -0.1 0.1 -1.1 -0.5 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0.2 0.1 0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.7 0.5 0.2 0.2 -0.0 -0.0 0.0 0.0 -0.0 -1.3 2.1 -0.0 0.0 0.0 0.0 0.1 0.0 -0.0 -0.1 -0.0 0.0 0.1 DAX -0.2 0.1 0.4 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.4 0.0 0.1 0.1 0.4 -0.4 -0.2 -0.1 -0.1 0.2 0.3 0.0 0.2 0.0 -2.2 2.2 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.0 0.3 0.1 0.2 DOW -0.2 -0.1 0.1 0.1 0.0 0.1 0.0 0.0 0.0 0.0 0.2 -0.0 0.0 -0.0 -0.1 -0.6 -0.2 -0.2 -0.1 -0.0 0.0 -0.0 0.0 -0.0 -0.3 2.1 0.0 0.0 0.0 0.0 0.0 -0.0 -0.3 0.1 0.1 -0.2 -0.1 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 0.1 -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 0.0 -0.1 0.0 0.1 EUROSTX -0.1 0.1 0.3 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.4 0.0 0.2 0.1 0.4 1.0 0.3 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -2.3 -1.8 0.1 0.0 0.1 0.0 0.1 0.0 2.6 0.0 0.2 0.1 0.2 FEEDCOW 0.1 0.2 0.2 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 0.2 0.1 0.0 0.0 0.0 -2.1 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 -0.0 -0.1 -0.3 -0.0 0.1 -0.0 0.2 0.1 0.0 0.1 -0.2 0.0 0.2 -0.0 -0.1 1.7 0.9 0.4 0.4 -0.1 -0.1 0.0 0.1 -0.0 -0.2 -3.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 2.7 0.0 -0.1 -0.0 -0.2 GASOILINE -0.0 0.1 -0.0 -0.0 0.1 -0.0 0.1 0.1 0.0 0.0 -0.0 0.0 0.1 0.0 0.2 0.7 0.4 -0.1 0.0 0.1 0.0 0.0 0.1 0.0 -1.7 -2.6 0.0 0.0 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 -0.0 0.0 -0.1 0.0 -0.0 0.0 -2.7 0.2 0.1 -0.2 -0.2 GBP -0.1 -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 -0.0 -0.1 GOLD_micro -0.2 -0.1 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.2 -0.0 -0.1 -0.0 0.0 -1.0 -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 0.1 0.0 0.1 HEATOIL -0.1 -0.1 -0.2 -0.0 0.1 -0.0 0.2 0.1 0.0 0.1 -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 -0.2 0.3 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.2 -0.1 0.0 -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 -0.1 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.1 -0.0 -0.1 -0.0 0.9 -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 1.6 -0.8 -0.3 -0.4 0.1 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 -0.0 0.0 0.4 0.0 0.4 0.1 0.4 1.5 0.8 0.4 0.4 0.2 0.2 0.0 0.2 0.0 -3.6 2.2 0.1 0.0 0.1 0.0 0.1 0.0 2.2 0.0 0.4 0.3 0.2 NASDAQ -0.1 0.3 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.3 0.0 0.2 -0.5 -0.2 -0.1 -0.1 0.1 0.0 -0.0 -0.1 0.0 0.5 1.9 0.1 0.0 0.0 0.0 -0.0 0.0 -0.3 0.1 0.2 0.2 0.0 NIKKEI 0.0 0.3 -0.1 0.0 0.0 0.1 0.0 0.0 0.0 0.0 0.0 0.0 0.1 0.1 0.1 1.2 0.6 0.4 0.4 0.1 0.0 0.0 0.0 0.0 1.6 -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 0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 0.2 -0.0 -0.0 -0.0 0.1 0.0 0.0 0.0 0.0 -0.1 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 -0.1 -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 0.4 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 -0.1 -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 3.6 -2.6 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.3 -0.3 PLAT -0.1 -0.3 0.0 -0.0 0.0 0.0 -0.0 0.0 -0.0 0.0 0.1 0.0 0.0 -0.0 -0.2 -0.2 -0.0 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-0.3 -0.2 -0.2 -0.2 -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 -2.4 11.8 -0.4 -0.6 1.2 -4.2 -1.4 -4.0 -8.2 5.7 -13.6 -3.1 -12.1 1.8 -3.6 -2.7 -3.4 -3.2 -3.5 1.9 -14.4 -2.9 -14.1 4.3 11.7 -1.6 -1.5 0.3 -5.5 -1.5 -5.5 -0.7 -5.0 -6.8 -2.4 -3.1 BITCOIN -6.7 20.0 19.3 -1.1 2.7 1.2 -1.4 1.4 -3.3 -12.8 7.8 -2.6 -13.0 10.2 12.2 -4.4 -1.3 -2.3 -1.3 12.9 5.7 -5.0 -11.3 5.7 7.8 -18.1 4.2 -4.3 2.6 -1.7 -0.8 1.8 1.8 -19.6 20.0 20.0 0.8 BOBL -20.0 -7.1 -8.1 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -13.5 -14.6 -15.6 -14.4 -15.0 -13.1 -12.6 4.3 -7.9 -1.3 -20.0 -20.0 -20.0 -20.0 -20.0 11.9 10.8 -5.2 -7.7 -5.3 -8.9 -8.2 -7.4 3.4 -13.0 -3.8 -6.3 -15.8 BTP -13.8 1.1 9.4 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -7.3 -1.6 -13.3 -10.1 -8.5 -0.5 6.7 12.6 9.1 11.7 -4.2 -3.5 -12.8 -12.4 -10.4 -9.4 11.4 -0.1 -4.1 -0.4 -5.8 -6.9 -3.7 20.0 6.2 20.0 16.0 7.4 BUND -20.0 -5.8 -2.5 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -11.4 -13.3 -14.9 -13.9 -13.7 -11.1 10.3 14.7 11.4 12.9 -18.9 -19.3 -20.0 -20.0 -20.0 6.9 12.3 -4.6 -7.1 -4.8 -8.5 -8.3 -7.0 20.0 -6.7 2.2 -1.0 -8.7 BUXL -20.0 -11.6 -3.8 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -10.6 -12.3 -14.4 -13.3 -14.0 -12.6 2.2 0.3 2.8 2.6 -20.0 -19.7 -20.0 -20.0 -20.0 2.9 -10.8 -5.0 -5.6 -4.6 -7.5 -6.9 -6.9 1.9 -3.5 4.3 -6.2 -7.5 CAC -4.7 11.5 20.0 3.1 4.1 3.1 0.2 1.0 0.6 9.3 15.6 7.7 10.1 13.0 14.9 -4.0 0.9 -3.4 -1.8 20.0 20.0 8.4 17.2 14.3 -16.2 8.9 6.0 3.6 6.1 2.3 4.2 3.9 6.1 -0.9 20.0 14.1 13.8 CAD -14.3 0.1 -0.7 -0.4 -0.6 1.2 -4.2 -1.4 -4.0 -8.2 -6.3 -13.3 -8.9 -9.5 -4.0 -2.3 -1.4 -2.1 -1.9 -6.1 -6.3 -12.7 -11.1 -12.1 15.8 10.4 -2.8 -2.4 -2.6 -6.3 -5.1 -6.0 1.5 -3.7 0.9 -1.4 -16.3 CANOLA 1.4 -9.8 -8.3 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -3.5 -5.0 -3.5 -9.2 -3.9 -6.9 20.0 12.3 13.4 10.7 -7.8 -11.5 -0.5 -5.8 -3.6 2.4 11.5 -5.1 0.2 -4.7 -2.6 -1.3 -4.4 4.5 -9.1 -9.5 -20.0 -20.0 CHF -18.9 -8.5 12.3 -0.4 -0.6 1.2 -4.2 -1.4 -4.0 -8.2 9.6 -13.0 2.3 -13.2 3.4 -15.8 -13.6 -15.0 -14.5 -3.7 4.4 -15.3 1.8 -14.1 -5.3 -11.5 -1.5 -2.5 1.4 -6.9 -0.6 -6.1 -19.7 -9.7 -2.6 -6.9 0.7 COCOA 12.1 6.4 18.3 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -5.8 12.8 10.0 0.4 11.5 13.5 -0.1 -2.6 -1.0 -1.4 15.4 12.5 10.6 5.2 15.3 -19.3 -10.4 6.0 -0.1 5.0 4.0 2.4 5.9 -17.7 2.0 20.0 16.7 20.0 COFFEE 14.2 20.0 2.3 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -12.9 -5.9 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2.6 -4.0 2.4 12.9 9.6 14.0 DOW -17.6 -5.7 6.1 3.1 4.1 3.1 0.2 1.0 0.6 6.9 9.2 -8.4 1.7 -9.1 -3.8 -8.2 -4.3 -7.3 -6.3 -3.8 3.6 -8.0 3.2 -11.5 -2.5 10.8 1.8 7.4 3.5 0.6 2.5 -0.7 -2.2 3.6 4.3 -12.2 -8.2 EUR -20.0 -8.4 20.0 -0.4 -0.6 1.2 -4.2 -1.4 -4.0 -0.7 9.5 -8.7 -2.6 -11.1 5.1 -8.6 -8.7 -8.5 -8.6 -0.1 7.2 -7.6 -1.7 -9.8 -3.2 -11.1 0.3 0.2 2.7 -3.0 -1.5 -3.7 -10.6 3.7 -3.6 0.7 7.3 EUROSTX -9.7 9.0 20.0 3.1 4.1 3.1 0.2 1.0 0.6 8.5 15.5 3.3 9.2 12.4 14.8 12.4 6.6 10.6 8.2 19.4 20.0 6.2 15.2 10.2 -17.6 -8.5 5.8 4.9 6.8 2.1 4.5 3.1 18.9 2.1 16.2 8.4 13.6 FEEDCOW 16.1 11.4 10.0 1.0 -4.9 -1.3 -2.5 -1.1 0.6 13.3 6.5 14.7 2.8 15.2 14.4 -20.0 -20.0 -20.0 -20.0 15.5 8.7 20.0 3.3 20.0 -12.3 12.2 6.0 7.3 4.2 7.3 2.1 7.1 -20.0 20.0 20.0 16.6 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 -2.7 -5.1 -15.3 -1.0 11.8 -1.4 6.5 2.5 1.4 13.9 -7.4 9.4 8.1 -7.1 -5.2 20.0 20.0 20.0 20.0 -6.4 -4.0 10.1 8.7 -1.5 -1.7 -15.4 -3.4 9.0 -3.3 4.7 1.8 -0.5 20.0 0.2 -7.0 -2.9 -13.5 GASOILINE -1.6 8.0 -2.4 -1.0 11.8 -1.4 6.5 2.5 1.4 13.6 -0.4 9.3 3.3 3.2 7.0 8.3 10.1 -4.3 0.2 4.3 3.4 10.0 7.4 4.3 -13.5 -13.1 3.1 8.6 4.2 4.0 7.1 1.8 -8.4 -7.3 -3.3 12.3 17.1 GAS_US 20.0 -20.0 -20.0 -1.0 11.8 -1.4 6.5 2.5 1.4 13.8 -15.8 12.9 -11.5 -5.6 -14.9 -15.9 -4.7 -5.6 -4.1 -20.0 -20.0 12.1 -20.0 -6.4 2.0 -9.3 -4.0 6.8 -5.5 5.1 -1.4 1.1 -20.0 14.2 5.2 -16.7 -15.3 GBP -12.4 -5.9 10.8 -0.4 -0.6 1.2 -4.2 -1.4 -4.0 -0.8 9.9 -8.5 -2.7 -10.3 3.7 -2.6 -2.0 -2.4 -2.3 -2.1 1.7 -5.2 -5.0 -7.2 13.1 9.4 -2.3 -0.1 -2.0 -2.9 -6.6 -4.2 0.7 12.7 7.0 -3.4 -6.7 GOLD_micro -20.0 -7.9 18.8 -1.1 2.7 1.2 -1.4 1.4 -3.3 11.2 6.2 -5.3 -2.7 -11.1 1.9 -13.0 -10.2 -12.4 -11.8 -2.0 6.5 -3.2 3.1 -10.9 4.5 -13.8 -0.7 4.9 1.8 -0.1 1.2 -3.0 -15.0 9.9 4.2 0.1 6.2 HEATOIL -4.6 -4.0 -10.5 -1.0 11.8 -1.4 6.5 2.5 1.4 13.4 -6.1 5.8 7.5 -9.6 -3.6 20.0 20.0 20.0 20.0 -6.2 -3.3 5.5 8.7 -3.5 -12.3 -13.6 -2.1 7.3 0.1 2.4 7.4 -1.5 20.0 -9.8 -11.7 -1.7 -1.9 JPY -20.0 -10.2 20.0 -0.4 -0.6 1.2 -4.2 -1.4 -4.0 -7.4 5.5 -14.0 -7.2 -14.8 1.4 -14.3 -11.8 -13.4 -13.0 -7.0 0.6 -16.6 -8.8 -18.5 3.9 9.9 -2.2 -1.8 -0.2 -5.3 -4.2 -5.8 -16.9 -2.1 -11.3 -15.6 3.9 LEANHOG 2.0 -14.8 -14.8 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -14.0 -9.3 -11.8 -6.1 -13.4 -12.8 -20.0 -20.0 -20.0 -20.0 -13.9 -12.1 -12.8 -4.9 -11.8 6.0 -11.1 -5.9 -4.8 -4.8 -5.8 -2.2 -6.0 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW 3.8 7.6 11.8 1.0 -4.9 -1.3 -2.5 -1.1 0.6 1.0 14.8 3.7 7.2 13.5 14.8 20.0 -20.0 -13.5 -20.0 13.3 12.7 2.0 7.8 9.2 -20.0 12.0 5.8 -1.2 6.2 -0.0 4.8 3.2 -20.0 -3.1 8.3 16.2 20.0 MXP 15.6 10.2 14.7 -0.4 -0.6 1.2 -4.2 -1.4 -4.0 14.1 16.3 15.8 15.9 16.4 16.4 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.4 7.8 6.3 6.9 5.3 6.3 20.0 20.0 20.0 20.0 14.9 NASDAQ -10.6 20.0 6.6 3.1 4.1 3.1 0.2 1.0 0.6 5.8 -2.9 -9.5 -10.7 6.0 8.1 -7.0 -4.6 -6.4 -5.8 7.8 2.7 -3.3 -8.1 0.9 4.8 10.2 4.4 3.4 2.9 0.9 -0.2 2.4 -2.1 4.8 8.5 13.5 1.8 NIKKEI 1.1 16.9 -3.0 3.1 4.1 3.1 0.2 1.0 0.6 13.6 1.3 7.8 2.4 12.7 6.0 20.0 15.9 20.0 19.8 7.3 3.3 14.4 1.0 9.7 11.7 -9.4 2.6 13.7 0.3 7.2 -1.2 4.2 20.0 20.0 15.7 2.0 -20.0 NZD -19.7 -9.5 14.0 -0.4 -0.6 1.2 -4.2 -1.4 -4.0 5.3 9.1 -9.1 -1.7 -12.4 2.5 0.0 0.4 0.1 0.1 -4.3 2.7 -7.2 -2.2 -11.7 0.1 10.8 -1.6 0.7 0.8 -2.7 -1.1 -4.5 4.6 9.2 -2.9 -6.8 1.7 OAT -20.0 -6.9 -1.0 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -11.2 -11.9 -14.8 -13.2 -13.5 -10.5 8.7 12.1 10.3 11.6 -16.9 -15.4 -20.0 -20.0 -20.0 3.4 12.7 -4.2 -6.8 -4.3 -8.3 -8.4 -6.9 20.0 -5.9 4.0 0.7 -5.7 OJ -19.9 -12.4 -5.8 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -11.8 14.7 -2.9 15.1 8.6 11.6 20.0 17.4 20.0 20.0 19.8 20.0 -1.1 19.4 14.2 -20.0 -14.3 5.7 -3.5 5.6 0.8 5.1 4.4 19.2 7.0 20.0 20.0 20.0 PALLAD -14.6 -20.0 -20.0 -1.1 2.7 1.2 -1.4 1.4 -3.3 -4.8 -15.4 -11.7 -13.3 -14.4 -15.7 -3.1 -2.0 -2.9 -2.5 -20.0 -20.0 -13.5 -20.0 -20.0 19.6 -11.1 -6.0 -0.1 -4.7 -3.6 -3.2 -6.0 0.0 -14.3 -8.6 -20.0 -20.0 PLAT -10.2 -20.0 1.6 -1.1 2.7 1.2 -1.4 1.4 -3.3 13.9 3.4 4.5 0.6 -9.4 -8.0 -2.5 -1.1 -2.1 -1.5 -8.8 -1.3 5.3 1.6 -7.3 -1.1 11.2 -3.5 4.5 -0.4 -0.1 0.3 -4.1 1.6 14.7 3.5 -20.0 -11.9 REDWHEAT -7.4 7.2 -11.1 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -12.9 -10.1 -13.6 -9.6 -5.7 -8.5 8.5 3.1 7.3 5.6 -7.7 -9.3 -20.0 -6.4 -13.5 0.9 12.9 -2.9 -6.4 -1.9 -8.4 0.7 -5.8 -6.9 -20.0 -17.0 -8.2 -10.5 ROBUSTA 12.3 20.0 15.7 1.0 -4.9 -1.3 -2.5 -1.1 0.6 3.2 1.6 9.0 -1.3 13.5 12.7 6.5 9.2 9.3 9.8 20.0 10.6 15.7 3.1 20.0 -7.9 9.6 5.0 2.1 2.1 4.1 0.4 5.7 2.1 20.0 20.0 20.0 20.0 RUSSELL -10.2 14.8 7.8 3.1 4.1 3.1 0.2 1.0 0.6 6.7 3.8 -8.0 -7.2 3.5 6.8 -6.5 -3.8 -5.9 -5.1 7.7 6.7 -0.7 -1.6 0.9 -4.6 10.0 5.2 4.7 4.2 3.0 1.6 3.9 -0.9 13.5 10.2 11.2 -1.5 SILVER-mini -20.0 -20.0 9.6 -1.1 2.7 1.2 -1.4 1.4 -3.3 -6.6 5.2 -11.8 -1.7 -14.7 -6.2 -5.5 -4.3 -5.4 -5.0 -12.8 -0.5 -14.9 0.5 -20.0 6.2 -11.3 -3.8 -0.8 -0.6 -4.4 -0.6 -6.2 -4.2 -18.6 -10.6 -20.0 -6.2 SOYBEAN 4.8 -7.0 -2.5 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -1.4 6.3 -3.2 4.0 -0.1 -1.8 20.0 20.0 20.0 20.0 -1.4 -0.0 -4.3 4.6 -2.6 -12.8 -11.7 -1.8 -1.4 1.2 -5.8 5.8 -4.6 20.0 -20.0 -5.5 -14.3 2.2 SOYMEAL -5.7 4.9 20.0 1.0 -4.9 -1.3 -2.5 -1.1 0.6 7.7 14.4 1.0 13.8 9.6 14.4 20.0 18.4 20.0 20.0 16.1 20.0 2.3 18.5 7.1 -20.0 -12.0 5.0 2.0 8.1 -0.8 8.8 0.7 18.8 -5.2 -3.8 6.4 20.0 SOYOIL 6.5 -8.3 -12.8 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -2.8 -2.9 -0.1 2.5 -4.6 -11.8 3.3 15.3 5.3 10.0 -7.5 -6.8 -1.8 1.9 -3.8 -7.8 12.9 -5.0 -0.2 -3.2 -2.4 2.0 -4.0 8.0 -16.2 -4.9 -19.2 -20.0 SP400 -10.8 15.7 14.1 3.1 4.1 3.1 0.2 1.0 0.6 6.7 10.1 -8.2 0.3 4.0 8.1 -6.4 -3.5 -5.4 -4.5 11.4 13.1 -0.6 6.0 1.8 -9.0 10.2 5.4 5.2 5.1 2.9 3.1 3.7 -0.0 12.5 10.2 10.4 2.9 SP500 -16.0 9.6 5.6 3.1 4.1 3.1 0.2 1.0 0.6 5.8 1.6 -9.9 -6.4 -0.0 5.7 -8.1 -5.1 -7.2 -6.3 2.4 2.9 -6.5 -3.1 -5.8 2.2 10.2 3.3 5.7 2.9 0.4 -0.1 0.7 -2.8 4.4 2.9 -0.8 -3.8 SUGAR11 -3.3 6.3 8.7 1.0 -4.9 -1.3 -2.5 -1.1 0.6 11.9 12.6 10.9 9.7 13.5 13.3 20.0 20.0 20.0 20.0 13.8 12.9 13.3 9.4 12.7 -20.0 10.7 6.1 5.3 7.0 3.8 5.7 4.3 20.0 20.0 6.7 20.0 20.0 US10 -20.0 -12.2 6.7 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -6.8 -9.1 -14.1 -12.0 -14.9 -7.5 -7.8 -3.2 -8.0 -6.9 -17.5 -13.3 -20.0 -20.0 -20.0 0.5 9.7 -3.9 -3.4 -3.0 -5.4 -5.8 -6.0 -9.3 13.4 1.3 -3.1 1.8 US10U -20.0 -9.4 8.2 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -4.4 -8.3 -13.5 -11.9 -14.2 -5.3 0.1 3.1 0.4 0.9 -14.8 -11.8 -18.2 -19.3 -20.0 -3.0 -14.1 -3.0 -2.5 -2.1 -4.9 -5.3 -5.4 2.7 18.1 6.4 1.6 6.5 US20 -20.0 -7.7 11.8 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -3.5 -6.0 -13.1 -10.6 -13.7 -2.6 -5.3 -1.7 -6.1 -4.4 -13.5 -10.4 -18.7 -17.6 -20.0 -0.6 -12.3 -3.5 -2.1 -2.6 -5.3 -5.3 -5.9 -5.5 16.0 4.7 -1.1 7.1 US30 -20.0 -4.0 13.9 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 2.2 -4.7 -12.4 -11.7 -12.6 -1.4 -0.8 -0.5 -1.3 -1.2 -9.7 -8.9 -11.7 -18.9 -15.4 -5.1 10.0 -1.9 0.7 -1.4 -3.2 -5.6 -4.4 -2.0 20.0 12.0 5.8 11.5 US5 -20.0 -15.5 4.0 -3.0 -4.3 -2.3 -6.2 -4.6 -5.6 -9.1 -9.9 -14.7 -12.5 -15.5 -9.1 -10.0 -3.4 -9.4 -7.7 -20.0 -15.8 -20.0 -20.0 -20.0 3.0 10.8 -4.3 -3.1 -3.3 -5.2 -6.1 -6.1 -10.2 11.2 -3.4 -7.8 -0.9 VIX 16.0 -5.7 -20.0 -5.1 -5.3 -5.5 -4.2 -4.4 -3.9 -13.3 -14.5 -7.5 -14.0 -8.7 -12.8 -19.7 -20.0 -20.0 -20.0 -16.6 -20.0 -8.8 -20.0 -7.8 NaN -13.5 -6.3 -5.6 -7.5 -4.5 -6.3 -4.5 NaN NaN NaN NaN NaN WHEAT -7.7 4.6 -15.8 1.0 -4.9 -1.3 -2.5 -1.1 0.6 -12.5 -13.0 -14.3 -13.5 -10.5 -12.6 -11.4 -6.9 -10.0 -8.5 -13.6 -16.1 -20.0 -13.2 -18.3 6.7 11.9 -3.5 -5.6 -3.0 -8.0 -0.8 -5.9 -20.0 -20.0 -15.7 -12.6 -14.6 End of report for caleb_strategy_v1