******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230306_205041 produced at 2023-03-06 21:36:16.022296 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.43 0.0 39844875.90 -39844875.90 -0.40 -0.40 -10.68 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.20 -0.24 0.0 7181374.98 -7181374.98 -0.20 -0.20 -33.47 999999999 -28 -28 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.20 0.0 42618040.79 -42618040.79 -0.04 -0.04 -4.58 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.20 0.0 45885993.87 -45885993.87 -0.23 -0.23 -4.41 999999999 -5 -5 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.13 0.0 13740364.12 -13740364.12 -0.08 -0.08 -9.27 999999999 -6 -6 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.12 0.0 45650889.33 -45650889.33 -0.09 -0.09 -2.73 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.26 -0.12 0.0 36451889.95 -36451889.95 -0.26 -0.26 -3.39 999999999 -7 -7 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.10 0.0 48215661.15 -48215661.15 0.00 0.00 -2.11 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.28 -0.09 0.0 31456987.18 -31456987.18 -0.28 -0.28 -2.74 999999999 -9 -9 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 37958696.31 -37958696.31 0.00 0.00 -1.98 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.05 -0.06 0.0 6331578.94 -6331578.94 -0.05 -0.05 -8.79 999999999 -8 -8 caleb_strategy_v1 FEEDCOW False False 0.04 -0.19 -0.05 0.0 37061024.44 -37061024.44 -0.19 -0.19 -1.31 999999999 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9534130.21 -9534130.21 -0.02 -0.02 -3.15 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 18188541.98 -18188541.98 0.00 0.00 -1.01 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 39366861.35 -39366861.35 -0.04 -0.04 -0.53 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9472575.57 -9472575.57 -0.01 -0.01 -0.74 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 48730758.78 -48730758.78 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.01 0.0 22039981.78 -22039981.78 -0.11 -0.11 -0.65 999999999 -5 -5 caleb_strategy_v1 US30 False False 0.05 -0.18 -0.01 0.0 46240787.99 -46240787.99 -0.18 -0.18 -0.12 999999999 -4 -4 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.00 0.0 12507561.42 -12507561.42 -0.05 -0.05 -0.40 999999999 -4 -4 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 12028803.09 -12028803.09 0.00 0.00 -0.41 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 13550570.64 -13550570.64 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 767210.23 -767210.23 -0.01 -0.01 -5.42 999999999 -8 -8 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.01 0.0 12343757.68 -12343757.68 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16763381.02 -16763381.02 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.01 0.0 23074441.74 -23074441.74 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23089402.94 -23089402.94 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.01 0.0 14490988.79 -14490988.79 0.00 0.00 0.67 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.01 0.0 5714835.62 -5714835.62 -0.02 -0.02 1.64 999999999 -3 -3 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21147439.46 -21147439.46 0.00 0.00 0.92 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 34842492.53 -34842492.53 0.00 0.00 0.55 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4129592.38 -4129592.38 0.00 0.00 4.82 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 7993349.11 -7993349.11 0.00 0.00 2.63 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 9758975.64 -9758975.64 0.06 0.06 2.48 999999999 6 6 caleb_strategy_v1 SP500 False False 0.07 0.00 0.02 0.0 69283170.02 -69283170.02 0.00 0.00 0.23 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 7366038.91 -7366038.91 0.02 0.02 2.14 999999999 3 3 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 28973428.33 -28973428.33 0.00 0.00 1.14 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.03 0.0 25107454.80 -25107454.80 0.00 0.00 1.39 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.03 0.0 3246836.42 -3246836.42 0.00 0.00 8.62 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.03 0.0 40195592.03 -40195592.03 0.04 0.04 0.76 999999999 1 1 caleb_strategy_v1 GBP False False 0.03 0.18 0.03 0.0 25690514.06 -25690514.06 0.18 0.18 1.21 999999999 7 7 caleb_strategy_v1 BOBL False False 0.04 0.00 0.03 0.0 41780111.63 -41780111.63 0.00 0.00 0.65 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.04 0.0 15677551.91 -15677551.91 0.00 0.00 2.34 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.63 0.04 0.0 89459414.01 -89459414.01 0.63 0.54 0.49 999999999 7 6 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 40487905.71 -40487905.71 0.04 0.04 1.01 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.04 0.0 23570298.59 -23570298.59 0.00 0.00 1.71 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.08 0.04 0.0 84490586.46 -84490586.46 0.08 0.08 0.48 999999999 1 1 caleb_strategy_v1 DAX False False 0.01 0.03 0.04 0.0 5693714.12 -5693714.12 0.03 0.03 7.01 999999999 5 5 caleb_strategy_v1 OAT False False 0.05 0.09 0.05 0.0 45689489.56 -45689489.56 0.09 0.09 1.16 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.05 0.05 0.0 26814182.99 -26814182.99 0.05 0.05 1.75 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.05 0.0 9484544.52 -9484544.52 0.03 0.03 5.13 999999999 3 3 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.06 0.0 16530841.26 -16530841.26 0.10 0.10 3.37 999999999 6 6 caleb_strategy_v1 CRUDE_W False False 0.03 0.16 0.09 0.0 26653160.27 -26653160.27 0.16 0.13 3.26 999999999 6 5 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.44 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.05 0.23 0.0 47545898.08 -47545898.08 0.05 0.05 4.73 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.54 0.0 0.00 0.00 0.00 0.00 76.02 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 18.9 Shocked risk 59.6 Sum abs risk 53.0 Leverage 3.74 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2924231.09, 'annual_cash_vol_target': 731057.7725, 'daily_cash_vol_target': 45691.11078125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0048 0.6748 0.7177 11.4830 BITCOIN 735.3791 22435.0000 3.2778 52.4451 BOBL 0.3039 114.7800 0.2648 4.2369 BTP 0.8339 111.2300 0.7497 11.9953 BUND 0.6665 130.6200 0.5102 8.1640 BUXL 1.5989 132.4600 1.2071 19.3132 CAC 58.1998 7366.5000 0.7901 12.6410 CAD 0.0030 0.7342 0.4055 6.4880 CANOLA 5.9928 821.0000 0.7299 11.6791 CHF 0.0053 1.0734 0.4926 7.8816 COCOA 33.2204 2788.0000 1.1916 19.0648 COFFEE 3.4564 180.0500 1.9197 30.7153 COPPER 0.0555 4.0755 1.3629 21.8069 CORN 4.3786 570.7500 0.7672 12.2748 COTTON2 1.3636 84.7500 1.6090 25.7441 CRUDE_W 1.1728 77.9400 1.5048 24.0768 DAX 125.2512 15642.0000 0.8007 12.8118 DOW 240.4957 33423.0000 0.7196 11.5128 EUR 0.0054 1.0680 0.5014 8.0230 EUROSTX 36.9793 4307.0000 0.8586 13.7374 FEEDCOW 1.1080 216.7500 0.5112 8.1792 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.3304 847.2500 1.8094 28.9508 GASOILINE 0.0463 2.7409 1.6899 27.0386 GAS_US 0.1606 2.7700 5.7966 92.7454 GBP 0.0076 1.2020 0.6317 10.1065 GOLD_micro 13.9535 1851.5000 0.7536 12.0581 HEATOIL 0.0488 2.7986 1.7422 27.8746 JPY 0.0001 0.0074 0.7070 11.3119 LEANHOG 1.1517 100.4500 1.1465 18.3447 LIVECOW 0.8325 161.1250 0.5167 8.2667 MXP 0.0003 0.0555 0.6209 9.9350 NASDAQ 138.1146 12353.5000 1.1180 17.8883 NIKKEI 210.4739 27945.0000 0.7532 12.0508 NZD 0.0043 0.6184 0.6911 11.0584 OAT 0.7006 125.5200 0.5582 8.9309 OJ 5.1950 234.5000 2.2153 35.4455 PALLAD 32.9468 1425.0000 2.3121 36.9930 PLAT 17.1648 980.4000 1.7508 28.0127 REDWHEAT 11.8772 792.5000 1.4987 23.9792 ROBUSTA 27.2472 2154.0000 1.2650 20.2394 RUSSELL 20.1354 1898.9000 1.0604 16.9660 SILVER-mini 0.3379 21.2750 1.5884 25.4148 SOYBEAN 10.3006 1378.5000 0.7472 11.9557 SOYMEAL 5.6817 483.4000 1.1754 18.8059 SOYOIL 0.7750 60.1600 1.2883 20.6122 SP400 22.7290 2616.0000 0.8688 13.9015 SP500 33.0556 4052.0000 0.8158 13.0526 SUGAR11 0.3294 20.8700 1.5785 25.2553 US10 0.4436 111.0000 0.3996 6.3939 US10U 0.6154 116.5156 0.5282 8.4513 US20 0.9157 124.6250 0.7347 11.7559 US30 1.4255 135.2188 1.0542 16.8672 US5 0.2841 106.5938 0.2665 4.2642 VIX 0.5145 21.0000 2.4502 39.2025 WHEAT 9.6918 731.5000 1.3249 21.1989 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 674.75 0.72 484.26 1.00 484.26 45691.11 94.35 2.36 22.26 BITCOIN 22.44 3.28 73.54 1.00 73.54 45691.11 621.33 -3.70 -229.89 BOBL 1147.80 0.26 303.94 1.06 322.75 45691.11 141.57 0.64 9.03 BTP 1112.30 0.75 833.89 1.06 885.49 45691.11 51.60 9.67 49.91 BUND 1306.20 0.51 666.49 1.06 707.72 45691.11 64.56 10.16 65.60 BUXL 1324.60 1.21 1598.89 1.06 1697.81 45691.11 26.91 -9.34 -25.15 CAC 736.65 0.79 582.00 1.06 618.01 45691.11 73.93 8.44 62.42 CAD 734.20 0.41 297.72 1.00 297.72 45691.11 153.47 5.09 78.06 CANOLA 164.20 0.73 119.86 0.74 88.28 45691.11 517.55 10.14 524.80 CHF 1341.81 0.49 660.97 1.00 660.97 45691.11 69.13 -17.04 -117.79 COCOA 278.80 1.19 332.20 1.00 332.20 45691.11 137.54 -10.50 -144.43 COFFEE 675.19 1.92 1296.16 1.00 1296.16 45691.11 35.25 8.13 28.67 COPPER 1018.88 1.36 1388.66 1.00 1388.66 45691.11 32.90 6.09 20.03 CORN 285.38 0.77 218.93 1.00 218.93 45691.11 208.70 13.15 274.45 COTTON2 423.75 1.61 681.82 1.00 681.82 45691.11 67.01 6.69 44.83 CRUDE_W 779.40 1.50 1172.84 1.00 1172.84 45691.11 38.96 6.34 24.70 DAX 156.42 0.80 125.25 1.06 133.00 45691.11 343.54 3.76 129.08 DOW 167.12 0.72 120.25 1.00 120.25 45691.11 379.97 1.52 57.63 EUR 1334.94 0.50 669.39 1.00 669.39 45691.11 68.26 -10.68 -72.90 EUROSTX 430.70 0.86 369.79 1.06 392.67 45691.11 116.36 7.16 83.26 FEEDCOW 1083.75 0.51 554.02 1.00 554.02 45691.11 82.47 -5.91 -48.74 FTSE100 707.00 0.82 576.59 1.20 666.67 45691.11 68.54 7.70 52.76 GASOIL 847.25 1.81 1533.04 1.00 1533.04 45691.11 29.80 5.36 15.98 GASOILINE 1151.18 1.69 1945.39 1.00 1945.39 45691.11 23.49 -5.48 -12.87 GAS_US 277.00 5.80 1605.66 1.00 1605.66 45691.11 28.46 -17.38 -49.46 GBP 751.25 0.63 474.53 1.00 474.53 45691.11 96.29 7.04 67.78 GOLD_micro 185.15 0.75 139.53 1.00 139.53 45691.11 327.45 -12.00 -392.90 HEATOIL 1175.41 1.74 2047.76 1.00 2047.76 45691.11 22.31 4.79 10.69 JPY 919.88 0.71 650.35 1.00 650.35 45691.11 70.26 -6.03 -42.36 LEANHOG 401.80 1.15 460.68 1.00 460.68 45691.11 99.18 -20.00 -198.36 LIVECOW 644.50 0.52 332.99 1.00 332.99 45691.11 137.21 -1.76 -24.16 MXP 277.35 0.62 172.22 1.00 172.22 45691.11 265.31 15.79 418.90 NASDAQ 2470.70 1.12 2762.29 1.00 2762.29 45691.11 16.54 5.35 8.85 NIKKEI 27945.00 0.75 21047.39 0.01 154.24 45691.11 296.24 13.51 400.22 NZD 618.40 0.69 427.41 1.00 427.41 45691.11 106.90 5.39 57.65 OAT 1255.20 0.56 700.63 1.06 743.97 45691.11 61.41 9.38 57.63 OJ 351.75 2.22 779.25 1.00 779.25 45691.11 58.63 -4.04 -23.71 PALLAD 1425.00 2.31 3294.68 1.00 3294.68 45691.11 13.87 -6.30 -8.74 PLAT 490.20 1.75 858.24 1.00 858.24 45691.11 53.24 2.65 14.13 REDWHEAT 396.25 1.50 593.86 1.00 593.86 45691.11 76.94 1.32 10.19 ROBUSTA 215.40 1.26 272.47 1.00 272.47 45691.11 167.69 9.83 164.84 RUSSELL 94.94 1.06 100.68 1.00 100.68 45691.11 453.84 3.67 166.42 SILVER-mini 531.88 1.59 844.84 1.00 844.84 45691.11 54.08 -8.32 -45.00 SOYBEAN 689.25 0.75 515.03 1.00 515.03 45691.11 88.72 3.27 29.02 SOYMEAL 483.40 1.18 568.17 1.00 568.17 45691.11 80.42 7.11 57.17 SOYOIL 360.96 1.29 465.01 1.00 465.01 45691.11 98.26 4.73 46.51 SP400 2616.00 0.87 2272.90 1.00 2272.90 45691.11 20.10 4.74 9.52 SP500 2026.00 0.82 1652.78 1.00 1652.78 45691.11 27.64 2.90 8.02 SUGAR11 233.74 1.58 368.95 1.00 368.95 45691.11 123.84 15.66 193.97 US10 1110.00 0.40 443.58 1.00 443.58 45691.11 103.01 -5.00 -51.53 US10U 1165.16 0.53 615.44 1.00 615.44 45691.11 74.24 -9.87 -73.27 US20 1246.25 0.73 915.67 1.00 915.67 45691.11 49.90 -12.45 -62.14 US30 1352.19 1.05 1425.47 1.00 1425.47 45691.11 32.05 -0.44 -1.41 US5 1065.94 0.27 284.08 1.00 284.08 45691.11 160.84 -5.49 -88.36 VIX 210.00 2.45 514.53 1.00 514.53 45691.11 88.80 -20.00 -177.60 WHEAT 365.75 1.32 484.59 1.00 484.59 45691.11 94.29 -7.93 -74.75 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 22.256 0.006 2.5 0.356 BITCOIN -229.885 0.009 2.5 -5.416 BOBL 9.025 0.029 2.5 0.651 BTP 49.912 0.008 2.5 1.008 BUND 65.604 0.029 2.5 4.734 BUXL -25.147 0.034 2.5 -2.111 CAC 62.423 0.011 2.5 1.755 CAD 78.059 0.007 2.5 1.394 CANOLA 524.797 0.004 2.5 4.817 CHF -117.791 0.015 2.5 -4.408 COCOA -144.431 0.009 2.5 -3.146 COFFEE 28.668 0.005 2.5 0.372 COPPER 20.026 0.011 2.5 0.547 CORN 274.452 0.004 2.5 2.476 COTTON2 44.826 0.006 2.5 0.675 CRUDE_W 24.697 0.053 2.5 3.263 DAX 129.082 0.022 2.5 7.010 DOW 57.627 0.011 2.5 1.642 EUR -72.905 0.015 2.5 -2.728 EUROSTX 83.262 0.011 2.5 2.341 FEEDCOW -48.741 0.011 2.5 -1.310 FTSE100 52.757 0.041 2.5 5.439 GASOIL 15.979 0.029 2.5 1.140 GASOILINE -12.871 0.016 2.5 -0.529 GAS_US -49.464 0.006 2.5 -0.745 GBP 67.780 0.007 2.5 1.210 GOLD_micro -392.901 0.009 2.5 -8.791 HEATOIL 10.692 0.029 2.5 0.763 JPY -42.361 0.026 2.5 -2.742 LEANHOG -198.363 0.019 2.5 -9.267 LIVECOW -24.160 0.011 2.5 -0.649 MXP 418.896 0.005 2.5 5.128 NASDAQ 8.845 0.022 2.5 0.480 NIKKEI 400.224 0.076 2.5 76.016 NZD 57.651 0.006 2.5 0.921 OAT 57.627 0.008 2.5 1.164 OJ -23.709 0.007 2.5 -0.414 PALLAD -8.741 0.010 2.5 -0.210 PLAT 14.131 0.010 2.5 0.340 REDWHEAT 10.192 0.002 2.5 0.054 ROBUSTA 164.845 0.005 2.5 2.137 RUSSELL 166.416 0.021 2.5 8.620 SILVER-mini -44.998 0.009 2.5 -1.007 SOYBEAN 29.023 0.024 2.5 1.711 SOYMEAL 57.171 0.024 2.5 3.371 SOYOIL 46.510 0.004 2.5 0.427 SP400 9.521 0.021 2.5 0.493 SP500 8.023 0.011 2.5 0.229 SUGAR11 193.972 0.005 2.5 2.632 US10 -51.525 0.015 2.5 -1.977 US10U -73.273 0.058 2.5 -10.676 US20 -62.137 0.029 2.5 -4.580 US30 -1.411 0.034 2.5 -0.118 US5 -88.359 0.015 2.5 -3.390 VIX -177.602 0.075 2.5 -33.469 WHEAT -74.753 0.002 2.5 -0.399 ==================== Position diags ==================== AUD 1.51 BITCOIN 14.64 BOBL 10.22 BTP 1.04 BUND 4.66 BUXL 2.26 CAC 2.08 CAD 2.74 CANOLA 4.75 CHF 2.59 COCOA 3.00 COFFEE 0.46 COPPER 0.90 CORN 1.88 COTTON2 1.01 CRUDE_W 5.15 DAX 18.66 DOW 10.83 EUR 2.55 EUROSTX 3.27 FEEDCOW 2.22 FTSE100 7.07 GASOIL 2.13 GASOILINE 0.96 GAS_US 0.43 GBP 1.72 GOLD_micro 7.33 HEATOIL 1.59 JPY 4.55 LEANHOG 4.63 LIVECOW 3.69 MXP 3.25 NASDAQ 0.90 NIKKEI 56.27 NZD 1.71 OAT 1.24 OJ 1.02 PALLAD 0.33 PLAT 1.28 REDWHEAT 0.41 ROBUSTA 2.17 RUSSELL 23.51 SILVER-mini 1.21 SOYBEAN 5.23 SOYMEAL 4.74 SOYOIL 0.90 SP400 1.04 SP500 0.79 SUGAR11 1.68 US10 3.95 US10U 10.82 US20 3.68 US30 2.69 US5 6.17 VIX 16.73 WHEAT 0.50 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 -5.4 -6.9 -4.0 -8.0 -8 BOBL 0.7 -0.4 1.7 0.0 0 BTP 1.0 0.9 1.1 1.0 1 BUND 4.7 4.3 5.2 1.0 1 BUXL -2.1 -2.3 -1.9 0.0 0 CAC 1.8 1.5 2.0 2.0 2 CAD 1.4 1.1 1.7 0.0 0 CANOLA 4.8 4.3 5.3 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 0.5 0.5 0.6 0.0 0 CORN 2.5 2.3 2.7 6.0 6 COTTON2 0.7 0.6 0.8 NaN 0 CRUDE_W 3.3 2.7 3.8 6.0 6 DAX 7.0 5.1 8.9 5.0 5 DOW 1.6 0.6 2.7 -3.0 -3 EUR -2.7 -3.0 -2.5 -2.0 -2 EUROSTX 2.3 2.0 2.7 0.0 0 FEEDCOW -1.3 -1.5 -1.1 -5.0 -5 FTSE100 5.4 4.7 6.1 0.0 0 GASOIL 1.1 0.9 1.4 0.0 0 GASOILINE -0.5 -0.6 -0.4 -1.0 -1 GAS_US -0.7 -0.8 -0.7 -1.0 -1 GBP 1.2 1.0 1.4 7.0 7 GOLD_micro -8.8 -9.5 -8.1 -8.0 -8 HEATOIL 0.8 0.6 0.9 1.0 1 JPY -2.7 -3.2 -2.3 -9.0 -9 LEANHOG -9.3 -9.7 -8.8 -6.0 -6 LIVECOW -0.6 -1.0 -0.3 -5.0 -5 MXP 5.1 4.8 5.5 3.0 3 NASDAQ 0.5 0.4 0.6 1.0 1 NIKKEI 76.0 70.4 81.6 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 0.5 NaN 0 REDWHEAT 0.1 0.0 0.1 0.0 0 ROBUSTA 2.1 1.9 2.4 3.0 3 RUSSELL 8.6 6.3 11.0 0.0 0 SILVER-mini -1.0 -1.1 -0.9 0.0 0 SOYBEAN 1.7 1.2 2.2 0.0 0 SOYMEAL 3.4 2.9 3.8 6.0 6 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.5 0.4 0.6 7.0 7 SP500 0.2 0.1 0.3 0.0 0 SUGAR11 2.6 2.5 2.8 0.0 0 US10 -2.0 -2.4 -1.6 NaN 0 US10U -10.7 -11.8 -9.6 -10.0 -10 US20 -4.6 -4.9 -4.2 -1.0 -1 US30 -0.1 -0.4 0.2 -4.0 -4 US5 -3.4 -4.0 -2.8 -7.0 -7 VIX -33.5 -35.1 -31.8 -28.0 -28 WHEAT -0.4 -0.4 -0.3 -4.0 -4 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -0.2 -0.1 0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 0.0 -0.3 -0.1 -0.1 -0.1 -0.1 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 0.1 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 -0.2 -0.2 -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 -0.1 -0.1 -0.2 BTP -0.2 -0.0 0.1 -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 -0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.1 -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 -0.0 0.2 0.3 0.1 0.1 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 0.3 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 0.8 -0.0 -0.1 -0.2 -0.3 CHF -0.2 -0.2 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 -0.6 -0.3 -0.3 -0.0 0.1 -0.0 0.0 -0.0 -0.7 -2.4 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -2.5 -0.0 -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 -2.4 0.0 0.4 0.2 0.3 COFFEE 0.1 0.3 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 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 -0.1 0.1 0.2 0.1 COPPER -0.2 -0.0 0.3 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.1 0.0 0.2 -0.0 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 0.0 -0.5 2.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.3 0.2 0.1 0.1 CORN -0.1 -0.1 -0.3 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.0 -0.1 -0.3 1.6 0.8 0.4 0.4 -0.2 -0.1 -0.0 0.0 -0.0 0.4 2.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 2.7 -0.1 -0.4 -0.3 -0.3 COTTON2 -0.0 0.0 -0.1 0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 0.4 -0.0 0.1 -0.0 -0.0 0.0 -0.1 -0.0 0.8 3.0 -0.0 0.0 -0.0 0.0 0.0 -0.0 -0.1 0.0 -0.0 -0.2 0.2 CRUDE_W -0.0 -0.0 -0.1 -0.0 0.1 -0.0 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 -0.0 -0.0 0.0 0.1 DAX -0.1 0.2 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 -2.3 2.2 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.0 0.2 0.1 0.2 DOW -0.2 -0.1 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.1 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 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-0.0 0.1 0.2 GAS_US 0.2 -0.3 -0.3 -0.0 0.1 -0.0 0.2 0.1 0.0 0.0 -0.4 0.0 -0.3 -0.0 -0.4 -1.4 -0.2 -0.1 -0.1 -0.2 -0.2 0.0 -0.2 -0.0 0.4 -1.8 -0.0 0.0 -0.1 0.0 -0.0 0.0 -2.7 0.0 -0.0 -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 -0.1 -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 0.2 -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 -0.3 -0.0 0.1 -0.0 0.0 -0.0 0.5 -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 -0.0 -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 -0.2 -0.1 -0.3 -1.6 -0.8 -0.4 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0.5 0.2 0.3 -0.2 -0.2 -0.0 -0.2 -0.0 0.5 2.6 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 2.7 -0.0 0.0 0.0 -0.1 OJ -0.0 -0.2 -0.2 0.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.1 -0.0 0.1 0.0 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 2.8 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 3.7 -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 -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 0.2 2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.9 -0.2 -0.4 -0.1 -0.2 ROBUSTA 0.1 0.3 0.3 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 -1.4 2.1 0.1 0.0 0.0 0.0 0.0 0.0 0.3 0.0 0.4 0.3 0.3 RUSSELL -0.1 0.2 0.1 0.1 0.1 0.1 0.0 0.0 0.0 -0.0 0.1 -0.0 -0.2 0.0 0.2 -0.4 -0.2 -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 0.0 0.1 0.2 -0.0 SILVER-mini -0.2 -0.3 0.2 -0.0 0.0 0.0 -0.0 0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.2 -0.3 -0.1 -0.1 -0.1 -0.2 -0.0 -0.0 0.0 -0.0 1.3 -3.2 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.2 -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 2.6 0.1 0.0 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 -0.1 -0.3 -0.3 SP400 -0.2 0.2 0.3 0.1 0.0 0.1 0.0 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 0.1 0.1 0.0 SP500 -0.2 0.2 0.1 0.1 0.1 0.1 0.0 0.0 0.0 0.1 0.0 -0.0 -0.2 0.0 0.1 -0.6 -0.2 -0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 0.2 2.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.3 0.1 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 0.1 0.3 1.6 0.8 0.4 0.4 0.2 0.2 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 0.2 0.3 0.3 US10 -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 -0.6 -0.1 -0.2 -0.1 -0.2 -0.2 -0.0 -0.2 -0.0 0.0 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 -0.2 0.1 -0.0 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.2 -0.0 -0.3 -0.1 -0.1 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 -0.2 -0.0 -0.3 -0.1 -0.1 -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 -0.7 0.0 0.1 0.0 0.1 US30 -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 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.7 2.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 -0.3 0.1 0.3 0.1 0.2 US5 -0.2 -0.3 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 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -1.4 0.0 0.0 -0.1 -0.0 VIX 0.1 -0.3 -1.3 -0.1 -0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.5 -0.0 -0.5 -0.0 -0.4 -3.1 -1.6 -0.8 -0.8 -0.3 -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 -0.2 -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 -3.6 11.7 -0.5 -0.9 1.1 -3.8 -1.4 -3.9 -12.2 5.5 -14.5 -3.2 -13.0 0.6 -3.6 -2.7 -3.4 -3.2 -4.4 1.4 -15.0 -3.0 -14.6 4.5 11.7 -1.9 -3.3 0.1 -5.7 -1.5 -5.6 -0.7 -8.1 -7.2 -3.5 -3.4 BITCOIN -7.0 20.0 19.9 -1.1 2.1 1.1 -0.9 1.4 -3.0 -12.7 7.8 -5.5 -12.9 9.1 11.7 -4.5 -1.3 -2.4 -1.4 11.9 5.6 -7.5 -11.2 3.6 7.8 -18.1 3.9 -4.7 2.6 -2.6 -0.8 1.1 1.7 -20.0 17.3 20.0 2.8 BOBL -20.0 -10.5 -10.1 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -14.1 -14.7 -15.9 -14.5 -15.4 -13.5 -12.0 4.2 -7.9 -1.5 -20.0 -20.0 -20.0 -20.0 -20.0 12.1 10.8 -5.3 -8.7 -5.0 -9.2 -7.6 -7.6 3.2 -18.9 -9.0 -7.5 -16.1 BTP -14.7 -0.8 8.4 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -7.5 -1.8 -13.3 -10.1 -9.7 -1.2 6.7 12.6 9.1 11.7 -5.0 -4.0 -12.9 -12.8 -11.3 -9.9 11.4 -0.4 -3.8 -0.6 -5.8 -7.0 -4.1 20.0 8.1 17.6 16.5 7.7 BUND -20.0 -9.1 -4.8 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -14.0 -13.6 -15.8 -13.9 -14.5 -11.8 10.2 14.7 11.3 12.9 -20.0 -20.0 -20.0 -20.0 -20.0 7.1 12.3 -4.8 -7.2 -4.7 -8.5 -7.9 -7.2 20.0 -9.7 -0.9 -1.6 -8.7 BUXL -20.0 -14.1 -5.6 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -11.1 -12.5 -14.5 -13.4 -14.4 -13.0 2.2 0.3 2.8 2.6 -20.0 -20.0 -20.0 -20.0 -20.0 2.9 -10.8 -5.1 -4.6 -4.6 -7.0 -6.7 -6.9 2.0 -3.3 3.3 -5.7 -7.2 CAC -2.2 15.3 20.0 3.2 5.1 3.2 1.6 1.0 1.2 12.5 15.6 9.1 10.2 13.3 15.0 -3.7 0.9 -3.3 -1.8 20.0 20.0 9.2 18.2 14.9 -16.3 8.9 6.0 3.2 6.2 2.5 4.3 3.9 6.1 -4.1 20.0 12.9 13.5 CAD -15.6 -0.6 -0.8 -0.5 -0.9 1.1 -3.8 -1.4 -3.9 -11.0 -6.5 -14.0 -9.0 -10.8 -4.8 -2.4 -1.4 -2.1 -1.9 -6.8 -6.7 -12.9 -11.3 -12.6 15.9 10.4 -3.0 -3.7 -2.7 -6.3 -5.0 -6.1 1.5 -4.6 -1.5 -2.5 -16.2 CANOLA 1.2 -9.5 -8.4 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -7.1 -5.0 -5.3 -9.3 -2.9 -6.9 20.0 12.8 14.9 11.6 -7.9 -11.7 -1.5 -6.0 -3.9 2.3 11.5 -5.2 -1.2 -4.8 -2.8 -1.4 -4.4 5.8 -8.2 -11.4 -20.0 -20.0 CHF -18.1 -9.8 12.0 -0.5 -0.9 1.1 -3.8 -1.4 -3.9 -0.8 9.5 -9.9 2.3 -12.2 2.5 -15.8 -13.6 -15.1 -14.6 -3.7 4.2 -9.8 1.8 -12.3 -5.3 -11.5 -1.5 1.8 1.4 -4.4 -0.7 -5.4 -19.8 -3.1 -1.1 -6.5 0.4 COCOA 13.1 7.6 18.6 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -3.2 12.9 9.6 0.6 11.1 13.3 -0.3 -2.6 -1.1 -1.5 15.6 12.8 10.0 5.5 15.0 -19.3 -10.4 6.1 0.9 5.1 3.7 2.5 5.7 -17.4 5.9 20.0 14.8 20.0 COFFEE 12.6 20.0 3.1 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -11.0 -5.8 -2.7 -8.1 10.4 9.2 2.9 3.1 2.0 2.8 9.6 -3.1 -3.1 -9.4 9.7 11.3 10.0 3.0 -4.4 -0.5 -2.0 -2.4 2.2 -8.5 -16.6 5.9 15.5 7.9 COPPER -13.7 -1.9 20.0 -1.1 2.1 1.1 -0.9 1.4 -3.0 -1.2 9.2 -1.3 -2.3 0.5 8.7 -0.6 -0.5 -0.9 -0.7 7.6 10.4 -1.2 3.2 0.4 -4.4 11.1 0.8 -0.8 3.3 -2.3 2.0 -2.6 2.8 -18.8 10.1 9.1 9.1 CORN -13.9 -10.3 -20.0 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -12.5 2.6 -14.1 0.9 -14.1 -14.1 20.0 20.0 20.0 20.0 -14.7 -8.5 -20.0 3.6 -20.0 2.5 11.0 -5.8 -3.7 -4.1 -6.7 -0.3 -6.9 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -5.5 4.8 -1.8 0.8 -3.5 -1.3 -2.5 -1.1 0.3 6.6 -8.4 2.1 -9.7 -2.4 2.3 -4.3 10.8 -2.1 3.1 -2.9 -8.8 1.7 -10.1 -1.3 3.1 12.0 -0.9 2.3 -1.2 0.9 1.3 -1.1 -1.1 20.0 -3.3 -6.0 7.1 CRUDE_W -0.3 -0.2 -3.3 -0.4 11.7 -1.2 8.1 2.6 2.7 13.7 0.9 9.7 1.1 0.8 -0.5 8.3 11.8 8.5 9.5 -0.2 -0.7 10.7 3.5 2.5 -10.5 10.8 0.6 13.5 1.2 7.1 5.4 2.0 -0.2 -7.4 -2.2 0.7 7.0 DAX -8.0 10.5 20.0 3.2 5.1 3.2 1.6 1.0 1.2 11.6 15.5 6.5 4.8 13.4 15.1 -10.2 -5.3 -9.2 -7.6 19.1 20.0 7.7 12.4 10.0 -15.3 9.9 5.7 5.4 6.5 2.6 3.5 3.1 -4.0 2.5 11.7 8.7 13.2 DOW -16.8 -5.3 5.9 3.2 5.1 3.2 1.6 1.0 1.2 11.6 9.2 -5.7 1.7 -7.8 -3.9 -8.2 -4.3 -7.4 -6.3 -3.4 3.6 -3.0 3.2 -9.2 -2.5 10.8 2.2 8.7 3.6 3.0 2.6 0.5 -2.2 3.5 4.5 -11.1 -8.4 EUR -19.4 -9.6 20.0 -0.5 -0.9 1.1 -3.8 -1.4 -3.9 9.1 9.5 -4.8 -2.6 -10.5 4.7 -8.6 -8.7 -8.5 -8.6 0.0 7.1 -3.8 -1.7 -8.2 -3.6 -11.1 0.3 2.7 2.7 -1.5 -1.5 -3.1 -10.6 8.3 -1.2 0.9 7.5 EUROSTX -6.2 12.4 20.0 3.2 5.1 3.2 1.6 1.0 1.2 12.2 15.6 7.2 9.4 13.1 15.0 12.4 6.7 10.7 8.3 20.0 20.0 8.1 16.2 11.3 -17.6 -8.5 5.9 4.8 6.9 2.7 4.7 3.4 19.1 0.2 14.7 7.2 12.9 FEEDCOW 17.8 13.3 10.2 0.8 -3.5 -1.3 -2.5 -1.1 0.3 13.8 7.0 15.1 3.2 15.5 14.7 -20.0 -20.0 -20.0 -20.0 16.9 9.4 20.0 3.6 20.0 -12.4 12.2 5.9 10.3 4.0 8.6 2.0 7.3 -20.0 20.0 20.0 18.9 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 -1.5 -5.7 -11.1 -0.4 11.7 -1.2 8.1 2.6 2.7 14.0 -7.3 11.5 8.1 -6.4 -4.7 20.0 20.0 20.0 20.0 -5.9 -4.0 10.5 8.9 -0.2 -1.7 -15.4 -3.2 7.0 -3.3 4.8 1.8 0.1 20.0 -3.7 -6.9 -3.5 -14.0 GASOILINE -0.0 7.5 -1.4 -0.4 11.7 -1.2 8.1 2.6 2.7 13.9 0.3 11.5 3.4 5.1 7.8 9.3 10.2 -3.5 0.5 5.6 3.9 14.9 7.7 7.4 -13.4 -13.1 3.5 10.0 4.2 5.9 7.0 3.0 -8.1 -5.0 -1.8 11.9 17.1 GAS_US 20.0 -16.9 -20.0 -0.4 11.7 -1.2 8.1 2.6 2.7 5.2 -15.8 8.9 -11.6 -5.2 -14.8 -16.7 -4.9 -6.3 -4.4 -20.0 -20.0 5.7 -20.0 -6.0 2.9 -9.3 -4.0 0.6 -5.6 3.1 -1.5 0.7 -20.0 0.3 -1.5 -18.0 -16.0 GBP -11.1 -7.1 10.5 -0.5 -0.9 1.1 -3.8 -1.4 -3.9 -1.3 9.8 -7.7 -2.7 -10.6 2.6 -2.6 -2.0 -2.5 -2.3 -2.3 1.5 -4.7 -5.2 -7.0 12.9 9.4 -2.4 -0.3 -2.1 -2.6 -6.7 -4.0 0.7 12.2 7.8 -3.2 -6.1 GOLD_micro -20.0 -9.3 18.7 -1.1 2.1 1.1 -0.9 1.4 -3.0 8.6 6.1 -3.6 -2.7 -10.7 1.4 -13.1 -10.3 -12.5 -11.8 -1.9 6.3 -1.7 3.1 -9.5 4.3 -13.8 -0.6 3.4 1.8 0.4 1.2 -2.5 -15.1 9.1 4.5 -0.1 6.1 HEATOIL -3.3 -4.8 -9.7 -0.4 11.7 -1.2 8.1 2.6 2.7 13.9 -6.0 9.2 7.4 -8.7 -3.2 20.0 20.0 20.0 20.0 -5.6 -3.2 7.2 8.9 -1.8 -12.1 -13.6 -1.7 6.5 0.1 3.2 7.3 -0.7 20.0 -12.4 -11.3 -2.5 -2.1 JPY -20.0 -12.0 20.0 -0.5 -0.9 1.1 -3.8 -1.4 -3.9 -6.2 5.3 -13.6 -7.3 -14.8 0.6 -14.5 -11.8 -13.5 -13.0 -7.7 0.1 -15.1 -9.1 -18.4 3.8 9.9 -2.3 -1.5 -0.3 -4.7 -4.3 -5.6 -17.0 -1.6 -11.2 -14.7 3.5 LEANHOG 2.0 -14.1 -14.7 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -14.0 -9.6 -13.1 -6.3 -14.0 -13.2 -20.0 -20.0 -20.0 -20.0 -14.5 -12.6 -12.8 -5.2 -12.5 6.7 -11.1 -6.0 -3.9 -4.9 -5.4 -2.3 -5.9 -20.0 -20.0 -17.6 -20.0 -20.0 LIVECOW 3.4 9.4 12.5 0.8 -3.5 -1.3 -2.5 -1.1 0.3 7.2 14.8 6.3 7.4 13.8 14.9 20.0 -20.0 -10.6 -20.0 13.6 13.1 3.8 8.1 9.6 -20.0 12.0 5.8 1.1 6.3 0.8 4.9 3.3 -20.0 3.5 7.0 15.9 20.0 MXP 16.4 11.7 15.3 -0.5 -0.9 1.1 -3.8 -1.4 -3.9 12.9 16.4 15.5 15.9 16.3 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 6.3 6.2 6.7 5.2 6.4 20.0 20.0 20.0 20.0 16.3 NASDAQ -9.8 20.0 6.6 3.2 5.1 3.2 1.6 1.0 1.2 11.3 -2.7 -6.3 -10.6 6.4 8.4 -7.1 -4.7 -6.5 -5.8 8.3 3.0 1.7 -8.0 2.8 4.6 10.2 4.6 4.9 3.0 2.4 -0.1 3.0 -2.1 8.0 7.6 14.5 2.2 NIKKEI 2.8 18.1 -2.7 3.2 5.1 3.2 1.6 1.0 1.2 13.9 1.7 10.5 2.7 13.4 6.9 20.0 15.8 20.0 19.5 8.7 4.0 18.6 1.3 12.6 11.6 -9.4 3.1 12.7 0.5 8.5 -1.0 5.2 20.0 20.0 15.1 4.3 -19.2 NZD -19.1 -10.4 13.6 -0.5 -0.9 1.1 -3.8 -1.4 -3.9 -3.5 8.9 -10.4 -1.7 -12.9 1.2 0.0 0.4 0.1 0.1 -4.8 2.3 -9.0 -2.3 -12.1 0.2 10.8 -1.8 -2.2 0.7 -3.5 -1.1 -4.6 4.6 5.6 -3.2 -7.2 1.5 OAT -20.0 -10.0 -2.9 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -13.9 -12.2 -15.7 -13.4 -14.3 -11.2 8.7 12.1 10.3 11.6 -18.7 -16.6 -20.0 -20.0 -20.0 3.5 12.7 -4.4 -6.8 -4.2 -8.3 -8.0 -7.1 20.0 -8.0 1.0 0.2 -5.7 OJ -11.9 -12.7 -6.7 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -7.9 14.5 -3.8 15.0 8.0 11.2 20.0 17.4 20.0 20.0 19.0 20.0 -0.7 19.3 12.7 -20.0 -14.3 5.7 -1.8 5.7 0.7 5.3 4.1 19.5 13.2 20.0 20.0 20.0 PALLAD -16.4 -20.0 -20.0 -1.1 2.1 1.1 -0.9 1.4 -3.0 -8.3 -15.5 -12.4 -13.4 -14.6 -15.7 -3.1 -2.0 -2.9 -2.5 -20.0 -20.0 -13.9 -20.0 -20.0 20.0 -11.1 -6.1 -1.2 -4.8 -3.6 -3.2 -5.8 0.0 -17.4 -12.5 -20.0 -20.0 PLAT -6.9 -20.0 1.4 -1.1 2.1 1.1 -0.9 1.4 -3.0 13.1 3.4 7.9 0.6 -8.3 -7.7 -2.5 -1.1 -2.1 -1.6 -8.2 -1.2 7.0 1.6 -5.5 -1.1 11.2 -3.4 4.0 -0.5 0.6 0.3 -3.5 1.6 16.5 3.1 -20.0 -11.6 REDWHEAT -11.8 6.9 -10.8 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -13.6 -10.5 -14.3 -9.7 -7.7 -9.3 8.2 3.1 7.3 5.6 -9.1 -9.8 -20.0 -6.6 -15.7 1.3 12.9 -3.3 -8.7 -2.0 -8.9 0.5 -6.3 -6.6 -20.0 -20.0 -9.3 -11.4 ROBUSTA 11.9 20.0 16.3 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -3.1 1.9 8.1 -1.1 13.3 12.7 6.4 9.2 9.2 9.7 20.0 11.0 12.6 3.4 20.0 -8.1 9.6 5.0 0.7 2.2 3.3 0.5 5.4 2.3 20.0 20.0 20.0 20.0 RUSSELL -11.3 13.7 8.0 3.2 5.1 3.2 1.6 1.0 1.2 -3.1 3.8 -9.6 -7.1 2.1 6.5 -6.5 -3.9 -5.9 -5.2 6.7 6.2 -3.1 -1.5 -0.0 -4.6 10.0 5.2 0.4 4.3 1.7 1.7 3.5 -0.9 2.6 6.1 10.6 -1.6 SILVER-mini -20.0 -20.0 9.0 -1.1 2.1 1.1 -0.9 1.4 -3.0 -7.2 4.8 -11.2 -1.8 -14.6 -7.0 -5.5 -4.4 -5.4 -5.1 -13.4 -1.0 -13.6 0.2 -20.0 6.1 -11.3 -3.9 -0.9 -0.8 -3.9 -0.7 -5.9 -4.2 -19.1 -11.2 -20.0 -6.8 SOYBEAN 3.9 -6.1 -2.5 0.8 -3.5 -1.3 -2.5 -1.1 0.3 1.4 6.3 -1.1 4.0 0.9 -1.6 20.0 20.0 20.0 20.0 -1.2 0.0 -1.1 4.6 -1.6 -12.5 -11.7 -1.8 1.9 1.1 -3.7 5.8 -4.0 20.0 -18.8 -4.3 -14.4 2.1 SOYMEAL -6.7 3.3 19.9 0.8 -3.5 -1.3 -2.5 -1.1 0.3 11.7 14.6 5.7 13.9 10.9 14.7 20.0 18.5 20.0 20.0 16.2 20.0 10.4 17.8 9.8 -20.0 -12.0 5.2 7.9 8.1 2.5 8.8 2.0 19.2 11.8 1.5 7.9 20.0 SOYOIL 5.0 -8.4 -12.7 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -7.3 -3.1 -1.9 2.5 -5.3 -11.9 3.4 15.2 5.3 9.9 -7.8 -7.0 -4.1 1.7 -4.6 -7.6 12.9 -5.1 -3.1 -3.3 -3.2 1.9 -4.2 8.2 -16.8 -3.3 -19.9 -20.0 SP400 -12.3 14.4 13.7 3.2 5.1 3.2 1.6 1.0 1.2 -1.8 10.0 -9.4 0.4 2.8 7.7 -6.5 -3.6 -5.5 -4.6 10.2 12.4 -2.5 5.8 0.9 -8.9 10.2 5.4 1.1 5.2 1.9 3.2 3.4 -0.0 2.6 6.3 9.7 2.6 SP500 -15.6 9.9 5.6 3.2 5.1 3.2 1.6 1.0 1.2 11.2 1.7 -7.1 -6.4 0.2 5.7 -8.2 -5.1 -7.2 -6.3 2.7 3.0 -1.7 -3.1 -3.8 2.1 10.2 3.6 7.0 3.0 2.4 -0.0 1.6 -2.8 6.0 2.8 0.1 -3.7 SUGAR11 -2.9 7.4 9.2 0.8 -3.5 -1.3 -2.5 -1.1 0.3 12.6 12.9 12.2 9.9 14.0 13.7 20.0 20.0 20.0 20.0 14.7 13.5 14.9 9.9 14.1 -20.0 10.7 6.2 4.9 7.0 4.2 5.7 4.5 20.0 20.0 12.4 20.0 20.0 US10 -20.0 -14.2 6.4 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -5.3 -9.4 -13.3 -12.1 -14.7 -8.2 -7.9 -3.2 -8.0 -6.9 -18.2 -13.9 -19.7 -20.0 -20.0 0.3 9.7 -4.0 -2.4 -3.1 -4.8 -5.8 -5.8 -9.3 15.7 4.9 -2.3 2.0 US10U -20.0 -11.0 7.8 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -2.4 -8.5 -12.4 -11.9 -14.0 -6.1 0.5 3.1 0.5 1.0 -15.1 -12.3 -15.8 -19.5 -20.0 -3.2 -14.1 -3.1 -1.5 -2.2 -4.1 -5.4 -5.2 2.8 20.0 9.5 2.1 6.8 US20 -20.0 -9.3 11.3 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -1.1 -6.2 -11.6 -10.7 -13.3 -3.5 -5.0 -1.7 -6.0 -4.3 -13.9 -10.9 -15.7 -17.8 -20.0 -0.8 -12.3 -3.6 -0.9 -2.7 -4.2 -5.4 -5.5 -5.4 19.7 7.2 0.4 7.5 US30 -20.0 -5.0 14.0 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 4.4 -4.8 -11.0 -11.7 -12.3 -2.4 -1.0 -0.5 -1.3 -1.2 -9.7 -9.1 -9.2 -18.8 -14.1 -5.5 10.0 -1.9 1.1 -1.5 -2.3 -5.7 -4.0 -2.0 20.0 13.9 7.2 12.4 US5 -20.0 -17.7 3.6 -3.2 -4.2 -2.4 -6.0 -4.5 -5.6 -8.5 -10.2 -14.3 -12.6 -15.4 -9.7 -10.1 -3.4 -9.4 -7.7 -20.0 -16.6 -20.0 -20.0 -20.0 3.0 10.8 -4.4 -2.5 -3.4 -4.7 -6.1 -5.9 -10.2 12.8 0.8 -7.1 -0.9 VIX 12.6 -5.3 -20.0 -5.1 -5.9 -5.4 -4.9 -4.3 -4.3 -13.8 -14.7 -10.4 -14.1 -10.3 -13.3 -20.0 -20.0 -20.0 -20.0 -17.5 -20.0 -12.9 -20.0 -10.2 NaN -13.5 -6.4 -6.3 -7.4 -5.3 -6.2 -4.9 NaN NaN NaN NaN NaN WHEAT -13.4 4.5 -15.3 0.8 -3.5 -1.3 -2.5 -1.1 0.3 -13.6 -13.3 -14.8 -13.6 -11.7 -13.0 -11.5 -6.9 -10.1 -8.6 -14.9 -16.7 -20.0 -13.5 -20.0 7.0 11.9 -3.8 -7.6 -3.0 -8.4 -0.9 -6.3 -20.0 -20.0 -18.3 -13.8 -15.2 End of report for caleb_strategy_v1