******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230307_205015 produced at 2023-03-07 21:36:18.216348 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.44 0.0 39908815.78 -39908815.78 -0.40 -0.40 -10.92 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.20 -0.24 0.0 7268781.23 -7268781.23 -0.20 -0.20 -33.40 999999999 -28 -28 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.20 0.0 42821672.97 -42821672.97 -0.04 -0.04 -4.65 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.20 0.0 45440572.09 -45440572.09 -0.23 -0.23 -4.29 999999999 -5 -5 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.13 0.0 13713197.16 -13713197.16 -0.08 -0.08 -9.46 999999999 -6 -6 caleb_strategy_v1 US5 False False 0.04 -0.25 -0.13 0.0 36397353.09 -36397353.09 -0.25 -0.25 -3.65 999999999 -7 -7 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.12 0.0 45143407.21 -45143407.21 -0.09 -0.09 -2.67 999999999 -2 -2 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.10 0.0 48833719.08 -48833719.08 0.00 0.00 -2.05 999999999 0 0 caleb_strategy_v1 JPY False False 0.03 -0.28 -0.09 0.0 31208726.01 -31208726.01 -0.28 -0.28 -2.90 999999999 -9 -9 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 37968692.56 -37968692.56 0.00 0.00 -2.11 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.05 -0.05 0.0 6222076.74 -6222076.74 -0.05 -0.06 -8.74 999999999 -8 -9 caleb_strategy_v1 FEEDCOW False False 0.04 -0.19 -0.05 0.0 37237538.68 -37237538.68 -0.19 -0.19 -1.29 999999999 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9416919.88 -9416919.88 -0.02 -0.02 -3.13 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 17455764.34 -17455764.34 0.00 0.00 -0.97 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 38012407.86 -38012407.86 -0.04 -0.04 -0.51 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9687147.51 -9687147.51 -0.01 -0.01 -0.76 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 46896466.21 -46896466.21 0.00 0.00 -0.21 999999999 0 0 caleb_strategy_v1 US30 False False 0.05 -0.19 -0.01 0.0 46456063.59 -46456063.59 -0.19 -0.19 -0.12 999999999 -4 -4 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.01 0.0 21967112.04 -21967112.04 -0.11 -0.11 -0.62 999999999 -5 -5 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.01 0.0 12519406.74 -12519406.74 -0.05 -0.05 -0.42 999999999 -4 -4 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 754927.07 -754927.07 -0.01 -0.01 -5.88 999999999 -8 -8 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12020682.83 -12020682.83 0.00 0.00 0.37 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.00 0.0 22628998.70 -22628998.70 0.00 0.00 0.20 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.02 0.00 0.0 5622445.04 -5622445.04 -0.02 -0.01 0.52 999999999 -3 -1 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 13566966.38 -13566966.38 0.00 0.00 0.05 999999999 0 0 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 12344955.99 -12344955.99 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 16769505.88 -16769505.88 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.01 0.0 68258131.53 -68258131.53 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23384096.80 -23384096.80 0.00 0.00 0.39 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.01 0.0 14144193.13 -14144193.13 0.00 0.00 0.64 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 8056751.32 -8056751.32 0.00 0.00 2.75 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 20903304.52 -20903304.52 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 38868653.19 -38868653.19 0.04 0.04 0.64 999999999 1 1 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.02 0.0 3215879.85 -3215879.85 0.00 0.00 6.99 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4086063.75 -4086063.75 0.00 0.00 4.87 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 7367978.72 -7367978.72 0.02 0.02 2.15 999999999 3 3 caleb_strategy_v1 BOBL False False 0.04 0.00 0.02 0.0 41986334.75 -41986334.75 0.00 0.00 0.50 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 9705960.82 -9705960.82 0.06 0.06 2.50 999999999 6 6 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 33958035.62 -33958035.62 0.00 0.00 0.45 999999999 0 0 caleb_strategy_v1 CAD False False 0.02 0.00 0.03 0.0 24866073.02 -24866073.02 0.00 0.00 1.17 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.18 0.03 0.0 25690865.91 -25690865.91 0.18 0.18 1.21 999999999 7 7 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.03 0.0 27963428.98 -27963428.98 0.00 0.00 0.97 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.08 0.03 0.0 83201035.45 -83201035.45 0.08 0.08 0.42 999999999 1 1 caleb_strategy_v1 SP400 False False 0.09 0.53 0.04 0.0 88521783.31 -88521783.31 0.53 0.53 0.44 999999999 6 6 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.04 0.0 15597428.52 -15597428.52 0.00 0.00 2.25 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 40744675.72 -40744675.72 0.04 0.04 1.01 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.04 0.0 23486714.89 -23486714.89 0.00 0.00 1.77 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.03 0.04 0.0 5675112.13 -5675112.13 0.03 0.03 6.64 999999999 5 5 caleb_strategy_v1 MXP False False 0.01 0.03 0.05 0.0 9480201.03 -9480201.03 0.03 0.03 5.10 999999999 3 3 caleb_strategy_v1 CAC False False 0.03 0.05 0.05 0.0 26763229.90 -26763229.90 0.05 0.05 1.70 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.09 0.05 0.0 45966947.50 -45966947.50 0.09 0.09 1.19 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.06 0.0 16388108.65 -16388108.65 0.10 0.10 3.65 999999999 6 6 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.07 0.0 25705831.04 -25705831.04 0.13 0.13 2.68 999999999 5 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 47887867.05 -47887867.05 0.05 0.05 4.77 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.55 0.0 0.00 0.00 0.00 0.00 78.55 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 18.5 Shocked risk 58.8 Sum abs risk 52.4 Leverage 3.70 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2923461.21, 'annual_cash_vol_target': 730865.3025, 'daily_cash_vol_target': 45679.08140625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0053 0.6616 0.8060 12.8954 BITCOIN 725.1658 22070.0000 3.2858 52.5721 BOBL 0.2976 114.9700 0.2588 4.1410 BTP 0.8188 111.5700 0.7339 11.7426 BUND 0.6587 131.1300 0.5023 8.0375 BUXL 1.5888 133.7200 1.1882 19.0107 CAC 58.3400 7328.5000 0.7961 12.7371 CAD 0.0033 0.7270 0.4480 7.1685 CANOLA 6.0654 813.5000 0.7456 11.9296 CHF 0.0056 1.0628 0.5245 8.3913 COCOA 33.8642 2753.0000 1.2301 19.6813 COFFEE 3.4046 182.3000 1.8676 29.8810 COPPER 0.0579 3.9710 1.4587 23.3397 CORN 4.3006 567.5000 0.7578 12.1251 COTTON2 1.3924 82.7000 1.6837 26.9385 CRUDE_W 1.2857 75.1500 1.7109 27.3743 DAX 126.0484 15540.0000 0.8111 12.9780 DOW 263.7462 32874.0000 0.8023 12.8367 EUR 0.0058 1.0558 0.5485 8.7767 EUROSTX 37.6694 4271.0000 0.8820 14.1117 FEEDCOW 1.0932 217.7250 0.5021 8.0337 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 16.0501 817.5000 1.9633 31.4130 GASOILINE 0.0499 2.6459 1.8853 30.1654 GAS_US 0.1574 2.8320 5.5592 88.9471 GBP 0.0076 1.2017 0.6321 10.1144 GOLD_micro 15.0737 1819.0000 0.8287 13.2589 HEATOIL 0.0512 2.7055 1.8931 30.2898 JPY 0.0001 0.0073 0.7103 11.3643 LEANHOG 1.1285 100.2250 1.1260 18.0158 LIVECOW 0.8224 160.5500 0.5122 8.1955 MXP 0.0003 0.0554 0.6236 9.9778 NASDAQ 139.2400 12161.7500 1.1449 18.3184 NIKKEI 206.8424 27950.0000 0.7400 11.8407 NZD 0.0044 0.6111 0.7197 11.5157 OAT 0.6893 125.8700 0.5476 8.7617 OJ 5.2106 240.6000 2.1657 34.6509 PALLAD 33.5626 1371.0000 2.4480 39.1686 PLAT 17.1640 980.5000 1.7505 28.0086 REDWHEAT 11.6801 793.2500 1.4724 23.5590 ROBUSTA 26.7084 2154.0000 1.2399 19.8391 RUSSELL 20.0217 1880.3000 1.0648 17.0370 SILVER-mini 0.3667 20.4125 1.7965 28.7442 SOYBEAN 10.1819 1373.2500 0.7414 11.8632 SOYMEAL 5.5757 479.1000 1.1638 18.6207 SOYOIL 0.8084 58.5700 1.3802 22.0829 SP400 22.9926 2587.9000 0.8885 14.2155 SP500 34.7955 3991.0000 0.8718 13.9496 SUGAR11 0.3222 21.0300 1.5320 24.5118 US10 0.4336 111.0000 0.3907 6.2508 US10U 0.6010 116.6719 0.5151 8.2416 US20 0.8984 125.1875 0.7176 11.4821 US30 1.3889 135.8125 1.0227 16.3629 US5 0.2797 106.4062 0.2629 4.2058 VIX 0.5154 21.2500 2.4255 38.8080 WHEAT 9.5304 732.0000 1.3020 20.8315 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.55 0.81 533.18 1.00 533.18 45679.08 85.67 1.43 12.26 BITCOIN 22.07 3.29 72.52 1.00 72.52 45679.08 629.91 -3.96 -249.44 BOBL 1149.70 0.26 297.56 1.06 316.73 45679.08 144.22 0.48 6.92 BTP 1115.70 0.73 818.83 1.06 871.58 45679.08 52.41 9.54 50.00 BUND 1311.30 0.50 658.72 1.06 701.16 45679.08 65.15 10.14 66.09 BUXL 1337.20 1.19 1588.82 1.06 1691.18 45679.08 27.01 -9.04 -24.41 CAC 732.85 0.80 583.40 1.06 620.99 45679.08 73.56 8.22 60.46 CAD 726.95 0.45 325.70 1.00 325.70 45679.08 140.25 4.66 65.38 CANOLA 162.70 0.75 121.31 0.74 89.21 45679.08 512.01 10.37 530.97 CHF 1328.44 0.52 696.70 1.00 696.70 45679.08 65.56 -17.50 -114.73 COCOA 275.30 1.23 338.64 1.00 338.64 45679.08 134.89 -10.65 -143.71 COFFEE 683.62 1.87 1276.71 1.00 1276.71 45679.08 35.78 8.31 29.73 COPPER 992.75 1.46 1448.16 1.00 1448.16 45679.08 31.54 5.18 16.35 CORN 283.75 0.76 215.03 1.00 215.03 45679.08 212.43 13.07 277.65 COTTON2 413.50 1.68 696.19 1.00 696.19 45679.08 65.61 6.48 42.50 CRUDE_W 751.50 1.71 1285.74 1.00 1285.74 45679.08 35.53 5.71 20.28 DAX 155.40 0.81 126.05 1.06 134.17 45679.08 340.46 3.59 122.33 DOW 164.37 0.80 131.87 1.00 131.87 45679.08 346.39 0.53 18.19 EUR 1319.75 0.55 723.94 1.00 723.94 45679.08 63.10 -11.29 -71.24 EUROSTX 427.10 0.88 376.69 1.06 400.96 45679.08 113.92 7.04 80.18 FEEDCOW 1088.62 0.50 546.60 1.00 546.60 45679.08 83.57 -5.76 -48.17 FTSE100 707.00 0.82 576.59 1.20 666.67 45679.08 68.52 7.70 52.74 GASOIL 817.50 1.96 1605.01 1.00 1605.01 45679.08 28.46 4.79 13.64 GASOILINE 1111.28 1.89 2095.14 1.00 2095.14 45679.08 21.80 -5.70 -12.43 GAS_US 283.20 5.56 1574.36 1.00 1574.36 45679.08 29.01 -17.33 -50.27 GBP 751.06 0.63 474.78 1.00 474.78 45679.08 96.21 7.04 67.69 GOLD_micro 181.90 0.83 150.74 1.00 150.74 45679.08 303.04 -12.89 -390.62 HEATOIL 1136.31 1.89 2151.17 1.00 2151.17 45679.08 21.23 4.20 8.92 JPY 912.38 0.71 648.03 1.00 648.03 45679.08 70.49 -6.36 -44.84 LEANHOG 400.90 1.13 451.41 1.00 451.41 45679.08 101.19 -20.00 -202.38 LIVECOW 642.20 0.51 328.95 1.00 328.95 45679.08 138.86 -1.67 -23.26 MXP 277.15 0.62 172.83 1.00 172.83 45679.08 264.29 15.77 416.72 NASDAQ 2432.35 1.14 2784.80 1.00 2784.80 45679.08 16.40 4.68 7.67 NIKKEI 27950.00 0.74 20684.24 0.01 152.43 45679.08 299.67 13.80 413.55 NZD 611.10 0.72 439.83 1.00 439.83 45679.08 103.86 4.96 51.55 OAT 1258.70 0.55 689.27 1.06 733.68 45679.08 62.26 9.45 58.83 OJ 360.90 2.17 781.59 1.00 781.59 45679.08 58.44 -3.95 -23.10 PALLAD 1371.00 2.45 3356.26 1.00 3356.26 45679.08 13.61 -6.53 -8.89 PLAT 490.25 1.75 858.20 1.00 858.20 45679.08 53.23 2.65 14.13 REDWHEAT 396.62 1.47 584.01 1.00 584.01 45679.08 78.22 1.10 8.60 ROBUSTA 215.40 1.24 267.08 1.00 267.08 45679.08 171.03 9.72 166.21 RUSSELL 94.02 1.06 100.11 1.00 100.11 45679.08 456.30 2.96 134.90 SILVER-mini 510.31 1.80 916.78 1.00 916.78 45679.08 49.83 -8.66 -43.15 SOYBEAN 686.62 0.74 509.10 1.00 509.10 45679.08 89.73 3.34 29.95 SOYMEAL 479.10 1.16 557.57 1.00 557.57 45679.08 81.92 7.55 61.84 SOYOIL 351.42 1.38 485.02 1.00 485.02 45679.08 94.18 4.24 39.91 SP400 2587.90 0.89 2299.26 1.00 2299.26 45679.08 19.87 4.24 8.43 SP500 1995.50 0.87 1739.77 1.00 1739.77 45679.08 26.26 2.11 5.55 SUGAR11 235.54 1.53 360.84 1.00 360.84 45679.08 126.59 16.00 202.48 US10 1110.00 0.39 433.65 1.00 433.65 45679.08 105.34 -5.22 -54.96 US10U 1166.72 0.52 600.98 1.00 600.98 45679.08 76.01 -9.86 -74.91 US20 1251.88 0.72 898.38 1.00 898.38 45679.08 50.85 -12.40 -63.07 US30 1358.12 1.02 1388.93 1.00 1388.93 45679.08 32.89 -0.44 -1.46 US5 1064.06 0.26 279.70 1.00 279.70 45679.08 163.31 -5.83 -95.20 VIX 212.50 2.43 515.42 1.00 515.42 45679.08 88.63 -20.00 -177.25 WHEAT 366.00 1.30 476.52 1.00 476.52 45679.08 95.86 -8.22 -78.82 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 12.260 0.006 2.5 0.196 BITCOIN -249.436 0.009 2.5 -5.877 BOBL 6.919 0.029 2.5 0.499 BTP 49.999 0.008 2.5 1.010 BUND 66.091 0.029 2.5 4.769 BUXL -24.410 0.034 2.5 -2.049 CAC 60.456 0.011 2.5 1.700 CAD 65.384 0.007 2.5 1.167 CANOLA 530.971 0.004 2.5 4.874 CHF -114.727 0.015 2.5 -4.294 COCOA -143.710 0.009 2.5 -3.131 COFFEE 29.728 0.005 2.5 0.385 COPPER 16.347 0.011 2.5 0.447 CORN 277.650 0.004 2.5 2.504 COTTON2 42.497 0.006 2.5 0.640 CRUDE_W 20.283 0.053 2.5 2.680 DAX 122.333 0.022 2.5 6.644 DOW 18.187 0.011 2.5 0.518 EUR -71.244 0.015 2.5 -2.666 EUROSTX 80.184 0.011 2.5 2.254 FEEDCOW -48.167 0.011 2.5 -1.294 FTSE100 52.743 0.041 2.5 5.437 GASOIL 13.637 0.029 2.5 0.973 GASOILINE -12.433 0.016 2.5 -0.510 GAS_US -50.275 0.006 2.5 -0.757 GBP 67.687 0.007 2.5 1.209 GOLD_micro -390.624 0.009 2.5 -8.740 HEATOIL 8.918 0.029 2.5 0.636 JPY -44.844 0.026 2.5 -2.903 LEANHOG -202.385 0.019 2.5 -9.455 LIVECOW -23.258 0.011 2.5 -0.625 MXP 416.720 0.005 2.5 5.102 NASDAQ 7.671 0.022 2.5 0.417 NIKKEI 413.554 0.076 2.5 78.548 NZD 51.551 0.006 2.5 0.824 OAT 58.833 0.008 2.5 1.188 OJ -23.097 0.007 2.5 -0.403 PALLAD -8.892 0.010 2.5 -0.214 PLAT 14.131 0.010 2.5 0.340 REDWHEAT 8.599 0.002 2.5 0.046 ROBUSTA 166.209 0.005 2.5 2.155 RUSSELL 134.898 0.021 2.5 6.987 SILVER-mini -43.153 0.009 2.5 -0.966 SOYBEAN 29.950 0.024 2.5 1.766 SOYMEAL 61.837 0.024 2.5 3.646 SOYOIL 39.911 0.004 2.5 0.366 SP400 8.430 0.021 2.5 0.437 SP500 5.545 0.011 2.5 0.158 SUGAR11 202.484 0.005 2.5 2.748 US10 -54.956 0.015 2.5 -2.108 US10U -74.914 0.058 2.5 -10.915 US20 -63.070 0.029 2.5 -4.649 US30 -1.462 0.034 2.5 -0.123 US5 -95.204 0.015 2.5 -3.652 VIX -177.250 0.075 2.5 -33.403 WHEAT -78.818 0.002 2.5 -0.421 ==================== Position diags ==================== AUD 1.37 BITCOIN 14.84 BOBL 10.41 BTP 1.06 BUND 4.70 BUXL 2.27 CAC 2.07 CAD 2.50 CANOLA 4.70 CHF 2.45 COCOA 2.94 COFFEE 0.46 COPPER 0.86 CORN 1.92 COTTON2 0.99 CRUDE_W 4.69 DAX 18.49 DOW 9.87 EUR 2.36 EUROSTX 3.20 FEEDCOW 2.25 FTSE100 7.06 GASOIL 2.03 GASOILINE 0.90 GAS_US 0.44 GBP 1.72 GOLD_micro 6.78 HEATOIL 1.51 JPY 4.56 LEANHOG 4.73 LIVECOW 3.73 MXP 3.24 NASDAQ 0.89 NIKKEI 56.92 NZD 1.66 OAT 1.26 OJ 1.02 PALLAD 0.33 PLAT 1.28 REDWHEAT 0.42 ROBUSTA 2.22 RUSSELL 23.63 SILVER-mini 1.11 SOYBEAN 5.29 SOYMEAL 4.83 SOYOIL 0.86 SP400 1.03 SP500 0.75 SUGAR11 1.72 US10 4.04 US10U 11.07 US20 3.75 US30 2.76 US5 6.27 VIX 16.70 WHEAT 0.51 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.2 0.1 0.3 0.0 0 BITCOIN -5.9 -7.4 -4.4 -8.0 -8 BOBL 0.5 -0.5 1.5 0.0 0 BTP 1.0 0.9 1.1 1.0 1 BUND 4.8 4.3 5.2 1.0 1 BUXL -2.0 -2.3 -1.8 0.0 0 CAC 1.7 1.5 1.9 2.0 2 CAD 1.2 0.9 1.4 0.0 0 CANOLA 4.9 4.4 5.3 NaN 0 CHF -4.3 -4.5 -4.0 -5.0 -5 COCOA -3.1 -3.4 -2.8 -2.0 -2 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.4 0.4 0.5 0.0 0 CORN 2.5 2.3 2.7 6.0 6 COTTON2 0.6 0.5 0.7 NaN 0 CRUDE_W 2.7 2.2 3.1 5.0 5 DAX 6.6 4.8 8.5 5.0 5 DOW 0.5 -0.5 1.5 -3.0 -3 EUR -2.7 -2.9 -2.4 -2.0 -2 EUROSTX 2.3 1.9 2.6 0.0 0 FEEDCOW -1.3 -1.5 -1.1 -5.0 -5 FTSE100 5.4 4.7 6.1 0.0 0 GASOIL 1.0 0.8 1.2 0.0 0 GASOILINE -0.5 -0.6 -0.4 -1.0 -1 GAS_US -0.8 -0.8 -0.7 -1.0 -1 GBP 1.2 1.0 1.4 7.0 7 GOLD_micro -8.7 -9.4 -8.1 -8.0 -8 HEATOIL 0.6 0.5 0.8 1.0 1 JPY -2.9 -3.4 -2.4 -9.0 -9 LEANHOG -9.5 -9.9 -9.0 -6.0 -6 LIVECOW -0.6 -1.0 -0.3 -5.0 -5 MXP 5.1 4.8 5.4 3.0 3 NASDAQ 0.4 0.3 0.5 1.0 1 NIKKEI 78.5 72.9 84.2 0.0 0 NZD 0.8 0.7 1.0 0.0 0 OAT 1.2 1.1 1.3 2.0 2 OJ -0.4 -0.5 -0.3 NaN 0 PALLAD -0.2 -0.2 -0.2 NaN 0 PLAT 0.3 0.2 0.5 NaN 0 REDWHEAT 0.0 0.0 0.1 0.0 0 ROBUSTA 2.2 1.9 2.4 3.0 3 RUSSELL 7.0 4.6 9.4 0.0 0 SILVER-mini -1.0 -1.1 -0.9 0.0 0 SOYBEAN 1.8 1.2 2.3 0.0 0 SOYMEAL 3.6 3.2 4.1 6.0 6 SOYOIL 0.4 0.3 0.5 0.0 0 SP400 0.4 0.3 0.5 6.0 6 SP500 0.2 0.1 0.2 0.0 0 SUGAR11 2.7 2.6 2.9 0.0 0 US10 -2.1 -2.5 -1.7 NaN 0 US10U -10.9 -12.0 -9.8 -10.0 -10 US20 -4.6 -5.0 -4.3 -1.0 -1 US30 -0.1 -0.4 0.2 -4.0 -4 US5 -3.7 -4.3 -3.0 -7.0 -7 VIX -33.4 -35.1 -31.7 -28.0 -28 WHEAT -0.4 -0.5 -0.4 -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 -0.1 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 -0.2 -0.2 -0.1 -0.1 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 0.3 0.3 0.1 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 1.9 2.4 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.4 -0.0 -0.1 -0.1 -0.2 BTP -0.2 -0.0 0.1 -0.1 -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 -0.1 -0.0 -0.2 -0.0 -1.3 2.2 -0.0 -0.0 -0.0 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-1.1 -0.6 -0.3 -0.3 -0.1 0.0 -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 -0.1 -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 0.1 0.4 0.2 0.3 COFFEE 0.1 0.3 0.1 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 0.0 0.2 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 -1.1 -0.0 0.1 0.2 0.1 COPPER -0.2 -0.1 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.0 -0.1 -0.0 0.2 -0.1 -0.0 -0.0 -0.0 0.1 0.1 -0.0 0.0 -0.0 -0.6 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 -0.2 -0.2 -0.3 0.0 -0.0 -0.0 -0.1 -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 0.5 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 -0.2 0.0 -0.1 -0.2 0.2 CRUDE_W -0.0 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-0.1 -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 1.1 2.5 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -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 -5.8 11.7 -1.0 -7.2 0.8 -6.0 -1.4 -4.7 -13.5 5.0 -15.0 -3.3 -13.7 -1.1 -3.6 -2.7 -3.5 -3.2 -5.7 0.4 -20.0 -3.0 -16.4 4.6 11.7 -2.4 -9.9 -0.2 -8.1 -1.5 -6.4 -0.7 -13.2 -8.9 -4.6 -3.8 BITCOIN -7.5 20.0 20.0 -1.4 -3.5 1.0 -2.8 1.3 -3.5 -13.8 7.7 -8.5 -12.9 7.9 11.2 -4.5 -1.3 -2.5 -1.4 10.8 5.4 -9.9 -11.2 1.5 7.6 -18.1 3.6 -5.3 2.5 -3.5 -0.8 0.4 1.7 -16.0 15.9 20.0 5.0 BOBL -20.0 -13.1 -11.0 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 -13.6 -14.8 -15.8 -14.6 -15.6 -13.8 -12.2 4.2 -7.9 -1.5 -20.0 -20.0 -20.0 -20.0 -20.0 12.3 10.8 -5.4 -6.0 -5.1 -8.1 -7.5 -7.4 3.1 -19.2 -11.3 -7.9 -15.9 BTP -15.0 -2.1 7.9 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 -3.2 -1.9 -11.6 -10.2 -10.0 -1.5 6.8 12.6 9.0 11.6 -5.3 -4.2 -10.1 -13.1 -10.7 -10.3 11.4 -0.5 -1.2 -0.7 -4.4 -7.1 -3.8 20.0 9.2 16.0 16.4 7.8 BUND -20.0 -11.4 -5.2 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 -11.5 -13.7 -14.9 -14.0 -14.6 -12.1 10.1 14.7 11.3 12.8 -20.0 -20.0 -20.0 -20.0 -20.0 7.3 12.3 -4.9 -3.9 -4.8 -7.0 -7.8 -6.9 20.0 -7.9 -1.6 -1.4 -8.5 BUXL -20.0 -15.9 -6.1 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 -6.7 -12.7 -12.5 -13.5 -14.1 -13.1 2.8 0.4 2.9 2.7 -20.0 -20.0 -17.8 -20.0 -20.0 3.1 -10.8 -5.1 -1.5 -4.7 -5.3 -6.8 -6.4 2.1 -1.1 3.6 -4.9 -6.8 CAC -2.6 14.3 20.0 3.2 1.4 3.3 0.9 1.1 1.1 8.3 15.7 9.5 10.4 13.3 15.1 -4.1 0.8 -3.5 -1.9 20.0 20.0 8.3 18.3 14.5 -16.4 8.9 6.0 1.6 6.3 2.3 4.4 3.9 6.2 -2.3 20.0 13.4 13.4 CAD -17.4 -1.2 1.0 -1.0 -7.2 0.8 -6.0 -1.4 -4.7 -13.0 -6.9 -14.7 -9.1 -11.8 -6.0 -2.4 -1.5 -2.1 -1.9 -7.7 -6.7 -17.9 -10.5 -14.2 16.0 10.4 -3.4 -11.0 -2.7 -8.9 -4.5 -6.8 1.5 -4.4 -2.9 -3.3 -16.1 CANOLA 1.0 -8.6 -8.5 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -11.4 -5.0 -8.5 -9.4 -3.0 -7.1 20.0 13.1 15.8 12.1 -8.2 -11.7 -5.2 -6.0 -5.2 2.2 11.5 -5.3 -5.2 -4.8 -4.3 -1.5 -4.8 6.6 -9.5 -13.6 -20.0 -20.0 CHF -18.9 -11.0 11.4 -1.0 -7.2 0.8 -6.0 -1.4 -4.7 -9.4 9.2 -11.9 2.3 -13.1 1.1 -15.8 -13.7 -15.1 -14.6 -4.3 3.4 -11.9 1.5 -12.6 -5.3 -11.5 -1.9 -3.8 1.1 -5.6 -0.7 -5.8 -19.8 -0.7 -0.2 -5.9 0.2 COCOA 12.1 7.2 18.5 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -9.3 12.8 7.8 0.8 9.9 12.9 -0.5 -2.6 -1.1 -1.5 14.8 12.6 6.0 5.5 12.9 -19.3 -10.4 6.0 -1.5 5.2 2.4 2.6 5.1 -17.3 6.3 20.0 14.3 20.0 COFFEE 11.4 20.0 3.9 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -7.6 -5.7 -2.4 -8.0 10.2 9.2 2.9 3.1 2.0 2.8 9.5 -2.9 -1.5 -9.3 9.2 11.3 10.0 3.0 -1.8 -0.5 -1.4 -2.4 2.0 -8.3 -8.1 6.0 17.5 9.3 COPPER -14.5 -5.5 20.0 -1.4 -3.5 1.0 -2.8 1.3 -3.5 -8.9 9.1 -5.7 -2.3 -2.5 8.1 -0.6 -0.5 -0.9 -0.7 6.1 9.5 -6.5 3.0 -1.9 -4.6 11.1 0.3 -5.5 3.0 -4.2 1.9 -3.4 2.8 -20.0 8.3 6.6 9.1 CORN -16.4 -11.3 -20.0 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -13.7 2.2 -14.9 0.7 -14.8 -14.4 20.0 20.0 20.0 20.0 -15.9 -9.3 -20.0 3.3 -20.0 3.0 11.0 -5.8 -4.3 -4.1 -6.5 -0.4 -6.9 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -6.0 3.3 -1.6 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -3.2 -8.5 -1.2 -9.8 -4.0 1.6 -4.5 10.7 -2.2 2.9 -3.3 -8.7 -2.3 -9.9 -2.6 3.2 12.0 -1.3 -5.1 -1.4 -2.1 1.2 -2.1 -1.3 19.7 -5.4 -7.1 6.7 CRUDE_W -1.1 -1.0 -3.6 -0.4 2.6 -1.2 5.3 2.5 2.3 4.1 1.0 6.2 1.1 0.2 -0.6 8.6 11.9 8.6 9.5 -0.4 -0.7 4.7 3.2 1.3 -10.3 10.8 0.5 1.1 1.2 3.4 5.3 1.2 -0.2 -8.6 -3.6 0.1 6.5 DAX -8.6 9.2 20.0 3.2 1.4 3.3 0.9 1.1 1.1 7.2 15.5 6.2 5.0 12.9 15.1 -10.2 -5.4 -9.3 -7.7 18.8 20.0 7.3 12.5 10.1 -15.5 9.9 5.7 3.2 6.6 2.6 3.6 3.2 -3.8 5.5 13.1 8.9 12.6 DOW -17.7 -6.2 4.9 3.2 1.4 3.3 0.9 1.1 1.1 -0.4 9.1 -7.5 1.7 -8.6 -4.8 -8.2 -4.4 -7.4 -6.3 -3.8 2.8 -6.5 2.8 -9.2 -2.4 10.8 1.8 -1.5 3.5 0.0 2.6 -0.3 -2.1 -6.1 1.2 -11.0 -8.7 EUR -19.3 -12.3 20.0 -1.0 -7.2 0.8 -6.0 -1.4 -4.7 -6.4 9.3 -8.5 -2.6 -11.7 3.7 -8.6 -8.8 -8.5 -8.6 -0.8 6.0 -7.8 -1.7 -8.9 -4.1 -11.1 -0.1 -3.7 2.5 -3.5 -1.5 -3.7 -10.6 10.4 2.0 0.9 7.7 EUROSTX -7.0 10.6 20.0 3.2 1.4 3.3 0.9 1.1 1.1 6.2 15.6 6.0 9.5 12.5 14.9 12.4 6.7 10.7 8.4 19.7 20.0 6.6 16.0 10.7 -17.7 -8.5 5.9 2.0 7.0 2.3 4.8 3.3 19.5 1.6 15.3 7.4 12.4 FEEDCOW 20.0 15.9 11.1 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 14.0 7.5 15.4 3.5 15.8 15.0 -20.0 -20.0 -20.0 -20.0 19.2 10.6 20.0 4.1 20.0 -12.8 12.2 5.9 10.3 3.9 9.0 2.0 7.5 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -0.6 -6.6 -11.8 -0.4 2.6 -1.2 5.3 2.5 2.3 6.0 -7.4 8.4 8.0 -6.8 -4.7 20.0 20.0 20.0 20.0 -5.6 -3.9 4.5 8.3 -1.1 -1.6 -15.4 -3.3 -0.5 -3.4 2.2 1.8 -0.4 20.0 -4.3 -6.3 -3.8 -14.1 GASOILINE -1.3 5.8 -1.6 -0.4 2.6 -1.2 5.3 2.5 2.3 6.6 0.7 8.8 3.4 4.6 8.0 10.0 10.3 -2.7 0.8 5.3 3.7 9.6 7.2 6.3 -13.4 -13.1 3.5 3.0 4.3 4.1 7.2 2.8 -7.8 -4.4 -1.2 11.2 17.1 GAS_US 20.0 -15.1 -20.0 -0.4 2.6 -1.2 5.3 2.5 2.3 2.6 -15.7 7.1 -11.7 -4.7 -14.7 -17.2 -5.1 -6.8 -4.8 -20.0 -20.0 3.8 -20.0 -6.0 3.6 -9.3 -3.9 -0.3 -5.7 2.3 -1.6 0.6 -20.0 8.1 -0.5 -16.7 -16.0 GBP -11.2 -7.1 10.5 -0.6 -1.1 1.0 -3.9 -1.4 -4.0 -1.7 9.8 -7.8 -2.7 -10.6 2.6 -2.6 -2.0 -2.5 -2.3 -2.3 1.5 -4.8 -5.2 -7.1 12.9 9.4 -2.4 -0.4 -2.1 -2.6 -6.7 -4.1 0.7 12.4 7.9 -3.1 -6.1 GOLD_micro -20.0 -12.5 17.8 -1.4 -3.5 1.0 -2.8 1.3 -3.5 -5.8 5.8 -7.4 -2.7 -11.7 0.4 -13.1 -10.3 -12.5 -11.9 -2.7 5.2 -7.4 2.7 -10.4 4.1 -13.8 -1.0 -3.7 1.6 -2.2 1.1 -3.2 -15.2 5.3 4.3 -0.4 5.8 HEATOIL -2.7 -5.9 -9.7 -0.4 2.6 -1.2 5.3 2.5 2.3 3.8 -6.1 5.7 7.4 -9.2 -3.3 20.0 20.0 20.0 20.0 -5.5 -3.2 2.1 8.3 -2.6 -11.9 -13.6 -1.9 -1.2 0.0 0.6 7.3 -1.3 20.0 -12.4 -11.6 -3.3 -2.5 JPY -20.0 -13.4 19.8 -1.0 -7.2 0.8 -6.0 -1.4 -4.7 -11.6 4.9 -14.4 -7.3 -15.2 -0.4 -14.6 -11.9 -13.6 -13.1 -8.7 -0.5 -16.9 -9.3 -19.2 3.7 9.9 -2.6 -3.9 -0.5 -5.3 -4.2 -5.8 -17.1 4.5 -9.9 -13.3 3.3 LEANHOG -2.1 -14.0 -15.3 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -14.0 -10.0 -14.0 -6.5 -14.5 -13.6 -20.0 -20.0 -20.0 -20.0 -15.0 -13.0 -12.8 -5.5 -13.2 7.2 -11.1 -6.0 -3.6 -4.9 -5.0 -2.4 -5.8 -20.0 -20.0 -15.1 -20.0 -20.0 LIVECOW 1.9 10.0 12.9 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 3.5 14.8 4.7 7.5 13.5 14.7 20.0 -20.0 -7.6 -20.0 13.3 13.2 2.5 8.3 8.7 -20.0 12.0 5.8 -0.4 6.4 0.3 5.1 3.0 -20.0 6.5 7.4 15.1 20.0 MXP 16.2 11.6 15.2 -0.6 -1.1 1.0 -3.9 -1.4 -4.0 12.4 16.4 15.4 15.9 16.2 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 6.1 6.2 6.7 5.3 6.4 20.0 20.0 20.0 20.0 16.3 NASDAQ -11.3 20.0 7.4 3.2 1.4 3.3 0.9 1.1 1.1 4.1 -2.7 -7.3 -10.6 5.6 8.2 -7.1 -4.7 -6.5 -5.8 7.7 2.9 -0.5 -7.8 2.1 4.4 10.2 4.5 1.3 3.1 1.5 -0.0 2.7 -1.9 3.5 3.7 14.9 2.3 NIKKEI 3.9 17.6 -2.3 3.2 1.4 3.3 0.9 1.1 1.1 13.8 2.2 12.2 2.9 14.0 7.8 20.0 15.7 20.0 19.2 9.9 4.6 20.0 1.5 14.8 11.3 -9.4 3.4 10.5 0.8 8.7 -0.9 5.8 20.0 20.0 18.5 7.2 -18.0 NZD -20.0 -12.0 13.0 -1.0 -7.2 0.8 -6.0 -1.4 -4.7 -10.8 8.6 -12.4 -1.8 -13.6 -0.5 0.0 0.4 0.1 0.1 -5.9 1.6 -14.3 -2.4 -14.0 0.1 10.8 -2.3 -7.1 0.4 -5.6 -1.1 -5.3 4.6 7.3 -1.8 -7.3 1.3 OAT -20.0 -12.2 -3.6 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 -11.8 -12.4 -15.0 -13.4 -14.4 -11.6 9.6 12.2 10.6 11.8 -19.4 -17.3 -20.0 -20.0 -20.0 3.6 12.7 -4.6 -4.2 -4.3 -7.1 -7.9 -6.8 20.0 -6.9 -0.4 0.2 -5.6 OJ -6.6 -12.8 -5.7 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -1.8 14.5 -1.5 15.0 8.4 11.2 20.0 17.4 20.0 20.0 19.0 20.0 3.6 19.4 13.2 -20.0 -14.3 5.7 0.1 5.8 1.2 5.4 4.1 19.7 20.0 20.0 20.0 20.0 PALLAD -15.3 -20.0 -20.0 -1.4 -3.5 1.0 -2.8 1.3 -3.5 -11.9 -15.6 -13.5 -13.5 -14.9 -15.9 -3.1 -2.0 -2.9 -2.5 -20.0 -20.0 -17.5 -20.0 -20.0 20.0 -11.1 -6.1 -4.1 -4.8 -4.4 -3.2 -6.0 0.0 -17.8 -16.0 -20.0 -20.0 PLAT -6.9 -20.0 1.4 -1.1 2.1 1.1 -0.9 1.4 -3.0 13.2 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 -15.7 5.4 -10.9 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -13.5 -10.8 -14.7 -9.8 -9.3 -10.1 8.1 3.2 7.3 5.7 -10.5 -10.5 -20.0 -7.0 -17.4 1.7 12.9 -3.6 -7.6 -2.2 -8.7 0.4 -6.5 -6.4 -20.0 -20.0 -9.4 -12.2 ROBUSTA 11.6 20.0 17.1 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -5.0 2.2 7.5 -0.9 13.1 12.8 6.1 9.1 9.0 9.6 20.0 11.5 10.6 3.7 20.0 -8.3 9.6 5.0 0.3 2.3 2.8 0.5 5.1 2.3 20.0 20.0 20.0 20.0 RUSSELL -12.7 12.5 8.2 3.2 1.4 3.3 0.9 1.1 1.1 -10.0 3.7 -11.5 -7.1 0.1 6.0 -6.5 -3.9 -5.9 -5.2 5.8 5.9 -6.7 -1.5 -1.6 -4.6 10.0 5.0 -3.3 4.4 -0.0 1.7 2.7 -0.7 -3.2 3.5 9.9 -1.7 SILVER-mini -20.0 -20.0 8.0 -1.4 -3.5 1.0 -2.8 1.3 -3.5 -11.8 4.3 -12.8 -2.0 -15.0 -8.0 -5.5 -4.4 -5.4 -5.1 -13.6 -1.8 -18.2 -0.1 -20.0 6.1 -11.3 -4.1 -5.6 -1.0 -5.4 -0.8 -6.2 -4.3 -20.0 -11.4 -20.0 -7.1 SOYBEAN 2.6 -5.0 -2.7 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 1.3 6.1 -0.6 3.9 1.3 -1.6 20.0 20.0 20.0 20.0 -1.1 0.0 -0.6 4.6 -1.3 -12.2 -11.7 -1.9 0.5 1.1 -3.1 5.9 -3.8 20.0 -14.5 -4.0 -14.7 1.8 SOYMEAL -7.0 4.3 20.0 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 10.5 14.7 7.6 14.0 11.5 14.8 20.0 18.5 20.0 20.0 16.9 20.0 12.2 18.3 11.2 -20.0 -12.0 5.4 6.5 8.2 3.3 8.9 2.5 19.4 17.8 6.7 8.6 20.0 SOYOIL 4.1 -8.2 -13.0 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -11.8 -3.6 -6.6 2.4 -7.4 -12.5 3.2 15.1 5.2 9.8 -8.6 -7.2 -11.1 1.4 -7.5 -7.3 12.9 -5.2 -9.1 -3.3 -5.9 1.6 -5.1 8.1 -20.0 -8.6 -20.0 -20.0 SP400 -14.3 13.0 13.5 3.2 1.4 3.3 0.9 1.1 1.1 -9.7 9.9 -11.4 0.5 1.1 7.2 -6.9 -3.7 -5.7 -4.7 9.0 11.8 -6.7 5.7 -1.0 -8.8 10.2 5.2 -3.4 5.2 -0.1 3.3 2.6 -0.0 -4.5 3.2 9.1 2.2 SP500 -17.2 8.7 6.0 3.2 1.4 3.3 0.9 1.1 1.1 0.5 1.6 -8.4 -6.4 -1.1 5.2 -8.2 -5.1 -7.3 -6.4 2.0 2.6 -4.4 -2.9 -4.3 2.1 10.2 3.4 0.3 2.9 0.7 0.0 1.2 -2.6 -0.8 -0.4 0.3 -3.8 SUGAR11 -0.1 8.5 9.7 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 13.6 13.1 13.4 10.0 14.5 14.0 20.0 20.0 20.0 20.0 15.7 14.2 16.7 10.3 15.6 -20.0 10.7 6.3 5.0 7.0 4.6 5.7 4.8 20.0 20.0 16.9 20.0 20.0 US10 -20.0 -16.1 4.2 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 -4.5 -9.6 -12.6 -12.2 -14.5 -8.7 -7.7 -3.3 -8.0 -6.9 -18.8 -14.6 -17.6 -20.0 -20.0 0.3 9.7 -4.1 -1.9 -3.2 -4.2 -5.9 -5.6 -9.4 7.6 6.2 -2.1 1.9 US10U -20.0 -12.6 6.0 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 0.3 -8.7 -11.2 -12.0 -13.6 -6.7 0.9 3.1 0.7 1.1 -15.5 -12.8 -13.1 -20.0 -19.7 -3.4 -14.1 -3.1 -0.3 -2.3 -3.2 -5.5 -4.8 2.8 14.3 11.3 2.6 7.0 US20 -20.0 -10.6 9.6 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 3.4 -6.4 -9.7 -10.7 -12.6 -4.1 -4.4 -1.7 -5.7 -4.2 -14.0 -11.3 -11.5 -18.2 -18.6 -0.9 -12.3 -3.5 1.3 -2.8 -2.7 -5.5 -4.9 -5.5 15.1 9.6 1.9 7.8 US30 -19.5 -6.2 11.2 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 9.2 -4.9 -9.3 -11.7 -11.7 -3.2 -0.8 -0.5 -1.3 -1.2 -9.7 -9.4 -6.4 -19.3 -12.8 -5.8 10.0 -1.8 2.4 -1.5 -1.0 -5.8 -3.4 -2.1 20.0 15.4 8.5 13.0 US5 -20.0 -19.8 1.6 -3.3 -2.5 -2.5 -5.1 -4.5 -5.4 -11.8 -10.5 -14.7 -12.7 -15.6 -10.4 -10.3 -3.5 -9.5 -7.8 -20.0 -17.5 -20.0 -20.0 -20.0 3.0 10.8 -4.5 -3.5 -3.5 -4.8 -6.1 -5.9 -10.4 0.8 0.8 -7.7 -1.3 VIX 9.6 -4.3 -20.0 -5.2 -4.3 -5.4 -4.7 -4.3 -4.4 -11.3 -14.8 -11.0 -14.1 -10.9 -13.5 -20.0 -20.0 -20.0 -20.0 -17.7 -20.0 -12.9 -20.0 -11.0 NaN -13.5 -6.4 -4.5 -7.4 -5.0 -6.2 -5.0 NaN NaN NaN NaN NaN WHEAT -17.7 3.6 -15.7 0.6 -4.4 -1.3 -3.2 -1.1 -0.3 -13.5 -13.5 -15.1 -13.6 -12.6 -13.4 -11.7 -7.0 -10.2 -8.6 -16.2 -17.4 -20.0 -13.9 -20.0 7.4 11.9 -4.1 -6.7 -3.1 -8.1 -1.0 -6.5 -20.0 -20.0 -19.4 -14.3 -15.7 End of report for caleb_strategy_v1