******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230308_204948 produced at 2023-03-08 21:36:04.264750 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.45 0.0 40354833.92 -40354833.92 -0.40 -0.40 -11.12 999999999 -10 -10 caleb_strategy_v1 VIX False False 0.01 -0.20 -0.24 0.0 7317388.24 -7317388.24 -0.20 -0.20 -33.14 999999999 -28 -28 caleb_strategy_v1 US20 False False 0.04 -0.04 -0.20 0.0 43376716.33 -43376716.33 -0.04 -0.04 -4.68 999999999 -1 -1 caleb_strategy_v1 CHF False False 0.05 -0.23 -0.20 0.0 45973697.20 -45973697.20 -0.23 -0.23 -4.38 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.26 -0.14 0.0 36762632.03 -36762632.03 -0.26 -0.26 -3.86 999999999 -7 -7 caleb_strategy_v1 EUR False False 0.05 -0.09 -0.13 0.0 45616909.65 -45616909.65 -0.09 -0.09 -2.77 999999999 -2 -2 caleb_strategy_v1 LEANHOG False False 0.01 -0.08 -0.13 0.0 13894388.26 -13894388.26 -0.08 -0.08 -9.48 999999999 -6 -6 caleb_strategy_v1 JPY False False 0.03 -0.28 -0.10 0.0 31544343.86 -31544343.86 -0.28 -0.28 -3.09 999999999 -9 -9 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.09 0.0 49415471.82 -49415471.82 0.00 0.00 -1.87 999999999 0 0 caleb_strategy_v1 US10 False False 0.04 0.00 -0.08 0.0 38376284.80 -38376284.80 0.00 0.00 -2.21 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.06 -0.06 0.0 6296067.67 -6296067.67 -0.06 -0.06 -9.10 999999999 -9 -9 caleb_strategy_v1 FEEDCOW False False 0.04 -0.19 -0.05 0.0 37992467.89 -37992467.89 -0.19 -0.19 -1.27 999999999 -5 -5 caleb_strategy_v1 COCOA False False 0.01 -0.02 -0.03 0.0 9448599.19 -9448599.19 -0.02 -0.02 -3.21 999999999 -2 -2 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 17623142.48 -17623142.48 0.00 0.00 -1.02 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 38267345.66 -38267345.66 -0.04 -0.04 -0.52 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9500495.56 -9500495.56 -0.01 -0.01 -0.78 999999999 -1 -1 caleb_strategy_v1 PALLAD False False 0.05 0.00 -0.01 0.0 46793227.38 -46793227.38 0.00 0.00 -0.22 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.05 -0.01 0.0 12511349.98 -12511349.98 -0.05 -0.05 -0.44 999999999 -4 -4 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.01 0.0 22228945.36 -22228945.36 -0.11 -0.11 -0.59 999999999 -5 -5 caleb_strategy_v1 US30 False False 0.05 -0.19 -0.01 0.0 47106767.95 -47106767.95 -0.19 -0.19 -0.12 999999999 -4 -4 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 16279891.42 -16279891.42 0.00 0.00 0.27 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 761838.72 -761838.72 -0.01 -0.01 -6.19 999999999 -8 -8 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12235088.30 -12235088.30 0.00 0.00 0.35 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.00 0.0 22886299.38 -22886299.38 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.01 -0.00 0.0 5655147.49 -5655147.49 -0.01 -0.03 -0.30 999999999 -1 -5 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 11930975.57 -11930975.57 0.00 0.00 -0.39 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 13653070.13 -13653070.13 0.00 0.00 0.04 999999999 0 0 caleb_strategy_v1 SP500 False False 0.07 0.00 0.01 0.0 68827561.35 -68827561.35 0.00 0.00 0.11 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 22918734.61 -22918734.61 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.01 0.0 14295720.19 -14295720.19 0.00 0.00 0.64 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 8090851.74 -8090851.74 0.00 0.00 2.77 999999999 0 0 caleb_strategy_v1 COPPER False False 0.03 0.00 0.02 0.0 34870036.26 -34870036.26 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 27747259.42 -27747259.42 0.00 0.00 0.82 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 9657049.61 -9657049.61 0.06 0.06 2.34 999999999 6 6 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 38637885.75 -38637885.75 0.04 0.04 0.53 999999999 1 1 caleb_strategy_v1 GBP False False 0.03 0.18 0.02 0.0 25606534.13 -25606534.13 0.18 0.18 0.96 999999999 7 7 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 7462698.08 -7462698.08 0.02 0.02 2.15 999999999 3 3 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4060807.89 -4060807.89 0.00 0.00 4.86 999999999 0 0 caleb_strategy_v1 RUSSELL False False 0.00 0.00 0.02 0.0 3234527.78 -3234527.78 0.00 0.00 5.50 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 21118363.03 -21118363.03 0.00 0.00 0.76 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.03 0.0 25067676.82 -25067676.82 0.00 0.00 1.02 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.08 0.08 0.03 0.0 84196671.47 -84196671.47 0.08 0.08 0.40 999999999 1 1 caleb_strategy_v1 BTP False False 0.04 0.04 0.04 0.0 41003319.12 -41003319.12 0.04 0.04 1.03 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.04 0.0 23720966.01 -23720966.01 0.00 0.00 1.80 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.53 0.04 0.0 89102608.36 -89102608.36 0.53 0.53 0.40 999999999 6 6 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.04 0.0 15613713.87 -15613713.87 0.00 0.00 2.30 999999999 0 0 caleb_strategy_v1 BOBL False False 0.04 0.00 0.04 0.0 41962311.82 -41962311.82 0.00 0.00 0.85 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.03 0.04 0.0 5697437.63 -5697437.63 0.03 0.03 6.78 999999999 5 6 caleb_strategy_v1 CAC False False 0.03 0.05 0.05 0.0 26684063.08 -26684063.08 0.05 0.05 1.69 999999999 2 2 caleb_strategy_v1 MXP False False 0.01 0.03 0.05 0.0 9607748.05 -9607748.05 0.03 0.03 4.84 999999999 3 3 caleb_strategy_v1 OAT False False 0.05 0.09 0.06 0.0 46130101.39 -46130101.39 0.09 0.09 1.22 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.10 0.06 0.0 16516884.84 -16516884.84 0.10 0.10 3.79 999999999 6 6 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.06 0.0 25750979.03 -25750979.03 0.13 0.13 2.43 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 5.38 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.05 0.23 0.0 48022562.27 -48022562.27 0.05 0.05 4.81 999999999 1 1 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.56 0.0 0.00 0.00 0.00 0.00 78.62 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 18.3 Shocked risk 58.3 Sum abs risk 52.2 Leverage 3.75 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2890375.54, 'annual_cash_vol_target': 722593.885, 'daily_cash_vol_target': 45162.1178125} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0053 0.6615 0.7952 12.7236 BITCOIN 712.6636 22020.0000 3.2364 51.7830 BOBL 0.2938 115.0800 0.2553 4.0854 BTP 0.8248 112.4500 0.7334 11.7351 BUND 0.6573 131.7000 0.4991 7.9854 BUXL 1.6022 135.5200 1.1822 18.9157 CAC 57.0394 7318.0000 0.7794 12.4710 CAD 0.0032 0.7246 0.4454 7.1268 CANOLA 6.0290 807.5000 0.7466 11.9459 CHF 0.0055 1.0630 0.5161 8.2576 COCOA 33.5100 2731.0000 1.2270 19.6324 COFFEE 3.5406 176.6500 2.0043 32.0685 COPPER 0.0584 4.0315 1.4481 23.1692 CORN 4.5306 558.2500 0.8116 12.9851 COTTON2 1.3568 82.6400 1.6419 26.2700 CRUDE_W 1.2674 74.4300 1.7028 27.2451 DAX 122.6548 15625.0000 0.7850 12.5598 DOW 259.7533 32691.0000 0.7946 12.7131 EUR 0.0057 1.0548 0.5406 8.6501 EUROSTX 36.5211 4282.0000 0.8529 13.6464 FEEDCOW 1.1149 219.6250 0.5077 8.1225 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.9154 802.0000 1.9845 31.7514 GASOILINE 0.0496 2.6335 1.8853 30.1650 GAS_US 0.1542 2.7460 5.6138 89.8207 GBP 0.0081 1.1842 0.6868 10.9886 GOLD_micro 14.8477 1819.8000 0.8159 13.0543 HEATOIL 0.0509 2.6590 1.9147 30.6346 JPY 0.0001 0.0073 0.6967 11.1469 LEANHOG 1.1133 100.4000 1.1088 17.7414 LIVECOW 0.8063 160.6250 0.5020 8.0319 MXP 0.0004 0.0555 0.6410 10.2557 NASDAQ 135.2312 12168.0000 1.1114 17.7819 NIKKEI 209.8348 28310.0000 0.7412 11.8593 NZD 0.0043 0.6104 0.7105 11.3673 OAT 0.6877 126.5100 0.5436 8.6979 OJ 5.4389 229.9000 2.3658 37.8524 PALLAD 32.8330 1352.5000 2.4276 38.8413 PLAT 18.7109 941.1000 1.9882 31.8111 REDWHEAT 11.4184 789.2500 1.4467 23.1478 ROBUSTA 26.1694 2157.0000 1.2132 19.4117 RUSSELL 19.6741 1869.8000 1.0522 16.8353 SILVER-mini 0.3589 20.3750 1.7615 28.1840 SOYBEAN 9.9743 1371.2500 0.7274 11.6382 SOYMEAL 5.4712 477.4000 1.1460 18.3368 SOYOIL 0.7940 58.9400 1.3471 21.5535 SP400 22.6603 2575.4000 0.8799 14.0780 SP500 34.1146 3978.7500 0.8574 13.7187 SUGAR11 0.3173 20.8800 1.5198 24.3167 US10 0.4240 110.9219 0.3823 6.1166 US10U 0.5878 116.6406 0.5040 8.0637 US20 0.8803 125.3750 0.7021 11.2343 US30 1.3620 136.1562 1.0003 16.0046 US5 0.2743 106.2578 0.2581 4.1296 VIX 0.5136 21.1500 2.4285 38.8561 WHEAT 9.4932 723.2500 1.3126 21.0012 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.50 0.80 526.04 1.00 526.04 45162.12 85.85 1.01 8.64 BITCOIN 22.02 3.24 71.27 1.00 71.27 45162.12 633.71 -4.14 -262.66 BOBL 1150.80 0.26 293.84 1.07 313.71 45162.12 143.96 0.82 11.79 BTP 1124.50 0.73 824.76 1.07 880.54 45162.12 51.29 9.91 50.84 BUND 1317.00 0.50 657.30 1.07 701.75 45162.12 64.36 10.36 66.67 BUXL 1355.20 1.18 1602.16 1.07 1710.52 45162.12 26.40 -8.43 -22.25 CAC 731.80 0.78 570.39 1.07 608.97 45162.12 74.16 8.09 60.02 CAD 724.55 0.45 322.73 1.00 322.73 45162.12 139.94 4.08 57.09 CANOLA 161.50 0.75 120.58 0.73 88.53 45162.12 510.14 10.37 529.14 CHF 1328.81 0.52 685.80 1.00 685.80 45162.12 65.85 -17.77 -117.00 COCOA 273.10 1.23 335.10 1.00 335.10 45162.12 134.77 -10.92 -147.22 COFFEE 662.44 2.00 1327.71 1.00 1327.71 45162.12 34.02 8.19 27.87 COPPER 1007.88 1.45 1459.48 1.00 1459.48 45162.12 30.94 5.12 15.84 CORN 279.12 0.81 226.53 1.00 226.53 45162.12 199.37 13.00 259.10 COTTON2 413.20 1.64 678.42 1.00 678.42 45162.12 66.57 6.37 42.39 CRUDE_W 744.30 1.70 1267.41 1.00 1267.41 45162.12 35.63 5.16 18.39 DAX 156.25 0.78 122.65 1.07 130.95 45162.12 344.88 3.62 124.81 DOW 163.46 0.79 129.88 1.00 129.88 45162.12 347.73 -0.30 -10.42 EUR 1318.50 0.54 712.82 1.00 712.82 45162.12 63.36 -11.69 -74.04 EUROSTX 428.20 0.85 365.21 1.07 389.91 45162.12 115.83 7.07 81.90 FEEDCOW 1098.12 0.51 557.47 1.00 557.47 45162.12 81.01 -5.85 -47.39 FTSE100 707.00 0.82 576.59 1.20 666.67 45162.12 67.74 7.70 52.15 GASOIL 802.00 1.98 1591.54 1.00 1591.54 45162.12 28.38 4.04 11.47 GASOILINE 1106.07 1.89 2085.29 1.00 2085.29 45162.12 21.66 -5.86 -12.70 GAS_US 274.60 5.61 1541.55 1.00 1541.55 45162.12 29.30 -17.76 -52.05 GBP 740.12 0.69 508.31 1.00 508.31 45162.12 88.85 6.06 53.87 GOLD_micro 181.98 0.82 148.48 1.00 148.48 45162.12 304.17 -13.38 -406.86 HEATOIL 1116.78 1.91 2138.26 1.00 2138.26 45162.12 21.12 3.52 7.44 JPY 911.75 0.70 635.20 1.00 635.20 45162.12 71.10 -6.72 -47.81 LEANHOG 401.60 1.11 445.31 1.00 445.31 45162.12 101.42 -20.00 -202.84 LIVECOW 642.50 0.50 322.53 1.00 322.53 45162.12 140.02 -1.56 -21.78 MXP 277.70 0.64 178.00 1.00 178.00 45162.12 253.72 15.58 395.18 NASDAQ 2433.60 1.11 2704.62 1.00 2704.62 45162.12 16.70 4.39 7.33 NIKKEI 28310.00 0.74 20983.48 0.01 154.35 45162.12 292.59 14.15 413.94 NZD 610.40 0.71 433.66 1.00 433.66 45162.12 104.14 4.60 47.87 OAT 1265.10 0.54 687.73 1.07 734.25 45162.12 61.51 9.82 60.38 OJ 344.85 2.37 815.84 1.00 815.84 45162.12 55.36 -4.08 -22.57 PALLAD 1352.50 2.43 3283.30 1.00 3283.30 45162.12 13.76 -6.77 -9.31 PLAT 470.55 1.99 935.54 1.00 935.54 45162.12 48.27 2.30 11.10 REDWHEAT 394.62 1.45 570.92 1.00 570.92 45162.12 79.10 0.87 6.86 ROBUSTA 215.70 1.21 261.69 1.00 261.69 45162.12 172.58 9.62 166.01 RUSSELL 93.49 1.05 98.37 1.00 98.37 45162.12 459.10 2.31 106.22 SILVER-mini 509.38 1.76 897.26 1.00 897.26 45162.12 50.33 -9.08 -45.71 SOYBEAN 685.62 0.73 498.71 1.00 498.71 45162.12 90.56 3.37 30.51 SOYMEAL 477.40 1.15 547.12 1.00 547.12 45162.12 82.54 7.78 64.23 SOYOIL 353.64 1.35 476.39 1.00 476.39 45162.12 94.80 3.99 37.81 SP400 2575.40 0.88 2266.03 1.00 2266.03 45162.12 19.93 3.84 7.65 SP500 1989.38 0.86 1705.73 1.00 1705.73 45162.12 26.48 1.52 4.03 SUGAR11 233.86 1.52 355.41 1.00 355.41 45162.12 127.07 16.07 204.22 US10 1109.22 0.38 424.04 1.00 424.04 45162.12 106.50 -5.41 -57.63 US10U 1166.41 0.50 587.85 1.00 587.85 45162.12 76.83 -9.94 -76.35 US20 1253.75 0.70 880.31 1.00 880.31 45162.12 51.30 -12.37 -63.46 US30 1361.56 1.00 1361.96 1.00 1361.96 45162.12 33.16 -0.44 -1.47 US5 1062.58 0.26 274.25 1.00 274.25 45162.12 164.67 -6.11 -100.58 VIX 211.50 2.43 513.63 1.00 513.63 45162.12 87.93 -20.00 -175.85 WHEAT 361.62 1.31 474.66 1.00 474.66 45162.12 95.15 -8.58 -81.62 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 8.643 0.006 2.5 0.138 BITCOIN -262.661 0.009 2.5 -6.189 BOBL 11.787 0.029 2.5 0.851 BTP 50.843 0.008 2.5 1.027 BUND 66.672 0.029 2.5 4.811 BUXL -22.253 0.034 2.5 -1.868 CAC 60.020 0.011 2.5 1.687 CAD 57.085 0.007 2.5 1.019 CANOLA 529.141 0.004 2.5 4.857 CHF -116.996 0.015 2.5 -4.379 COCOA -147.224 0.009 2.5 -3.207 COFFEE 27.874 0.005 2.5 0.361 COPPER 15.843 0.011 2.5 0.433 CORN 259.104 0.004 2.5 2.337 COTTON2 42.390 0.006 2.5 0.638 CRUDE_W 18.390 0.053 2.5 2.430 DAX 124.811 0.022 2.5 6.778 DOW -10.418 0.011 2.5 -0.297 EUR -74.042 0.015 2.5 -2.771 EUROSTX 81.902 0.011 2.5 2.302 FEEDCOW -47.386 0.011 2.5 -1.273 FTSE100 52.146 0.041 2.5 5.376 GASOIL 11.472 0.029 2.5 0.818 GASOILINE -12.699 0.016 2.5 -0.521 GAS_US -52.045 0.006 2.5 -0.784 GBP 53.865 0.007 2.5 0.962 GOLD_micro -406.864 0.009 2.5 -9.103 HEATOIL 7.439 0.029 2.5 0.531 JPY -47.812 0.026 2.5 -3.095 LEANHOG -202.835 0.019 2.5 -9.476 LIVECOW -21.783 0.011 2.5 -0.585 MXP 395.185 0.005 2.5 4.838 NASDAQ 7.334 0.022 2.5 0.398 NIKKEI 413.937 0.076 2.5 78.620 NZD 47.870 0.006 2.5 0.765 OAT 60.385 0.008 2.5 1.220 OJ -22.567 0.007 2.5 -0.394 PALLAD -9.305 0.010 2.5 -0.224 PLAT 11.105 0.010 2.5 0.267 REDWHEAT 6.856 0.002 2.5 0.037 ROBUSTA 166.010 0.005 2.5 2.152 RUSSELL 106.217 0.021 2.5 5.502 SILVER-mini -45.714 0.009 2.5 -1.023 SOYBEAN 30.506 0.024 2.5 1.799 SOYMEAL 64.232 0.024 2.5 3.787 SOYOIL 37.806 0.004 2.5 0.347 SP400 7.650 0.021 2.5 0.396 SP500 4.028 0.011 2.5 0.115 SUGAR11 204.222 0.005 2.5 2.771 US10 -57.629 0.015 2.5 -2.211 US10U -76.345 0.058 2.5 -11.124 US20 -63.464 0.029 2.5 -4.678 US30 -1.472 0.034 2.5 -0.124 US5 -100.580 0.015 2.5 -3.859 VIX -175.855 0.075 2.5 -33.140 WHEAT -81.617 0.002 2.5 -0.436 ==================== Position diags ==================== AUD 1.37 BITCOIN 14.93 BOBL 10.39 BTP 1.04 BUND 4.64 BUXL 2.22 CAC 2.08 CAD 2.50 CANOLA 4.68 CHF 2.46 COCOA 2.94 COFFEE 0.44 COPPER 0.85 CORN 1.80 COTTON2 1.00 CRUDE_W 4.71 DAX 18.73 DOW 9.91 EUR 2.37 EUROSTX 3.26 FEEDCOW 2.18 FTSE100 6.98 GASOIL 2.02 GASOILINE 0.89 GAS_US 0.44 GBP 1.59 GOLD_micro 6.81 HEATOIL 1.51 JPY 4.60 LEANHOG 4.74 LIVECOW 3.76 MXP 3.11 NASDAQ 0.91 NIKKEI 55.57 NZD 1.66 OAT 1.24 OJ 0.97 PALLAD 0.33 PLAT 1.16 REDWHEAT 0.42 ROBUSTA 2.24 RUSSELL 23.78 SILVER-mini 1.13 SOYBEAN 5.34 SOYMEAL 4.87 SOYOIL 0.87 SP400 1.03 SP500 0.75 SUGAR11 1.72 US10 4.09 US10U 11.19 US20 3.78 US30 2.78 US5 6.32 VIX 16.57 WHEAT 0.51 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 0.0 0.3 0.0 0 BITCOIN -6.2 -7.7 -4.7 -8.0 -8 BOBL 0.9 -0.2 1.9 0.0 0 BTP 1.0 0.9 1.1 1.0 1 BUND 4.8 4.3 5.3 1.0 1 BUXL -1.9 -2.1 -1.6 0.0 0 CAC 1.7 1.5 1.9 2.0 2 CAD 1.0 0.8 1.3 0.0 0 CANOLA 4.9 4.4 5.3 NaN 0 CHF -4.4 -4.6 -4.1 -5.0 -5 COCOA -3.2 -3.5 -2.9 -2.0 -2 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.4 0.3 0.5 0.0 0 CORN 2.3 2.2 2.5 6.0 6 COTTON2 0.6 0.5 0.7 NaN 0 CRUDE_W 2.4 2.0 2.9 5.0 5 DAX 6.8 4.9 8.7 5.0 5 DOW -0.3 -1.3 0.7 -1.0 -1 EUR -2.8 -3.0 -2.5 -2.0 -2 EUROSTX 2.3 2.0 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 0.8 0.6 1.0 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 1.0 0.8 1.1 7.0 7 GOLD_micro -9.1 -9.8 -8.4 -9.0 -9 HEATOIL 0.5 0.4 0.7 1.0 1 JPY -3.1 -3.6 -2.6 -9.0 -9 LEANHOG -9.5 -10.0 -9.0 -6.0 -6 LIVECOW -0.6 -1.0 -0.2 -5.0 -5 MXP 4.8 4.5 5.1 3.0 3 NASDAQ 0.4 0.3 0.5 1.0 1 NIKKEI 78.6 73.1 84.2 0.0 0 NZD 0.8 0.6 0.9 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 -0.3 -0.2 NaN 0 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT 0.0 -0.0 0.1 0.0 0 ROBUSTA 2.2 1.9 2.4 3.0 3 RUSSELL 5.5 3.1 7.9 0.0 0 SILVER-mini -1.0 -1.1 -0.9 0.0 0 SOYBEAN 1.8 1.3 2.3 0.0 0 SOYMEAL 3.8 3.3 4.3 6.0 6 SOYOIL 0.3 0.3 0.4 0.0 0 SP400 0.4 0.3 0.5 6.0 6 SP500 0.1 0.0 0.2 0.0 0 SUGAR11 2.8 2.6 2.9 0.0 0 US10 -2.2 -2.6 -1.8 NaN 0 US10U -11.1 -12.2 -10.0 -10.0 -10 US20 -4.7 -5.1 -4.3 -1.0 -1 US30 -0.1 -0.4 0.2 -4.0 -4 US5 -3.9 -4.5 -3.2 -7.0 -7 VIX -33.1 -34.8 -31.5 -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 -0.2 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.6 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 0.2 -0.2 -0.0 -0.0 -0.0 0.1 0.1 -0.0 -0.1 -0.0 1.6 -4.8 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.1 0.4 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 -0.9 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 0.2 -0.1 -0.1 -0.0 -0.2 -0.0 -1.3 2.2 -0.0 0.0 -0.0 -0.0 -0.1 -0.0 2.7 0.2 0.4 0.2 0.1 BUND -0.2 -0.2 -0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.4 -0.1 -0.3 0.8 0.6 0.2 0.3 -0.2 -0.2 -0.0 -0.3 -0.0 0.9 2.5 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 2.8 -0.0 0.0 -0.0 -0.1 BUXL -0.2 -0.2 -0.1 -0.1 -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 0.1 0.2 -0.1 -0.1 CAC -0.0 0.2 0.3 0.1 -0.0 0.1 0.0 0.0 0.0 0.0 0.4 0.0 0.3 0.1 0.4 -0.3 0.0 -0.1 -0.0 0.2 0.3 0.0 0.2 0.0 -1.9 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 -0.1 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 2.3 2.2 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.2 -0.1 -0.1 -0.1 -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 0.9 -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 -0.0 -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 -0.1 -0.1 -0.0 -0.0 0.2 0.1 0.0 0.1 0.0 -3.0 -2.2 0.1 -0.0 0.1 0.0 0.0 0.0 -2.3 0.0 0.4 0.2 0.3 COFFEE 0.1 0.3 0.1 0.0 -0.0 -0.0 -0.1 -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 -0.1 0.1 0.3 0.2 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 -0.0 -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 -0.2 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 0.0 -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 0.6 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 0.0 -0.0 -0.1 -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 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 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 -1.2 2.1 0.0 -0.0 0.0 0.0 0.1 0.0 -0.0 -0.0 -0.1 -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 -2.4 2.2 0.1 0.0 0.1 0.0 0.0 0.0 -0.5 0.1 0.3 0.1 0.2 DOW -0.2 -0.1 0.1 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 -0.0 0.0 -0.0 -0.2 -0.6 -0.2 -0.2 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -0.3 2.1 0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.3 -0.1 -0.1 -0.2 -0.1 EUR -0.2 -0.2 0.4 -0.0 -0.1 0.0 -0.2 -0.0 -0.1 -0.0 0.2 -0.0 -0.1 -0.1 0.1 -0.6 -0.4 -0.2 -0.2 -0.0 0.1 -0.0 -0.0 -0.0 -0.6 -2.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.2 0.1 0.1 0.0 0.1 EUROSTX -0.1 0.2 0.3 0.0 -0.0 0.1 0.0 0.0 0.0 0.0 0.4 0.0 0.2 0.1 0.4 1.0 0.3 0.2 0.2 0.2 0.2 0.0 0.2 0.0 -2.4 -1.8 0.1 0.0 0.1 0.0 0.1 0.0 2.7 0.0 0.2 0.1 0.2 FEEDCOW 0.2 0.2 0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 0.2 0.0 0.1 0.1 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.1 0.0 0.1 0.0 -2.2 2.7 0.1 0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.4 0.3 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL -0.0 -0.1 -0.2 -0.0 -0.0 -0.0 0.1 0.1 0.0 -0.0 -0.2 0.0 0.2 -0.0 -0.1 1.7 0.9 0.4 0.4 -0.1 -0.1 -0.0 0.1 -0.0 -0.2 -3.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.1 -0.1 -0.1 -0.2 GASOILINE -0.0 0.1 -0.0 -0.0 -0.0 -0.0 0.1 0.1 0.0 0.0 0.0 0.0 0.1 0.0 0.2 0.9 0.4 -0.0 0.0 0.1 0.0 0.0 0.1 0.0 -1.7 -2.6 0.0 -0.0 0.1 0.0 0.1 0.0 -1.1 0.0 -0.0 0.1 0.2 GAS_US 0.2 -0.2 -0.3 -0.0 -0.0 -0.0 0.1 0.1 0.0 -0.0 -0.4 0.0 -0.3 -0.0 -0.3 -1.5 -0.2 -0.2 -0.1 -0.2 -0.2 0.0 -0.2 -0.0 0.5 -1.8 -0.0 -0.0 -0.1 0.0 -0.0 0.0 -2.7 0.0 0.1 -0.2 -0.2 GBP -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 -0.0 -0.2 -0.1 -0.1 -0.0 -0.1 0.0 -0.0 -0.1 -0.0 1.8 2.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 0.0 0.2 -0.0 -0.1 GOLD_micro -0.2 -0.2 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.1 -0.1 -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 0.0 0.1 -0.0 0.1 HEATOIL -0.0 -0.1 -0.2 -0.0 -0.0 -0.0 0.1 0.1 0.0 -0.0 -0.2 0.0 0.2 -0.0 -0.1 1.7 0.9 0.5 0.5 -0.1 -0.0 -0.0 0.1 -0.0 -1.1 -2.7 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 2.8 -0.0 -0.2 -0.1 -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 -0.1 -0.2 -0.1 -0.0 -1.1 -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 -2.2 0.0 -0.2 -0.2 0.0 LEANHOG -0.0 -0.2 -0.3 0.0 -0.0 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-0.1 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 0.9 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 -0.3 -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 -0.4 -0.3 -0.3 PLAT -0.0 -0.3 -0.0 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 0.0 0.0 -0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 2.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 0.2 0.0 0.1 -0.3 -0.2 REDWHEAT -0.2 0.0 -0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.3 -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 0.3 2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.8 -0.2 -0.4 -0.1 -0.2 ROBUSTA 0.1 0.3 0.3 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 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 0.4 0.0 0.4 0.3 0.3 RUSSELL -0.2 0.2 0.2 0.1 -0.0 0.1 0.0 0.0 0.0 -0.1 0.1 -0.1 -0.2 -0.0 0.1 -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 -0.1 0.0 0.1 -0.0 SILVER-mini -0.2 -0.3 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.1 -0.0 -0.1 -0.1 -0.2 -0.4 -0.2 -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 -0.1 -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 -1.8 -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 -0.1 -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 2.7 0.2 0.2 0.1 0.3 SOYOIL 0.0 -0.1 -0.2 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 0.1 -0.0 -0.3 0.2 0.6 0.1 0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.0 2.7 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 1.1 -0.1 -0.2 -0.3 -0.3 SP400 -0.2 0.2 0.2 0.1 -0.0 0.1 0.0 0.0 0.0 -0.0 0.2 -0.0 0.0 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-0.1 0.2 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 0.0 -0.1 -0.0 -0.3 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.1 -0.1 -0.0 -0.2 -0.0 -0.8 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 -0.0 -0.1 -0.0 -0.1 -0.1 -0.1 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -0.9 -0.2 -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 -1.5 -0.0 -0.0 -0.1 -0.0 VIX 0.1 -0.1 -1.3 -0.1 -0.0 -0.2 -0.0 -0.2 -0.1 -0.0 -0.5 -0.0 -0.5 -0.1 -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 -0.2 0.0 -0.3 0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -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 -8.0 11.2 -1.4 -7.5 0.5 -6.8 -1.4 -5.1 -13.7 4.5 -15.2 -3.4 -14.2 -2.6 -3.7 -2.7 -3.5 -3.2 -7.3 -0.3 -20.0 -3.3 -18.8 4.8 11.7 -2.8 -9.6 -0.5 -8.7 -1.5 -6.8 -0.7 -12.7 -9.8 -5.7 -4.1 BITCOIN -8.1 19.8 20.0 -1.7 -4.8 0.8 -4.0 1.3 -4.0 -14.0 7.6 -10.5 -12.8 6.2 10.7 -4.5 -1.4 -2.6 -1.5 9.9 5.2 -11.0 -11.3 -0.1 7.2 -18.1 3.4 -4.9 2.5 -3.9 -0.8 -0.1 1.6 -11.4 16.8 20.0 7.0 BOBL -20.0 -14.1 -11.6 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 -12.0 -14.9 -15.0 -14.6 -15.5 -14.0 -10.6 4.2 -7.5 -1.4 -20.0 -20.0 -20.0 -20.0 -20.0 12.5 10.8 -5.4 -3.8 -5.1 -6.9 -7.4 -7.1 3.2 -18.4 -10.2 -8.0 -15.7 BTP -14.2 -2.4 7.7 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 5.1 -2.0 -8.7 -10.2 -9.7 -1.5 6.9 12.5 9.0 11.5 -5.0 -4.2 -5.2 -12.9 -8.8 -10.8 11.4 -0.4 3.5 -0.7 -2.0 -7.2 -3.0 20.0 17.0 18.3 16.7 8.3 BUND -20.0 -11.7 -5.1 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 -7.1 -13.8 -13.1 -14.1 -14.3 -12.3 10.1 14.7 11.2 12.8 -20.0 -20.0 -17.7 -20.0 -20.0 7.3 12.3 -4.9 -0.6 -4.9 -5.2 -7.9 -6.4 20.0 -3.2 1.4 -1.1 -8.1 BUXL -17.8 -15.4 -5.7 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 -1.0 -12.8 -9.8 -13.5 -13.4 -13.1 2.8 0.4 3.0 2.7 -20.0 -20.0 -11.2 -20.0 -20.0 3.1 -10.8 -5.1 2.1 -4.8 -3.2 -7.0 -5.7 2.1 6.8 7.5 -3.8 -6.2 CAC -3.3 14.0 20.0 3.2 -0.5 3.3 0.2 1.1 0.9 6.4 15.7 9.3 10.5 13.2 15.1 -4.2 0.7 -3.5 -2.0 20.0 20.0 7.1 18.8 14.2 -16.6 8.9 6.0 0.5 6.4 1.9 4.5 3.8 6.2 -0.5 20.0 14.0 13.4 CAD -20.0 -2.7 0.6 -1.4 -7.5 0.5 -6.8 -1.4 -5.1 -13.7 -7.3 -15.1 -9.3 -12.7 -7.1 -2.5 -1.5 -2.2 -1.9 -9.3 -7.4 -20.0 -10.8 -17.1 16.1 10.4 -3.7 -12.3 -2.7 -10.1 -4.1 -7.3 1.5 -9.0 -4.8 -4.5 -16.1 CANOLA 0.1 -7.8 -8.9 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -13.2 -5.1 -11.0 -9.5 -4.0 -7.6 20.0 13.0 15.8 12.1 -9.1 -12.0 -10.4 -6.2 -7.6 2.3 11.5 -5.5 -8.3 -4.7 -6.1 -1.5 -5.5 7.0 -13.6 -15.2 -20.0 -20.0 CHF -19.8 -11.9 10.9 -1.4 -7.5 0.5 -6.8 -1.4 -5.1 -11.7 8.9 -13.1 2.2 -13.7 -0.2 -15.8 -13.7 -15.1 -14.6 -5.1 3.0 -12.8 1.4 -13.3 -5.3 -11.5 -2.2 -4.5 0.9 -5.9 -0.8 -5.9 -19.9 1.7 -0.5 -4.3 0.1 COCOA 10.6 7.2 18.0 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -12.3 12.7 5.6 0.9 8.4 12.3 -0.7 -2.6 -1.2 -1.5 14.2 12.6 1.7 5.7 10.8 -19.3 -10.4 5.8 -3.6 5.3 0.8 2.7 4.4 -16.9 5.3 20.0 13.1 20.0 COFFEE 7.4 20.0 5.6 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -11.8 -5.7 -5.2 -8.0 9.1 8.9 2.8 3.1 2.0 2.8 8.2 -2.8 -5.4 -8.9 6.3 11.4 10.0 2.7 -5.1 -0.5 -2.8 -2.5 1.2 -8.0 -16.9 5.1 19.7 10.4 COPPER -14.9 -7.6 20.0 -1.7 -4.8 0.8 -4.0 1.3 -4.0 -6.0 9.0 -6.2 -2.2 -3.8 7.7 -0.6 -0.5 -0.9 -0.7 5.5 9.2 -6.0 3.0 -2.3 -4.8 11.1 0.1 -3.3 2.9 -3.9 1.9 -3.5 2.8 -13.9 10.4 4.1 9.5 CORN -18.4 -11.4 -20.0 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -14.0 1.6 -15.3 0.6 -15.1 -14.7 20.0 20.0 20.0 20.0 -16.7 -9.7 -20.0 2.7 -20.0 3.6 11.0 -5.8 -7.7 -4.1 -7.6 -0.5 -7.1 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -6.6 2.4 -1.6 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -7.8 -8.5 -3.3 -9.8 -5.2 0.9 -4.7 10.5 -2.4 2.7 -3.7 -9.0 -4.5 -10.2 -3.6 3.2 12.0 -1.7 -6.4 -1.5 -3.6 1.1 -2.8 -1.1 19.8 -5.1 -7.6 6.4 CRUDE_W -2.2 -2.1 -3.5 -0.5 -2.8 -1.2 2.2 2.5 1.5 -4.6 1.0 2.3 1.0 -0.9 -1.0 8.7 11.9 8.6 9.5 -0.8 -0.9 0.2 3.1 -0.1 -10.2 10.8 0.2 -4.8 1.0 0.1 5.2 0.2 -0.2 -7.3 -4.4 -0.5 6.3 DAX -7.9 9.1 20.0 3.2 -0.5 3.3 0.2 1.1 0.9 10.4 15.6 9.0 5.1 13.5 15.2 -10.3 -5.4 -9.4 -7.7 19.5 20.0 9.1 13.0 11.2 -15.9 9.9 5.8 3.7 6.6 3.2 3.7 3.6 -3.9 11.6 13.2 9.7 12.4 DOW -19.3 -7.2 4.3 3.2 -0.5 3.3 0.2 1.1 0.9 -8.7 8.8 -10.1 1.6 -10.0 -6.0 -8.2 -4.4 -7.4 -6.4 -4.7 2.3 -10.6 2.6 -10.8 -2.3 10.8 1.3 -6.9 3.3 -2.9 2.5 -1.4 -2.1 -10.4 -2.5 -11.2 -9.3 EUR -19.8 -13.9 20.0 -1.4 -7.5 0.5 -6.8 -1.4 -5.1 -11.5 9.0 -11.0 -2.6 -12.6 2.8 -8.6 -8.8 -8.5 -8.6 -1.7 5.6 -10.5 -1.8 -10.2 -4.5 -11.1 -0.4 -5.3 2.3 -4.6 -1.5 -4.2 -10.6 11.5 3.4 0.4 7.8 EUROSTX -7.1 10.8 20.0 3.2 -0.5 3.3 0.2 1.1 0.9 6.5 15.7 6.8 9.7 12.5 15.0 12.5 6.8 10.8 8.5 20.0 20.0 6.6 16.6 11.1 -17.9 -8.5 5.9 1.7 7.1 2.3 4.9 3.4 19.7 6.0 15.3 8.1 12.1 FEEDCOW 20.0 17.6 11.7 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 14.0 8.0 15.6 3.9 16.0 15.2 -20.0 -20.0 -20.0 -20.0 20.0 11.6 20.0 4.6 20.0 -13.2 12.2 5.8 10.8 3.8 9.4 1.9 7.6 -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 -1.5 -8.0 -11.8 -0.5 -2.8 -1.2 2.2 2.5 1.5 -0.9 -7.5 4.0 8.0 -7.7 -5.0 20.0 20.0 20.0 20.0 -6.1 -4.1 -1.5 8.2 -3.0 -1.5 -15.4 -3.5 -5.6 -3.5 -0.8 1.7 -1.3 20.0 -10.2 -6.2 -4.0 -14.3 GASOILINE -1.9 4.3 -1.1 -0.5 -2.8 -1.2 2.2 2.5 1.5 1.1 1.0 6.0 3.4 3.8 8.0 10.5 10.4 -2.1 1.1 5.1 3.8 5.8 7.2 5.4 -13.5 -13.1 3.5 -0.3 4.4 2.4 7.4 2.4 -7.6 0.5 -0.2 10.2 17.3 GAS_US 20.0 -15.3 -20.0 -0.5 -2.8 -1.2 2.2 2.5 1.5 -4.0 -15.7 4.7 -11.8 -4.7 -14.7 -18.0 -5.3 -7.5 -5.1 -20.0 -20.0 0.8 -20.0 -6.6 4.1 -9.3 -4.0 -1.9 -5.8 1.0 -1.7 0.2 -20.0 1.4 3.2 -14.8 -16.1 GBP -13.3 -10.5 10.3 -1.4 -7.5 0.5 -6.8 -1.4 -5.1 -11.7 9.4 -12.0 -2.8 -12.5 -0.9 -2.6 -2.0 -2.5 -2.3 -4.3 0.4 -13.5 -5.1 -10.6 12.8 9.4 -3.1 -9.1 -2.3 -7.1 -6.1 -5.7 0.7 1.3 9.1 -2.9 -5.5 GOLD_micro -20.0 -14.9 17.5 -1.7 -4.8 0.8 -4.0 1.3 -4.0 -10.5 5.6 -10.0 -2.8 -12.6 -0.5 -13.1 -10.4 -12.6 -11.9 -3.5 4.8 -10.3 2.5 -11.6 4.0 -13.8 -1.3 -4.9 1.4 -3.4 1.1 -3.7 -15.2 4.8 4.5 -0.4 5.7 HEATOIL -3.8 -7.8 -9.4 -0.5 -2.8 -1.2 2.2 2.5 1.5 -6.5 -6.3 0.2 7.3 -10.2 -3.7 20.0 20.0 20.0 20.0 -6.1 -3.5 -3.6 8.1 -4.5 -11.7 -13.6 -2.3 -6.3 -0.2 -2.3 7.2 -2.3 20.0 -13.7 -12.0 -4.2 -3.0 JPY -20.0 -14.5 19.3 -1.4 -7.5 0.5 -6.8 -1.4 -5.1 -13.3 4.6 -15.0 -7.4 -15.5 -1.4 -14.8 -12.0 -13.7 -13.2 -9.7 -1.2 -17.6 -9.6 -19.9 3.5 9.9 -2.8 -4.1 -0.7 -5.4 -4.2 -5.9 -17.2 2.8 -8.9 -11.9 3.1 LEANHOG -3.9 -13.4 -15.6 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -12.5 -10.4 -14.0 -6.7 -14.6 -13.9 -20.0 -20.0 -20.0 -20.0 -15.5 -13.4 -12.2 -5.8 -13.5 7.8 -11.1 -6.0 -2.7 -5.0 -4.6 -2.4 -5.7 -20.0 -11.1 -13.3 -20.0 -20.0 LIVECOW 1.1 10.4 13.4 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 3.4 14.8 4.5 7.7 13.4 14.7 20.0 -20.0 -4.9 -20.0 13.2 13.4 2.3 8.6 8.3 -20.0 12.0 5.7 -0.3 6.5 0.3 5.2 2.8 -20.0 8.7 9.0 15.1 20.0 MXP 13.3 9.8 14.6 -1.4 -7.5 0.5 -6.8 -1.4 -5.1 11.2 16.4 14.4 15.9 15.7 16.3 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 20.0 -20.0 9.7 6.4 4.0 6.2 5.6 5.3 6.2 20.0 20.0 20.0 20.0 19.6 NASDAQ -12.8 20.0 7.5 3.2 -0.5 3.3 0.2 1.1 0.9 2.3 -2.6 -7.5 -10.5 5.0 8.1 -7.2 -4.7 -6.6 -5.9 7.6 3.0 -1.0 -7.9 2.0 4.3 10.2 4.5 0.5 3.2 1.1 0.0 2.6 -1.9 2.1 3.1 15.4 2.5 NIKKEI 5.4 18.0 -1.7 3.2 -0.5 3.3 0.2 1.1 0.9 14.1 2.8 13.6 3.2 14.5 8.7 20.0 15.6 20.0 19.0 11.5 5.3 20.0 1.9 18.0 10.9 -9.4 3.7 12.1 1.0 9.9 -0.6 6.5 20.0 20.0 20.0 11.3 -16.5 NZD -20.0 -13.9 12.3 -1.4 -7.5 0.5 -6.8 -1.4 -5.1 -13.0 8.2 -13.6 -1.8 -14.2 -2.1 -0.1 0.4 0.0 0.0 -7.1 0.9 -17.3 -2.7 -15.8 0.1 10.8 -2.6 -7.5 0.1 -6.5 -1.2 -5.8 4.7 3.3 -1.1 -7.5 1.1 OAT -20.0 -12.7 -3.8 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 -7.1 -12.6 -13.2 -13.5 -14.2 -11.9 10.5 12.3 10.9 11.9 -19.3 -17.5 -17.3 -20.0 -20.0 3.6 12.7 -4.6 -0.8 -4.4 -5.2 -8.0 -6.3 20.0 -1.3 2.4 0.4 -5.4 OJ -10.2 -14.9 -6.5 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -8.0 14.3 -4.9 15.0 7.2 10.6 20.0 17.5 20.0 20.0 17.1 19.0 -1.3 18.5 10.0 -20.0 -14.3 5.6 -1.7 5.9 0.3 5.6 3.6 20.0 14.0 20.0 20.0 20.0 PALLAD -16.2 -20.0 -20.0 -1.7 -4.8 0.8 -4.0 1.3 -4.0 -13.3 -15.7 -14.3 -13.6 -15.3 -16.0 -3.1 -2.0 -2.9 -2.5 -20.0 -20.0 -20.0 -20.0 -20.0 20.0 -11.1 -6.1 -5.1 -4.8 -5.1 -3.2 -6.1 0.0 -17.4 -18.8 -20.0 -20.0 PLAT -3.0 -20.0 -0.0 -1.7 -4.8 0.8 -4.0 1.3 -4.0 -1.0 2.8 1.5 0.3 -9.3 -8.6 -2.4 -1.2 -2.1 -1.6 -8.1 -1.7 -3.1 1.2 -7.2 -1.0 11.2 -3.7 -3.5 -0.8 -2.5 0.1 -4.2 1.6 7.5 3.1 -20.0 -10.9 REDWHEAT -19.1 3.3 -11.1 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -13.9 -11.2 -15.1 -9.9 -10.7 -10.8 8.1 3.2 7.3 5.7 -11.9 -11.3 -20.0 -7.4 -19.1 2.0 12.9 -3.9 -6.9 -2.3 -8.3 0.3 -6.7 -5.9 -20.0 -20.0 -10.0 -12.7 ROBUSTA 11.1 20.0 18.0 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -1.6 2.5 7.3 -0.7 12.9 12.8 6.0 9.1 8.9 9.6 20.0 12.0 9.3 4.0 19.5 -8.6 9.6 5.0 0.4 2.4 2.5 0.6 4.9 2.6 7.8 20.0 20.0 20.0 RUSSELL -14.4 11.1 8.3 3.2 -0.5 3.3 0.2 1.1 0.9 -12.7 3.6 -13.0 -7.1 -2.0 5.4 -6.6 -3.9 -6.0 -5.2 4.7 5.6 -10.2 -1.6 -3.6 -4.5 10.0 4.7 -5.4 4.4 -1.7 1.8 1.9 -0.7 -8.5 1.9 9.1 -1.7 SILVER-mini -20.0 -20.0 7.0 -1.7 -4.8 0.8 -4.0 1.3 -4.0 -13.3 3.8 -13.9 -2.2 -15.3 -8.9 -5.8 -4.4 -5.5 -5.2 -15.0 -2.6 -20.0 -0.5 -20.0 6.0 -11.3 -4.3 -5.9 -1.2 -5.9 -0.8 -6.4 -4.4 -20.0 -11.8 -20.0 -7.3 SOYBEAN 1.5 -3.7 -2.9 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 2.2 6.0 -0.8 3.9 1.3 -1.7 20.0 20.0 20.0 20.0 -1.2 -0.0 -1.0 4.6 -1.4 -11.8 -11.7 -2.1 -0.9 0.9 -3.1 5.9 -3.8 20.0 -10.5 -3.0 -14.6 1.9 SOYMEAL -6.8 5.1 19.9 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 8.8 14.7 8.0 14.0 11.7 14.9 20.0 18.5 20.0 20.0 17.3 20.0 11.9 18.8 11.9 -20.0 -12.0 5.5 4.5 8.3 3.3 9.0 2.8 19.9 20.0 10.2 8.7 20.0 SOYOIL 2.9 -8.4 -13.0 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -11.3 -4.2 -8.8 2.3 -8.7 -12.8 3.1 15.0 5.0 9.7 -9.4 -7.6 -13.1 1.2 -9.2 -7.0 12.9 -5.3 -7.8 -3.4 -6.3 1.4 -5.5 8.3 -20.0 -9.6 -20.0 -20.0 SP400 -16.5 11.5 13.4 3.2 -0.5 3.3 0.2 1.1 0.9 -12.6 9.7 -12.9 0.5 -0.8 6.5 -6.8 -3.7 -5.8 -4.8 7.8 11.4 -10.7 5.7 -3.2 -8.7 10.2 4.8 -5.7 5.2 -2.0 3.4 1.6 -0.0 -9.4 0.9 8.1 1.9 SP500 -18.9 7.6 5.8 3.2 -0.5 3.3 0.2 1.1 0.9 -5.7 1.5 -10.0 -6.4 -2.5 4.6 -8.2 -5.2 -7.3 -6.4 1.3 2.4 -7.0 -3.0 -5.4 2.1 10.2 3.1 -2.7 2.9 -0.8 0.0 0.6 -2.6 -4.1 -2.4 0.3 -3.9 SUGAR11 0.6 9.2 9.9 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 12.0 13.3 13.2 10.2 14.6 14.2 20.0 20.0 20.0 20.0 16.3 14.7 15.5 10.7 16.0 -20.0 10.7 6.3 3.4 7.0 4.2 5.8 4.8 20.0 20.0 19.1 20.0 20.0 US10 -20.0 -17.6 2.4 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 -6.0 -9.9 -12.5 -12.3 -14.6 -9.4 -7.7 -3.3 -8.0 -6.9 -19.5 -15.4 -16.9 -20.0 -20.0 0.2 9.7 -4.2 -2.1 -3.3 -4.0 -5.9 -5.5 -9.5 4.5 6.0 -2.0 1.9 US10U -20.0 -13.8 4.0 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 0.1 -8.9 -10.4 -12.1 -13.4 -7.3 1.2 3.1 0.8 1.2 -15.9 -13.4 -11.7 -20.0 -19.1 -3.5 -14.1 -3.2 -0.4 -2.4 -2.8 -5.6 -4.6 2.9 11.4 11.4 3.2 7.2 US20 -20.0 -11.6 8.7 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 5.7 -6.5 -7.8 -10.7 -12.0 -4.6 -4.1 -1.7 -5.5 -4.2 -14.0 -11.6 -8.5 -18.6 -17.1 -1.1 -12.3 -3.5 2.2 -2.9 -1.6 -5.6 -4.4 -5.4 14.3 11.1 3.3 8.1 US30 -18.3 -6.8 10.0 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 12.6 -5.0 -7.2 -11.7 -11.2 -3.8 -0.8 -0.5 -1.3 -1.2 -9.6 -9.6 -4.0 -19.6 -11.5 -6.2 10.0 -1.7 3.1 -1.6 -0.0 -6.0 -2.8 -2.1 20.0 16.6 9.9 13.6 US5 -20.0 -20.0 -0.2 -3.4 -1.9 -2.6 -4.6 -4.5 -5.3 -13.3 -10.9 -15.1 -12.8 -15.8 -11.1 -10.6 -3.6 -9.7 -8.0 -20.0 -18.5 -20.0 -20.0 -20.0 3.1 10.8 -4.6 -4.4 -3.6 -5.2 -6.0 -6.0 -10.6 -5.0 -0.6 -8.5 -1.6 VIX 9.3 -2.8 -20.0 -5.2 -3.4 -5.4 -4.4 -4.4 -4.5 -10.9 -14.9 -11.4 -14.2 -11.3 -13.8 -20.0 -20.0 -20.0 -20.0 -17.9 -20.0 -12.3 -20.0 -11.5 NaN -13.5 -6.5 -3.7 -7.4 -4.6 -6.3 -5.0 NaN NaN NaN NaN NaN WHEAT -20.0 1.3 -15.5 0.1 -7.5 -1.5 -5.2 -1.2 -1.5 -13.7 -13.6 -15.3 -13.7 -13.3 -13.8 -11.8 -7.1 -10.3 -8.7 -17.5 -18.1 -20.0 -14.3 -20.0 7.7 11.9 -4.3 -7.5 -3.2 -8.2 -1.0 -6.7 -20.0 -20.0 -20.0 -15.3 -16.0 End of report for caleb_strategy_v1