******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230310_204902 produced at 2023-03-10 21:35:56.425071 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.43 -0.32 0.0 42943551.56 -42943551.56 -0.43 -0.39 -7.35 999999999 -10 -9 caleb_strategy_v1 VIX False False 0.01 -0.24 -0.21 0.0 8154437.04 -8154437.04 -0.24 -0.24 -26.16 999999999 -29 -29 caleb_strategy_v1 CHF False False 0.05 -0.25 -0.16 0.0 49385646.82 -49385646.82 -0.25 -0.20 -3.28 999999999 -5 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.15 0.0 46577496.32 -46577496.32 -0.05 -0.05 -3.20 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.09 -0.13 0.0 14767991.49 -14767991.49 -0.09 -0.07 -8.65 999999999 -6 -5 caleb_strategy_v1 EUR False False 0.05 -0.10 -0.12 0.0 48215584.11 -48215584.11 -0.10 -0.10 -2.58 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.31 -0.09 0.0 38865207.98 -38865207.98 -0.31 -0.31 -2.19 999999999 -8 -8 caleb_strategy_v1 JPY False False 0.03 -0.31 -0.09 0.0 33898066.77 -33898066.77 -0.31 -0.31 -2.55 999999999 -9 -9 caleb_strategy_v1 BUXL False False 0.05 0.00 -0.08 0.0 52914553.72 -52914553.72 0.00 0.00 -1.44 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.06 -0.05 0.0 6732360.82 -6732360.82 -0.06 -0.04 -7.63 999999999 -9 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.16 -0.05 0.0 38994589.92 -38994589.92 -0.16 -0.12 -1.17 999999999 -4 -3 caleb_strategy_v1 US10 False False 0.04 0.00 -0.05 0.0 40715932.17 -40715932.17 0.00 0.00 -1.33 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.03 -0.03 0.0 9713320.59 -9713320.59 -0.03 -0.05 -3.25 999999999 -3 -5 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 39288401.66 -39288401.66 -0.04 -0.04 -0.52 999999999 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 18923514.21 -18923514.21 0.00 0.00 -0.97 999999999 0 0 caleb_strategy_v1 LIVECOW False False 0.02 -0.11 -0.02 0.0 22861225.25 -22861225.25 -0.11 -0.11 -0.72 999999999 -5 -5 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 13090301.57 -13090301.57 0.00 0.00 -0.42 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.17 -0.01 0.0 5753108.34 -5753108.34 -0.17 -0.07 -1.77 999999999 -29 -12 caleb_strategy_v1 PALLAD False False 0.05 -0.05 -0.01 0.0 49178635.73 -49178635.73 -0.05 -0.05 -0.23 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9266896.66 -9266896.66 -0.01 -0.01 -0.81 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 0.00 -0.00 0.0 3198951.45 -3198951.45 0.00 -0.06 -0.26 999999999 0 -18 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.00 0.0 12983195.83 -12983195.83 -0.06 -0.06 -0.38 999999999 -5 -5 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12250016.54 -12250016.54 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.00 0.0 17315128.00 -17315128.00 0.00 0.00 0.28 999999999 0 0 caleb_strategy_v1 AUD False False 0.02 0.00 0.00 0.0 23799075.51 -23799075.51 0.00 0.00 0.04 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14279265.30 -14279265.30 0.00 0.00 0.04 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 720218.60 -720218.60 -0.01 -0.01 -6.85 999999999 -8 -8 caleb_strategy_v1 SP500 False False 0.07 0.00 -0.00 0.0 69767239.18 -69767239.18 0.00 -0.14 -0.00 999999999 0 -2 caleb_strategy_v1 SP400 False False 0.09 0.53 0.01 0.0 88532344.89 -88532344.89 0.53 0.53 0.16 999999999 6 6 caleb_strategy_v1 US30 False False 0.05 -0.20 0.01 0.0 50695217.01 -50695217.01 -0.20 0.00 0.19 999999999 -4 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 23930032.53 -23930032.53 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.01 0.00 0.01 0.0 14073154.25 -14073154.25 0.00 0.00 0.57 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.02 0.0 36100934.83 -36100934.83 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 40445143.66 -40445143.66 0.04 0.04 0.43 999999999 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 7722413.88 -7722413.88 0.02 0.02 2.12 999999999 2 2 caleb_strategy_v1 DAX False False 0.01 0.05 0.02 0.0 5843331.97 -5843331.97 0.05 0.08 3.56 999999999 9 13 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 22087183.76 -22087183.76 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.00 0.02 0.0 8524104.85 -8524104.85 0.00 0.02 2.80 999999999 0 2 caleb_strategy_v1 NASDAQ False False 0.09 0.09 0.02 0.0 85556785.42 -85556785.42 0.09 0.00 0.29 999999999 1 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 10058039.06 -10058039.06 0.06 0.06 2.18 999999999 6 6 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4036019.61 -4036019.61 0.00 0.00 4.42 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 28630534.45 -28630534.45 0.00 0.00 0.77 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 26070797.26 -26070797.26 0.00 0.00 0.76 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.05 0.03 0.0 27315412.55 -27315412.55 0.05 0.05 1.22 999999999 2 2 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 15995649.29 -15995649.29 0.00 0.00 1.67 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.19 0.03 0.0 27145454.86 -27145454.86 0.19 0.16 0.95 999999999 7 6 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9562112.48 -9562112.48 0.03 0.03 3.64 999999999 3 3 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.04 0.0 24409308.22 -24409308.22 0.00 0.00 1.57 999999999 0 0 caleb_strategy_v1 BTP False False 0.04 0.09 0.04 0.0 43421666.00 -43421666.00 0.09 0.09 1.00 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 48974757.41 -48974757.41 0.10 0.10 1.16 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.06 0.0 26785435.57 -26785435.57 0.13 0.16 2.11 999999999 5 6 caleb_strategy_v1 SOYMEAL False False 0.02 0.12 0.07 0.0 17194521.54 -17194521.54 0.12 0.12 3.84 999999999 7 7 caleb_strategy_v1 BOBL False False 0.04 0.00 0.10 0.0 44428545.22 -44428545.22 0.00 0.00 2.18 999999999 0 0 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 5.17 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.05 0.23 0.0 51026655.20 -51026655.20 0.05 0.10 4.55 999999999 1 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.45 0.0 0.00 0.00 0.00 0.00 61.42 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 16.7 Shocked risk 47.1 Sum abs risk 49.5 Leverage 3.20 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2777628.9, 'annual_cash_vol_target': 694407.225, 'daily_cash_vol_target': 43400.4515625} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0051 0.6610 0.7657 12.2505 BITCOIN 802.8942 20005.0000 4.0135 64.2155 BOBL 0.3686 116.4900 0.3165 5.0634 BTP 0.8362 113.8500 0.7345 11.7517 BUND 0.7579 133.7900 0.5665 9.0643 BUXL 1.7961 138.7400 1.2945 20.7128 CAC 63.2358 7162.0000 0.8829 14.1270 CAD 0.0031 0.7242 0.4298 6.8763 CANOLA 6.7431 775.9000 0.8691 13.9050 CHF 0.0065 1.0974 0.5897 9.4357 COCOA 33.0515 2698.0000 1.2250 19.6006 COFFEE 3.3983 177.2500 1.9172 30.6755 COPPER 0.0558 4.0110 1.3914 22.2625 CORN 4.6799 558.7500 0.8376 13.4009 COTTON2 1.5068 78.1800 1.9274 30.8382 CRUDE_W 1.2378 74.4000 1.6637 26.6190 DAX 135.8542 15321.0000 0.8867 14.1875 DOW 271.9455 31960.0000 0.8509 13.6143 EUR 0.0057 1.0714 0.5365 8.5838 EUROSTX 40.4249 4194.0000 0.9639 15.4220 FEEDCOW 1.2376 216.6250 0.5713 9.1406 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.2517 795.2500 1.9178 30.6855 GASOILINE 0.0501 2.5983 1.9292 30.8672 GAS_US 0.1487 2.5740 5.7789 92.4617 GBP 0.0084 1.2064 0.6954 11.1259 GOLD_micro 16.2315 1870.0000 0.8680 13.8879 HEATOIL 0.0525 2.6748 1.9616 31.3857 JPY 0.0001 0.0075 0.7064 11.3021 LEANHOG 1.1721 102.5500 1.1430 18.2873 LIVECOW 0.8299 158.7500 0.5228 8.3645 MXP 0.0004 0.0531 0.8102 12.9634 NASDAQ 138.8463 11882.2500 1.1685 18.6963 NIKKEI 240.6069 27620.0000 0.8711 13.9381 NZD 0.0043 0.6135 0.6930 11.0877 OAT 0.7696 128.4100 0.5993 9.5892 OJ 5.2578 242.4000 2.1691 34.7052 PALLAD 31.7892 1366.0000 2.3272 37.2348 PLAT 18.2540 961.9000 1.8977 30.3632 REDWHEAT 12.8062 793.2500 1.6144 25.8303 ROBUSTA 25.7139 2145.0000 1.1988 19.1806 RUSSELL 23.3179 1777.1000 1.3121 20.9941 SILVER-mini 0.3780 21.0250 1.7979 28.7664 SOYBEAN 9.8530 1356.0000 0.7266 11.6259 SOYMEAL 5.2353 477.6000 1.0962 17.5387 SOYOIL 0.8241 56.7100 1.4531 23.2503 SP400 27.4315 2459.1000 1.1155 17.8482 SP500 36.5308 3875.7500 0.9425 15.0808 SUGAR11 0.3061 21.1400 1.4478 23.1652 US10 0.5288 113.0938 0.4676 7.4811 US10U 0.7146 119.2812 0.5991 9.5855 US20 1.0804 129.3750 0.8351 13.3611 US30 1.5602 140.8125 1.1080 17.7275 US5 0.3650 107.9531 0.3381 5.4101 VIX 0.6252 22.6500 2.7604 44.1658 WHEAT 10.3745 721.2500 1.4384 23.0145 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 661.05 0.77 506.14 1.00 506.14 43400.45 85.75 0.28 2.39 BITCOIN 20.00 4.01 80.29 1.00 80.29 43400.45 540.55 -5.38 -290.86 BOBL 1164.90 0.32 368.65 1.06 389.09 43400.45 111.54 2.71 30.27 BTP 1138.50 0.73 836.21 1.06 882.58 43400.45 49.17 10.05 49.42 BUND 1337.90 0.57 757.95 1.06 799.98 43400.45 54.25 11.62 63.06 BUXL 1387.40 1.29 1796.05 1.06 1895.65 43400.45 22.89 -7.51 -17.20 CAC 716.20 0.88 632.36 1.06 667.42 43400.45 65.03 6.66 43.32 CAD 724.15 0.43 311.22 1.00 311.22 43400.45 139.45 3.04 42.39 CANOLA 155.18 0.87 134.86 0.72 97.73 43400.45 444.10 10.84 481.29 CHF 1371.75 0.59 808.96 1.00 808.96 43400.45 53.65 -16.34 -87.65 COCOA 269.80 1.23 330.52 1.00 330.52 43400.45 131.31 -11.37 -149.26 COFFEE 664.69 1.92 1274.35 1.00 1274.35 43400.45 34.06 8.17 27.83 COPPER 1002.75 1.39 1395.23 1.00 1395.23 43400.45 31.11 5.01 15.60 CORN 279.38 0.84 233.99 1.00 233.99 43400.45 185.48 13.03 241.65 COTTON2 390.90 1.93 753.41 1.00 753.41 43400.45 57.60 6.52 37.56 CRUDE_W 744.00 1.66 1237.78 1.00 1237.78 43400.45 35.06 4.57 16.01 DAX 153.21 0.89 135.85 1.06 143.39 43400.45 302.68 2.17 65.61 DOW 159.80 0.85 135.97 1.00 135.97 43400.45 319.18 -1.94 -61.99 EUR 1339.25 0.54 718.49 1.00 718.49 43400.45 60.40 -11.43 -69.03 EUROSTX 419.40 0.96 404.25 1.06 426.66 43400.45 101.72 5.83 59.33 FEEDCOW 1083.12 0.57 618.78 1.00 618.78 43400.45 70.14 -6.19 -43.45 FTSE100 707.00 0.82 576.59 1.19 666.67 43400.45 65.10 7.70 50.11 GASOIL 795.25 1.92 1525.17 1.00 1525.17 43400.45 28.46 3.81 10.84 GASOILINE 1091.29 1.93 2105.31 1.00 2105.31 43400.45 20.61 -6.20 -12.78 GAS_US 257.40 5.78 1487.48 1.00 1487.48 43400.45 29.18 -18.35 -53.53 GBP 754.00 0.70 524.31 1.00 524.31 43400.45 82.78 6.40 53.01 GOLD_micro 187.00 0.87 162.32 1.00 162.32 43400.45 267.38 -12.76 -341.06 HEATOIL 1123.42 1.96 2203.70 1.00 2203.70 43400.45 19.69 3.10 6.10 JPY 941.56 0.71 665.10 1.00 665.10 43400.45 65.25 -6.04 -39.43 LEANHOG 410.20 1.14 468.84 1.00 468.84 43400.45 92.57 -20.00 -185.14 LIVECOW 635.00 0.52 331.97 1.00 331.97 43400.45 130.74 -2.04 -26.69 MXP 265.60 0.81 215.19 1.00 215.19 43400.45 201.68 14.74 297.27 NASDAQ 2376.45 1.17 2776.93 1.00 2776.93 43400.45 15.63 3.42 5.35 NIKKEI 27620.00 0.87 24060.69 0.01 176.05 43400.45 246.53 13.12 323.38 NZD 613.50 0.69 425.14 1.00 425.14 43400.45 102.08 4.21 42.98 OAT 1284.10 0.60 769.60 1.06 812.27 43400.45 53.43 10.70 57.20 OJ 363.60 2.17 788.67 1.00 788.67 43400.45 55.03 -4.33 -23.84 PALLAD 1366.00 2.33 3178.92 1.00 3178.92 43400.45 13.65 -6.87 -9.37 PLAT 480.95 1.90 912.70 1.00 912.70 43400.45 47.55 2.44 11.60 REDWHEAT 396.62 1.61 640.31 1.00 640.31 43400.45 67.78 1.20 8.11 ROBUSTA 214.50 1.20 257.14 1.00 257.14 43400.45 168.78 9.67 163.17 RUSSELL 88.86 1.31 116.59 1.00 116.59 43400.45 372.25 -0.13 -4.99 SILVER-mini 525.62 1.80 945.02 1.00 945.02 43400.45 45.93 -9.48 -43.52 SOYBEAN 678.00 0.73 492.65 1.00 492.65 43400.45 88.10 3.02 26.61 SOYMEAL 477.60 1.10 523.53 1.00 523.53 43400.45 82.90 7.85 65.10 SOYOIL 340.26 1.45 494.45 1.00 494.45 43400.45 87.78 3.47 30.43 SP400 2459.10 1.12 2743.15 1.00 2743.15 43400.45 15.82 1.93 3.05 SP500 1937.88 0.94 1826.54 1.00 1826.54 43400.45 23.76 -0.04 -0.10 SUGAR11 236.77 1.45 342.80 1.00 342.80 43400.45 126.61 16.31 206.54 US10 1130.94 0.47 528.79 1.00 528.79 43400.45 82.07 -4.24 -34.79 US10U 1192.81 0.60 714.61 1.00 714.61 43400.45 60.73 -8.31 -50.45 US20 1293.75 0.84 1080.37 1.00 1080.37 43400.45 40.17 -10.80 -43.40 US30 1408.12 1.11 1560.16 1.00 1560.16 43400.45 27.82 0.82 2.27 US5 1079.53 0.34 365.02 1.00 365.02 43400.45 118.90 -4.80 -57.06 VIX 226.50 2.76 625.22 1.00 625.22 43400.45 69.42 -20.00 -138.83 WHEAT 360.62 1.44 518.73 1.00 518.73 43400.45 83.67 -8.54 -71.49 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 2.389 0.006 2.5 0.038 BITCOIN -290.857 0.009 2.5 -6.853 BOBL 30.271 0.029 2.5 2.184 BTP 49.424 0.008 2.5 0.998 BUND 63.055 0.029 2.5 4.550 BUXL -17.203 0.034 2.5 -1.444 CAC 43.321 0.011 2.5 1.218 CAD 42.385 0.007 2.5 0.757 CANOLA 481.286 0.004 2.5 4.418 CHF -87.647 0.015 2.5 -3.280 COCOA -149.264 0.009 2.5 -3.252 COFFEE 27.833 0.005 2.5 0.361 COPPER 15.596 0.011 2.5 0.426 CORN 241.647 0.004 2.5 2.180 COTTON2 37.561 0.006 2.5 0.566 CRUDE_W 16.007 0.053 2.5 2.115 DAX 65.614 0.022 2.5 3.563 DOW -61.986 0.011 2.5 -1.766 EUR -69.034 0.015 2.5 -2.584 EUROSTX 59.330 0.011 2.5 1.668 FEEDCOW -43.451 0.011 2.5 -1.168 FTSE100 50.112 0.041 2.5 5.166 GASOIL 10.838 0.029 2.5 0.773 GASOILINE -12.784 0.016 2.5 -0.525 GAS_US -53.531 0.006 2.5 -0.806 GBP 53.008 0.007 2.5 0.946 GOLD_micro -341.062 0.009 2.5 -7.631 HEATOIL 6.098 0.029 2.5 0.435 JPY -39.430 0.026 2.5 -2.552 LEANHOG -185.139 0.019 2.5 -8.650 LIVECOW -26.689 0.011 2.5 -0.717 MXP 297.268 0.005 2.5 3.639 NASDAQ 5.352 0.022 2.5 0.291 NIKKEI 323.377 0.076 2.5 61.420 NZD 42.983 0.006 2.5 0.687 OAT 57.198 0.008 2.5 1.155 OJ -23.836 0.007 2.5 -0.416 PALLAD -9.375 0.010 2.5 -0.226 PLAT 11.598 0.010 2.5 0.279 REDWHEAT 8.111 0.002 2.5 0.043 ROBUSTA 163.170 0.005 2.5 2.115 RUSSELL -4.994 0.021 2.5 -0.259 SILVER-mini -43.523 0.009 2.5 -0.974 SOYBEAN 26.610 0.024 2.5 1.569 SOYMEAL 65.095 0.024 2.5 3.838 SOYOIL 30.425 0.004 2.5 0.279 SP400 3.053 0.021 2.5 0.158 SP500 -0.104 0.011 2.5 -0.003 SUGAR11 206.543 0.005 2.5 2.803 US10 -34.792 0.015 2.5 -1.335 US10U -50.447 0.058 2.5 -7.350 US20 -43.403 0.029 2.5 -3.199 US30 2.273 0.034 2.5 0.191 US5 -57.057 0.015 2.5 -2.189 VIX -138.832 0.075 2.5 -26.163 WHEAT -71.492 0.002 2.5 -0.382 ==================== Position diags ==================== AUD 1.37 BITCOIN 12.74 BOBL 8.05 BTP 0.99 BUND 3.91 BUXL 1.92 CAC 1.83 CAD 2.49 CANOLA 4.08 CHF 2.01 COCOA 2.86 COFFEE 0.44 COPPER 0.85 CORN 1.67 COTTON2 0.87 CRUDE_W 4.63 DAX 16.44 DOW 9.10 EUR 2.26 EUROSTX 2.86 FEEDCOW 1.88 FTSE100 6.71 GASOIL 2.03 GASOILINE 0.85 GAS_US 0.44 GBP 1.48 GOLD_micro 5.98 HEATOIL 1.40 JPY 4.22 LEANHOG 4.32 LIVECOW 3.51 MXP 2.47 NASDAQ 0.85 NIKKEI 46.82 NZD 1.63 OAT 1.08 OJ 0.96 PALLAD 0.33 PLAT 1.14 REDWHEAT 0.36 ROBUSTA 2.19 RUSSELL 19.28 SILVER-mini 1.03 SOYBEAN 5.19 SOYMEAL 4.89 SOYOIL 0.81 SP400 0.82 SP500 0.68 SUGAR11 1.72 US10 3.15 US10U 8.85 US20 2.96 US30 2.34 US5 4.56 VIX 13.08 WHEAT 0.45 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.0 -0.1 0.2 0.0 0 BITCOIN -6.9 -8.1 -5.6 -8.0 -8 BOBL 2.2 1.4 3.0 0.0 0 BTP 1.0 0.9 1.1 2.0 2 BUND 4.5 4.2 4.9 1.0 1 BUXL -1.4 -1.6 -1.3 0.0 0 CAC 1.2 1.0 1.4 2.0 2 CAD 0.8 0.5 1.0 0.0 0 CANOLA 4.4 4.0 4.8 NaN 0 CHF -3.3 -3.5 -3.1 -5.0 -5 COCOA -3.3 -3.5 -3.0 -3.0 -3 COFFEE 0.4 0.3 0.4 NaN 0 COPPER 0.4 0.3 0.5 0.0 0 CORN 2.2 2.0 2.3 6.0 6 COTTON2 0.6 0.5 0.7 NaN 0 CRUDE_W 2.1 1.7 2.6 5.0 5 DAX 3.6 1.9 5.2 9.0 9 DOW -1.8 -2.7 -0.9 -29.0 -29 EUR -2.6 -2.8 -2.4 -2.0 -2 EUROSTX 1.7 1.4 2.0 0.0 0 FEEDCOW -1.2 -1.4 -1.0 -4.0 -4 FTSE100 5.2 4.5 5.8 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 -0.8 -1.0 -1 GBP 0.9 0.8 1.1 7.0 7 GOLD_micro -7.6 -8.2 -7.0 -9.0 -9 HEATOIL 0.4 0.3 0.6 1.0 1 JPY -2.6 -3.0 -2.1 -9.0 -9 LEANHOG -8.6 -9.1 -8.2 -6.0 -6 LIVECOW -0.7 -1.1 -0.4 -5.0 -5 MXP 3.6 3.4 3.9 3.0 3 NASDAQ 0.3 0.2 0.4 1.0 1 NIKKEI 61.4 56.7 66.1 0.0 0 NZD 0.7 0.5 0.8 0.0 0 OAT 1.2 1.0 1.3 2.0 2 OJ -0.4 -0.5 -0.3 NaN 0 PALLAD -0.2 -0.3 -0.2 -1.0 -1 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT 0.0 0.0 0.1 0.0 0 ROBUSTA 2.1 1.9 2.3 2.0 2 RUSSELL -0.3 -2.2 1.7 0.0 0 SILVER-mini -1.0 -1.1 -0.9 0.0 0 SOYBEAN 1.6 1.0 2.1 0.0 0 SOYMEAL 3.8 3.3 4.3 7.0 7 SOYOIL 0.3 0.2 0.4 0.0 0 SP400 0.2 0.1 0.2 6.0 6 SP500 -0.0 -0.1 0.1 0.0 0 SUGAR11 2.8 2.6 3.0 0.0 0 US10 -1.3 -1.6 -1.0 NaN 0 US10U -7.4 -8.2 -6.5 -10.0 -10 US20 -3.2 -3.5 -2.9 -1.0 -1 US30 0.2 -0.0 0.4 -4.0 -4 US5 -2.2 -2.6 -1.7 -8.0 -8 VIX -26.2 -27.5 -24.9 -29.0 -29 WHEAT -0.4 -0.4 -0.3 -5.0 -5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== 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 -0.2 0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 -0.1 0.1 -0.1 -0.1 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 -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 -0.3 -0.3 -0.1 -0.1 BITCOIN -0.2 0.2 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 0.0 -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 0.2 0.3 0.1 BOBL -0.1 -0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.4 -0.0 -0.3 -0.6 0.2 -0.1 -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 0.5 -0.0 -0.1 -0.1 -0.2 BTP -0.1 -0.0 0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.0 0.0 -0.3 -0.0 -0.0 0.6 0.5 0.2 0.2 -0.0 -0.0 0.0 -0.2 -0.0 -1.4 2.2 0.0 0.0 -0.0 0.0 -0.1 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-0.3 -0.3 -0.0 0.0 0.0 0.0 -0.0 -0.8 -2.4 -0.0 0.0 0.0 0.0 -0.0 -0.0 -2.5 0.2 0.2 0.0 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 0.2 -0.1 -0.1 -0.0 -0.0 0.1 0.1 -0.0 0.1 0.0 -3.0 -2.2 0.1 -0.0 0.1 -0.0 0.0 0.0 -2.2 0.0 0.4 0.2 0.3 COFFEE 0.0 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 1.9 2.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.9 -0.1 0.1 0.3 0.2 COPPER -0.2 -0.2 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 -0.0 0.1 0.0 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 0.8 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 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.9 3.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 -0.2 0.1 CRUDE_W -0.0 -0.1 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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 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 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 -0.0 -0.1 -0.1 -0.2 GASOILINE -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 0.0 0.0 0.1 0.0 0.2 0.9 0.5 -0.0 0.0 0.0 0.0 -0.0 0.1 0.0 -1.7 -2.6 0.0 -0.0 0.1 -0.0 0.1 0.0 -1.0 0.0 -0.0 0.1 0.2 GAS_US 0.2 -0.2 -0.3 -0.0 -0.0 -0.0 -0.0 0.1 0.0 -0.0 -0.4 -0.0 -0.3 -0.0 -0.4 -1.5 -0.2 -0.2 -0.1 -0.2 -0.2 -0.0 -0.2 -0.0 0.6 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 0.1 -0.2 -0.3 GBP -0.1 -0.2 0.2 -0.0 -0.0 0.0 -0.1 -0.0 -0.1 0.0 0.2 -0.0 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.0 -0.0 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 0.1 0.2 -0.0 -0.1 GOLD_micro -0.2 -0.3 0.3 -0.0 -0.0 0.0 -0.1 0.0 -0.1 0.0 0.1 -0.0 -0.1 -0.0 -0.0 -1.0 -0.4 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-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 0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 0.7 0.1 0.2 0.1 -0.1 -0.1 -0.0 -0.1 -0.0 0.4 2.6 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.6 -0.2 -0.4 -0.2 -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 0.1 0.0 -1.5 2.1 0.1 -0.0 0.0 0.0 0.0 0.0 0.5 0.0 0.4 0.3 0.3 RUSSELL -0.3 0.1 0.2 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.1 0.1 -0.1 -0.2 -0.0 0.1 -0.4 -0.2 -0.1 -0.1 0.0 0.0 -0.0 -0.0 -0.0 -0.5 2.0 0.0 -0.1 0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.1 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 -0.3 -0.4 -0.2 -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.0 1.2 -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 -0.0 -0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 0.1 -0.0 0.1 -0.0 -0.1 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-0.0 NaN NaN NaN NaN NaN WHEAT -0.2 0.0 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.0 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -0.9 -0.3 -0.2 -0.2 -0.2 -0.2 -0.0 -0.2 -0.0 1.3 2.5 -0.1 -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 -12.5 9.8 -1.8 -1.8 0.2 -5.0 -1.4 -5.0 -14.0 3.7 -15.6 -3.7 -15.1 -5.3 -3.8 -2.7 -3.5 -3.3 -10.1 -1.8 -20.0 -3.9 -20.0 5.2 11.7 -3.4 -6.4 -0.9 -8.0 -1.5 -7.0 -0.7 -17.9 -13.6 -8.5 -5.0 BITCOIN -15.4 13.9 20.0 -1.9 -0.9 0.6 -3.0 1.2 -3.8 -14.0 6.8 -13.4 -12.8 -1.1 8.6 -4.2 -1.4 -2.6 -1.6 5.2 3.5 -20.0 -10.1 -7.0 7.3 -18.1 1.9 -10.6 1.9 -8.0 -0.8 -2.8 1.7 -20.0 7.5 20.0 8.2 BOBL -14.3 -5.1 -1.8 -3.0 7.8 -2.6 0.5 -4.6 -3.4 6.8 -14.9 -7.2 -14.6 -13.2 -13.4 -7.2 4.3 -6.5 -1.0 -20.0 -20.0 -5.0 -20.0 -18.2 12.7 10.8 -5.1 7.6 -5.2 -0.9 -7.6 -5.0 3.4 -12.0 -9.5 -7.5 -15.2 BTP -9.9 -2.8 7.8 -3.0 7.8 -2.6 0.5 -4.6 -3.4 13.0 -1.9 0.2 -10.1 -7.6 -1.0 7.4 12.5 9.0 11.5 -3.5 -3.8 4.9 -12.5 -3.7 -11.6 11.4 0.3 10.8 -0.4 3.7 -7.2 -0.4 20.0 3.1 12.6 16.1 8.1 BUND -12.5 -6.7 -0.1 -3.0 7.8 -2.6 0.5 -4.6 -3.4 8.1 -13.9 -5.2 -14.1 -12.3 -11.9 10.1 14.6 11.2 12.7 -16.8 -18.3 -1.4 -20.0 -14.3 7.6 12.3 -4.4 8.5 -4.9 0.3 -8.2 -4.2 20.0 -7.6 -0.3 -1.2 -7.9 BUXL -8.6 -11.1 -3.1 -3.0 7.8 -2.6 0.5 -4.6 -3.4 9.3 -12.9 -2.9 -13.6 -11.7 -12.8 2.8 0.5 3.0 2.7 -16.9 -18.3 0.3 -20.0 -12.8 3.5 -10.8 -4.7 7.4 -4.9 0.8 -7.2 -3.8 2.1 -7.4 3.7 -3.4 -6.4 CAC -12.1 6.6 18.9 2.0 -11.7 2.9 -5.6 1.1 -1.5 -7.4 15.6 0.8 10.7 10.5 14.5 -4.2 0.6 -3.6 -2.1 19.1 20.0 -3.3 17.1 8.3 -16.8 8.9 5.6 -6.6 6.4 -1.6 4.7 2.3 6.1 10.9 19.7 15.5 13.6 CAD -20.0 -6.1 0.0 -1.8 -1.8 0.2 -5.0 -1.4 -5.0 -14.0 -8.1 -15.6 -9.6 -14.1 -8.9 -2.8 -1.5 -2.3 -2.0 -12.5 -9.1 -20.0 -11.7 -20.0 16.5 10.4 -4.2 -9.2 -2.8 -9.7 -3.7 -7.6 1.4 -20.0 -13.7 -7.4 -16.8 CANOLA -3.3 -5.2 -8.9 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -14.0 -6.0 -13.8 -9.8 -8.2 -9.4 20.0 12.9 14.9 11.9 -11.9 -12.2 -20.0 -6.2 -15.9 3.5 11.5 -5.3 -15.2 -4.0 -10.4 -1.4 -7.0 7.9 -20.0 -20.0 -20.0 -20.0 CHF -15.5 -13.3 9.9 -1.8 -1.8 0.2 -5.0 -1.4 -5.0 8.2 8.8 -4.1 2.3 -10.6 -0.5 -15.4 -13.7 -15.1 -14.6 -3.2 2.5 2.1 1.1 -6.2 -5.5 -11.5 -1.7 10.6 0.9 1.1 -0.8 -3.3 -19.9 20.0 7.5 1.1 0.9 COCOA 5.1 6.6 17.7 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -13.7 12.4 -0.2 1.1 5.2 11.0 -1.1 -2.6 -1.3 -1.5 12.5 12.4 -5.1 5.8 6.3 -19.6 -10.4 5.4 -5.9 5.4 -1.8 2.9 2.8 -15.9 1.8 20.0 11.4 20.0 COFFEE 3.8 20.0 4.1 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -10.2 -5.6 -9.6 -7.9 7.2 8.3 2.6 3.0 2.0 2.8 6.7 -3.0 -8.4 -9.1 2.8 11.6 10.0 2.1 -4.4 -0.7 -3.9 -2.6 -0.1 -6.9 -14.5 3.9 20.0 12.2 COPPER -12.7 -11.5 19.8 -1.9 -0.9 0.6 -3.0 1.2 -3.8 -7.6 8.9 -8.1 -2.2 -6.4 7.0 -0.6 -0.5 -0.8 -0.7 4.6 8.9 -6.7 3.1 -3.6 -5.2 11.1 -0.4 -2.7 2.7 -3.8 1.9 -3.8 2.9 -1.6 6.4 0.2 9.7 CORN -20.0 -12.6 -20.0 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -9.7 0.4 -14.4 0.2 -15.0 -14.9 20.0 19.9 20.0 20.0 -18.8 -10.9 -20.0 1.7 -20.0 4.9 11.0 -5.9 -5.6 -4.0 -7.2 -0.7 -7.1 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -5.8 2.1 0.7 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -13.4 -8.8 -9.2 -10.0 -8.6 -1.6 -4.9 10.2 -2.6 2.4 -5.4 -8.7 -14.5 -9.4 -8.0 3.6 12.0 -2.8 -17.8 -1.8 -9.9 0.7 -5.5 -0.6 -13.8 -11.9 -8.1 5.2 CRUDE_W -3.9 -3.6 -3.2 -0.8 -4.1 -1.3 -1.1 2.4 0.1 -9.3 1.0 -3.1 0.9 -3.0 -2.0 8.7 11.8 8.6 9.5 -1.7 -1.3 -4.6 3.0 -2.5 -9.9 10.8 -0.5 -5.4 0.8 -3.1 5.1 -1.5 -0.2 -5.1 -6.1 -1.2 5.9 DAX -13.8 3.0 20.0 2.0 -11.7 2.9 -5.6 1.1 -1.5 -4.1 15.6 3.4 5.4 11.5 15.0 -10.3 -5.5 -9.4 -7.8 16.6 20.0 1.5 11.9 8.0 -16.9 9.9 5.6 -3.7 6.7 0.5 3.9 2.8 -3.9 20.0 13.9 11.9 12.2 DOW -20.0 -10.4 2.5 2.0 -11.7 2.9 -5.6 1.1 -1.5 -13.1 8.1 -13.0 1.3 -11.9 -7.9 -8.0 -4.5 -7.4 -6.4 -7.5 0.7 -20.0 1.9 -16.0 -2.0 10.8 -0.5 -17.3 2.3 -10.3 2.1 -5.0 -2.0 -7.9 -6.2 -11.1 -10.3 EUR -17.1 -17.1 19.6 -1.8 -1.8 0.2 -5.0 -1.4 -5.0 2.1 8.8 -7.6 -2.5 -12.3 1.8 -8.3 -8.7 -8.4 -8.6 -1.9 5.0 -4.8 -1.8 -8.4 -5.3 -11.1 -0.6 1.4 2.1 -2.3 -1.6 -3.7 -10.5 15.7 7.6 0.0 7.9 EUROSTX -14.5 4.2 20.0 2.0 -11.7 2.9 -5.6 1.1 -1.5 -6.7 15.6 0.2 9.9 10.1 14.6 12.4 6.9 10.9 8.6 16.7 20.0 -1.5 15.1 7.0 -18.4 -8.5 5.6 -5.8 7.2 -0.9 5.1 2.3 20.0 16.1 14.8 10.1 11.8 FEEDCOW 20.0 17.9 12.0 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 5.4 8.6 12.4 4.4 14.8 14.8 -20.0 -20.0 -20.0 -20.0 20.0 11.9 20.0 4.9 20.0 -14.1 12.2 5.8 3.2 3.9 6.8 2.0 7.1 -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 -1.3 -10.4 -11.2 -0.8 -4.1 -1.3 -1.1 2.4 0.1 -9.6 -7.8 0.2 7.9 -8.7 -5.3 20.0 20.0 20.0 20.0 -6.9 -4.6 -5.0 8.2 -4.9 -1.5 -15.4 -3.8 -4.0 -3.7 -2.4 1.6 -2.2 20.0 -2.9 -3.8 -4.5 -13.9 GASOILINE -3.1 1.8 -0.4 -0.8 -4.1 -1.3 -1.1 2.4 0.1 -6.4 1.5 0.1 3.3 1.1 7.6 11.2 10.5 -1.0 1.6 4.0 3.4 -1.4 7.0 2.3 -13.5 -13.1 3.0 -3.9 4.4 -1.0 7.7 1.0 -7.2 3.0 -1.8 7.9 17.5 GAS_US 20.0 -12.9 -20.0 -0.8 -4.1 -1.3 -1.1 2.4 0.1 -12.9 -15.8 -1.1 -12.0 -6.0 -14.8 -18.6 -5.6 -8.4 -5.8 -20.0 -20.0 -6.2 -20.0 -9.2 5.0 -9.3 -4.3 -5.0 -6.0 -1.8 -1.9 -1.0 -20.0 -7.7 3.2 -11.2 -17.5 GBP -9.9 -12.4 10.1 -1.8 -1.8 0.2 -5.0 -1.4 -5.0 5.0 9.2 -6.4 -2.8 -11.1 -2.4 -2.6 -2.0 -2.5 -2.3 -4.1 0.0 -5.2 -5.0 -8.3 12.5 9.4 -3.2 2.0 -2.5 -3.2 -6.2 -4.8 0.7 9.4 11.5 -1.4 -4.9 GOLD_micro -14.8 -19.6 16.4 -1.9 -0.9 0.6 -3.0 1.2 -3.8 7.5 5.4 -0.7 -2.7 -11.3 -1.0 -13.0 -10.4 -12.6 -12.0 -2.5 4.1 0.6 2.3 -6.8 3.5 -13.8 -1.0 5.9 1.4 0.6 1.1 -2.3 -15.2 15.6 8.5 0.4 6.0 HEATOIL -3.7 -9.9 -8.8 -0.8 -4.1 -1.3 -1.1 2.4 0.1 -6.0 -6.7 -4.5 7.2 -11.4 -4.4 20.0 20.0 20.0 20.0 -6.9 -4.0 -7.7 7.5 -6.9 -11.2 -13.6 -2.9 -5.1 -0.6 -4.5 6.9 -3.7 20.0 -7.5 -10.6 -5.7 -3.6 JPY -20.0 -16.3 19.3 -1.8 -1.8 0.2 -5.0 -1.4 -5.0 9.2 4.4 -9.5 -7.4 -14.1 -2.2 -14.9 -12.0 -13.8 -13.2 -8.9 -1.6 -6.2 -9.3 -14.9 3.3 9.9 -2.8 3.5 -0.8 -1.8 -4.4 -4.7 -17.2 12.0 -4.0 -11.4 3.4 LEANHOG -2.4 -10.0 -15.3 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 5.5 -10.8 -9.6 -7.0 -12.5 -13.9 -20.0 -20.0 -20.0 -20.0 -13.9 -12.8 -3.7 -5.7 -10.1 8.6 -11.1 -5.9 3.0 -5.2 -1.7 -2.6 -4.7 -20.0 1.6 -6.8 -20.0 -20.0 LIVECOW -3.5 8.2 12.6 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -11.4 14.5 -6.0 7.8 10.8 13.4 20.0 -20.0 0.6 -16.6 10.7 12.4 -6.8 8.3 3.3 -20.0 12.0 4.9 -7.7 6.5 -3.7 5.4 0.8 -20.0 -7.9 3.6 14.7 20.0 MXP 2.9 0.2 8.6 -1.8 -1.8 0.2 -5.0 -1.4 -5.0 -6.7 16.1 6.6 15.9 13.1 15.5 20.0 20.0 20.0 20.0 20.0 20.0 4.8 18.6 15.9 -20.0 9.7 6.2 -4.5 6.4 1.6 5.5 4.9 20.0 15.8 20.0 20.0 20.0 NASDAQ -15.8 18.5 8.5 2.0 -11.7 2.9 -5.6 1.1 -1.5 -11.4 -2.7 -11.6 -10.5 2.5 7.3 -7.3 -4.8 -6.6 -6.0 5.5 2.4 -9.0 -7.6 -1.8 4.1 10.2 4.0 -5.8 3.2 -2.2 0.1 1.2 -1.9 9.4 5.2 17.6 3.4 NIKKEI 3.9 16.4 -1.6 2.0 -11.7 2.9 -5.6 1.1 -1.5 1.2 3.5 8.0 3.6 13.0 9.1 18.9 15.4 20.0 18.6 10.6 5.3 12.8 2.0 14.4 9.9 -9.4 4.0 0.5 1.3 5.9 -0.5 6.0 20.0 20.0 20.0 20.0 -13.9 NZD -20.0 -17.1 10.6 -1.8 -1.8 0.2 -5.0 -1.4 -5.0 -10.0 7.7 -13.6 -1.9 -14.6 -4.6 -0.1 0.4 0.0 0.0 -8.6 -0.1 -15.3 -3.0 -16.5 0.2 10.8 -3.0 -3.3 -0.2 -5.6 -1.3 -5.8 4.7 -1.3 -1.7 -7.5 0.3 OAT -14.3 -9.9 -0.8 -3.0 7.8 -2.6 0.5 -4.6 -3.4 8.0 -12.7 -6.1 -13.6 -12.5 -11.7 10.5 12.3 10.9 11.9 -15.9 -15.5 -2.6 -20.0 -14.6 3.8 12.7 -4.2 7.6 -4.5 -0.1 -8.3 -4.3 20.0 -8.5 -0.4 -0.2 -5.6 OJ -9.2 -14.2 -5.6 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 0.4 14.2 -1.1 14.9 7.9 10.6 20.0 17.6 20.0 20.0 17.6 19.8 5.0 19.4 11.2 -20.0 -14.3 5.6 1.0 6.1 1.1 5.8 3.5 20.0 1.2 14.4 20.0 20.0 PALLAD -16.0 -20.0 -20.0 -1.9 -0.9 0.6 -3.0 1.2 -3.8 -10.9 -15.8 -14.2 -13.7 -15.4 -16.1 -3.3 -2.1 -3.0 -2.6 -20.0 -20.0 -19.4 -20.0 -20.0 20.0 -11.1 -6.1 -3.0 -5.0 -4.4 -3.3 -5.8 0.0 -15.9 -20.0 -20.0 -20.0 PLAT 2.3 -20.0 -0.8 -1.9 -0.9 0.6 -3.0 1.2 -3.8 0.9 2.5 2.8 0.2 -8.6 -8.7 -2.3 -1.2 -2.1 -1.6 -7.9 -2.0 -0.9 1.0 -6.3 -1.3 11.2 -3.8 0.2 -1.0 -1.6 0.0 -3.8 1.7 11.3 4.4 -19.8 -10.1 REDWHEAT -20.0 3.7 -9.7 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -4.6 -11.6 -13.4 -10.1 -11.4 -11.4 8.2 3.3 7.4 5.8 -12.6 -11.1 -20.0 -7.0 -18.6 2.6 12.9 -4.3 -4.0 -2.5 -7.2 0.0 -6.6 -4.6 -20.0 -20.0 -12.0 -13.6 ROBUSTA 10.0 20.0 19.2 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -3.2 3.0 6.6 -0.3 12.4 12.9 5.8 9.0 8.6 9.4 20.0 12.7 6.7 4.6 17.6 -9.0 9.6 5.0 -0.5 2.6 1.8 0.8 4.4 3.6 10.1 20.0 20.0 20.0 RUSSELL -20.0 5.8 8.3 2.0 -11.7 2.9 -5.6 1.1 -1.5 -13.9 2.7 -14.6 -7.2 -6.7 2.9 -6.4 -4.0 -6.0 -5.3 0.1 3.2 -20.0 -1.7 -11.1 -4.3 10.0 2.6 -16.5 3.5 -8.8 1.5 -2.1 -0.6 -20.0 -2.3 6.0 -2.1 SILVER-mini -17.9 -20.0 5.1 -1.9 -0.9 0.6 -3.0 1.2 -3.8 -2.2 3.0 -11.5 -2.5 -14.8 -9.9 -6.0 -4.5 -5.6 -5.2 -14.9 -3.6 -14.3 -0.9 -20.0 5.6 -11.3 -4.4 -0.8 -1.5 -4.2 -1.0 -5.9 -4.4 -13.4 -12.9 -20.0 -7.7 SOYBEAN -1.8 -2.3 -3.4 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -4.6 5.2 -5.7 3.7 -1.1 -3.0 20.0 20.0 20.0 20.0 -2.5 -0.6 -7.6 4.4 -4.3 -10.7 -11.7 -2.8 -7.7 0.4 -6.2 5.3 -5.1 20.0 -8.1 -8.1 -15.9 1.6 SOYMEAL -3.4 6.2 20.0 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 8.3 14.8 8.7 14.1 12.1 14.9 20.0 18.6 20.0 20.0 18.1 20.0 10.8 19.8 12.6 -20.0 -12.0 5.7 2.7 8.5 3.1 9.4 3.1 20.0 20.0 9.0 9.2 20.0 SOYOIL -3.6 -8.4 -12.8 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -13.7 -5.5 -12.7 1.9 -11.4 -13.6 2.4 14.7 4.7 9.3 -12.2 -8.7 -20.0 0.5 -15.6 -5.5 12.9 -5.4 -11.1 -3.3 -8.9 0.8 -6.7 8.9 -20.0 -17.4 -20.0 -20.0 SP400 -20.0 3.9 10.9 2.0 -11.7 2.9 -5.6 1.1 -1.5 -13.9 8.9 -14.6 0.3 -5.9 3.9 -6.8 -3.8 -5.8 -4.9 2.1 7.7 -20.0 4.3 -11.2 -8.2 10.2 2.5 -17.0 4.1 -9.3 2.9 -2.4 -0.0 -20.0 -4.9 5.2 0.8 SP500 -20.0 4.3 5.6 2.0 -11.7 2.9 -5.6 1.1 -1.5 -12.7 0.9 -12.9 -6.5 -7.0 2.2 -8.1 -5.2 -7.4 -6.5 -1.7 1.0 -18.1 -3.1 -10.5 2.3 10.2 1.7 -13.5 2.4 -7.3 -0.1 -2.5 -2.6 -3.5 -4.3 0.9 -4.1 SUGAR11 3.9 10.9 11.0 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 13.7 13.7 14.7 10.5 15.3 14.7 20.0 20.0 20.0 20.0 17.9 16.0 16.9 11.5 17.9 -20.0 10.7 6.4 3.7 7.1 4.5 5.9 5.1 20.0 20.0 20.0 20.0 20.0 US10 -12.7 -13.1 10.0 -3.0 7.8 -2.6 0.5 -4.6 -3.4 11.7 -10.0 -2.0 -12.3 -11.7 -8.8 -7.9 -3.4 -8.1 -7.0 -13.5 -12.0 3.2 -17.4 -11.7 0.1 9.7 -3.3 12.1 -3.2 3.2 -6.0 -2.4 -9.8 10.0 11.0 -0.6 2.7 US10U -10.8 -10.3 10.1 -3.0 7.8 -2.6 0.5 -4.6 -3.4 12.3 -8.9 0.0 -12.1 -10.4 -6.9 1.5 3.1 1.0 1.2 -11.0 -10.6 4.9 -16.8 -8.9 -3.8 -14.1 -2.1 13.9 -2.2 4.5 -5.5 -1.3 2.9 12.3 15.1 4.5 7.9 US20 -10.5 -8.4 13.5 -3.0 7.8 -2.6 0.5 -4.6 -3.4 12.9 -6.5 1.9 -10.7 -8.4 -4.1 -3.4 -1.6 -5.2 -4.0 -9.1 -9.0 8.0 -15.0 -6.7 -1.5 -12.3 -2.2 15.3 -2.6 5.7 -5.4 -0.8 -5.4 17.2 16.3 5.8 8.8 US30 -9.2 -5.1 12.6 -3.0 7.8 -2.6 0.5 -4.6 -3.4 13.5 -5.0 2.0 -11.7 -8.0 -3.8 -0.7 -0.5 -1.2 -1.1 -6.5 -7.9 7.7 -16.9 -4.3 -7.0 10.0 -0.6 14.7 -1.2 6.2 -5.6 0.4 -2.1 16.5 19.1 10.8 14.5 US5 -13.2 -14.8 11.0 -3.0 7.8 -2.6 0.5 -4.6 -3.4 10.6 -11.0 -3.8 -12.9 -12.8 -10.4 -10.9 -3.8 -9.9 -8.2 -15.7 -13.6 0.9 -18.7 -14.2 3.0 10.8 -3.9 10.2 -3.6 1.8 -6.2 -3.3 -11.0 8.3 5.4 -7.2 -0.9 VIX 16.0 5.7 -14.2 -5.1 2.2 -5.5 -2.0 -4.5 -3.7 1.9 -14.8 -6.1 -14.2 -8.5 -13.4 -20.0 -20.0 -20.0 -20.0 -13.7 -18.9 -2.7 -17.0 -6.9 NaN -13.5 -6.3 2.9 -7.5 -1.9 -6.5 -4.1 NaN NaN NaN NaN NaN WHEAT -20.0 1.9 -13.5 -0.7 -7.4 -1.7 -6.6 -1.3 -3.0 -6.7 -13.9 -14.2 -13.9 -13.6 -14.0 -11.9 -7.2 -10.5 -8.9 -18.4 -17.7 -20.0 -13.6 -20.0 8.4 11.9 -4.6 -5.9 -3.3 -7.9 -1.1 -6.9 -20.0 -20.0 -20.0 -17.3 -16.8 End of report for caleb_strategy_v1