******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230313_204906 produced at 2023-03-13 21:36:10.791236 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.32 0.0 44330196.64 -44330196.64 -0.40 -0.35 -7.19 999999999 -9 -8 caleb_strategy_v1 VIX False False 0.01 -0.27 -0.20 0.0 9257581.10 -9257581.10 -0.27 -0.27 -21.33 999999999 -29 -29 caleb_strategy_v1 CHF False False 0.05 -0.21 -0.15 0.0 51560358.18 -51560358.18 -0.21 -0.15 -2.89 999999999 -4 -3 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.14 0.0 48809109.18 -48809109.18 -0.05 -0.05 -2.79 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.02 -0.08 -0.13 0.0 15295457.28 -15295457.28 -0.08 -0.08 -8.42 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.10 -0.12 0.0 50170791.54 -50170791.54 -0.10 -0.10 -2.36 999999999 -2 -2 caleb_strategy_v1 US5 False False 0.04 -0.32 -0.09 0.0 40135936.12 -40135936.12 -0.32 -0.32 -2.16 999999999 -8 -8 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.08 0.0 55242107.70 -55242107.70 0.00 0.00 -1.41 999999999 0 0 caleb_strategy_v1 JPY False False 0.04 -0.32 -0.08 0.0 35350296.50 -35350296.50 -0.32 -0.28 -2.13 999999999 -9 -8 caleb_strategy_v1 US10 False False 0.04 0.00 -0.06 0.0 42023934.28 -42023934.28 0.00 0.00 -1.34 999999999 0 0 caleb_strategy_v1 FEEDCOW False False 0.04 -0.12 -0.05 0.0 40232369.26 -40232369.26 -0.12 -0.12 -1.16 999999999 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.04 -0.04 0.0 7129824.61 -7129824.61 -0.04 -0.02 -6.05 999999999 -6 -3 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 9859881.56 -9859881.56 -0.05 -0.06 -3.23 999999999 -5 -6 caleb_strategy_v1 LIVECOW False False 0.02 -0.12 -0.02 0.0 23530614.77 -23530614.77 -0.12 -0.12 -0.83 999999999 -5 -5 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 39679777.18 -39679777.18 -0.04 -0.04 -0.53 999999999 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 0.00 -0.02 0.0 20494946.11 -20494946.11 0.00 -0.02 -0.80 999999999 0 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 10183339.21 -10183339.21 -0.01 -0.01 -0.76 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.06 -0.01 0.0 3251678.89 -3251678.89 -0.06 -0.09 -1.85 999999999 -18 -28 caleb_strategy_v1 WHEAT False False 0.01 -0.07 -0.01 0.0 13416986.26 -13416986.26 -0.07 -0.07 -0.39 999999999 -5 -5 caleb_strategy_v1 PALLAD False False 0.05 -0.05 -0.01 0.0 54653189.62 -54653189.62 -0.05 -0.05 -0.17 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 13205995.21 -13205995.21 0.00 0.00 -0.39 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.07 -0.01 0.0 5930986.44 -5930986.44 -0.07 -0.07 -2.12 999999999 -12 -12 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 12489926.88 -12489926.88 0.00 0.00 0.25 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 742279.54 -742279.54 -0.01 -0.01 -6.64 999999999 -8 -8 caleb_strategy_v1 AUD False False 0.02 0.00 0.00 0.0 24870919.18 -24870919.18 0.00 0.00 0.06 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.01 0.00 0.00 0.0 14681073.64 -14681073.64 0.00 0.01 0.05 999999999 0 1 caleb_strategy_v1 SP500 False False 0.07 -0.14 -0.00 0.0 71825258.97 -71825258.97 -0.14 -0.22 -0.03 999999999 -2 -3 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 37653073.32 -37653073.32 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.00 0.01 0.0 18736377.49 -18736377.49 0.00 0.02 0.30 999999999 0 1 caleb_strategy_v1 SP400 False False 0.09 0.54 0.01 0.0 89620077.26 -89620077.26 0.54 0.54 0.08 999999999 6 6 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 15090972.56 -15090972.56 0.00 0.00 0.53 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.02 0.00 0.01 0.0 24956430.97 -24956430.97 0.00 0.00 0.36 999999999 0 0 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.02 0.0 41172590.02 -41172590.02 0.04 0.04 0.40 999999999 1 1 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.02 0.0 7855931.27 -7855931.27 0.02 0.02 1.99 999999999 2 2 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 23110491.61 -23110491.61 0.00 0.00 0.67 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4136802.64 -4136802.64 0.00 0.00 4.36 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8686213.60 -8686213.60 0.02 0.02 2.69 999999999 2 2 caleb_strategy_v1 US30 False False 0.05 0.00 0.02 0.0 52782619.14 -52782619.14 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 10359010.17 -10359010.17 0.06 0.06 2.17 999999999 6 6 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 27112815.32 -27112815.32 0.00 0.00 0.72 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 29232020.64 -29232020.64 0.00 0.00 0.74 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.03 0.0 16817320.34 -16817320.34 0.00 0.00 1.80 999999999 0 0 caleb_strategy_v1 NASDAQ False False 0.09 0.00 0.03 0.0 88774254.09 -88774254.09 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.17 0.03 0.0 28374579.01 -28374579.01 0.17 0.14 0.96 999999999 6 5 caleb_strategy_v1 SOYBEAN False False 0.02 0.00 0.03 0.0 24891367.65 -24891367.65 0.00 0.00 1.17 999999999 0 0 caleb_strategy_v1 DAX False False 0.01 0.04 0.03 0.0 6136329.35 -6136329.35 0.04 0.07 4.15 999999999 6 12 caleb_strategy_v1 MXP False False 0.01 0.03 0.03 0.0 9620076.74 -9620076.74 0.03 0.02 2.87 999999999 3 2 caleb_strategy_v1 CAC False False 0.03 0.06 0.04 0.0 28788701.92 -28788701.92 0.06 0.06 1.39 999999999 2 2 caleb_strategy_v1 BTP False False 0.05 0.09 0.05 0.0 45693695.49 -45693695.49 0.09 0.09 0.99 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.16 0.05 0.0 26980829.73 -26980829.73 0.16 0.16 1.77 999999999 6 6 caleb_strategy_v1 OAT False False 0.05 0.10 0.06 0.0 51946391.13 -51946391.13 0.10 0.10 1.14 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.12 0.06 0.0 17526199.72 -17526199.72 0.12 0.12 3.49 999999999 7 7 caleb_strategy_v1 BOBL False False 0.05 0.00 0.11 0.0 46411021.95 -46411021.95 0.00 0.00 2.38 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 5.00 999999999 0 0 caleb_strategy_v1 BUND False False 0.05 0.11 0.24 0.0 53293370.82 -53293370.82 0.11 0.11 4.42 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.40 0.0 0.00 0.00 0.00 0.00 52.98 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 15.8 Shocked risk 43.3 Sum abs risk 48.3 Leverage 3.09 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2689687.48, 'annual_cash_vol_target': 672421.87, 'daily_cash_vol_target': 42026.366875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0053 0.6690 0.7907 12.6510 BITCOIN 802.7654 19965.0000 4.0209 64.3338 BOBL 0.3653 116.4600 0.3137 5.0186 BTP 0.8290 114.6600 0.7230 11.5681 BUND 0.7522 133.7300 0.5624 8.9991 BUXL 1.7857 138.6200 1.2882 20.6108 CAC 58.2149 7224.0000 0.8059 12.8937 CAD 0.0033 0.7292 0.4512 7.2194 CANOLA 6.7903 765.0000 0.8876 14.2019 CHF 0.0067 1.1094 0.6040 9.6639 COCOA 33.8590 2652.0000 1.2767 20.4278 COFFEE 3.3474 179.0000 1.8701 29.9209 COPPER 0.0553 4.0510 1.3640 21.8240 CORN 4.5318 557.2500 0.8132 13.0119 COTTON2 1.6089 81.1800 1.9819 31.7101 CRUDE_W 1.2744 72.5700 1.7560 28.0965 DAX 129.3819 15398.0000 0.8403 13.4440 DOW 263.9624 31905.0000 0.8273 13.2374 EUR 0.0059 1.0796 0.5441 8.7063 EUROSTX 38.2128 4220.0000 0.9055 14.4883 FEEDCOW 1.2230 216.4250 0.5651 9.0412 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.2710 786.2500 1.9423 31.0762 GASOILINE 0.0504 2.5411 1.9840 31.7443 GAS_US 0.1499 2.7390 5.4730 87.5681 GBP 0.0087 1.2211 0.7137 11.4200 GOLD_micro 18.1202 1917.7000 0.9449 15.1183 HEATOIL 0.0521 2.6367 1.9759 31.6142 JPY 0.0001 0.0076 0.7129 11.4057 LEANHOG 1.1663 102.8500 1.1340 18.1440 LIVECOW 0.8227 158.2250 0.5199 8.3190 MXP 0.0005 0.0518 0.9623 15.3969 NASDAQ 135.4922 11938.7500 1.1349 18.1583 NIKKEI 251.0853 27200.0000 0.9231 14.7697 NZD 0.0045 0.6216 0.7302 11.6833 OAT 0.8321 130.3500 0.6383 10.2133 OJ 5.1792 236.8000 2.1872 34.9948 PALLAD 37.7721 1470.0000 2.5695 41.1125 PLAT 19.9741 1007.9000 1.9818 31.7080 REDWHEAT 12.2039 789.7500 1.5453 24.7247 ROBUSTA 26.0733 2113.0000 1.2339 19.7432 RUSSELL 23.0632 1749.2000 1.3185 21.0960 SILVER-mini 0.4266 22.0500 1.9348 30.9569 SOYBEAN 10.2910 1339.0000 0.7686 12.2969 SOYMEAL 5.2731 471.4000 1.1186 17.8978 SOYOIL 0.8096 55.9900 1.4461 23.1369 SP400 27.9387 2410.5000 1.1590 18.5447 SP500 35.5765 3863.7500 0.9208 14.7324 SUGAR11 0.3076 20.8600 1.4748 23.5968 US10 0.5225 113.0312 0.4623 7.3966 US10U 0.7096 119.2344 0.5951 9.5217 US20 1.0998 131.2812 0.8377 13.4035 US30 1.5120 141.9688 1.0650 17.0406 US5 0.3650 107.9531 0.3381 5.4101 VIX 0.7125 24.9000 2.8616 45.7854 WHEAT 9.9853 721.7500 1.3835 22.1357 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 668.95 0.79 528.93 1.00 528.93 42026.37 79.46 0.47 3.76 BITCOIN 19.96 4.02 80.28 1.00 80.28 42026.37 523.52 -5.39 -282.02 BOBL 1164.60 0.31 365.29 1.06 385.55 42026.37 109.00 3.03 33.00 BTP 1146.60 0.72 829.00 1.06 878.22 42026.37 47.85 10.28 49.21 BUND 1337.30 0.56 752.15 1.06 793.86 42026.37 52.94 11.57 61.27 BUXL 1386.20 1.29 1785.67 1.06 1884.68 42026.37 22.30 -7.55 -16.84 CAC 722.40 0.81 582.15 1.06 614.43 42026.37 68.40 7.22 49.36 CAD 729.25 0.45 329.05 1.00 329.05 42026.37 127.72 3.16 40.30 CANOLA 153.00 0.89 135.81 0.72 98.11 42026.37 428.36 11.09 475.12 CHF 1386.81 0.60 837.62 1.00 837.62 42026.37 50.17 -15.36 -77.09 COCOA 265.20 1.28 338.59 1.00 338.59 42026.37 124.12 -11.95 -148.35 COFFEE 671.25 1.87 1255.27 1.00 1255.27 42026.37 33.48 8.31 27.81 COPPER 1012.75 1.36 1381.39 1.00 1381.39 42026.37 30.42 4.51 13.73 CORN 278.62 0.81 226.59 1.00 226.59 42026.37 185.47 12.98 240.75 COTTON2 405.90 1.98 804.44 1.00 804.44 42026.37 52.24 6.74 35.21 CRUDE_W 725.70 1.76 1274.35 1.00 1274.35 42026.37 32.98 4.06 13.38 DAX 153.98 0.84 129.38 1.06 136.56 42026.37 307.76 2.48 76.38 DOW 159.52 0.83 131.98 1.00 131.98 42026.37 318.43 -2.34 -74.55 EUR 1349.44 0.54 734.29 1.00 734.29 42026.37 57.23 -11.01 -63.02 EUROSTX 422.00 0.91 382.13 1.06 403.32 42026.37 104.20 6.15 64.13 FEEDCOW 1082.12 0.57 611.48 1.00 611.48 42026.37 68.73 -6.26 -43.05 FTSE100 707.00 0.82 576.59 1.19 666.67 42026.37 63.04 7.70 48.53 GASOIL 786.25 1.94 1527.10 1.00 1527.10 42026.37 27.52 3.77 10.39 GASOILINE 1067.26 1.98 2117.47 1.00 2117.47 42026.37 19.85 -6.49 -12.89 GAS_US 273.90 5.47 1499.06 1.00 1499.06 42026.37 28.04 -17.90 -50.18 GBP 763.19 0.71 544.72 1.00 544.72 42026.37 77.15 6.94 53.55 GOLD_micro 191.77 0.94 181.20 1.00 181.20 42026.37 231.93 -11.65 -270.31 HEATOIL 1107.41 1.98 2188.12 1.00 2188.12 42026.37 19.21 2.91 5.59 JPY 950.81 0.71 677.79 1.00 677.79 42026.37 62.00 -5.30 -32.84 LEANHOG 411.40 1.13 466.53 1.00 466.53 42026.37 90.08 -20.00 -180.17 LIVECOW 632.90 0.52 329.07 1.00 329.07 42026.37 127.71 -2.41 -30.76 MXP 258.75 0.96 249.00 1.00 249.00 42026.37 168.78 13.87 234.10 NASDAQ 2387.75 1.13 2709.84 1.00 2709.84 42026.37 15.51 3.47 5.39 NIKKEI 27200.00 0.92 25108.53 0.01 183.76 42026.37 228.71 12.20 278.95 NZD 621.60 0.73 453.90 1.00 453.90 42026.37 92.59 4.50 41.63 OAT 1303.50 0.64 832.07 1.06 881.47 42026.37 47.68 11.87 56.57 OJ 355.20 2.19 776.88 1.00 776.88 42026.37 54.10 -4.12 -22.30 PALLAD 1470.00 2.57 3777.21 1.00 3777.21 42026.37 11.13 -6.23 -6.94 PLAT 503.95 1.98 998.70 1.00 998.70 42026.37 42.08 3.01 12.66 REDWHEAT 394.88 1.55 610.20 1.00 610.20 42026.37 68.87 1.35 9.27 ROBUSTA 211.30 1.23 260.73 1.00 260.73 42026.37 161.19 9.53 153.67 RUSSELL 87.46 1.32 115.32 1.00 115.32 42026.37 364.45 -0.98 -35.70 SILVER-mini 551.25 1.93 1066.56 1.00 1066.56 42026.37 39.40 -9.02 -35.54 SOYBEAN 669.50 0.77 514.55 1.00 514.55 42026.37 81.68 2.43 19.82 SOYMEAL 471.40 1.12 527.31 1.00 527.31 42026.37 79.70 7.43 59.22 SOYOIL 335.94 1.45 485.79 1.00 485.79 42026.37 86.51 3.16 27.35 SP400 2410.50 1.16 2793.87 1.00 2793.87 42026.37 15.04 1.02 1.53 SP500 1931.88 0.92 1778.83 1.00 1778.83 42026.37 23.63 -0.50 -1.19 SUGAR11 233.63 1.47 344.56 1.00 344.56 42026.37 121.97 16.26 198.32 US10 1130.31 0.46 522.53 1.00 522.53 42026.37 80.43 -4.34 -34.88 US10U 1192.34 0.60 709.57 1.00 709.57 42026.37 59.23 -8.33 -49.36 US20 1312.81 0.84 1099.77 1.00 1099.77 42026.37 38.21 -9.90 -37.82 US30 1419.69 1.07 1512.02 1.00 1512.02 42026.37 27.79 1.27 3.53 US5 1079.53 0.34 365.02 1.00 365.02 42026.37 115.13 -4.88 -56.18 VIX 249.00 2.86 712.54 1.00 712.54 42026.37 58.98 -19.19 -113.21 WHEAT 360.88 1.38 499.26 1.00 499.26 42026.37 84.18 -8.69 -73.14 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 3.760 0.006 2.5 0.060 BITCOIN -282.016 0.009 2.5 -6.645 BOBL 32.996 0.029 2.5 2.381 BTP 49.213 0.008 2.5 0.994 BUND 61.268 0.029 2.5 4.421 BUXL -16.836 0.034 2.5 -1.413 CAC 49.360 0.011 2.5 1.388 CAD 40.304 0.007 2.5 0.720 CANOLA 475.121 0.004 2.5 4.361 CHF -77.089 0.015 2.5 -2.885 COCOA -148.345 0.009 2.5 -3.232 COFFEE 27.811 0.005 2.5 0.361 COPPER 13.727 0.011 2.5 0.375 CORN 240.748 0.004 2.5 2.172 COTTON2 35.211 0.006 2.5 0.530 CRUDE_W 13.376 0.053 2.5 1.767 DAX 76.381 0.022 2.5 4.148 DOW -74.552 0.011 2.5 -2.125 EUR -63.024 0.015 2.5 -2.359 EUROSTX 64.132 0.011 2.5 1.803 FEEDCOW -43.050 0.011 2.5 -1.157 FTSE100 48.526 0.041 2.5 5.002 GASOIL 10.387 0.029 2.5 0.741 GASOILINE -12.888 0.016 2.5 -0.529 GAS_US -50.180 0.006 2.5 -0.756 GBP 53.554 0.007 2.5 0.956 GOLD_micro -270.311 0.009 2.5 -6.048 HEATOIL 5.589 0.029 2.5 0.399 JPY -32.839 0.026 2.5 -2.126 LEANHOG -180.167 0.019 2.5 -8.417 LIVECOW -30.762 0.011 2.5 -0.827 MXP 234.096 0.005 2.5 2.866 NASDAQ 5.387 0.022 2.5 0.293 NIKKEI 278.949 0.076 2.5 52.982 NZD 41.633 0.006 2.5 0.665 OAT 56.570 0.008 2.5 1.142 OJ -22.302 0.007 2.5 -0.389 PALLAD -6.936 0.010 2.5 -0.167 PLAT 12.662 0.010 2.5 0.305 REDWHEAT 9.269 0.002 2.5 0.049 ROBUSTA 153.666 0.005 2.5 1.992 RUSSELL -35.702 0.021 2.5 -1.849 SILVER-mini -35.536 0.009 2.5 -0.795 SOYBEAN 19.825 0.024 2.5 1.169 SOYMEAL 59.221 0.024 2.5 3.492 SOYOIL 27.345 0.004 2.5 0.251 SP400 1.534 0.021 2.5 0.079 SP500 -1.185 0.011 2.5 -0.034 SUGAR11 198.320 0.005 2.5 2.691 US10 -34.876 0.015 2.5 -1.338 US10U -49.356 0.058 2.5 -7.191 US20 -37.819 0.029 2.5 -2.787 US30 3.526 0.034 2.5 0.296 US5 -56.182 0.015 2.5 -2.155 VIX -113.208 0.075 2.5 -21.334 WHEAT -73.138 0.002 2.5 -0.390 ==================== Position diags ==================== AUD 1.27 BITCOIN 12.33 BOBL 7.87 BTP 0.97 BUND 3.82 BUXL 1.87 CAC 1.92 CAD 2.28 CANOLA 3.93 CHF 1.88 COCOA 2.70 COFFEE 0.43 COPPER 0.83 CORN 1.67 COTTON2 0.79 CRUDE_W 4.36 DAX 16.71 DOW 9.07 EUR 2.14 EUROSTX 2.93 FEEDCOW 1.85 FTSE100 6.50 GASOIL 1.96 GASOILINE 0.81 GAS_US 0.42 GBP 1.38 GOLD_micro 5.19 HEATOIL 1.37 JPY 4.01 LEANHOG 4.21 LIVECOW 3.43 MXP 2.07 NASDAQ 0.84 NIKKEI 43.44 NZD 1.48 OAT 0.96 OJ 0.94 PALLAD 0.27 PLAT 1.01 REDWHEAT 0.37 ROBUSTA 2.09 RUSSELL 18.88 SILVER-mini 0.88 SOYBEAN 4.82 SOYMEAL 4.70 SOYOIL 0.79 SP400 0.78 SP500 0.67 SUGAR11 1.66 US10 3.09 US10U 8.63 US20 2.82 US30 2.33 US5 4.42 VIX 11.12 WHEAT 0.45 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 -0.1 0.2 0.0 0 BITCOIN -6.6 -7.9 -5.4 -8.0 -8 BOBL 2.4 1.6 3.2 0.0 0 BTP 1.0 0.9 1.1 2.0 2 BUND 4.4 4.0 4.8 2.0 2 BUXL -1.4 -1.6 -1.2 0.0 0 CAC 1.4 1.2 1.6 2.0 2 CAD 0.7 0.5 0.9 0.0 0 CANOLA 4.4 4.0 4.8 NaN 0 CHF -2.9 -3.1 -2.7 -4.0 -4 COCOA -3.2 -3.5 -3.0 -5.0 -5 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 0.5 0.5 0.6 NaN 0 CRUDE_W 1.8 1.3 2.2 6.0 6 DAX 4.1 2.5 5.8 6.0 6 DOW -2.1 -3.0 -1.2 -12.0 -12 EUR -2.4 -2.6 -2.1 -2.0 -2 EUROSTX 1.8 1.5 2.1 0.0 0 FEEDCOW -1.2 -1.3 -1.0 -3.0 -3 FTSE100 5.0 4.4 5.7 0.0 0 GASOIL 0.7 0.5 0.9 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 6.0 6 GOLD_micro -6.0 -6.6 -5.5 -6.0 -6 HEATOIL 0.4 0.3 0.5 1.0 1 JPY -2.1 -2.5 -1.7 -9.0 -9 LEANHOG -8.4 -8.8 -8.0 -5.0 -5 LIVECOW -0.8 -1.2 -0.5 -5.0 -5 MXP 2.9 2.7 3.1 3.0 3 NASDAQ 0.3 0.2 0.4 0.0 0 NIKKEI 53.0 48.6 57.3 0.0 0 NZD 0.7 0.5 0.8 0.0 0 OAT 1.1 1.0 1.2 2.0 2 OJ -0.4 -0.5 -0.3 NaN 0 PALLAD -0.2 -0.2 -0.1 -1.0 -1 PLAT 0.3 0.2 0.4 NaN 0 REDWHEAT 0.0 0.0 0.1 0.0 0 ROBUSTA 2.0 1.8 2.2 2.0 2 RUSSELL -1.8 -3.7 0.0 -18.0 -18 SILVER-mini -0.8 -0.9 -0.7 0.0 0 SOYBEAN 1.2 0.7 1.7 0.0 0 SOYMEAL 3.5 3.0 4.0 7.0 7 SOYOIL 0.3 0.2 0.3 0.0 0 SP400 0.1 0.0 0.2 6.0 6 SP500 -0.0 -0.1 0.0 -2.0 -2 SUGAR11 2.7 2.5 2.9 2.0 2 US10 -1.3 -1.6 -1.0 NaN 0 US10U -7.2 -8.1 -6.3 -9.0 -9 US20 -2.8 -3.1 -2.5 -1.0 -1 US30 0.3 0.1 0.5 0.0 0 US5 -2.2 -2.6 -1.7 -8.0 -8 VIX -21.3 -22.4 -20.2 -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 -0.0 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 -0.5 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 0.1 -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 -1.5 2.2 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 -0.0 0.2 0.2 0.1 BUND -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 -0.1 -0.3 0.8 0.6 0.2 0.3 -0.2 -0.2 -0.0 -0.3 -0.0 1.0 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 -0.1 -0.2 -0.1 -0.0 0.1 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.0 -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 0.1 -0.0 -0.1 CAC -0.1 0.2 0.3 0.0 -0.1 0.1 -0.1 0.0 -0.0 -0.0 0.4 0.0 0.3 0.0 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 0.1 0.4 0.2 0.2 CAD -0.2 -0.1 0.0 -0.0 0.0 0.0 -0.0 -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 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.2 -0.4 -0.1 -0.3 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 -0.2 1.4 0.5 0.3 0.2 -0.1 -0.1 -0.0 -0.1 -0.0 1.0 2.9 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 1.1 -0.0 -0.2 -0.2 -0.3 CHF -0.1 -0.2 0.2 -0.0 0.0 0.0 -0.0 -0.0 -0.1 0.0 0.2 0.0 0.1 -0.0 0.0 -1.0 -0.6 -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 0.1 0.0 COCOA 0.0 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 -2.1 -0.1 0.4 0.1 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 1.8 2.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.9 -0.0 0.1 0.3 0.2 COPPER -0.2 -0.2 0.3 -0.0 0.1 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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 -0.1 0.1 0.2 GAS_US 0.2 -0.1 -0.3 -0.0 -0.0 -0.0 -0.1 0.1 -0.0 -0.0 -0.4 -0.0 -0.3 -0.0 -0.4 -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 0.2 -0.1 -0.3 GBP -0.1 -0.2 0.2 -0.0 0.0 0.0 -0.0 -0.0 -0.1 0.0 0.2 0.0 -0.1 -0.0 -0.0 -0.2 -0.1 -0.0 -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 0.0 0.3 -0.0 -0.1 GOLD_micro -0.1 -0.3 0.3 -0.0 0.1 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 -0.1 -0.0 0.0 -1.0 -0.4 -0.3 -0.3 -0.0 0.1 0.0 0.0 -0.0 0.4 -2.7 -0.0 0.0 0.0 0.0 0.0 0.0 -1.9 0.1 0.2 0.0 0.1 HEATOIL -0.0 -0.2 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 -0.0 -0.2 -0.0 0.2 -0.1 -0.1 1.7 0.9 0.5 0.5 -0.1 -0.1 -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 -0.1 JPY -0.2 -0.3 0.3 -0.0 0.0 0.0 -0.0 -0.0 -0.1 0.0 0.1 -0.0 -0.2 -0.1 -0.1 -1.0 -0.5 -0.3 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 0.5 2.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -2.2 0.2 0.0 -0.2 0.1 LEANHOG -0.0 -0.1 -0.2 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0.0 -0.0 -0.1 0.0 OAT -0.1 -0.1 0.0 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.3 0.9 0.5 0.2 0.3 -0.2 -0.2 0.0 -0.2 -0.0 0.5 2.6 -0.0 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 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 0.1 0.0 0.1 1.5 0.7 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 -0.0 -0.2 -0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 -0.4 -0.0 -0.3 -0.1 -0.3 -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 0.1 -0.3 -0.0 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 0.0 0.0 -0.0 -0.2 -0.1 -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 -0.1 -0.0 -0.3 -0.0 -0.3 -0.0 -0.3 0.7 0.1 0.2 0.1 -0.2 -0.1 -0.0 -0.1 -0.0 0.4 2.6 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.5 -0.1 -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 0.4 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 0.1 0.0 -0.2 0.1 -0.2 0.0 -0.0 -0.1 0.1 -0.1 -0.2 -0.0 0.0 -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 -0.1 -0.3 0.1 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 -0.1 -0.1 -0.2 -0.4 -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 -0.1 -0.0 0.1 -0.0 0.1 -0.0 -0.1 1.6 0.8 0.4 0.4 -0.0 -0.0 -0.0 0.0 -0.0 -1.5 -2.5 -0.0 -0.0 0.0 -0.0 0.1 -0.0 2.7 -0.0 -0.3 -0.2 0.0 SOYMEAL -0.1 0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 0.0 0.3 0.0 0.4 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 0.1 0.1 0.1 0.3 SOYOIL -0.1 -0.1 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.1 -0.0 0.0 -0.0 -0.3 0.2 0.6 0.1 0.2 -0.2 -0.1 -0.0 0.0 -0.0 -0.7 2.7 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 1.2 -0.1 -0.4 -0.3 -0.3 SP400 -0.2 0.0 0.2 0.0 -0.0 0.1 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0.2 0.1 0.1 US30 -0.1 -0.1 0.2 -0.0 0.1 -0.1 0.1 -0.1 -0.0 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 -0.9 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 -0.1 -0.2 0.2 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.0 -0.3 -0.0 -0.3 -0.1 -0.2 -0.9 -0.2 -0.2 -0.2 -0.2 -0.2 0.0 -0.2 -0.0 0.4 2.4 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -1.6 0.0 0.0 -0.1 -0.0 VIX 0.2 0.8 -0.6 -0.1 0.0 -0.2 0.0 -0.2 -0.0 0.0 -0.5 0.0 -0.5 -0.0 -0.3 -2.4 -1.6 -0.8 -0.8 -0.1 -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 -0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.3 -0.1 -0.3 -1.0 -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 -14.3 8.9 -1.7 3.8 0.2 -2.1 -1.5 -4.1 -5.9 3.5 -13.7 -3.8 -14.5 -5.9 -3.7 -2.8 -3.6 -3.3 -9.8 -2.1 -17.4 -3.9 -19.2 5.4 11.7 -3.5 -1.6 -1.0 -6.0 -1.6 -6.5 -0.7 -18.4 -15.5 -9.9 -5.4 BITCOIN -15.4 13.9 20.0 -1.9 -0.7 0.6 -2.9 1.2 -3.8 -14.0 6.8 -13.4 -12.8 -1.1 8.6 -4.2 -1.4 -2.6 -1.6 5.1 3.5 -20.0 -10.1 -7.1 7.3 -18.1 1.8 -10.7 1.9 -8.0 -0.8 -2.8 1.7 -20.0 7.3 20.0 8.1 BOBL -14.6 -5.4 -2.2 -3.0 7.7 -2.6 0.4 -4.6 -3.4 6.8 -14.9 -7.3 -14.6 -13.2 -13.4 -5.7 4.4 -5.9 -0.8 -20.0 -20.0 -5.3 -20.0 -18.5 12.7 10.8 -5.1 7.4 -5.2 -1.0 -7.6 -5.0 3.6 -12.3 -9.6 -7.5 -15.2 BTP -7.3 -2.5 8.1 -2.5 11.2 -2.5 3.7 -4.6 -1.7 13.7 -1.7 5.3 -10.1 -5.7 -0.4 7.6 12.5 9.1 11.4 -2.2 -3.4 10.8 -12.4 -0.3 -11.7 11.4 1.0 14.0 -0.2 6.9 -6.8 1.5 20.0 -2.5 8.9 15.1 7.7 BUND -12.7 -7.0 -0.5 -3.0 7.7 -2.6 0.4 -4.6 -3.4 8.1 -13.9 -5.3 -14.1 -12.4 -12.0 10.1 14.6 11.2 12.7 -16.9 -18.4 -1.7 -20.0 -14.5 7.6 12.3 -4.5 8.3 -4.9 0.2 -8.2 -4.2 20.0 -7.9 -0.4 -1.3 -7.9 BUXL -8.8 -11.3 -3.3 -3.0 7.7 -2.6 0.4 -4.6 -3.4 9.3 -12.9 -3.0 -13.6 -11.7 -12.8 2.8 0.5 3.0 2.7 -17.0 -18.5 0.1 -20.0 -12.9 3.5 -10.8 -4.7 7.2 -4.9 0.7 -7.2 -3.8 2.1 -7.5 3.6 -3.4 -6.4 CAC -8.9 10.1 20.0 2.2 -10.2 3.0 -4.9 1.1 -1.2 -7.4 15.7 2.4 10.7 11.4 14.8 -4.2 0.6 -3.6 -2.1 20.0 20.0 -0.3 18.6 10.4 -16.9 8.9 5.8 -4.1 6.5 -0.5 4.7 2.8 6.1 13.6 20.0 15.8 13.7 CAD -20.0 -6.3 0.7 -1.7 3.8 0.2 -2.1 -1.5 -4.1 -6.7 -8.4 -13.7 -9.8 -13.5 -9.1 -2.7 -1.5 -2.3 -2.0 -12.1 -8.9 -19.8 -11.2 -19.4 16.6 10.4 -4.3 -3.4 -2.9 -7.5 -3.7 -7.2 1.4 -20.0 -17.0 -8.6 -17.2 CANOLA -7.1 -6.1 -9.6 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -14.0 -6.5 -14.5 -10.0 -9.8 -10.2 20.0 12.8 14.6 11.8 -14.5 -13.1 -20.0 -6.6 -20.0 4.4 11.5 -5.2 -14.8 -3.7 -11.1 -1.3 -7.4 8.2 -20.0 -20.0 -20.0 -20.0 CHF -11.9 -13.0 9.5 -1.7 3.8 0.2 -2.1 -1.5 -4.1 12.1 9.1 2.6 2.4 -6.4 0.7 -15.2 -13.8 -15.0 -14.6 -1.3 2.9 12.7 1.3 -0.8 -5.7 -11.5 -0.7 17.2 1.1 6.5 -0.6 -0.5 -19.9 20.0 11.9 3.9 1.6 COCOA 0.0 5.1 16.9 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -14.0 12.1 -5.3 1.1 2.6 9.9 -1.3 -2.7 -1.4 -1.6 10.6 11.6 -10.8 5.6 2.6 -19.5 -10.4 4.9 -9.5 5.3 -4.2 3.0 1.4 -15.4 -6.8 20.0 9.6 20.0 COFFEE 1.6 20.0 4.7 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -5.9 -5.5 -9.2 -7.9 6.9 8.2 2.6 3.0 2.0 2.8 6.5 -2.9 -6.1 -9.1 2.7 11.5 10.0 2.0 -1.8 -0.7 -2.9 -2.6 -0.1 -6.4 -7.7 4.9 20.0 12.9 COPPER -13.2 -13.5 19.7 -1.5 6.7 0.6 0.7 1.2 -2.4 -4.2 8.9 -7.0 -2.1 -6.6 6.9 -0.6 -0.5 -0.8 -0.7 4.4 8.9 -4.3 3.2 -3.1 -5.3 11.1 -0.4 -0.2 2.6 -2.8 1.9 -3.5 2.9 -14.4 -0.8 -3.1 9.1 CORN -20.0 -13.8 -20.0 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -8.9 -0.1 -14.2 0.0 -15.0 -14.9 20.0 19.9 20.0 20.0 -20.0 -12.0 -20.0 1.3 -20.0 5.5 11.0 -5.9 -4.5 -4.1 -6.6 -0.8 -6.9 20.0 -20.0 -20.0 -20.0 -20.0 COTTON2 -4.1 2.3 1.7 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -6.3 -8.9 -7.2 -10.1 -8.2 -2.2 -4.8 10.1 -2.6 2.3 -5.4 -8.3 -11.6 -8.8 -7.8 3.7 12.0 -3.1 -9.8 -2.0 -8.7 0.6 -5.7 -0.3 -12.0 -11.3 -7.8 5.5 CRUDE_W -4.1 -4.5 -3.5 -1.0 -5.9 -1.4 -2.5 2.4 -0.7 -12.3 0.9 -7.2 0.8 -4.9 -3.0 8.5 11.8 8.6 9.5 -2.5 -1.5 -8.5 2.8 -4.4 -9.7 10.8 -1.1 -10.6 0.5 -5.9 5.1 -2.9 -0.2 -4.0 -8.0 -1.9 5.5 DAX -12.1 4.7 20.0 2.2 -10.2 3.0 -4.9 1.1 -1.2 -0.1 15.7 5.6 5.4 12.2 15.1 -10.3 -5.5 -9.4 -7.8 17.7 20.0 3.4 12.6 9.1 -16.9 9.9 5.7 -2.1 6.8 1.2 3.9 3.1 -3.9 20.0 13.9 12.0 12.2 DOW -20.0 -12.1 1.7 1.3 -13.3 2.5 -7.8 0.9 -2.8 -13.8 7.7 -14.0 1.2 -12.8 -8.8 -7.9 -4.5 -7.4 -6.5 -9.2 -0.1 -20.0 1.7 -18.8 -1.9 10.8 -1.3 -15.1 1.7 -10.9 1.8 -5.9 -2.1 -2.7 -7.0 -10.3 -10.5 EUR -14.8 -17.8 18.6 -1.7 3.8 0.2 -2.1 -1.5 -4.1 9.9 8.9 -1.2 -2.5 -10.7 1.8 -8.0 -8.7 -8.3 -8.6 -1.1 5.0 2.1 -1.7 -5.2 -5.7 -11.1 -0.3 7.0 2.2 0.8 -1.6 -2.4 -10.4 11.2 9.3 0.0 8.1 EUROSTX -12.5 6.3 20.0 2.2 -10.2 3.0 -4.9 1.1 -1.2 -5.9 15.7 2.0 10.0 10.9 14.7 12.5 6.9 10.9 8.6 18.0 20.0 0.5 16.0 8.2 -18.4 -8.5 5.7 -3.8 7.2 -0.0 5.1 2.7 20.0 16.8 15.0 10.2 11.9 FEEDCOW 20.0 19.1 12.4 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 2.4 8.8 10.6 4.6 13.9 14.4 -20.0 -20.0 -20.0 -20.0 20.0 12.4 20.0 5.2 20.0 -14.2 12.2 5.8 1.3 4.0 5.4 2.1 6.6 -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 -0.2 -11.3 -7.7 -1.0 -5.9 -1.4 -2.5 2.4 -0.7 -11.8 -7.9 -1.2 7.9 -9.2 -5.5 20.0 20.0 20.0 20.0 -7.1 -4.8 -6.1 8.0 -5.5 -1.4 -15.4 -3.8 -4.7 -3.7 -3.0 1.5 -2.6 20.0 -2.9 -2.8 -4.5 -13.6 GASOILINE -3.7 0.4 0.1 -1.0 -5.9 -1.4 -2.5 2.4 -0.7 -11.4 1.6 -3.3 3.3 -0.7 7.1 11.4 10.5 -0.5 1.8 3.2 3.2 -5.3 6.9 0.3 -13.5 -13.1 2.6 -6.8 4.3 -3.0 7.8 -0.0 -7.0 2.9 -3.9 6.7 17.6 GAS_US 20.0 -9.6 -20.0 -1.0 -5.9 -1.4 -2.5 2.4 -0.7 -8.3 -15.7 -0.8 -12.1 -5.6 -14.7 -18.6 -5.7 -8.8 -6.0 -20.0 -20.0 -4.2 -20.0 -8.5 5.4 -9.3 -4.2 -1.6 -6.1 -1.1 -2.0 -0.9 -20.0 -4.0 7.2 -8.4 -18.1 GBP -7.1 -12.8 10.1 -1.7 3.8 0.2 -2.1 -1.5 -4.1 11.0 9.4 1.0 -2.8 -8.6 -1.9 -2.3 -2.0 -2.4 -2.3 -2.9 0.2 3.4 -4.7 -4.4 12.4 9.4 -2.7 9.8 -2.4 1.3 -6.3 -3.0 0.7 5.4 12.9 -0.4 -4.7 GOLD_micro -9.7 -19.5 15.5 -1.5 6.7 0.6 0.7 1.2 -2.4 11.9 5.8 4.9 -2.6 -8.1 0.0 -12.7 -10.4 -12.5 -11.9 -0.3 4.2 12.5 2.2 -0.5 3.2 -13.8 -0.1 14.5 1.6 5.8 1.2 0.3 -15.2 18.8 11.8 1.2 6.4 HEATOIL -3.2 -11.0 -7.9 -1.0 -5.9 -1.4 -2.5 2.4 -0.7 -7.6 -6.9 -6.1 7.1 -11.9 -4.8 20.0 20.0 20.0 20.0 -7.3 -4.2 -8.6 7.3 -7.6 -11.1 -13.6 -3.2 -5.4 -0.7 -4.9 6.8 -4.1 20.0 -6.7 -9.7 -5.9 -3.6 JPY -17.9 -16.3 17.9 -1.7 3.8 0.2 -2.1 -1.5 -4.1 12.4 4.4 -2.9 -7.4 -12.3 -2.1 -14.7 -12.0 -13.7 -13.2 -7.6 -1.5 2.0 -9.0 -10.7 3.4 9.9 -2.4 7.9 -0.8 1.2 -4.4 -3.3 -17.3 14.5 0.2 -11.4 3.6 LEANHOG -0.8 -9.6 -15.3 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 11.2 -10.8 -5.7 -7.1 -10.3 -13.5 -20.0 -20.0 -20.0 -20.0 -13.0 -12.6 1.0 -5.8 -7.6 8.9 -11.1 -5.7 4.7 -5.2 0.0 -2.7 -3.8 -20.0 13.4 -5.9 -20.0 -20.0 LIVECOW -6.2 8.1 12.3 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -13.2 14.1 -9.3 7.8 8.8 12.4 20.0 -20.0 3.2 -14.9 9.3 12.0 -11.4 8.3 0.3 -20.0 12.0 4.3 -9.6 6.3 -5.7 5.4 -0.5 -20.0 -12.3 -1.6 13.8 20.0 MXP -6.5 -6.6 5.8 -1.7 3.8 0.2 -2.1 -1.5 -4.1 -11.6 15.7 -1.3 15.7 9.0 14.0 20.0 20.0 20.0 20.0 15.5 17.5 -9.4 16.0 7.4 -20.0 9.7 5.5 -11.5 6.2 -3.0 5.5 2.8 20.0 -17.5 20.0 20.0 19.8 NASDAQ -16.5 17.0 8.4 1.3 -13.3 2.5 -7.8 0.9 -2.8 -11.2 -2.8 -12.5 -10.5 1.5 6.9 -7.3 -4.8 -6.7 -6.0 4.7 2.2 -10.2 -7.7 -3.0 3.8 10.2 3.8 -4.9 3.2 -2.7 0.1 0.7 -1.9 17.6 8.4 19.6 4.2 NIKKEI 1.8 15.0 -1.7 1.3 -13.3 2.5 -7.8 0.9 -2.8 -7.4 3.5 2.7 3.7 10.8 8.6 17.5 15.3 20.0 18.3 9.2 4.9 2.8 1.9 10.2 9.4 -9.4 3.7 -5.9 1.3 2.1 -0.4 4.8 20.0 20.0 20.0 20.0 -13.1 NZD -16.9 -18.0 9.9 -1.7 3.8 0.2 -2.1 -1.5 -4.1 1.6 7.7 -9.5 -1.9 -13.4 -4.9 -0.1 0.4 0.0 0.0 -7.5 -0.2 -7.0 -2.9 -12.8 0.2 10.8 -2.9 3.0 -0.3 -2.7 -1.3 -4.9 4.7 1.8 -2.1 -7.2 0.0 OAT -8.3 -7.2 2.4 -2.5 11.2 -2.5 3.7 -4.6 -1.7 12.0 -12.5 1.1 -13.5 -10.1 -10.8 10.4 12.3 10.9 11.9 -12.7 -13.8 9.3 -18.7 -7.8 3.8 12.7 -3.3 15.0 -4.2 4.9 -8.1 -1.8 20.0 0.1 1.0 0.3 -5.5 OJ -10.3 -14.1 -5.9 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -2.6 14.0 -2.2 14.9 7.5 10.4 20.0 17.6 20.0 20.0 17.2 20.0 2.9 19.7 10.1 -20.0 -14.3 5.6 -0.1 6.2 0.8 6.0 3.3 20.0 -9.7 19.3 20.0 20.0 PALLAD -4.8 -16.3 -20.0 -1.5 6.7 0.6 0.7 1.2 -2.4 5.9 -15.7 -7.8 -13.8 -14.0 -15.6 -3.2 -2.1 -3.0 -2.6 -20.0 -20.0 -6.8 -19.7 -18.6 20.0 -11.1 -5.9 3.1 -5.1 -1.7 -3.5 -4.9 0.0 -14.9 -20.0 -20.0 -20.0 PLAT 7.8 -20.0 -1.1 -1.5 6.7 0.6 0.7 1.2 -2.4 9.8 2.7 7.3 0.3 -6.2 -7.8 -2.2 -1.2 -2.0 -1.6 -5.7 -1.5 7.5 1.0 -2.0 -1.3 11.2 -3.3 7.2 -0.9 1.8 0.0 -2.4 1.7 4.3 3.2 -18.3 -10.1 REDWHEAT -20.0 1.1 -10.3 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -3.4 -11.8 -12.6 -10.2 -11.5 -11.5 8.4 3.4 7.5 5.9 -13.8 -12.0 -19.3 -7.6 -19.3 2.8 12.9 -4.4 -2.8 -2.7 -6.4 -0.1 -6.5 -4.0 -9.6 -20.0 -12.6 -13.8 ROBUSTA 6.5 20.0 19.5 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -11.1 3.1 3.2 -0.2 11.4 12.6 5.7 9.0 8.5 9.3 19.9 12.4 0.6 4.7 14.2 -9.1 9.6 4.9 -3.2 2.7 0.2 0.8 3.7 4.0 6.4 20.0 20.0 20.0 RUSSELL -20.0 3.3 7.8 1.3 -13.3 2.5 -7.8 0.9 -2.8 -14.0 2.0 -15.1 -7.3 -8.5 1.1 -6.3 -4.0 -5.9 -5.3 -2.6 2.2 -20.0 -2.0 -16.2 -4.1 10.0 1.3 -17.0 2.8 -10.9 1.3 -3.9 -0.6 -20.0 -4.8 4.5 -2.3 SILVER-mini -11.9 -20.0 4.6 -1.5 6.7 0.6 0.7 1.2 -2.4 8.7 3.0 -3.7 -2.5 -12.6 -9.4 -6.1 -4.5 -5.7 -5.3 -11.9 -3.0 -2.0 -0.9 -13.5 5.4 -11.3 -4.1 5.6 -1.5 -0.9 -1.0 -4.6 -4.4 -7.6 -13.0 -20.0 -7.9 SOYBEAN -4.6 -2.4 -4.3 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -10.6 4.6 -8.9 3.6 -3.7 -4.3 20.0 20.0 20.0 20.0 -3.6 -1.0 -13.2 4.0 -7.0 -10.2 -11.7 -3.2 -12.5 0.0 -8.6 4.5 -6.0 20.0 -13.7 -14.0 -17.4 0.9 SOYMEAL -4.6 6.2 20.0 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 3.4 14.8 6.1 14.1 11.3 14.7 20.0 18.6 20.0 20.0 17.3 20.0 6.0 19.7 10.8 -20.0 -12.0 5.6 -1.0 8.6 1.5 9.6 2.6 20.0 14.8 5.6 8.8 20.0 SOYOIL -7.2 -9.1 -12.8 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -14.0 -6.1 -13.8 1.8 -12.4 -14.0 2.0 14.6 4.4 9.1 -14.1 -9.6 -20.0 0.1 -19.0 -4.9 12.9 -5.5 -10.6 -3.3 -9.2 0.6 -7.0 9.0 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 0.6 9.9 1.3 -13.3 2.5 -7.8 0.9 -2.8 -14.0 8.2 -15.0 0.1 -7.9 1.9 -6.6 -3.8 -5.8 -4.9 -1.0 6.3 -20.0 3.8 -16.9 -7.9 10.2 1.1 -18.1 3.1 -11.5 2.4 -4.3 -0.0 -20.0 -9.5 3.3 -0.1 SP500 -20.0 2.4 5.1 1.3 -13.3 2.5 -7.8 0.9 -2.8 -13.6 0.6 -13.9 -6.6 -8.8 0.9 -8.0 -5.3 -7.4 -6.5 -3.3 0.4 -20.0 -3.4 -13.4 2.3 10.2 0.9 -13.3 2.0 -8.9 -0.1 -3.8 -2.6 0.6 -4.5 1.7 -4.0 SUGAR11 3.6 11.6 11.2 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 8.8 13.8 13.0 10.7 15.0 14.7 20.0 20.0 20.0 20.0 17.8 16.0 13.1 11.6 16.7 -20.0 10.7 6.4 1.2 7.2 3.5 6.0 4.8 20.0 20.0 20.0 20.0 20.0 US10 -13.1 -13.4 9.7 -3.0 7.7 -2.6 0.4 -4.6 -3.4 11.7 -10.0 -2.3 -12.3 -11.8 -8.9 -8.1 -3.4 -8.2 -7.1 -13.7 -12.2 2.9 -17.6 -12.0 0.1 9.7 -3.3 11.8 -3.2 3.0 -6.0 -2.5 -9.8 9.6 10.8 -0.6 2.6 US10U -10.9 -10.4 9.9 -3.0 7.7 -2.6 0.4 -4.6 -3.4 12.3 -8.9 0.0 -12.1 -10.5 -6.9 1.5 3.1 1.0 1.3 -11.1 -10.7 4.8 -16.9 -9.1 -3.8 -14.1 -2.1 13.7 -2.2 4.4 -5.5 -1.4 2.9 12.2 15.1 4.4 7.9 US20 -4.9 -7.3 13.5 -2.5 11.2 -2.5 3.7 -4.6 -1.7 13.7 -6.2 6.6 -10.7 -5.1 -2.7 -3.0 -1.6 -5.0 -3.9 -6.6 -8.1 18.4 -14.4 -0.7 -1.8 -12.3 -0.9 19.1 -2.0 9.7 -4.8 1.8 -5.3 20.0 18.2 7.2 9.3 US30 -5.2 -5.0 12.0 -2.5 11.2 -2.5 3.7 -4.6 -1.7 13.9 -4.8 6.6 -11.6 -5.4 -3.1 -0.7 -0.5 -1.2 -1.2 -5.0 -7.6 14.7 -17.2 -0.3 -7.2 10.0 0.3 16.7 -0.8 9.1 -5.1 2.4 -2.1 13.7 17.6 10.8 14.7 US5 -13.2 -14.8 11.0 -3.0 7.7 -2.6 0.4 -4.6 -3.4 10.6 -11.0 -3.8 -12.9 -12.8 -10.4 -11.0 -3.9 -10.0 -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 -11.2 8.5 5.5 -7.2 -0.9 VIX 20.0 15.6 -9.0 -4.0 10.4 -5.2 4.4 -4.5 -0.7 12.7 -14.0 6.2 -13.9 -0.1 -10.7 -15.3 -20.0 -20.0 -20.0 -8.0 -15.0 16.7 -14.5 3.2 NaN -13.5 -4.8 12.3 -7.1 5.4 -6.5 -0.5 NaN NaN NaN NaN NaN WHEAT -20.0 -0.6 -14.1 -1.2 -7.7 -1.9 -7.4 -1.3 -3.8 -4.7 -14.0 -13.5 -13.9 -13.5 -14.0 -12.0 -7.2 -10.5 -9.0 -19.7 -18.9 -20.0 -14.4 -20.0 8.7 11.9 -4.8 -3.9 -3.3 -7.0 -1.2 -6.7 -20.0 -13.3 -20.0 -17.6 -16.9 End of report for caleb_strategy_v1