******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230314_204908 produced at 2023-03-14 21:36:09.754046 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 0.05 -0.38 -0.26 0.0 47227041.75 -47227041.75 -0.38 -0.28 -5.59 999999999 -8 -6 caleb_strategy_v1 VIX False False 0.01 -0.28 -0.18 0.0 9488650.90 -9488650.90 -0.28 -0.26 -18.75 999999999 -29 -27 caleb_strategy_v1 CHF False False 0.05 -0.16 -0.14 0.0 54700589.84 -54700589.84 -0.16 -0.16 -2.61 999999999 -3 -3 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.13 0.0 51211533.83 -51211533.83 -0.05 -0.05 -2.58 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.02 -0.08 -0.13 0.0 16063495.25 -16063495.25 -0.08 -0.08 -7.98 999999999 -5 -5 caleb_strategy_v1 EUR False False 0.05 -0.11 -0.12 0.0 53388487.33 -53388487.33 -0.11 -0.11 -2.17 999999999 -2 -2 caleb_strategy_v1 JPY False False 0.04 -0.30 -0.07 0.0 37366504.92 -37366504.92 -0.30 -0.26 -1.94 999999999 -8 -7 caleb_strategy_v1 FEEDCOW False False 0.04 -0.13 -0.05 0.0 42595146.93 -42595146.93 -0.13 -0.13 -1.11 999999999 -3 -3 caleb_strategy_v1 US5 False False 0.04 -0.34 -0.05 0.0 42915141.80 -42915141.80 -0.34 -0.34 -1.10 999999999 -8 -8 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.05 0.0 58627814.35 -58627814.35 0.00 0.00 -0.86 999999999 0 0 caleb_strategy_v1 GOLD_micro False False 0.01 -0.02 -0.04 0.0 7543872.83 -7543872.83 -0.02 -0.01 -5.49 999999999 -3 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.04 0.0 44898121.58 -44898121.58 0.00 0.00 -0.80 999999999 0 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.03 0.0 10504727.27 -10504727.27 -0.06 -0.06 -3.24 999999999 -6 -6 caleb_strategy_v1 LIVECOW False False 0.02 -0.12 -0.02 0.0 24982827.10 -24982827.10 -0.12 -0.12 -0.88 999999999 -5 -5 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 41521150.26 -41521150.26 -0.04 -0.04 -0.52 999999999 -1 -1 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.02 0.0 21917795.18 -21917795.18 -0.02 -0.02 -0.75 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 10662871.45 -10662871.45 -0.01 -0.01 -0.71 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.10 -0.01 0.0 3541045.91 -3541045.91 -0.10 -0.11 -1.92 999999999 -28 -32 caleb_strategy_v1 WHEAT False False 0.01 -0.07 -0.01 0.0 14470192.62 -14470192.62 -0.07 -0.06 -0.36 999999999 -5 -4 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 59185459.99 -59185459.99 -0.06 -0.06 -0.15 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 14499844.66 -14499844.66 0.00 0.00 -0.36 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.08 -0.01 0.0 6397722.87 -6397722.87 -0.08 -0.08 -1.86 999999999 -12 -12 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13348159.65 -13348159.65 0.00 0.00 0.23 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 999471.23 -999471.23 -0.01 -0.01 -3.80 999999999 -8 -8 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 26516825.66 -26516825.66 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 SP400 False False 0.10 0.58 0.00 0.0 96883079.29 -96883079.29 0.58 0.48 0.04 999999999 6 5 caleb_strategy_v1 REDWHEAT False False 0.02 0.02 0.00 0.0 15898432.26 -15898432.26 0.02 0.03 0.06 999999999 1 2 caleb_strategy_v1 DAX False False 0.01 0.08 0.00 0.0 6438907.58 -6438907.58 0.08 0.08 0.59 999999999 12 12 caleb_strategy_v1 SP500 False False 0.08 -0.23 -0.00 0.0 78049095.66 -78049095.66 -0.23 -0.23 -0.01 999999999 -3 -3 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 39684305.59 -39684305.59 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.02 0.01 0.0 19574296.09 -19574296.09 0.02 0.04 0.32 999999999 1 2 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.01 0.0 42748270.03 -42748270.03 0.04 0.04 0.31 999999999 1 1 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.01 0.0 17389534.26 -17389534.26 0.00 0.00 0.83 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8227451.05 -8227451.05 0.02 0.02 1.81 999999999 2 2 caleb_strategy_v1 US30 False False 0.06 0.00 0.01 0.0 55053943.24 -55053943.24 0.00 0.00 0.17 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 26049311.92 -26049311.92 0.00 0.00 0.33 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 16041750.43 -16041750.43 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 24658631.53 -24658631.53 0.00 0.00 0.67 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 9148324.62 -9148324.62 0.02 0.02 2.53 999999999 2 2 caleb_strategy_v1 CORN False False 0.01 0.07 0.02 0.0 11055266.70 -11055266.70 0.07 0.06 2.06 999999999 6 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4348578.84 -4348578.84 0.00 0.00 4.16 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 28946315.65 -28946315.65 0.00 0.00 0.71 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.06 0.02 0.0 30185287.39 -30185287.39 0.06 0.03 0.67 999999999 2 1 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.02 0.0 30343914.86 -30343914.86 0.00 0.00 0.59 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.03 0.0 26449614.38 -26449614.38 0.00 0.00 0.95 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.15 0.03 0.0 30143763.63 -30143763.63 0.15 0.12 0.94 999999999 5 4 caleb_strategy_v1 MXP False False 0.01 0.02 0.03 0.0 10429608.78 -10429608.78 0.02 0.01 2.48 999999999 2 1 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.03 0.0 97412862.30 -97412862.30 0.00 0.00 0.31 999999999 0 0 caleb_strategy_v1 BTP False False 0.05 0.10 0.04 0.0 48162791.79 -48162791.79 0.10 0.10 0.88 999999999 2 2 caleb_strategy_v1 CRUDE_W False False 0.03 0.17 0.04 0.0 27726628.65 -27726628.65 0.17 0.14 1.27 999999999 6 5 caleb_strategy_v1 OAT False False 0.05 0.11 0.06 0.0 54334363.30 -54334363.30 0.11 0.11 1.02 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.13 0.06 0.0 18724271.11 -18724271.11 0.13 0.11 3.38 999999999 7 6 caleb_strategy_v1 BOBL False False 0.05 0.00 0.15 0.0 49448712.10 -49448712.10 0.00 0.00 3.06 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 4.70 999999999 0 0 caleb_strategy_v1 BUND False False 0.06 0.11 0.22 0.0 56741233.88 -56741233.88 0.11 0.11 3.87 999999999 2 2 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.38 0.0 0.00 0.00 0.00 0.00 47.14 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 14.8 Shocked risk 38.8 Sum abs risk 46.0 Leverage 2.85 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2529337.44, 'annual_cash_vol_target': 632334.36, 'daily_cash_vol_target': 39520.8975} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6707 0.7823 12.5165 BITCOIN 1173.4665 25280.0000 4.6419 74.2700 BOBL 0.4870 116.9000 0.4166 6.6654 BTP 0.8430 113.8600 0.7404 11.8462 BUND 0.9286 134.1400 0.6923 11.0766 BUXL 2.1151 138.6000 1.5260 24.4165 CAC 72.6122 7136.0000 1.0175 16.2808 CAD 0.0033 0.7322 0.4535 7.2562 CANOLA 6.7951 754.5000 0.9006 14.4097 CHF 0.0067 1.1068 0.6053 9.6846 COCOA 33.1465 2657.0000 1.2475 19.9603 COFFEE 3.3465 175.7000 1.9047 30.4748 COPPER 0.0541 4.0150 1.3470 21.5514 CORN 4.5103 559.2500 0.8065 12.9038 COTTON2 1.5714 81.1500 1.9365 30.9833 CRUDE_W 1.3284 70.1300 1.8942 30.3065 DAX 153.1258 15222.0000 1.0060 16.0952 DOW 264.3204 32364.0000 0.8167 13.0674 EUR 0.0058 1.0803 0.5369 8.5903 EUROSTX 45.6893 4111.0000 1.1114 17.7823 FEEDCOW 1.2184 215.4750 0.5654 9.0470 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.9568 767.5000 2.0791 33.2649 GASOILINE 0.0499 2.5005 1.9937 31.8997 GAS_US 0.1471 2.6970 5.4534 87.2548 GBP 0.0086 1.2199 0.7088 11.3408 GOLD_micro 17.9986 1908.1000 0.9433 15.0924 HEATOIL 0.0522 2.5744 2.0289 32.4631 JPY 0.0001 0.0076 0.7144 11.4302 LEANHOG 1.1566 101.5750 1.1387 18.2187 LIVECOW 0.8080 157.9750 0.5115 8.1834 MXP 0.0005 0.0528 0.9987 15.9784 NASDAQ 140.3773 12319.5000 1.1395 18.2316 NIKKEI 250.7207 27195.0000 0.9219 14.7510 NZD 0.0046 0.6237 0.7304 11.6864 OAT 0.8736 128.4500 0.6801 10.8821 OJ 5.3752 244.5000 2.1984 35.1750 PALLAD 37.3084 1497.0000 2.4922 39.8753 PLAT 19.8173 990.2000 2.0013 32.0215 REDWHEAT 12.3834 804.2500 1.5397 24.6360 ROBUSTA 26.3507 2081.0000 1.2663 20.2600 RUSSELL 23.5888 1791.3000 1.3169 21.0696 SILVER-mini 0.4174 22.1750 1.8825 30.1204 SOYBEAN 10.0681 1338.0000 0.7525 12.0395 SOYMEAL 5.1514 473.6000 1.0877 17.4034 SOYOIL 0.7979 56.2700 1.4180 22.6885 SP400 28.9566 2450.5000 1.1817 18.9066 SP500 36.5691 3948.2500 0.9262 14.8194 SUGAR11 0.3057 20.6600 1.4797 23.6758 US10 0.5733 113.5625 0.5048 8.0775 US10U 0.7486 119.4531 0.6267 10.0273 US20 1.0862 129.5312 0.8386 13.4172 US30 1.5265 139.2500 1.0962 17.5396 US5 0.4358 108.5469 0.4015 6.4242 VIX 0.7254 24.0000 3.0225 48.3602 WHEAT 10.0722 732.0000 1.3760 22.0158 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 670.70 0.78 524.68 1.00 524.68 39520.9 75.32 0.61 4.62 BITCOIN 25.28 4.64 117.35 1.00 117.35 39520.9 336.79 -4.78 -161.08 BOBL 1169.00 0.42 486.99 1.07 521.99 39520.9 75.71 5.61 42.47 BTP 1138.60 0.74 843.01 1.07 903.60 39520.9 43.74 10.01 43.79 BUND 1341.40 0.69 928.63 1.07 995.38 39520.9 39.70 13.51 53.62 BUXL 1386.00 1.53 2115.08 1.07 2267.11 39520.9 17.43 -5.89 -10.27 CAC 713.60 1.02 726.12 1.07 778.32 39520.9 50.78 4.66 23.66 CAD 732.15 0.45 332.04 1.00 332.04 39520.9 119.02 3.35 39.90 CANOLA 150.90 0.90 135.90 0.73 98.83 39520.9 399.88 11.35 453.73 CHF 1383.56 0.61 837.45 1.00 837.45 39520.9 47.19 -14.76 -69.67 COCOA 265.70 1.25 331.47 1.00 331.47 39520.9 119.23 -12.48 -148.79 COFFEE 658.88 1.90 1254.94 1.00 1254.94 39520.9 31.49 8.05 25.36 COPPER 1003.75 1.35 1352.01 1.00 1352.01 39520.9 29.23 4.01 11.71 CORN 279.62 0.81 225.51 1.00 225.51 39520.9 175.25 13.03 228.39 COTTON2 405.75 1.94 785.72 1.00 785.72 39520.9 50.30 6.77 34.06 CRUDE_W 701.30 1.89 1328.37 1.00 1328.37 39520.9 29.75 3.24 9.63 DAX 152.22 1.01 153.13 1.07 164.13 39520.9 240.79 0.45 10.87 DOW 161.82 0.82 132.16 1.00 132.16 39520.9 299.04 -2.18 -65.22 EUR 1350.38 0.54 725.01 1.00 725.01 39520.9 54.51 -10.64 -58.01 EUROSTX 411.10 1.11 456.89 1.07 489.73 39520.9 80.70 3.67 29.63 FEEDCOW 1077.38 0.57 609.19 1.00 609.19 39520.9 64.87 -6.34 -41.13 FTSE100 707.00 0.82 576.59 1.21 666.67 39520.9 59.28 7.70 45.63 GASOIL 767.50 2.08 1595.68 1.00 1595.68 39520.9 24.77 3.37 8.34 GASOILINE 1050.21 1.99 2093.84 1.00 2093.84 39520.9 18.87 -6.72 -12.69 GAS_US 269.70 5.45 1470.79 1.00 1470.79 39520.9 26.87 -17.67 -47.47 GBP 762.44 0.71 540.41 1.00 540.41 39520.9 73.13 7.21 52.73 GOLD_micro 190.81 0.94 179.99 1.00 179.99 39520.9 219.58 -11.18 -245.54 HEATOIL 1081.25 2.03 2193.79 1.00 2193.79 39520.9 18.01 2.42 4.36 JPY 945.12 0.71 675.19 1.00 675.19 39520.9 58.53 -5.11 -29.91 LEANHOG 406.30 1.14 462.64 1.00 462.64 39520.9 85.42 -20.00 -170.85 LIVECOW 631.90 0.51 323.19 1.00 323.19 39520.9 122.28 -2.68 -32.72 MXP 263.80 1.00 263.44 1.00 263.44 39520.9 150.02 13.52 202.85 NASDAQ 2463.90 1.14 2807.55 1.00 2807.55 39520.9 14.08 4.03 5.68 NIKKEI 27195.00 0.92 25072.07 0.01 186.21 39520.9 212.24 11.69 248.18 NZD 623.70 0.73 455.55 1.00 455.55 39520.9 86.75 4.84 42.01 OAT 1284.50 0.68 873.63 1.07 936.43 39520.9 42.20 12.02 50.71 OJ 366.75 2.20 806.28 1.00 806.28 39520.9 49.02 -4.26 -20.86 PALLAD 1497.00 2.49 3730.84 1.00 3730.84 39520.9 10.59 -5.74 -6.08 PLAT 495.10 2.00 990.87 1.00 990.87 39520.9 39.89 3.33 13.26 REDWHEAT 402.12 1.54 619.17 1.00 619.17 39520.9 63.83 1.79 11.45 ROBUSTA 208.10 1.27 263.51 1.00 263.51 39520.9 149.98 9.32 139.83 RUSSELL 89.56 1.32 117.94 1.00 117.94 39520.9 335.08 -1.10 -37.02 SILVER-mini 554.38 1.88 1043.62 1.00 1043.62 39520.9 37.87 -8.81 -33.35 SOYBEAN 669.00 0.75 503.40 1.00 503.40 39520.9 78.51 2.06 16.15 SOYMEAL 473.60 1.09 515.14 1.00 515.14 39520.9 76.72 7.47 57.28 SOYOIL 337.62 1.42 478.76 1.00 478.76 39520.9 82.55 2.98 24.62 SP400 2450.50 1.18 2895.66 1.00 2895.66 39520.9 13.65 0.62 0.84 SP500 1974.12 0.93 1828.46 1.00 1828.46 39520.9 21.61 -0.19 -0.42 SUGAR11 231.39 1.48 342.40 1.00 342.40 39520.9 115.42 16.15 186.39 US10 1135.62 0.50 573.31 1.00 573.31 39520.9 68.93 -3.01 -20.78 US10U 1194.53 0.63 748.62 1.00 748.62 39520.9 52.79 -7.27 -38.40 US20 1295.31 0.84 1086.22 1.00 1086.22 39520.9 36.38 -9.61 -34.98 US30 1392.50 1.10 1526.49 1.00 1526.49 39520.9 25.89 0.80 2.08 US5 1085.47 0.40 435.83 1.00 435.83 39520.9 90.68 -3.15 -28.60 VIX 240.00 3.02 725.40 1.00 725.40 39520.9 54.48 -18.26 -99.49 WHEAT 366.00 1.38 503.61 1.00 503.61 39520.9 78.47 -8.50 -66.73 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 4.623 0.006 2.5 0.074 BITCOIN -161.082 0.009 2.5 -3.795 BOBL 42.472 0.029 2.5 3.065 BTP 43.793 0.008 2.5 0.884 BUND 53.622 0.029 2.5 3.869 BUXL -10.269 0.034 2.5 -0.862 CAC 23.657 0.011 2.5 0.665 CAD 39.896 0.007 2.5 0.712 CANOLA 453.729 0.004 2.5 4.165 CHF -69.669 0.015 2.5 -2.607 COCOA -148.789 0.009 2.5 -3.241 COFFEE 25.358 0.005 2.5 0.329 COPPER 11.712 0.011 2.5 0.320 CORN 228.387 0.004 2.5 2.060 COTTON2 34.063 0.006 2.5 0.513 CRUDE_W 9.634 0.053 2.5 1.273 DAX 10.867 0.022 2.5 0.590 DOW -65.220 0.011 2.5 -1.859 EUR -58.009 0.015 2.5 -2.171 EUROSTX 29.627 0.011 2.5 0.833 FEEDCOW -41.135 0.011 2.5 -1.105 FTSE100 45.633 0.041 2.5 4.704 GASOIL 8.336 0.029 2.5 0.595 GASOILINE -12.693 0.016 2.5 -0.521 GAS_US -47.472 0.006 2.5 -0.715 GBP 52.734 0.007 2.5 0.942 GOLD_micro -245.544 0.009 2.5 -5.494 HEATOIL 4.361 0.029 2.5 0.311 JPY -29.909 0.026 2.5 -1.936 LEANHOG -170.849 0.019 2.5 -7.982 LIVECOW -32.718 0.011 2.5 -0.879 MXP 202.848 0.005 2.5 2.483 NASDAQ 5.676 0.022 2.5 0.308 NIKKEI 248.177 0.076 2.5 47.137 NZD 42.008 0.006 2.5 0.671 OAT 50.710 0.008 2.5 1.024 OJ -20.861 0.007 2.5 -0.364 PALLAD -6.083 0.010 2.5 -0.146 PLAT 13.262 0.010 2.5 0.319 REDWHEAT 11.451 0.002 2.5 0.061 ROBUSTA 139.830 0.005 2.5 1.813 RUSSELL -37.020 0.021 2.5 -1.917 SILVER-mini -33.353 0.009 2.5 -0.746 SOYBEAN 16.146 0.024 2.5 0.952 SOYMEAL 57.276 0.024 2.5 3.377 SOYOIL 24.619 0.004 2.5 0.226 SP400 0.840 0.021 2.5 0.044 SP500 -0.419 0.011 2.5 -0.012 SUGAR11 186.389 0.005 2.5 2.529 US10 -20.778 0.015 2.5 -0.797 US10U -38.398 0.058 2.5 -5.595 US20 -34.979 0.029 2.5 -2.578 US30 2.083 0.034 2.5 0.175 US5 -28.599 0.015 2.5 -1.097 VIX -99.495 0.075 2.5 -18.750 WHEAT -66.727 0.002 2.5 -0.356 ==================== Position diags ==================== AUD 1.20 BITCOIN 7.94 BOBL 5.46 BTP 0.88 BUND 2.86 BUXL 1.46 CAC 1.43 CAD 2.13 CANOLA 3.67 CHF 1.77 COCOA 2.60 COFFEE 0.41 COPPER 0.80 CORN 1.58 COTTON2 0.76 CRUDE_W 3.93 DAX 13.08 DOW 8.52 EUR 2.04 EUROSTX 2.27 FEEDCOW 1.74 FTSE100 6.11 GASOIL 1.77 GASOILINE 0.78 GAS_US 0.40 GBP 1.31 GOLD_micro 4.91 HEATOIL 1.29 JPY 3.79 LEANHOG 3.99 LIVECOW 3.29 MXP 1.84 NASDAQ 0.76 NIKKEI 40.31 NZD 1.39 OAT 0.85 OJ 0.86 PALLAD 0.25 PLAT 0.96 REDWHEAT 0.34 ROBUSTA 1.94 RUSSELL 17.36 SILVER-mini 0.85 SOYBEAN 4.63 SOYMEAL 4.52 SOYOIL 0.76 SP400 0.71 SP500 0.62 SUGAR11 1.57 US10 2.64 US10U 7.69 US20 2.68 US30 2.17 US5 3.48 VIX 10.27 WHEAT 0.42 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 -0.0 0.2 0.0 0 BITCOIN -3.8 -4.6 -3.0 -8.0 -8 BOBL 3.1 2.5 3.6 0.0 0 BTP 0.9 0.8 1.0 2.0 2 BUND 3.9 3.6 4.2 2.0 2 BUXL -0.9 -1.0 -0.7 0.0 0 CAC 0.7 0.5 0.8 2.0 2 CAD 0.7 0.5 0.9 0.0 0 CANOLA 4.2 3.8 4.5 NaN 0 CHF -2.6 -2.8 -2.4 -3.0 -3 COCOA -3.2 -3.5 -3.0 -6.0 -6 COFFEE 0.3 0.3 0.4 NaN 0 COPPER 0.3 0.2 0.4 0.0 0 CORN 2.1 1.9 2.2 6.0 6 COTTON2 0.5 0.4 0.6 NaN 0 CRUDE_W 1.3 0.9 1.7 6.0 6 DAX 0.6 -0.7 1.9 12.0 12 DOW -1.9 -2.7 -1.0 -12.0 -12 EUR -2.2 -2.4 -2.0 -2.0 -2 EUROSTX 0.8 0.6 1.1 0.0 0 FEEDCOW -1.1 -1.3 -0.9 -3.0 -3 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL 0.6 0.4 0.8 0.0 0 GASOILINE -0.5 -0.6 -0.4 -1.0 -1 GAS_US -0.7 -0.8 -0.7 -1.0 -1 GBP 0.9 0.8 1.1 5.0 5 GOLD_micro -5.5 -6.0 -5.0 -3.0 -3 HEATOIL 0.3 0.2 0.4 1.0 1 JPY -1.9 -2.3 -1.6 -8.0 -8 LEANHOG -8.0 -8.4 -7.6 -5.0 -5 LIVECOW -0.9 -1.2 -0.6 -5.0 -5 MXP 2.5 2.3 2.7 2.0 2 NASDAQ 0.3 0.2 0.4 0.0 0 NIKKEI 47.1 43.1 51.2 0.0 0 NZD 0.7 0.5 0.8 0.0 0 OAT 1.0 0.9 1.1 2.0 2 OJ -0.4 -0.4 -0.3 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT 0.3 0.2 0.4 1.0 1 REDWHEAT 0.1 0.0 0.1 1.0 1 ROBUSTA 1.8 1.6 2.0 2.0 2 RUSSELL -1.9 -3.7 -0.2 -28.0 -28 SILVER-mini -0.7 -0.8 -0.7 -1.0 -1 SOYBEAN 1.0 0.5 1.4 0.0 0 SOYMEAL 3.4 2.9 3.8 7.0 7 SOYOIL 0.2 0.2 0.3 0.0 0 SP400 0.0 -0.0 0.1 6.0 6 SP500 -0.0 -0.1 0.0 -3.0 -3 SUGAR11 2.5 2.4 2.7 2.0 2 US10 -0.8 -1.1 -0.5 NaN 0 US10U -5.6 -6.4 -4.8 -8.0 -8 US20 -2.6 -2.8 -2.3 -1.0 -1 US30 0.2 -0.0 0.4 0.0 0 US5 -1.1 -1.4 -0.7 -8.0 -8 VIX -18.7 -19.8 -17.7 -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 0.1 -0.0 0.1 0.0 0.0 -0.0 -0.0 -0.0 0.1 -0.0 -0.1 -0.1 -0.2 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.6 2.2 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.4 -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 1.5 -4.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.1 0.2 0.3 0.2 BOBL 0.0 0.1 0.2 -0.0 0.0 -0.1 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.3 -0.4 0.2 -0.1 -0.0 -0.1 -0.2 0.0 -0.2 -0.0 1.9 2.4 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.5 0.0 -0.0 -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 -1.4 2.2 0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 -0.1 0.1 0.2 0.1 BUND -0.0 0.0 0.2 -0.0 0.1 -0.1 0.1 -0.1 -0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.2 0.8 0.6 0.2 0.3 -0.1 -0.2 0.0 -0.2 -0.0 1.0 2.5 -0.0 0.0 -0.1 0.0 -0.1 -0.0 2.8 -0.0 -0.0 -0.0 -0.1 BUXL 0.0 -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 0.2 0.0 0.1 0.1 -0.1 -0.2 0.0 -0.2 -0.0 0.5 -2.1 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.3 -0.0 -0.0 -0.1 -0.1 CAC -0.2 -0.0 0.3 0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.0 0.4 -0.0 0.3 0.0 0.3 -0.3 0.0 -0.1 -0.0 0.2 0.2 -0.0 0.2 0.0 -1.9 1.7 0.1 -0.0 0.1 -0.0 0.1 -0.0 0.8 -0.0 0.3 0.2 0.2 CAD -0.2 -0.1 0.0 -0.0 0.0 0.0 0.0 -0.0 -0.0 0.0 -0.2 -0.0 -0.3 -0.1 -0.2 -0.2 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 2.4 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 -0.2 -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 1.2 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 -0.0 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 0.3 0.1 0.0 COCOA -0.0 0.1 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -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 0.0 -0.0 0.1 -0.0 0.0 0.0 -2.1 -0.1 0.3 0.1 0.3 COFFEE 0.0 0.3 0.1 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -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 -0.8 -0.1 -0.0 0.3 0.2 COPPER -0.2 -0.2 0.3 -0.0 0.1 0.0 0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.1 -0.0 0.2 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 -0.7 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.3 -0.1 -0.1 0.1 CORN -0.2 -0.2 -0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -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 0.9 2.3 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 2.7 -0.0 -0.4 -0.3 -0.3 COTTON2 -0.0 0.0 0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 -0.0 -0.3 0.4 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.0 0.9 3.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.1 -0.2 0.1 CRUDE_W -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.1 0.1 -0.0 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-0.0 -0.0 -0.1 -0.0 -0.1 0.0 -0.3 -0.0 -0.3 -0.0 -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 -0.0 -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 -15.9 8.6 -1.5 5.7 0.2 0.0 -1.5 -3.1 -1.2 3.3 -11.0 -3.8 -13.7 -6.4 -3.6 -2.8 -3.5 -3.3 -9.8 -2.4 -12.2 -4.0 -17.4 5.6 11.7 -3.5 0.6 -1.1 -4.3 -1.6 -6.0 -0.7 -18.2 -17.2 -10.8 -5.8 BITCOIN -18.4 10.3 20.0 -1.3 6.7 0.7 2.2 1.3 -1.6 11.0 7.7 2.0 -12.6 4.1 9.9 -3.5 -1.4 -2.5 -1.5 5.1 2.9 5.0 -6.5 1.6 6.8 -18.1 2.5 9.1 2.2 1.3 -0.7 0.1 1.7 -13.5 10.9 20.0 10.3 BOBL 1.4 5.2 10.1 -1.8 10.3 -2.2 5.7 -4.4 -0.1 6.5 -14.4 1.8 -14.5 -8.1 -11.3 -4.4 4.4 -5.4 -0.6 -11.6 -14.8 11.3 -18.7 -4.6 12.7 10.8 -3.4 12.2 -4.7 6.2 -7.4 -0.8 3.8 4.2 -4.0 -6.0 -14.3 BTP -5.4 -2.0 8.7 -1.8 10.3 -2.2 5.7 -4.4 -0.1 9.6 -1.6 6.4 -10.1 -4.6 0.0 7.5 12.4 9.0 11.4 -1.4 -3.1 10.8 -12.0 1.3 -11.6 11.4 1.4 9.4 -0.0 6.9 -6.7 2.3 20.0 -9.7 2.4 13.0 7.0 BUND -0.8 0.4 8.7 -1.8 10.3 -2.2 5.7 -4.4 -0.1 6.3 -13.6 2.5 -14.1 -8.3 -10.3 9.6 14.5 10.9 12.5 -10.6 -13.9 10.6 -19.2 -3.9 7.9 12.3 -2.9 11.1 -4.4 6.3 -7.9 -0.3 20.0 -0.5 -0.8 -1.4 -7.9 BUXL 1.4 -4.6 1.8 -1.8 10.3 -2.2 5.7 -4.4 -0.1 6.0 -12.7 3.2 -13.6 -8.5 -11.8 2.7 0.5 2.9 2.7 -11.6 -14.7 8.8 -19.8 -4.4 4.1 -10.8 -3.5 8.2 -4.6 5.1 -7.2 -0.8 2.2 -3.0 -1.1 -3.8 -7.2 CAC -20.0 -2.3 14.5 0.8 -8.7 2.3 -7.5 0.9 -3.4 -7.1 15.2 -4.3 10.7 5.0 13.1 -4.1 0.5 -3.6 -2.2 13.6 18.6 -12.1 14.7 1.1 -16.9 8.9 4.4 -9.2 6.1 -5.8 4.7 -0.3 6.0 -2.8 14.6 14.5 13.1 CAD -20.0 -7.0 1.2 -1.5 5.7 0.2 0.0 -1.5 -3.1 0.2 -8.6 -10.7 -9.8 -12.4 -8.9 -2.8 -1.6 -2.4 -2.0 -11.8 -8.9 -12.9 -11.1 -17.0 16.8 10.4 -4.3 0.8 -3.0 -5.1 -3.8 -6.5 1.3 -20.0 -17.8 -8.9 -17.5 CANOLA -11.4 -6.9 -10.5 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -14.1 -7.1 -15.0 -10.2 -11.1 -10.8 20.0 12.8 14.3 11.6 -17.2 -14.3 -20.0 -7.1 -20.0 5.3 11.5 -5.2 -13.8 -3.5 -11.2 -1.3 -7.7 8.4 -20.0 -20.0 -20.0 -20.0 CHF -9.0 -12.6 9.4 -1.5 5.7 0.2 0.0 -1.5 -3.1 11.5 9.4 6.0 2.6 -3.3 1.7 -15.2 -13.8 -15.0 -14.6 0.1 3.3 16.8 1.4 2.7 -5.9 -11.5 0.0 15.0 1.3 8.4 -0.5 1.3 -19.9 20.0 14.6 5.4 2.1 COCOA -1.8 4.3 16.8 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -13.6 11.8 -8.6 1.1 0.5 9.0 -1.4 -2.7 -1.4 -1.6 9.5 11.4 -13.5 5.7 0.0 -19.4 -10.4 4.4 -8.8 5.2 -5.3 3.0 0.3 -15.2 -16.4 16.8 8.1 20.0 COFFEE 0.4 20.0 5.4 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -9.8 -5.5 -11.0 -7.9 5.9 7.9 2.7 3.0 2.1 2.8 5.7 -3.0 -7.7 -9.0 1.2 11.5 10.0 1.7 -3.8 -0.8 -3.6 -2.7 -0.6 -6.1 -12.1 -0.1 20.0 13.0 COPPER -13.9 -13.6 19.7 -1.3 6.7 0.7 2.2 1.3 -1.6 -6.5 8.9 -7.9 -2.1 -7.5 6.6 -0.6 -0.5 -0.8 -0.7 4.0 8.7 -4.9 3.2 -3.6 -5.3 11.1 -0.6 -1.4 2.5 -2.9 1.9 -3.6 2.9 -20.0 -7.0 -4.0 8.5 CORN -20.0 -14.2 -20.0 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -6.2 -0.6 -13.4 -0.1 -14.6 -14.8 20.0 19.9 20.0 20.0 -20.0 -12.5 -20.0 1.0 -20.0 5.8 11.0 -5.9 -2.7 -4.2 -5.7 -0.9 -6.6 20.0 -14.2 -20.0 -20.0 -20.0 COTTON2 -4.7 1.5 1.7 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -4.0 -8.9 -5.9 -10.1 -7.9 -2.7 -4.7 10.0 -2.7 2.2 -5.8 -8.6 -10.3 -9.1 -8.1 3.8 12.0 -3.3 -6.3 -2.1 -7.7 0.5 -5.8 -0.2 -10.1 -11.1 -7.6 5.4 CRUDE_W -6.3 -5.4 -4.0 -1.5 -9.7 -1.5 -4.9 2.3 -1.8 -13.5 0.6 -10.0 0.6 -7.0 -4.3 8.4 11.8 8.5 9.5 -3.9 -2.1 -15.3 2.4 -7.7 -9.3 10.8 -1.9 -16.9 0.0 -9.7 4.2 -4.8 -0.2 -8.3 -9.5 -3.3 5.0 DAX -20.0 -4.6 20.0 0.8 -8.7 2.3 -7.5 0.9 -3.4 -6.0 15.3 -2.7 5.5 4.8 13.5 -9.9 -5.6 -9.4 -7.9 12.0 16.8 -9.0 10.5 1.3 -17.4 9.9 4.5 -8.2 6.4 -4.4 3.9 0.2 -4.0 7.5 12.2 11.6 11.3 DOW -20.0 -13.7 0.8 0.8 -8.7 2.3 -7.5 0.9 -3.4 -11.1 7.3 -13.5 1.1 -12.9 -9.4 -7.8 -4.5 -7.4 -6.5 -10.1 -0.7 -20.0 1.4 -19.3 -1.9 10.8 -1.7 -9.4 1.4 -9.7 1.6 -6.2 -2.1 2.1 -6.2 -9.3 -10.8 EUR -12.6 -18.1 18.4 -1.5 5.7 0.2 0.0 -1.5 -3.1 12.7 9.0 4.8 -2.4 -9.2 1.9 -7.8 -8.7 -8.3 -8.5 -0.3 5.2 6.3 -1.6 -2.7 -6.0 -11.1 0.1 8.1 2.3 2.8 -1.6 -1.2 -10.4 11.4 9.9 0.6 8.2 EUROSTX -20.0 -3.8 15.7 0.8 -8.7 2.3 -7.5 0.9 -3.4 -7.0 15.3 -4.5 10.0 3.7 13.1 9.5 6.7 9.9 8.2 11.9 17.6 -10.9 13.2 0.3 -18.6 -8.5 4.3 -9.3 6.7 -5.7 5.0 -0.5 19.6 2.2 10.9 10.0 10.9 FEEDCOW 20.0 19.6 12.7 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -1.3 8.9 8.4 4.8 12.8 13.8 -20.0 -20.0 -20.0 -20.0 20.0 12.7 15.2 5.5 20.0 -14.4 12.2 5.8 -0.6 4.1 3.9 2.1 6.1 -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 0.9 -11.7 -7.9 -1.5 -9.7 -1.5 -4.9 2.3 -1.8 -11.5 -8.1 -4.1 7.8 -10.0 -5.8 20.0 20.0 20.0 20.0 -7.2 -4.8 -8.9 7.4 -6.6 -1.5 -15.4 -4.1 -8.4 -3.8 -4.6 1.4 -3.3 20.0 -4.4 -2.1 -4.3 -13.2 GASOILINE -5.1 -0.8 0.7 -1.5 -9.7 -1.5 -4.9 2.3 -1.8 -13.2 1.6 -6.9 3.2 -2.6 6.6 11.9 10.6 0.1 2.1 2.3 2.9 -9.2 6.9 -1.9 -13.5 -13.1 2.1 -9.2 4.1 -4.8 7.7 -1.1 -6.7 1.9 -2.7 5.8 17.5 GAS_US 20.0 -8.3 -20.0 -1.5 -9.7 -1.5 -4.9 2.3 -1.8 -8.0 -15.7 -1.1 -12.2 -5.4 -14.7 -18.6 -5.8 -9.1 -6.2 -20.0 -20.0 -3.7 -20.0 -8.4 5.6 -9.3 -4.3 -1.2 -6.2 -1.0 -2.1 -1.0 -20.0 2.6 10.5 -5.7 -18.8 GBP -4.9 -13.1 9.9 -1.5 5.7 0.2 0.0 -1.5 -3.1 11.8 9.5 5.3 -2.7 -6.4 -1.5 -2.3 -2.0 -2.4 -2.3 -2.0 0.5 7.6 -4.6 -1.8 12.3 9.4 -2.2 10.2 -2.3 3.7 -6.3 -1.6 0.7 2.2 12.3 -0.1 -4.5 GOLD_micro -7.5 -20.0 15.5 -1.3 6.7 0.7 2.2 1.3 -1.6 11.3 6.0 7.5 -2.5 -5.9 0.7 -12.5 -10.5 -12.5 -11.9 1.1 4.6 16.6 2.4 2.9 2.9 -13.8 0.6 12.9 1.7 7.5 1.2 1.7 -15.2 19.5 13.9 3.6 6.8 HEATOIL -4.3 -11.7 -7.4 -1.5 -9.7 -1.5 -4.9 2.3 -1.8 -11.6 -7.1 -9.0 7.0 -12.7 -5.3 20.0 20.0 20.0 20.0 -8.1 -4.6 -12.1 7.0 -9.4 -11.0 -13.6 -3.5 -8.7 -0.9 -6.5 6.4 -4.8 20.0 -4.6 -9.4 -6.3 -3.6 JPY -15.4 -16.8 18.0 -1.5 5.7 0.2 0.0 -1.5 -3.1 9.3 4.4 1.0 -7.4 -11.3 -2.6 -14.6 -12.1 -13.8 -13.3 -7.0 -1.5 3.7 -9.0 -8.7 3.6 9.9 -2.2 5.9 -0.8 1.9 -4.5 -2.6 -17.3 8.5 2.1 -11.8 3.5 LEANHOG -0.6 -9.1 -15.5 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 4.4 -11.0 -6.4 -7.3 -9.9 -13.6 -20.0 -20.0 -20.0 -20.0 -12.9 -12.7 -0.4 -6.0 -7.4 9.3 -11.1 -5.7 1.7 -5.3 -0.4 -2.9 -3.7 -20.0 11.0 -8.9 -20.0 -20.0 LIVECOW -8.2 7.5 12.3 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -13.8 13.8 -11.5 7.9 7.0 11.4 20.0 -20.0 5.8 -13.2 8.1 11.7 -14.4 8.3 -2.2 -20.0 12.0 3.6 -9.5 6.0 -6.9 5.4 -1.6 -20.0 -19.8 -5.0 12.8 20.0 MXP -10.9 -9.8 4.1 -1.5 5.7 0.2 0.0 -1.5 -3.1 -6.7 15.4 -2.5 15.6 7.3 13.4 20.0 20.0 20.0 20.0 13.6 16.2 -9.1 15.0 5.1 -20.0 9.7 5.3 -7.9 6.3 -3.5 5.6 2.0 20.0 -20.0 20.0 20.0 19.2 NASDAQ -16.6 15.6 9.4 0.8 -8.7 2.3 -7.5 0.9 -3.4 0.1 -2.7 -9.8 -10.5 1.8 6.9 -7.3 -4.9 -6.7 -6.0 4.7 2.2 -4.3 -7.3 -1.6 3.5 10.2 3.9 1.1 3.3 -0.7 0.2 1.1 -1.9 20.0 11.8 20.0 5.4 NIKKEI 0.3 14.0 -1.7 0.8 -8.7 2.3 -7.5 0.9 -3.4 -11.3 3.4 -1.4 3.8 8.6 8.0 16.2 15.2 19.6 18.1 8.2 4.7 -3.0 1.9 7.1 9.1 -9.4 3.5 -7.2 1.3 -0.3 -0.4 3.6 20.0 20.0 20.0 20.0 -12.7 NZD -14.2 -18.8 9.3 -1.5 5.7 0.2 0.0 -1.5 -3.1 8.8 7.7 -3.3 -1.8 -11.9 -5.0 0.1 0.4 0.1 0.1 -6.7 -0.2 -0.8 -2.9 -9.8 0.2 10.8 -2.6 5.7 -0.3 -0.2 -1.3 -3.8 4.7 1.1 -0.8 -7.2 -0.2 OAT -5.2 -5.6 4.2 -1.8 10.3 -2.2 5.7 -4.4 -0.1 6.2 -12.5 1.9 -13.6 -9.5 -10.6 10.3 12.3 10.8 11.9 -11.3 -13.0 7.8 -17.8 -6.0 4.2 12.7 -3.1 9.0 -4.2 4.8 -8.3 -1.1 20.0 -8.5 -4.3 -1.7 -6.4 OJ -11.2 -15.7 -7.5 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 8.1 14.0 -0.1 14.9 8.1 10.5 20.0 17.7 20.0 20.0 16.6 19.3 5.8 19.1 10.4 -20.0 -14.3 5.6 1.3 6.3 1.2 6.1 3.3 20.0 -12.5 20.0 20.0 20.0 PALLAD -2.9 -15.7 -20.0 -1.3 6.7 0.7 2.2 1.3 -1.6 11.4 -15.5 -1.9 -13.8 -12.4 -15.0 -3.0 -2.1 -2.9 -2.6 -20.0 -20.0 0.7 -19.9 -14.9 20.0 -11.1 -5.7 5.6 -5.1 0.4 -3.6 -3.9 0.0 -4.1 -14.5 -20.0 -20.0 PLAT 9.0 -20.0 -1.5 -1.3 6.7 0.7 2.2 1.3 -1.6 8.2 2.8 8.3 0.3 -5.0 -7.3 -2.1 -1.2 -2.0 -1.6 -4.9 -1.3 8.8 1.0 -0.4 -1.3 11.2 -3.1 5.8 -0.9 2.5 0.0 -1.7 1.7 -0.6 4.3 -15.6 -10.3 REDWHEAT -20.0 1.1 -9.9 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 3.2 -11.8 -10.4 -10.3 -10.6 -11.2 8.6 3.5 7.7 6.0 -13.4 -11.9 -12.7 -7.6 -16.9 2.9 12.9 -4.4 1.0 -2.8 -4.3 -0.1 -5.8 -3.5 1.6 -20.0 -12.2 -13.4 ROBUSTA 2.1 20.0 19.8 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -13.1 3.2 -1.0 -0.1 9.9 12.1 5.5 9.0 8.3 9.3 18.1 12.0 -5.9 4.7 10.2 -9.0 9.6 4.6 -5.7 2.7 -1.6 0.8 2.8 4.2 -3.7 20.0 20.0 20.0 RUSSELL -20.0 0.9 7.7 0.8 -8.7 2.3 -7.5 0.9 -3.4 -11.1 1.5 -14.0 -7.4 -9.3 -0.1 -6.1 -4.0 -5.9 -5.3 -4.2 1.4 -20.0 -2.2 -17.8 -3.9 10.0 0.6 -11.8 2.4 -10.4 1.2 -4.6 -0.6 -20.0 -5.4 3.8 -2.5 SILVER-mini -10.3 -20.0 4.0 -1.3 6.7 0.7 2.2 1.3 -1.6 12.3 3.0 2.2 -2.5 -10.6 -8.7 -6.1 -4.5 -5.7 -5.3 -10.9 -2.9 4.8 -0.9 -9.9 5.1 -11.3 -3.8 7.2 -1.5 1.3 -1.1 -3.5 -4.5 -1.6 -10.9 -20.0 -8.0 SOYBEAN -6.5 -2.6 -4.8 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -12.9 4.0 -11.3 3.4 -6.1 -5.5 20.0 20.0 20.0 20.0 -4.8 -1.6 -16.5 3.9 -9.5 -9.7 -11.7 -3.6 -11.6 -0.3 -9.3 4.0 -6.5 20.0 -3.7 -18.2 -18.9 0.2 SOYMEAL -4.6 6.3 20.0 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 2.7 14.8 5.5 14.2 11.1 14.7 20.0 18.6 20.0 20.0 17.4 20.0 4.9 20.0 10.3 -20.0 -12.0 5.6 -0.7 8.8 1.1 9.9 2.5 20.0 20.0 5.2 8.8 20.0 SOYOIL -9.4 -9.6 -13.4 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 -13.1 -6.7 -14.1 1.6 -13.0 -14.2 1.6 14.4 4.2 8.9 -15.5 -10.4 -20.0 -0.3 -20.0 -4.3 12.9 -5.5 -8.0 -3.3 -8.5 0.5 -7.0 9.1 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -2.4 9.1 0.8 -8.7 2.3 -7.5 0.9 -3.4 -10.9 7.7 -13.8 -0.0 -8.7 0.5 -6.5 -3.9 -5.8 -4.9 -2.8 5.2 -20.0 3.4 -18.6 -7.6 10.2 0.4 -12.5 2.7 -10.9 2.2 -5.1 -0.0 -20.0 -11.2 2.4 -0.8 SP500 -20.0 0.8 5.0 0.8 -8.7 2.3 -7.5 0.9 -3.4 -8.7 0.4 -12.7 -6.7 -9.2 0.1 -8.0 -5.3 -7.4 -6.5 -3.9 -0.1 -18.1 -3.4 -13.1 2.2 10.2 0.5 -6.7 1.9 -7.5 -0.2 -4.0 -2.6 5.5 -2.9 3.1 -3.7 SUGAR11 2.9 10.6 11.6 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 0.9 13.7 10.1 10.7 14.1 14.4 20.0 20.0 20.0 20.0 17.3 16.1 8.3 11.8 14.8 -20.0 10.7 6.3 -1.1 7.3 2.1 6.2 4.3 20.0 20.0 20.0 20.0 20.0 US10 -3.5 -10.2 11.9 -1.8 10.3 -2.2 5.7 -4.4 -0.1 10.1 -9.6 5.7 -12.3 -7.0 -6.7 -8.0 -3.5 -8.1 -7.1 -8.6 -10.0 16.5 -15.7 -1.5 -0.2 9.7 -1.3 13.4 -2.4 8.6 -5.3 1.6 -9.9 6.4 12.2 1.5 3.2 US10U -3.1 -8.3 11.3 -1.8 10.3 -2.2 5.7 -4.4 -0.1 9.8 -8.5 6.5 -12.0 -5.9 -5.0 1.0 3.0 0.8 1.1 -7.1 -9.1 15.4 -15.6 -0.5 -4.0 -14.1 -0.3 12.9 -1.4 9.0 -4.8 2.4 2.8 3.6 13.3 5.7 8.2 US20 -3.2 -7.1 13.7 -1.8 10.3 -2.2 5.7 -4.4 -0.1 10.9 -6.0 8.0 -10.6 -3.6 -2.2 -2.9 -1.6 -4.9 -3.9 -5.5 -7.8 18.2 -14.5 1.5 -1.8 -12.3 -0.4 13.2 -1.7 9.5 -4.7 2.8 -5.2 9.8 13.7 7.4 8.8 US30 -4.3 -4.9 12.6 -1.8 10.3 -2.2 5.7 -4.4 -0.1 9.4 -4.7 7.1 -11.6 -4.8 -3.2 -1.2 -0.6 -1.4 -1.3 -4.4 -7.4 11.6 -16.9 0.2 -7.2 10.0 0.6 9.2 -0.7 7.8 -5.2 2.7 -2.2 -2.1 10.0 9.6 13.8 US5 -1.0 -9.6 15.6 -1.8 10.3 -2.2 5.7 -4.4 -0.1 9.6 -10.4 4.9 -12.8 -7.4 -7.7 -11.1 -4.0 -10.0 -8.3 -8.9 -10.2 17.1 -15.2 -1.6 2.6 10.8 -1.9 13.7 -2.8 8.2 -5.6 1.1 -11.3 11.8 11.9 -3.8 0.3 VIX 20.0 18.8 -7.7 -3.7 7.1 -5.2 4.5 -4.6 -0.1 9.3 -13.7 7.0 -13.8 1.6 -9.9 -14.2 -20.0 -20.0 -20.0 -6.7 -14.2 15.7 -14.1 4.7 NaN -13.5 -4.4 8.3 -7.0 5.5 -6.6 0.3 NaN NaN NaN NaN NaN WHEAT -20.0 -0.2 -13.5 -1.6 -6.5 -2.0 -7.5 -1.4 -4.4 1.4 -13.9 -11.5 -14.0 -12.6 -13.6 -12.0 -7.3 -10.6 -9.0 -19.4 -18.8 -17.2 -14.4 -20.0 8.7 11.9 -4.8 -0.3 -3.5 -5.1 -1.3 -6.2 -20.0 -3.5 -20.0 -16.9 -16.5 End of report for caleb_strategy_v1