******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230315_204914 produced at 2023-03-15 21:36:23.722873 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.28 -0.21 0.0 47188295.45 -47188295.45 -0.28 -0.19 -4.49 999999999 -6 -4 caleb_strategy_v1 VIX False False 0.01 -0.29 -0.16 0.0 10061656.62 -10061656.62 -0.29 -0.24 -16.06 999999999 -29 -24 caleb_strategy_v1 CHF False False 0.05 -0.16 -0.12 0.0 52724149.00 -52724149.00 -0.16 -0.11 -2.36 999999999 -3 -2 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.11 0.0 51267345.43 -51267345.43 -0.05 -0.05 -2.21 999999999 -1 -1 caleb_strategy_v1 EUR False False 0.05 -0.10 -0.11 0.0 51694674.48 -51694674.48 -0.10 -0.16 -2.13 999999999 -2 -3 caleb_strategy_v1 LEANHOG False False 0.02 -0.08 -0.11 0.0 15228453.26 -15228453.26 -0.08 -0.06 -7.11 999999999 -5 -4 caleb_strategy_v1 JPY False False 0.04 -0.26 -0.06 0.0 36971246.46 -36971246.46 -0.26 -0.22 -1.74 999999999 -7 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.12 -0.05 0.0 41562605.69 -41562605.69 -0.12 -0.12 -1.13 999999999 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 7463884.50 -7463884.50 -0.01 -0.01 -5.44 999999999 -1 -1 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.04 0.0 10162661.66 -10162661.66 -0.06 -0.06 -3.54 999999999 -6 -6 caleb_strategy_v1 LIVECOW False False 0.02 -0.12 -0.03 0.0 24311137.88 -24311137.88 -0.12 -0.12 -1.08 999999999 -5 -5 caleb_strategy_v1 US5 False False 0.04 -0.34 -0.03 0.0 42657029.37 -42657029.37 -0.34 -0.26 -0.71 999999999 -8 -6 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 61105573.29 -61105573.29 0.00 0.00 -0.55 999999999 0 0 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 39322041.81 -39322041.81 -0.04 -0.04 -0.56 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.04 0.00 -0.02 0.0 44748149.48 -44748149.48 0.00 0.00 -0.49 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.02 0.0 21536412.69 -21536412.69 -0.02 -0.02 -0.77 999999999 -1 -1 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9983960.43 -9983960.43 -0.01 -0.01 -0.73 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.11 -0.01 0.0 3421157.49 -3421157.49 -0.11 -0.11 -2.80 999999999 -32 -32 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.01 0.0 14305811.00 -14305811.00 -0.06 -0.06 -0.36 999999999 -4 -4 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 56446282.10 -56446282.10 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.01 0.0 14063981.61 -14063981.61 0.00 0.00 -0.37 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.07 -0.01 0.0 6234148.05 -6234148.05 -0.07 -0.06 -2.13 999999999 -12 -9 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 13183489.54 -13183489.54 0.00 0.00 0.21 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 948864.72 -948864.72 -0.01 -0.01 -4.03 999999999 -8 -8 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 25814559.16 -25814559.16 0.00 0.00 0.04 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.56 0.00 0.0 93052842.07 -93052842.07 0.56 0.37 0.00 999999999 6 4 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 15699486.41 -15699486.41 0.03 0.03 0.07 999999999 2 2 caleb_strategy_v1 SP500 False False 0.08 -0.23 -0.00 0.0 76200538.44 -76200538.44 -0.23 -0.08 -0.01 999999999 -3 -1 caleb_strategy_v1 DAX False False 0.01 0.08 -0.00 0.0 6273205.25 -6273205.25 0.08 0.01 -0.63 999999999 12 2 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 37789484.46 -37789484.46 0.00 0.00 0.24 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.04 0.01 0.0 18753917.88 -18753917.88 0.04 0.04 0.33 999999999 2 2 caleb_strategy_v1 HEATOIL False False 0.04 0.04 0.01 0.0 40333646.20 -40333646.20 0.04 0.00 0.20 999999999 1 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.01 0.0 16761076.92 -16761076.92 0.00 0.00 0.59 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 28485365.69 -28485365.69 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8029901.25 -8029901.25 0.02 0.02 1.81 999999999 2 2 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 25224553.72 -25224553.72 0.00 0.00 0.33 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 15341112.73 -15341112.73 0.00 0.00 0.51 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.01 0.0 29099381.49 -29099381.49 0.03 0.03 0.49 999999999 1 1 caleb_strategy_v1 CRUDE_W False False 0.03 0.13 0.02 0.0 26117574.30 -26117574.30 0.13 0.13 0.83 999999999 5 5 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 24050855.64 -24050855.64 0.00 0.00 0.68 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 10051944.59 -10051944.59 0.01 0.01 2.31 999999999 1 1 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 25717438.92 -25717438.92 0.00 0.00 0.73 999999999 0 0 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4245448.33 -4245448.33 0.00 0.00 3.94 999999999 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 55479935.74 -55479935.74 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 28277528.39 -28277528.39 0.00 0.00 0.70 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.05 0.02 0.0 10809482.45 -10809482.45 0.05 0.05 2.12 999999999 5 5 caleb_strategy_v1 SUGAR11 False False 0.01 0.02 0.02 0.0 8928224.60 -8928224.60 0.02 0.03 2.59 999999999 2 3 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.03 0.0 96267521.93 -96267521.93 0.00 0.00 0.34 999999999 0 0 caleb_strategy_v1 GBP False False 0.03 0.12 0.03 0.0 29344879.80 -29344879.80 0.12 0.12 0.94 999999999 4 4 caleb_strategy_v1 BTP False False 0.05 0.10 0.04 0.0 48010330.31 -48010330.31 0.10 0.10 0.87 999999999 2 2 caleb_strategy_v1 OAT False False 0.05 0.11 0.05 0.0 54578804.10 -54578804.10 0.11 0.11 1.00 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.11 0.06 0.0 18227526.20 -18227526.20 0.11 0.09 3.39 999999999 6 5 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.00 0.00 0.00 0.00 4.79 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.00 0.16 0.0 49361559.21 -49361559.21 0.00 0.05 3.33 999999999 0 1 caleb_strategy_v1 BUND False False 0.06 0.11 0.21 0.0 57076909.37 -57076909.37 0.11 0.17 3.73 999999999 2 3 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.30 0.0 0.00 0.00 0.00 0.00 38.69 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 13.4 Shocked risk 33.1 Sum abs risk 43.7 Leverage 2.54 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2574128.79, 'annual_cash_vol_target': 643532.1975, 'daily_cash_vol_target': 40220.76234375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0053 0.6645 0.7922 12.6750 BITCOIN 1162.2118 24425.0000 4.7583 76.1326 BOBL 0.5710 118.3600 0.4824 7.7192 BTP 0.8834 115.1200 0.7674 12.2782 BUND 1.0536 136.8600 0.7698 12.3171 BUXL 2.4819 146.5200 1.6939 27.1027 CAC 78.3173 6977.5000 1.1224 17.9588 CAD 0.0033 0.7279 0.4586 7.3369 CANOLA 7.2578 747.7000 0.9707 15.5310 CHF 0.0077 1.0858 0.7110 11.3753 COCOA 33.4694 2616.0000 1.2794 20.4706 COFFEE 3.3069 173.1500 1.9098 30.5572 COPPER 0.0574 3.8910 1.4749 23.5977 CORN 4.4369 556.5000 0.7973 12.7566 COTTON2 1.5964 78.9800 2.0212 32.3394 CRUDE_W 1.3938 67.2300 2.0733 33.1721 DAX 162.1622 15042.0000 1.0781 17.2490 DOW 263.3916 32095.0000 0.8207 13.1306 EUR 0.0065 1.0646 0.6109 9.7736 EUROSTX 47.9892 4019.0000 1.1941 19.1049 FEEDCOW 1.2431 213.9750 0.5810 9.2955 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 17.5773 733.2500 2.3972 38.3548 GASOILINE 0.0515 2.4100 2.1356 34.1699 GAS_US 0.1454 2.5700 5.6563 90.5005 GBP 0.0088 1.2086 0.7265 11.6232 GOLD_micro 17.6741 1921.3000 0.9199 14.7184 HEATOIL 0.0541 2.4720 2.1870 34.9924 JPY 0.0001 0.0076 0.7093 11.3483 LEANHOG 1.3220 98.0000 1.3490 21.5840 LIVECOW 0.8353 156.4500 0.5339 8.5427 MXP 0.0006 0.0518 1.0641 17.0258 NASDAQ 138.2037 12390.2500 1.1154 17.8468 NIKKEI 279.0125 26495.0000 1.0531 16.8492 NZD 0.0046 0.6191 0.7390 11.8242 OAT 0.9767 130.8700 0.7463 11.9406 OJ 5.2984 241.3500 2.1953 35.1249 PALLAD 37.9004 1453.0000 2.6084 41.7348 PLAT 19.9719 965.5000 2.0686 33.0968 REDWHEAT 12.1969 808.2500 1.5091 24.1448 ROBUSTA 25.9706 2067.0000 1.2564 20.1030 RUSSELL 23.7879 1761.3000 1.3506 21.6094 SILVER-mini 0.4079 22.1750 1.8394 29.4301 SOYBEAN 10.1940 1324.0000 0.7699 12.3190 SOYMEAL 5.1036 469.2000 1.0877 17.4037 SOYOIL 0.7871 56.5600 1.3916 22.2649 SP400 29.9253 2395.3000 1.2493 19.9893 SP500 36.5230 3923.0000 0.9310 14.8959 SUGAR11 0.3009 20.5200 1.4662 23.4587 US10 0.6442 115.1875 0.5592 8.9477 US10U 0.8385 121.4688 0.6903 11.0448 US20 1.1703 131.9688 0.8868 14.1886 US30 1.6622 142.8125 1.1639 18.6222 US5 0.4897 109.8047 0.4460 7.1362 VIX 0.7982 25.9000 3.0818 49.3083 WHEAT 9.9529 736.5000 1.3514 21.6220 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 664.50 0.79 526.41 1.00 526.41 40220.76 76.41 0.29 2.19 BITCOIN 24.42 4.76 116.22 1.00 116.22 40220.76 346.07 -4.94 -171.10 BOBL 1183.60 0.48 571.03 1.07 610.95 40220.76 65.83 7.02 46.19 BTP 1151.20 0.77 883.42 1.07 945.18 40220.76 42.55 10.11 43.01 BUND 1368.60 0.77 1053.57 1.07 1127.23 40220.76 35.68 14.47 51.63 BUXL 1465.20 1.69 2481.93 1.07 2655.44 40220.76 15.15 -4.32 -6.54 CAC 697.75 1.12 783.17 1.07 837.92 40220.76 48.00 3.63 17.42 CAD 727.90 0.46 333.78 1.00 333.78 40220.76 120.50 3.24 39.10 CANOLA 149.54 0.97 145.16 0.73 105.80 40220.76 380.15 11.29 429.23 CHF 1357.19 0.71 964.90 1.00 964.90 40220.76 41.68 -15.12 -63.04 COCOA 261.60 1.28 334.69 1.00 334.69 40220.76 120.17 -13.51 -162.40 COFFEE 649.31 1.91 1240.07 1.00 1240.07 40220.76 32.43 7.77 25.20 COPPER 972.75 1.47 1434.67 1.00 1434.67 40220.76 28.03 3.10 8.69 CORN 278.25 0.80 221.85 1.00 221.85 40220.76 181.30 12.98 235.33 COTTON2 394.90 2.02 798.18 1.00 798.18 40220.76 50.39 6.72 33.84 CRUDE_W 672.30 2.07 1393.85 1.00 1393.85 40220.76 28.86 2.17 6.27 DAX 150.42 1.08 162.16 1.07 173.50 40220.76 231.82 -0.50 -11.58 DOW 160.48 0.82 131.70 1.00 131.70 40220.76 305.41 -2.45 -74.87 EUR 1330.69 0.61 812.85 1.00 812.85 40220.76 49.48 -11.48 -56.80 EUROSTX 401.90 1.19 479.89 1.07 513.44 40220.76 78.34 2.69 21.09 FEEDCOW 1069.88 0.58 621.56 1.00 621.56 40220.76 64.71 -6.48 -41.93 FTSE100 707.00 0.82 576.59 1.22 666.67 40220.76 60.33 7.70 46.44 GASOIL 733.25 2.40 1757.73 1.00 1757.73 40220.76 22.88 2.66 6.09 GASOILINE 1012.20 2.14 2161.67 1.00 2161.67 40220.76 18.61 -7.36 -13.70 GAS_US 257.00 5.66 1453.66 1.00 1453.66 40220.76 27.67 -17.52 -48.47 GBP 755.38 0.73 548.74 1.00 548.74 40220.76 73.30 7.17 52.52 GOLD_micro 192.13 0.92 176.74 1.00 176.74 40220.76 227.57 -10.68 -243.07 HEATOIL 1038.24 2.19 2270.66 1.00 2270.66 40220.76 17.71 1.62 2.87 JPY 951.69 0.71 675.00 1.00 675.00 40220.76 59.59 -4.50 -26.81 LEANHOG 392.00 1.35 528.81 1.00 528.81 40220.76 76.06 -20.00 -152.12 LIVECOW 625.80 0.53 334.13 1.00 334.13 40220.76 120.38 -3.33 -40.12 MXP 258.75 1.06 275.34 1.00 275.34 40220.76 146.08 12.93 188.91 NASDAQ 2478.05 1.12 2764.07 1.00 2764.07 40220.76 14.55 4.32 6.28 NIKKEI 26495.00 1.05 27901.25 0.01 209.02 40220.76 192.43 10.59 203.70 NZD 619.10 0.74 457.52 1.00 457.52 40220.76 87.91 4.86 42.69 OAT 1308.70 0.75 976.67 1.07 1044.95 40220.76 38.49 12.87 49.53 OJ 362.02 2.20 794.76 1.00 794.76 40220.76 50.61 -4.19 -21.19 PALLAD 1453.00 2.61 3790.04 1.00 3790.04 40220.76 10.61 -5.44 -5.77 PLAT 482.75 2.07 998.59 1.00 998.59 40220.76 40.28 3.38 13.60 REDWHEAT 404.12 1.51 609.85 1.00 609.85 40220.76 65.95 1.99 13.13 ROBUSTA 206.70 1.26 259.71 1.00 259.71 40220.76 154.87 9.01 139.57 RUSSELL 88.06 1.35 118.94 1.00 118.94 40220.76 338.16 -1.60 -54.07 SILVER-mini 554.38 1.84 1019.71 1.00 1019.71 40220.76 39.44 -8.69 -34.29 SOYBEAN 662.00 0.77 509.70 1.00 509.70 40220.76 78.91 1.57 12.42 SOYMEAL 469.20 1.09 510.36 1.00 510.36 40220.76 78.81 7.30 57.53 SOYOIL 339.36 1.39 472.24 1.00 472.24 40220.76 85.17 2.65 22.56 SP400 2395.30 1.25 2992.53 1.00 2992.53 40220.76 13.44 0.03 0.04 SP500 1961.50 0.93 1826.15 1.00 1826.15 40220.76 22.02 -0.13 -0.28 SUGAR11 229.82 1.47 336.96 1.00 336.96 40220.76 119.36 16.01 191.14 US10 1151.88 0.56 644.17 1.00 644.17 40220.76 62.44 -2.03 -12.65 US10U 1214.69 0.69 838.50 1.00 838.50 40220.76 47.97 -6.43 -30.84 US20 1319.69 0.89 1170.29 1.00 1170.29 40220.76 34.37 -8.72 -29.98 US30 1428.12 1.16 1662.18 1.00 1662.18 40220.76 24.20 1.44 3.48 US5 1098.05 0.45 489.74 1.00 489.74 40220.76 82.13 -2.25 -18.47 VIX 259.00 3.08 798.18 1.00 798.18 40220.76 50.39 -16.92 -85.24 WHEAT 368.25 1.35 497.64 1.00 497.64 40220.76 80.82 -8.44 -68.19 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 2.193 0.006 2.5 0.035 BITCOIN -171.102 0.009 2.5 -4.031 BOBL 46.189 0.029 2.5 3.333 BTP 43.013 0.008 2.5 0.869 BUND 51.629 0.029 2.5 3.725 BUXL -6.540 0.034 2.5 -0.549 CAC 17.417 0.011 2.5 0.490 CAD 39.101 0.007 2.5 0.698 CANOLA 429.227 0.004 2.5 3.940 CHF -63.044 0.015 2.5 -2.359 COCOA -162.397 0.009 2.5 -3.538 COFFEE 25.203 0.005 2.5 0.327 COPPER 8.686 0.011 2.5 0.237 CORN 235.333 0.004 2.5 2.123 COTTON2 33.845 0.006 2.5 0.510 CRUDE_W 6.272 0.053 2.5 0.829 DAX -11.583 0.022 2.5 -0.629 DOW -74.867 0.011 2.5 -2.134 EUR -56.802 0.015 2.5 -2.126 EUROSTX 21.087 0.011 2.5 0.593 FEEDCOW -41.931 0.011 2.5 -1.127 FTSE100 46.441 0.041 2.5 4.788 GASOIL 6.085 0.029 2.5 0.434 GASOILINE -13.696 0.016 2.5 -0.562 GAS_US -48.470 0.006 2.5 -0.730 GBP 52.518 0.007 2.5 0.938 GOLD_micro -243.069 0.009 2.5 -5.439 HEATOIL 2.870 0.029 2.5 0.205 JPY -26.813 0.026 2.5 -1.736 LEANHOG -152.119 0.019 2.5 -7.107 LIVECOW -40.122 0.011 2.5 -1.078 MXP 188.907 0.005 2.5 2.313 NASDAQ 6.285 0.022 2.5 0.341 NIKKEI 203.701 0.076 2.5 38.690 NZD 42.688 0.006 2.5 0.682 OAT 49.528 0.008 2.5 1.000 OJ -21.188 0.007 2.5 -0.370 PALLAD -5.769 0.010 2.5 -0.139 PLAT 13.599 0.010 2.5 0.327 REDWHEAT 13.130 0.002 2.5 0.070 ROBUSTA 139.565 0.005 2.5 1.809 RUSSELL -54.067 0.021 2.5 -2.800 SILVER-mini -34.289 0.009 2.5 -0.767 SOYBEAN 12.421 0.024 2.5 0.732 SOYMEAL 57.531 0.024 2.5 3.392 SOYOIL 22.564 0.004 2.5 0.207 SP400 0.036 0.021 2.5 0.002 SP500 -0.277 0.011 2.5 -0.008 SUGAR11 191.138 0.005 2.5 2.594 US10 -12.653 0.015 2.5 -0.485 US10U -30.838 0.058 2.5 -4.493 US20 -29.981 0.029 2.5 -2.210 US30 3.480 0.034 2.5 0.292 US5 -18.472 0.015 2.5 -0.709 VIX -85.242 0.075 2.5 -16.064 WHEAT -68.189 0.002 2.5 -0.364 ==================== Position diags ==================== AUD 1.22 BITCOIN 8.15 BOBL 4.75 BTP 0.86 BUND 2.57 BUXL 1.27 CAC 1.35 CAD 2.15 CANOLA 3.49 CHF 1.56 COCOA 2.62 COFFEE 0.42 COPPER 0.77 CORN 1.64 COTTON2 0.76 CRUDE_W 3.81 DAX 12.59 DOW 8.70 EUR 1.85 EUROSTX 2.20 FEEDCOW 1.74 FTSE100 6.22 GASOIL 1.63 GASOILINE 0.76 GAS_US 0.42 GBP 1.31 GOLD_micro 5.09 HEATOIL 1.26 JPY 3.86 LEANHOG 3.55 LIVECOW 3.23 MXP 1.79 NASDAQ 0.79 NIKKEI 36.55 NZD 1.40 OAT 0.78 OJ 0.88 PALLAD 0.26 PLAT 0.97 REDWHEAT 0.35 ROBUSTA 2.01 RUSSELL 17.52 SILVER-mini 0.88 SOYBEAN 4.65 SOYMEAL 4.65 SOYOIL 0.78 SP400 0.70 SP500 0.63 SUGAR11 1.62 US10 2.40 US10U 6.99 US20 2.53 US30 2.03 US5 3.15 VIX 9.50 WHEAT 0.43 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.0 -0.1 0.2 0.0 0 BITCOIN -4.0 -4.8 -3.2 -8.0 -8 BOBL 3.3 2.9 3.8 0.0 0 BTP 0.9 0.8 1.0 2.0 2 BUND 3.7 3.5 4.0 2.0 2 BUXL -0.5 -0.7 -0.4 0.0 0 CAC 0.5 0.4 0.6 1.0 1 CAD 0.7 0.5 0.9 0.0 0 CANOLA 3.9 3.6 4.3 NaN 0 CHF -2.4 -2.5 -2.2 -3.0 -3 COCOA -3.5 -3.8 -3.3 -6.0 -6 COFFEE 0.3 0.3 0.4 NaN 0 COPPER 0.2 0.2 0.3 0.0 0 CORN 2.1 2.0 2.3 5.0 5 COTTON2 0.5 0.4 0.6 NaN 0 CRUDE_W 0.8 0.4 1.2 5.0 5 DAX -0.6 -1.9 0.6 12.0 12 DOW -2.1 -3.0 -1.3 -12.0 -12 EUR -2.1 -2.3 -1.9 -2.0 -2 EUROSTX 0.6 0.4 0.8 0.0 0 FEEDCOW -1.1 -1.3 -1.0 -3.0 -3 FTSE100 4.8 4.2 5.4 0.0 0 GASOIL 0.4 0.3 0.6 0.0 0 GASOILINE -0.6 -0.6 -0.5 -1.0 -1 GAS_US -0.7 -0.8 -0.7 -1.0 -1 GBP 0.9 0.8 1.1 4.0 4 GOLD_micro -5.4 -5.9 -4.9 -1.0 -1 HEATOIL 0.2 0.1 0.3 1.0 1 JPY -1.7 -2.1 -1.3 -7.0 -7 LEANHOG -7.1 -7.5 -6.8 -5.0 -5 LIVECOW -1.1 -1.4 -0.8 -5.0 -5 MXP 2.3 2.1 2.5 1.0 1 NASDAQ 0.3 0.3 0.4 0.0 0 NIKKEI 38.7 35.0 42.3 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 -0.5 -0.3 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT 0.3 0.2 0.4 2.0 2 REDWHEAT 0.1 0.0 0.1 2.0 2 ROBUSTA 1.8 1.6 2.0 2.0 2 RUSSELL -2.8 -4.6 -1.0 -32.0 -32 SILVER-mini -0.8 -0.9 -0.7 -1.0 -1 SOYBEAN 0.7 0.3 1.2 0.0 0 SOYMEAL 3.4 2.9 3.9 6.0 6 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 0.0 -0.1 0.1 6.0 6 SP500 -0.0 -0.1 0.1 -3.0 -3 SUGAR11 2.6 2.4 2.8 2.0 2 US10 -0.5 -0.7 -0.2 NaN 0 US10U -4.5 -5.2 -3.8 -6.0 -6 US20 -2.2 -2.5 -2.0 -1.0 -1 US30 0.3 0.1 0.5 0.0 0 US5 -0.7 -1.0 -0.4 -8.0 -8 VIX -16.1 -17.0 -15.1 -29.0 -29 WHEAT -0.4 -0.4 -0.3 -4.0 -4 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Forecast weights ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.3 0.2 11.5 18.8 1.2 0.4 1.2 0.2 1.3 0.2 13.2 1.5 2.1 1.4 1.4 BITCOIN 1.0 1.6 1.7 1.4 0.0 2.4 0.9 2.3 1.2 0.0 2.4 0.2 2.6 0.4 2.3 5.2 2.0 1.1 1.0 1.2 1.2 0.1 1.3 0.2 21.9 26.6 1.2 0.0 1.2 0.1 1.3 0.2 8.1 0.5 2.2 1.5 1.7 BOBL 0.9 1.5 1.7 1.5 0.0 2.4 1.5 2.4 1.3 0.0 2.3 0.2 2.5 0.4 2.2 8.2 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.0 22.4 1.1 0.0 1.2 0.1 1.2 0.2 14.1 0.0 1.2 1.2 1.4 BTP 1.2 1.5 1.7 1.5 0.8 2.5 2.2 2.4 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.4 19.2 1.2 0.2 1.2 0.2 1.3 0.2 13.4 1.4 2.1 1.4 1.4 BUND 1.2 1.6 1.7 1.6 0.6 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 12.6 20.2 1.2 0.1 1.2 0.2 1.3 0.2 13.8 0.3 1.7 1.3 1.4 BUXL 1.2 1.5 1.7 1.6 0.8 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.2 1.2 1.2 0.2 1.3 0.2 12.4 19.5 1.2 0.3 1.2 0.2 1.3 0.2 13.5 1.1 2.0 1.3 1.4 CAC 1.2 1.6 1.7 1.6 1.1 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.2 4.2 2.2 2.2 1.2 1.3 0.2 1.3 0.2 11.2 19.3 1.2 0.4 1.2 0.2 1.3 0.2 13.3 1.1 2.0 1.3 1.4 CAD 1.2 1.6 1.7 1.6 0.4 2.6 2.1 2.5 1.4 0.1 2.4 0.3 2.5 0.4 2.4 7.4 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.0 20.7 1.2 0.1 1.2 0.2 1.3 0.2 12.3 1.0 2.1 1.4 1.5 CANOLA 0.1 1.1 1.4 1.1 0.0 2.0 0.0 2.0 0.7 0.0 1.9 0.0 2.1 0.2 1.7 7.2 3.7 1.9 1.9 0.9 1.0 0.0 1.0 0.1 22.7 25.3 0.8 0.0 0.9 0.0 1.0 0.1 13.5 0.0 1.0 1.2 1.4 CHF 1.2 1.6 1.7 1.6 0.5 2.6 2.2 2.5 1.5 0.2 2.5 0.3 2.6 0.4 2.4 6.8 4.0 1.9 2.0 1.2 1.2 0.2 1.3 0.2 13.8 20.7 1.2 0.2 1.2 0.2 1.3 0.2 12.8 1.0 2.1 1.4 1.5 COCOA 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 7.7 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 15.3 21.2 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 COFFEE 0.9 1.4 1.6 1.4 0.0 2.4 1.4 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.7 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.0 21.7 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.4 1.9 1.3 1.5 COPPER 1.2 1.6 1.7 1.6 0.8 2.6 2.2 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.1 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.4 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.0 1.4 2.1 1.4 1.5 CORN 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.2 21.1 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.3 1.8 1.3 1.5 COTTON2 0.0 1.0 4.5 1.3 0.0 2.2 0.0 2.2 0.1 0.0 1.1 0.0 1.1 0.2 0.3 6.9 3.5 1.8 1.8 0.2 0.6 0.0 0.6 0.0 24.6 24.6 0.2 0.0 0.6 0.0 0.6 0.0 13.3 0.0 1.3 2.8 2.8 CRUDE_W 1.2 1.6 1.7 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.4 8.3 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.0 19.3 1.2 0.3 1.2 0.2 1.3 0.2 13.6 0.6 1.9 1.3 1.4 DAX 1.3 1.7 1.8 1.6 0.8 2.7 2.4 2.6 1.5 0.2 2.5 0.4 2.7 0.4 2.5 3.7 3.6 1.6 1.7 1.3 1.3 0.2 1.3 0.2 14.9 22.0 1.3 0.3 1.3 0.2 1.3 0.2 13.0 0.6 2.0 1.4 1.5 DOW 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.6 4.2 2.1 2.1 1.3 1.3 0.2 1.3 0.2 11.6 19.1 1.3 0.5 1.3 0.2 1.3 0.2 12.1 1.4 2.1 1.4 1.5 EUR 1.2 1.6 1.8 1.6 0.7 2.6 2.3 2.5 1.5 0.2 2.5 0.4 2.6 0.4 2.5 6.7 4.1 1.9 2.0 1.2 1.3 0.2 1.3 0.2 13.7 20.8 1.2 0.3 1.3 0.2 1.3 0.2 11.7 0.8 2.1 1.4 1.5 EUROSTX 1.1 1.5 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 13.2 20.8 1.2 0.2 1.2 0.2 1.3 0.2 13.5 0.0 1.5 1.3 1.4 FEEDCOW 0.8 1.4 1.6 1.4 0.0 2.3 1.0 2.3 1.2 0.0 2.2 0.2 2.3 0.3 2.1 7.9 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.9 22.4 1.0 0.0 1.1 0.1 1.2 0.2 13.7 0.1 1.8 1.3 1.5 FTSE100 1.3 1.6 1.8 1.6 1.2 2.6 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 8.0 4.2 2.1 2.2 1.2 1.3 0.2 1.3 0.2 11.1 18.6 1.2 0.5 1.3 0.2 1.3 0.2 13.1 1.5 2.1 1.4 1.4 GASOIL 1.2 1.6 1.7 1.6 1.0 2.6 2.4 2.5 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.3 4.3 2.2 2.2 1.2 1.3 0.2 1.3 0.2 10.8 19.2 1.2 0.4 1.2 0.2 1.3 0.2 13.4 1.2 2.0 1.3 1.4 GASOILINE 1.2 1.6 1.7 1.6 0.7 2.6 2.2 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.4 4.3 2.2 2.2 1.2 1.2 0.2 1.3 0.2 12.3 20.3 1.2 0.2 1.2 0.2 1.3 0.2 13.9 0.0 1.6 1.3 1.4 GAS_US 1.2 1.5 1.7 1.6 0.8 2.5 2.3 2.4 1.4 0.3 2.4 0.3 2.5 0.4 2.4 8.2 4.2 2.2 2.2 1.2 1.2 0.2 1.2 0.2 12.1 19.2 1.2 0.3 1.2 0.2 1.2 0.2 13.3 1.5 2.1 1.4 1.4 GBP 1.1 1.5 1.7 1.6 0.3 2.6 2.0 2.5 1.4 0.1 2.4 0.3 2.6 0.4 2.4 7.6 4.1 2.0 2.1 1.2 1.2 0.1 1.3 0.2 14.3 21.1 1.2 0.0 1.2 0.1 1.3 0.2 12.1 0.6 2.0 1.4 1.5 GOLD_micro 1.2 1.6 1.8 1.6 0.9 2.6 2.3 2.5 1.5 0.3 2.5 0.4 2.6 0.4 2.5 7.9 4.2 2.1 2.1 1.2 1.3 0.2 1.3 0.2 12.5 19.9 1.2 0.3 1.3 0.2 1.3 0.2 12.5 0.7 1.9 1.3 1.5 HEATOIL 1.3 1.6 1.8 1.6 1.0 2.7 2.4 2.6 1.5 0.4 2.5 0.4 2.6 0.4 2.5 8.6 4.4 2.3 2.3 1.3 1.3 0.2 1.3 0.2 9.6 20.2 1.2 0.4 1.3 0.2 1.3 0.2 13.9 0.2 1.7 1.3 1.4 JPY 1.2 1.6 1.7 1.6 0.6 2.6 2.2 2.5 1.4 0.2 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 13.7 20.3 1.2 0.2 1.2 0.2 1.3 0.2 12.6 1.2 2.1 1.4 1.5 LEANHOG 1.0 1.4 1.6 1.5 0.0 2.4 1.6 2.3 1.3 0.0 2.3 0.3 2.4 0.4 2.2 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 15.1 21.1 1.1 0.0 1.1 0.1 1.2 0.2 13.7 0.7 2.0 1.3 1.5 LIVECOW 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 8.0 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.3 21.8 1.1 0.0 1.1 0.1 1.2 0.2 13.8 0.2 1.9 1.3 1.5 MXP 0.9 1.4 1.6 1.4 0.0 2.4 1.2 2.3 1.2 0.0 2.3 0.2 2.5 0.4 2.2 7.5 4.0 2.0 2.0 1.1 1.2 0.1 1.2 0.2 17.9 23.2 1.1 0.0 1.2 0.1 1.2 0.2 11.1 0.0 1.9 1.4 1.5 NASDAQ 1.3 1.7 1.8 1.6 1.3 2.7 2.6 2.6 1.6 0.5 2.5 0.4 2.6 0.4 2.5 6.8 4.0 1.9 2.0 1.3 1.3 0.2 1.3 0.2 11.4 18.7 1.3 0.5 1.3 0.2 1.3 0.2 13.0 1.7 2.3 1.4 1.5 NIKKEI 1.2 1.6 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.3 2.5 0.3 2.6 0.4 2.4 5.9 3.6 1.8 1.8 1.2 1.3 0.2 1.3 0.2 14.0 20.6 1.2 0.3 1.2 0.2 1.3 0.2 13.1 1.2 2.1 1.4 1.5 NZD 1.1 1.5 1.7 1.5 0.1 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.2 4.1 2.0 2.0 1.2 1.2 0.1 1.3 0.2 15.0 21.7 1.2 0.0 1.2 0.1 1.2 0.2 13.1 0.1 1.8 1.4 1.5 OAT 1.1 1.6 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.2 0.2 13.3 20.1 1.2 0.1 1.2 0.1 1.3 0.2 13.7 0.5 1.8 1.3 1.4 OJ 0.0 1.8 2.5 2.2 0.0 1.3 0.0 1.3 0.4 0.0 0.7 0.0 0.7 0.3 0.6 7.3 3.7 1.9 1.9 0.3 0.3 0.0 0.3 0.1 25.7 25.7 0.3 0.0 0.3 0.0 0.3 0.1 14.1 0.0 2.6 1.4 1.5 PALLAD 1.0 1.5 1.7 1.4 0.0 2.4 1.1 2.4 1.2 0.0 2.3 0.2 2.5 0.4 2.2 5.8 3.4 1.6 1.7 1.1 1.2 0.1 1.2 0.2 18.4 23.7 1.1 0.0 1.2 0.1 1.2 0.2 12.5 0.0 1.9 1.4 1.5 PLAT 1.1 1.6 1.7 1.5 0.0 2.6 1.9 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 6.5 3.8 1.8 1.9 1.2 1.2 0.1 1.3 0.2 15.9 22.4 1.2 0.0 1.2 0.1 1.3 0.2 12.5 0.0 1.9 1.4 1.5 REDWHEAT 1.1 1.5 1.7 1.5 0.2 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.0 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.6 0.8 2.0 1.4 1.5 ROBUSTA 0.9 1.4 1.6 1.4 0.0 2.3 1.2 2.3 1.2 0.0 2.2 0.2 2.4 0.4 2.2 7.8 4.0 2.0 2.0 1.1 1.1 0.1 1.2 0.2 16.7 22.2 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 RUSSELL 1.3 1.7 1.8 1.7 1.2 2.7 2.6 2.6 1.6 0.5 2.6 0.4 2.7 0.4 2.5 6.1 3.9 1.8 1.9 1.3 1.3 0.2 1.3 0.2 12.8 20.1 1.3 0.5 1.3 0.2 1.3 0.2 11.7 1.5 2.2 1.4 1.5 SILVER-mini 1.2 1.7 1.9 1.7 0.0 2.8 1.7 2.7 1.5 0.0 2.7 0.3 2.8 0.4 2.6 6.1 3.4 1.6 1.6 1.3 1.3 0.1 1.4 0.2 21.5 28.1 1.3 0.0 1.3 0.1 1.4 0.2 0.0 0.0 1.7 1.5 1.7 SOYBEAN 1.0 1.5 1.6 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 21.0 1.1 0.0 1.2 0.1 1.2 0.2 13.7 0.2 1.8 1.3 1.5 SOYMEAL 1.1 1.5 1.7 1.5 0.3 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 13.9 20.5 1.2 0.0 1.2 0.1 1.2 0.2 13.5 0.8 2.0 1.3 1.5 SOYOIL 1.1 1.5 1.7 1.5 0.0 2.5 1.8 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.3 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.7 2.0 1.3 1.5 SP400 1.2 1.7 1.9 1.6 0.3 2.7 2.1 2.6 1.5 0.0 2.6 0.3 2.7 0.4 2.5 4.8 3.6 1.5 1.7 1.3 1.3 0.2 1.3 0.2 16.1 23.6 1.2 0.0 1.3 0.1 1.3 0.2 11.1 0.0 1.8 1.4 1.6 SP500 1.3 1.6 1.8 1.6 1.2 2.7 2.5 2.5 1.5 0.5 2.5 0.4 2.6 0.4 2.5 7.5 4.2 2.0 2.1 1.3 1.3 0.2 1.3 0.2 11.5 19.2 1.3 0.5 1.3 0.2 1.3 0.2 12.4 1.4 2.1 1.4 1.5 SUGAR11 0.9 1.4 1.6 1.4 0.0 2.4 1.3 2.3 1.2 0.0 2.3 0.2 2.4 0.4 2.2 7.8 4.1 2.1 2.1 1.1 1.1 0.1 1.2 0.2 16.6 22.0 1.1 0.0 1.1 0.1 1.2 0.2 13.6 0.1 1.8 1.3 1.5 US10 1.1 1.6 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.4 0.3 2.5 0.4 2.3 8.1 4.2 2.1 2.1 1.2 1.2 0.1 1.2 0.2 14.6 23.6 1.1 0.0 1.2 0.1 1.2 0.2 13.9 0.0 0.0 0.7 1.2 US10U 1.1 1.5 1.7 1.5 0.5 2.5 2.1 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.4 8.2 4.3 2.2 2.2 1.2 1.2 0.1 1.3 0.2 13.6 20.7 1.2 0.1 1.2 0.1 1.3 0.2 13.8 0.0 1.4 1.2 1.4 US20 1.1 1.6 1.7 1.6 0.1 2.6 2.0 2.5 1.4 0.0 2.4 0.3 2.6 0.4 2.4 7.9 4.2 2.1 2.1 1.2 1.2 0.1 1.3 0.2 13.7 21.9 1.2 0.0 1.2 0.1 1.3 0.2 13.8 0.0 0.9 1.2 1.4 US30 1.2 1.5 1.7 1.6 0.8 2.6 2.3 2.5 1.5 0.2 2.4 0.3 2.6 0.4 2.4 8.0 4.2 2.1 2.1 1.2 1.2 0.2 1.3 0.2 12.5 19.9 1.2 0.2 1.2 0.2 1.3 0.2 13.7 0.6 1.8 1.3 1.4 US5 1.1 1.5 1.7 1.5 0.0 2.5 1.9 2.4 1.4 0.0 2.4 0.3 2.5 0.4 2.3 8.2 4.2 2.1 2.2 1.2 1.2 0.1 1.3 0.2 14.5 22.3 1.2 0.0 1.2 0.1 1.2 0.2 14.0 0.0 0.3 1.1 1.4 VIX 1.2 5.2 6.3 1.9 0.0 3.5 1.1 3.5 1.4 0.0 3.3 0.2 3.5 0.4 3.1 15.7 8.0 4.1 4.1 1.5 1.7 0.0 1.7 0.2 0.0 23.1 1.5 0.0 1.7 0.1 1.7 0.2 0.0 0.0 0.0 0.0 0.0 WHEAT 1.0 1.5 1.7 1.5 0.0 2.5 1.7 2.4 1.3 0.0 2.3 0.3 2.5 0.4 2.3 8.0 4.1 2.1 2.1 1.1 1.2 0.1 1.2 0.2 14.9 20.9 1.1 0.0 1.2 0.1 1.2 0.2 13.6 0.5 1.9 1.3 1.5 ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== Weighted forecasts ============================================================================================================================================================================================================================================================================================================================================================================================================================================================== accel16 accel32 accel64 assettrend16 assettrend2 assettrend32 assettrend4 assettrend64 assettrend8 breakout10 breakout160 breakout20 breakout320 breakout40 breakout80 carry10 carry125 carry30 carry60 momentum16 momentum32 momentum4 momentum64 momentum8 mrinasset160 mrwrings4 normmom16 normmom2 normmom32 normmom4 normmom64 normmom8 relcarry relmomentum10 relmomentum20 relmomentum40 relmomentum80 AUD -0.2 -0.3 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 -0.3 -0.1 -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.0 0.7 2.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.3 -0.4 -0.2 -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 1.4 -4.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.1 0.3 0.2 BOBL 0.1 0.1 0.2 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.4 -0.0 -0.2 -0.2 0.2 -0.1 -0.0 -0.1 -0.1 0.0 -0.2 0.0 1.9 2.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.6 0.0 -0.0 -0.1 -0.2 BTP -0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 -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 -0.1 0.0 -1.4 2.2 0.0 0.0 0.0 0.0 -0.1 0.0 2.7 -0.2 -0.0 0.2 0.1 BUND 0.1 0.1 0.2 -0.0 0.1 -0.0 0.2 -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 -0.1 0.0 -0.2 0.0 1.0 2.5 -0.0 0.0 -0.0 0.0 -0.1 0.0 2.8 0.0 -0.0 -0.0 -0.1 BUXL 0.1 0.0 0.1 -0.0 0.1 -0.0 0.2 -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 -0.1 0.0 -0.2 0.0 0.5 -2.1 -0.0 0.0 -0.0 0.0 -0.1 0.0 0.3 0.0 -0.0 -0.0 -0.1 CAC -0.2 -0.1 0.2 0.0 -0.1 0.0 -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 0.1 0.2 -0.0 0.2 -0.0 -1.9 1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.8 -0.1 0.2 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 -0.1 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.1 -0.0 -0.2 -0.0 -0.2 1.3 0.5 0.3 0.2 -0.2 -0.1 -0.0 -0.1 -0.0 1.4 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 0.1 -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 0.2 0.1 0.0 COCOA -0.1 0.0 0.3 -0.0 -0.0 -0.1 -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 -0.2 0.1 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 1.9 2.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.8 -0.0 -0.0 0.3 0.2 COPPER -0.2 -0.2 0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.2 -0.0 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-0.1 -0.1 -0.2 EUR -0.1 -0.3 0.3 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.2 -0.0 -0.1 -0.0 0.0 -0.5 -0.4 -0.2 -0.2 -0.0 0.1 -0.0 -0.0 -0.0 -0.9 -2.3 -0.0 -0.0 0.0 -0.0 -0.0 -0.0 -1.2 -0.0 0.2 -0.0 0.1 EUROSTX -0.2 -0.1 0.3 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.4 -0.0 0.3 0.0 0.3 0.7 0.3 0.2 0.2 0.1 0.2 -0.0 0.2 -0.0 -2.5 -1.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.6 0.0 0.1 0.1 0.1 FEEDCOW 0.2 0.3 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.0 0.1 0.0 0.3 -1.6 -0.8 -0.4 -0.4 0.2 0.1 0.0 0.1 0.0 -2.4 2.7 0.1 -0.0 0.0 0.0 0.0 0.0 -2.7 0.0 0.4 0.3 0.3 FTSE100 0.0 -0.3 -0.2 -0.0 0.1 -0.1 0.1 -0.1 0.0 0.1 -0.2 0.0 0.1 -0.0 -0.2 0.1 0.7 0.3 0.4 -0.1 -0.1 0.0 -0.0 -0.0 -0.8 1.9 -0.0 0.0 -0.1 0.0 -0.0 0.0 2.6 -0.2 -0.3 0.1 0.0 GASOIL 0.0 -0.2 -0.2 -0.0 -0.2 -0.0 -0.2 0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.0 -0.2 1.7 0.9 0.4 0.4 -0.1 -0.1 -0.0 0.1 -0.0 -0.2 -3.0 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 2.7 -0.1 -0.0 -0.1 -0.2 GASOILINE -0.1 -0.0 0.0 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 0.0 -0.0 0.1 -0.0 0.1 1.0 0.5 0.0 0.1 0.0 0.0 -0.0 0.1 -0.0 -1.7 -2.6 0.0 -0.0 0.0 -0.0 0.1 -0.0 -0.9 0.0 -0.1 0.1 0.2 GAS_US 0.2 -0.1 -0.3 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.4 -0.0 -0.3 -0.0 -0.4 -1.5 -0.3 -0.2 -0.1 -0.2 -0.2 -0.0 -0.2 -0.0 0.7 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.2 0.3 -0.0 -0.3 GBP -0.1 -0.2 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 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 1.7 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 -0.0 -0.3 0.3 -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 -0.4 -0.3 -0.3 0.0 0.1 0.0 0.0 0.0 0.3 -2.7 0.0 0.0 0.0 0.0 0.0 0.0 -1.9 0.1 0.3 0.1 0.1 HEATOIL -0.1 -0.2 -0.2 -0.0 -0.2 -0.0 -0.2 0.1 -0.1 -0.1 -0.2 -0.0 0.2 -0.1 -0.2 1.7 0.9 0.5 0.5 -0.1 -0.1 -0.0 0.1 -0.0 -1.0 -2.7 -0.0 -0.0 -0.0 -0.0 0.1 -0.0 2.8 -0.0 -0.2 -0.1 -0.0 JPY -0.1 -0.3 0.3 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 -0.2 -0.0 -0.1 -1.0 -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 0.2 -0.1 0.1 LEANHOG -0.0 -0.1 -0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 -0.3 -0.0 -0.2 -0.0 -0.3 -1.6 -0.8 -0.4 -0.4 -0.1 -0.1 -0.0 -0.1 -0.0 1.5 -2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.0 -0.3 -0.3 -0.3 LIVECOW -0.1 0.1 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.3 -0.0 0.2 0.0 0.2 1.6 -0.8 0.2 -0.2 0.1 0.1 -0.0 0.1 -0.0 -3.3 2.6 0.0 -0.0 0.1 -0.0 0.1 -0.0 -2.8 -0.0 -0.2 0.1 0.3 MXP -0.1 -0.2 0.0 -0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.3 -0.0 0.4 0.0 0.3 1.5 0.8 0.4 0.4 0.1 0.2 -0.0 0.2 0.0 -3.6 2.2 0.1 -0.0 0.1 -0.0 0.1 0.0 2.2 -0.0 0.4 0.3 0.3 NASDAQ -0.2 0.2 0.1 0.0 -0.1 0.1 -0.2 0.0 -0.1 0.0 -0.1 -0.0 -0.3 0.0 0.2 -0.5 -0.2 -0.1 -0.1 0.1 0.0 0.0 -0.1 0.0 0.3 1.9 0.1 0.0 0.0 0.0 0.0 0.0 -0.3 0.3 0.4 0.3 0.1 NIKKEI -0.0 0.2 -0.0 0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.2 0.9 0.5 0.3 0.3 0.1 0.0 -0.0 0.0 0.0 1.2 -1.9 0.0 -0.0 0.0 -0.0 -0.0 0.0 2.6 0.2 0.4 0.3 -0.2 NZD -0.1 -0.3 0.1 -0.0 0.0 0.0 -0.0 -0.0 -0.0 0.0 0.2 -0.0 -0.0 -0.0 -0.1 0.0 0.0 0.0 0.0 -0.1 -0.0 -0.0 -0.0 -0.0 0.0 2.3 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 0.6 -0.0 0.0 -0.1 -0.0 OAT 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.2 -0.1 0.0 0.0 -0.3 0.0 -0.3 -0.0 -0.2 0.8 0.5 0.2 0.3 -0.1 -0.1 0.0 -0.2 -0.0 0.6 2.6 -0.0 0.0 -0.0 0.0 -0.1 0.0 2.7 -0.0 -0.1 -0.0 -0.1 OJ -0.0 -0.2 -0.2 -0.0 -0.0 -0.0 -0.0 -0.0 -0.0 0.0 0.1 0.0 0.1 0.0 0.1 1.5 0.7 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 -0.0 -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 -0.2 -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 -0.2 -0.2 REDWHEAT -0.2 0.0 -0.2 -0.0 -0.0 -0.1 -0.2 -0.0 -0.1 0.0 -0.3 -0.0 -0.3 -0.0 -0.2 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 -0.1 -0.2 ROBUSTA -0.0 0.3 0.3 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 -0.0 0.0 0.2 0.4 0.4 0.2 0.2 0.2 0.1 -0.0 0.1 0.0 -1.5 2.1 0.0 -0.0 0.0 -0.0 0.0 0.0 0.6 -0.0 0.4 0.3 0.3 RUSSELL -0.3 -0.0 0.1 0.0 -0.1 0.1 -0.2 0.0 -0.1 -0.1 0.0 -0.1 -0.2 -0.0 -0.0 -0.4 -0.2 -0.1 -0.1 -0.1 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 -0.0 -0.2 -0.4 -0.2 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 1.0 -3.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.2 -0.3 -0.1 SOYBEAN -0.1 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.1 -0.0 0.1 -0.0 -0.2 1.6 0.8 0.4 0.4 -0.1 -0.0 -0.0 0.0 -0.0 -1.4 -2.5 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 2.7 -0.0 -0.4 -0.3 -0.0 SOYMEAL -0.1 0.1 0.3 -0.0 -0.0 -0.1 -0.2 -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 0.2 0.1 0.1 0.3 SOYOIL -0.1 -0.2 -0.2 -0.0 -0.0 -0.1 -0.2 -0.0 -0.1 -0.0 -0.2 -0.0 0.0 -0.1 -0.3 0.1 0.6 0.1 0.2 -0.2 -0.1 -0.0 -0.0 -0.0 -0.5 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 -0.1 0.2 0.0 -0.0 0.1 -0.2 0.0 -0.1 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-0.0 0.3 -0.0 0.1 -0.0 0.2 -0.1 0.0 0.0 -0.1 0.0 -0.3 -0.0 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -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 -0.0 0.2 0.1 0.2 US5 0.1 -0.1 0.3 -0.0 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 -0.9 -0.2 -0.2 -0.2 -0.1 -0.1 0.0 -0.2 0.0 0.3 2.4 -0.0 0.0 -0.0 0.0 -0.1 0.0 -1.6 0.0 0.0 -0.0 0.0 VIX 0.2 1.0 -0.4 -0.1 0.0 -0.2 0.1 -0.2 0.0 0.0 -0.4 0.0 -0.5 0.0 -0.3 -1.9 -1.6 -0.8 -0.8 -0.1 -0.2 0.0 -0.2 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 -0.1 -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 -17.0 7.0 -1.5 1.6 0.2 -0.5 -1.5 -3.0 -6.1 3.0 -11.4 -3.9 -13.9 -7.2 -3.6 -2.8 -3.5 -3.3 -10.3 -2.8 -12.6 -4.1 -17.2 5.8 11.7 -3.6 -1.6 -1.3 -4.4 -1.7 -5.9 -0.8 -17.8 -17.0 -11.1 -6.1 BITCOIN -18.2 9.5 20.0 -1.2 3.9 0.7 2.1 1.3 -1.2 10.1 8.0 5.0 -12.5 5.5 10.3 -3.3 -1.4 -2.4 -1.5 5.6 3.2 6.9 -6.4 3.0 6.5 -18.1 2.7 7.4 2.3 2.5 -0.6 0.9 1.7 -6.2 5.1 20.0 11.3 BOBL 8.6 9.7 9.7 -1.0 12.8 -1.9 7.8 -4.2 1.5 11.1 -14.1 6.0 -14.4 -4.9 -9.9 -2.3 4.5 -4.6 -0.3 -8.1 -11.9 16.6 -15.7 0.4 12.6 10.8 -2.5 14.4 -4.3 8.5 -7.1 1.0 4.1 8.7 -3.2 -4.8 -13.8 BTP -2.1 -1.0 6.9 -1.0 12.8 -1.9 7.8 -4.2 1.5 12.2 -1.4 9.1 -10.0 -3.0 0.7 7.6 12.4 9.0 11.4 -0.3 -2.6 13.5 -11.3 3.6 -11.6 11.4 1.9 11.6 0.2 8.3 -6.3 3.5 20.0 -16.9 -1.8 11.4 6.1 BUND 5.5 4.3 10.3 -1.0 12.8 -1.9 7.8 -4.2 1.5 11.3 -13.3 6.7 -14.0 -5.4 -9.1 9.2 14.4 10.7 12.4 -7.5 -11.6 16.2 -16.7 0.8 8.0 12.3 -1.9 14.5 -3.9 8.9 -7.5 1.6 20.0 2.3 -1.1 -1.1 -7.8 BUXL 8.5 0.6 6.9 -1.0 12.8 -1.9 7.8 -4.2 1.5 11.5 -12.5 7.6 -13.5 -5.3 -10.7 2.7 0.5 2.9 2.7 -7.8 -11.8 16.1 -16.6 1.0 4.4 -10.8 -2.4 14.5 -4.1 8.6 -6.8 1.4 2.3 2.7 -0.2 -3.0 -7.4 CAC -20.0 -6.7 13.7 0.1 -10.0 1.9 -8.4 0.8 -4.3 -11.6 14.9 -8.0 10.7 1.2 12.1 -4.1 0.5 -3.6 -2.2 10.6 16.5 -17.3 13.5 -2.8 -16.8 8.9 3.5 -11.9 5.7 -7.9 4.5 -1.8 6.0 -5.7 10.7 13.0 12.8 CAD -20.0 -8.0 1.0 -1.5 1.6 0.2 -0.5 -1.5 -3.0 -4.0 -8.8 -10.7 -10.0 -12.4 -9.3 -2.8 -1.6 -2.4 -2.1 -12.1 -9.2 -12.9 -11.2 -16.8 17.0 10.4 -4.4 -1.6 -3.1 -5.0 -3.8 -6.4 1.3 -18.5 -18.5 -8.3 -17.5 CANOLA -14.4 -8.5 -10.4 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -13.9 -7.6 -15.2 -10.4 -12.0 -11.4 18.6 12.7 13.9 11.5 -18.1 -14.3 -20.0 -7.1 -20.0 6.0 11.5 -5.3 -12.3 -3.5 -10.8 -1.3 -7.8 8.3 -20.0 -20.0 -20.0 -20.0 CHF -8.4 -13.3 8.5 -1.5 1.6 0.2 -0.5 -1.5 -3.0 0.5 9.3 2.1 2.6 -4.0 0.9 -14.3 -13.7 -14.7 -14.5 -0.1 2.7 7.2 1.2 1.0 -5.9 -11.5 -0.0 2.8 1.2 4.9 -0.6 0.8 -19.8 20.0 11.8 4.4 2.0 COCOA -6.9 2.8 16.3 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -13.9 11.4 -11.0 1.1 -2.3 7.5 -1.5 -2.7 -1.5 -1.6 7.6 10.6 -17.7 5.5 -3.3 -19.4 -10.4 3.6 -10.8 4.9 -7.1 3.0 -1.1 -15.1 -20.0 6.8 6.4 20.0 COFFEE -3.9 20.0 5.4 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -12.8 -5.6 -12.8 -7.9 4.7 7.4 2.7 3.0 2.1 2.8 4.6 -3.2 -10.8 -9.1 -0.9 11.6 10.0 1.2 -6.0 -0.9 -4.9 -2.7 -1.4 -6.1 -10.3 -2.3 20.0 13.0 COPPER -17.7 -15.5 18.5 -1.2 3.9 0.7 2.1 1.3 -1.2 -11.6 8.6 -10.6 -2.2 -9.2 5.7 -0.7 -0.5 -0.9 -0.7 2.4 7.6 -11.2 2.9 -6.2 -5.1 11.1 -1.2 -7.7 2.1 -5.5 1.7 -4.5 2.9 -20.0 -13.2 -5.9 7.6 CORN -20.0 -15.1 -20.0 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -8.2 -1.3 -13.5 -0.3 -14.6 -14.9 19.9 19.8 20.0 20.0 -20.0 -13.3 -20.0 0.6 -20.0 6.2 11.0 -5.9 -2.8 -4.2 -5.3 -1.0 -6.4 20.0 -10.2 -20.0 -20.0 -20.0 COTTON2 -4.2 0.8 2.3 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -8.2 -9.1 -7.9 -10.2 -8.9 -3.8 -4.7 9.9 -2.8 2.1 -6.5 -8.8 -12.7 -9.1 -9.5 4.0 12.0 -3.6 -9.3 -2.2 -8.5 0.3 -6.3 -0.4 -19.3 -10.0 -9.1 5.0 CRUDE_W -8.3 -6.4 -4.7 -2.1 -15.3 -1.6 -8.4 2.0 -3.6 -13.9 -0.0 -12.0 0.4 -8.8 -5.6 8.0 11.7 8.4 9.4 -5.9 -2.8 -20.0 2.0 -12.4 -9.1 10.8 -2.6 -19.8 -0.4 -12.1 3.1 -6.2 -0.2 -11.8 -12.5 -4.6 4.4 DAX -20.0 -8.3 18.5 0.1 -10.0 1.9 -8.4 0.8 -4.3 -11.5 15.0 -7.3 5.5 0.7 12.3 -9.6 -5.6 -9.3 -7.8 9.4 15.1 -15.4 9.8 -2.7 -17.6 9.9 3.6 -12.0 6.0 -7.2 3.7 -1.5 -4.0 5.0 10.3 10.5 10.8 DOW -20.0 -14.9 0.4 0.1 -10.0 1.9 -8.4 0.8 -4.3 -13.0 6.9 -14.3 0.9 -13.6 -10.1 -7.7 -4.5 -7.4 -6.5 -11.4 -1.5 -20.0 1.1 -20.0 -2.0 10.8 -2.2 -9.4 1.0 -9.6 1.4 -6.5 -2.1 0.7 -3.7 -7.2 -11.0 EUR -11.7 -19.9 18.1 -1.5 1.6 0.2 -0.5 -1.5 -3.0 -1.9 8.8 -0.3 -2.4 -10.2 1.0 -7.6 -8.7 -8.2 -8.5 -0.8 4.3 -0.2 -1.5 -3.8 -6.3 -11.1 -0.2 -1.7 2.2 -0.2 -1.6 -2.0 -10.3 -1.9 7.5 -0.1 8.0 EUROSTX -20.0 -7.0 15.8 0.1 -10.0 1.9 -8.4 0.8 -4.3 -11.7 15.0 -8.3 10.0 0.0 12.0 8.3 6.7 9.5 8.0 9.5 16.1 -15.9 12.4 -3.2 -18.7 -8.5 3.4 -12.1 6.2 -7.9 4.8 -2.1 19.4 1.7 9.0 9.2 10.4 FEEDCOW 19.9 19.1 12.7 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -6.5 8.9 5.7 4.9 11.5 13.1 -20.0 -20.0 -20.0 -20.0 19.5 12.5 7.4 5.5 20.0 -14.3 12.2 5.7 -2.9 4.2 2.1 2.2 5.3 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL 1.3 -11.5 -9.8 -2.1 -15.3 -1.6 -8.4 2.0 -3.6 -13.2 -8.4 -6.0 7.7 -10.6 -6.6 20.0 20.0 20.0 20.0 -7.6 -4.8 -14.8 6.5 -8.9 -1.5 -15.4 -4.2 -14.7 -3.7 -7.7 1.1 -4.5 20.0 -4.5 -1.6 -5.6 -12.8 GASOILINE -7.1 -2.2 0.3 -2.1 -15.3 -1.6 -8.4 2.0 -3.6 -13.8 1.3 -9.8 3.1 -5.2 5.6 12.4 10.7 0.7 2.3 0.5 2.2 -16.3 6.4 -5.8 -13.6 -13.1 1.1 -14.1 3.5 -8.1 7.1 -2.9 -6.3 1.2 -3.6 5.0 17.4 GAS_US 20.0 -6.7 -20.0 -2.1 -15.3 -1.6 -8.4 2.0 -3.6 -12.1 -15.8 -3.1 -12.3 -6.1 -14.8 -18.5 -6.0 -9.5 -6.5 -20.0 -20.0 -6.1 -20.0 -9.4 5.8 -9.3 -4.4 -3.5 -6.3 -2.0 -2.2 -1.5 -20.0 11.8 14.6 -2.9 -19.8 GBP -4.5 -13.5 8.4 -1.5 1.6 0.2 -0.5 -1.5 -3.0 6.2 9.5 4.8 -2.7 -6.0 -1.7 -2.1 -2.0 -2.3 -2.2 -1.8 0.4 5.2 -4.5 -1.5 12.2 9.4 -2.1 4.0 -2.4 2.6 -6.4 -1.4 0.8 4.9 13.6 -0.4 -4.4 GOLD_micro -2.9 -20.0 15.0 -1.2 3.9 0.7 2.1 1.3 -1.2 13.2 6.3 10.3 -2.3 -3.6 1.5 -12.4 -10.5 -12.4 -11.9 2.6 5.2 20.0 2.6 6.2 2.6 -13.8 1.2 12.2 1.9 8.6 1.3 3.0 -15.3 20.0 18.1 6.7 7.4 HEATOIL -5.5 -12.3 -8.7 -2.1 -15.3 -1.6 -8.4 2.0 -3.6 -13.2 -7.6 -11.3 6.9 -13.4 -6.4 20.0 20.0 20.0 20.0 -9.4 -5.1 -18.9 6.4 -12.6 -10.9 -13.6 -3.8 -13.5 -1.2 -8.9 5.4 -5.9 20.0 -6.5 -9.3 -7.0 -3.5 JPY -11.8 -16.8 15.8 -1.5 1.6 0.2 -0.5 -1.5 -3.0 12.5 4.4 6.0 -7.3 -9.9 -2.8 -14.6 -12.1 -13.8 -13.3 -6.0 -1.4 7.3 -8.9 -5.9 3.5 9.9 -1.9 7.1 -0.7 3.3 -4.6 -1.6 -17.4 20.0 7.6 -10.4 4.0 LEANHOG -1.4 -6.5 -14.4 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -7.9 -11.3 -9.6 -7.6 -11.2 -14.0 -20.0 -20.0 -20.0 -20.0 -12.2 -11.5 -8.9 -5.5 -9.4 9.8 -11.1 -5.8 -6.5 -5.3 -3.6 -2.8 -4.5 -20.0 1.6 -16.1 -20.0 -20.0 LIVECOW -12.5 6.6 11.4 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -14.0 13.2 -13.0 7.8 4.0 9.9 20.0 -20.0 8.0 -11.7 5.7 10.5 -20.0 7.8 -6.3 -20.0 12.0 2.4 -13.2 5.3 -9.3 5.0 -3.3 -20.0 -20.0 -11.3 10.5 20.0 MXP -14.6 -12.7 2.5 -1.5 1.6 0.2 -0.5 -1.5 -3.0 -11.6 14.9 -6.9 15.4 4.4 12.2 19.6 20.0 20.0 20.0 11.3 14.9 -14.0 14.3 1.2 -20.0 9.7 4.7 -9.6 6.1 -5.3 5.7 0.7 20.0 -20.0 20.0 20.0 18.7 NASDAQ -13.7 14.5 8.0 0.1 -10.0 1.9 -8.4 0.8 -4.3 7.1 -2.6 -4.8 -10.4 2.4 7.1 -7.3 -4.9 -6.7 -6.1 5.1 2.4 0.4 -7.2 0.1 3.0 10.2 4.1 3.9 3.4 1.1 0.3 1.7 -2.0 20.0 17.8 20.0 6.8 NIKKEI -2.8 11.6 -2.2 0.1 -10.0 1.9 -8.4 0.8 -4.3 -13.2 3.0 -6.2 3.7 5.2 6.8 15.0 15.1 19.1 17.8 5.5 3.7 -12.7 1.6 1.3 8.9 -9.4 2.7 -13.5 1.1 -4.7 -0.5 1.4 20.0 15.8 20.0 20.0 -12.7 NZD -12.0 -19.4 8.3 -1.5 1.6 0.2 -0.5 -1.5 -3.0 5.6 7.6 -1.9 -1.8 -11.4 -5.4 0.3 0.4 0.1 0.1 -6.6 -0.3 -1.0 -2.9 -8.9 0.2 10.8 -2.6 2.7 -0.3 -0.2 -1.4 -3.5 4.7 -3.8 0.9 -7.2 -0.5 OAT 0.8 -2.3 5.1 -1.0 12.8 -1.9 7.8 -4.2 1.5 11.3 -12.3 6.4 -13.5 -7.0 -9.6 10.2 12.2 10.8 11.8 -8.4 -11.0 13.7 -15.7 -1.3 4.3 12.7 -2.2 13.1 -3.9 7.6 -8.0 0.7 20.0 -6.9 -5.3 -2.0 -6.8 OJ -10.8 -13.4 -7.5 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 8.6 14.0 0.4 14.9 8.3 10.5 20.0 17.7 20.0 20.0 16.7 19.6 6.0 19.4 10.5 -20.0 -14.3 5.6 1.0 6.4 1.2 6.3 3.3 20.0 0.9 20.0 20.0 20.0 PALLAD -0.9 -13.9 -20.0 -1.2 3.9 0.7 2.1 1.3 -1.2 6.6 -15.4 -0.4 -13.8 -11.6 -14.6 -2.8 -2.1 -2.9 -2.5 -20.0 -20.0 1.4 -19.7 -12.8 20.0 -11.1 -5.6 3.5 -5.2 0.7 -3.7 -3.4 0.0 -2.1 -11.4 -20.0 -20.0 PLAT 9.9 -20.0 -1.8 -1.2 3.9 0.7 2.1 1.3 -1.2 1.4 2.7 6.4 0.2 -5.0 -7.3 -2.0 -1.2 -2.0 -1.6 -4.7 -1.3 5.3 0.9 -0.7 -1.3 11.2 -3.0 1.4 -1.0 1.4 -0.0 -1.8 1.6 -2.9 4.2 -13.8 -10.6 REDWHEAT -20.0 0.5 -9.9 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 7.1 -11.8 -8.5 -10.4 -9.6 -10.7 8.8 3.5 7.7 6.1 -13.1 -12.1 -7.8 -7.8 -14.9 2.8 12.9 -4.3 2.7 -2.9 -2.6 -0.2 -5.1 -3.4 9.5 -20.0 -10.9 -13.1 ROBUSTA -2.0 20.0 20.0 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -13.7 3.1 -6.0 -0.1 8.2 11.5 5.4 8.9 8.2 9.2 16.7 11.8 -11.0 4.7 6.7 -8.8 9.6 4.2 -6.7 2.7 -3.1 0.9 1.8 4.1 -13.4 18.9 20.0 20.0 RUSSELL -20.0 -1.2 6.8 0.1 -10.0 1.9 -8.4 0.8 -4.3 -13.0 0.9 -14.5 -7.6 -10.7 -1.6 -5.9 -4.0 -5.8 -5.2 -6.1 0.4 -20.0 -2.5 -20.0 -3.8 10.0 -0.1 -11.1 2.0 -10.4 1.0 -5.4 -0.5 -20.0 -5.6 3.8 -2.5 SILVER-mini -8.1 -20.0 3.1 -1.2 3.9 0.7 2.1 1.3 -1.2 13.5 3.0 6.1 -2.5 -9.0 -8.2 -6.2 -4.6 -5.8 -5.3 -9.9 -2.9 8.4 -0.9 -7.1 4.8 -11.3 -3.6 6.7 -1.5 2.4 -1.1 -2.6 -4.6 4.3 -8.9 -18.0 -8.1 SOYBEAN -11.0 -3.5 -5.6 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -13.7 3.0 -12.8 3.2 -8.0 -6.6 20.0 20.0 20.0 20.0 -6.4 -2.2 -20.0 3.5 -12.5 -9.3 -11.7 -3.8 -12.8 -0.6 -10.2 3.4 -7.0 20.0 -10.1 -20.0 -19.7 -0.7 SOYMEAL -5.9 7.2 20.0 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -3.1 14.7 3.0 14.1 10.2 14.4 20.0 18.7 20.0 20.0 16.7 20.0 1.1 20.0 8.5 -20.0 -12.0 5.4 -3.0 8.9 -0.3 10.1 1.9 20.0 20.0 5.2 8.8 20.0 SOYOIL -13.0 -10.3 -14.0 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -11.7 -7.1 -13.7 1.4 -13.1 -14.4 1.1 14.3 4.0 8.7 -16.5 -11.1 -20.0 -0.6 -20.0 -3.8 12.9 -5.6 -5.4 -3.4 -7.5 0.3 -6.9 8.8 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -5.0 8.2 0.1 -10.0 1.9 -8.4 0.8 -4.3 -13.0 7.0 -14.5 -0.2 -10.2 -1.2 -6.3 -3.9 -5.8 -4.9 -5.0 3.9 -20.0 2.9 -20.0 -7.4 10.2 -0.4 -12.4 2.1 -11.1 1.9 -5.9 -0.0 -20.0 -12.9 1.8 -1.4 SP500 -20.0 -0.5 4.0 0.1 -10.0 1.9 -8.4 0.8 -4.3 -9.3 0.1 -12.3 -6.7 -9.9 -0.8 -7.7 -5.3 -7.3 -6.5 -4.7 -0.5 -17.3 -3.5 -13.6 2.1 10.2 0.1 -6.1 1.7 -7.2 -0.2 -4.3 -2.6 11.8 0.5 5.6 -3.3 SUGAR11 2.4 9.5 12.0 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 -4.3 13.7 7.6 10.8 13.3 14.1 20.0 20.0 20.0 20.0 16.9 16.3 4.4 12.1 13.1 -20.0 10.7 6.2 -2.5 7.4 0.9 6.3 3.8 20.0 17.3 20.0 20.0 20.0 US10 4.6 -7.2 15.6 -1.0 12.8 -1.9 7.8 -4.2 1.5 12.6 -9.2 9.0 -12.2 -3.8 -5.1 -7.8 -3.6 -8.1 -7.1 -5.4 -8.1 20.0 -13.7 3.6 -0.4 9.7 -0.3 15.9 -1.8 10.7 -4.8 3.4 -9.8 7.9 13.6 2.6 3.5 US10U 4.3 -5.6 14.7 -1.0 12.8 -1.9 7.8 -4.2 1.5 12.5 -8.2 9.5 -11.9 -2.8 -3.5 0.6 2.9 0.6 1.0 -4.3 -7.4 20.0 -13.7 3.9 -4.2 -14.1 0.6 15.5 -0.9 10.8 -4.2 4.1 2.6 3.6 13.5 6.4 8.3 US20 3.7 -5.1 15.9 -1.0 12.8 -1.9 7.8 -4.2 1.5 12.9 -5.7 10.5 -10.5 -0.6 -0.8 -2.6 -1.6 -4.7 -3.8 -3.0 -6.5 20.0 -13.1 5.6 -1.9 -12.3 0.5 14.7 -1.3 10.9 -4.2 4.2 -5.1 8.4 13.4 7.9 8.6 US30 1.6 -3.2 15.4 -1.0 12.8 -1.9 7.8 -4.2 1.5 12.4 -4.5 9.9 -11.5 -2.3 -2.2 -1.6 -0.6 -1.5 -1.3 -2.5 -6.2 15.9 -15.2 3.6 -7.2 10.0 1.4 13.2 -0.4 9.7 -4.7 4.1 -2.3 -7.9 8.3 9.5 13.4 US5 7.3 -6.5 19.2 -1.0 12.8 -1.9 7.8 -4.2 1.5 12.4 -10.0 8.4 -12.7 -3.9 -6.0 -11.3 -4.1 -10.2 -8.4 -5.6 -8.2 20.0 -13.3 3.7 2.2 10.8 -0.9 15.6 -2.3 10.3 -5.1 2.9 -11.4 12.7 14.3 -2.2 1.0 VIX 20.0 20.0 -7.1 -3.0 9.9 -4.9 6.5 -4.5 1.2 12.5 -13.2 10.0 -13.6 4.4 -8.4 -11.9 -20.0 -20.0 -20.0 -4.1 -12.0 20.0 -12.6 8.1 NaN -13.5 -3.5 11.5 -6.6 7.6 -6.4 1.8 NaN NaN NaN NaN NaN WHEAT -20.0 -0.4 -13.4 -2.1 -9.2 -2.1 -8.5 -1.3 -5.1 5.5 -13.9 -9.6 -14.0 -11.7 -13.1 -12.0 -7.3 -10.7 -9.1 -19.2 -19.1 -11.7 -14.7 -19.9 8.7 11.9 -4.8 1.7 -3.6 -3.4 -1.3 -5.6 -20.0 3.4 -20.0 -15.5 -16.0 End of report for caleb_strategy_v1