******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230316_204917 produced at 2023-03-16 21:36:07.723599 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.19 -0.19 0.0 4.868162e+07 -4.868162e+07 -0.19 -0.19 -3.83 999999999 -4 -4 caleb_strategy_v1 VIX False False 0.01 -0.28 -0.13 0.0 9.644078e+06 -9.644078e+06 -0.28 -0.18 -13.29 999999999 -29 -19 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.13 0.0 5.493030e+07 -5.493030e+07 -0.11 -0.11 -2.42 999999999 -2 -2 caleb_strategy_v1 EUR False False 0.05 -0.16 -0.12 0.0 5.393708e+07 -5.393708e+07 -0.16 -0.22 -2.14 999999999 -3 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.10 0.0 5.278212e+07 -5.278212e+07 -0.05 -0.05 -1.94 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.02 -0.06 -0.09 0.0 1.511916e+07 -1.511916e+07 -0.06 -0.06 -5.89 999999999 -4 -4 caleb_strategy_v1 JPY False False 0.04 -0.23 -0.07 0.0 3.833369e+07 -3.833369e+07 -0.23 -0.23 -1.70 999999999 -6 -6 caleb_strategy_v1 FEEDCOW False False 0.04 -0.13 -0.05 0.0 4.352471e+07 -4.352471e+07 -0.13 -0.13 -1.08 999999999 -3 -3 caleb_strategy_v1 GOLD_micro False False 0.01 -0.01 -0.04 0.0 7.777938e+06 -7.777938e+06 -0.01 0.00 -5.14 999999999 -1 0 caleb_strategy_v1 COCOA False False 0.01 -0.06 -0.04 0.0 1.081269e+07 -1.081269e+07 -0.06 -0.05 -3.31 999999999 -6 -5 caleb_strategy_v1 LIVECOW False False 0.03 -0.13 -0.03 0.0 2.538192e+07 -2.538192e+07 -0.13 -0.13 -1.10 999999999 -5 -5 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.03 0.0 6.113505e+07 -6.113505e+07 0.00 0.00 -0.45 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.02 0.0 2.210101e+07 -2.210101e+07 -0.02 -0.02 -0.74 999999999 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 4.121842e+07 -4.121842e+07 -0.04 -0.04 -0.55 999999999 -1 -1 caleb_strategy_v1 US5 False False 0.04 -0.26 -0.02 0.0 4.408198e+07 -4.408198e+07 -0.26 -0.18 -0.55 999999999 -6 -4 caleb_strategy_v1 US10 False False 0.05 0.00 -0.02 0.0 4.620489e+07 -4.620489e+07 0.00 0.00 -0.35 999999999 0 0 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 1.064286e+07 -1.064286e+07 -0.01 -0.01 -0.70 999999999 -1 -1 caleb_strategy_v1 RUSSELL False False 0.00 -0.12 -0.01 0.0 3.615013e+06 -3.615013e+06 -0.12 -0.05 -2.59 999999999 -32 -15 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.01 0.0 1.478961e+07 -1.478961e+07 -0.06 -0.06 -0.35 999999999 -4 -4 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.735901e+07 -5.735901e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 DAX False False 0.01 0.01 -0.01 0.0 6.511615e+06 -6.511615e+06 0.01 0.00 -1.32 999999999 2 0 caleb_strategy_v1 DOW False False 0.01 -0.06 -0.01 0.0 6.568891e+06 -6.568891e+06 -0.06 -0.06 -1.66 999999999 -9 -9 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.399665e+07 -1.399665e+07 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.012123e+06 -1.012123e+06 -0.01 -0.01 -4.01 999999999 -8 -8 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.700544e+07 -2.700544e+07 0.00 0.00 0.04 999999999 0 0 caleb_strategy_v1 SP400 False False 0.10 0.59 -0.00 0.0 9.827659e+07 -9.827659e+07 0.59 0.00 -0.01 999999999 6 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.633124e+07 -1.633124e+07 0.03 0.03 0.07 999999999 2 2 caleb_strategy_v1 SP500 False False 0.08 -0.08 0.00 0.0 8.076662e+07 -8.076662e+07 -0.08 0.08 0.03 999999999 -1 1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 1.470570e+07 -1.470570e+07 0.00 0.00 -0.33 999999999 0 0 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.919802e+07 -3.919802e+07 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.04 0.01 0.0 1.981585e+07 -1.981585e+07 0.04 0.06 0.34 999999999 2 3 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.209476e+07 -4.209476e+07 0.00 0.00 0.16 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.01 0.0 1.751001e+07 -1.751001e+07 0.00 0.00 0.33 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 2.985216e+07 -2.985216e+07 0.00 0.00 0.45 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8.495684e+06 -8.495684e+06 0.02 0.02 1.68 999999999 2 2 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.727940e+07 -2.727940e+07 0.00 0.00 0.30 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.596631e+07 -1.596631e+07 0.00 0.00 0.49 999999999 0 0 caleb_strategy_v1 CAC False False 0.03 0.03 0.01 0.0 3.038111e+07 -3.038111e+07 0.03 0.00 0.30 999999999 1 0 caleb_strategy_v1 CRUDE_W False False 0.03 0.14 0.02 0.0 2.721773e+07 -2.721773e+07 0.14 0.11 0.60 999999999 5 4 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.02 0.0 2.677394e+07 -2.677394e+07 0.00 0.00 0.60 999999999 0 0 caleb_strategy_v1 NZD False False 0.03 0.00 0.02 0.0 2.503619e+07 -2.503619e+07 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.060040e+07 -1.060040e+07 0.01 0.01 2.15 999999999 1 1 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.433011e+06 -4.433011e+06 0.00 0.00 4.09 999999999 0 0 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.696476e+07 -5.696476e+07 0.00 0.00 0.32 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 2.951654e+07 -2.951654e+07 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.128681e+07 -1.128681e+07 0.06 0.06 2.06 999999999 5 5 caleb_strategy_v1 SUGAR11 False False 0.01 0.03 0.02 0.0 9.392887e+06 -9.392887e+06 0.03 0.04 2.51 999999999 3 4 caleb_strategy_v1 GBP False False 0.03 0.12 0.03 0.0 3.068363e+07 -3.068363e+07 0.12 0.21 0.95 999999999 4 7 caleb_strategy_v1 NASDAQ False False 0.10 0.00 0.04 0.0 1.027468e+08 -1.027468e+08 0.00 0.21 0.37 999999999 0 2 caleb_strategy_v1 BTP False False 0.05 0.10 0.04 0.0 4.915316e+07 -4.915316e+07 0.10 0.05 0.83 999999999 2 1 caleb_strategy_v1 OAT False False 0.06 0.11 0.05 0.0 5.572263e+07 -5.572263e+07 0.11 0.11 0.93 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.06 0.0 1.883931e+07 -1.883931e+07 0.09 0.09 3.22 999999999 5 5 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.60 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.05 0.16 0.0 5.055876e+07 -5.055876e+07 0.05 0.05 3.20 999999999 1 1 caleb_strategy_v1 BUND False False 0.06 0.17 0.20 0.0 5.823385e+07 -5.823385e+07 0.17 0.17 3.41 999999999 3 3 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.36 0.0 0.000000e+00 0.000000e+00 0.00 0.00 43.80 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 13.3 Shocked risk 31.4 Sum abs risk 43.3 Leverage 2.50 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2473020.35, 'annual_cash_vol_target': 618255.0875, 'daily_cash_vol_target': 38640.94296875} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6679 0.7803 12.4852 BITCOIN 1138.6125 25030.0000 4.5490 72.7839 BOBL 0.6311 117.9800 0.5349 8.5582 BTP 0.9074 114.7000 0.7911 12.6579 BUND 1.1485 135.8900 0.8452 13.5228 BUXL 2.6751 142.6600 1.8752 30.0027 CAC 91.6322 7089.5000 1.2925 20.6801 CAD 0.0033 0.7300 0.4484 7.1746 CANOLA 6.5162 754.4000 0.8638 13.8201 CHF 0.0073 1.0868 0.6697 10.7152 COCOA 35.2836 2674.0000 1.3195 21.1121 COFFEE 3.5751 179.9000 1.9873 31.7966 COPPER 0.0561 3.8775 1.4462 23.1390 CORN 4.3854 558.2500 0.7856 12.5691 COTTON2 1.5532 78.9700 1.9668 31.4690 CRUDE_W 1.3659 67.3100 2.0293 32.4688 DAX 184.1520 15195.0000 1.2119 19.3908 DOW 273.4792 32490.0000 0.8417 13.4677 EUR 0.0063 1.0671 0.5927 9.4829 EUROSTX 57.0493 4086.0000 1.3962 22.3394 FEEDCOW 1.2850 215.2750 0.5969 9.5506 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.7006 738.2500 2.1267 34.0277 GASOILINE 0.0508 2.4270 2.0947 33.5154 GAS_US 0.1424 2.6320 5.4091 86.5454 GBP 0.0086 1.2141 0.7045 11.2727 GOLD_micro 17.3014 1923.5000 0.8995 14.3916 HEATOIL 0.0534 2.4786 2.1540 34.4642 JPY 0.0001 0.0076 0.6954 11.1266 LEANHOG 1.5327 93.4750 1.6397 26.2348 LIVECOW 0.8194 156.9250 0.5222 8.3545 MXP 0.0006 0.0524 1.0569 16.9110 NASDAQ 145.5042 12704.7500 1.1453 18.3244 NIKKEI 247.0549 27050.0000 0.9133 14.6132 NZD 0.0045 0.6192 0.7193 11.5089 OAT 1.0436 130.0300 0.8026 12.8409 OJ 5.2047 242.4500 2.1467 34.3474 PALLAD 37.3720 1418.5000 2.6346 42.1539 PLAT 19.6275 980.1000 2.0026 32.0416 REDWHEAT 11.9487 807.7500 1.4793 23.6682 ROBUSTA 26.2097 2101.0000 1.2475 19.9598 RUSSELL 24.0866 1788.0000 1.3471 21.5540 SILVER-mini 0.4034 21.8625 1.8452 29.5226 SOYBEAN 9.9666 1324.2500 0.7526 12.0419 SOYMEAL 5.0342 465.9000 1.0805 17.2884 SOYOIL 0.8158 57.6900 1.4141 22.6252 SP400 30.1928 2430.4000 1.2423 19.8768 SP500 38.2089 3994.7500 0.9565 15.3036 SUGAR11 0.2978 20.7400 1.4361 22.9773 US10 0.6786 114.2656 0.5939 9.5028 US10U 0.8762 120.3906 0.7278 11.6451 US20 1.2225 130.5312 0.9365 14.9846 US30 1.7149 140.8750 1.2173 19.4772 US5 0.5170 109.0156 0.4743 7.5884 VIX 0.8892 23.8500 3.7282 59.6504 WHEAT 9.8452 731.5000 1.3459 21.5344 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 667.85 0.78 521.14 1.00 521.14 38640.94 74.15 0.32 2.37 BITCOIN 25.03 4.55 113.86 1.00 113.86 38640.94 339.37 -5.01 -170.16 BOBL 1179.80 0.53 631.06 1.07 677.46 38640.94 57.04 7.77 44.33 BTP 1147.00 0.79 907.41 1.07 974.14 38640.94 39.67 10.32 40.95 BUND 1358.90 0.85 1148.51 1.07 1232.96 38640.94 31.34 15.07 47.23 BUXL 1426.60 1.88 2675.12 1.07 2871.82 38640.94 13.46 -3.95 -5.31 CAC 708.95 1.29 916.32 1.07 983.70 38640.94 39.28 2.74 10.75 CAD 729.95 0.45 327.32 1.00 327.32 38640.94 118.05 3.29 38.89 CANOLA 150.88 0.86 130.32 0.73 95.24 38640.94 405.72 10.99 445.97 CHF 1358.44 0.67 909.75 1.00 909.75 38640.94 42.47 -15.23 -64.67 COCOA 267.40 1.32 352.84 1.00 352.84 38640.94 109.52 -13.88 -152.04 COFFEE 674.62 1.99 1340.67 1.00 1340.67 38640.94 28.82 7.90 22.77 COPPER 969.38 1.45 1401.90 1.00 1401.90 38640.94 27.56 2.42 6.66 CORN 279.12 0.79 219.27 1.00 219.27 38640.94 176.22 12.95 228.17 COTTON2 394.85 1.97 776.60 1.00 776.60 38640.94 49.76 6.53 32.51 CRUDE_W 673.10 2.03 1365.92 1.00 1365.92 38640.94 28.29 1.61 4.55 DAX 151.95 1.21 184.15 1.07 197.69 38640.94 195.46 -1.24 -24.28 DOW 162.45 0.84 136.74 1.00 136.74 38640.94 282.59 -2.06 -58.12 EUR 1333.88 0.59 790.56 1.00 790.56 38640.94 48.88 -11.68 -57.09 EUROSTX 408.60 1.40 570.49 1.07 612.44 38640.94 63.09 1.84 11.64 FEEDCOW 1076.38 0.60 642.50 1.00 642.50 38640.94 60.14 -6.67 -40.13 FTSE100 707.00 0.82 576.59 1.22 666.67 38640.94 57.96 7.70 44.62 GASOIL 738.25 2.13 1570.06 1.00 1570.06 38640.94 24.61 2.58 6.35 GASOILINE 1019.34 2.09 2135.23 1.00 2135.23 38640.94 18.10 -7.42 -13.43 GAS_US 263.20 5.41 1423.67 1.00 1423.67 38640.94 27.14 -17.02 -46.19 GBP 758.81 0.70 534.62 1.00 534.62 38640.94 72.28 7.36 53.22 GOLD_micro 192.35 0.90 173.01 1.00 173.01 38640.94 223.34 -10.28 -229.53 HEATOIL 1041.01 2.15 2242.35 1.00 2242.35 38640.94 17.23 1.34 2.31 JPY 948.00 0.70 659.25 1.00 659.25 38640.94 58.61 -4.48 -26.24 LEANHOG 373.90 1.64 613.07 1.00 613.07 38640.94 63.03 -20.00 -126.06 LIVECOW 627.70 0.52 327.76 1.00 327.76 38640.94 117.89 -3.48 -41.04 MXP 262.15 1.06 277.08 1.00 277.08 38640.94 139.46 12.57 175.26 NASDAQ 2540.95 1.15 2910.08 1.00 2910.08 38640.94 13.28 5.15 6.84 NIKKEI 27050.00 0.91 24705.49 0.01 185.08 38640.94 208.78 11.04 230.59 NZD 619.15 0.72 445.36 1.00 445.36 38640.94 86.76 4.95 42.92 OAT 1300.30 0.80 1043.56 1.07 1120.30 38640.94 34.49 13.37 46.10 OJ 363.68 2.15 780.71 1.00 780.71 38640.94 49.49 -3.82 -18.92 PALLAD 1418.50 2.63 3737.20 1.00 3737.20 38640.94 10.34 -5.50 -5.69 PLAT 490.05 2.00 981.38 1.00 981.38 38640.94 39.37 3.63 14.30 REDWHEAT 403.88 1.48 597.44 1.00 597.44 38640.94 64.68 2.01 13.02 ROBUSTA 210.10 1.25 262.10 1.00 262.10 38640.94 147.43 8.80 129.75 RUSSELL 89.40 1.35 120.43 1.00 120.43 38640.94 320.85 -1.56 -50.02 SILVER-mini 546.56 1.85 1008.50 1.00 1008.50 38640.94 38.32 -8.64 -33.09 SOYBEAN 662.12 0.75 498.33 1.00 498.33 38640.94 77.54 1.31 10.16 SOYMEAL 465.90 1.08 503.42 1.00 503.42 38640.94 76.76 7.10 54.53 SOYOIL 346.14 1.41 489.47 1.00 489.47 38640.94 78.94 2.54 20.03 SP400 2430.40 1.24 3019.28 1.00 3019.28 38640.94 12.80 -0.21 -0.27 SP500 1997.38 0.96 1910.44 1.00 1910.44 38640.94 20.23 0.61 1.22 SUGAR11 232.29 1.44 333.58 1.00 333.58 38640.94 115.84 15.97 185.02 US10 1142.66 0.59 678.65 1.00 678.65 38640.94 56.94 -1.61 -9.19 US10U 1203.91 0.73 876.22 1.00 876.22 38640.94 44.10 -5.96 -26.27 US20 1305.31 0.94 1222.48 1.00 1222.48 38640.94 31.61 -8.34 -26.36 US30 1408.75 1.22 1714.91 1.00 1714.91 38640.94 22.53 1.72 3.87 US5 1090.16 0.47 517.04 1.00 517.04 38640.94 74.74 -1.91 -14.25 VIX 238.50 3.73 889.16 1.00 889.16 38640.94 43.46 -16.22 -70.51 WHEAT 365.75 1.35 492.26 1.00 492.26 38640.94 78.50 -8.45 -66.31 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 2.372 0.006 2.5 0.038 BITCOIN -170.161 0.009 2.5 -4.009 BOBL 44.334 0.029 2.5 3.199 BTP 40.947 0.008 2.5 0.827 BUND 47.234 0.029 2.5 3.408 BUXL -5.309 0.034 2.5 -0.446 CAC 10.750 0.011 2.5 0.302 CAD 38.891 0.007 2.5 0.694 CANOLA 445.965 0.004 2.5 4.094 CHF -64.669 0.015 2.5 -2.420 COCOA -152.043 0.009 2.5 -3.312 COFFEE 22.767 0.005 2.5 0.295 COPPER 6.658 0.011 2.5 0.182 CORN 228.165 0.004 2.5 2.058 COTTON2 32.515 0.006 2.5 0.490 CRUDE_W 4.545 0.053 2.5 0.600 DAX -24.283 0.022 2.5 -1.319 DOW -58.119 0.011 2.5 -1.656 EUR -57.090 0.015 2.5 -2.137 EUROSTX 11.637 0.011 2.5 0.327 FEEDCOW -40.130 0.011 2.5 -1.078 FTSE100 44.617 0.041 2.5 4.599 GASOIL 6.348 0.029 2.5 0.453 GASOILINE -13.427 0.016 2.5 -0.551 GAS_US -46.193 0.006 2.5 -0.696 GBP 53.221 0.007 2.5 0.950 GOLD_micro -229.526 0.009 2.5 -5.136 HEATOIL 2.312 0.029 2.5 0.165 JPY -26.241 0.026 2.5 -1.699 LEANHOG -126.056 0.019 2.5 -5.889 LIVECOW -41.040 0.011 2.5 -1.103 MXP 175.262 0.005 2.5 2.146 NASDAQ 6.837 0.022 2.5 0.371 NIKKEI 230.587 0.076 2.5 43.796 NZD 42.920 0.006 2.5 0.686 OAT 46.102 0.008 2.5 0.931 OJ -18.917 0.007 2.5 -0.330 PALLAD -5.689 0.010 2.5 -0.137 PLAT 14.299 0.010 2.5 0.344 REDWHEAT 13.016 0.002 2.5 0.069 ROBUSTA 129.751 0.005 2.5 1.682 RUSSELL -50.017 0.021 2.5 -2.591 SILVER-mini -33.094 0.009 2.5 -0.740 SOYBEAN 10.165 0.024 2.5 0.599 SOYMEAL 54.535 0.024 2.5 3.215 SOYOIL 20.032 0.004 2.5 0.184 SP400 -0.265 0.021 2.5 -0.014 SP500 1.225 0.011 2.5 0.035 SUGAR11 185.020 0.005 2.5 2.511 US10 -9.188 0.015 2.5 -0.352 US10U -26.267 0.058 2.5 -3.827 US20 -26.365 0.029 2.5 -1.943 US30 3.866 0.034 2.5 0.325 US5 -14.249 0.015 2.5 -0.547 VIX -70.507 0.075 2.5 -13.287 WHEAT -66.306 0.002 2.5 -0.354 ==================== Position diags ==================== AUD 1.18 BITCOIN 8.00 BOBL 4.12 BTP 0.80 BUND 2.26 BUXL 1.13 CAC 1.10 CAD 2.11 CANOLA 3.72 CHF 1.59 COCOA 2.39 COFFEE 0.37 COPPER 0.75 CORN 1.59 COTTON2 0.75 CRUDE_W 3.74 DAX 10.62 DOW 8.05 EUR 1.83 EUROSTX 1.77 FEEDCOW 1.62 FTSE100 5.98 GASOIL 1.76 GASOILINE 0.74 GAS_US 0.41 GBP 1.29 GOLD_micro 5.00 HEATOIL 1.23 JPY 3.79 LEANHOG 2.94 LIVECOW 3.17 MXP 1.71 NASDAQ 0.72 NIKKEI 39.65 NZD 1.39 OAT 0.70 OJ 0.86 PALLAD 0.25 PLAT 0.95 REDWHEAT 0.35 ROBUSTA 1.91 RUSSELL 16.62 SILVER-mini 0.86 SOYBEAN 4.57 SOYMEAL 4.53 SOYOIL 0.72 SP400 0.66 SP500 0.58 SUGAR11 1.57 US10 2.18 US10U 6.43 US20 2.33 US30 1.89 US5 2.87 VIX 8.19 WHEAT 0.42 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 3.2 2.8 3.6 1.0 1 BTP 0.8 0.7 0.9 2.0 2 BUND 3.4 3.2 3.6 3.0 3 BUXL -0.4 -0.6 -0.3 0.0 0 CAC 0.3 0.2 0.4 1.0 1 CAD 0.7 0.5 0.9 0.0 0 CANOLA 4.1 3.7 4.5 NaN 0 CHF -2.4 -2.6 -2.3 -2.0 -2 COCOA -3.3 -3.6 -3.1 -6.0 -6 COFFEE 0.3 0.3 0.3 NaN 0 COPPER 0.2 0.1 0.3 0.0 0 CORN 2.1 1.9 2.2 5.0 5 COTTON2 0.5 0.4 0.6 NaN 0 CRUDE_W 0.6 0.2 1.0 5.0 5 DAX -1.3 -2.4 -0.3 2.0 2 DOW -1.7 -2.5 -0.9 -9.0 -9 EUR -2.1 -2.3 -2.0 -3.0 -3 EUROSTX 0.3 0.1 0.5 0.0 0 FEEDCOW -1.1 -1.2 -0.9 -3.0 -3 FTSE100 4.6 4.0 5.2 0.0 0 GASOIL 0.5 0.3 0.6 0.0 0 GASOILINE -0.6 -0.6 -0.5 -1.0 -1 GAS_US -0.7 -0.7 -0.7 -1.0 -1 GBP 1.0 0.8 1.1 4.0 4 GOLD_micro -5.1 -5.6 -4.6 -1.0 -1 HEATOIL 0.2 0.0 0.3 0.0 0 JPY -1.7 -2.1 -1.3 -6.0 -6 LEANHOG -5.9 -6.2 -5.6 -4.0 -4 LIVECOW -1.1 -1.4 -0.8 -5.0 -5 MXP 2.1 2.0 2.3 1.0 1 NASDAQ 0.4 0.3 0.4 0.0 0 NIKKEI 43.8 39.8 47.8 0.0 0 NZD 0.7 0.5 0.8 0.0 0 OAT 0.9 0.9 1.0 2.0 2 OJ -0.3 -0.4 -0.2 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 1.7 1.5 1.9 2.0 2 RUSSELL -2.6 -4.3 -0.9 -32.0 -32 SILVER-mini -0.7 -0.8 -0.7 -1.0 -1 SOYBEAN 0.6 0.1 1.1 0.0 0 SOYMEAL 3.2 2.8 3.7 5.0 5 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 -0.0 -0.1 0.1 6.0 6 SP500 0.0 -0.0 0.1 -1.0 -1 SUGAR11 2.5 2.4 2.7 3.0 3 US10 -0.4 -0.6 -0.1 NaN 0 US10U -3.8 -4.5 -3.2 -4.0 -4 US20 -1.9 -2.2 -1.7 -1.0 -1 US30 0.3 0.1 0.5 0.0 0 US5 -0.5 -0.8 -0.3 -6.0 -6 VIX -13.3 -14.1 -12.5 -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 -0.1 -0.1 BITCOIN -0.2 0.1 0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 0.0 0.2 0.0 -0.3 0.0 0.3 -0.2 -0.0 -0.0 -0.0 0.1 0.0 0.0 -0.1 0.0 1.3 -4.8 0.0 0.0 0.0 0.0 -0.0 0.0 0.1 -0.0 0.0 0.3 0.2 BOBL 0.1 0.2 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 -0.0 -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 -0.1 0.1 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 0.7 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 0.1 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 0.2 0.0 0.1 0.1 -0.1 -0.1 0.0 -0.2 0.0 0.6 -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 -0.2 0.2 -0.0 -0.0 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 0.1 -0.0 -1.9 1.7 0.0 -0.0 0.1 -0.0 0.1 -0.0 0.8 -0.1 0.0 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 -0.0 -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 -0.2 -0.0 -0.2 -0.0 -0.2 1.3 0.5 0.3 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 1.5 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 0.0 0.0 COCOA -0.1 0.0 0.2 -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 -0.1 0.3 0.1 -0.0 -0.0 -0.1 -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 0.0 -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 -0.3 0.3 -0.0 0.0 0.0 0.0 0.0 -0.0 -0.0 0.2 -0.0 -0.1 -0.0 0.1 -0.1 -0.0 -0.0 -0.0 0.0 0.1 -0.0 0.0 -0.0 -0.6 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 0.4 -0.3 -0.4 -0.1 0.1 CORN -0.2 -0.2 -0.3 -0.0 -0.0 -0.1 -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 -0.2 -0.0 0.0 -0.0 1.0 2.3 -0.1 -0.0 -0.1 -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 0.3 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.0 3.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.1 -0.0 -0.1 -0.3 0.1 CRUDE_W -0.1 -0.1 -0.1 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 0.6 0.5 0.2 0.2 -0.1 -0.0 -0.0 0.0 -0.0 -1.1 2.1 -0.0 -0.1 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.3 -0.1 0.1 DAX -0.3 -0.2 0.3 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.4 -0.0 0.1 -0.0 0.3 -0.3 -0.2 -0.1 -0.1 0.1 0.2 -0.0 0.1 -0.0 -2.6 2.2 0.0 -0.0 0.1 -0.0 0.0 -0.0 -0.5 -0.0 0.1 0.1 0.2 DOW -0.3 -0.3 -0.0 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.2 -0.0 0.0 -0.1 -0.3 -0.6 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 0.0 -0.0 -0.2 2.1 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.0 -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 0.1 -0.0 0.1 EUROSTX -0.2 -0.2 0.2 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.4 -0.0 0.3 -0.0 0.3 0.6 0.3 0.2 0.2 0.1 0.2 -0.0 0.1 -0.0 -2.4 -1.8 0.0 -0.0 0.1 -0.0 0.1 -0.0 2.6 -0.0 0.0 0.1 0.1 FEEDCOW 0.1 0.2 0.2 -0.0 -0.0 -0.0 -0.1 -0.0 -0.1 -0.0 0.2 0.0 0.1 0.0 0.3 -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 -0.1 -0.0 -0.1 -0.0 -0.2 0.0 -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 -0.0 0.0 -0.1 -0.2 GASOILINE -0.1 -0.1 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 1.1 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 -0.8 0.0 -0.1 0.0 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 0.3 0.4 0.0 -0.3 GBP -0.0 -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 0.1 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 0.1 -1.0 -0.4 -0.3 -0.3 0.1 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 0.4 0.1 0.1 HEATOIL -0.1 -0.2 -0.1 -0.0 -0.1 -0.0 -0.2 0.0 -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 -0.1 -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 -1.1 -0.5 -0.3 -0.3 -0.1 -0.0 0.0 -0.1 -0.0 0.5 2.0 -0.0 0.0 -0.0 0.0 -0.1 -0.0 -2.2 0.2 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 1.6 -2.3 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 -0.1 -0.4 -0.3 -0.3 LIVECOW -0.1 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 0.2 1.6 -0.8 0.2 -0.2 0.0 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 -0.2 -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 0.0 -0.0 0.1 -0.0 0.1 0.0 2.2 -0.0 0.3 0.3 0.3 NASDAQ -0.1 0.2 0.2 -0.0 -0.1 0.0 -0.2 0.0 -0.1 0.1 -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 0.1 0.0 0.0 0.0 0.0 -0.3 0.3 0.5 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 0.1 -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 0.1 0.0 0.1 -0.0 0.0 -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 -0.1 -0.2 -0.1 -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 -0.3 -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 0.2 0.2 0.1 -0.2 -0.1 -0.0 -0.1 -0.0 0.4 2.6 -0.0 0.0 -0.0 -0.0 -0.0 -0.0 -0.5 0.1 -0.4 -0.1 -0.2 ROBUSTA -0.0 0.3 0.3 -0.0 -0.0 -0.1 -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 0.5 -0.0 0.3 0.3 0.3 RUSSELL -0.3 -0.1 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.0 -0.1 -0.2 -0.0 -0.1 -0.4 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.5 2.0 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.1 -0.3 -0.2 0.0 -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 -0.2 -0.1 SOYBEAN -0.2 -0.1 -0.1 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.0 -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 -1.3 -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 -0.0 -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 1.1 -0.1 -0.4 -0.3 -0.3 SP400 -0.2 -0.1 0.1 -0.0 -0.0 0.0 -0.1 0.0 -0.1 -0.0 0.2 -0.0 -0.0 -0.0 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -1.2 2.4 -0.0 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.0 -0.0 SP500 -0.3 -0.0 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.0 -0.0 -0.2 -0.0 -0.0 -0.6 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 0.2 2.0 0.0 0.0 0.0 -0.0 -0.0 -0.0 -0.3 0.2 0.1 0.1 -0.0 SUGAR11 0.0 0.1 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 -0.0 0.3 0.0 0.3 0.0 0.3 1.6 0.8 0.4 0.4 0.2 0.2 0.0 0.1 0.0 -3.3 2.3 0.1 -0.0 0.1 0.0 0.1 0.0 2.7 0.0 0.4 0.3 0.3 US10 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 -0.6 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.2 0.0 -0.1 2.3 0.0 0.0 -0.0 0.0 -0.1 0.0 -1.4 0.0 0.0 0.0 0.0 US10U 0.1 -0.1 0.3 -0.0 0.0 -0.0 0.2 -0.1 0.0 0.0 -0.2 0.0 -0.3 -0.0 -0.1 0.1 0.1 0.0 0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.6 -2.9 0.0 0.0 -0.0 0.0 -0.0 0.0 0.4 0.0 0.2 0.1 0.1 US20 0.1 -0.1 0.3 -0.0 0.0 -0.0 0.2 -0.1 0.0 0.0 -0.1 0.0 -0.3 0.0 0.0 -0.2 -0.1 -0.1 -0.1 -0.0 -0.1 0.0 -0.2 0.0 -0.3 -2.7 0.0 0.0 -0.0 0.0 -0.1 0.0 -0.7 0.0 0.1 0.1 0.1 US30 0.1 -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 -0.0 -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 -0.1 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 -0.0 -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 -0.3 -0.1 0.0 -0.2 0.1 -0.2 0.0 0.0 -0.4 0.0 -0.5 0.0 -0.2 -1.7 -1.6 -0.8 -0.8 -0.0 -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 -18.3 6.8 -1.5 1.8 0.2 -0.1 -1.6 -2.7 -4.3 2.7 -10.4 -4.0 -13.6 -7.7 -3.5 -2.8 -3.5 -3.3 -10.4 -3.2 -10.3 -4.3 -16.3 5.9 11.7 -3.7 -0.5 -1.4 -3.6 -1.7 -5.6 -0.8 -17.5 -16.8 -10.8 -6.3 BITCOIN -16.3 8.8 20.0 -1.1 2.9 0.7 2.1 1.3 -0.9 12.1 8.4 8.3 -12.4 7.4 10.9 -3.2 -1.4 -2.4 -1.5 6.3 3.5 9.5 -6.3 4.8 6.1 -18.1 3.0 7.2 2.4 3.7 -0.6 1.7 1.7 -2.3 1.7 20.0 12.4 BOBL 13.3 12.8 13.1 -0.6 9.2 -1.7 7.8 -4.1 2.3 8.8 -13.7 6.9 -14.3 -2.1 -8.5 -2.3 4.5 -4.6 -0.3 -5.6 -10.2 17.6 -14.0 3.5 12.5 10.8 -1.7 12.2 -3.8 9.4 -6.7 2.5 4.1 14.2 -0.2 -2.3 -12.9 BTP 0.8 -0.2 7.5 -0.6 9.2 -1.7 7.8 -4.1 2.3 9.9 -1.2 9.6 -9.9 -1.5 1.4 7.7 12.4 9.0 11.3 0.7 -2.1 13.9 -10.8 5.3 -11.5 11.4 2.4 9.1 0.4 8.5 -6.0 4.3 20.0 -14.8 -3.3 10.7 5.6 BUND 9.6 7.2 12.7 -0.6 9.2 -1.7 7.8 -4.1 2.3 8.4 -13.1 7.1 -13.9 -3.1 -8.1 8.9 14.3 10.6 12.3 -5.4 -10.1 16.2 -15.1 3.2 8.1 12.3 -1.1 11.5 -3.5 9.4 -7.1 2.9 20.0 5.9 -0.0 0.1 -7.6 BUXL 12.3 3.3 8.3 -0.6 9.2 -1.7 7.8 -4.1 2.3 7.3 -12.3 7.2 -13.5 -3.3 -10.1 2.5 0.6 2.8 2.7 -6.1 -10.6 14.5 -15.3 2.6 4.6 -10.8 -1.7 10.5 -3.8 8.7 -6.6 2.4 2.2 2.3 -0.3 -2.6 -7.8 CAC -20.0 -12.6 10.3 -0.1 -4.1 1.8 -6.7 0.8 -4.2 -5.9 14.7 -6.5 10.7 0.3 11.2 -4.1 0.5 -3.6 -2.2 7.8 13.6 -14.5 11.4 -4.1 -16.6 8.9 2.8 -8.5 5.3 -8.0 4.4 -2.8 6.1 -13.8 1.5 11.5 12.0 CAD -18.5 -9.2 1.0 -1.5 1.8 0.2 -0.1 -1.6 -2.7 -2.0 -9.0 -9.1 -10.0 -11.9 -9.4 -2.7 -1.6 -2.4 -2.1 -12.3 -9.6 -10.3 -11.5 -15.8 17.1 10.4 -4.5 -0.3 -3.2 -4.0 -3.9 -6.0 1.3 -20.0 -17.8 -7.9 -17.4 CANOLA -20.0 -12.4 -12.5 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -14.0 -8.1 -15.5 -10.5 -12.9 -12.0 17.4 12.7 13.7 11.4 -20.0 -16.7 -20.0 -8.3 -20.0 6.7 11.5 -5.4 -9.0 -3.5 -9.6 -1.4 -7.7 8.0 -20.0 -20.0 -20.0 -20.0 CHF -6.7 -12.4 8.3 -1.5 1.8 0.2 -0.1 -1.6 -2.7 -2.0 9.3 0.4 2.6 -4.1 0.4 -14.3 -13.7 -14.7 -14.5 -0.1 2.8 4.2 1.3 0.7 -6.0 -11.5 0.1 -0.1 1.3 3.4 -0.6 0.7 -19.8 20.0 9.9 3.6 1.9 COCOA -10.7 1.4 15.5 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -7.8 11.2 -9.9 1.2 -3.0 6.8 -1.2 -2.6 -1.3 -1.6 6.5 9.8 -13.2 5.2 -3.5 -19.5 -10.4 3.4 -5.0 4.9 -5.8 3.0 -1.2 -15.2 -19.2 3.0 6.7 20.0 COFFEE -7.7 20.0 6.0 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 0.1 -5.5 -10.1 -7.8 4.6 7.4 2.8 3.1 2.2 2.8 4.2 -2.9 -5.4 -8.3 -0.1 11.6 10.0 1.3 0.2 -0.9 -2.8 -2.8 -1.0 -6.2 2.7 -1.1 20.0 13.6 COPPER -20.0 -17.2 18.4 -1.1 2.9 0.7 2.1 1.3 -0.9 -13.3 8.3 -12.4 -2.2 -10.6 4.8 -0.8 -0.5 -0.9 -0.7 1.1 7.2 -15.1 2.8 -8.6 -5.1 11.1 -1.6 -8.5 1.7 -6.6 1.5 -5.1 2.9 -20.0 -20.0 -7.3 6.7 CORN -20.0 -15.7 -20.0 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -6.9 -1.9 -13.1 -0.4 -14.3 -14.8 19.5 19.8 20.0 20.0 -20.0 -13.9 -19.5 0.3 -20.0 6.6 11.0 -5.9 -1.8 -4.3 -4.5 -1.1 -6.2 20.0 -8.2 -20.0 -20.0 -20.0 COTTON2 -4.2 -0.4 2.1 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -9.7 -9.2 -9.4 -10.3 -9.8 -4.9 -4.6 9.8 -2.8 2.0 -7.4 -9.3 -14.0 -9.4 -10.8 4.1 12.0 -3.9 -8.5 -2.3 -8.5 0.2 -6.6 -0.8 -15.2 -7.8 -10.3 4.6 CRUDE_W -9.5 -7.8 -4.9 -2.5 -12.7 -1.7 -9.0 1.8 -4.5 -13.9 -0.6 -13.3 0.2 -10.2 -6.7 7.6 11.6 8.3 9.3 -7.9 -3.7 -20.0 1.7 -16.1 -8.9 10.8 -3.1 -16.0 -0.7 -12.1 2.5 -6.8 -0.2 -14.4 -15.1 -5.7 3.7 DAX -20.0 -13.2 16.3 -0.1 -4.1 1.8 -6.7 0.8 -4.2 -7.0 14.8 -6.6 5.5 -0.4 11.3 -9.1 -5.6 -9.1 -7.8 6.9 12.7 -14.9 8.5 -4.6 -17.6 9.9 2.8 -9.5 5.6 -7.9 3.6 -2.6 -3.9 -1.9 3.7 8.8 9.8 DOW -20.0 -15.8 -0.1 -0.1 -4.1 1.8 -6.7 0.8 -4.2 -8.9 6.7 -12.7 0.8 -13.1 -10.3 -7.3 -4.5 -7.2 -6.4 -11.3 -1.9 -18.2 0.9 -18.9 -2.0 10.8 -2.4 -3.5 0.8 -7.4 1.4 -6.2 -2.0 -2.3 -1.2 -6.0 -11.1 EUR -10.0 -20.0 17.6 -1.5 1.8 0.2 -0.1 -1.6 -2.7 -4.1 8.7 -2.0 -2.3 -10.5 0.4 -7.4 -8.7 -8.1 -8.4 -1.0 4.2 -2.0 -1.6 -4.2 -6.4 -11.1 -0.3 -2.7 2.1 -1.1 -1.6 -2.2 -10.3 -2.8 5.5 -1.0 7.8 EUROSTX -20.0 -13.0 12.2 -0.1 -4.1 1.8 -6.7 0.8 -4.2 -5.4 14.7 -6.4 10.0 -0.5 11.2 7.6 6.6 9.2 7.9 6.8 13.0 -13.1 10.3 -4.2 -18.5 -8.5 2.6 -8.3 5.8 -8.0 4.6 -3.0 19.3 -5.0 2.2 7.9 9.5 FEEDCOW 17.3 18.3 12.6 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -6.7 8.9 4.9 5.0 10.6 12.6 -20.0 -20.0 -20.0 -20.0 18.5 12.2 5.7 5.5 17.6 -14.4 12.2 5.6 -1.5 4.3 1.7 2.3 4.9 -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 0.6 -12.8 -8.4 -2.5 -12.7 -1.7 -9.0 1.8 -4.5 -13.8 -8.6 -8.4 7.6 -11.4 -6.9 20.0 20.0 20.0 20.0 -8.9 -5.6 -17.2 7.0 -10.8 -1.7 -15.4 -4.5 -13.7 -3.8 -8.1 1.1 -4.9 20.0 -3.7 0.0 -4.7 -12.2 GASOILINE -7.0 -3.6 0.4 -2.5 -12.7 -1.7 -9.0 1.8 -4.5 -12.9 1.1 -11.2 3.0 -7.0 4.7 12.9 10.8 1.3 2.6 -0.9 1.6 -18.9 6.3 -8.4 -13.7 -13.1 0.4 -12.0 3.1 -8.8 6.7 -4.0 -5.9 0.8 -3.3 3.9 17.3 GAS_US 20.0 -5.7 -20.0 -2.5 -12.7 -1.7 -9.0 1.8 -4.5 -11.3 -15.8 -3.4 -12.3 -6.2 -14.8 -18.3 -6.1 -9.7 -6.6 -20.0 -20.0 -5.7 -20.0 -9.4 6.2 -9.3 -4.5 -2.3 -6.5 -1.9 -2.3 -1.6 -20.0 17.9 17.7 0.5 -20.0 GBP -3.0 -13.7 8.2 -1.5 1.8 0.2 -0.1 -1.6 -2.7 7.5 9.6 6.4 -2.7 -4.9 -1.6 -2.0 -2.0 -2.3 -2.2 -1.3 0.5 6.0 -4.5 -0.4 12.0 9.4 -1.9 4.3 -2.3 3.2 -6.6 -0.8 0.8 9.1 15.0 -0.9 -4.2 GOLD_micro 1.6 -20.0 15.2 -1.1 2.9 0.7 2.1 1.3 -0.9 13.8 6.7 12.2 -2.2 -1.6 2.3 -12.3 -10.5 -12.4 -11.9 4.1 5.7 20.0 2.9 8.9 2.3 -13.8 1.7 10.3 2.0 8.9 1.3 3.9 -15.3 20.0 20.0 8.5 8.1 HEATOIL -6.1 -13.5 -8.3 -2.5 -12.7 -1.7 -9.0 1.8 -4.5 -13.1 -8.1 -12.5 6.8 -13.9 -7.4 20.0 20.0 20.0 20.0 -10.8 -5.8 -20.0 6.2 -15.2 -10.7 -13.6 -4.1 -11.7 -1.4 -9.4 4.8 -6.4 20.0 -6.8 -9.6 -8.2 -3.5 JPY -9.4 -17.1 15.3 -1.5 1.8 0.2 -0.1 -1.6 -2.7 11.3 4.4 7.9 -7.3 -9.1 -3.2 -14.7 -12.2 -13.9 -13.4 -5.6 -1.4 7.1 -9.1 -4.7 3.5 9.9 -1.7 5.0 -0.7 3.2 -4.7 -1.2 -17.5 18.9 8.4 -10.1 4.2 LEANHOG -2.4 -4.4 -13.2 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -12.0 -11.6 -11.7 -7.8 -12.2 -14.3 -20.0 -20.0 -20.0 -20.0 -12.5 -10.7 -20.0 -5.1 -13.3 10.7 -11.1 -5.7 -13.5 -4.9 -7.5 -2.6 -5.7 -20.0 -18.3 -20.0 -20.0 -20.0 LIVECOW -15.7 5.3 11.3 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -12.6 12.8 -13.2 7.7 1.6 8.8 20.0 -20.0 10.4 -10.1 4.3 10.1 -20.0 7.8 -8.4 -20.0 12.0 1.8 -10.3 4.9 -9.2 4.8 -4.0 -20.0 -14.3 -12.3 9.8 20.0 MXP -17.2 -13.8 2.2 -1.5 1.8 0.2 -0.1 -1.6 -2.7 -8.8 14.6 -7.4 15.3 3.1 11.5 19.5 20.0 20.0 20.0 10.3 14.5 -12.3 14.1 0.0 -20.0 9.7 4.4 -6.3 6.2 -5.1 5.8 0.1 20.0 -20.0 15.9 20.0 18.3 NASDAQ -11.1 14.1 9.5 -0.1 -4.1 1.8 -6.7 0.8 -4.2 11.8 -2.3 2.2 -10.3 4.1 7.8 -7.2 -4.9 -6.7 -6.1 6.0 2.8 9.2 -6.6 3.9 2.6 10.2 4.4 9.8 3.5 4.5 0.4 3.1 -1.9 20.0 20.0 20.0 8.3 NIKKEI -0.1 12.9 -1.7 0.1 -9.9 1.9 -8.4 0.8 -4.3 -13.2 3.3 -4.8 3.8 6.6 7.4 15.0 15.1 19.1 17.8 7.2 4.5 -7.5 1.9 4.2 8.7 -9.4 3.1 -8.0 1.2 -2.2 -0.5 2.5 20.0 20.0 20.0 20.0 -12.1 NZD -10.3 -20.0 7.8 -1.5 1.8 0.2 -0.1 -1.6 -2.7 5.0 7.5 0.2 -1.8 -11.0 -5.8 0.5 0.4 0.2 0.1 -6.5 -0.5 -0.8 -3.0 -8.2 0.2 10.8 -2.6 1.5 -0.4 -0.1 -1.4 -3.2 4.8 -6.8 1.5 -6.9 -0.8 OAT 4.9 0.1 6.9 -0.6 9.2 -1.7 7.8 -4.1 2.3 8.5 -12.1 7.0 -13.5 -5.1 -8.9 10.0 12.2 10.7 11.7 -6.6 -9.9 14.1 -14.5 1.2 4.4 12.7 -1.5 10.6 -3.6 8.2 -7.8 2.0 20.0 -3.6 -5.2 -1.6 -7.0 OJ -11.5 -5.3 -6.3 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 9.6 14.0 0.8 14.9 8.5 10.6 20.0 17.7 20.0 20.0 16.8 19.9 6.2 19.8 10.6 -20.0 -14.3 5.6 0.9 6.6 1.2 6.4 3.2 20.0 20.0 20.0 20.0 20.0 PALLAD 0.4 -13.4 -20.0 -1.1 2.9 0.7 2.1 1.3 -0.9 0.9 -15.4 -1.5 -13.8 -11.5 -14.5 -2.9 -2.1 -2.9 -2.6 -20.0 -20.0 -1.2 -20.0 -12.7 20.0 -11.1 -5.5 0.6 -5.3 0.0 -3.8 -3.3 0.0 -8.4 -13.7 -20.0 -20.0 PLAT 10.9 -20.0 -1.9 -1.1 2.9 0.7 2.1 1.3 -0.9 2.9 2.7 6.7 0.2 -4.3 -7.1 -1.9 -1.2 -1.9 -1.6 -4.3 -1.3 5.6 0.9 -0.0 -1.2 11.2 -2.9 2.0 -1.0 1.7 -0.0 -1.4 1.7 -2.1 5.3 -11.1 -10.7 REDWHEAT -20.0 -0.3 -9.8 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 11.0 -11.7 -7.3 -10.5 -8.8 -10.3 8.8 3.6 7.8 6.2 -13.0 -12.4 -5.0 -8.0 -13.3 2.7 12.9 -4.3 2.7 -2.9 -1.6 -0.2 -4.6 -3.4 8.4 -20.0 -9.7 -12.8 ROBUSTA -4.0 20.0 20.0 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -7.9 3.2 -6.8 0.0 7.4 11.2 5.4 8.9 8.1 9.1 15.7 11.6 -8.8 4.8 5.6 -8.9 9.6 4.1 -3.4 2.7 -2.6 0.9 1.6 3.9 -10.1 18.0 20.0 20.0 RUSSELL -20.0 -3.2 6.8 -0.1 -4.1 1.8 -6.7 0.8 -4.2 -11.0 0.5 -13.6 -7.7 -11.1 -2.6 -5.8 -4.0 -5.8 -5.2 -7.1 -0.2 -20.0 -2.7 -20.0 -3.6 10.0 -0.5 -7.0 1.7 -9.1 1.0 -5.6 -0.5 -20.0 -7.1 3.2 -2.7 SILVER-mini -5.5 -20.0 2.6 -1.1 2.9 0.7 2.1 1.3 -0.9 10.7 3.0 7.0 -2.6 -8.2 -7.9 -6.0 -4.6 -5.7 -5.3 -9.4 -2.9 7.6 -1.0 -5.8 4.5 -11.3 -3.4 4.1 -1.5 2.3 -1.1 -2.2 -4.5 6.6 -8.7 -15.8 -8.4 SOYBEAN -14.8 -4.3 -6.2 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -14.0 2.1 -13.9 3.0 -9.6 -7.7 20.0 20.0 20.0 20.0 -7.8 -2.9 -20.0 3.3 -14.9 -8.7 -11.7 -4.1 -10.6 -0.9 -9.9 2.9 -7.2 20.0 -16.4 -20.0 -20.0 -1.5 SOYMEAL -7.1 6.4 20.0 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -10.3 14.5 0.1 14.1 9.1 14.1 20.0 18.7 20.0 20.0 15.9 20.0 -2.7 20.0 6.5 -20.0 -12.0 5.1 -5.1 8.9 -1.8 10.4 1.1 20.0 20.0 4.8 8.5 20.0 SOYOIL -13.6 -10.2 -14.3 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -7.0 -7.5 -11.8 1.2 -12.3 -14.3 1.0 14.2 3.8 8.5 -15.9 -10.9 -18.4 -0.8 -19.3 -3.5 12.9 -5.6 -1.3 -3.5 -5.6 0.2 -6.4 8.4 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -7.0 7.8 -0.1 -4.1 1.8 -6.7 0.8 -4.2 -11.2 6.5 -13.7 -0.4 -10.8 -2.4 -6.2 -3.9 -5.7 -4.9 -6.4 3.1 -20.0 2.6 -20.0 -7.1 10.2 -0.9 -8.2 1.8 -9.9 1.8 -6.1 -0.0 -20.0 -15.5 0.9 -2.1 SP500 -20.0 -1.4 4.4 -0.1 -4.1 1.8 -6.7 0.8 -4.2 -2.6 0.1 -8.7 -6.8 -9.1 -0.9 -7.6 -5.3 -7.3 -6.5 -4.3 -0.6 -9.8 -3.4 -11.0 2.0 10.2 0.2 1.3 1.7 -4.1 -0.2 -3.5 -2.6 13.7 4.5 7.3 -2.9 SUGAR11 1.9 8.9 11.9 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 -4.1 13.8 7.3 10.9 13.0 14.0 20.0 20.0 20.0 20.0 16.8 16.5 4.1 12.3 12.3 -20.0 10.7 6.2 -0.9 7.5 0.9 6.5 3.6 20.0 20.0 20.0 20.0 20.0 US10 9.7 -5.9 17.2 -0.6 9.2 -1.7 7.8 -4.1 2.3 9.2 -8.9 9.0 -12.1 -1.8 -4.1 -7.8 -3.6 -8.0 -7.1 -3.8 -7.2 20.0 -12.8 5.4 -0.6 9.7 0.3 11.1 -1.5 10.1 -4.5 4.2 -9.9 9.7 14.3 3.2 4.0 US10U 8.7 -4.5 16.1 -0.6 9.2 -1.7 7.8 -4.1 2.3 9.1 -7.9 9.4 -11.9 -1.0 -2.5 1.0 3.0 0.8 1.1 -2.9 -6.6 18.8 -12.9 5.5 -4.3 -14.1 1.2 10.8 -0.7 10.2 -3.9 4.7 2.7 5.3 14.1 6.7 8.6 US20 8.2 -4.0 16.5 -0.6 9.2 -1.7 7.8 -4.1 2.3 9.4 -5.5 10.3 -10.5 1.2 0.2 -2.5 -1.6 -4.6 -3.8 -1.7 -5.7 20.0 -12.4 7.1 -2.0 -12.3 1.1 10.1 -1.0 10.1 -3.9 4.8 -5.2 10.6 14.2 8.1 8.7 US30 4.9 -2.6 16.1 -0.6 9.2 -1.7 7.8 -4.1 2.3 8.1 -4.3 9.6 -11.5 -1.0 -1.8 -1.1 -0.6 -1.3 -1.2 -1.6 -5.6 14.2 -14.6 4.6 -7.3 10.0 1.8 8.7 -0.1 9.0 -4.5 4.6 -2.2 -8.5 8.7 9.2 13.2 US5 12.5 -5.1 20.0 -0.6 9.2 -1.7 7.8 -4.1 2.3 9.1 -9.6 8.4 -12.6 -1.8 -4.8 -11.2 -4.2 -10.2 -8.5 -4.0 -7.3 20.0 -12.4 5.5 2.0 10.8 -0.3 10.8 -2.0 9.8 -4.9 3.7 -11.7 11.8 15.0 -1.2 1.7 VIX 20.0 20.0 -4.3 -2.8 4.5 -4.9 5.2 -4.6 1.4 5.8 -13.0 7.6 -13.5 4.1 -7.9 -11.1 -20.0 -19.5 -20.0 -3.2 -10.5 13.4 -11.2 6.9 NaN -13.5 -3.3 5.3 -6.6 6.2 -6.5 2.0 NaN NaN NaN NaN NaN WHEAT -20.0 -1.2 -13.2 -2.4 -8.2 -2.1 -8.5 -1.3 -5.5 5.6 -13.8 -8.8 -14.0 -11.2 -12.8 -12.0 -7.4 -10.7 -9.2 -19.1 -19.4 -9.7 -15.0 -18.6 8.7 11.9 -4.8 0.8 -3.7 -2.8 -1.4 -5.2 -20.0 2.6 -20.0 -14.8 -15.6 End of report for caleb_strategy_v1