******************************************************************************** Strategy report for caleb_strategy_v1 backtest timestamp 20230317_204907 produced at 2023-03-17 21:36:19.059888 ******************************************************************************** ====================================================================================================================================================================================================================================================================================== 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 -0.17 0.0 4.833994e+07 -4.833994e+07 -0.19 -0.10 -3.48 999999999 -4 -2 caleb_strategy_v1 CHF False False 0.05 -0.11 -0.13 0.0 5.408077e+07 -5.408077e+07 -0.11 -0.16 -2.49 999999999 -2 -3 caleb_strategy_v1 VIX False False 0.01 -0.19 -0.13 0.0 1.024777e+07 -1.024777e+07 -0.19 -0.17 -12.27 999999999 -19 -17 caleb_strategy_v1 EUR False False 0.05 -0.21 -0.12 0.0 5.312438e+07 -5.312438e+07 -0.21 -0.21 -2.17 999999999 -4 -4 caleb_strategy_v1 US20 False False 0.05 -0.05 -0.10 0.0 5.247770e+07 -5.247770e+07 -0.05 -0.05 -1.89 999999999 -1 -1 caleb_strategy_v1 LEANHOG False False 0.01 -0.06 -0.09 0.0 1.475917e+07 -1.475917e+07 -0.06 -0.06 -6.15 999999999 -4 -4 caleb_strategy_v1 FEEDCOW False False 0.04 -0.13 -0.05 0.0 4.267592e+07 -4.267592e+07 -0.13 -0.13 -1.13 999999999 -3 -3 caleb_strategy_v1 JPY False False 0.04 -0.23 -0.05 0.0 3.806987e+07 -3.806987e+07 -0.23 -0.19 -1.43 999999999 -6 -5 caleb_strategy_v1 COCOA False False 0.01 -0.05 -0.03 0.0 1.085431e+07 -1.085431e+07 -0.05 -0.05 -3.12 999999999 -5 -5 caleb_strategy_v1 LIVECOW False False 0.02 -0.12 -0.03 0.0 2.481269e+07 -2.481269e+07 -0.12 -0.12 -1.24 999999999 -5 -5 caleb_strategy_v1 GOLD_micro False False 0.01 0.00 -0.03 0.0 7.853320e+06 -7.853320e+06 0.00 0.00 -4.33 999999999 0 0 caleb_strategy_v1 BUXL False False 0.06 0.00 -0.02 0.0 6.229342e+07 -6.229342e+07 0.00 0.00 -0.40 999999999 0 0 caleb_strategy_v1 SILVER-mini False False 0.02 -0.02 -0.02 0.0 2.254708e+07 -2.254708e+07 -0.02 -0.02 -0.67 999999999 -1 -1 caleb_strategy_v1 GASOILINE False False 0.04 -0.04 -0.02 0.0 4.001197e+07 -4.001197e+07 -0.04 -0.04 -0.57 999999999 -1 -1 caleb_strategy_v1 US5 False False 0.04 -0.17 -0.02 0.0 4.365089e+07 -4.365089e+07 -0.17 -0.17 -0.38 999999999 -4 -4 caleb_strategy_v1 PALLAD False False 0.06 -0.06 -0.01 0.0 5.548067e+07 -5.548067e+07 -0.06 -0.06 -0.14 999999999 -1 -1 caleb_strategy_v1 US10 False False 0.05 0.00 -0.01 0.0 4.585604e+07 -4.585604e+07 0.00 0.00 -0.23 999999999 0 0 caleb_strategy_v1 WHEAT False False 0.01 -0.06 -0.01 0.0 1.466799e+07 -1.466799e+07 -0.06 -0.06 -0.36 999999999 -4 -4 caleb_strategy_v1 DAX False False 0.01 0.00 -0.01 0.0 6.322778e+06 -6.322778e+06 0.00 0.00 -1.98 999999999 0 0 caleb_strategy_v1 DOW False False 0.01 -0.06 -0.01 0.0 6.360555e+06 -6.360555e+06 -0.06 -0.07 -1.82 999999999 -9 -11 caleb_strategy_v1 RUSSELL False False 0.00 -0.05 -0.01 0.0 3.454311e+06 -3.454311e+06 -0.05 -0.05 -3.48 999999999 -15 -14 caleb_strategy_v1 GAS_US False False 0.01 -0.01 -0.01 0.0 9.768087e+06 -9.768087e+06 -0.01 -0.01 -0.71 999999999 -1 -1 caleb_strategy_v1 SOYOIL False False 0.01 0.00 0.00 0.0 1.365788e+07 -1.365788e+07 0.00 0.00 0.18 999999999 0 0 caleb_strategy_v1 EUROSTX False False 0.02 0.00 0.00 0.0 1.692416e+07 -1.692416e+07 0.00 0.00 0.23 999999999 0 0 caleb_strategy_v1 AUD False False 0.03 0.00 0.00 0.0 2.663627e+07 -2.663627e+07 0.00 0.00 0.07 999999999 0 0 caleb_strategy_v1 SP400 False False 0.09 0.00 -0.00 0.0 9.491377e+07 -9.491377e+07 0.00 0.00 -0.05 999999999 0 0 caleb_strategy_v1 REDWHEAT False False 0.02 0.03 0.00 0.0 1.623885e+07 -1.623885e+07 0.03 0.03 0.08 999999999 2 2 caleb_strategy_v1 SP500 False False 0.08 0.08 0.00 0.0 7.828047e+07 -7.828047e+07 0.08 0.08 0.04 999999999 1 1 caleb_strategy_v1 OJ False False 0.01 0.00 -0.00 0.0 1.447374e+07 -1.447374e+07 0.00 0.00 -0.34 999999999 0 0 caleb_strategy_v1 BITCOIN False False 0.00 -0.01 -0.00 0.0 1.066799e+06 -1.066799e+06 -0.01 -0.01 -3.87 999999999 -8 -8 caleb_strategy_v1 COPPER False False 0.04 0.00 0.01 0.0 3.862240e+07 -3.862240e+07 0.00 0.00 0.19 999999999 0 0 caleb_strategy_v1 PLAT False False 0.02 0.06 0.01 0.0 1.939148e+07 -1.939148e+07 0.06 0.06 0.38 999999999 3 3 caleb_strategy_v1 CRUDE_W False False 0.03 0.10 0.01 0.0 2.616452e+07 -2.616452e+07 0.10 0.10 0.40 999999999 4 4 caleb_strategy_v1 HEATOIL False False 0.04 0.00 0.01 0.0 4.116749e+07 -4.116749e+07 0.00 0.00 0.14 999999999 0 0 caleb_strategy_v1 SOYBEAN False False 0.03 0.00 0.01 0.0 2.602577e+07 -2.602577e+07 0.00 0.00 0.50 999999999 0 0 caleb_strategy_v1 ROBUSTA False False 0.01 0.02 0.01 0.0 8.202180e+06 -8.202180e+06 0.02 0.02 1.60 999999999 2 2 caleb_strategy_v1 CAC False False 0.03 0.00 0.01 0.0 2.933930e+07 -2.933930e+07 0.00 0.00 0.26 999999999 0 0 caleb_strategy_v1 GASOIL False False 0.03 0.00 0.01 0.0 2.930624e+07 -2.930624e+07 0.00 0.00 0.43 999999999 0 0 caleb_strategy_v1 COFFEE False False 0.03 0.00 0.01 0.0 2.626115e+07 -2.626115e+07 0.00 0.00 0.29 999999999 0 0 caleb_strategy_v1 COTTON2 False False 0.02 0.00 0.01 0.0 1.537364e+07 -1.537364e+07 0.00 0.00 0.48 999999999 0 0 caleb_strategy_v1 NZD False False 0.02 0.00 0.02 0.0 2.483251e+07 -2.483251e+07 0.00 0.00 0.69 999999999 0 0 caleb_strategy_v1 MXP False False 0.01 0.01 0.02 0.0 1.028741e+07 -1.028741e+07 0.01 0.01 2.14 999999999 1 1 caleb_strategy_v1 US30 False False 0.06 0.00 0.02 0.0 5.677651e+07 -5.677651e+07 0.00 0.00 0.38 999999999 0 0 caleb_strategy_v1 CAD False False 0.03 0.00 0.02 0.0 2.890386e+07 -2.890386e+07 0.00 0.00 0.72 999999999 0 0 caleb_strategy_v1 CORN False False 0.01 0.06 0.02 0.0 1.112488e+07 -1.112488e+07 0.06 0.06 2.09 999999999 5 5 caleb_strategy_v1 CANOLA False False 0.00 0.00 0.02 0.0 4.319961e+06 -4.319961e+06 0.00 0.00 4.21 999999999 0 0 caleb_strategy_v1 SUGAR11 False False 0.01 0.04 0.02 0.0 9.177562e+06 -9.177562e+06 0.04 0.04 2.60 999999999 4 4 caleb_strategy_v1 GBP False False 0.03 0.21 0.03 0.0 3.022547e+07 -3.022547e+07 0.21 0.24 1.00 999999999 7 8 caleb_strategy_v1 NASDAQ False False 0.10 0.20 0.04 0.0 1.004202e+08 -1.004202e+08 0.20 0.20 0.38 999999999 2 2 caleb_strategy_v1 SOYMEAL False False 0.02 0.09 0.05 0.0 1.818830e+07 -1.818830e+07 0.09 0.09 2.87 999999999 5 5 caleb_strategy_v1 BTP False False 0.05 0.05 0.05 0.0 4.901791e+07 -4.901791e+07 0.05 0.05 0.92 999999999 1 1 caleb_strategy_v1 OAT False False 0.06 0.11 0.06 0.0 5.565990e+07 -5.565990e+07 0.11 0.11 1.03 999999999 2 2 caleb_strategy_v1 FTSE100 True False 0.03 0.00 0.16 0.0 0.000000e+00 0.000000e+00 0.00 0.00 4.69 999999999 0 0 caleb_strategy_v1 BOBL False False 0.05 0.05 0.19 0.0 5.043002e+07 -5.043002e+07 0.05 0.10 3.75 999999999 1 2 caleb_strategy_v1 BUND False False 0.06 0.18 0.22 0.0 5.835305e+07 -5.835305e+07 0.18 0.18 3.78 999999999 3 3 caleb_strategy_v1 NIKKEI False True 0.01 0.00 0.26 0.0 0.000000e+00 0.000000e+00 0.00 0.00 32.11 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 12.3 Shocked risk 27.0 Sum abs risk 41.6 Leverage 2.38 Risk scalar 1.00 Vol target calculation {'base_currency': 'USD', 'percentage_vol_target': 25.0, 'notional_trading_capital': 2522500.08, 'annual_cash_vol_target': 630625.02, 'daily_cash_vol_target': 39414.06375} ==================================================================== Vol calculation ==================================================================== Daily return vol Price Daily % vol annual % vol AUD 0.0052 0.6719 0.7738 12.3812 BITCOIN 1160.2224 26910.0000 4.3115 68.9839 BOBL 0.6181 119.2800 0.5182 8.2913 BTP 0.8796 115.9400 0.7587 12.1384 BUND 1.1171 138.0200 0.8094 12.9500 BUXL 2.5919 147.3400 1.7592 28.1465 CAC 87.5849 6939.5000 1.2621 20.1939 CAD 0.0032 0.7291 0.4394 7.0304 CANOLA 6.5619 746.1000 0.8795 14.0718 CHF 0.0072 1.0914 0.6583 10.5334 COCOA 37.0991 2738.0000 1.3550 21.6795 COFFEE 3.5696 176.6500 2.0207 32.3316 COPPER 0.0551 3.8970 1.4137 22.6190 CORN 4.3955 561.2500 0.7832 12.5307 COTTON2 1.5409 77.5600 1.9867 31.7878 CRUDE_W 1.3463 66.0000 2.0398 32.6369 DAX 180.2840 14955.0000 1.2055 19.2882 DOW 277.3748 32089.0000 0.8644 13.8303 EUR 0.0063 1.0720 0.5858 9.3735 EUROSTX 54.9144 4003.0000 1.3718 21.9493 FEEDCOW 1.2559 215.3000 0.5833 9.3336 FTSE100 57.6590 7070.0000 0.8155 13.0487 GASOIL 15.3625 739.2500 2.0781 33.2498 GASOILINE 0.0497 2.4031 2.0681 33.0895 GAS_US 0.1427 2.4640 5.7895 92.6323 GBP 0.0084 1.2199 0.6923 11.0770 GOLD_micro 19.6916 1981.0000 0.9940 15.9044 HEATOIL 0.0521 2.4725 2.1084 33.7337 JPY 0.0001 0.0077 0.7078 11.3254 LEANHOG 1.4979 93.0750 1.6094 25.7501 LIVECOW 0.8045 156.4750 0.5141 8.2261 MXP 0.0005 0.0519 1.0376 16.6017 NASDAQ 143.2144 12665.5000 1.1307 18.0919 NIKKEI 297.4145 26710.0000 1.1135 17.8159 NZD 0.0048 0.6264 0.7688 12.3013 OAT 1.0112 131.6500 0.7681 12.2898 OJ 5.0978 243.4000 2.0944 33.5109 PALLAD 36.4853 1399.5000 2.6070 41.7123 PLAT 19.1787 978.3000 1.9604 31.3665 REDWHEAT 11.9002 819.2500 1.4526 23.2412 ROBUSTA 26.7354 2069.0000 1.2922 20.6751 RUSSELL 24.6639 1742.7000 1.4153 22.6443 SILVER-mini 0.4308 22.7500 1.8936 30.2973 SOYBEAN 9.9409 1313.0000 0.7571 12.1139 SOYMEAL 5.1128 458.8000 1.1144 17.8302 SOYOIL 0.8010 57.4200 1.3950 22.3196 SP400 30.8321 2394.2000 1.2878 20.6045 SP500 38.4221 3949.2500 0.9729 15.5663 SUGAR11 0.2929 20.6700 1.4170 22.6725 US10 0.7160 115.6719 0.6190 9.9038 US10U 0.8989 121.9375 0.7372 11.7951 US20 1.2203 132.3750 0.9219 14.7500 US30 1.7093 143.2188 1.1935 19.0953 US5 0.5422 110.1094 0.4924 7.8788 VIX 0.9322 25.8500 3.6062 57.6989 WHEAT 9.7396 740.0000 1.3162 21.0585 =========================================================================================================================================== Subsystem position =========================================================================================================================================== Block_Value Daily price % vol ICV FX IVV Daily Cash Vol Tgt Vol Scalar Combined forecast subsystem_position AUD 671.90 0.77 519.94 1.00 519.94 39414.06 75.81 0.60 4.57 BITCOIN 26.91 4.31 116.02 1.00 116.02 39414.06 339.71 -4.83 -164.20 BOBL 1192.80 0.52 618.12 1.06 655.07 39414.06 60.17 8.63 51.92 BTP 1159.40 0.76 879.58 1.06 932.16 39414.06 42.28 10.76 45.50 BUND 1380.20 0.81 1117.10 1.06 1183.88 39414.06 33.29 15.72 52.32 BUXL 1473.40 1.76 2591.94 1.06 2746.88 39414.06 14.35 -3.33 -4.77 CAC 693.95 1.26 875.85 1.06 928.21 39414.06 42.46 2.20 9.32 CAD 729.10 0.44 320.37 1.00 320.37 39414.06 123.03 3.28 40.30 CANOLA 149.22 0.88 131.24 0.73 95.36 39414.06 413.33 11.09 458.40 CHF 1364.19 0.66 898.09 1.00 898.09 39414.06 43.89 -15.15 -66.48 COCOA 273.80 1.35 370.99 1.00 370.99 39414.06 106.24 -13.48 -143.24 COFFEE 662.44 2.02 1338.61 1.00 1338.61 39414.06 29.44 7.69 22.65 COPPER 974.25 1.41 1377.28 1.00 1377.28 39414.06 28.62 2.46 7.04 CORN 280.62 0.78 219.78 1.00 219.78 39414.06 179.34 12.90 231.32 COTTON2 387.80 1.99 770.46 1.00 770.46 39414.06 51.16 6.25 31.99 CRUDE_W 660.00 2.04 1346.27 1.00 1346.27 39414.06 29.28 1.05 3.06 DAX 149.55 1.21 180.28 1.06 191.06 39414.06 206.29 -1.77 -36.53 DOW 160.44 0.86 138.69 1.00 138.69 39414.06 284.19 -2.25 -64.02 EUR 1340.06 0.59 785.06 1.00 785.06 39414.06 50.20 -11.56 -58.02 EUROSTX 400.30 1.37 549.14 1.06 581.97 39414.06 67.73 1.18 8.01 FEEDCOW 1076.50 0.58 627.97 1.00 627.97 39414.06 62.76 -6.73 -42.21 FTSE100 707.00 0.82 576.59 1.21 666.67 39414.06 59.12 7.70 45.51 GASOIL 739.25 2.08 1536.25 1.00 1536.25 39414.06 25.66 2.35 6.02 GASOILINE 1009.30 2.07 2087.33 1.00 2087.33 39414.06 18.88 -7.36 -13.90 GAS_US 246.40 5.79 1426.54 1.00 1426.54 39414.06 27.63 -16.99 -46.94 GBP 762.44 0.69 527.85 1.00 527.85 39414.06 74.67 7.53 56.26 GOLD_micro 198.10 0.99 196.92 1.00 196.92 39414.06 200.16 -9.66 -193.42 HEATOIL 1038.45 2.11 2189.42 1.00 2189.42 39414.06 18.00 1.10 1.98 JPY 960.31 0.71 679.75 1.00 679.75 39414.06 57.98 -3.80 -22.03 LEANHOG 372.30 1.61 599.17 1.00 599.17 39414.06 65.78 -20.00 -131.56 LIVECOW 625.90 0.51 321.79 1.00 321.79 39414.06 122.48 -3.78 -46.33 MXP 259.50 1.04 269.26 1.00 269.26 39414.06 146.38 11.95 174.92 NASDAQ 2533.10 1.13 2864.29 1.00 2864.29 39414.06 13.76 5.09 7.00 NIKKEI 26710.00 1.11 29741.45 0.01 223.65 39414.06 176.23 9.59 169.07 NZD 626.40 0.77 481.60 1.00 481.60 39414.06 81.84 5.30 43.41 OAT 1316.50 0.77 1011.22 1.06 1071.68 39414.06 36.78 13.90 51.11 OJ 365.10 2.09 764.68 1.00 764.68 39414.06 51.54 -3.78 -19.48 PALLAD 1399.50 2.61 3648.53 1.00 3648.53 39414.06 10.80 -5.56 -6.01 PLAT 489.15 1.96 958.93 1.00 958.93 39414.06 41.10 3.81 15.68 REDWHEAT 409.62 1.45 595.01 1.00 595.01 39414.06 66.24 2.31 15.32 ROBUSTA 206.90 1.29 267.35 1.00 267.35 39414.06 147.42 8.39 123.76 RUSSELL 87.14 1.42 123.32 1.00 123.32 39414.06 319.61 -2.10 -67.20 SILVER-mini 568.75 1.89 1076.97 1.00 1076.97 39414.06 36.60 -8.20 -30.00 SOYBEAN 656.50 0.76 497.05 1.00 497.05 39414.06 79.30 1.07 8.45 SOYMEAL 458.80 1.11 511.28 1.00 511.28 39414.06 77.09 6.32 48.69 SOYOIL 344.52 1.39 480.60 1.00 480.60 39414.06 82.01 2.38 19.53 SP400 2394.20 1.29 3083.21 1.00 3083.21 39414.06 12.78 -0.70 -0.90 SP500 1974.62 0.97 1921.11 1.00 1921.11 39414.06 20.52 0.64 1.31 SUGAR11 231.50 1.42 328.05 1.00 328.05 39414.06 120.15 15.93 191.37 US10 1156.72 0.62 716.00 1.00 716.00 39414.06 55.05 -1.09 -6.00 US10U 1219.38 0.74 898.91 1.00 898.91 39414.06 43.85 -5.45 -23.91 US20 1323.75 0.92 1220.33 1.00 1220.33 39414.06 32.30 -7.94 -25.63 US30 1432.19 1.19 1709.26 1.00 1709.26 39414.06 23.06 1.97 4.55 US5 1101.09 0.49 542.21 1.00 542.21 39414.06 72.69 -1.38 -10.00 VIX 258.50 3.61 932.20 1.00 932.20 39414.06 42.28 -15.40 -65.10 WHEAT 370.00 1.32 486.98 1.00 486.98 39414.06 80.94 -8.33 -67.40 ===================================================================== Portfolio positions ===================================================================== subsystem_position instr weight IDM Notional position AUD 4.565 0.006 2.5 0.073 BITCOIN -164.196 0.009 2.5 -3.869 BOBL 51.922 0.029 2.5 3.747 BTP 45.504 0.008 2.5 0.919 BUND 52.320 0.029 2.5 3.775 BUXL -4.775 0.034 2.5 -0.401 CAC 9.324 0.011 2.5 0.262 CAD 40.298 0.007 2.5 0.720 CANOLA 458.395 0.004 2.5 4.208 CHF -66.480 0.015 2.5 -2.488 COCOA -143.236 0.009 2.5 -3.120 COFFEE 22.646 0.005 2.5 0.294 COPPER 7.040 0.011 2.5 0.192 CORN 231.317 0.004 2.5 2.086 COTTON2 31.986 0.006 2.5 0.482 CRUDE_W 3.062 0.053 2.5 0.405 DAX -36.532 0.022 2.5 -1.984 DOW -64.016 0.011 2.5 -1.824 EUR -58.018 0.015 2.5 -2.171 EUROSTX 8.015 0.011 2.5 0.225 FEEDCOW -42.214 0.011 2.5 -1.134 FTSE100 45.509 0.041 2.5 4.691 GASOIL 6.018 0.029 2.5 0.429 GASOILINE -13.904 0.016 2.5 -0.571 GAS_US -46.943 0.006 2.5 -0.707 GBP 56.263 0.007 2.5 1.005 GOLD_micro -193.417 0.009 2.5 -4.328 HEATOIL 1.979 0.029 2.5 0.141 JPY -22.026 0.026 2.5 -1.426 LEANHOG -131.561 0.019 2.5 -6.147 LIVECOW -46.330 0.011 2.5 -1.245 MXP 174.923 0.005 2.5 2.142 NASDAQ 7.004 0.022 2.5 0.380 NIKKEI 169.072 0.076 2.5 32.112 NZD 43.412 0.006 2.5 0.694 OAT 51.107 0.008 2.5 1.032 OJ -19.484 0.007 2.5 -0.340 PALLAD -6.006 0.010 2.5 -0.145 PLAT 15.676 0.010 2.5 0.377 REDWHEAT 15.325 0.002 2.5 0.082 ROBUSTA 123.759 0.005 2.5 1.605 RUSSELL -67.201 0.021 2.5 -3.481 SILVER-mini -30.001 0.009 2.5 -0.671 SOYBEAN 8.448 0.024 2.5 0.498 SOYMEAL 48.687 0.024 2.5 2.871 SOYOIL 19.528 0.004 2.5 0.179 SP400 -0.897 0.021 2.5 -0.046 SP500 1.306 0.011 2.5 0.037 SUGAR11 191.372 0.005 2.5 2.597 US10 -5.997 0.015 2.5 -0.230 US10U -23.909 0.058 2.5 -3.484 US20 -25.629 0.029 2.5 -1.889 US30 4.551 0.034 2.5 0.382 US5 -9.996 0.015 2.5 -0.383 VIX -65.104 0.075 2.5 -12.269 WHEAT -67.404 0.002 2.5 -0.360 ==================== Position diags ==================== AUD 1.21 BITCOIN 8.00 BOBL 4.34 BTP 0.85 BUND 2.40 BUXL 1.20 CAC 1.19 CAD 2.20 CANOLA 3.79 CHF 1.64 COCOA 2.31 COFFEE 0.38 COPPER 0.78 CORN 1.62 COTTON2 0.77 CRUDE_W 3.87 DAX 11.20 DOW 8.10 EUR 1.88 EUROSTX 1.90 FEEDCOW 1.69 FTSE100 6.09 GASOIL 1.83 GASOILINE 0.78 GAS_US 0.42 GBP 1.33 GOLD_micro 4.48 HEATOIL 1.28 JPY 3.75 LEANHOG 3.07 LIVECOW 3.29 MXP 1.79 NASDAQ 0.75 NIKKEI 33.47 NZD 1.31 OAT 0.74 OJ 0.90 PALLAD 0.26 PLAT 0.99 REDWHEAT 0.35 ROBUSTA 1.91 RUSSELL 16.55 SILVER-mini 0.82 SOYBEAN 4.68 SOYMEAL 4.55 SOYOIL 0.75 SP400 0.66 SP500 0.58 SUGAR11 1.63 US10 2.11 US10U 6.39 US20 2.38 US30 1.94 US5 2.79 VIX 7.97 WHEAT 0.43 dtype: float64 =================================================================================================== Positions vs buffers =================================================================================================== Notional position Lower buffer Upper buffer Position at timestamp Current position AUD 0.1 -0.0 0.2 0.0 0 BITCOIN -3.9 -4.7 -3.1 -8.0 -8 BOBL 3.7 3.3 4.2 1.0 1 BTP 0.9 0.8 1.0 1.0 1 BUND 3.8 3.5 4.0 3.0 3 BUXL -0.4 -0.5 -0.3 0.0 0 CAC 0.3 0.1 0.4 0.0 0 CAD 0.7 0.5 0.9 0.0 0 CANOLA 4.2 3.8 4.6 NaN 0 CHF -2.5 -2.7 -2.3 -2.0 -2 COCOA -3.1 -3.4 -2.9 -5.0 -5 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 0.4 0.0 0.8 4.0 4 DAX -2.0 -3.1 -0.9 0.0 0 DOW -1.8 -2.6 -1.0 -9.0 -9 EUR -2.2 -2.4 -2.0 -4.0 -4 EUROSTX 0.2 0.0 0.4 0.0 0 FEEDCOW -1.1 -1.3 -1.0 -3.0 -3 FTSE100 4.7 4.1 5.3 0.0 0 GASOIL 0.4 0.2 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 0.9 1.1 7.0 7 GOLD_micro -4.3 -4.8 -3.9 0.0 0 HEATOIL 0.1 0.0 0.3 0.0 0 JPY -1.4 -1.8 -1.1 -6.0 -6 LEANHOG -6.1 -6.5 -5.8 -4.0 -4 LIVECOW -1.2 -1.6 -0.9 -5.0 -5 MXP 2.1 2.0 2.3 1.0 1 NASDAQ 0.4 0.3 0.5 2.0 2 NIKKEI 32.1 28.8 35.5 0.0 0 NZD 0.7 0.6 0.8 0.0 0 OAT 1.0 1.0 1.1 2.0 2 OJ -0.3 -0.4 -0.2 NaN 0 PALLAD -0.1 -0.2 -0.1 -1.0 -1 PLAT 0.4 0.3 0.5 3.0 3 REDWHEAT 0.1 0.0 0.1 2.0 2 ROBUSTA 1.6 1.4 1.8 2.0 2 RUSSELL -3.5 -5.1 -1.8 -15.0 -15 SILVER-mini -0.7 -0.8 -0.6 -1.0 -1 SOYBEAN 0.5 0.0 1.0 0.0 0 SOYMEAL 2.9 2.4 3.3 5.0 5 SOYOIL 0.2 0.1 0.3 0.0 0 SP400 -0.0 -0.1 0.0 0.0 0 SP500 0.0 -0.0 0.1 1.0 1 SUGAR11 2.6 2.4 2.8 4.0 4 US10 -0.2 -0.4 -0.0 NaN 0 US10U -3.5 -4.1 -2.8 -4.0 -4 US20 -1.9 -2.1 -1.7 -1.0 -1 US30 0.4 0.2 0.6 0.0 0 US5 -0.4 -0.7 -0.1 -4.0 -4 VIX -12.3 -13.1 -11.5 -19.0 -19 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 -0.2 -0.3 -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 0.1 -0.0 0.3 0.2 BOBL 0.2 0.2 0.2 0.0 0.0 -0.0 0.1 -0.1 0.0 0.0 -0.3 0.0 -0.3 0.0 -0.1 -0.1 0.2 -0.1 -0.0 -0.0 -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 -0.2 0.0 0.1 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 0.2 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 -0.0 -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 0.2 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 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.4 -0.0 0.3 -0.0 0.2 -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 -0.0 0.2 0.2 CAD -0.2 -0.2 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 -0.2 -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 -0.2 -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 1.2 0.5 0.3 0.2 -0.2 -0.2 -0.0 -0.1 -0.0 1.7 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 -0.9 -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 0.2 -0.0 -0.0 -0.1 -0.1 -0.0 -0.1 0.0 0.3 -0.0 0.0 -0.0 0.2 -0.0 -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 -0.0 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 1.8 2.2 0.0 -0.0 -0.0 -0.0 -0.0 -0.0 -0.9 0.0 -0.1 0.3 0.2 COPPER -0.2 -0.3 0.3 -0.0 0.1 0.0 0.1 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 -0.1 -0.0 -0.0 -0.1 -0.3 1.5 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 -0.1 0.0 -0.0 -0.1 -0.0 -0.1 -0.0 1.1 3.0 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.2 -0.0 -0.1 -0.4 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 -0.1 -0.0 -0.0 -0.2 0.6 0.5 0.2 0.2 -0.1 -0.1 -0.0 0.0 -0.0 -1.0 2.1 -0.0 -0.0 -0.0 -0.0 0.0 -0.0 -0.0 -0.1 -0.3 -0.1 0.0 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 0.1 DOW -0.3 -0.3 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.1 0.2 -0.1 0.0 -0.1 -0.3 -0.5 -0.2 -0.1 -0.1 -0.2 -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 -0.2 0.0 -0.1 -0.0 0.4 -0.0 0.3 -0.0 0.2 0.5 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 0.3 0.2 -0.0 -0.0 -0.1 -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 -2.5 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 -0.1 -0.0 -0.2 0.0 -0.1 -0.1 -0.2 -0.0 0.2 -0.1 -0.2 1.7 0.9 0.4 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 1.2 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 0.8 -1.8 -0.1 -0.0 -0.1 -0.0 -0.0 -0.0 -2.7 0.2 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 0.1 -0.3 0.3 -0.0 0.1 0.0 0.1 0.0 0.0 0.0 0.2 0.0 -0.0 0.0 0.1 -1.0 -0.4 -0.3 -0.3 0.1 0.1 0.0 0.0 0.0 0.2 -2.7 0.0 0.0 0.0 0.0 0.0 0.0 -1.9 0.1 0.4 0.2 0.1 HEATOIL -0.1 -0.2 -0.2 -0.0 -0.1 -0.0 -0.2 0.0 -0.1 -0.1 -0.2 -0.1 0.2 -0.1 -0.2 1.7 0.9 0.5 0.5 -0.2 -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 -0.1 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 -0.0 -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 0.3 -0.1 0.1 LEANHOG -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 -0.3 -1.6 -0.8 -0.4 -0.4 -0.2 -0.1 -0.0 -0.1 -0.0 1.7 -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 -0.2 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 0.3 -0.2 0.0 0.1 -0.0 0.1 -0.0 -3.3 2.6 0.0 -0.0 0.0 -0.0 0.1 -0.0 -2.8 -0.0 -0.3 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 0.2 1.4 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 0.1 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 0.2 1.9 0.1 0.0 0.0 0.0 0.0 0.0 -0.3 0.3 0.5 0.3 0.2 NIKKEI -0.0 0.1 -0.0 -0.0 -0.1 0.0 -0.2 0.0 -0.1 -0.0 0.1 -0.0 0.1 0.0 0.1 0.8 0.5 0.3 0.3 0.0 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 0.1 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 0.1 -0.1 -0.0 OAT 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 -0.2 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 0.1 0.0 0.0 0.0 0.1 0.0 0.0 -0.0 -0.2 -0.1 -0.0 -0.0 -0.0 -0.0 -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 -0.1 -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 -0.1 -0.1 -0.0 -0.1 -0.0 0.4 2.6 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.5 0.1 -0.4 -0.1 -0.2 ROBUSTA -0.1 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 -0.1 0.0 -0.2 0.0 -0.1 -0.1 -0.0 -0.1 -0.2 -0.1 -0.1 -0.3 -0.2 -0.1 -0.1 -0.1 -0.0 -0.0 -0.0 -0.0 -0.4 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 -0.0 -0.3 0.0 -0.0 0.0 0.0 0.1 0.0 0.0 0.0 0.1 0.0 -0.1 -0.0 -0.2 -0.3 -0.2 -0.1 -0.1 -0.1 -0.0 0.0 -0.0 -0.0 0.9 -3.2 -0.0 0.0 -0.0 0.0 -0.0 -0.0 -0.0 0.0 -0.1 -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 -1.2 -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 0.3 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 0.0 0.0 0.1 0.3 SOYOIL -0.2 -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 -0.4 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 -0.2 0.1 -0.0 -0.0 0.0 -0.2 0.0 -0.1 -0.0 0.1 -0.0 -0.0 -0.1 -0.1 -0.3 -0.1 -0.1 -0.1 -0.1 0.0 -0.0 0.0 -0.0 -1.1 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 -0.1 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 0.2 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 0.2 -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 -0.6 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 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 0.1 -0.0 0.2 -0.1 0.0 0.0 -0.2 0.0 -0.3 0.0 -0.0 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 -0.0 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 0.1 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 0.1 0.1 0.2 US5 0.2 -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 -0.9 -0.2 -0.2 -0.2 -0.0 -0.1 0.0 -0.1 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 -0.2 -0.0 0.0 -0.2 0.1 -0.2 0.0 0.0 -0.4 0.0 -0.5 0.0 -0.2 -1.6 -1.6 -0.8 -0.8 -0.0 -0.2 0.0 -0.2 0.0 NaN -3.1 -0.0 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 -19.3 6.8 -1.4 3.5 0.2 0.9 -1.6 -2.1 4.0 2.6 -8.5 -4.0 -13.0 -8.0 -3.5 -2.8 -3.5 -3.3 -10.2 -3.4 -6.5 -4.4 -14.4 6.0 11.7 -3.7 1.6 -1.5 -2.3 -1.8 -5.1 -0.8 -16.5 -16.1 -10.7 -6.5 BITCOIN -14.7 8.2 20.0 -0.7 6.4 0.8 3.8 1.4 0.1 13.5 8.9 11.0 -12.3 9.1 11.6 -3.1 -1.4 -2.4 -1.5 7.4 3.9 15.1 -5.9 7.9 5.7 -18.1 3.4 9.9 2.5 5.8 -0.4 2.9 1.6 13.7 -0.6 20.0 13.4 BOBL 17.6 14.5 14.1 0.1 10.4 -1.4 8.8 -3.8 3.4 12.9 -13.2 10.6 -14.1 1.8 -6.5 -1.6 4.5 -4.2 -0.2 -3.4 -9.5 20.0 -14.0 8.2 12.4 10.8 -0.7 12.9 -3.3 10.6 -6.3 3.9 4.1 20.0 2.0 -0.4 -12.2 BTP 3.8 0.9 7.9 0.1 10.4 -1.4 8.8 -3.8 3.4 13.5 -0.9 12.5 -9.8 0.9 2.4 7.8 12.4 9.0 11.3 2.3 -1.6 18.6 -10.8 8.5 -11.4 11.4 2.9 11.1 0.7 9.8 -5.3 5.4 20.0 -17.1 -5.0 10.4 5.0 BUND 13.2 8.6 13.4 0.1 10.4 -1.4 8.8 -3.8 3.4 12.8 -12.7 10.8 -13.8 0.2 -6.5 8.6 14.3 10.5 12.2 -3.5 -9.6 20.0 -15.3 7.4 8.1 12.3 -0.2 12.5 -3.0 10.5 -6.6 4.3 20.0 9.5 0.4 1.1 -7.5 BUXL 15.0 4.6 8.0 0.1 10.4 -1.4 8.8 -3.8 3.4 12.3 -11.9 10.7 -13.4 0.2 -9.0 2.5 0.6 2.8 2.7 -4.4 -10.2 19.8 -15.5 6.3 4.8 -10.8 -0.8 11.7 -3.3 10.0 -6.2 3.8 2.2 2.7 -0.6 -1.7 -8.3 CAC -20.0 -13.8 10.7 -0.7 -6.3 1.4 -7.4 0.6 -4.9 -10.4 14.3 -9.5 10.6 -2.8 10.0 -4.1 0.5 -3.6 -2.2 6.3 13.5 -19.0 11.7 -7.4 -16.6 8.9 1.9 -9.5 4.8 -9.0 4.2 -3.9 6.1 -10.2 -2.3 11.5 11.7 CAD -17.9 -10.5 0.8 -1.4 3.5 0.2 0.9 -1.6 -2.1 -2.2 -9.3 -8.9 -10.1 -11.8 -9.6 -2.7 -1.6 -2.4 -2.1 -12.7 -10.1 -9.8 -11.9 -15.6 17.2 10.4 -4.5 -0.7 -3.3 -3.7 -3.9 -5.8 1.3 -20.0 -18.3 -8.5 -17.5 CANOLA -20.0 -14.1 -13.3 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -14.1 -8.5 -15.6 -10.7 -13.6 -12.5 16.6 12.6 13.5 11.4 -20.0 -17.9 -20.0 -8.8 -20.0 7.6 11.5 -5.4 -8.6 -3.5 -9.4 -1.4 -7.7 7.8 -20.0 -20.0 -20.0 -20.0 CHF -4.7 -12.8 8.0 -1.4 3.5 0.2 0.9 -1.6 -2.1 -1.1 9.2 0.0 2.7 -3.8 0.1 -13.8 -13.7 -14.5 -14.4 0.0 2.8 3.4 1.3 0.7 -6.0 -11.5 0.2 0.8 1.3 2.9 -0.5 0.8 -19.7 16.8 8.0 3.9 1.9 COCOA -12.1 0.6 15.0 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 1.6 11.2 -5.7 1.3 -1.8 6.9 -0.5 -2.5 -1.1 -1.4 6.5 9.4 -4.4 5.0 -1.0 -19.9 -10.4 3.6 2.7 5.1 -2.2 3.2 -0.3 -15.2 -0.4 3.8 8.7 20.0 COFFEE -9.8 19.4 6.8 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -1.6 -5.5 -9.9 -7.8 3.9 7.2 2.9 3.1 2.2 2.8 3.8 -2.9 -5.1 -8.2 -0.4 11.4 10.0 1.1 -0.7 -0.9 -2.6 -2.8 -1.1 -6.4 9.1 -3.7 20.0 13.9 COPPER -18.0 -17.9 18.3 -0.7 6.4 0.8 3.8 1.4 0.1 -12.0 8.1 -13.0 -2.3 -11.5 4.2 -0.8 -0.5 -0.9 -0.8 0.2 6.8 -15.5 2.7 -9.9 -4.9 11.1 -1.9 -6.5 1.5 -6.5 1.4 -5.4 2.8 -20.0 -20.0 -9.8 5.6 CORN -20.0 -16.4 -20.0 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -2.8 -2.4 -12.1 -0.5 -13.6 -14.6 19.1 19.8 20.0 20.0 -20.0 -14.2 -14.9 -0.0 -20.0 6.8 11.0 -5.9 -0.1 -4.4 -3.5 -1.2 -5.7 20.0 -4.7 -20.0 -20.0 -20.0 COTTON2 -4.9 -1.3 1.6 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -12.5 -9.4 -11.4 -10.4 -11.0 -6.0 -4.6 9.6 -2.9 1.9 -8.4 -9.8 -16.7 -9.7 -12.6 4.3 12.0 -4.1 -9.6 -2.4 -8.9 0.0 -6.9 -1.2 -20.0 -6.5 -12.9 4.1 CRUDE_W -12.2 -8.9 -5.4 -2.8 -11.1 -1.8 -9.2 1.5 -5.2 -14.0 -1.2 -14.2 -0.1 -11.4 -7.7 7.2 11.6 8.1 9.2 -10.0 -4.7 -20.0 1.3 -19.9 -8.6 10.8 -3.5 -14.0 -1.0 -11.9 2.0 -7.3 -0.2 -17.7 -16.9 -6.9 2.7 DAX -20.0 -14.9 16.2 -0.7 -6.3 1.4 -7.4 0.6 -4.9 -10.5 14.4 -9.2 5.4 -3.1 10.1 -8.9 -5.6 -9.0 -7.8 5.4 12.3 -18.1 8.5 -7.3 -17.7 9.9 2.1 -9.9 5.1 -8.7 3.4 -3.7 -3.9 -1.5 3.2 9.2 9.4 DOW -20.0 -17.2 -0.5 -0.7 -6.3 1.4 -7.4 0.6 -4.9 -12.2 6.3 -13.6 0.7 -13.8 -11.0 -7.1 -4.6 -7.2 -6.4 -11.9 -2.5 -18.7 0.6 -19.3 -2.2 10.8 -2.7 -5.8 0.5 -7.6 1.2 -6.4 -2.0 0.0 1.1 -4.1 -10.9 EUR -8.0 -19.8 17.4 -1.4 3.5 0.2 0.9 -1.6 -2.1 -0.1 8.7 -0.6 -2.3 -10.2 0.1 -7.3 -8.7 -8.0 -8.4 -0.9 4.1 -0.6 -1.6 -3.6 -6.6 -11.1 -0.3 -0.0 2.1 -0.5 -1.7 -2.0 -10.3 -2.0 3.9 -1.4 7.6 EUROSTX -20.0 -14.3 12.4 -0.7 -6.3 1.4 -7.4 0.6 -4.9 -9.1 14.4 -8.7 10.0 -3.0 10.0 6.6 6.5 8.8 7.7 5.5 12.8 -16.5 10.6 -6.9 -18.6 -8.5 1.8 -9.1 5.3 -8.8 4.4 -4.0 19.2 -2.6 1.5 8.5 9.2 FEEDCOW 15.7 19.0 13.1 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -6.3 9.0 4.4 5.2 9.9 12.2 -20.0 -20.0 -20.0 -20.0 18.5 12.6 5.3 5.8 16.7 -14.6 12.2 5.6 -0.7 4.4 1.5 2.4 4.6 -20.0 20.0 20.0 20.0 20.0 FTSE100 0.7 -18.6 -9.2 -2.4 5.3 -3.3 4.7 -2.5 1.1 13.1 -6.5 9.7 2.0 -7.7 -9.6 0.8 15.8 12.4 16.4 -10.7 -8.9 8.8 -0.9 -2.7 -6.8 10.2 -3.2 5.6 -4.3 4.7 -3.0 0.3 20.0 -12.6 -13.6 4.9 2.9 GASOIL -0.2 -13.4 -8.9 -2.8 -11.1 -1.8 -9.2 1.5 -5.2 -13.8 -9.0 -10.9 7.5 -12.4 -7.8 20.0 20.0 20.0 20.0 -10.4 -6.3 -20.0 6.8 -13.7 -1.8 -15.4 -4.7 -12.4 -3.8 -9.1 0.9 -5.8 20.0 0.3 -0.4 -5.9 -12.0 GASOILINE -8.4 -4.1 0.6 -2.8 -11.1 -1.8 -9.2 1.5 -5.2 -13.7 0.8 -12.9 2.9 -8.8 3.7 14.0 10.9 2.1 3.0 -2.3 1.1 -20.0 6.2 -10.9 -13.8 -13.1 -0.3 -10.7 2.6 -9.2 6.3 -4.8 -5.4 1.0 -3.9 3.2 16.8 GAS_US 20.0 -3.9 -20.0 -2.8 -11.1 -1.8 -9.2 1.5 -5.2 -13.1 -15.8 -5.9 -12.4 -7.3 -14.9 -18.3 -6.2 -10.0 -6.9 -20.0 -20.0 -8.8 -20.0 -10.6 6.5 -9.3 -4.7 -5.2 -6.5 -3.3 -2.4 -2.3 -20.0 15.4 18.6 3.3 -20.0 GBP -1.0 -13.8 8.2 -1.4 3.5 0.2 0.9 -1.6 -2.1 10.7 9.7 9.0 -2.6 -3.5 -1.2 -2.1 -2.0 -2.3 -2.2 -0.6 0.7 8.1 -4.5 1.2 11.9 9.4 -1.5 6.2 -2.3 4.4 -6.6 0.1 0.8 8.3 14.8 -0.8 -4.1 GOLD_micro 6.6 -20.0 15.1 -0.7 6.4 0.8 3.8 1.4 0.1 14.0 7.2 13.5 -1.9 1.8 3.8 -12.1 -10.5 -12.3 -11.9 5.9 5.9 20.0 2.9 12.9 1.8 -13.8 2.4 14.7 2.1 10.9 1.3 5.2 -15.3 20.0 20.0 11.5 9.1 HEATOIL -7.0 -14.1 -8.7 -2.8 -11.1 -1.8 -9.2 1.5 -5.2 -13.5 -8.5 -13.5 6.6 -14.4 -8.3 20.0 20.0 20.0 20.0 -12.2 -6.6 -20.0 5.9 -17.3 -10.7 -13.6 -4.3 -9.4 -1.5 -9.1 4.4 -6.7 20.0 -1.7 -9.3 -9.1 -3.7 JPY -5.5 -16.8 16.1 -1.4 3.5 0.2 0.9 -1.6 -2.1 13.4 4.6 10.9 -7.2 -7.1 -2.9 -14.7 -12.2 -13.9 -13.4 -4.0 -1.0 12.5 -8.7 -1.1 3.4 9.9 -1.2 9.0 -0.5 5.5 -4.7 0.2 -17.6 20.0 12.1 -7.7 4.7 LEANHOG -6.1 -5.7 -14.1 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -13.4 -11.9 -13.2 -8.0 -13.0 -14.6 -20.0 -20.0 -20.0 -20.0 -14.6 -11.7 -20.0 -5.6 -17.7 11.6 -11.1 -5.7 -12.8 -4.6 -8.8 -2.5 -6.3 -20.0 -20.0 -20.0 -20.0 -20.0 LIVECOW -19.2 4.2 11.0 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -13.6 12.3 -14.2 7.6 -1.6 7.5 20.0 -20.0 13.0 -8.4 2.8 9.5 -20.0 7.8 -10.7 -20.0 12.0 1.1 -9.5 4.5 -9.3 4.6 -4.8 -20.0 -20.0 -14.7 8.3 19.9 MXP -20.0 -13.3 2.5 -1.4 3.5 0.2 0.9 -1.6 -2.1 -11.8 14.1 -10.2 15.2 0.9 10.5 18.9 20.0 20.0 20.0 9.2 14.3 -14.7 14.4 -2.4 -20.0 9.7 4.0 -6.6 6.1 -5.7 5.9 -0.7 20.0 -20.0 6.8 20.0 17.5 NASDAQ -8.7 12.6 10.3 -0.7 -6.3 1.4 -7.4 0.6 -4.9 12.1 -2.1 6.1 -10.2 5.0 8.4 -7.1 -4.9 -6.7 -6.1 7.0 3.2 12.8 -6.4 6.3 2.0 10.2 4.6 9.0 3.5 5.6 0.5 3.9 -2.0 20.0 20.0 20.0 10.3 NIKKEI -4.1 8.7 -2.3 -0.7 -6.3 1.4 -7.4 0.6 -4.9 -9.4 2.5 -8.1 3.7 0.0 5.2 13.1 15.0 18.1 17.4 3.1 2.8 -13.7 1.3 -2.8 8.4 -9.4 1.7 -8.9 0.8 -6.2 -0.5 -0.7 20.0 8.2 20.0 20.0 -11.9 NZD -7.3 -20.0 7.9 -1.4 3.5 0.2 0.9 -1.6 -2.1 10.0 7.5 4.4 -1.8 -9.9 -5.7 0.6 0.4 0.3 0.2 -5.4 -0.4 3.0 -2.8 -5.6 0.2 10.8 -2.3 5.4 -0.4 1.6 -1.5 -2.4 4.8 0.1 3.6 -6.9 -0.9 OAT 8.2 1.2 7.3 0.1 10.4 -1.4 8.8 -3.8 3.4 12.8 -11.8 10.7 -13.4 -2.4 -7.7 9.8 12.2 10.6 11.7 -4.9 -9.5 19.3 -14.7 5.0 4.6 12.7 -0.7 11.7 -3.1 9.6 -7.3 3.4 20.0 -2.1 -5.8 -1.2 -7.3 OJ -13.2 -3.7 -6.4 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 9.9 14.0 1.1 14.8 8.7 10.6 20.0 17.8 20.0 20.0 16.9 20.0 6.2 20.0 10.5 -20.0 -14.3 5.6 1.0 6.7 1.2 6.6 3.1 20.0 20.0 20.0 20.0 20.0 PALLAD 1.7 -13.7 -20.0 -0.7 6.4 0.8 3.8 1.4 0.1 -3.4 -15.4 -3.5 -13.9 -11.8 -14.5 -2.6 -2.1 -2.8 -2.5 -20.0 -20.0 -4.2 -20.0 -13.2 20.0 -11.1 -5.6 -1.2 -5.4 -0.8 -3.9 -3.4 0.0 -16.9 -18.0 -20.0 -20.0 PLAT 11.9 -19.6 -2.0 -0.7 6.4 0.8 3.8 1.4 0.1 2.9 2.7 6.6 0.2 -3.9 -6.9 -1.8 -1.2 -1.9 -1.5 -4.0 -1.2 5.2 0.9 0.3 -1.0 11.2 -2.8 1.6 -1.0 1.6 -0.0 -1.2 1.6 -11.5 3.5 -10.5 -11.1 REDWHEAT -20.0 -0.5 -9.4 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 13.2 -11.6 -5.4 -10.5 -7.6 -9.5 9.2 3.7 8.0 6.3 -12.2 -12.3 -0.3 -8.1 -10.6 2.5 12.9 -4.1 4.8 -3.0 0.1 -0.3 -3.7 -3.4 16.5 -20.0 -8.7 -12.2 ROBUSTA -6.4 20.0 20.0 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -11.8 3.2 -9.7 0.1 6.1 10.7 5.3 8.9 8.0 9.0 14.1 11.0 -10.8 4.7 3.2 -8.8 9.6 3.9 -4.6 2.7 -3.3 1.0 0.9 3.7 -12.1 14.2 20.0 20.0 RUSSELL -20.0 -6.0 6.8 -0.7 -6.3 1.4 -7.4 0.6 -4.9 -13.1 -0.2 -14.4 -7.9 -12.2 -4.0 -5.7 -4.0 -5.8 -5.2 -8.7 -1.1 -20.0 -2.9 -20.0 -3.5 10.0 -1.1 -8.5 1.3 -9.4 0.8 -6.1 -0.5 -20.0 -7.8 3.1 -2.6 SILVER-mini -0.2 -20.0 2.5 -0.7 6.4 0.8 3.8 1.4 0.1 12.9 3.1 10.0 -2.5 -6.2 -7.0 -5.6 -4.6 -5.6 -5.3 -7.2 -2.3 12.5 -0.9 -1.9 4.0 -11.3 -3.0 7.5 -1.4 4.2 -1.1 -1.1 -4.5 10.5 -7.5 -13.6 -8.5 SOYBEAN -17.9 -5.2 -6.8 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -14.0 1.1 -14.6 2.8 -10.9 -8.6 20.0 20.0 20.0 20.0 -9.5 -3.7 -20.0 3.0 -17.7 -8.2 -11.7 -4.3 -10.8 -1.1 -10.0 2.5 -7.4 20.0 -20.0 -20.0 -20.0 -2.5 SOYMEAL -10.3 3.8 20.0 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -12.8 14.3 -5.0 14.0 7.1 13.5 20.0 18.7 20.0 20.0 14.0 20.0 -8.8 20.0 3.0 -20.0 -12.0 4.5 -9.1 8.7 -4.4 10.4 -0.2 20.0 3.5 1.9 8.1 20.0 SOYOIL -14.9 -10.8 -14.5 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -5.3 -7.8 -10.9 1.0 -11.7 -14.2 0.8 14.0 3.6 8.4 -16.3 -11.4 -15.2 -1.1 -18.5 -3.1 12.9 -5.6 -0.6 -3.6 -4.5 0.2 -6.0 8.0 -20.0 -20.0 -20.0 -20.0 SP400 -20.0 -10.0 7.4 -0.7 -6.3 1.4 -7.4 0.6 -4.9 -13.1 5.8 -14.4 -0.6 -11.9 -3.8 -6.2 -3.9 -5.7 -4.9 -8.2 2.0 -20.0 2.2 -20.0 -7.0 10.2 -1.5 -8.9 1.4 -9.8 1.6 -6.5 -0.0 -20.0 -16.0 0.5 -2.5 SP500 -20.0 -3.0 4.7 -0.7 -6.3 1.4 -7.4 0.6 -4.9 -4.8 -0.1 -8.0 -6.8 -9.4 -1.5 -7.5 -5.3 -7.3 -6.5 -4.7 -0.9 -9.4 -3.5 -10.8 1.7 10.2 -0.1 -1.0 1.5 -3.9 -0.2 -3.5 -2.6 16.6 9.8 9.4 -2.1 SUGAR11 1.5 8.8 11.9 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 -5.7 13.8 6.8 11.0 12.6 13.9 20.0 20.0 20.0 20.0 16.6 16.7 3.3 12.6 11.5 -20.0 10.7 6.1 -0.9 7.6 0.7 6.7 3.3 20.0 12.8 20.0 20.0 20.0 US10 14.7 -4.8 18.1 0.1 10.4 -1.4 8.8 -3.8 3.4 12.3 -8.4 11.2 -12.0 1.1 -2.5 -7.7 -3.6 -8.0 -7.1 -1.7 -6.1 20.0 -11.8 8.6 -0.7 9.7 1.0 12.0 -1.1 10.7 -4.1 5.2 -10.0 6.6 14.4 3.3 3.9 US10U 13.0 -3.8 15.9 0.1 10.4 -1.4 8.8 -3.8 3.4 12.4 -7.5 11.6 -11.8 1.8 -1.0 1.1 2.9 0.9 1.1 -1.1 -5.8 20.0 -12.3 8.5 -4.4 -14.1 1.8 11.5 -0.3 10.6 -3.5 5.6 2.7 -0.8 13.7 6.5 8.4 US20 12.4 -3.6 15.6 0.1 10.4 -1.4 8.8 -3.8 3.4 12.6 -5.1 12.3 -10.4 3.8 1.6 -2.5 -1.6 -4.6 -3.8 0.1 -5.0 20.0 -12.1 10.1 -2.0 -12.3 1.7 10.4 -0.6 10.3 -3.6 5.6 -5.2 0.9 13.6 7.8 8.2 US30 8.3 -2.4 15.0 0.1 10.4 -1.4 8.8 -3.8 3.4 12.2 -4.0 11.9 -11.4 1.2 -0.8 -0.9 -0.6 -1.2 -1.2 -0.2 -5.1 17.1 -14.4 7.0 -7.3 10.0 2.3 10.0 0.2 9.5 -4.1 5.4 -2.2 -19.3 7.6 8.5 12.4 US5 17.9 -4.1 20.0 0.1 10.4 -1.4 8.8 -3.8 3.4 12.3 -9.1 10.8 -12.5 1.3 -3.1 -11.2 -4.2 -10.2 -8.5 -1.9 -6.2 20.0 -11.5 8.7 1.8 10.8 0.5 11.5 -1.6 10.3 -4.5 4.7 -11.7 10.4 15.3 -0.7 1.8 VIX 20.0 20.0 -2.6 -2.4 6.2 -4.7 5.9 -4.5 2.1 10.4 -12.6 9.8 -13.4 6.1 -6.6 -10.1 -20.0 -18.9 -20.0 -1.8 -9.3 15.5 -10.5 8.5 NaN -13.5 -2.7 7.3 -6.3 7.0 -6.4 2.8 NaN NaN NaN NaN NaN WHEAT -20.0 -1.4 -12.9 -2.8 -8.0 -2.2 -8.6 -1.3 -5.9 11.5 -13.7 -6.8 -14.1 -10.3 -12.2 -11.9 -7.4 -10.7 -9.2 -18.6 -19.5 -5.6 -15.3 -16.3 8.5 11.9 -4.7 2.4 -3.8 -1.5 -1.5 -4.6 -20.0 8.2 -20.0 -13.7 -15.1 End of report for caleb_strategy_v1